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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, November 1, 2020, Vol. 24, No. 305

                            Headlines

AIG ROVER: DBRS Confirms BB(low) Rating on Class B-2 Loans
BANK 2019-BNK21: DBRS Confirms BB Rating on Class X-G Certs
BHMS 2018-ATLS: DBRS Confirms BB Rating on Class E Certs
BHP TRUST 2019-BXHP: Moody's Confirms B2 Rating on 2 Tranches
CANYON CLO 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes

CSMC 2016-NXSR: Fitch Lowers Class D Certs to BB-sf
EAGLE RE 2020-2: Moody's Assigns B1 Rating on Class B-1 Notes
FALCON 2019-1: Fitch Lowers Rating on Series C Notes to CCC
FIRSTKEY MASTER 2020-ML1: Fitch Assigns B Rating on Class F Debt
FLAGSHIP CREDIT 2020-4: DBRS Gives Prov. BB(high) Rating on E Notes

FLAGSHIP CREDIT 2020-4: S&P Assigns Prelim 'BB-' Rating to E Notes
KENTUCKY HIGHER 2013-2: Fitch Lowers Class A-1 Debt to Bsf
MAGNETITE XXVIII: S&P Assigns BB- (sf) Rating to Class E Notes
ONE WIND 2014-3: S&P Affirms BB+ (sf) Rating on Class D-R2 Notes
PRESTIGE AUTO 2020-1: S&P Assigns BB- (sf) Rating to Class E Notes

RMF BUYOUT 2020-HB1: DBRS Finalizes BB(high) Rating on M4 Notes
STACR REMIC 2020-DNA5: DBRS Finalizes BB Rating on 16 Tranches
WOODMONT 2017-1 TRUST: S&P Rates Class E-R Notes 'BB- (sf)'
WP GLIMCHER 2015-WPG: S&P Cuts Class SQ-3 Certs Rating to CCC (sf)

                            *********

AIG ROVER: DBRS Confirms BB(low) Rating on Class B-2 Loans
----------------------------------------------------------
DBRS, Inc. confirmed its provisional rating of BBB (low) (sf) on
the Funded Class B-1 Loans and its provisional rating of BB (low)
(sf) on the Funded Class B-2 Loans (together, the Class B Loans)
issued by AIG Rover, LLC, pursuant to the Revolving Loan Agreement,
dated as of June 26, 2020, as further amended by the First
Amendment to the Revolving Loan Agreement, dated as of October 20,
2020, by and among AIG Credit Management, LLC as Collateral
Manager; AIG Rover, LLC as Borrower; each CLO Subsidiary from time
to time party thereto; the Lenders from time to time party thereto;
Royal Bank of Canada (rated AA (high) with a Stable trend by DBRS
Morningstar) as Administrative Agent; and Wells Fargo Bank, N.A.
(rated AA with a Negative trend by DBRS Morningstar) as Collateral
Custodian.

The confirmation of the provisional ratings on the Class B Loans
reflects the execution of the First Amendment to the Revolving Loan
Agreement, dated as of October 20, 2020.

The provisional ratings on the Class B Loans address the ultimate
payment of interest and the ultimate payment of principal on or
before the Facility Maturity Date (as defined in the Revolving Loan
Agreement referenced above).

The Class B Loans are collateralized primarily by a portfolio of
U.S. broadly syndicated corporate loans. AIG Credit Management, LLC
is the Collateral Manager for this transaction.

The confirmation of the provisional ratings reflects the following
primary considerations:

  (1) The First Amendment to the Revolving Loan Agreement, dated
      as of October 20,2020.

  (2) The integrity of the transaction structure.

  (3) DBRS Morningstar's assessment of the portfolio quality.

  (4) Adequate credit enhancement to withstand DBRS Morningstar's
      projected collateral loss rates under various cash
      flow-stress scenarios.

  (5) DBRS Morningstar's assessment of the origination, servicing,
      and CLO management capabilities of AIG Credit Management,
      LLC.

As of the date of the provisional ratings, DBRS Morningstar
performed a telephone operational risk review of AIG Credit
Management, LLC. DBRS Morningstar did not perform an on-site
operational risk review of AIG Credit Management, LLC at their
offices because of the current Coronavirus Disease (COVID-19)
pandemic. DBRS Morningstar found AIG Credit Management, LLC to be
an acceptable collateral manager.

A provisional rating is not a final rating with respect to the
above-mentioned Class B Loans and may change or be different than
the final rating assigned or may be discontinued. The assignment of
final ratings on the above-mentioned Class B Loans is subject to
receipt by DBRS Morningstar of all data and/or information and
final documentation that DBRS Morningstar deems necessary to
finalize the ratings for these instruments, including satisfaction
of the DBRS Morningstar Effective Date Condition (as defined in the
Revolving Loan Agreement). Failure by the Borrower to complete the
above conditions, as described in the Revolving Loan Agreement, may
result in the provisional ratings not being finalized or being
finalized at different ratings than the provisional ratings
assigned.

As the coronavirus spread around the world, certain countries
imposed quarantines and lockdowns, including the United States,
which accounts for more than one-quarter of confirmed cases
worldwide. The coronavirus pandemic has adversely affected not only
the economies of the nations most afflicted, but also the overall
global economy with diminished demand for goods and services as
well as disrupted supply chains. The effects of the pandemic may
result in deteriorated financial conditions for many companies and
obligors, some of which will experience the effects of such
negative economic trends more than others. At the same time,
governments and central banks in multiple regions, including the
United States and Europe, have taken significant measures to
mitigate the economic fallout from the coronavirus pandemic.

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


BANK 2019-BNK21: DBRS Confirms BB Rating on Class X-G Certs
-----------------------------------------------------------
DBRS Morningstar confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-BNK21 (the Certificates)
issued by BANK 2019-BNK21 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class X-G at BB (sf)
-- Class G at BB (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS Morningstar's
expectations since issuance. At issuance, the transaction consisted
of 87 loans secured by commercial and multifamily properties, with
an original trust balance of $1.18 billion. As of the September
2020 remittance, there has been a collateral reduction of 0.2%
since issuance and all loans remain in the pool.

The pool has a moderate concentration of loans secured by retail
and lodging properties, which represent 22.4% and 14.0% of the
pool, respectively. Although these concentrations present
challenges in the current environment amid the Coronavirus Disease
(COVID-19) pandemic, which has brought significant stress to the
hotel and retail sectors in the United States, the performance of
the bulk of these loans remains stable to date. There are 11 loans
backed by full and limited service hotel properties; of those 11
loans, only one smaller loan, representing less than 1.0% of the
pool, is on the servicer's watchlist for a coronavirus relief
request by the borrower. Similarly, for the 16 loans backed by
anchored and unanchored retail properties in the pool, there is
just one loan on the servicer's watchlist for a coronavirus relief
request, but in this case the loan is a top-10 loan in Prospectus
ID#8, National Retail Portfolio (4.2% of the pool). That loan is
secured by a portfolio of five properties located in three states.
The servicer's October 2020 commentary noted the requested relief
had been granted, with the loan brought current through the use of
rollover reserve funds for the October 2020 remittance.

There are three loans, representing a combined 22.5% of the pool,
that are shadow-rated investment grade by DBRS Morningstar,
including Park Tower at Transbay (Prospectus ID#1, 9.7% of the
pool), 230 Park Avenue South (Prospectus ID#2, 9.3% of the pool),
and Grand Canal Shoppes (Prospectus ID#10, 3.4% of the pool). With
this review, DBRS Morningstar confirmed the loans continue to
perform in line with the investment-grade shadow ratings. However,
the Grand Canal Shoppes loan is being closely monitored as the
coronavirus pandemic has been particularly hard on the Las Vegas
economy and sales at the property are expected to slump through the
near to medium term. Although local and international tourism is
down, DBRS Morningstar believes the collateral property's prime
location, historically strong performance, relatively low leverage,
and tenant mix are significant mitigating factors for the near- to
medium-term risks introduced by the pandemic.

As of the September 2020 remitttance, there is one loan in special
servicing and five loans on the servicer's watchlist, representing
0.7% and 8.6% of the pool, respectively. Four of the five loans on
the servicer's watchlist are being monitored for coronavirus relief
requests. The Grand Canal Shoppes loan has several pari passu
pieces secured in a number of transactions and appears to be on the
watchlist for majority of those deals linked to a loan modification
as a result of the pandemic. It is unclear as to why the reporting
for the subject transaction does not reflect the watchlist status;
as such, DBRS Morningstar has reached out to the servicer for
clarification.

The 4440 East Tropicana Avenue (Prospectus ID#33, 0.7% of the pool)
loan is secured by a two-tenant retail building located in Las
Vegas, Nevada, and was recently transferred to special servicing in
September 2020 for monetary default as a result of the coronavirus
pandemic. At issuance, the collateral property was 100.0% occupied
by two tenants, 24 Hour Fitness (79.8% of net rentable area (NRA),
expires November 2038) and Tire Mart (20.2% of NRA, expires July
2029); however, according to a June 2020 article from Business
Insider, the 24 Hour Fitness was closed as part of the company's
bankruptcy filing. Given the grim prospects for backfiling the
space amid the ongoing pandemic, the loan was liquidated in the
DBRS Morningstar analysis, with a loss severity in excess of 90.0%
assumed.

This transaction was subject to DBRS Morningstar's stress analysis
as outlined in its June 29, 2020, commentary entitled "CMBS Conduit
Exposure to Coronavirus Disease (COVID-19) Implications." As
further described in that commentary, DBRS Morningstar developed a
ratings baseline scenario and sensitivity analyses for its rated
conduit and agency multiborrower transactions to account for the
impact of the coronavirus pandemic on projected losses for those
transactions. The results of that analysis showed no ratings impact
for the subject transaction.

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


BHMS 2018-ATLS: DBRS Confirms BB Rating on Class E Certs
--------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-ATLS issued by BHMS
2018-ATLS as follows:

-- Class A at AAA (sf)
-- Class X-NCP 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 HRR at BB (low) (sf)

DBRS Morningstar has also maintained all classes Under Review with
Negative Implications, given the negative impact of the Coronavirus
Disease (COVID-19) on the underlying collateral and the lowering of
DBRS Morningstar's internal assessment on The Commonwealth of the
Bahamas.

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 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.

As it reviewed the ratings for 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 stress 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 subject transaction's underlying loan is secured by the
Atlantis Resort, a 2,917-key luxury beachfront resort located on
Paradise Island in the Bahamas. Also included in the collateral is
the fee interest in amenities including, but not limited to, 40
restaurants and bars; a 60,000 square-foot (sf) casino; the
141-acre Aquaventure water park; 73,391 sf of retail space and spa
facilities; and 500,000 sf of meeting and group space. The resort
includes a luxury tower with an additional 495 rooms owned by third
parties as condo-hotel units and 392 timeshare rooms located at the
Harborside Resort, neither of which are part of the collateral.
Loan proceeds of $1.2 billion along with $650.0 million in
mezzanine debt spread across three loans were used to refinance
existing debt of $1.7 billion (previously secured in the BHMS
2014-ATLS transaction), return $148.9 million of sponsor equity,
and cover closing costs, leaving $635.0 million of cash equity
remaining behind the transaction. The loan has a two-year
interest-only (IO) original term with five one-year extension
options that are also fully IO.

The loan is sponsored by BREF ONE, LLC, a subsidiary of Brookfield
Asset Management Inc. (rated A (low) with a Stable trend by DBRS
Morningstar). The hotel is managed by the sponsor-affiliate
Brookfield Hospitality Management with a 20-year management
agreement that expires in 2034. There is also a franchise agreement
in place through 2034 with Marriott International Inc. (Marriott),
with the property marketed under the Marriott brand's Autograph
Collection.

At issuance, DBRS Morningstar noted the opening of the 2,019-key
Baha Mar, a competing resort that began its first phase of
development in June 2018, located approximately seven miles from
the collateral property. Baha Mar is a $3.5 billion luxury resort
that features three towers of different hotel brands, including the
Grand Hyatt, SLS, and Rosewood as well as a 100,000-sf casino. Baha
Mar caters to a more affluent adult clientele, rather than
families. At issuance, Baha Mar did not offer water and marine
attractions that are key demand and revenue drivers at the subject.
However, Baha Mar is developing its own $300 million water park set
to open in 2021, which could pose additional competition for the
subject property. Baha Mar does offer the largest casino in the
Caribbean, which at issuance was expected to drive down casino
revenue at the subject resort. In addition, the Baha Mar resort is
newer and has higher-end finishes. However, DBRS Morningstar
maintains that in terms of overall appeal for the vast majority of
visitors to the island, the subject is generally superior to the
Baha Mar because of the longer list of amenities that appeal to
families, recent capital improvements, and more budget-friendly
price point.

Between 2012 and 2017, the sponsor completed approximately $213.0
million ($73,020/key) in capital improvements, including a $25.4
million ($40,448/key) renovation in 2018 to The Coral (629 keys)
that targeted newly designed rooms and a pool area as well as a
brand new lobby, in order to compete with the Baha Mar. According
to news articles, a renovation of The Reef (495 keys;
noncollateral) was completed in 2020, with the borrower planning an
18- to 24-month renovation of The Royal Tower (1,201 keys).

The subject's reliance on international tourism is particularly
important given the global travel disruptions currently underway
amid the coronavirus pandemic. The Bahamas' Ministry of Tourism
responded to the virus by closing the island's tourism industry and
has now further delayed the reopening date for this industry to
October 2020 from September 2020. As of October 15, 2020, beaches
and hotels are able to be open on all major islands in Bahamas;
however, some resorts such as Baha Mar are opting to delay
reopenings until the winter. The Atlantis Resort reopened as of
October 15, 2020. Currently there are no pandemic-related relief
requests and the loan is performing.

Based on the trailing 12-month (T-12) financials ended in September
2019, the loan reported a net cash flow (NCF) of $178.7 million,
well above the YE2018 figure of $118.3 million, and above the DBRS
Morningstar NCF figure of $147.8 million derived at issuance. The
drop in performance at YE2018 was primarily due to a decline in
departmental income from a large discrepancy in Other Income, which
captures most of the casino revenue for the resort.

Based on the T-12 ended March 2019 Smith Travel Research (STR)
report (most recent on file with DBRS Morningstar), The Royal Tower
(1,201 keys) reported occupancy rate, average daily rate (ADR), and
revenue per available room (RevPAR) figures of 68.2%, $240, and
$164, respectively, compared with the competitive set's figures of
65.7%, $266, and $175, respectively. The Royal Tower's figures were
an improvement from the T-12 ended March 2018 occupancy rate, ADR,
and RevPAR of 59.7%, $241, and $144, respectively. According to the
T-12 ended April 2019 STR report, The Cove (600 keys) reported T-12
occupancy rate, ADR, and RevPAR figures of 74.0%, $441, and $326,
respectively, compared with the competitive set's figures of 63.6%,
$379, and $241, respectively. The Cove's figures were a moderate
improvement from the T-12 ended March 2018 occupancy rate, ADR, and
RevPAR of 70.1%, $429, and $300, respectively. YE2020 financials
may drop quite substantially because of the prolonged closures of
the resorts and the decline in tourism.

DBRS Morningstar updated its internal assessment of The
Commonwealth of the Bahamas in Q2 2020, resulting in a lower
internal assessment than previously assigned. This lowered rating
could result in a ceiling to this transaction's rating which was
originally mitigated and may continue to be mitigated by the
political risk insurance of $560.0 million, the transaction's
securitized bonds by cash flows that are largely (95%) denominated
in U.S. dollars, and DBRS Morningstar's increased capitalization
rate to account for decreased value in an elevated probability of
default situation. The transaction remains Under Review with
Negative Implications as a result of this updated assessment in
addition to going concern regarding the impact the pandemic has had
on the tourism industry.

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 $147.8 million and DBRS
Morningstar applied a cap rate of 9.0%, which resulted in a DBRS
Morningstar Value of $1,642 million, a variance of 33.9% from the
appraised value of $2,485 million at issuance. The DBRS Morningstar
Value implies an LTV of 73.1% compared with the LTV of 48.3% 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. At
issuance, DBRS Morningstar applied a stressed cap rate in its
analysis to account for the additional decline in value associated
with default tied to sovereign risk associated with The
Commonwealth of the Bahamas. DBRS Morningstar maintained its
additional cap rate stress with the October 2020 surveillance
review. Additionally, DBRS Morningstar considered the dominant
nature of the collateral, good property quality, and capital
improvements recently made to the property in determining the final
cap rate of 9.0%.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totalling 5.25%
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 was
insulated from loss.

The DBRS Morningstar rating assigned to Class C had variances that
were generally higher than those results implied by the LTV sizing
benchmarks when MVDs are assumed under the Coronavirus Impact
Analysis. This class remains Under Review with Negative
Implications as DBRS Morningstar continues to monitor the evolving
economic impact of coronavirus-induced stress on the transaction.

Classes 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.


BHP TRUST 2019-BXHP: Moody's Confirms B2 Rating on 2 Tranches
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of four classes and
confirmed the ratings on three classes in BHP Trust 2019-BXHP,
Commercial Mortgage Pass-Through Certificates, Series 2019-BXHP as
follows:

Cl. A, Affirmed Aaa (sf); previously on Aug 29, 2019 Definitive
Rating Assigned Aaa (sf)

Cl. B, Affirmed Aa3 (sf); previously on Aug 29, 2019 Definitive
Rating Assigned Aa3 (sf)

Cl. C, Affirmed A3 (sf); previously on Aug 29, 2019 Definitive
Rating Assigned A3 (sf)

Cl. D, Affirmed Baa3 (sf); previously on Aug 29, 2019 Definitive
Rating Assigned Baa3 (sf)

Cl. E, Confirmed at Ba3 (sf); previously on Apr 17, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. F, Confirmed at B2 (sf); previously on Apr 17, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. HRR, Confirmed at B2 (sf); previously on Apr 17, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The ratings on Cl. A, Cl. B, Cl. C and Cl. D, were affirmed because
the transaction's key metrics, including Moody's loan-to-value
(LTV) ratio, are within acceptable ranges due to the release and
significant paydown from the Residence Inn Arlington Pentagon
property. The ratings on Cl. E, Cl. F and Cl. HRR were confirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, are within acceptable ranges due to the
release and significant paydown from the Residence Inn Arlington
Pentagon property. The paydown of approximately $127 million (31%
of original pool balance) well exceeded the allocated loan amount
plus the 5% Release Price Premium, helping to offset the
performance declines of the remaining collateral.

These actions conclude the review for downgrade initiated on April
17, 2020 for Cl. E, Cl. F and Cl. HRR.

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
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 our 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 our
ESG framework, given the substantial implications for public health
and safety.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of pool paydowns or amortization, an increase in
defeasance or an improvement in loan performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan or increase in interest
shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in September 2020.

DEAL PERFORMANCE

As of the October 15, 2020 distribution date, the transaction's
certificate balance has been reduced to $288 million from $415
million at securitization due to the release and paydown of the
Residence Inn Arlington Pentagon property. The certificates are now
collateralized by a 5-year (including three one-year extension
options), interest only, floating-rate loan backed by a first lien
commercial mortgage related to 26 select service hotels totaling
3,382 guest rooms across 11 states.

The US lodging sector neared its cyclical peak in 2018 and 2019.
During this time US hotels experienced slowing RevPAR growth rates
and some net cash flow (NCF) erosions due to expenses increasing
faster than revenues. For full year 2020 NCF, Moody's expects a
significant drop due to coronavirus outbreak induced property
closures and travel restrictions that were put into effect in the
first half of the year and the negative impact from those measures.
In the foreseeable future, Moody's expects demand for lodging in
leisure drive-to destinations to lead the recovery, followed by the
return of corporate transient segment in 2021. Due to the length
and the magnitude of the disruption, Moody's does not expect hotel
performance to return to pre-COVID levels in the near future and
the pace of recovery to vary depending on the property's primary
market segment and location.

The portfolio's NCF for the trailing twelve-month period ending in
June 2020 was $34.8 million (including the Residence Inn Arlington
Pentagon property), down significantly from $51.1 million achieved
in 2019. Moody's stabilized NCF is $35.1 million and reflects the
release of the Residence Inn Arlington Pentagon property from the
portfolio as well as the distress caused by the coronavirus
outbreak. Due to the sharp decline in recent NCF, the release of
the Residence Inn Arlington Pentagon property resulted in a Low
Debt Yield Release as defined in the Loan Agreement. As a result of
the Low Debt Yield Release, the paydown required from the release
was approximately $127 million, which well exceeded the allocated
loan amount plus the 5% Release Price Premium. The significant
paydown helped to offset the negative effects of the decline in the
portfolio's NCF. The loan has remained current as of the October
2020 distribution date.

The first mortgage balance represents a Moody's stabilized LTV of
94%. Moody's first mortgage stressed debt service coverage ratio
(DSCR) is 1.32X. However, these metrics are based on stabilized NCF
levels that reflect return of both leisure and corporate demand for
lodging. There are no losses outstanding as of the current
distribution date but there are $18 of Distributable Certificate
Interest Adjustment affecting Cl. HRR.


CANYON CLO 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Canyon CLO 2020-2
Ltd./Canyon CLO 2020-2 LLC's floating- and fixed-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 manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

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

  RATINGS ASSIGNED

  Canyon CLO 2020-2 Ltd./Canyon CLO 2020-2 LLC

  Class                   Rating        Amount (mil. $)
  A                       AAA (sf)               279.00
  B-1                     AA (sf)                 51.75
  B-2                     AA (sf)                 11.25
  C (deferrable)          A (sf)                  27.00
  D (deferrable)          BBB- (sf)               24.75
  E (deferrable)          BB- (sf)                15.75
  Subordinated notes      NR                      44.50

  NR--Not rated.


CSMC 2016-NXSR: Fitch Lowers Class D Certs to BB-sf
---------------------------------------------------
Fitch Ratings has downgraded six classes and affirmed 13 classes of
CSMC 2016-NXSR Commercial Mortgage Trust pass-through certificates.
Fitch has also revised the Rating Outlooks to Negative from Stable
on classes A-S, B, C, X-A, X-B, V1-A, V1-B and V1-C.

RATING ACTIONS

CSMC 2016-NXSR

Class A-1 12594PAS0; LT AAAsf Affirmed; previously at AAAsf

Class A-2 12594PAT8; LT AAAsf Affirmed; previously at AAAsf

Class A-3 12594PAU5; LT AAAsf Affirmed; previously at AAAsf

Class A-4 12594PAV3; LT AAAsf Affirmed; previously at AAAsf

Class A-S 12594PAZ4; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 12594PAW1; LT AAAsf Affirmed; previously at AAAsf

Class B 12594PBA8; LT AA-sf Affirmed; previously at AA-sf

Class C 12594PBB6; LT A-sf Affirmed; previously at A-sf

Class D 12594PAG6; LT BB-sf Downgrade; previously at BBB-sf

Class E 12594PAJ0; LT CCsf Downgrade; previously at BB-sf

Class F 12594PAL5; LT CCsf Downgrade; previously at B-sf

Class V-1B 12594PBD2; LT AA-sf Affirmed; previously at AA-sf

Class V-1C 12594PBE0; LT A-sf Affirmed; previously at A-sf

Class V1-A 12594PBC4; LT AAAsf Affirmed; previously at AAAsf

Class V1-D 12594PBF7; LT BB-sf Downgrade; previously at BBB-sf

Class X-A 12594PAX9; LT AAAsf Affirmed; previously at AAAsf

Class X-B 12594PAY7; LT AA-sf Affirmed; previously at AA-sf

Class X-E 12594PAA9; LT CCsf Downgrade; previously at BB-sf

Class X-F 12594PAC5; LT CCsf Downgrade; previously at B-sf

KEY RATING DRIVERS

Increased Loss Expectations; High Concentration of Fitch Loans of
Concern (FLOC): The downgrades and Negative Outlook revisions
reflect an increase in Fitch's loss expectations since the last
rating action, largely attributable to performance concerns related
to the coronavirus pandemic. There are 12 FLOCs, totaling 39.9% of
the pool, including seven specially-serviced loans (25.2% of the
pool), six of which are new transfers since the start of the
coronavirus pandemic. Eight of the FLOCs (35.8% of the pool) are in
the top 15.

Fitch Loans of Concern/Specially Serviced Loans: The largest FLOC
and largest specially serviced loan is Gurnee Mills (9.5%), which
is secured by a 1.7 million sf portion of a 1.9 million sf regional
mall located in Gurnee, IL, approximately 45 miles north of
Chicago. Non-collateral anchors include Burlington Coat Factory,
Marcus Cinema and Value City Furniture. Collateral anchors include
Macy's, Bass Pro Shops and Kohl's. Collateral occupancy has
declined to 79% at YE 2019 from 91% at issuance. Sears vacated
during 2Q18, and Last Call Neiman Marcus vacated during 1Q18.
Comparable in-line tenant sales were reported to be $340 psf as of
the TTM ending September 2019 compared to $332 psf for YE 2018,
$313 psf for YE 2017 and $347 psf around the time of issuance (as
of TTM July 2016). The loan is 90+ days delinquent and transferred
to the special servicer in June 2020. The special servicer and the
borrower, Simon Property Group, are negotiating terms of a
short-term forbearance agreement.

The second largest FLOC and second largest specially serviced loan
is Embassy Suites - Hillsboro (5.2%), a 165-room full service hotel
located in Hillsboro, Oregon. The loan is 90+ days delinquent and
transferred to the special servicer in June 2020; the borrower
intends to submit revised forbearance terms. Occupancy and DSCR
were a reported 84% and 1.67x respectively as of YE 2019.

The third largest FLOC and third largest specially serviced loan is
the Wolfchase Galleria loan (4.7%), 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. The
special servicer and the borrower, Simon Property Group, are
negotiating terms of a short-term forbearance agreement. Fitch will
continue to monitor the status of the loan.

The fourth largest FLOC, Greenwich Office Park (4.2%), is secured
by an approximately 380,000 sf office park located in Greenwich,
CT. The largest tenant at the property, Interactive Brokers Group
(11% NRA) vacated as expected at its October 2019 lease expiration
date. As of June 2020, the property was 73% occupied, down from 85%
at YE 2018.

The fifth largest FLOC, Federal Way Crossings (4.1%) is secured by
a 215,000 sf anchored retail center located in Federal Way, WA. The
largest tenants at the property include: Sportsman Warehouse (23%
NRA, lease expires June 2021), Fitness International (21% NRA,
lease expires June 2021), Zero Gravity of Seattle (9% NRA, lease
expires August 2023) and Office Depot (8% NRA, lease expires June
2023). Approximately 51% NRA expires in 2021, primarily due to the
two largest tenants. Fitch requested a leasing status update and is
awaiting a response. Occupancy has remained in the mid- to high
90's since issuance at a reported 97% as of June 2020.

The sixth largest FLOC, Great Falls Marketplace (3.4%), is secured
by 215,000 sf retail center located in Great Falls, MT. The largest
tenants at the property include: Smith's Food & Drug -- subsidiary
of Kroger (23.2% NRA, lease expires March 2030), Carmike Cinema --
AMC (15.1%, lease expires February 2023), Office Max (11.0%, lease
expires December 2020), Michael's (9.5%, lease expires February
2023) and Barnes & Noble (9.3%, lease expires January 2021). As of
June 2020, the property was 94.5% occupied. However, occupancy is
expected to decline at least 20% as Office Max and Barnes and Noble
have indicated they will be vacating. The loan is currently cash
managed and cash trapped due to Office Max vacating; the current
excess cash balance is $408,538. Additionally, eight tenants have
co-tenancy clauses, the majority of which are triggered if three
tenants larger than 20,000 sf go dark and are not replaced within
six months. Fitch requested further details on tenants with
co-tenancy triggers.

The next FLOC is 681 Fifth Avenue (2.5%), is secured by 82,573 sf
mixed use (retail/office) building located in New York, NY. The
property is located in Midtown Manhattan's Plaza District along
Fifth Avenue, a shopping district catering to high-end retailers.
The largest tenants at the property include: Tommy Hilfiger (27%
NRA; lease expires May 2023), Metropole Realty Advisors (9% NRA,
lease expires March 31,2029), Vera Bradley Sales (7% NRA; lease
expires March2026), Apex Bulk Carriers (7% NRA; lease expires March
2023), and Belstaff (7% NRA; lease expires April 2022). Tommy
Hilfiger closed its store in March 2019 and is expected to continue
to pay rent through lease expiration. Cash flow trigger was
activated due to Tommy Hilfiger going dark. As of September 2020,
the servicer reported $1.8 million in lockbox reserve. Fitch
requested leasing updates for the vacated Tommy Hilfiger space and
updated reserves, but did not receive a response.

The last FLOC in the Top 15 is Courtyard Cromwell (2.2%), which is
secured by a 145-room select service hotel property located in
Cromwell, CT. The loan is 90+ days delinquent and transferred to
special servicing in August 2020 due to payment default, as a
result of the coronavirus pandemic. The property was closed from
March 24 through June 14. Occupancy and DSCR were a reported 70%
and 2.21x respectively as of YE 2019. Forbearance is reportedly
under discussion with the servicer.

The remaining three loans in special servicing (3.6%) include: two
loans (2.6%) are secured by hotel properties that transferred to
special servicing in 2Q20 as a result of the coronavirus pandemic
and one loan (1%) is secured by a retail property in foreclosure.

The one remaining non-specially, Oak Court Apartments (0.5%), is
secured by a 35-unit, multifamily complex located in Wilmington,
NC. Property performance has been struggling due to new competition
and lower market rates. Although occupancy has increased, rents are
continuing to struggle. As of YE 2019, the property was 88.6%
occupied with an NOI DSCR of 0.59x, compared to 80% and 0.93x
respectively at YE 2018.

Minimal Changes in Credit Enhancement (CE): As of the September
2020 distribution date, the pool has paid down by nearly 2.8%, down
to $589.8 million from $606.8 million at issuance. Nine loans (49%
of the pool) are full-term IO. Eight loans (11% of the pool) were
partial IO; all have exited their IO period. The pool is only
scheduled to pay down by 9.3% based on scheduled maturity balances.
There is one loan (1.1% of pool) that has defeased. There have been
no realized losses to date.

Alternative Loss Consideration: Fitch performed an additional
sensitivity scenario that assumed potential outsized losses of 20%
on the current balance of 681 Fifth Avenue, 50% on the current
balance of the specially serviced Wolfchase Galleria loan and 50%
on the maturity balance of the specially serviced Gurnee Mills
loan. This scenario resulted in the affirmation of senior classes
A-1, A2, A-3, A-4 and A-SB. It did not contribute to the downgrades
and negative outlooks.

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 11 loans (37.7% of pool). Loans secured by
hotel properties account for eight loans (15.7%), while four loans
(9.9%) are secured by a multifamily property. Fitch's base case
analysis applied additional stresses to five retail loan, six hotel
loans and one multifamily loan due to their vulnerability to the
coronavirus pandemic; this analysis contributed to the downgrades
and negative outlooks.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, B and C, IO classes X-A and
X-B and exchangeable classes V1-A, V1-B and V1-C reflect concerns
over the FLOCs, including seven specially serviced loans as well as
the impact of the coronavirus pandemic on the loans in the pool.
The Stable Outlooks on classes A-1, A-2, A-3, A-4 and A-SB reflect
the substantial CE to the classes and expected continued
amortization and increase in CE.

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 and stabilized performance of properties impacted
by the pandemic; 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 'BBB-sf",
'CCC-sf' and 'CCsf' 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 high CE and position in the capital
structure but may occur should interest shortfalls affect these
classes. Should loans in special servicing fail to execute current
modifications under review, additional downgrades to classes D and
below would be considered. Downgrades to the remaining classes on
Negative Outlook are possible should these modifications fail,
performance of the other FLOCs fail to stabilize or continue to
decline and additional loans transfer to special servicing.

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

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

CSMC 2016-NXSR: Exposure to Social Impacts: 4

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.


EAGLE RE 2020-2: Moody's Assigns B1 Rating on Class B-1 Notes
-------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to eight
classes of mortgage insurance credit risk transfer notes issued by
Eagle Re 2020-2 Ltd.

Eagle Re 2020-2 Ltd. is the fourth transaction issued under the
Eagle Re program, which transfers to the capital markets the credit
risk of private mortgage insurance (MI) policies issued by Radian
Guaranty Inc (Radian, the ceding insurer) on a portfolio of
residential mortgage loans. The notes are exposed to the risk of
claims payments on the MI policies, and depending on the notes'
priority, may incur principal and interest losses when the ceding
insurer makes claims payments on the MI policies.

On the closing date, Eagle Re 2020-2 Ltd. (the issuer) and the
ceding insurer will enter into a reinsurance agreement providing
excess of loss reinsurance on mortgage insurance policies issued by
the ceding insurer on a portfolio of residential mortgage loans.
Proceeds from the sale of the notes will be deposited into the
reinsurance trust account for the benefit of the ceding insurer and
as security for the issuer's obligations to the ceding insurer
under the reinsurance agreement. The funds in the reinsurance trust
account will also be available to pay noteholders, following the
termination of the trust and payment of amounts due to the ceding
insurer. Funds in the reinsurance trust account will be used to
purchase eligible investments and will be subject to the terms of
the reinsurance trust agreement.

Following the instruction of the ceding insurer, the trustee will
liquidate assets in the reinsurance trust account to (1) make
principal payments to the notes as the insurance coverage in the
reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims after the Class B-3 and Class B-2 coverage levels are
written off. While income earned on eligible investments is used to
pay interest on the notes, the ceding insurer is responsible for
covering any difference between the investment income and interest
accrued on the notes' coverage levels.

The complete rating actions are as follows:

Issuer: Eagle Re 2020-2 Ltd.

Cl. M-1A, Assigned Baa3 (sf)

Cl. M-1B, Assigned Ba1 (sf)

Cl. M-1C, Assigned Ba2 (sf)

Cl. M-2A, Assigned Ba2 (sf)

Cl. M-2B, Assigned Ba3 (sf)

Cl. M-2C, Assigned B1 (sf)

Cl. M-2, Assigned Ba3 (sf)

Cl. B-1, Assigned B1 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expects this insured pool's aggregate exposed principal
balance to incur 2.30% losses in a base case scenario, and 17.03%
losses under a Aaa stress scenario. The aggregate exposed principal
balance is the product, for all the mortgage loans covered by MI
policies, of (i) the unpaid principal balance of each mortgage
loan, (ii) the MI coverage percentage.

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 increased our model-derived median expected losses by 15%
(mean expected losses by 13.43%) and our Aaa losses by 5% to
reflect the likely performance deterioration resulting from of a
slowdown in US economic activity in 2020 due to the COVID-19
outbreak.

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

Moody's calculated losses on the pool using our US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included, but were not limited to,
adjustments for origination quality.

Collateral Description

Each mortgage loan has an insurance coverage effective date on or
after October 1, 2019, through July 31, 2020. The reference pool
consists of 196,160 prime, fixed- and adjustable-rate, one- to
four-unit, first-lien fully-amortizing, predominantly conforming
mortgage loans with a total insured loan balance of approximately
$13 billion. All loans in the reference pool had a loan-to-value
(LTV) ratio at origination that was greater than 80%, with a
weighted average of 90.9%. The borrowers in the pool have a
weighted average FICO score of 753, a weighted average
debt-to-income ratio of 35.4% and a weighted average mortgage rate
of 3.55%. The weighted average risk in force (MI coverage
percentage net of existing reinsurance coverage) is approximately
23.9% of the reference pool unpaid principal balance. The aggregate
exposed principal balance is the portion of the pool's risk in
force that is not covered by existing quota share reinsurance
through unaffiliated parties.

The weighted average LTV of 90.9% is far higher than those of
recent private label prime jumbo deals, which typically have LTVs
in the high 60's range, however, it is in line with those of recent
STACR high LTV CRT transactions. All these insured loans in the
reference pool were originated with LTV ratios greater than 80%.
100% of insured loans were covered by mortgage insurance at
origination with 99.3% covered by BPMI and 0.7% covered by LPMI
based on risk in force.

Underwriting Quality

Moody's took into account the quality of Radian's insurance
underwriting, risk management and claims payment process in our
analysis.

Radian's underwriting requirements address credit, capacity
(income), capital (asset/equity) and collateral. It has a licensed
in-house appraiser to review appraisals.

Lenders submit mortgage loans to Radian for insurance either
through delegated underwriting or non-delegated underwriting
program. Under the delegated underwriting program, lenders can
submit loans for insurance without Radian re-underwriting the loan
file. Radian issues an MI commitment based on the lender's
representation that the loan meets the insurer's underwriting
requirement. Radian allows exceptions for loans approved through
both its delegated and non-delegated underwriting programs. Lenders
eligible under the delegated program must be pre-approved by
Radian's risk management group and are subject to targeted internal
quality assurance reviews. Under the non-delegated underwriting
program, insurance coverage is approved after full-file
underwriting by the insurer's underwriters. As of September 2020,
approximately 61% of the loans in Radian's overall portfolio are
insured through delegated underwriting, 34% through non-delegated
underwriting and 5% through contract underwriting. Radian broadly
follows the GSE underwriting guidelines via DU/LP, subject to few
additional limitations and requirements.

Servicers provide Radian monthly reports of insured loans that are
60-day delinquent prior to any submission of claims. Claims are
typically submitted when servicers have taken possession of the
title to the properties. Radian's claims review process include
loan files, payment history, quality review results, and property
value. Radian sends first document request letter to Servicer
within 35 days of receipt of claim, and may take additional 10 day
period after receipt of response to first document request to make
additional requests. Claims are paid within 60 days after all
required documents are submitted.

Radian performs an internal quality assurance review on a sample
basis of delegated and non-delegated underwritten loans. Radian
selects a random and targeted sample of loans for review, and
assesses each loan file for data accuracy, underwriting quality and
process integrity. Third party vendors are utilized in the quality
assurance reviews as well as re-verifications and investigations.
Vendors must meet stringent approval requirements.

Third-Party Review

Radian engaged Opus Capital Markets Consultants, LLC to perform a
data analysis and diligence review of a sampling of mortgage loans
files submitted for mortgage insurance. This review included
validation of credit qualifications, verification of the presence
of material documentation as applicable to the mortgage insurance
application, updated valuation analysis and comparison, and a
tape-to-file data integrity validation to identify possible data
discrepancies. The scope does not include a compliance review.

The scope of the third-party review is weaker than other MI CRT
transactions Moody's rated because the sample size was small (only
325 of the total loans in the initial reference pool as of May
2020, or 0.17% by loan count). Once the sample size was determined,
the files were selected randomly to meet the final sample count of
325 files out of a total of 196,160 loan files.

In spite of the small sample size and a limited TPR scope for Eagle
Re 2020-2, Moody's did not make an additional adjustment to the
loss levels because (1) the underwriting quality of the insured
loans is monitored under the GSEs' stringent quality control system
and (2) MI policies will not cover any costs related to compliance
violations.

The loans are reviewed on a quarterly basis and depending on the
timing of the transaction relative to the quarterly review, the
loans from that production may or may not be included. The TPR
available sample does not cover a subset of pool that have MI
coverage effective date on and after April 2020, representing
approximately 54.0% of the pool by loan count. Moody's did not make
any adjustment because Moody's found no material difference in
credit characteristics between the post-April 2020 subset and the
pre-April 2020 subset, including the percentage of loans with MI
policies underwritten through non-delegated underwriting program,
which ceding insurer requires full loan origination file and
performs independent re-underwriting and quality assurance. Moody's
took this into consideration in our TPR review.

Scope and results. The third-party due diligence scope focuses on
the following:

Appraisals: The third-party diligence provider also reviewed
property valuation on 325 loans in the sample pool. A Freddie Mac
Home Value Explorer ("HVE") was ordered on the entire population of
325 files. If the resulting value of the AVM was less than 90% of
the value reflected on the original appraisal, or if no results
were returned, a Broker Price Opinion ("BPO") was ordered on the
property. If the resulting value of the BPO was less than 90% of
the value reflected on the original appraisal, an Appraisal Review
appraisal was ordered on the property. Among the 325 loans, five
(5) loans were not assigned any grade by the third-party review
firm and all other loans were graded A. The third-party diligence
provider was not able to obtain property valuations on five
mortgage loans due to the inability to complete the field review
assignment during the due diligence review period.

Credit: The third-party diligence provider reviewed credit on 325
loans in the sample pool. All the loans were wither rated graded A
or B. There were no loans with final grade of "C".

Data integrity: The third-party review firm was provided a data
file with loan level data, which was audited against origination
documents to determine the accuracy of data found within the data
tape. Per the due diligence report, there are seven discrepancy
findings under four fields: DTI, maturity date, original loan
amount, and borrower count. The discrepancies are considered to be
non-material.

Reps & Warranties Framework

The ceding insurer does not make any representations and warranties
to the noteholders in this transaction. Since the insured mortgages
are predominantly GSE loans, the individual sellers would provide
exhaustive representations and warranties to the GSEs that are
negotiated and actively monitored. In addition, the ceding insurer
may rescind the MI policy for certain material misrepresentation
and fraud in the origination of a loan, which would benefit the MI
CRT noteholders.

Transaction Structure

The transaction structure is very similar to GSE CRT transactions
that Moody's has rated. The ceding insurer will retain the senior
coverage level A, coverage level B-2 and the coverage level B-3 at
closing. The offered notes benefit from a sequential pay structure.
The transaction incorporates structural features such as a 10-year
maturity and a sequential pay structure for the non-senior
tranches, resulting in a shorter expected weighted average life on
the offered notes. The notes will be subject to redemption prior to
the maturity date at the option of the ceding insurer upon the
occurrence of an optional termination event, including a clean-up
call event and an optional call.

Funds raised through the issuance of the notes are deposited into a
reinsurance trust account and are distributed either to the
noteholders, when insured loans amortize or MI policies terminate,
or to the ceding insurer for reimbursement of claims paid when
loans default. Interest on the notes is paid from income earned on
the eligible investments and the coverage premium from the ceding
insurer. Interest on the notes will accrue based on the outstanding
balance of the notes, but the ceding insurer will only be obligated
to remit coverage premium based on each note's coverage level.

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. The rated
Class M-1A, Class M-1B, Class M-1C, Class M-2A, Class M-2B, Class
M-2C and Class B-1 offered notes have credit enhancement levels of
5.25%, 4.75%, 4.25%, 4.00% and 3.75%, 3.50%, 3.25%, respectively.
The credit risk exposure of the notes depends on the actual MI
losses incurred by the insured pool. MI losses are allocated in a
reverse sequential order starting with the coverage level B-3.
Investment deficiency amount losses are allocated in a reverse
sequential order starting with the Class B-1 notes.

So long as the senior coverage level is outstanding, and no
performance trigger event occurs, the transaction structure
allocates principal payments on a pro-rata basis between the senior
and non-senior reference tranches. Principal is then allocated
sequentially amongst the non-senior tranches. Principal payments
are all allocated to senior reference tranches when trigger event
occurs.

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75.00% of Class A subordination
amount or (ii) the subordinate percentage (or with respect to the
first payment date, the original subordinate percentage) for that
payment date is less than the target CE percentage (minimum C/E
test: 7.25%).

Premium Deposit Account (PDA)

The premium deposit account will benefit the transaction upon a
mandatory termination event (e.g. the ceding insurer fails to pay
the coverage premium and does not cure, triggering a default under
the reinsurance agreement), by providing interest liquidity to the
noteholders, when combined with the income earned on the eligible
investments, of approximately 70 days while the reinsurance trust
account and eligible investments are being liquidated to repay the
principal of the notes.

On the closing date, the ceding insurer will establish a cash and
securities account (the PDA) but no initial deposit amount will be
made to the account by the ceding insurer unless the premium
deposit event is triggered. The premium deposit event will be
triggered (1) with respect to any class of notes, if the rating of
that class of notes exceeds the insurance financial strength (IFS)
rating of the ceding insurer or (2) with respect to all classes of
notes, if the ceding insurer's IFS rating falls below Baa2. If the
note ratings exceed that of the ceding insurer, the insurer will be
obligated to deposit into and maintain in the premium deposit
account the required PDA amount (see next paragraph) only for the
notes that exceeded the ceding insurer's rating. If the ceding
insurer's rating falls below Baa2, it will be obligated to deposit
the required PDA amount for all classes of notes.

The required PDA amount for each class of notes and each month is
equal to the excess, if any, of (i) the coupon rate of the note
multiplied by (a) the applicable funded percentage, (b) the
coverage level amount for the coverage level corresponding to such
class of notes and (c) a fraction equal to 70/360, over (ii) two
times the investment income collected (but not yet distributed) on
the eligible investments.

Moody's believes the requirement that the PDA be funded only upon a
rating trigger event does not establish a linkage between the
ratings of the notes and the IFS rating of the ceding insurer
because, 1) the required PDA amount is small relative to the entire
deal, 2) the risk of PDA not being funded could theoretically occur
only if the ceding insurer suddenly defaults, causing a rating
downgrade from investment grade to default in a very short period,
which is a highly unlikely scenario, and 3) even if the insurer
becomes insolvent, there would be a strong incentive for the
insurer's insolvency regulator to continue to make the interest
payments to avoid losing reinsurance protection provided by the
deal.

Claims Consultant

To mitigate risks associated with the ceding insurer's control of
the trust account and discretion to unilaterally determine the MI
claims amounts (i.e. ultimate net losses), the ceding insurer will
engage Opus Capital Markets Consultants, LLC, as claims consultant,
to verify MI claims and reimbursement amounts withdrawn from the
reinsurance trust account once the coverage level B-3 and the
coverage level B-2 have been written down. The claims consultant
will review on a quarterly basis a sample of claims paid by the
ceding insurer covered by the reinsurance agreement. In verifying
the amount, the claims consultant will apply a permitted variance
to the total paid loss for each MI Policy of +/- 2%. The claims
consultant will provide a preliminary report to the ceding insurer
containing results of the verification. If there are findings that
cannot be resolved between the ceding insurer and the claims
consultant, the claims consultant will increase the sample size. A
final report will be delivered by the claim's consultant to the
trustee, the issuer and the ceding insurer. The issuer will be
required to provide a copy of the final report to the noteholders
and the rating agencies.

Unlike RMBS transactions where there is typically some level of
independent third-party oversight by the trustee, the master
servicer and/or the securities administrator, MI CRT transactions
typically do not have such oversight. As noted, the ceding insurer
not only has full control of the trust account but can also
determine, at its discretion, the MI claims amount. The ceding
insurer will then direct the trustee to withdraw the funds to
reimburse for the claims paid. Since the trustee is not required to
verify the MI claims amount, there could be a scenario where funds
are withdrawn from the reinsurance trust account in excess of the
amounts necessary to reimburse the ceding insurer. As such, Moody's
believes the claims consultant in this transaction will provide the
oversight to mitigate such risks.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


FALCON 2019-1: Fitch Lowers Rating on Series C Notes to CCC
-----------------------------------------------------------
Fitch Ratings has downgraded the outstanding ratings on Falcon
2019-1 Aerospace Limited (Falcon 2019-1) series A, B and C
fixed-rate secured notes and removed the existing Rating Watch
Negative (RWN) on the class C notes. The Rating Outlooks remain
Negative for classes A and B notes. Fitch also downgraded Kestrel
Aircraft Funding Limited (Kestrel) classes A and B notes, and the
Outlooks remain Negative.

RATING ACTIONS

Falcon 2019-1 Aerospace Limited

Series A 30610GAA1; LT BBBsf Downgrade; previously Asf

Series B 30610GAB9; LT BBsf Downgrade; previously BBBsf

Series C 30610GAC7; LT CCCsf Downgrade; previously Bsf

Kestrel Aircraft Funding Limited

Class A 49255PAA1; LT BBBsf Downgrade; previously Asf

Class B 49255PAB9; LT BBsf Downgrade; previously BBBsf

TRANSACTION SUMMARY

The rating actions reflect ongoing stress on and deterioration of
airline lessee credits backing the leases in each transaction pool,
downward pressure on aircraft values, Fitch's updated assumptions
and stresses, and resulting impairments to modeled cash flows and
coverage levels. The prior review was on May 27, 2020 for both
transactions.

Fitch downgraded each tranche of both transactions and all notes
have Negative Outlooks, reflecting Fitch's base case expectation
for the structure to withstand immediate and near-term stresses at
the updated assumptions and stressed scenarios commensurate with
their respective ratings.

Fitch updated rating assumptions for both rated and non-rated
airlines with a vast majority of ratings moving lower, which was a
key driver of these rating actions along with modeled cash flows.
This was driven by the current global recessionary environment,
ongoing sector stress with a slow recovery to date, and resulting
impact on airline lessees in each pool. Recessionary timing was
assumed to start immediately, consistent with the prior review.
This scenario stresses airline credits, asset values and lease
rates while incurring remarketing and repossession costs and
downtime at each relevant rating stress level.

Dubai Aerospace Enterprise Ltd. (DAE, 'BBB-'/Negative) and certain
affiliates are the sellers of the assets, and DAE acts as servicer
for both transactions. Fitch deems DAE an adequate servicer to
service the transactions based on their capabilities and prior
experience, including prior experience servicing ABS.

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit

The credit profiles of the airline lessees in the pools remain
under stress or have deteriorated further due to the
coronavirus-related impact on all global airlines in 2020,
resulting in lower rating assumptions for certain lessees utilized
for this review. The proportion of the Falcon 2019-1 pool assumed
at a 'CCC' Issuer Default Rate (IDR) and below increased slightly
to 72.5% for this review versus 71.5% previously (23.4% at
closing). For Kestrel, the 'CCC' and below airlines rose to 76.6%
from 51.8% in the prior review (11.6% at closing).

The assumptions are reflective of these airlines' ongoing credit
profiles and fleets in the current operating environment, due to
the continued coronavirus-related impact on the sector. Any
publicly rated airlines in the pool whose ratings have shifted have
been updated.

Asset Quality and Appraised Pool Value:

Both pools feature mostly liquid narrowbody (NB) aircraft, which is
viewed positively. There is 21.3% widebody aircraft in Falcon
2019-1 and 22.6% in Kestrel. The initial widebody aircraft
concentration declined in Falcon as one aircraft failed to novate
and transfer into the trust. There continues to be elevated
uncertainty around market values, and how the current environment
will impact near-term lease maturities. Further, Fitch recognizes
that there will be downward pressure on values in the
short-to-medium term.

The appraisers for Kestrel are Aircraft Information Services Inc.
(AISI), Morten Beyer & Agnew (mba) and BK Associates, Inc. (BK).
The appraisers for Falcon 2019-1 are mba, AISI and Collateral
Verifications (CV). Falcon 2019-1 received updated appraisals as of
June 2020 and Kestrel in December 2019. The transaction document
value is $474.5 million for Falcon 2019-1 and $433.2 million for
Kestrel.

Fitch utilized conservative asset values for both transactions as
there is continued pressure and weaker market values for certain
aircraft variants, particularly widebodies and older narrowbodies.
Fitch utilized the average excluding highest value (AEH) of the
maintenance-adjusted base values (MABVs) for turboprops and
narrowbodies less than 15 years old, consistent with prior reviews.
For narrowbodies 15 years and older, Fitch utilized the minimum
MABV. For widebodies, minimum MA market values (MV) were utilized
with an additional 5% haircut applied thereon. This resulted in
modeled values of $418.9 million for Falcon 2019-1 and $405.8
million for Kestrel, approximately 10% and 6% haircut down from the
transaction value.

Transaction Performance:

Nearly all lessees across both transactions have requested some
form of payment relief since March this year. As of October, Falcon
and Kestrel have approved a small portion of deferral requests. Any
known deferrals were applied in cash flow modeling.

Lease collections have fluctuated since March trending notably
lower for both transactions. As of the October report, Kestrel
received $2.7 million in basic rent compared to average monthly
collections of $2.9 million over the last 6 months. Falcon 2019-1
received $5.0 million in basic rent compared to an average monthly
receipt of $3.7 million over last six months.

Loan-to-values (LTV) have continued to increase since closing,
based on the updated Fitch LTVs and values utilized in this
review.

All notes continue to receive interest payments through October.
However, principal payments were only made to the series A and B
note principal for Falcon 2019-1, and series A principal for
Kestrel. The debt-service coverage ratios (DSCRs) remain below
their respective cash trap triggers and early amortization event
triggers.

Fitch Modeling Assumptions:

Nearly all servicer-driven assumptions are consistent from closing
for each transaction. These include costs and certain downtime
assumptions relating to aircraft repossessions and remarketing,
terms of new leases, and extension terms.

For any leases whose maturities are up in two years, or whose
lessee credit ratings are 'CC' or 'D', Fitch assumed an additional
three-month downtime for narrowbodies and six months for widebodies
at lease end, on top of lessor-specific remarketing downtime
assumptions, to account for potential remarketing challenges in
placing this aircraft with a new lessee in the current distressed
environment. Falcon 2019-1 has two upcoming lease maturities into
and during 2021, and Kestrel has one lease maturity.

With the grounding of global fleets and significant reduction in
air travel, maintenance revenue and costs will be impacted and are
expected to decline due to airline lessee credit issues and
grounded aircraft. Maintenance revenues were reduced by 50% over
the next immediate 12 months, and such missed payments were assumed
to be recouped in the following 12 months thereafter, starting in
October 2021.

Maintenance costs over the immediate next six months were assumed
to be incurred as reported. Costs in the following month were
reduced by 50% and assumed to increase straight line to 100% over a
12-month period. Any deferred costs were incurred in the following
12 months.

RATING SENSITIVITIES

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

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

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

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

Up: Base Assumptions with Stronger Asset Values:

The aircraft ABS sector has a rating cap of 'Asf'. All subordinate
tranches carry one category of ratings lower than the senior
tranche and below the ratings at close. However, if the assets in
this pool display stronger asset values than Fitch modeled and
therefore stronger lease collections than Fitch's stressed
scenarios, the transaction could perform better than expected.

In this scenario, Fitch utilized average excluding highest (AEH)
MABV for narrowbodies and AEH MAMV for widebodies, consistent with
the approach that Fitch utilized at close. Under this scenario,
both transactions experience in improvement to cash flows. Falcon
2019-1 class A notes could experience an upgrade to 'Asf', and
class B and C notes would remain at 'BBsf' and 'CCCsf'. For
Kestrel, classes A and B remain at their current ratings of 'BBBsf'
and 'BBsf'.

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

Down: Base Assumptions with Additional Cut to Asset Values:

The pools contain concentrations of WB aircraft at approximately
21.3% and 22.6% for Falcon 2019-1 and Kestrel, respectively. Due to
continuing MV pressure on WB and worsening supply and demand
dynamics, Fitch explored the potential cash flow decline if WB
values were haircut by 10% of Fitch's modeled values.

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.


FIRSTKEY MASTER 2020-ML1: Fitch Assigns B Rating on Class F Debt
----------------------------------------------------------------
Fitch Ratings replaced a ratings release on FirstKey Master Funding
2020-ML1  published on October 28, 2020 to correct the name of the
obligor for the bonds.

The amended ratings release is as follows:

Fitch Ratings has assigned new ratings and Rating Outlooks for the
senior notes issued by FirstKey Master Funding 2020-ML1 (FKMF
2020-ML1).

RATING ACTIONS

FirstKey Master Funding 2020-ML1

Class A 33768LAA4; LT AAAsf New Rating; previously at  

Class B 33768LAB2; LT AAsf New Rating; previously at  

Class C 33768LAC0; LT A-sf New Rating; previously at  

Class D 33768LAD8; LT BBB-sf New Rating; previously at  

Class E 33768LAE6; LT BBsf New Rating; previously at  

Class F 33768LAF3; LT Bsf New Rating; previously at  

Class G 33768LAG1; LT NRsf New Rating; previously at  

TRANSACTION SUMMARY

The assets of the issuing entity consist of two corporate loans
secured solely by a pledge of certain residential mortgage backed
securities (RMBS) and other collateral by the borrower to the
underlying collateral custodian pursuant to the underlying loan
agreement for the benefit of the lender.

The underlying loans which back the senior notes are comprised of
432 securities issued from 34 FirstKey Mortgage, LLC (FirstKey)
sponsored RMBS (or asset-backed securities [ABS] backed by RMBS)
issued from 2016 through July 2020. All of the 432 underlying
securities represent an interest in the underlying sponsor's risk-
retention obligations under the U.S. credit risk retention rules
for the related underlying transaction. Each of the underlying 34
transactions employ vertical 5% risk-retention for compliance under
Section 15G of the amended Securities Exchange Act of 1934, which
became effective Dec. 24, 2015, for ABS backed by residential
mortgage loans in the U.S.

The combined initial class principal balance of the offered notes
and the non-offered class G notes reflects the aggregate class
principal balance for the underlying securities, with an unpaid
principal balance (UPB) which totals approximately $1,358,647,858,
based on the September 2020 underlying payment date statements.

The interest rate payable on the class A, B, C and D notes will be
based on a per annum fixed interest rate. The class E, F and G
notes are principal only notes and will not accrue interest.

Payments of principal and interest (P&I) on the offered notes are
based solely on, and limited in recourse to, amounts received in
respect of the underlying loan agreement and, to the extent a loan
event of default occurs, the guaranty up to the guaranteed amount
of 10% of the borrower obligations, which on the Closing Date will
be equal to approximately 10.56% of the offered notes class
principal balance.

KEY RATING DRIVERS

Revised GDP Due to COVID-19 (Negative): The coronavirus pandemic
and related containment efforts have resulted in revisions to
Fitch's GDP estimates for 2020. Its baseline global economic
outlook for U.S. GDP growth is currently a 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 COVID-19, an Economic Risk Factor (ERF) floor of 2.0 was
applied to 'BBBsf' and below. The ERF is a default variable in the
U.S. RMBS loan loss model.

Liquidity Stress for Payment Forbearance (Negative): 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 delinquent
payments on a minimum of 40% of the pool for the first six months
of the transaction at all rating categories, with a reversion to
its standard delinquency and liquidation timing curve by month 10.
This assumption is based on observations of legacy Alt-A
delinquencies and past-due payments following Hurricane Maria in
Puerto Rico.

Underlying Re-performing Collateral (Negative): The notes are
backed by 34 RMBS transactions issued by FirstKey from 2016-2020.
All of the underlying transactions are seasoned and a majority of
them are first and second lien RPL transactions including (i) four
underlying transactions ae backed by 100% second lien collateral
(ii)two underlying transactions backed by manufactured housing
loans and (iii) one transaction backed by first and second-lien
HELOC mortgages. Fitch rated 30 of the 34 underlying transactions.
The credit risk of the underlying securities was analyzed using
Fitch's U.S. RMBS Surveillance and Re-REMIC rating criteria.

Loss Analysis: The most fundamental component of the U.S. RMBS
Surveillance and Re-REMIC rating process is the determination of
expected losses on the underlying pool of assets and Fitch
leveraged its standard surveillance approach to determine loss
expectations. To determine expected and stressed losses associated
with each rating category for a pool of mortgage loans, Fitch
analyzes the credit attributes and performance of the mortgage
pool. The mortgage pool loss assumptions typically also consider
geographic and pool composition, as well as Fitch's home price
projections and economic outlook.

The mortgage pool loss analysis incorporates Fitch's Loan Loss
Model approach, along with Fitch's updated Coronavirus Related
Assumptions. Under this approach, all noncash flowing loans were
considered delinquent in Fitch's Loss analysis. Fitch did not rate
four of the underlying deals and there was insufficient pay history
data available to provide performance benefit to the default
assumption that may otherwise have been applied. Further, any
missing data in the publicly available dataset was defaulted to a
conservative assumption.

Sequential-Pay Structure with Significant Excess Spread (Positive):
The transaction's cash flow is based on a sequential-pay structure.
All interest collections on the underlying are used to pay expenses
and then interest to the class A, B, C and D notes sequentially
with any remaining amounts flowing through to the principal
waterfall as excess spread. All principal payments are paid
sequentially. Given the spread between the underlying bond coupons
and the rated bonds, there is a material amount of excess interest
to turbo down the bonds.

Cash Flow Analysis: To value bond credit enhancement (CE) and
consider bond payment priority, Fitch estimates future cash flows
according to each of the underlying transactions' capital structure
and applies various cash flow scenarios, including loss timing,
prepayment and interest rate stresses.

To stress the excess cash available for loss protection, Fitch
tested the structure with front loaded defaults and fast prepays in
a falling interest rate environment. This stress is the most
punitive as it limits the credit applicable to excess spread. The
432 unique CUSIPs backing the senior notes include senior P&I
notes, mezzanine notes, NIM notes, class X certificates and excess
servicing strips. The assets also have the support of certain
excess servicing strip interests across the 34 deals based on a
notional amount equal to the amortizing interest-bearing UPB of the
collateral for each deal. In Fitch's analysis, no credit was given
to the NIMs or servicing strips.

Fitch's cash flow approach for Re-REMICs follows a two-step
approach. Fitch runs the mortgage pool loss analysis, and uses
those losses to generate cash flow assumptions in accordance with
Fitch's U.S. RMBS Cash Flow Criteria, including delinquency floors,
as a result of the coronavirus. The principal and interest payments
on the underlying transactions are based on the different
prepayment, and loss timing scenarios are ultimately run through
the Re-REMIC structure to determine the adequate enhancement levels
for a given rating based on principal and interest recovery and
timing.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
that may be considered in the surveillance of the transaction.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, as well
as lower MVDs illustrated by a gain in home prices.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The 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.

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

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected MVDs. The analysis indicates that there is some
potential rating migration with higher MVDs for all rated classes,
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.

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


FLAGSHIP CREDIT 2020-4: DBRS Gives Prov. BB(high) Rating on E Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Flagship Credit Auto Trust 2020-4 (the
Issuer):

-- $203,200,000 Class A Notes at AAA (sf)
-- $27,230,000 Class B Notes at AA (sf)
-- $37,470,000 Class C Notes at A (sf)
-- $22,030,000 Class D Notes at BBB (high) (sf)
-- $13,070,000 Class E Notes at BB (high) (sf)

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

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

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

(2) DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected CNL includes
an assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 11.90% based on the expected Cut-Off
Date pool composition.

(3) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary "Global Macroeconomic
Scenarios: September Update," published on September 10, 2020. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020, that have been regularly updated. The scenarios were last
updated on September 10, 2020, and are reflected in DBRS
Morningstar's rating analysis. The assumptions also take into
consideration observed performance during the 2008–09 financial
crisis and the possible impact of stimulus. 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.

(4) The consistent operational history of Flagship Credit
Acceptance, LLC (Flagship or the Company) and the strength of the
overall Company and its management team.

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

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

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

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

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

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

(8) The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Flagship, 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."

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

The rating on the Class A Notes reflects 36.45% of initial hard
credit enhancement provided by subordinated notes in the pool
(31.70%), the reserve account (1.00%), and OC (3.75%). The ratings
on the Class B, C, D, and E Notes reflect 27.80%, 15.90%, 8.90%,
and 4.75% 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.


FLAGSHIP CREDIT 2020-4: S&P Assigns Prelim 'BB-' Rating to E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto Trust 2020-4's automobile receivables-backed notes.

The note issuance is an ABS transaction backed by subprime auto
loan receivables.

The preliminary ratings are based on information as of Oct. 22,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The availability of approximately 45.01%, 39.26%, 30.68%,
25.52% and 21.97% credit support (including excess spread) for the
class A, B, C, D, and E notes, respectively, based on stressed cash
flow scenarios. These credit support levels provide coverage of
approximately 3.25x, 2.80x, 2.15x, 1.75x, and 1.45x of S&P's
13.25%-13.75% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. These break-even
scenarios cover total cumulative gross defaults (using a recovery
assumption of 40.00%) of approximately 75.01%, 65.43%, 51.14%,
42.53%, and 36.62%, respectively.

-- The hard credit enhancement in the form of subordination,
overcollateralization, and a reserve account in addition to excess
spread.

-- The expectation that under a moderate ('BBB') stress scenario
(1.75x S&P's expected loss level), all else being equal, S&P's
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
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 timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate for the assigned
preliminary ratings.

-- The characteristics of the collateral pool being securitized.

-- The transaction's payment and legal structures.

  PRELIMINARY RATINGS ASSIGNED

  Flagship Credit Auto Trust 2020-4

  Class     Rating     Amount (mil. $)
  A         AAA (sf)            203.20
  B         AA (sf)              27.23
  C         A (sf)               37.47
  D         BBB (sf)             22.03
  E         BB- (sf)             13.07


KENTUCKY HIGHER 2013-2: Fitch Lowers Class A-1 Debt to Bsf
----------------------------------------------------------
Fitch Ratings has downgraded the A-1 class of Kentucky Higher
Education Student Loan Corporation (KHESLC) Series 2013-2. During
this review it was removed from Rating Watch Negative (RWN) and
assigned a Stable Outlook.

This class was part of 41 outstanding tranches of Federal Family
Education Loan Program (FFELP) ABS that Fitch placed on RWN on May
5, 2020 to reflect the potential impact of the coronavirus pandemic
and containment measures on borrowers in these transactions. The
tranches placed on RWN at that time were those Fitch believed were
most sensitive to maturity risk based on Fitch's rating stresses.

RATING ACTIONS

Kentucky Higher Education Student Loan Corporation, Series 2013-2

Class A-1 49130NCH0; LT Bsf Downgrade; previously Asf

TRANSACTION SUMMARY

The downgrade to the outstanding A-1 notes of KHESLC Series 2013-2
reflects the degree to which Fitch's stressed cashflow results
indicate the bonds are not paid in full by the legal final maturity
date and the time to maturity of the notes. The transaction does
not pay in full before the legal final maturity date under Fitch's
base case scenario. The downgrade to 'Bsf' and not lower reflects
the remaining time to maturity of the notes, in-line with Fitch's
FFELP Student Loan ABS rating criteria.

The transaction's maturity risk profile under Fitch's stressed
assumptions has continued to worsen, impacted, in part, by a
stable, but high percentage of borrowers in income-based repayment
(37.14% as of July 2020) and slow decline in the weighted average
remaining loan term of the portfolio from 115 months to 105 months
over the last two years. The rating action reflects the longer-term
shift in maturity risk profile of the transaction and is not
related to a change in Fitch's assumptions stemming from the
coronavirus pandemic. As discussed below, Fitch reviewed
assumptions under the coronavirus baseline scenario, but no
revisions were made reflecting the current sustainable constant
default rate (sCDR) and sustainable constant prepayment rate (sCPR)
assumptions compared to historical and expected transaction
performance.

KEY RATING DRIVERS

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

Collateral Performance: Fitch assumed a base case default rate of
24.8% for KHESLC 2013-2, and under the 'AAA' credit stress scenario
a default rate of 74.3%. The sCDR assumption of 4.5% remained
unchanged. Fitch also maintained the sCPR (voluntary and
involuntary prepayments) of 10%. The TTM levels of deferment,
forbearance and income-based repayment were 6.44%, 8.80%, and
37.19%, respectively. The claim reject rate is assumed to be 0.25%
in the base case and 2.0% in the 'AAA' case. The borrower benefits
are 0.19% based on information provided by the servicer. Fitch's
FFELP student loan cash flow model indicates that the notes are not
paid in full on or prior to the legal final maturity under the
'AAAsf' through 'Bsf' stresses, under these assumptions.

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 July 31, 2020, all
notes are indexed to one-month LIBOR. For 2013-2, 93.8% of the
trust student loans are indexed to one-month LIBOR and the rest are
indexed to 91-day T-Bill.

Payment Structure: Credit enhancement (CE) is provided by excess
spread and a reserve account. As of July 31, 2020, total reported
parity is 123.44%. Liquidity support is provided by a reserve,
which is currently sized at its floor of $576,000. The transaction
has a turbo structure and will not release cash until the notes are
paid in full.

Operational Capabilities: Day-to-day servicing is provided by
KHESLC and Nelnet Servicing LLC is the back-up servicer. Fitch
considers both to be acceptable servicers of FFELP student loans.

Coronavirus Impact: Fitch made assumptions about the spread of
coronavirus and the economic impact of the related containment
measures. As a base-case scenario, Fitch assumes that the global
recession that took hold in 1H20 and subsequent activity bounce in
3Q20 is followed by a slower recovery trajectory from 4Q20 onward
with GDP remaining below its 4Q19 level for 18-30 months.

Fitch evaluated the sCDR and sCPR assumptions under this scenario,
analyzing a decline in payment rates and an increase in defaults to
previous recessionary levels for two years and then a return to
recent performance for the remainder of the life of the
transaction. Both assumptions have been maintained at their current
levels.

As a downside (sensitivity) scenario provided in the Rating
Sensitivity section, Fitch considers a more severe and prolonged
period of stress with recovery to pre-crisis GDP levels delayed
until around the middle of the decade. The risk of negative rating
actions will increase under Fitch's coronavirus downside scenario.
The results of this down side sensitivity analysis is included in
Rating Sensitivities below.

RATING SENSITIVITIES

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

Current Rating: Class A-1, 'Bsf'

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

Credit Stress Rating Sensitivity

  -- Defaults decrease 25%: class A 'CCCsf';

  -- Basis Spread decrease 0.25%: class A 'CCCsf'.

Maturity Stress Rating Sensitivity

  -- CPR Increase 25%: class A 'CCCsf';

  -- IBR Usage decrease 25%: Class A 'CCCsf';

  -- Remaining Term decrease 25%: Class A 'Asf'.

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

Downside sensitivity was not run as the notes are currently at
their lowest achievable rating.

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.


MAGNETITE XXVIII: S&P Assigns BB- (sf) Rating to Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Magnetite XXVIII
Ltd./Magnetite XXVIII LLC's floating-rate notes.

The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The 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

  Magnetite XXVIII Ltd./Magnetite XXVIII LLC

  Class                Rating      Amount (mil. $)
  A                    AAA (sf)             252.00
  B                    AA (sf)               52.00
  C (deferrable)       A (sf)                24.00
  D (deferrable)       BBB- (sf)             24.00
  E (deferrable)       BB- (sf)              12.00
  Subordinated notes   NR                    40.85

  NR--Not rated.


ONE WIND 2014-3: S&P Affirms BB+ (sf) Rating on Class D-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its rating to the class A-1b-2R
replacement notes from Wind River 2014-3 CLO Ltd., a CLO reset in
2018 that is managed by First Eagle Alternative Credit, LLC. S&P
withdrew its rating on the original class A-1b-2 notes following
payment in full on the Oct. 22, 2020, refinancing date. At the same
time, S&P affirmed its ratings on the class A-1a-2, B-R2, C-R2, and
D-R2 notes.

On the Oct. 22, 2020, refinancing date, the proceeds from the class
A-1b-2R replacement note issuance were used to redeem the original
class A-1b-2 notes as outlined in the transaction document
provisions. Therefore, S&P withdrew its rating on the original
notes in line with their full redemption, and it is assigning a
rating to the replacement notes.

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

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

  RATING ASSIGNED
  Wind River 2014-3 CLO Ltd.

  Replacement class   Rating     Amount (mil $)
  A-1b-2R             AAA (sf)            19.99

  RATINGS AFFIRMED
  Wind River 2014-3 CLO Ltd.

  Class    Rating
  A-1a-2   AAA (sf)
  B-R2     AA (sf)
  C-R2     A (sf)
  D-R2     BB+ (sf)

  RATING WITHDRAWN
  Wind River 2014-3 CLO Ltd.

                    Rating
  Original class   To   From
  A-1b-2           NR   AAA (sf)

  NR--Not rated.


PRESTIGE AUTO 2020-1: S&P Assigns BB- (sf) Rating to Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Prestige Auto
Receivables Trust 2020-1's (PART 2020-1) automobile
receivables-backed notes series 2020-1.

The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.

The ratings reflect:

-- The availability of approximately 55.42%, 48.32%, 38.79%,
33.81%, and 26.08% of credit support for the class A, B, C, D, and
E notes, respectively (based on stressed cash flow scenarios,
including excess spread), which provide coverage of more than
2.90x, 2.50x, 1.95x, 1.65x, and 1.33x S&P's 18.25%-19.25% expected
cumulative net loss range for the class A, B, C, D, and E notes,
respectively. These credit support levels are commensurate with the
assigned 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)' and 'BB- (sf)'
ratings on the class A, B, C, D, and E notes.

-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings are consistent with the
credit stability limits specified by section A.4 of the appendix
contained in its article, "S&P Global Ratings Definitions,"
published Aug. 7, 2020.

-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.

-- The timely interest and ultimate principal payments made under
the stressed cash flow modeling scenarios, which are consistent
with the assigned ratings.

-- The collateral characteristics of the securitized pool of
subprime auto loans.

-- Prestige Financial Services Inc.'s securitization performance
history since 2001.

-- The transaction's payment and legal structures.

  RATINGS ASSIGNED

  Prestige Auto Receivables Trust 2020-1

  Class       Rating          Amount (mil. $)

  A-1         A-1+ (sf)                50.500
  A-2         AAA (sf)                154.520
  B           AA (sf)                  47.380
  C           A (sf)                   60.480
  D           BBB (sf)                 28.220
  E           BB- (sf)                 35.890


RMF BUYOUT 2020-HB1: DBRS Finalizes BB(high) Rating on M4 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes issued by RMF Buyout Issuance Trust 2020-HB1:

-- $360.0 million Class A1 at AAA (sf)
-- $32.8 million Class A2 at AAA (sf)
-- $392.8 million Class AB at AAA (sf)
-- $22.7 million Class M1 at AA (sf)
-- $19.9 million Class M2 at A (sf)
-- $8.8 million Class M3 at BBB (sf)
-- $5.3 million Class M4 at BB (high) (sf)

Class AB is an exchangeable note. This class can be exchanged for
combinations of exchange notes as specified in the offering
documents.

The AAA (sf) rating reflects 12.62% of credit enhancement. The AA
(sf), A (sf), BBB (sf), and BB (high) (sf) ratings reflect 7.57%,
3.14%, 1.18%, 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 (July 31, 2020), the collateral has
approximately $449.5 million in unpaid principal balance (UPB) from
1,878 performing and nonperforming home equity conversion mortgage
(HECM) reverse mortgage assets secured by first liens typically on
single-family residential properties, condominiums, multifamily
(two- to four-family) properties, manufactured homes, and planned
unit developments. The assets were originated between September
2003 and October 2017. Of the total loans, 642 have a fixed
interest rate (35.6%% of the balance), with a 5.06%
weighted-average coupon (WAC). The remaining 1,236 loans have
floating-rate interest (64.4% of the balance) with a 2.19% WAC,
bringing the entire collateral pool to a 3.21% WAC.

As of the Cut-Off Date, the loans in this transaction are both
performing and nonperforming (i.e., inactive) loans. There are 739
nonperforming assets comprising 36.9% of the total UPB. Among the
nonperforming loans, there are 302 loans that are referred for
foreclosure (15.5% of the balance), 32 are in bankruptcy status
(1.3%), 158 are called due following recent maturity (8.7%), 79 are
real estate owned (REO; 3.8%), and the remaining 168 (7.7%) are in
default. However, all these loans are insured by the United States
Department of Housing and Urban Development (HUD), which mitigates
losses vis-à-vis uninsured loans. See discussion in the Analysis
section below. Because the insurance supplements the home value,
the industry metric for this collateral is not the loan-to-value
ratio (LTV) but rather the WA effective LTV adjusted for HUD
insurance, which is 51.9% for the loans in this pool. To calculate
the WA LTV, DBRS Morningstar divides the UPB by the maximum claim
amount and the asset value.

The remaining 1,139 performing assets comprise 63.1% of the total
UPB. Among the performing, assignable loans, 747 (40.3% of the
total UPB) are flagged to be assigned to HUD, the "Intended
Assignment" set, and 392 (22.8% of the total UPB) are flagged to be
held, not assigned, the "Strategically Heldcx" set.

The transaction includes a 24-month revolving period wherein cash
flow, after current interest and fees are paid, can be redeployed
to purchase new loans to replace liquidated, paid off, or assigned
collateral. Unused cash would be released to the notes' principal.
After the 24-month period, the pool becomes static.

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A1 and A2 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 classes of notes will
receive regular distributions of interest and/or principal. All
note classes pay current interest and have available funds caps.

The Class A1 and A2 Notes are pro-rata and exchangeable for Class
AB Notes.

The Class M Notes have principal lockout terms as they are not
entitled to principal payments until the Senior Notes have been
paid off.

All Notes are subject to a mandatory call date on October 2025.
Failure of the deal to be called by this date will be considered an
Event of Default. If there is an Event of Default, the subordinate
bonds will cease to receive interest and the interested will be
directed to the Senior Notes. Note that 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.


STACR REMIC 2020-DNA5: DBRS Finalizes BB Rating on 16 Tranches
--------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Structured Agency Credit Risk (STACR) REMIC 2020-DNA5 Notes (the
Notes) issued by Freddie Mac STACR REMIC Trust 2020-DNA5 (STACR
2020-DNA5):

-- $308.0 million Class M-1 at BBB (sf)
-- $154.0 million Class M-2A at BB (high) (sf)
-- $154.0 million Class M-2B at BB (sf)
-- $115.5 million Class B-1A at BB (low) (sf)
-- $115.5 million Class B-1B at B (low) (sf)
-- $308.0 million Class M-2 at BB (sf)
-- $308.0 million Class M-2R at BB (sf)
-- $308.0 million Class M-2S at BB (sf)
-- $308.0 million Class M-2T at BB (sf)
-- $308.0 million Class M-2U at BB (sf)
-- $308.0 million Class M-2I at BB (sf)
-- $154.0 million Class M-2AR at BB (high) (sf)
-- $154.0 million Class M-2AS at BB (high) (sf)
-- $154.0 million Class M-2AT at BB (high) (sf)
-- $154.0 million Class M-2AU at BB (high) (sf)
-- $154.0 million Class M-2AI at BB (high) (sf)
-- $154.0 million Class M-2BR at BB (sf)
-- $154.0 million Class M-2BS at BB (sf)
-- $154.0 million Class M-2BT at BB (sf)
-- $154.0 million Class M-2BU at BB (sf)
-- $154.0 million Class M-2BI at BB (sf)
-- $154.0 million Class M-2RB at BB (sf)
-- $154.0 million Class M-2SB at BB (sf)
-- $154.0 million Class M-2TB at BB (sf)
-- $154.0 million Class M-2UB at BB (sf)
-- $231.0 million Class B-1 at B (low) (sf)
-- $115.5 million Class B-1AR at BB (low) (sf)
-- $115.5 million Class B-1AI at BB (low) (sf)

Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT,
M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB,
M-2TB, M-2UB, B-1, B-1AR, and B-1AI are Modifiable and Combinable
STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI, and B-1AI are
interest-only MAC Notes.

The BBB (sf), BB (high) (sf), BB (sf), BB (low) (sf), and B (low)
(sf) ratings reflect 2.500%, 2.000%, 1.500%, 1.125%, and 0.750% of
credit enhancement, respectively. Other than the specified classes
above, DBRS Morningstar does not rate any other classes in this
transaction.

STACR 2020-DNA5 is the 22nd transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 149,424
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were originated on or after May
2019 and were securitized by Freddie Mac between April 1, 2020, and
May 15, 2020.

On the Closing Date, the trust will enter into a Collateral
Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as
the credit protection buyer, will be required to make transfer
amount payments. The trust is expected to use the aggregate
proceeds realized from the sale of the Notes to purchase certain
eligible investments to be held in a custodian account. The
eligible investments are restricted to highly rated, short-term
investments. Cash flow from the Reference Pool will not be used to
make any payments; instead, a portion of the eligible investments
held in the custodian account will be liquidated to make principal
payments to the Noteholders and return amount, if any, to Freddie
Mac upon the occurrence of certain specified credit events and
modification events.

STACR 2020-DNA5 is the first credit risk transfer (CRT) transaction
where the coupon rates for the various notes are based on the
Secured Overnight Financing Rate (SOFR) whereas the coupon rates
for prior transactions were based on LIBOR. There are replacement
provisions in place in the event that SOFR is no longer available,
please see the Private Placement Memorandum for more details. DBRS
Morningstar did not run interest rate stresses for this
transaction, as the interest is not linked to the performance of
the reference obligations. Instead, the trust will use the net
investment earnings on the eligible investments together with
Freddie Mac's transfer amount payments to pay interest to the
Noteholders.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR DNA
transactions, beginning with the STACR 2018-DNA2 transaction, there
has been a revision to principal allocation. The scheduled
principal in prior transactions was allocated pro rata between the
senior and nonsenior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro rata subject to certain performance tests being met.
For the more recent transactions, the scheduled and unscheduled
principal will be combined and only be allocated pro rata between
the senior and nonsenior tranches if the performance tests are
satisfied. For the STACR 2020-DNA5 transaction, the minimum credit
enhancement test—one of the three performance tests—has been
set to fail at the Closing Date thus locking out the rated classes
from initially receiving any principal payments until the
subordination percentage grows from 3.50% to 3.75%. Additionally,
the nonsenior tranches will also be entitled to supplemental
subordinate reduction amount if the offered reference tranche
percentage increases above 6.15%. The interest payments for these
transactions are not linked to the performance of the reference
obligations except to the extent that modification losses have
occurred.

The Notes will be scheduled to mature on the payment date in
October 2050, but will be subject to mandatory redemption prior to
the scheduled maturity date upon the termination of the CAA.

The sponsor of the transaction will be Freddie Mac. U.S. Bank
National Association (rated AA (high) with a Negative trend and R-1
(high) with a Stable trend by DBRS Morningstar) will act as the
Indenture Trustee, Exchange Administrator, and Custodian.
Wilmington Trust, National Association (rated AA (low) and R-1
(middle) with Stable trends by DBRS Morningstar) will act as the
Owner Trustee.

The Reference Pool consists of approximately 0.9% of loans
originated under the Home Possible program. Home Possible is
Freddie Mac's affordable mortgage product designed to expand the
availability of mortgage financing to creditworthy low- to
moderate-income borrowers.

If a reference obligation is refinanced under the Enhanced Relief
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The Enhanced Relief Refinance
Program provides refinance opportunities to borrowers with existing
Freddie Mac mortgages who are current in their mortgage payments
but whose LTV ratios exceed the maximum permitted for standard
refinance products. The refinancing and replacement of a reference
obligation under this program will not constitute a credit event.

For this transaction, if a loan becomes delinquent and the related
servicer reports that such loan is in disaster forbearance before
or in the reporting period related to the payment date in March
2021, Freddie Mac will remove the loan from the pool to the extent
the related mortgaged property is located in a FEMA major disaster
area and in which FEMA had authorized individual assistance to
homeowners in such area as a result of Hurricane Laura, or any
other hurricane that impacts such related mortgaged property prior
to the Closing Date.

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

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies, loans on forbearance plans, and a potential
near-term decline in the values of the mortgaged properties. Such
deteriorations may adversely affect borrowers' ability to make
monthly payments, refinance their loans, or sell properties in an
amount sufficient to repay the outstanding balance of their loans.

In connection with the economic stress assumed under the moderate
scenario in its commentary, see "Global Macroeconomic Scenarios:
September 10 Update," published on September 10, 2020, for the
government-sponsored enterprise (GSE CRT) asset class DBRS
Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than what it previously
used. DBRS Morningstar derives such MVD assumptions through a
fundamental home price approach based on the forecast unemployment
rates and GDP growth outlined in the aforementioned moderate
scenario. In addition, for pools with loans on forbearance plans,
DBRS Morningstar may assume higher loss expectations above and
beyond the coronavirus assumptions. Such assumptions translate to
higher expected losses on the collateral pool and correspondingly
higher credit enhancement.

In the GSE CRT asset class, while the full effect of the
coronavirus may not occur until a few performance cycles later,
DBRS Morningstar generally believes that loans with layered risk
(low FICO score with high LTV/high debt-to-income ratio) may be
more sensitive to economic hardships resulting from higher
unemployment rates and lower incomes. Additionally, higher
delinquencies might cause a longer lockout period or a redirection
of principal allocation away from outstanding rated classes because
performance triggers failed.

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


WOODMONT 2017-1 TRUST: S&P Rates Class E-R Notes 'BB- (sf)'
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-R, and E-R replacement notes from Woodmont 2017-1
Trust, a CLO originally issued in February 2017 that is managed by
MidCap Financial Services Capital Management LLC. The replacement
notes were issued via a proposed supplemental indenture. At the
same time, S&P withdrew its ratings on the original class A, B, C,
D, and E notes, which have been fully redeemed with the proceeds
from the replacement note issuance.

On the Oct. 19, 2020, refinancing date, the proceeds from the class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement note issuances
were used to redeem the original class A, B, C, D, and E notes as
outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the original notes in line with their full
redemption, and it is assigning ratings to the replacement notes.

"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios,"
S&P said.

In addition, S&P's analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.

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

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

  RATINGS ASSIGNED

  Woodmont 2017-1 Trust

  Replacement class          Rating        Amount (mil $)
  A-1-R                      AAA (sf)             373.750
  A-2-R                      AAA (sf)              16.250
  B-R                        AA (sf)               45.500
  C-R (deferrable)           A (sf)                52.000
  D-R (deferrable)           BBB- (sf)             32.500
  E-R (deferrable)           BB- (sf)              45.500
  Certificates               NR                    86.325

  RATINGS WITHDRAWN
  Woodmont 2017-1 Trust

                              Rating        
  Original class        To             From
  A                     NR             AAA (sf)
  B                     NR             AA (sf)
  C (deferrable)        NR             A (sf)
  D (deferrable)        NR             BBB- (sf)
  E (deferrable)        NR             BB (sf)

  NR--Not rated.


WP GLIMCHER 2015-WPG: S&P Cuts Class SQ-3 Certs Rating to CCC (sf)
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on nine classes of
commercial mortgage pass-through certificates from WP Glimcher Mall
Trust 2015-WPG, a U.S. CMBS transaction.

RATING ACTIONS

S&P said, "The downgrades of the class A, B, and C certificates
reflect our reevaluation of the regional mall and mixed-use
properties securing the two uncrossed loans in the transaction. Our
expected-case valuation, in aggregate, has declined 10.8% since our
last review, driven largely by the application of a higher S&P
Global Ratings capitalization rate on the Pearlridge Center loan
($59.0 million; 60.8% of the pooled trust balance). We believe this
higher rate better captures the challenges the mall (specifically)
and the retail mall sector (generally) now face, as well as the
lower S&P Global Ratings sustainable net cash flow (NCF) for the
Scottsdale Quarter loan ($38.0 million; 39.2% of the pooled trust
balance), to account for the decline in reported performance over
the past two-plus years."

"The downgrades of the class PR-1 and PR-2 nonpooled certificates
reflect our analysis of the Pearlridge Center loan. These
certificates derive 100% of their cash flow from a subordinate
nonpooled component of the whole loan."

"The downgrades of the class SQ-1, SQ-2, and SQ-3 nonpooled
certificates reflect our analysis of the Scottsdale Quarter loan.
In particular, the class SQ-3 downgrade reflects our view that,
based on an S&P Global Ratings loan-to-value (LTV) ratio in excess
of 100%, the class is more susceptible to reduced liquidity support
and the risk of default and loss have increased due to uncertain
market conditions. These certificates derive 100% of their cash
flow from a subordinate nonpooled component of the whole loan."

"We lowered our rating on the class X interest-only (IO)
certificates based on our criteria for rating IO securities, which
states that the rating on the IO security would not be higher than
that of the lowest-rated reference class. Class X's notional amount
references classes A, B, and C."

S&P 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."

TRANSACTION SUMMARY

This is a single-borrower transaction backed by portions of two
uncrossed 10-year fixed-rate IO mortgage whole loans. As of the
Oct. 7, 2020, trustee remittance report, the trust had a pooled
trust balance of $97.0 million and an aggregate trust balance of
$200.0 million (including the nonpooled loan components), the same
as at issuance and the last review. The sponsor of each of the two
whole loans is a joint venture between Washington Prime Group Inc.
(formerly WP Glimcher) and O'Connor Capital Partners. The whole
loans pay interest at an annual fixed rate of 3.53% and mature on
June 1, 2025. For each loan, the borrowers are permitted to incur
mezzanine debt upon the satisfaction of certain performance
hurdles. The master servicer, KeyBank Real Estate Capital,
confirmed that no mezzanine debt has been incurred to date.
Additionally, KeyBank indicated that the borrowers previously
requested COVID-19 relief, though the request was subsequently
withdrawn. The loans have current payment statuses. The pooled
trust has not incurred any principal losses to date.

S&P's property-level analysis included a reevaluation of the two
properties securing the loans in the transaction using
servicer-reported NCF for the past four years (2016 through 2019 or
the trailing-12-months (TTM) ended March 31, 2020), the June 2020
rent rolls, and the most recent available 2020 tenant sales reports
provided by the servicer.

THE PEARLRIDGE CENTER LOAN

The Pearlridge Center loan has a $59.0 million pooled trust
balance, a $105.0 million trust balance, and a $225.0 million whole
loan balance, which are unchanged from issuance. The whole loan
consists of: Senior pooled A note components totaling $10.4 million
that are in the trust, Senior A note components totaling $120.0
million that are held outside the trust, Senior subordinate pooled
B note components totaling $48.6 million that are in the trust, and
Junior nonpooled C note components totaling $46.0 million that
support the PR classes in the trust. The $130.4 million senior A
note components are pari passu in right of payment with each other
and senior to the B and C notes. The $46.0 million nonpooled C note
components are subordinate to the A and B notes.

The whole loan is secured by the borrower's fee simple and
leasehold interests in a portion (903,692 sq. ft.) of Pearlridge
Center, a 1.14 million-sq.-ft. regional mall in Aiea, Hawaii. The
leasehold interest is subject to two ground leases. One of the
ground leases expires on Dec. 31, 2058, with ground rent escalating
every five years. The current annual ground rent is $4.2 million
and the amount increases to $6.8 million on Jan. 1, 2039, through
Dec. 31, 2043. On Jan. 1, 2044, the ground rent reset to an amount
calculated according to the ground lease terms. The ground lessor
is the Trustees of the Estate of Bernice Pauahi Bishop. The other
ground lease expires on Dec. 31, 2031, and the annual ground rent
is $110,000. The ground lessor is Territorial Savings Bank. The
mall, which closed briefly due to the COVID-19 pandemic, is
currently open and includes Macy's (150,000 sq. ft.; B+/Negative/B;
anchor), Bed Bath & Beyond (65,653 sq. ft.; B+/Negative/--; junior
anchor), and Pearlridge Mall Theatres (40,730 sq. ft.; not rated).
In addition, at issuance, approximately 170,000 sq. ft. was office
space. Using the June 2020 rent roll, based on the tenants, S&P
categorized approximately 90,000 sq. ft. as office usage.

S&P said, "Our property-level analysis considered the mall's
somewhat stable to slightly declining servicer-reported occupancy
and NCF, which was 95.3% and $24.3 million, respectively, in 2016;
94.5% and $24.5 million in 2017; 90.0% and $21.9 million in 2018;
and 91.0% and $22.7 million in 2019. We attributed the decline in
servicer-reported 2019 NCF from 2017 to higher operating expenses.
In our analysis, we also considered the increased tenant
bankruptcies and store closures, as well as reported lower billed
rent collection rates due to the pandemic. KeyBank indicated that
billed rental collection rates were 54.8% in May 2020, 63.0% in
June 2020, 70.7% in July 2020, and 69.5% in August 2020. According
to the June 30, 2020, rent roll, the mall was 92.9% occupied and
faces moderate tenant rollover in the next few years. The
collateral mall includes leases that expire in 2020 (2.5% of net
rentable area [NRA]), 2021 (19.3%), 2022 (11.1%), and 2023 (9.9%).
To account for the aforementioned risks, we excluded income from
tenants that are no longer listed on the mall directory website or
that have announced store closures."

"We also increased our capitalization rate by 75 basis points to
7.50% from 6.75% at issuance and the last review to account for
cash flow volatility due to declining and weakening trends within
the retail mall sector, the overall perceived increase in the
market risk premium for this property type, the relatively weak
anchors, and in-line sales of $346 per sq. ft. using the TTM ended
September 2020, tenant sales report and 17.9% occupancy cost, as
calculated by S&P Global Ratings."

"Using the S&P Global Ratings sustainable NCF of $18.3 million
(same as at issuance and the last review) and adding $12.0 million
for the present value of ground rent amounts, we arrived at an S&P
Global Ratings expected case value of $256.5 million, which is down
10.4% from the last review. Our LTV ratio was 87.7% and debt
service coverage (DSC) was 2.37x for the whole loan balance. This
compares to the servicer-reported DSC of 2.82x on the whole loan
balance as of year-end 2019."

SCOTTSDALE QUARTER LOAN

The Scottsdale Quarter loan has a $38.0 million pooled trust
balance, a $95.0 million trust balance, and a $165.0 million whole
loan balance, which are unchanged from issuance. The whole loan
consists of: Senior pooled A note components totaling $25.0 million
that are in the trust, Senior A note components totaling $70.0
million that are held outside the trust, Senior subordinate pooled
B note components totaling $13.0 million that are in the trust, and
Junior nonpooled C note components totaling $57.0 million that
support the SQ classes in the trust. The $95.0 million senior A
note components are pari passu in right of payment with each other
and senior to the B and C notes. The $57.0 million nonpooled C note
components are subordinate to the A and B notes.

The whole loan is secured by the borrower's fee simple interest in
a 541,971 mixed-use (retail/office) center known as Scottsdale
Quarter in Scottsdale, Ariz. Approximately 176,000 sq. ft. or 32.5%
of the NRA is office space. The center is currently opened and
includes Starwood Hotels & Resorts (67,627 sq. ft.;
BBB-/Negative/--; office), a vacant 44,416-sq.-ft. theatre space
that was occupied by IPIC Theaters until January 2020 (vacated
ahead of its December 2025 lease expiration), H&M (24,310 sq. ft.;
retail), and Restoration Hardware (22,405 sq. ft.).

S&P said, "Our property-level analysis considered the declining
servicer-reported occupancy and NCF, which was 92.9% and $15.4
million, respectively, in 2016; 96.3% and $15.9 million in 2017;
87.7% and $15.8 million in 2018; 83.3% and $15.6 million in 2019;
and 73.0% and $14.1 million for the TTM ended March 31, 2020. We
attributed the decline in performance primarily to lower base rent
from decreasing occupancy and increasing operating expenses. In our
analysis, we also considered the increased tenant bankruptcies and
store closures, reported lower billed rental collection rates due
to the pandemic, and tenants that have not exercised their lease
renewal options. KeyBank indicated that the rental collection rates
were 67.0% in May 2020, 74.2% in June 2020, 80.1% in July 2020, and
79.6% in August 2020. According to the June 30, 2020, rent roll,
the mixed-use center was 71.1% occupied and faces moderate tenant
rollover in the next few years. The NRA of the property includes
leases that expire in 2020 (5.9%), 2021 (18.5%), 2022 (13.7%), and
2023 (5.8%)."

"We accounted for the aforementioned risks by lowering our NCF 8.9%
to $11.2 million from $12.3 million as of the last review, which is
down 20.7% from the servicer-reported NCF as of the TTM ended March
2020. Using an S&P Global Ratings weighted average capitalization
rate of 7.25%, slightly up from 7.11% at the last review, we
arrived at an S&P Global Ratings expected-case value of $154.5
million, down 11.6% from the last review. Our LTV ratio was 106.8%
and DSC was 1.90x on the whole loan balance. This compares to a
servicer-reported DSC of 2.39x on the whole loan for the TTM ended
March 31, 2020."

"We will continue to monitor the transaction's performance, and, if
there are any meaningful changes to our performance expectations,
we may update our analysis and take further rating actions as we
determine necessary."

Environmental, social, and governance (ESG) credit factors for this
credit rating change:

-- Health and safety.

RATINGS LOWERED

  WP Glimcher Mall Trust 2015-WPG

  Commercial mortgage pass-through certificates

                   Rating
  Class     To              From
  A         AA (sf)         AAA (sf)
  B         A+ (sf)         AA- (sf)
  C         BBB (sf)        A- (sf)
  X         BBB (sf)        A- (sf)
  PR-1      BB- (sf)        BBB- (sf)
  PR-2      B+ (sf)         BB (sf)
  SQ-1      BB- (sf)        BBB- (sf)
  SQ-2      B- (sf)         BB- (sf)
  SQ-3      CCC (sf)        B- (sf)


                            *********

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