/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/201108.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, November 8, 2020, Vol. 24, No. 312 Headlines ACAM LTD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes ANCHORAGE CREDIT 6: Moody's Gives Ba3 Rating on $30MM Cl. E Notes BANK 2018-BNK15: Fitch Affirms B-sf Rating on 2 Tranches BBCMS MORTGAGE 2017-C1: Fitch Affirms B-sf Rating on 2 Tranches BBCMS MORTGAGE 2020-C8: Fitch Assigns B-sf Rating on 2 Tranches BCC FUNDING XVII: Moody's Assigns B2 Rating on Class E Notes BELLEMEADE RE 2020-3: Moody's Assigns B3 Rating on Cl. B-1 Debt BELLEMEADE RE 2020-3: Moody's Gives '(P)B3' Rating to Cl. B-1 Debt BENCHMARK 2018-B2: Fitch Affirms Bsf Rating on Class G-RR Certs BENCHMARK 2018-B8: Fitch Affirms B- Rating on Cl. G-RR Debt BENCHMARK 2020-B20: Fitch Assigns B-sf Rating on 2 Tranches BRAVO RESIDENTIAL 2020-RPL2: DBRS Gives Prov. B Rating on B-2 Notes BRAVO RESIDENTIAL 2020-RPL2: Fitch Rates Class B-2 Notes 'B' BX TRUST 2019-OC11: Moody's Confirms 'Ba3' at Class HRR Certs CD MORTGAGE 2017-CD6: Fitch Affirms B-sf Rating on Class G-RR Debt CITIGROUP MORTGAGE 2020-EXP2: Fitch Rates Cl. B-5 Certs 'B(EXP)sf' CITIGROUP MORTGAGE 2020-EXP2: Fitch Rates Class B-5 Certs 'Bsf' CITIGROUP MORTGAGE 2020-EXP2: S&P Rates Class B-5 Certs 'B+ (sf)' CLNC LTD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes COLT 2020-2R: Fitch Assigns Bsf Rating on Class B-2 Certs CSMC 2020-FACT: Moody's Assigns B3 Rating on Class F Certs CSMC TRUST 2020-RPL1: Fitch Assigns BB-sf Rating on 9 Tranches DBWF 2015-LCM: S&P Lowers Class F Certs Rating to 'B (sf)' DRYDEN 85 CLO: S&P Assigns BB- (sf) Rating to Class E Notes EAGLE RE 2020-2: DBRS Finalizes B Rating on 2 Tranches ELLINGTON FINANCIAL 2020-2: Fitch Gives Bsf Rating on Cl. B-2 Debt FIRSTKEY HOMES 2020-SFR2: DBRS Finalizes BB Rating on Cl. F2 Certs GS MORTGAGE 2006-GG8: Fitch Lowers Rating on 2 Tranches to Csf GS MORTGAGE 2016-RENT: Fitch Affirms B-sf Rating on Class F Certs GS MORTGAGE 2019-GSA1: Fitch Affirms B-sf Rating on Cl. G-RR Certs GS MORTGAGE 2020-PJ5: Fitch Assigns Bsf Rating on Class B-5 Certs HILDENE COMMUNITY: Moody's Assigns B3 Rating on Class D Notes HILDENE COMMUNITY: Moody's Gives (P)B3 Rating on Class D Notes HOME RE 2020-1: Moody's Assigns B2 Rating on Class B-1 Notes JP MORGAN 2020-8: Fitch Assigns Bsf Rating on Cl. B-5 Debt JP MORGAN 2020-8: Fitch to Rate 2 Tranches 'B(EXP)' LIMEROCK CLO III: Moody's Lowers Rating on Class D Notes to B1 MCA FUND III: Fitch Assigns BBsf Rating on Class C Debt MJX VENTURE II: Moody's Affirms Ba1 on Series A Class E Notes MJX VENTURE II: Moody's Confirms Ba1 on Series B Class E Notes MJX VENTURE II: Moody's Confirms Ba1 on Series C Class E Notes MJX VENTURE II: Moody's Cuts Rating on Series F Cl. E Notes to Ba1 MORGAN STANLEY 2011-C2: Fitch Lowers Rating on Class H Certs to Csf MORGAN STANLEY 2016-C28: Fitch Lowers Rating on 2 Tranches to CCC NEW MOUNTAIN 1: S&P Assigns BB- (sf) Rating to Class E Notes OAKTOWN RE V: Moody's Assigns B3 Rating on Class B-1 Notes OCEAN TRAILS X: S&P Assigns BB- (sf) Rating to Class E Notes PALMER SQUARE 2020-4: Fitch Assigns B+sf Rating on Class E Debt PPM CLO 4: Moody's Assigns Ba3 Rating on $15.6MM Class E Notes PRETSL COMBINATION I: Moody's Cuts Series P XV-1 Certs to Caa1 PSMC 2020-3 TRUST: S&P Assigns B (sf) Rating to Class B-5 Certs PSMC TRUST 2020-3: Fitch Assigns Bsf Rating on Cl. B-5 Debt SEQUOIA MORTGAGE 2020-4: Fitch Gives BB-sf Rating on Cl. B4 Certs SG RESIDENTIAL 2020-2: Fitch Assigns Bsf Rating on Class B-2 Certs SIERRA AUTO 2016-1: S&P Affirms 'BB (sf)' Rating on Class C Notes SLC STUDENT 2008-2: Fitch Affirms CCCsf Rating on 2 Tranches SLM STUDENT 2008-1: Fitch Affirms Bsf Rating on Class B Debt UBS-BARCLAYS COMMERCIAL 2013-C5: Fitch Cuts Class F Certs to CC VENTURE 28A: Moody's Confirms Ba3 Rating on $20.4MM Class E Notes VENTURE XVIII: Moody's Lowers $29MM Class E-R Notes to B1 VENTURE XXII: Moody's Confirms Ba3 Rating on $30MM Class E-R Notes VENTURE XXIX: Moody's Confirms Ba3 Rating on $26MM Class E Notes VENTURE XXVII: Moody's Confirms Ba3 rating on $29.5MM Cl. E Notes VENTURE XXVIII: Moody's Confirms Ba3 Rating on $27.9MM Cl. E Notes VENTURE XXX: Moody's Confirms Ba3 Rating on $31.5MM Class E Notes WELLS FARGO 2017-C42: Fitch Affirms B-sf Rating on Class F Certs WELLS FARGO 2018-C48: Fitch Affirms B-sf Rating on Cl. G-RR Certs WELLS FARGO 2020-5: Fitch Assigns B+sf Rating on Cl. B-5 Debt WELLS FARGO 2020-5: Moody's Assigns Ba2 Rating on Cl. B-5 Debt WFRBS COMMERCIAL 2013-C15: Fitch Lowers Class F Certs to Csf WFRBS COMMERCIAL 2013-C15: Moody's Lowers Class C Debt to Ba1 ********* ACAM LTD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes --------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of the Commercial Mortgage-Backed Notes issued by ACAM 2019-FL1, Ltd. (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. The transaction benefits from the location of its collateral in core markets as the pool reported a weighted-average (WA) DBRS Morningstar Market Rank of 5.3. Seven loans, representing 44.3% of the current trust balance, have collateral in markets with a DBRS Morningstar Market Rank of 7 or 8, which are characterized as urban market locations. The locations in these Market Ranks have historically benefitted from greater demand drivers and available liquidity. Additionally, 11 loans, representing 52.9% of the current trust balance, represent acquisition financing, which generally resulted in the respective sponsor(s) contributing material cash equity as a source of funding in conjunction with the mortgage loan at closing. In its analysis of the transaction, DBRS Morningstar applied probability of default (POD) adjustments to loans with confirmed issues related to the stressed real estate environment caused by the Coronavirus Disease (COVID-19) pandemic. Because of the transitional nature of the underlying collateral, proposed business plans that are necessary to bring the assets to stabilization may be delayed and, in some cases, borrowers have requested relief from the Issuer. The initial collateral consisted of 21 floating-rate mortgages secured by 35 mostly transitional properties with a cut-off balance totalling $400.3 million that excluded $87.4 million of future funding commitments. Most loans are in a period of transition with plans to stabilize and improve asset value. During the 24-month reinvestment period, the Issuer may acquire future funding commitments and additional eligible loans subject to the Eligibility Criteria. The deal pays sequentially after the reinvestment period expires in December 2021. Per the October 2020 remittance, there are 19 loans with a current trust balance of $397.5 million in the pool. In the past month, the Issuer has bought out two loans from the trust at par: Prospectus ID#5 - Marriott Winston-Salem and Prospectus ID#10 - One Hanson Place, at a cumulative balance of $46.0 million. These loans were secured by hotel and retail collateral, which have been disproportionately and negatively affected by the ongoing coronavirus pandemic. Additionally, the 95 Greene loan (Prospectus ID#22; 9.1% of the current trust balance), which is secured by an office property in Jersey City, New Jersey, was contributed to the pool with the October 2020 remittance. Four loans, representing 20.9% of the current trust balance, are secured by hospitality assets, which are vulnerable to prolonged depressed cash flows amid the current economic environment stemming from the coronavirus pandemic restrictions. The four properties that provide collateral for these loans are situated in markets that have a DBRS Morningstar Market Rank ranging from 5 to 8 and, based on issuance appraisal values, reported a WA as-is loan-to-value ratio of 60.8%. The moderate leverage at issuance mitigates the credit risk for the collateral as the properties continue to face the headwinds brought on by coronavirus. Thirteen loans, representing 69.8% of the current trust balance, are on the servicer's watchlist including four loans, representing 33.4% of the current trust balance, that are on the given upcoming initial maturity dates through the beginning of 2021. Nine loans, representing approximately 43.7% of the current trust balance, were reviewed for declining cash flow performance and delinquency; DBRS Morningstar generally analyzed these loans with elevated PODs where applicable. Three loans, representing 11.2% of the current trust balance, are currently in forbearance periods and all are secured by hospitality properties. All three loans were granted debt service payment relief for periods that range from three to six months, with each respective loan required to repay deferred debt service in 12 equal monthly installments. The borrower for the St. Clair Hotel loan (Prospectus ID#6; 5.0% of the current trust balance) was able to obtain a $394,600 Paycheck Protection Program loan but was required to contribute an additional $560,000 in equity to fund debt service and operating expense shortfalls from June 2020 through December 2020. The borrower for the Candlewood Suites Anaheim loan (Prospectus ID#12; 3.8% of the current trust balance) was required to post an additional $110,000 of equity for shortfalls. Additionally, the Issuer does not expect the sponsor to grant additional debt service deferral given the sponsors having sufficient cash on hand to fund debt service payments. The borrower for the Hilton Newark Penn Station loan (Prospectus ID#18; 2.5% of the current trust balance) was granted a longer deferral period extending from August 2020 through January 2021; however, it was required to contribute a higher amount of equity over multiple periods, totalling approximately $1.2 million. Notes: All figures are in U.S dollars unless otherwise noted. ANCHORAGE CREDIT 6: Moody's Gives Ba3 Rating on $30MM Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service assigned ratings to four classes of CDO refinancing notes issued by Anchorage Credit Funding 6, Ltd. Moody's rating action is as follows: US$69,500,000 Class B-R Senior Secured Fixed Rate Notes due 2036 (the "Class B-R Notes"), Assigned Aa3 (sf) US$37,500,000 Class C-R Mezzanine Secured Deferrable Fixed Rate Notes due 2036 (the "Class C-R Notes"), Assigned A3 (sf) US$25,000,000 Class D-R Mezzanine Secured Deferrable Fixed Rate Notes due 2036 (the "Class D-R Notes"), Assigned Baa3 (sf) US$30,000,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2036 (the "Class E Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on its methodology and considers all relevant risks particularly those associated with the CDO's portfolio and structure. The Issuer is a managed cash flow collateralized debt obligation (CDO). The issued notes are collateralized primarily by a portfolio of corporate bonds and loans. At least 30% of the portfolio must consist of senior secured loans, senior secured notes and eligible investments, up to 70% of the portfolio may consist of second lien loans, unsecured loans and unsecured bonds, and up to 5% of the portfolio may consist of letters of credit. Anchorage Capital Group, L.L.C. will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining three-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. The Issuer has issued the Refinancing Notes on October 29, 2020 (the "Refinancing Date") in connection with the refinancing of three classes of the secured notes (the "Refinanced Original Notes") originally issued on June 7, 2018 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of secured notes and one class of subordinated notes that remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: the revised collateral quality matrix and overcollateralization test levels, change in the note payment frequency to quarterly from semi-annually and extension of the non-call period among other changes. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $486,461,044 Defaulted par: $19,160,438 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3285 Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 32.50% Weighted Average Life (WAL): 7.25 years The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BANK 2018-BNK15: Fitch Affirms B-sf Rating on 2 Tranches -------------------------------------------------------- Fitch Ratings has affirmed 17 classes of BANK 2018-BNK15, commercial mortgage pass-through certificates, series 2018-BNK15 (BANK 2018-BNK15). The Outlook remains Negative on classes G and X-G and is revised to Negative from Stable on classes E, F, X-D and X-F. RATING ACTIONS BANK 2018-BNK15 Class A-1 06036FAY7; LT AAAsf Affirmed; previously at AAAsf Class A-2 06036FAZ4; LT AAAsf Affirmed; previously at AAAsf Class A-3 06036FBB6; LT AAAsf Affirmed; previously at AAAsf Class A-4 06036FBC4; LT AAAsf Affirmed; previously at AAAsf Class A-S 06036FBF7; LT AAAsf Affirmed; previously at AAAsf Class A-SB 06036FBA8; LT AAAsf Affirmed; previously at AAAsf Class B 06036FBG5; LT AA-sf Affirmed; previously at AA-sf Class C 06036FBH3; LT A-sf Affirmed; previously at A-sf Class D 06036FAJ0; LT BBBsf Affirmed; previously at BBBsf Class E 06036FAL5; LT BBB-sf Affirmed; previously at BBB-sf Class F 06036FAN1; LT BB-sf Affirmed; previously at BB-sf Class G 06036FAQ4; LT B-sf Affirmed; previously at B-sf Class X-A 06036FBD2; LT AAAsf Affirmed; previously at AAAsf Class X-B 06036FBE0; LT AAAsf Affirmed; previously at AAAsf Class X-D 06036FAA9; LT BBB-sf Affirmed; previously at BBB-sf Class X-F 06036FAE1; LT BB-sf Affirmed; previously at BB-sf Class X-G 06036FAG6; LT B-sf Affirmed; previously at B-sf KEY RATING DRIVERS Stable Overall Performance; Increased Loss Expectations Due to Coronavirus Pandemic Concerns: While overall pool performance remains stable, loss expectations have increased since Fitch's prior rating action primarily due to additional stresses applied to loans expected to be impacted in the near term from the coronavirus pandemic. Twenty-two loans (30.6% of pool), including one loan (0.6%) in special servicing, were designated Fitch Loans of Concern (FLOCs). Sixteen of these FLOCs (28.3%) were designated FLOCs primarily due to potential performance declines resulting from the coronavirus pandemic. Fitch Loans of Concern: The largest FLOC, Starwood Hotel Portfolio (9.4%), is secured by a portfolio of 22 hotels totaling 2,949 keys located in 12 states. The loan was designated a FLOC due to concerns with the potential impact of the coronavirus pandemic on performance. As of the TTM ended March 2020, portfolio occupancy was 69%, ADR was $114.75 and RevPAR was $79.42. The servicer-reported NOI debt service coverage ratio (DSCR) was 2.46x. The second largest FLOC, Clovis Commons (3.1%), is secured by a 180,955-sf anchored retail center in Clovis, CA. The loan was designated a FLOC due to concerns with the impact of the coronavirus pandemic on performance and near-term rollover concerns. Per the June 2020 rent roll, approximately 36% net rentable area (NRA) has lease expiration in 2021. The rollover in 2021 is concentrated with TJ Maxx (15.5% NRA) and Office Depot (11.3% NRA), which have lease expiration in August 2021. At issuance, the loan was structed with a cash flow sweep to account for lease rollover risk. Per servicer updates, TJ Maxx is working on a five-year extension. As of the YTD June 2020, occupancy was 97% and servicer-reported NOI DSCR was 1.53x. The third largest FLOC, Triangle Center (2.6%), is secured by a 260,627-sf anchored retail center in Longview, WA (approximately 40 miles north of Portland and 50 miles south of Olympia). The loan was designated a FLOC due to concerns with the impact of the coronavirus pandemic on performance, tenancy concerns and near-term rollover concerns. The largest tenant is Triangle Bowl, a bowling alley, which leases 11.5% NRA. While there are concerns with disruptions as a result of the pandemic, Triangle Bowl recently renewed its lease for an additional 10 years through August 2030. Near term rollover includes Office Depot (7% NRA), which has lease expiration in December 2020 and Bed Bath & Beyond (8.8% NRA), which has lease expiration in January 2021. Per servicer updates, Office Depot has provided notice that they will vacate at the end of the year, and Bed Bath & Beyond is in the process of renewing its lease. As of the YTD June 2020, occupancy was 93%, and servicer-reported NOI DSCR was 1.87x. The NOI DSCR is 1.43x based on fully amortizing principal and interest payments, which are scheduled to begin in November 2021 after the initial three-year interest only period expires. The fourth largest FLOC, Embassy Suites St. Louis (2.3%), is secured by a 212-key full-service hotel in Saint Louis, MO. The loan was designated a FLOC due to declining performance. Performance has declined since issuance, with YE 2019 NOI 33% below the issuers NOI and the second quarter 2020 falling further as a result of the pandemic. As of the TTM ended June 2020, property occupancy was 64%, and servicer-reported NOI DSCR was 0.43x. This is down from 76% and 1.62x, respectively at YE 2019. The significant recent decline in performance is primarily related to the stay at home orders and lack of travel in the second quarter of 2020. Per STR and as of the TTM ended August 2020, the hotel was outperforming its competitive set with occupancy, ADR and RevPAR penetration rates of 125.3%, 112.5% and 140.7%, respectively. Minimal Change to Credit Enhancement: There has been minimal change to credit enhancement (CE) since issuance. As of the October 2020 distribution date, the pool's aggregate balance has been paid down by 1.5% to $1.068 billion from $1.069 billion at issuance. All original 67 loans remain in the pool. Based on the loans' scheduled maturity balances, the pool is expected to amortize 9.0% during the term. Twenty-eight loans (60.6% of pool) are full-term, interest-only and 14 loans (15.1%) have a partial-term, interest-only component. Pool Concentration: The top 10 loans comprise 52.9% of the pool. Loan maturities are concentrated in 2028 (94.9%). Based on property type, the largest concentrations are retail at 41.9%, hotel at 16.3% office at 11.7%, and mixed use at 8.4%. Further cash flow disruption is expected due to the pandemic, especially for loans backed by hotels and non-essential retailers. Exposure to Coronavirus Pandemic: Seven loans (16.3%) are secured by hotel properties. The weighted average NOI DSCR for all the hotel loans is 2.13x. These hotel loans could sustain a weighted average decline in NOI of 54% before DSCR falls below 1.00x. Twenty-four loans (41.9%) are secured by retail properties. The weighted average NOI DSCR for all performing retail loans is 2.15x. These retail loans could sustain a weighted average decline in NOI of 54% before DSCR falls below 1.00x. Additional coronavirus specific base case stresses were applied to six hotel loans (15.7%), nine retail loans (12.0%) and one loan (0.6%) secured by a student housing property. These additional stresses contributed to the Negative Outlooks on classes E, F, G, X-D, X-F and X-G. RATING SENSITIVITIES The Stable Outlooks on classes A-1 through D and X-A and X-B reflect the overall stable performance of the pool and expected continued amortization. The Negative Outlooks on classes E, F, G, X-D, X-F and X-G reflect concerns with the FLOCs, primarily loans expected to be impacted by exposure to the coronavirus pandemic in the near term. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B and C would likely occur with significant improvement in CE and/or defeasance; however, increased concentrations, further underperformance of FLOCs and decline in performance of loans expected to be impacted by the coronavirus pandemic could cause this trend to reverse. An upgrade of class D is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes E through G are not likely due to performance concerns with loans expected to be impacted by the coronavirus pandemic in the near term but could occur if performance of the FLOCs improves and/or if there is sufficient CE, which would likely occur if the non-rated class is not eroded and the senior classes pay-off. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades of classes A-1 through C are not likely due to the stable performance of the pool and continued amortization. Downgrades of classes D through G could occur if additional loans become FLOCs, with further underperformance of the FLOCs and decline in performance and lack of recovery of loans expected to be impacted by the coronavirus pandemic in the near term. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes would be assigned a Negative Outlook or those with Negative Outlooks would be downgraded one or more categories. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BBCMS MORTGAGE 2017-C1: Fitch Affirms B-sf Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of BBCMS Mortgage Trust 2017-C1 commercial mortgage pass-through certificates, series 2017-C1. RATING ACTIONS BBCMS 2017-C1 Class A-1 07332VAZ8; LT AAAsf Affirmed; previously AAAsf Class A-2 07332VBA2; LT AAAsf Affirmed; previously AAAsf Class A-3 07332VBC8; LT AAAsf Affirmed; previously AAAsf Class A-4 07332VBD6; LT AAAsf Affirmed; previously AAAsf Class A-S 07332VBE4; LT AAAsf Affirmed; previously AAAsf Class A-SB 07332VBB0; LT AAAsf Affirmed; previously AAAsf Class B 07332VBF1; LT AA-sf Affirmed; previously AA-sf Class C 07332VBG9; LT A-sf Affirmed; previously A-sf Class D 07332VAA3; LT BBB-sf Affirmed; previously BBB-sf Class E 07332VAC9; LT BB-sf Affirmed; previously BB-sf Class F 07332VAE5; LT B-sf Affirmed; previously B-sf Class X-A 07332VBJ3; LT AAAsf Affirmed; previously AAAsf Class X-B 07332VBH7; LT AA-sf Affirmed; previously AA-sf Class X-D 07332VAL9; LT BBB-sf Affirmed; previously BBB-sf Class X-E 07332VAN5; LT BB-sf Affirmed; previously BB-sf Class X-F 07332VAQ8; LT B-sf Affirmed; previously B-sf KEY RATING DRIVERS Increased Loss Expectations: Despite a majority of the pool exhibiting relatively stable performance, loss expectations have increased. This is primarily attributable to the social and market disruption caused by the effects of the coronavirus pandemic and related containment measures. There are five loans (6.75% of the pool) that have transferred to special servicing, of which four loans (6.34% of the pool) have transferred since the last rating action. There are four loans (15.3% of the pool) in the top 15 designated as Fitch Loans of Concern (FLOC). For each of the loans flagged as a FLOC, Fitch applied an additional haircut to net operating income (NOI) or a stress to the most recent appraisal value which contributes to the Negative Outlooks on classes D through F. The largest FLOC is 1000 Denny Way (6.7% of the pool). It is the third largest loan, and is secured by a 262,565-sf office building located in downtown Seattle, WA. The largest tenant is The Seattle Times, which leases 59.4% of the NRA through February 2021. The Seattle Times is the largest daily circulated newspaper in the state of Washington, and sold the property to the current sponsor as part of a sale-leaseback transaction in 2011. The lease includes two, five-year extension options and was structured with a cash flow sweep beginning January 2020. As of the October 2020 distribution, the tenant has not informed the sponsor of its intentions to renew, although funds from the cash management account were released to the borrower according to servicer commentary. A $6.4 million LOC is currently being held by the lender. The second largest FLOC is Anaheim Marriott Suites (3.6% of the pool), a 371-room full-service hotel. The property was built in 2002, later renovated in 2016, and is well located in Garden Grove, CA within three miles of Disneyland and 1.5 miles of Anaheim Convention Center. The loan transferred to special servicing for imminent default in June 2020. The borrower has requested debt service payment relief, expressing hardship due to the coronavirus pandemic. There is no workout strategy listed at this time, and the loan has missed the June 2020 and all subsequent debt service payments. The third largest FLOC is Hyatt Place Charlotte Downtown (3.1% of the pool), a 172-room full-service hotel. The property was built in 2013 and is well located in downtown Charlotte near Bank of America's corporate headquarters and a wide range of retail, shopping and entertainment venues. The borrower has requested debt service payment relief, expressing hardship due to the coronavirus pandemic. The loan has remained current as the servicer reviews the request. Performance metrics have since declined as a result of the reduced foot traffic. The TTM June 2020 NOI debt service coverage ratio (NOI DSCR) declined to 1.24x from 1.68x at YE 2019, 1.42x at YE 2018 and 2.22x at YE 2017. As of June 2020, occupancy declined to 54% from 72% at YE 2019, 77% at YE 2018 and 84% at YE 2017. The fourth largest FLOC is Gateway Plaza at Meridian (2.0% of the pool). The collateral is a 138,598-sf suburban office property located in Englewood, CO that was built in 1994 and later renovated in 2008. The second and third largest tenants, representing 30% of the NRA combined, have leases expiring in the next four months. The second largest tenant is Sierra Nevada Corporation (29.5% NRA through December 2020) and the third largest tenant is Janeway Law Firm (7.9% NRA through February 2021). Sierra Nevada Corporation has been a tenant at the property since 2016, and previously doubled its footprint at the property to its current square footage. Minimal Changes to Credit Enhancement (CE): As of the October 2020 distribution date, the pool's aggregate principal balance has been paid down by 1.88% to $839.7 million from $855.7 million at issuance. No loans have paid off and one loan (0.47% of the pool) has defeased since issuance. There have been no realized losses to date. Cumulative interest shortfalls totaling $159 thousand are affecting the non-rated class H due to delinquent loans. Thirteen loans representing 48.5% of the pool balance are IO for the full term. An additional 17 loans representing 22.5% of the pool were structured with partial IO periods, five of which (9.2% of the pool) have not yet begun amortizing as of the October 2020 distribution. Two loans representing 2.1% of the pool are scheduled to mature in 2021, two loans representing 5.8% of the pool balance are scheduled to mature in 2022, and all remaining loans are scheduled to mature in 2026 and 2027. Coronavirus Exposure: Loans secured by retail properties comprise 23.82% of the pool, including two in the top 15 (7.97%). The pool's retail component has a weighted average (WA) DSCR of 1.64x. Loans secured by hotel properties comprise 15.28% of the pool, including two in the top 15 (6.62%), one of which is in special servicing. The pool's hotel component has a WA DSCR of 1.92x. The majority of the pool exhibited stable performance prior to the coronavirus pandemic. Additional stresses related to the coronavirus were applied to eight hotel loans (9.4%) and 11 retail loans (15.9%); these additional stresses contributed to the Negative Rating Outlooks on classes D through F and X-D through X-F. RATING SENSITIVITIES Factors that could, individually or collectively, lead to a positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. An upgrade to classes B and C could occur with stabilization of the FLOCs, but would be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades of classes D and E would only occur with significant improvement in CE and stabilization of the FLOCs. An upgrade to class F is not likely unless performance of the FLOCs improves, and if performance of the remaining pool is stable. While stresses related to the coronavirus continue to impact the pool, upgrades are unlikely. Factors that could, individually or collectively, lead to a negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes B and C may occur if overall pool performance declines or loss expectations increase. Downgrades to classes D and E may occur if loans in special servicing remain unresolved, or if performance of the FLOCs fails to stabilize. Downgrades to classes F may occur if additional loans default or transfer to the special servicer, pool performance declines, and/or properties vulnerable to the coronavirus pandemic experience losses greater than expected. In addition to its baseline scenario, Fitch envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be given a Negative Outlook, or those with Negative Outlooks will be downgraded one or more categories. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS 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. BBCMS MORTGAGE 2020-C8: Fitch Assigns B-sf Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2020-C8, commercial mortgage pass-through certificates, series 2020-C8, as follows: -- $15,340,000 class A-1 'AAAsf'; Outlook Stable; -- $92,700,000 class A-3 'AAAsf'; Outlook Stable; -- $138,312,000 class A-4 'AAAsf'; Outlook Stable; -- $213,188,000 class A-5 'AAAsf'; Outlook Stable; -- $30,631,000 class A-SB 'AAAsf'; Outlook Stable; -- $490,171,000a class X-A 'AAAsf'; Outlook Stable; -- $125,169,000a class X-B 'A-sf'; Outlook Stable; -- $64,772,000 class A-S 'AAAsf'; Outlook Stable; -- $29,761,000 class B 'AA-sf'; Outlook Stable; -- $30,636,000 class C 'A-sf'; Outlook Stable; -- $34,136,000ab class X-D 'BBB-sf'; Outlook Stable; -- $17,507,000ab class X-FG 'BB-sf'; Outlook Stable; -- $7,877,000ab class X-H 'B-sf'; Outlook Stable; -- $18,381,000b class D 'BBBsf'; Outlook Stable; -- $15,755,000b class E 'BBB-sf'; Outlook Stable; -- $8,753,000b class F 'BB+sf'; Outlook Stable. -- $8,754,000b class G 'BB-sf'; Outlook Stable. -- $7,877,000b class H 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $10,504,000bc J-RR certificates; -- $14,880,660bc K-RR interest. (a) Notional amount and interest only. (b) Privately-placed and pursuant to Rule 144a. (c) Eligible Horizontal Residual Interest. Since Fitch published its presale on Oct. 6, 2020, the class balances for class A-4 and A-5 have been finalized. At the time that the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were unknown and expected to be approximately $351,500,000 in the aggregate, subject to a 5% variance. The final class balances for classes A-4 and A-5 are $138,312,000 and $213,188,000, respectively. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 48 loans secured by 127 commercial properties having an aggregate principal balance of $700,244,660 as of the cut-off date. The loans were contributed to the trust by Starwood Mortgage Capital LLC, Barclays Capital Real Estate Inc., Societe Generale Financial Corporation, Bank of America, National Association and LMF Commercial, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 34.8% of the properties by balance, cash flow analyses of 86.4% of the pool, and asset summary reviews on 100% of the pool. Coronavirus Impact: The ongoing containment effort related to the coronavirus (which causes COVID-19 ) pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense, rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic, and to what degree fiscal interventions by the U.S. federal government can mitigate the impact on consumers. Per the offering documents, all of the loans are current and are not subject to any forbearance requests. KEY RATING DRIVERS Higher Fitch Leverage than Recent Transactions. Overall, the pool's Fitch debt service coverage ratio (DSCR) of 1.29x is lower than average when compared to the YTD 2020 average of 1.32x and slightly higher than the 2019 average of 1.26x. The pool's trust Fitch loan-to-value (LTV) of 101.8% is higher than YTD 2020 average of 99.1% but slightly lower than the 2019 average of 103.0%. Excluding credit opinion loans, the pool's weighted average (WA) DSCR and LTV are 1.20x and 111.5%, respectively. Credit Opinion Loans: Two loans representing 19.9% of the pool by balance have credit characteristics consistent with investment-grade obligations on a stand-alone basis. This is below the YTD 2020 average of 26.4% and above the 2019 average of 14.2%. One Manhattan West (10.0% of pool) received a stand-alone credit opinion of 'BBB-sf' and MGM Grand & Mandalay Bay (9.9%) received a stand-alone credit opinion of 'BBB+sf'. High Office Exposure and Low Retail Exposure. Loans secured by office properties represent 40.8% of the pool by balance. Five of the top 10 loans are backed by office properties. The total office concentration is higher than the 2019 average of 34.2% and in line with the YTD 2020 average of 39.0%. Loans secured by retail properties represent 16.9% of the pool by balance, lower than the 2019 average of 23.6%, but higher than the YTD 2020 averages 15.5%. Two of the top 10 loans are secured by retail properties including ExchangeRight Net Leased Portfolio 38 (4.2% of the pool balance), backed by a portfolio of geographically-diverse retail properties, and Newpark Town Center (3.1%), a mixed-use property comprised of office and anchored retail space. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' /'AA-sf '/'A-sf' /'BBB-sf'/'BB-sf' /'B-sf' 10% NCF Decline: 'A+sf'/'A-sf'/'BBB-sf'/'BB-sf'/'CCCsf'/'CCCsf' 20% NCF Decline: 'BBB+sf'/'BBB-sf'/'BB+sf'/'CCCsf'/'CCCsf'/'CCCsf' 30% NCF Decline: 'BBB+sf'/'BB+sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf' Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 20% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBB-sf'/'BBB-sf' USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on its analysis or conclusions. A copy of the ABS Due Diligence Form 15-E received by Fitch in connection with this transaction may be obtained via the link at the bottom of the related rating action commentary. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS 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. BCC FUNDING XVII: Moody's Assigns B2 Rating on Class E Notes ------------------------------------------------------------ Moody's Investors Service assigned definitive ratings to the notes issued by BCC Funding XVII LLC, Series 2020-1 (BCC 2020-1). BCC 2020-1 is Balboa Capital Corporation's (BCC) first transaction of the year. The notes are backed by a pool of small- and mid-ticket equipment loans and leases originated by BCC, who is also the servicer of the collateral pool and administrator for the transaction. The complete rating actions are as follows: Issuer: BCC Funding XVII LLC, Series 2020-1 Equipment Contract Backed Notes, Series 2020-1, Class A-2, Definitive Rating Assigned Aaa (sf) Equipment Contract Backed Notes, Series 2020-1, Class B, Definitive Rating Assigned Aa3 (sf) Equipment Contract Backed Notes, Series 2020-1, Class C, Definitive Rating Assigned Baa2 (sf) Equipment Contract Backed Notes, Series 2020-1, Class D, Definitive Rating Assigned Ba1 (sf) Equipment Contract Backed Notes, Series 2020-1, Class E, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings of the notes are based on the credit quality of the underlying equipment contract pool and its expected performance, the strength of the capital structure, and the experience and expertise of BCC as the servicer of the collateral pool. The rating action also considered the heightened risk and continued global economic disruption caused by the COVID-19 pandemic. Moody's cumulative net loss expectation for the BCC 2020-1 collateral pool is 4.25%, and the loss at a Aaa stress is 34.00%. The cumulative net loss expectation for BCC 2020-1 is 25 basis points higher than the initial cumulative net loss expectation for the 2019-1 pool, and the loss at a Aaa stress is 4.00% higher than that for the 2019-1 pool. Moody's based its cumulative net loss expectation and loss at a Aaa stress for the BCC 2020-1 pool on the credit quality of the underlying collateral; the historical securitization performance and managed portfolio performance of similar collateral; the ability of BCC to perform the servicing functions; and its expectations for the macroeconomic environment during the life of the transaction. Additionally, this is the first time Moody's assigned a Aaa (sf) rating to a BCC transaction. Moody's took into account the difficult operating environment for the small business obligors in the pool stemming from the coronavirus pandemic through additional sensitivity testing. In one of its sensitivities, Moody's overweighed the performance of historical recessionary periods in determining its expected loss. The Class A-2, Class B, Class C, Class D and Class E notes benefit from 35.0%, 17.0%, 13.0%, 9.0% and 6.5% of hard credit enhancement, respectively. Hard credit enhancement for the notes consist of initial overcollateralization of 5.0% of the initial pool balance and building to a target level of 9.5% of current pool balance, subject to a floor of 2.0% of the initial pool balance, a non-declining reserve account of 1.5% of the initial pool balance, and subordination for the Class A, B, C, and D notes. The notes may also benefit from excess spread. The definitive rating for the Class D notes of Ba1 (sf) is one notch higher than its provisional rating of (P)Ba2 (sf). The difference is a result of (1) the transaction closing with a lower weighted average cost of funds (WAC) than Moody's modeled when the provisional ratings were assigned. The WAC assumptions and other structural features were provided by the issuer when Moody's assigned the provisional ratings. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against then-current expectations of loss. Losses could fall below Moody's original expectations as a result of a lower number of obligor defaults or slower depreciation in the value of the equipment that secure the obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Down Moody's could downgrade the ratings on the notes if levels of credit protection are insufficient to protect investors against then-current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or an acceleration of the depreciation in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the health of the macroeconomic environment and the various sectors in which the obligors operate. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, and inadequate transaction governance. BELLEMEADE RE 2020-3: Moody's Assigns B3 Rating on Cl. B-1 Debt --------------------------------------------------------------- Moody's Investors Service assigned definitive ratings to five classes of mortgage insurance credit risk transfer notes issued by Bellemeade Re 2020-3 Ltd. Bellemeade Re 2020-3 Ltd is the third transaction issued in 2020 under the Bellemeade Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Arch Mortgage Insurance Company (Arch) and United Guaranty Residential Insurance Company (UGRIC) (each, a subsidiary of Arch Capital Group Ltd., and collectively, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Bellemeade Re 2020-3 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 coverage level B-2 is written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. The complete rating actions are as follows: Issuer: Bellemeade Re 2020-3 Ltd Cl. M-1A, Assigned A2 (sf); Cl. M-1B, Assigned Baa1 (sf); Cl. M-1C, Assigned Baa3 (sf); Cl. M-2, Assigned Ba3 (sf); Cl. B-1, Assigned B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expects this insured pool's aggregate exposed principal balance to incur 2.07% losses in a base case scenario, and 16.46% losses under loss a Aaa stress scenario. The aggregate exposed principal balance is the aggregate product of (i) loan unpaid balance, (ii) the MI coverage percentage of each loan, and (iii) one minus existing quota share reinsurance percentage. Nearly all of loans (99.9% by UPB) have 7.5% existing quota share reinsurance covered by unaffiliated third parties, hence 92.5% pro rata share of MI losses of such loans will be taken by this transaction. For the rest of loans having zero existing quota share reinsurance, the transaction will bear 100% of their MI losses. Its analysis has considered the effect of the COVID-19 outbreak on the US economy as well as the effects that the announced government measures put in place to contain the virus, will have on the performance of mortgage loans. Specifically, for US RMBS, loan performance will weaken due to the unprecedented spike in the unemployment rate, which may limit borrowers' income and their ability to service debt. The softening of the housing market will reduce recoveries on defaulted loans, also a credit negative. Furthermore, borrower assistance programs, such as forbearance, may adversely impact scheduled cash flows to bondholders. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of US RMBS from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (mean expected losses by 13.30%) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from of a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Moody's regards the COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Servicing practices, including tracking COVID-19-related loss mitigation activities, may vary among servicers in the transaction. These inconsistencies could impact reported collateral performance and affect the timing of any breach of performance triggers, the timing of policy terminations and the amount of ultimate net loss. Moody's may infer and extrapolate from the information provided based on this or other transactions or industry information, or make stressed assumptions. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description The reference pool consists of 112,274 prime, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing conforming mortgage loans with a total insured loan balance of approximately $31 billion. Nearly all loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 91%. The borrowers in the pool have a weighted average FICO score of 751, a weighted average debt-to-income ratio of 35.3% and a weighted average mortgage rate of 3.2%. The weighted average risk in force (MI coverage percentage) is approximately 24.1% of the reference pool total unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing third-party reinsurance. Approximately 99.9% (by unpaid principal balance) of the mortgage loans have a MI coverage effective date on 2020, and there are 90 loans having MI coverage effective date on 2019 (constituting the rest 0.1% by unpaid principal balance). The weighted average LTV of 91.0% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent STACR high LTV CRT transactions. Except for 1 loan, all other insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 99.4% covered by BPMI and 0.6% covered by LPMI based on unpaid principal balance. Underwriting Quality Moody's took into account the quality of Arch's insurance underwriting, risk management and claims payment process in its analysis. Arch's underwriting requirements address credit, capacity (income), capital (asset/equity) and collateral. It has a licensed in-house appraiser to review appraisals. Lenders submit mortgage loans to Arch for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without Arch re-underwriting the loan file. Arch issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Arch does not allow exceptions for loans approved through its delegated underwriting program. Lenders eligible under this program must be pre-approved by Arch. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. For Arch's overall portfolio, approximately 57.1% of the loans are insured through delegated underwriting and 42.9% through non-delegated. Arch follows the GSE underwriting guidelines via DU/LP but applies additional overlays. Servicers provide Arch monthly reports of insured loans that are 60-day delinquent prior to any submission of claims. Claims are typically submitted when servicers have taken possession of the title to the properties. Claims are submitted by uploading or entering on Arch's website, electronic transfer or paper. Arch performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans to ensure that (i) the risk exposure of insured mortgage loans is accurately represented, (ii) lenders submitting loans via delegated underwriting program are adhering to Arch's guidelines, and (iii) internal underwriters are following guidelines and maintaining consistent underwriting standards and processes. Arch has a solid quality control process to ensure claims are paid timely and accurately. Similar to the above procedure, Arch's claims management reviews a sample of paid claims each month. Findings are used for performance management as well as identified trends. In addition, there is strong oversight and review from internal and external parties such as GSE audits, Department of Insurance audits, audits from an independent account firm, and Arch's internal audits and compliance. Arch is also SOX compliant. PwC, an independent account firm, performs a thorough audit of Arch's claim payment process. Third-Party Review Arch engaged Opus Capital Markets Consultants, LLC, to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The review sample size was small (only 0.33% of the total loans in the initial reference pool as of September 2020, or 370 by loan count). In spite of the small sample size and a limited TPR scope for Bellemeade Re 2020-3 Ltd, Moody's did not make an additional adjustment to the loss levels because, (1) approximately 38.2% of the loans in the reference pool have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider reviewed property valuation on 370 loans in the sample pool. A Freddie Mac Home Value Explorer ("HVE") was ordered on the entire population of 352 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 370 loans, two 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 two 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 370 loans in the sample pool. 366 loans obtained either grade A or B, and two loans were deemed grade C due to "missing appraisal". 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. There are four discrepancies, in which two discrepancies are on the DTI data field, and another two discrepancies are on the maturity date data field. 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 coverage level A and B-2. After closing, the ceding insurer will maintain the 50% minimal retained share of coverage of coverage level B-2 throughout the transaction. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated class M-1A, class M-1B, class M-1C, class M-2 and class B-1 offered notes have credit enhancement levels of 7.50%, 6.30%, 4.25%, 2.75% and 2.50%, respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. The loss is allocated in a reverse sequential order. MI loss is allocated starting from coverage level B-2, while investment losses are allocated starting from class B-1 note. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to senior reference tranches when trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.00% of coverage level A subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 10.00%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders for 70 days while the assets of the reinsurance trust account are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered if the rating of the notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into the premium deposit account the coverage premium only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it is obligated to deposit coverage premium for all reinsurance coverage levels. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i) the coupon rate of the note multiplied by (a) the applicable funded percentage, (b) the coverage level amount for the coverage level corresponding to such class of notes and (c) a fraction equal to 70/360, over (ii) two times the investment income collected on the eligible investments. Moody's believes the PDA arrangement does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period; which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Opus Capital Markets, as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-2 has been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claim's consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third-party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. For example, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believes the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. BELLEMEADE RE 2020-3: Moody's Gives '(P)B3' Rating to Cl. B-1 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of mortgage insurance credit risk transfer notes issued by Bellemeade Re 2020-3 Ltd. Bellemeade Re 2020-3 Ltd is the third transaction issued in 2020 under the Bellemeade Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Arch Mortgage Insurance Company (Arch) and United Guaranty Residential Insurance Company (UGRIC) (each, a subsidiary of Arch Capital Group Ltd., and collectively, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Bellemeade Re 2020-3 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 coverage level B-2 is written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. The complete rating actions are as follows: Issuer: Bellemeade Re 2020-3 Ltd Cl. M-1A, Assigned (P)A2 (sf); Cl. M-1B, Assigned (P)Baa1 (sf); Cl. M-1C, Assigned (P)Baa3 (sf); Cl. M-2, Assigned (P)Ba3 (sf); Cl. B-1, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expects this insured pool's aggregate exposed principal balance to incur 2.07% losses in a base case scenario, and 16.46% losses under loss a Aaa stress scenario. The aggregate exposed principal balance is the aggregate product of (i) loan unpaid balance, (ii) the MI coverage percentage of each loan, and (iii) one minus existing quota share reinsurance percentage. Nearly all of loans (99.9% by UPB) have 7.5% existing quota share reinsurance covered by unaffiliated third parties, hence 92.5% pro rata share of MI losses of such loans will be taken by this transaction. For the rest of loans having zero existing quota share reinsurance, the transaction will bear 100% of their MI losses. Its analysis has considered the effect of the COVID-19 outbreak on the US economy as well as the effects that the announced government measures put in place to contain the virus, will have on the performance of mortgage loans. Specifically, for US RMBS, loan performance will weaken due to the unprecedented spike in the unemployment rate, which may limit borrowers' income and their ability to service debt. The softening of the housing market will reduce recoveries on defaulted loans, also a credit negative. Furthermore, borrower assistance programs, such as forbearance, may adversely impact scheduled cash flows to bondholders. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of US RMBS from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (mean expected losses by 13.30%) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from of a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Moody's regards the COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Servicing practices, including tracking COVID-19-related loss mitigation activities, may vary among servicers in the transaction. These inconsistencies could impact reported collateral performance and affect the timing of any breach of performance triggers, the timing of policy terminations and the amount of ultimate net loss. Moody's may infer and extrapolate from the information provided based on this or other transactions or industry information, or make stressed assumptions. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description The reference pool consists of 112,274 primes, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing conforming mortgage loans with a total insured loan balance of approximately $31 billion. Nearly all loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 91%. The borrowers in the pool have a weighted average FICO score of 751, a weighted average debt-to-income ratio of 35.3% and a weighted average mortgage rate of 3.2%. The weighted average risk in force (MI coverage percentage) is approximately 24.1% of the reference pool total unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing third-party reinsurance. Approximately 99.9% (by unpaid principal balance) of the mortgage loans have a MI coverage effective date on 2020, and there are 90 loans having MI coverage effective date on 2019 (constituting the rest 0.1% by unpaid principal balance). The weighted average LTV of 91.0% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent STACR high LTV CRT transactions. Except for 1 loan, all other insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 99.4% covered by BPMI and 0.6% covered by LPMI based on unpaid principal balance. Underwriting Quality Moody's considered the quality of Arch's insurance underwriting, risk management and claims payment process in its analysis. Arch's underwriting requirements address credit, capacity (income), capital (asset/equity) and collateral. It has a licensed in-house appraiser to review appraisals. Lenders submit mortgage loans to Arch for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without Arch re-underwriting the loan file. Arch issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Arch does not allow exceptions for loans approved through its delegated underwriting program. Lenders eligible under this program must be pre-approved by Arch. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. For Arch's overall portfolio, approximately 57.1% of the loans are insured through delegated underwriting and 42.9% through non-delegated. Arch follows the GSE underwriting guidelines via DU/LP but applies additional overlays. Servicers provide Arch monthly reports of insured loans that are 60-day delinquent prior to any submission of claims. Claims are typically submitted when servicers have taken possession of the title to the properties. Claims are submitted by uploading or entering on Arch's website, electronic transfer, or paper. Arch performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans to ensure that (i) the risk exposure of insured mortgage loans is accurately represented, (ii) lenders submitting loans via delegated underwriting program are adhering to Arch's guidelines, and (iii) internal underwriters are following guidelines and maintaining consistent underwriting standards and processes. Arch has a solid quality control process to ensure claims are paid timely and accurately. Like the above procedure, Arch's claims management reviews a sample of paid claims each month. Findings are used for performance management as well as identified trends. In addition, there is strong oversight and review from internal and external parties such as GSE audits, Department of Insurance audits, audits from an independent account firm, and Arch's internal audits and compliance. Arch is also SOX compliant. PwC, an independent account firm, performs a thorough audit of Arch's claim payment process. Third-Party Review Arch engaged Opus Capital Markets Consultants, LLC, to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The review sample size was small (only 0.33% of the total loans in the initial reference pool as of September 2020, or 370 by loan count). In spite of the small sample size and a limited TPR scope for Bellemeade Re 2020-3 Ltd, Moody's did not make an additional adjustment to the loss levels because, (1) approximately 38.2% of the loans in the reference pool have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider reviewed property valuation on 370 loans in the sample pool. A Freddie Mac Home Value Explorer ("HVE") was ordered on the entire population of 352 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 370 loans, two 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 two 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 370 loans in the sample pool. 366 loans obtained either grade A or B, and two loans were deemed grade C due to "missing appraisal". 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. There are four discrepancies, in which two discrepancies are on the DTI data field, and another two discrepancies are on the maturity date data field. 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 coverage level A and B-2. After closing, the ceding insurer will maintain the 50% minimal retained share of coverage of coverage level B-2 throughout the transaction. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated class M-1A, class M-1B, class M-1C, class M-2 and class B-1 offered notes have credit enhancement levels of 7.50%, 6.30%, 4.25%, 2.75% and 2.50%, respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. The loss is allocated in a reverse sequential order. MI loss is allocated starting from coverage level B-2, while investment losses are allocated starting from class B-1 note. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to senior reference tranches when trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.00% of coverage level A subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 10.00%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders for 70 days while the assets of the reinsurance trust account are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered if the rating of the notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into the premium deposit account the coverage premium only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it is obligated to deposit coverage premium for all reinsurance coverage levels. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i) the coupon rate of the note multiplied by (a) the applicable funded percentage, (b) the coverage level amount for the coverage level corresponding to such class of notes and (c) a fraction equal to 70/360, over (ii) two times the investment income collected on the eligible investments. Moody's believes the PDA arrangement does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period; which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Opus Capital Markets, as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-2 has been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claim's consultant to the trustee, the issuer, and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third-party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. For example, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believes the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. BENCHMARK 2018-B2: Fitch Affirms Bsf Rating on Class G-RR Certs --------------------------------------------------------------- Fitch Ratings has affirmed the ratings on 15 classes and revised the Rating Outlooks on three classes of Benchmark 2018-B2 Mortgage Trust commercial mortgage pass-through certificates, series 2018-B2 (BMARK 2018-B2). RATING ACTIONS Benchmark 2018-B2 Class A-1 08161CAA9; LT AAAsf Affirmed; previously at AAAsf Class A-2 08161CAB7; LT AAAsf Affirmed; previously at AAAsf Class A-3 08161CAC5; LT AAAsf Affirmed; previously at AAAsf Class A-4 08161CAD3; LT AAAsf Affirmed; previously at AAAsf Class A-5 08161CAE1; LT AAAsf Affirmed; previously at AAAsf Class A-S 08161CAJ0; LT AAAsf Affirmed; previously at AAAsf Class A-SB 08161CAF8; LT AAAsf Affirmed; previously at AAAsf Class B 08161CAK7; LT AA-sf Affirmed; previously at AA-sf Class C 08161CAL5; LT A-sf Affirmed; previously at A-sf Class D 08161CAP6; LT BBB+sf Affirmed; previously at BBB+sf Class E-RR 08161CAR2; LT BBB-sf Affirmed; previously at BBB-sf Class F-RR 08161CAT8; LT BBsf Affirmed; previously at BBsf Class G-RR 08161CAV3; LT Bsf Affirmed; previously at Bsf Class X-A 08161CAG6; LT AAAsf Affirmed; previously at AAAsf Class X-D 08161CAM3; LT BBB+sf Affirmed; previously at BBB+sf KEY RATING DRIVERS Increased Loss Expectations: While the pool continues to exhibit overall stable performance, loss expectations have increased primarily due to the increasing number of Fitch Loans of Concern (FLOCs). Since Fitch's last rating action, five loans (6.5% of the pool) have transferred to special servicing. All five loans are secured by hotels and transferred due to hardships caused by the ongoing coronavirus pandemic. The largest specially serviced loan, the Hotel Indigo & Austin (3.0% of the pool), is secured by two hotel properties, the Hotel Indigo (134 key) and the Holiday Inn Express Downtown Austin (171 keys), both located in Austin, TX. The loan transferred to special servicing in June 2020 due to hardships caused by the coronavirus pandemic. The loan is currently 90+ days delinquent, and the special servicer and borrower are currently negotiating a forbearance agreement. The remaining four specially serviced loans are all secured by hotels located throughout the United States and transferred within March and April of 2020 due to hardships caused by the ongoing coronavirus pandemic. All four loans requested three-month forbearance agreements, which allowed the borrowers access to reserve funds for expenses. Two of the loans' forbearance agreements expired in August 2020; the remaining two loans' requests were processed but additional relief was requested during the review process. Per the special servicer, only two of the specially serviced loans remain current and the remaining loans are 90+ days delinquent. Outside of the specially serviced loans, five loans (16.0% of the pool) are considered FLOCs due to declining performance, failure to meet Fitch's coronavirus NOI DSCR tolerance threshold and/or exposure to collateral that is considered likely to have impacted performance due to the pandemic. The largest FLOC, Rochester Hotel Portfolio (4.0% of the pool), is secured by four hotels located in Rochester, MN near the Mayo Clinic. As of June 2020, net operating income (NOI) debt service coverage ratio (DSCR) declined to 1.74x from 2.12x at YE 2019 and 2.47x at YE 2018. The declines in performance are primarily related to declines in occupancy. As of the August 2020 STR report, the weighted average occupancy at the property was 40.9% compared to its competitive set of 52.9% with a weighted average RevPAR penetration rate of 72.2%. While the loan remains current, the loan fails to meet Fitch's property specific coronavirus NOI DSCR tolerance threshold; therefore, additional stresses were applied to adjust for further expected declines in performance. The second largest FLOC, Intercontinental San Francisco (3.8% of the pool), is secured by a 550-key full-service hotel located in San Francisco, CA. While the loan remains current, performance at the property has declined due to the lack of travel due to the ongoing pandemic. As of June 2020, occupancy had declined to 35% from 84% at YE 2019 and 78% at YE 2018. NOI DSCR as of June 2020 also declined to 1.29x from 2.82x at YE 2019 and 1.97x at YE 2018. An updated STR report was requested by Fitch but not received. The loan fails to meet Fitch's property specific coronavirus NOI DSCR tolerance threshold; therefore, additional stresses were applied to adjust for expected declines in performance. The third largest FLOC, 64 Wooster (3.2% of the pool), is secured by a 55,500 sf mixed use property located in SoHo in Manhattan. While the property has exhibited stable performance, the property's largest tenant, GCU-NYC (24.3% of the NRA), is a local college which currently is following a remote-only learning schedule and is not open. The tenant is also receiving free rent until 2023. Fitch made additional adjustments to adjust for the potential declines in performance should the college tenant not re-open or pay rent upon the expiration of the free rent period. The fourth largest FLOC, Red Building (2.7% of the pool), is secured by a 411,547 sf office property located in West Hollywood, CA. The property's largest tenant, WeWork (16.9% of the NRA; January 2030), is currently paying an above market rent and occupancy is above the average submarket according to Reis. Additionally, Fitch remains concerned with property performance given the exposure to co-working tenant as the largest tenant due to the impact of the coronavirus pandemic. As a result, additional stresses were applied to loan to adjust for the potential for declines in performance. The final FLOC, Lehigh Valley Mall (2.3% of the pool), is secured by a 545,223-sf regional mall located in Whitehall, PA outside of Allentown, PA. The property is anchored by JCPenney, Macy's and Boscov's, all of which are non-collateral. The collateral is anchored by a Bob's Discount Furniture, Barnes & Noble and Modell's Sporting Goods. The Modell's closed in March 2020 after filing for Chapter 11 bankruptcy. While property performance remains relatively stable, the loan is considered a FLOC due to its tertiary location, weak anchors and sponsor-related concerns. Limited Changes in Credit Enhancement: As of the October 2020 remittance, the pool's aggregate principal balance has been reduced by 0.9% to $1.50 billion from $1.51 billion at issuance. Twenty-four loans (55.4% of the pool) have interest only payments for the full loan term, including ten loans (37.4% of the pool) within the top 15. Seventeen loans (25.5% of the pool) have partial interest only payments, of which only three (5.2% of the pool) have begun amortizing. The remainder of the pool is amortizing. One loan (2.0% of the pool) is defeased. The pool has not experienced any losses to date, but interest shortfalls totaling $100,000 are currently impacting the class NR-RR certificates, which are not rated by Fitch. Coronavirus Exposure: Significant economic impact to certain hotels, retail and multifamily properties is expected from the coronavirus pandemic, due to the recent and sudden reductions in travel and tourism, temporary property closures and lack of clarity on the potential length of the impact. The pandemic has prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Eleven loans (18.4% of the pool) are secured by hotel loans. Excluding the specially serviced loans, the hotel loans have a weighted average (WA) DSCR of 2.45x. Inclusive of the specially serviced hotel loans, the WADSCR of the hotel loans is 2.31x. On average, the hotel loans can sustain an average decline of 54.3% before the NOI DSCR would fall below 1.0x. Eleven loans (14.2% of the pool) are secured by retail properties. On average, excluding the specially serviced loans, the retail loans have a WADSCR of 1.78x and would sustain a 41.9% decline in NOI before the DSCR would fall below 1.0x. Fitch applied additional stresses to hotel, retail and multifamily loans to account for potential cash flow disruptions due to the coronavirus pandemic. These additional stresses contributed to the Negative Outlooks on classes E-RR, F-RR and G-RR. Investment Grade Credit Opinion Loans: Ten loans (18.1% of the pool) received investment-grade credit opinions at issuance, including three loans in the top 15. Apple Campus (4.6% of the pool), the Woods (3.9% of the pool) and Worldwide Plaza (3.4% of the pool) received 'BBB-sf', 'Asf' and 'BBB+sf' investment grade opinions, respectively at issuance. Anticipated Repayment Date Loans: Two loans, Apple Campus (4.6% of the pool) and Marina Heights State Farm (2.8% of the pool), have anticipated repayments dates (ARD) in 2027 and 2028, respectively. Should Apple Campus 3 not pay off by its ARD date, then the interest rate will increase by 150 bps, with all cash flow swept and applied to the hyper-amortization of the loan. RATING SENSITIVITIES The Negative Outlooks on classes E-RR, F-RR and G-RR reflect increased loss expectations on the specially serviced loans and Fitch Loans of Concern which are primarily secured by hotel and retail properties, given the decline in travel and commerce as a result of the coronavirus pandemic. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in credit enhancement (CE) and/or defeasance in addition to the stabilization of properties impacted from the coronavirus pandemic. Upgrades of the 'BBB+sf' and below-rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'Bsf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. The Negative Outlooks on classes E-RR, F-RR and G-RR may be revised back to Stable should the performance of the specially serviced loans and/or FLOCs improve, property valuations improve and recoveries are better than expected, or workout plans of the specially serviced loans and/or properties impacted by the coronavirus stabilize once the pandemic is over. Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the senior classes, rated 'AAAsf' through 'A-sf', are not likely given the high credit enhancement and position in the capital structure but are possible if a significant proportion of the pool defaults. Downgrades to the classes rated 'BBB+sf' and below would occur if the performance of the FLOCs and/or specially serviced loans continues to decline or fails to stabilize. Additionally, further Outlook revisions and downgrades to classes E-RR, F-RR and G-RR could occur. 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, downgrades to the senior classes could occur and classes with Negative Outlooks could be downgraded one or more categories. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS Benchmark 2018-B2 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to higher exposure to retail properties, including a regional retail mall, which has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. 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. BENCHMARK 2018-B8: Fitch Affirms B- Rating on Cl. G-RR Debt ----------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Benchmark 2018-B8 Mortgage Trust. RATING ACTIONS BMARK 2018-B8 Class A-1 08162UAS9; LT AAAsf Affirmed; previously AAAsf Class A-2 08162UAT7; LT AAAsf Affirmed; previously AAAsf Class A-3 08162UAU4; LT AAAsf Affirmed; previously AAAsf Class A-4 08162UAV2; LT AAAsf Affirmed; previously AAAsf Class A-5 08162UAW0; LT AAAsf Affirmed; previously AAAsf Class A-S 08162UBA7; LT AAAsf Affirmed; previously AAAsf Class A-SB 08162UAX8; LT AAAsf Affirmed; previously AAAsf Class B 08162UBB5; LT AA-sf Affirmed; previously AA-sf Class C 08162UBC3; LT A-sf Affirmed; previously A-sf Class D 08162UAC4; LT BBBsf Affirmed; previously BBBsf Class E-RR 08162UAE0; LT BBB-sf Affirmed; previously BBB-sf Class F-RR 08162UAG5; LT BB-sf Affirmed; previously BB-sf Class G-RR 08162UAJ9; LT B-sf Affirmed; previously B-sf Class X-A 08162UAY6; LT AAAsf Affirmed; previously AAAsf Class X-B 08162UAZ3; LT AA-sf Affirmed; previously AA-sf Class X-D 08162UAA8; LT BBBsf Affirmed; previously BBBsf KEY RATING DRIVERS Increased Loss Expectations: Pool performance remains relatively stable; however, loss expectations have increased due to the underperformance of several loans and increased number of Fitch Loans of Concern (FLOCs). Fitch has identified five FLOCs (17.5%), including the only specially serviced loan in the pool (5.4%), which recently transferred due to coronavirus-related performance issues. Fitch Loans of Concern: Embassy Suites Anaheim (5.4%) is the third largest loan in the pool and the only specially serviced loan. The loan is secured by a 375-key full-service hotel located in Garden Grove, CA. The property is located in the Anaheim Resort District and is heavily reliant on tourism to nearby amusement parks and other demand drivers. The loan transferred in June 2020 for payment default having missed monthly payments since March 2020. A forbearance agreement was granted which allowed, among other items, the borrower to tap into reserve funds to service debt. As of the TTM period ending August 2020, the hotel's occupancy, ADR, and RevPAR penetration rates were 77.8%, 112.6%, and 87.6%, respectively. 3 Huntington Quadrangle (4.5%) is secured by a 409,000-sf suburban office property located in Melville, NY, on Long Island. Travelers Indemnity, the second largest tenant, previously occupied 29% of the property's net rentable area (NRA). The tenant vacated at lease expiration in July 2020. As a result, occupancy fell to 62% from 94% at YE 2019. Efforts to re-lease the space remain ongoing. The loss of Travelers has also triggered a cash flow sweep. Fitch's analysis assumed a 25% stress to NOI to account for the loss of the tenant. Crown Plaza Melbourne (3.6%) is secured by a 290-key full-service hotel located in Melbourne, FL. Melbourne is 70 miles from Orlando and is located on Florida's Space Coast, both of which are premier demand drivers in the area. The property had previously gone offline from September 2017 to March 2018 after suffering damage from Hurricane Irma. Performance is struggling again due to the coronavirus pandemic. According to the servicer, the borrower and servicer are working towards a modification agreement. Additionally, the loan is currently under cash management as the debt service coverage ratio (DSCR) fell below a predetermined level; YE 2019 NOI DSCR was 1.25x. The hotel's occupancy, ADR, and RevPAR penetration rates as of the June 2020 TTM period were 83.5%, 98.5%, and 82.3%, respectively. Fitch's analysis assumed a 26% stress to NOI to reflect continued performance concerns from the coronavirus pandemic. The final two FLOCs are outside of the top 15. TripAdvisor HQ (2.2%) is secured by a 280,892-sf single-tenant suburban office property located in Needham, MA. The property was built-to-suit as the headquarters for TripAdvisor on an absolute NNN lease through December 2030, 28 months after the loan's anticipated repayment date in August 2028. In April 2020, TripAdvisor announced layoffs of approximately 25% of its workforce and permanently closed its downtown Boston and San Francisco offices. Subsequently, in June 2020, TripAdvisor placed 100,000-sf at the subject property (35.6% of NRA) on the subleasing market. Fitch's analysis incorporated a 20% NOI stress due to the recent layoffs and subleasing news. Glenn Hotel Downtown Atlanta (1.8%) is secured by a 110-key full-service hotel located in downtown Atlanta, GA. The hotel is affiliated with the Marriott flag with a long-term agreement expiring in 2038. While 2019 performance remained strong, the property has suffered significantly in 2020 due to the effects of the coronavirus pandemic. As of June 2020, property occupancy has fallen to 30%, down from 78% at YE 2019. Additionally, the property was not generating cash flow through 2Q20. Fitch's analysis assumed a 26% NOI stress to YE 2019 cash flow to reflect continued performance concerns amidst the coronavirus pandemic. Limited Change in Credit Enhancement: There have been minimal changes in credit enhancement (CE) since issuance due to limited amortization, no loan payoffs, and no defeasance. As of the October 2020 distribution date, the pool's aggregate balance has been paid down by 0.3% to $1.046 billion from $1.049 billion at issuance. Twenty-three loans (70.1%) are full term interest only. Thirteen loans (19.3%) are structured with partial interest only periods, one (0.5%) of which has begun amortizing. There are currently interest shortfalls impacting the non-rated class NR-RR. Coronavirus Exposure: There are five loans (15%) in the pool that are secured by hotel properties and 15 loans (27.3%) that are secured by retail properties. Excluding the specially serviced loan, the hotel loans have a weighted average NOI DSCR of 2.15x and can sustain a 46% decline in NOI before DSCR falls below 1.00x. The retail loans have a weighted average NOI DSCR of 2.01x and can sustain a 48% decline in NOI before DSCR falls below 1.00x. Fitch applied additional coronavirus-related stresses to three non-specially serviced hotel loans and three retail loans to reflect potential cash flow disruptions due to the coronavirus pandemic. This analysis contributed to maintaining the Negative Rating Outlooks. Alternative Loss Considerations: Fitch applied an additional sensitivity analysis that considered a 25% loss to the current balance of the TripAdvisor HQ loan due to concerns with the single tenant's business model given the negative impact on the travel industry as a result of the coronavirus pandemic. The single tenant has already placed a portion of its space on the subleasing market. Fitch has concerns with the recent increase in available subleasing space in the general office market sector as a result of businesses resizing their space needs due to economic uncertainty and the ability for employees to work from home. This additional stressed scenario did not result in any changes to the ratings. Credit Opinion Loans: Five loans (19.3%) received an investment-grade credit opinion at issuance; Aventura Mall, Moffett Towers - Buildings E, F, G, Workspace, DUMBO Heights Portfolio, and Moffett Towers II. RATING SENSITIVITIES The Negative Outlook on classes F-RR and G-RR reflect the potential for downgrades given an increase in loss expectations due to concerns related to the ongoing pandemic. The Stable Rating Outlooks on classes A-1 through E-RR reflect continued amortization and generally stable loss expectations, despite the increase in FLOCs. Factors that Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades to classes B and C would likely occur with significant improvement in CE and/or defeasance. However, adverse selection, increased concentrations or the underperformance of a particular loan(s) may limit the potential for future upgrades. An upgrade to classes D and E-RR are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. Upgrades to classes F-RR and G-RR are not likely until the later years of the transaction, and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the class. Factors that Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the senior A-1, A-2, A-3, A-4, A-AB, A-BP and A-S classes, along with class B, are not expected given the overall stable performance of the pool, their position in the capital structure and sufficient CE, but may occur if interest shortfalls occur or losses increase considerably. A downgrade to classes C, D, and E-RR would occur should several loans transfer to special servicing and/or as pool losses significantly increase. A downgrade to classes F-RR and G-RR is likely should the performance of the FLOCs fail to stabilize and/or as losses materialize and CE becomes eroded. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BENCHMARK 2020-B20: Fitch Assigns B-sf Rating on 2 Tranches ----------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to Benchmark 2020-B20 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2020-B20. RATING ACTIONS -- $13.0 million class A-1 'AAAsf'; Outlook Stable; -- $69.7 million class A-2 'AAAsf'; Outlook Stable; -- $68.9 million class A-3 'AAAsf'; Outlook Stable; -- $170.0 million class A-4 'AAAsf'; Outlook Stable; -- $260.6 million class A-5 'AAAsf'; Outlook Stable; -- $18.5 million class A-SB 'AAAsf'; Outlook Stable; -- $667.3 million 'a' class X-A 'AAAsf'; Outlook Stable; -- $79.4 million 'a' class X-B 'A-sf'; Outlook Stable; -- $66.5 million class A-S 'AAAsf'; Outlook Stable; -- $38.6 million class B 'AA-sf'; Outlook Stable; -- $40.8 million class C 'A-sf'; Outlook Stable; -- $50.4 million 'ab' class X-D 'BBB-sf'; Outlook Stable; -- $12.9 million 'ab' class X-F 'BB+sf'; Outlook Stable; -- $10.7 million 'ab' class X-G 'BB-sf'; Outlook Stable; -- $8.58 million 'ab' class X-H 'B-sf'; Outlook Stable; -- $29.0 million 'b' class D 'BBBsf'; Outlook Stable; -- $21.5 million 'b' class E 'BBB-sf'; Outlook Stable; -- $12.9 million 'b' class F 'BB+sf'; Outlook Stable; -- $10.7 million 'b' class G 'BB-sf'; Outlook Stable; -- $8.58 million 'b' class H 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $29.0 million 'ab' class X-NR; -- $29.0 million 'b' class NR; -- $35.4 million 'bc' class RR; -- $9.75 million 'bc' class RRI. (a) Notional amount and IO. (b) Privately placed and pursuant to Rule 144A. (c) Vertical credit risk retention interest. Since Fitch published its expected ratings on Oct. 13, 2020, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be approximately $430.6 million, subject to a variance of plus or minus 5%. The final class balances for classes A-4 and A-5 are $170 million and $261 million, respectively. The classes above reflect the final ratings and deal structure. TRANSACTION SUMMARY The certificates and uncertificated RR Interest represent the beneficial ownership interest in the trust, primary assets of which are 34 fixed-rate loans secured by 89 commercial properties having an aggregate principal balance of $903.5 million as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc., JPMorgan Chase Bank, National Association, Goldman Sachs Mortgage Company and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 49.3% of the properties by balance, cash flow analysis of 93.1% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage than Recent Transactions: The pool has slightly higher than average leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch loan-to-value loan/value ratio (LTV) of 101.0% is higher than YTD 2020 average of 99.1% but lower than the 2019 average of 103.0%. The pool's Fitch debt service coverage ratio (DSCR) of 1.32x is consistent with the YTD 2020 average of 1.32x and slightly better than the 2019 average of 1.26x. Excluding credit opinion loans, the pool's weighted average (WA) DSCR and LTV are 1.25 and 110.7, respectively. Credit Opinion Loans: The pool includes three loans, representing 19.9% of the deal, that received investment-grade credit opinions. This falls between the YTD 2020 and 2019 averages of 27.3% and 14.2%, respectively. Moffett Place - Building 6 (8.3% of pool) received a stand-alone credit opinion of 'BBB-sf*'; MGM Grand and Mandalay Bay (7.7% of pool) received a stand-alone credit opinion of 'BBB+sf*'; and Agellan Portfolio (3.9% of pool) received a stand-alone credit opinion of 'A-sf*'. Property Type Representation: Office properties represent the largest property type concentration at 67.5% of the pool, which is notably higher than the YTD 2020 and 2019 average office concentrations of 39.0% and 34.2%, respectively. While the pool is highly exposed to Office, these properties generally consist of better-quality assets located in core markets. Additionally, the pool has a relatively low exposure to Retail properties (7.8% of the pool) and Hotel properties (7.7% of the pool). RATING SENSITIVITIES This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Declining cash flow decreases property value and capacity to meet its debt service obligations. The table indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Factors that could, individually or collectively, lead to a negative rating action/downgrade: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /' BB-sf' / 'B-sf'; 10% NCF Decline: 'A+sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' /'CCCsf' / 'CCCsf'; 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'B+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; 30% NCF Decline: 'BBBsf' / 'BB+sf' / 'Bsf' / 'CCCsf'/ 'CCCsf' / 'CCCsf' / 'CCCsf'. Factors that could, individually or collectively, lead to a positive rating action/upgrade: Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The table indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /' BB-sf' / 'B-sf'; 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'A+sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS 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. BRAVO RESIDENTIAL 2020-RPL2: DBRS Gives Prov. B Rating on B-2 Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2020-RPL2 (the Notes) to be issued by BRAVO Residential Funding Trust 2020-RPL2 (BRAVO 2020-RPL2 or the Trust): -- $251.9 million Class A-1 at AAA (sf) -- $21.6 million Class A-2 at AA (sf) -- $273.6 million Class A-3 at AA (sf) -- $291.8 million Class A-4 at A (sf) -- $309.1 million Class A-5 at BBB (sf) -- $18.3 million Class M-1 at A (sf) -- $17.3 million Class M-2 at BBB (sf) -- $11.2 million Class B-1 at BB (sf) -- $10.4 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Notes reflects 35.90% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 30.40%, 25.75%, 21.35%, 18.50%, and 15.85% of credit enhancement, respectively. This transaction is a securitization of a portfolio of seasoned reperforming first-lien residential mortgages funded by the issuance of the Notes, which are backed by 2,149 loans with a total principal balance of $393,055,016 as of the Cut-Off Date (September 30, 2020). The loans are approximately 167 months seasoned and contain 90.4% modified loans. The modifications happened more than two years ago for 94.1% of the modified loans. Within the pool, 911 mortgages have non-interest-bearing deferred amounts, which equate to approximately 11.1% of the total principal balance. Additionally, there are twenty loans with Home Affordable Modification Program and proprietary principal forgiveness (PRA) amounts, which comprise less than 0.1% of the total principal balance. These PRA amounts will not be included in the offered note balances and will be allocated separately to the Class PRA Notes. As of the Cut-Off Date, 90.9% of the pool is current, 4.7% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 4.4% is in bankruptcy. All bankruptcy loans are either current or 30 days delinquent. Approximately 78.1% and 80.4% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. The majority of the pool (99.5%) is not subject to the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The remaining 0.5% of the pool may be subject to the ATR rules but a designation was not provided. As such, DBRS Morningstar assumed these loans to be non-QM in its analysis PMIT Residential Funding I LLC. (the Depositor), an affiliate of Loan Funding Structure LLC (the Sponsor), will acquire the loans and will contribute them to the Trust. The Sponsor or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in the offered Notes, consisting of 5% of each class to satisfy the credit risk retention requirements. The mortgage loans will be serviced by Rushmore Loan Management Services LLC. For this transaction, the aggregate servicing fee paid from the Trust will be 0.25%. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the holder of the Trust certificates may purchase all of the mortgage loans and real estate owned (REO) properties from the issuer at a price equal to the sum of principal balance of the mortgage loans; accrued and unpaid interest thereon; the fair market value of REO properties net of liquidation expenses; unpaid servicing advances; and any fees, expenses, or other amounts owed to the transaction parties (optional termination). The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate bonds will not be paid from principal proceeds until the Class A-1 and A-2 Notes are retired. Coronavirus Pandemic and Forbearance 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. Reperforming Loans (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential home loans. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for the past six months to 24 months since issuance. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020) for the RPL asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the RPL asset class, while the full effect of the coronavirus pandemic may not occur until a few performance cycles later, DBRS Morningstar generally believes that loans that were previously delinquent, recently modified, or have higher updated loan-to-value ratios (LTVs) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert back to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinancing opportunities and, therefore, slower prepayments. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, approximately 14.6% of the borrowers are on or have completed a relief plan because the borrowers reported financial hardship related to the pandemic but currently only 2.9% of the borrowers are on an active pandemic-related relief plan. These deferral or forbearance plans allow temporary payment holidays, followed by repayment once the specified period ends. DBRS Morningstar understands that the Servicer generally offers the deferral of the unpaid principal and interest amounts as a main form of payment relief in place of a repayment plan. A deferral creates a non-interest-bearing amount that is due and payable at the maturity of the contract or when the contract is refinanced. The loans for which the deferrals were granted are reported as current for the duration of the deferral period, though the actual payments are not made but deferred. The Servicer may also pursue other loss mitigation options, as applicable. For this transaction, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower principal and interest (P&I) collections and (2) no servicing advances on delinquent P&I payments. These assumptions include: (1) Increased delinquencies for the first 12 months at the AAA (sf) and AA (sf) rating levels. (2) Increased delinquencies for the first nine months at the A (sf) and below rating levels. (3) No voluntary prepayments for the first 12 months for the AAA (sf) and AA (sf) rating levels. (4) No liquidation recovery for the first 12 months for the AAA (sf) and AA (sf) rating levels. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2020-RPL2: Fitch Rates Class B-2 Notes 'B' ------------------------------------------------------------ Fitch rates the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2020-RPL2 (BRAVO 2020-RPL2). RATING ACTIONS BRAVO 2020-RPL2 Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2; LT AAsf New Rating; previously AA(EXP)sf Class A-3; LT AAsf New Rating; previously AA(EXP)sf Class A-4; LT Asf New Rating; previously A(EXP)sf Class A-5; LT BBBsf New Rating; previously BBB(EXP)sf Class AIOS; LT NRsf New Rating; previously NR(EXP)sf Class B; LT NRsf New Rating; previously NR(EXP)sf Class B-1; LT BBsf New Rating; previously BB(EXP)sf Class B-2; LT Bsf New Rating; previously B(EXP)sf Class B-3; LT NRsf New Rating; previously NR(EXP)sf Class B-4; LT NRsf New Rating; previously NR(EXP)sf Class B-5; LT NRsf New Rating; previously NR(EXP)sf Class M-1; LT Asf New Rating; previously A(EXP)sf Class M-2; LT BBBsf New Rating; previously BBB(EXP)sf Class PRA; LT NRsf New Rating; previously NR(EXP)sf Class SA; LT NRsf New Rating; previously NR(EXP)sf Class X; LT NRsf New Rating; previously NR(EXP)sf TRANSACTION SUMMARY The notes are supported by one collateral group that consists of 2,149 seasoned performing loans (SPLs) and re-performing loans (RPLs) with a total balance of approximately $393.1 million, which includes $43.8 million, or 11.1%, of the aggregate pool balance in noninterest-bearing deferred principal amounts, KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage, SPLs and RPLs. A total of 4.8% of the pool was 30 days delinquent as of the statistical calculation date, and 17% of loans are current but have had recent delinquencies or incomplete 24-month pay strings. A total of 78% of the loans have been paying on time for the past 24 months. Roughly 90% has been modified. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf'- and 'AAsf'-rated notes prior to other principal distributions is highly supportive of timely interest payments to that class in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf'- and 'AAsf'-rated classes. Expected Payment Forbearance and Deferrals Related to Coronavirus (Negative): To account for the potential for cash flow disruptions, Fitch assumed deferred payments on a minimum of 40% of the pool for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. The 40% assumption is based on observed peak delinquencies for legacy Alt-A collateral. Under these assumptions the 'AAAsf'- and 'AAsf'-classes did not incur any shortfalls and are expected to receive timely payments of interest. The cash flow waterfall providing for principal otherwise distributable to the lower-rated bonds to pay timely interest to the 'AAAsf' and 'AAsf' bonds and availability of excess spread also mitigate the risk of interest shortfalls. The 'Asf'- through 'Bsf'-rated classes incurred temporary interest shortfalls that were ultimately recovered. Representation Framework (Negative): The reps and warranties (R&W) framework is generally consistent with Tier 2 quality. The framework contains an optional breach review for loans that have been liquidated with a realized loss which is triggered at the discretion of the controlling holder. However, 25% of the aggregate bond holders may also initiate a review. Loan level R&Ws also include knowledge qualifiers without a clawback provision. In addition to qualifying as Tier 2, the framework is subject to a one-year sunset from the close of the transaction, at which point any potential claim would be made whole through a breach reserve account. The aggregate adjustment resulted in a 227bps addition to the expected losses at the 'AAAsf'-rating stress. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper Market Value Declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to a negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words, positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. CRITERIA VARIATION Fitch's analysis incorporated one criterion variation from the "U.S. RMBS Rating Criteria." The variation relates to the tax/title review. The tax/title review was outdated (over six months ago) on 100% of the reviewed loans by loan count. Approximately 99% of lien searches were performed within at least 12 months of the transaction closing date, and the remaining 1% were performed about 18 months from the closing date. The servicer has a responsibility in line with the transaction documents to advance these payments to maintain the trust's interest and position in the loans. There was no rating impact. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, LLC (AMC) and Opus Capital Markets Consultants (Opus). The third-party due diligence described in Form 15E focused on a regulatory compliance review that tested for applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth in Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA) as well as an updated tax, title and lien search. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: -- 40 loans had an indeterminate HUD1 and were located in Freddie Mac's 'Do Not Purchase List' and received a 100% loss severity; -- 110 loans had an indeterminate HUD1 and were not located in Freddie Mac's 'Do Not Purchase List' and received a 5% loss severity increase; -- 312 loans has outstanding tax or liens that were added to the model loss severity. This/These adjustment(s) resulted in a 50bps increase to the 'AAAsf'-expected loss. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. BX TRUST 2019-OC11: Moody's Confirms 'Ba3' at Class HRR Certs ------------------------------------------------------------- Moody's Investors Service, has affirmed the ratings of six classes and confirmed the ratings on two classes in BX Trust 2019-OC11, Commercial Mortgage Pass-Through Certificates, Series 2019-OC11 as follows: Cl. A, Affirmed Aaa (sf); previously on Dec 13, 2019 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Dec 13, 2019 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 13, 2019 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 13, 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. HRR, Confirmed at Ba3 (sf); previously on Apr 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. X-A*, Affirmed Aaa (sf); previously on Dec 13, 2019 Definitive Rating Assigned Aaa (sf) Cl. X-B*, Affirmed A2 (sf); previously on Dec 13, 2019 Definitive Rating Assigned A2 (sf) * Reflects interest-only classes 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. The ratings on Cl. E and Cl. HRR were confirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, are within acceptable ranges. The rating actions also consider the senior unsecured rating of MGM Resorts International of Ba3. The ratings are based on the stabilized and sustainable real estate collateral value with consideration given to the guarantee provided by MGM. The ratings on the two IO classes were affirmed based on the credit quality of their referenced classes. These actions conclude the review for downgrade initiated on April 17, 2020 for Cl. E 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. Its analysis has considered the effect on the performance of commercial real estate from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of 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 rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. The methodologies used in rating interest-only classes were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. DEAL PERFORMANCE As of the October 9, 2020 distribution date, the transaction's certificate balance remained unchanged at $1.91 billion, the same as securitization. The certificates are collateralized by a 10-year, interest only, fixed-rate loan backed by a first lien commercial mortgage related to The Bellagio Hotel & Resort (Bellagio). The whole loan of $3.01 billion has a split structure of a trust loan components of $1.91 billion and companion loan components totaling $1.1 billion. The trust comprises of trust A notes and trust B notes (totaling $1.2267 billion) plus trust C notes (totaling $683 million). The non-trust companion loan components and trust A notes and trust B notes are pari passu. The trust C notes are subordinate to both trust A notes and trust B notes as well as companion loan components. The Bellagio is a AAA Five Diamond full-service resort and casino located on 77 acres on the Las Vegas Strip. The hotel contains 3,933 guestrooms and suites across two hotel towers -- Main Tower (3,005 rooms) and Spa Tower (928 rooms). The property offers 154,000 SF of casino space, 200,000 SF of meeting facilities, 29 restaurants, lounges, and bars, 94,000 SF of retail space, approximately 55,000 SF of spa facilities, five swimming pools, Bellagio Gallery of Fine Art, Bellagio Conservatory and Botanical Gardens, and the Bellagio Fountains. The property is in Las Vegas, and relies on both leisure demand during the weekend and group and convention business during the week. The weekend leisure business continues to improve but group and convention may require a much longer recovery period. Moody's expect that Las Vegas strip operator revenue and profits will lag regional casinos as leisure customers return before long-distance travelers. Las Vegas operators rely heavily on large and highly profitable midweek conference bookings and attendance that typically depend on long-distance travel. The property's operations have been significantly impacted by the coronavirus pandemic. As a result of the property's temporary closure and the fallout from travel bans and social distancing measures, the property did not generate enough EBIDTA during the second quarter of 2020 to cover operating expenses. The loan has remained current as of the current distribution date. The loan sponsor, BREIT Operating Partnership L.P., acquired the Bellagio property in a sale-leaseback transaction from Bellagio, LLC (an indirectly, wholly owned subsidiary of MGM Resorts International). In conjunction with the sale, Bellagio, LLC entered into a new 30-year lease, with two, 10-year extension options to operate the property. Under the lease, the tenant is required to pay to the borrower an initial lease rent of $245 million per annum, subject to 2.0% increases annually for the first ten years of the lease term, and thereafter at the greater of 2.0% or CPI (capped at 3.0% in years 11-20 and 4.0% thereafter) for the remainder of the initial lease term. The Bellagio benefits from a guarantee provided by MGM. The guarantee covers payment and performance of all monetary obligations and certain other obligations of Bellagio tenant under the Bellagio lease. MGM also guarantees any principal shortfalls following foreclosure of the subject mortgage loan. MGM is assigned a senior unsecured rating of Ba3 with a Negative Outlook, and the ratings on the certificates may be raised or lowered if MGM's rating changes during the loan term. The first mortgage balance represents a Moody's stabilized LTV of 95%. Moody's first mortgage stressed debt service coverage ratio (DSCR) is 1.36X. However, these metrics are based on return of both leisure and group and meeting demand which may lag that of the overall US pace of recovery. There are no interest shortfalls or losses outstanding as of the current distribution date. CD MORTGAGE 2017-CD6: Fitch Affirms B-sf Rating on Class G-RR Debt ------------------------------------------------------------------ Fitch Ratings has affirmed 16 classes of CD 2017-CD6 Mortgage Trust Series 2017-CD6. In addition, Fitch has revised the Rating Outlook for one class to Negative from Stable. RATING ACTIONS CD 2017-CD6 Class A-1 125039AA5; LT AAAsf Affirmed; previously at AAAsf Class A-2 125039AB3; LT AAAsf Affirmed; previously at AAAsf Class A-3 125039AC1; LT AAAsf Affirmed; previously at AAAsf Class A-4 125039AE7; LT AAAsf Affirmed; previously at AAAsf Class A-5 125039AF4; LT AAAsf Affirmed; previously at AAAsf Class A-M 125039AH0; LT AAAsf Affirmed; previously at AAAsf Class A-SB 125039AD9; LT AAAsf Affirmed; previously at AAAsf Class B 125039AJ6; LT AA-sf Affirmed; previously at AA-sf Class C 125039AK3; LT A-sf Affirmed; previously at A-sf Class D 125039AQ0; LT BBBsf Affirmed; previously at BBBsf Class E-RR 125039AS6; LT BBB-sf Affirmed; previously at BBB-sf Class F-RR 125039AU1; LT BB-sf Affirmed; previously at BB-sf Class G-RR 125039AW7; LT B-sf Affirmed; previously at B-sf Class X-A 125039AG2; LT AAAsf Affirmed; previously at AAAsf Class X-B 125039AL1; LT AA-sf Affirmed; previously at AA-sf Class X-D 125039AN7; LT BBBsf Affirmed; previously at BBBsf KEY RATING DRIVERS Increased Loss Expectations: While much of the underlying collateral performs in line with issuance expectations, loss expectations have increased due to an increase in the number of Fitch Loans of Concern (FLOCs) and specially serviced loans. Twelve loans (30.2% of pool), including eight loans (18.8%) in special servicing, were designated FLOCs. As of the October 2020 distribution period, there were five loans (8.62%) on the servicer's watchlist for low DSCR, requesting pandemic relief and rolling tenants. Additionally, loss expectations have increased due to the additional stresses Fitch applied in its analysis to reflect the coronavirus pandemic's effect on property-level performance. Specially Serviced Loans: Headquarters Plaza (7.4%) is a mixed-use office, hotel, and retail complex located in Morristown, NJ. This loan transferred to special servicing in June 2020 for payment default as a result of coronavirus pandemic related hardship. As of the July 2020 reporting period, the loan was classified as +90 Days delinquent. Per the most recent servicer updates, the borrower and special servicer are considering a modification and outside legal counsel has been assigned. Lightstone Portfolio (3.9%) is a hotel portfolio that includes seven hotels that are cross-collateralized. This loan transferred to special servicing in May 2020 due to payment default. As of the June 2020 reporting period, the loan was classified as 90+ Days delinquent. Per the most recent servicer updates, the special servicer is dual-tracking foreclosure/receivership and a forbearance/modification strategy. Promenade West End Phase II (2.1%) is a factory outlet center located in Lubbock, TX. This loan transferred to special servicing in May 2020 for imminent monetary default as a result of coronavirus pandemic related hardship. As of the July 2020 reporting period, the loan was classified as +90 Days delinquent. Per the most recent servicer updates, the borrower and special servicer are considering a modification. Hampton Inn Majestic Chicago (2.0%) is a limited service hotel located in downtown Chicago. This loan transferred to special servicing in July 2020 for payment default and as of the August 2020 payment date, the loan was classified as 90+ Days delinquent. According to the most recent servicer updates, the borrower has signed a PNA and has a submitted a request for relief from coronavirus pandemic related hardship. Workout negotiations between the special servicer and the borrower are still ongoing. Gurnee Mills (1.4%), which is secured by a 1.7 million sf portion of a 1.9 million-sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops and Kohl's. Collateral occupancy has declined to 79% at YE 2019 from 91% at issuance. Sears vacated during second-quarter 2018, and Last Call Neiman Marcus vacated during first-quarter 2018. Comparable in-line tenant sales were reported to be $340 psf as of the 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 are negotiating terms of a short-term forbearance agreement. Hampton Inn Hilton Head (.9%) is a limited service hotel located in Hilton Head Island, SC. This loan transferred to special servicing in August 2020 for payment default as a result of pandemic related hardship, and as of the August 2020 payment date, the loan was classified as 90+ Days delinquent. According to servicer commentary, the lender is reviewing a modification request. The two remaining specially serviced loans individually account for less than 1.0% of aggregate pool balance. Holiday Inn & Suites Albuquerque Airport (.7%) is a hotel property, and transferred to special servicing in August 2020 for payment default as a result of pandemic related hardship. Lakeridge Commons (.5%) is a convenience center and transferred to special servicing in May 2020 due to imminent monetary default. Minimal Change to Credit Enhancement: Due to minimal amortization and disposals; there has been minimal change to credit enhancement since issuance. As of the October 2020 distribution date, the pool's aggregate principal balance has been reduced 4.1% to $1.018 billion from $1.062 billion at issuance with 57 loans remaining. Of the remaining pool balance, 35.7% of the pool is classified as full interest-only through the term of the loan. No loans mature until December 2022. Since Fitch's prior rated action in 2019, 3600 Massie prepaid in full for approximately $19.9 million in July 2020. Exposure to Coronavirus: There are eight loans (18.3% of pool) with a weighted average NOI DSCR of 1.99x that are secured by hotel properties. Seventeen loans (17.8%) with a weighted average NOI DSCR of 1.67x are secured by retail properties. Fitch's base case analysis applied additional stresses to four hotel loan and nine retail loans, given the significant declines in property-level cash flow expected in the short term, as a result of the decrease in travel and tourism and property closures due to the pandemic. The additional stresses contributed to the Negative Outlook revision to class E-RR. Fitch Loans of Concern U-Haul SAC Portfolios 14, 15, 17 (5.5%) is secured by 23 self-storage properties located across 12 states. There are approximately 15.227 units within the portfolio, more than half of which are climate-controlled or heated. The largest concentration is in Texas with 22% of the units, followed by Massachusetts (21%) and New York (18%). The YE 2019 NOI DSCR was 1.26x, down from 1.66x at issuance. While Revenue on the portfolio has increased 32% since Issuance, operating expenses increased 160%. The loan is current. Hotel Mela Times Square (3.1%) is a 234-key hotel property located in NYC. According to watchlist commentary, subject TTM June 2020 NOI DSCR has fallen to .14x from 2.93x at YE 2019 and bank underwritten NOI DSCR at issuance of 3.31x. The subject has been closed due to the pandemic, and according to the subject's website, the subject will reopen on Oct. 19, 2020. As of the August 2020 payment date, the loan was classified as 60 Days delinquent, and has since been brought current. Fitch has inquired to the master servicer whether the borrower is seeking relief in the form of a modification/forbearance. Fitch has not yet received a response. One Imeson (2.6%) is a 1.7 million-sf warehouse/distribution center, located in Jacksonville, FL. According to the subject's June 2020 rent roll, Bacardi U.S.A. Inc. (NRA 17.05%) has three leases scheduled to expire in July 2021; and Samsonite (NRA 17.3%) has two leases scheduled to expire in October 2020. Bacardi U.S.A. Inc. paid $3.35 psf and Samsonite paid $2.59 psf in annual base rent. According to the REIS Airport/North Submarket Report for 2Q20, the submarket vacancy and asking rent was 23.3% and $4.69 psf. Fitch has inquired to the master servicer regarding a leasing update. Fitch has not yet received a response. West Burlington Plaza (.2%) is a convenience center located in West Burlington, IA. The loan is on the servicer's watchlist for concentrated rollover. The subject's two largest tenants, USCOC of Greater North Carolina (NRA 31%) and Gamestop (NRA 13.3%), have leases scheduled to expire in March and January 2021, respectively. Servicer has contacted the borrower for an update on expiring leases. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-1 through D reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Rating Outlooks on classes E-RR, F-RR and G-RR reflect the potential for downgrade due to concerns surrounding the ultimate impact of the pandemic and the performance concerns associated with the FLOCs, which include eight specially serviced loans. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. Upgrade of the 'BBBsf' class is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if were a likelihood of interest shortfalls. An upgrade to the 'BBB-sf', 'BB-sf' and 'B-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1 through A-M and the interest-only classes X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes B, C, D, X-B and X-D are possible should performance of the FLOCs continue to decline; should loans susceptible to the coronavirus pandemic not stabilize; and/or should further loans transfer to special servicing. The Rating Outlooks on these classes may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. Classes E-RR, F-RR and G-RR could be downgraded should the specially serviced loan not return to the master servicer and/or as there is more certainty of loss expectations. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks will be downgraded one or more categories. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of 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. CITIGROUP MORTGAGE 2020-EXP2: Fitch Rates Cl. B-5 Certs 'B(EXP)sf' ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage backed certificates issued by Citigroup Mortgage Loan Trust 2020-EXP2 (CMLTI 2020-EXP2). RATING ACTIONS CMLTI 2020-EXP2 Class A-1; LT AAA(EXP)sf Expected Rating Class A-1-IO1; LT AAA(EXP)sf Expected Rating Class A-1-IO2; LT AAA(EXP)sf Expected Rating Class A-1-IOX; LT AAA(EXP)sf Expected Rating Class A-1A; LT AAA(EXP)sf Expected Rating Class A-1-IOW; LT AAA(EXP)sf Expected Rating Class A-1W; LT AAA(EXP)sf Expected Rating Class A-2; LT AAA(EXP)sf Expected Rating Class A-2-IO1; LT AAA(EXP)sf Expected Rating Class A-2-IO2; LT AAA(EXP)sf Expected Rating Class A-2-IOX; LT AAA(EXP)sf Expected Rating Class A-2A; LT AAA(EXP)sf Expected Rating Class A-2-IOW; LT AAA(EXP)sf Expected Rating Class A-2W; LT AAA(EXP)sf Expected Rating Class A-3; LT AAA(EXP)sf Expected Rating Class A-3-IO1; LT AAA(EXP)sf Expected Rating Class A-3-IO2; LT AAA(EXP)sf Expected Rating Class A-3-IOX; LT AAA(EXP)sf Expected Rating Class A-3A; LT AAA(EXP)sf Expected Rating Class A-3-IOW; LT AAA(EXP)sf Expected Rating Class A-3W; LT AAA(EXP)sf Expected Rating Class A-4; LT AAA(EXP)sf Expected Rating Class A-4-IO1; LT AAA(EXP)sf Expected Rating Class A-4-IO2; LT AAA(EXP)sf Expected Rating Class A-4-IOX; LT AAA(EXP)sf Expected Rating Class A-4A; LT AAA(EXP)sf Expected Rating Class A-4-IOW; LT AAA(EXP)sf Expected Rating Class A-4W; LT AAA(EXP)sf Expected Rating Class A-5; LT AAA(EXP)sf Expected Rating Class A-5-IO1; LT AAA(EXP)sf Expected Rating Class A-5-IO2; LT AAA(EXP)sf Expected Rating Class A-5-IOX; LT AAA(EXP)sf Expected Rating Class A-5A; LT AAA(EXP)sf Expected Rating Class A-5-IOW; LT AAA(EXP)sf Expected Rating Class A-5W; LT AAA(EXP)sf Expected Rating Class B-1; LT AA(EXP)sf Expected Rating Class B-1-IO; LT AA(EXP)sf Expected Rating Class B-1-IOX; LT AA(EXP)sf Expected Rating Class B-1-IOW; LT AA(EXP)sf Expected Rating Class B-1W; LT AA(EXP)sf Expected Rating Class B-2; LT A(EXP)sf Expected Rating Class B-2-IO; LT A(EXP)sf Expected Rating Class B-2-IOX; LT A(EXP)sf Expected Rating Class B-2-IOW; LT A(EXP)sf Expected Rating Class B-2W; LT A(EXP)sf Expected Rating Class B-3; LT BBB(EXP)sf Expected Rating Class B-3-IO; LT BBB(EXP)sf Expected Rating Class B-3-IOX; LT BBB(EXP)sf Expected Rating Class B-3-IOW; LT BBB(EXP)sf Expected Rating Class B-3W; LT BBB(EXP)sf Expected Rating Class B-4; LT BB(EXP)sf Expected Rating Class B-5; LT B(EXP)sf Expected Rating Class B-6; LT NR(EXP)sf Expected Rating Class A-IO-S; LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 644 loans with a balance of $310.88 million as of the Oct. 1, 2020 cut-off date. The collateral is a mix of new origination loans seasoned less than 24 months (44%) and loans seasoned 24 months or more (56%). The loans were aggregated by Citigroup Global Markets Realty, Corp. As of the closing date, Fay Servicing, LLC (Fay), rated 'RPS3+', will be the servicer for 100% of the loans. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The collateral pool consists of fixed rate mortgage (FRM) and adjustable rate mortgage (ARM) fully amortizing loans seasoned approximately 55 months in aggregate. The borrowers in this pool have strong credit profiles (766 model FICO) and very low leverage (a 59.3% sustainable loan-to-value ratio [sLTV]). The collateral is a mix of new origination loans seasoned less than 24 months (44%) and loans seasoned 24 months or more (56%). Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.80% of the original balance will be maintained for the senior certificates, and a subordination floor of 1.45% of the original balance will be maintained for the subordinate certificates. Citigroup Global Markets Realty Corp. (CGMRC) will provide full advancing for the life of the transaction. To the extent CGMRC fails to make an advance, U.S. Bank as Trust Administrator, will be obligated to advance such amounts to the trust. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Payment Forbearance (Neutral): As of the cutoff date, no loans in the pool are currently under a coronavirus-related forbearance or deferral plan. There are 11 borrowers in the pool that called in to inquire about a coronavirus plan, but a plan was never put in place. There are six borrowers that were previously on coronavirus-related forbearance plans, but all of these plans have expired and the borrowers are making their monthly payments. If a borrower was on a coronavirus-related forbearance plan and is now cashflowing, they were not penalized as having a prior delinquency during that time. All borrowers in the pool are currently current. To the extent that a borrower goes on a coronavirus-related forbearance or deferral plan in the future, P&I will be advanced so long as those advances are deemed recoverable. High Investor Property Concentration (Negative): Approximately 19.3% of the pool is comprised of investor loans. All these loans were underwritten to the borrower's credit profile (credit score and debt-to-income ratio) rather than an investor cash flow program that underwrites the loan based on a debt service coverage ratio (DSCR). These loans have strong credit profiles with a 773 WA credit score and an original CLTV of 66.3%. To account for the additional risk of investor occupied home, Fitch increased the PD by 55% compared with owner-occupied homes. Third-Party Due Diligence Review (Positive): Third-party due diligence was performed on 100% of loans by SitusAMC, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. Approximately 45% of the pool is newly originated and received a full due diligence scope that includes a review of credit, regulatory compliance, and property valuation. The remaining 55% of the pool is seasoned (24 months or more) and primarily received a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations; an updated tax and title review was also completed on the season portion. Overall, Fitch applied a credit for the percentage of loan level due diligence on newly originated loans (44%) which reduced the 'AAAsf' loss expectation 11bps. R&W Framework (Positive): The sponsor, CGMRC, is providing loan-level representations and warranties (R&W) with respect to the loans in the trust. The loan level R&Ws are bifurcated to account for the seasoned and non-seasoned loan populations. Both sets of R&Ws are consistent with Fitch's criteria and contain the appropriate loan-level R&Ws to meet a Tier 1 framework. While there are two sets of R&Ws based on loan seasoning, there is one enforcement mechanism to handle potential breaches to loan-level R&Ws in either set. The mechanism is also consistent with a Tier 1 framework as it has an automatic review, binding arbitration, and breach enforcement. In addition to the framework, CGMRC is an investment-grade counterparty with a long-term Issuer Default Rating of 'A', which helps support possible repurchase obligations of the sponsor. Fitch reduced its loss expectations by 20 bps at the 'AAAsf' rating category to reflect both the Tier 1 framework and strong financial counterparty strength. The 120-day delinquency automatic review trigger will exclude loans subject to a forbearance plan or other loss mitigation measure due to a hardship resulting from a pandemic or national emergency. This will limit the number of unnecessary R&W breach reviews due to a loan going delinquent due to the coronavirus or FEMA disaster forbearance. Low Operational Risk (Neutral): Operational risk is well controlled for this transaction. Fitch has reviewed the Citigroup Global Mortgage Realty Corp (CGMRC) acquisition platform and assessed it as 'Above Average' due to its robust risk controls. Fay Servicing, LLC (Fay), rated 'RSS3+' by Fitch, is the named servicer for 100% of the loans. Fitch did not apply adjustments to the expected losses due to assessments of the counterparties involved in the transaction. Citi is also retaining at least 5% of each class of bonds to ensure an alignment of interest between the issuer and investors. There is no master servicer. CGMRC is the advancing party and is an investment-grade counterparty, rated 'A' by Fitch. To the extent CGMRC fails to make an advance, U.S. Bank as Trust Administrator, will be obligated to advance such amounts to the trust. U.S. Bank is rated 'AA-' by Fitch. Prior Delinquencies (Negative): Approximately 2.7% of the loans have experienced a delinquency in the past 24 months. Any loan which was confirmed to have a prior delinquency related to a servicing transfer was not penalized. 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 25% of the pool for the first six months of the transaction at all rating categories, with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of past-due payments following Hurricane Maria in Puerto Rico. As of the cutoff date, the issuer confirmed that no loans are on an active coronavirus relief plan. CMLTI 2020-EXP2 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in CMLTI 2020-EXP2 and include strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in expected losses. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to positive rating action/upgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade ratings. CRITERIA VARIATION Fitch's analysis included one variation from the 'U.S. RMBS Rating Criteria.' Per criteria, Fitch expects to conduct an aggregator review for seasoned and RPL aggregators. Citi's RPL/Seasoned aggregator review is outdated. 55% of the underlying collateral is considered seasoned (24+ months). 11% of the seasoned loans came from seasoned called/collapsed deals from 2003-2005 and the remaining 89% of the seasoned loans came through a bulk purchase. The seasoned loans are very high quality (96% clean pay for 24 months, high WA model FICO of 762 and very low sLTV of 49.4%) and received 100% due diligence per Fitch's criteria. Additionally, Fitch has familiarity with Citi's new origination aggregation platform and assess them as Above Average for new origination. These loans received neutral treatment in Fitch's model as a majority is from one bulk purchase and the remaining loans are from seasoned called deals. This variation did not have a rating impact. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by SitusAMC. A third-party due diligence review was completed on 100% of the loans in this transaction. The review was done by SitusAMC, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. The scope of the due diligence review varied for this transaction depending on the seasoning of the loans; approximately 45% of the transaction by loan count is seasoned less than 24 months from the cut-off date and the remaining 55% by loan count is seasoned greater than 24 months. The population seasoned less than 24 months was subject to a due diligence scope consistent with newly originated loans that includes a review of credit, regulatory compliance, and property valuation. The seasoned loan population received a diligence scope that consists primarily of regulatory compliance along with updated tax and title search, pay history review and review of servicing comments. Both review scopes for new origination and seasoned populations were consistent with Fitch criteria. Overall, Fitch applied a credit for the percentage of loan level due diligence on newly originated loans (44%) which reduced the 'AAAsf' loss expectation 11bps. Due Diligence Results - New Origination Collateral: Approximately 52% of the new origination loans were assigned a final grade of 'B'. 47% of loans were graded 'B' for compliance exceptions that primarily relate to the TILA-RESPA Integrated Disclosure (TRID) rule. Compliance exceptions were considered by the TPR to be immaterial due to being corrected with subsequent documentation post-close. Approximately 9% of the new origination loans were graded 'B' for credit exceptions. These exceptions were also considered to be immaterial as they were either approved by the originator during the underwriting process or waived by the aggregator due to the presence of compensating factors. Loss adjustments were not applied for loans with a final grade of 'B'. Due Diligence Results - Seasoned Collateral: 351 loans, or 55% of the transaction pool by loan count, are seasoned over 24 months and are subject to a due diligence scope that primarily tests for compliance to lending regulations. However, 162 seasoned loans, or approximately 25% of the transaction pool, had applications after Jan. 14, 2014 and therefore were applicable to QM/ATR testing. Therefore, these loans received a credit review in addition to the regulatory compliance review required for seasoned loans. Although the due diligence grades provided for these loans reflect a full credit, compliance and property valuation scope, Fitch believes the initial underwriting guidelines do not play as large a role in determining future ability and willingness to repay as the delinquency status and pay histories of the underlying mortgage loans. For the analysis below, Fitch focused strictly on the compliance results of the 55% of the transaction pool that is seasoned over 24 months. The regulatory compliance review indicated that 57 reviewed loans, or approximately 16% of the seasoned loan population, were found to have a material defect and therefore assigned a final grade of 'C' or 'D'. 18 of reviewed loans, or approximately 5% of seasoned sample, received a final grade of 'D' as the loan file did not have a final HUD-1. The absence of a final HUD-1 file does not allow the TPR firm to properly test for compliance surrounding predatory lending, in which statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. The remaining 39 loans with a final grade of 'C' or 'D' reflect missing final HUD-1 files that are not subject to predatory lending, missing state disclosures, and other missing documents related to compliance testing. Fitch notes that these exceptions are unlikely to add material risk to bondholders since the statute of limitations on these issues have expired. No adjustment to loss expectations were made for these 39 loans. Fitch adjusted its loss expectation at the 'AAAsf' by approximately 1 basis point to reflect the missing final HUD-1 files and 2nd lien treatment. CITIGROUP MORTGAGE 2020-EXP2: Fitch Rates Class B-5 Certs 'Bsf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage backed certificates issued by Citigroup Mortgage Loan Trust 2020-EXP2. RATING ACTIONS CMLTI 2020-EXP2 Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-1-IO1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-1-IO2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-1-IOW; LT AAAsf New Rating; previously AAA(EXP)sf Class A-1-IOX; LT AAAsf New Rating; previously AAA(EXP)sf Class A-1A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-1W; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2-IO1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2-IO2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2-IOW; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2-IOX; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2W; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3-IO1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3-IO2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3-IOW; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3-IOX; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3W; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4-IO1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4-IO2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4-IOW; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4-IOX; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4W; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-IO1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-IO2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-IOW; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-IOX; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5W; LT AAAsf New Rating; previously AAA(EXP)sf Class A-IO-S; LT NRsf New Rating; previously NR(EXP)sf Class B-1; LT AAsf New Rating; previously AA(EXP)sf Class B-1-IO; LT AAsf New Rating; previously AA(EXP)sf Class B-1-IOW; LT AAsf New Rating; previously AA(EXP)sf Class B-1-IOX; LT AAsf New Rating; previously AA(EXP)sf Class B-1W; LT AAsf New Rating; previously AA(EXP)sf Class B-2; LT Asf New Rating; previously A(EXP)sf Class B-2-IO; LT Asf New Rating; previously A(EXP)sf Class B-2-IOW; LT Asf New Rating; previously A(EXP)sf Class B-2-IOX; LT Asf New Rating; previously A(EXP)sf Class B-2W; LT Asf New Rating; previously A(EXP)sf Class B-3; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3-IO; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3-IOW; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3-IOX; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3W; LT BBBsf New Rating; previously BBB(EXP)sf Class B-4; LT BBsf New Rating; previously BB(EXP)sf Class B-5; LT Bsf New Rating; previously B(EXP)sf Class B-6; LT NRsf New Rating; previously NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 644 loans with a balance of $310.88 million as of the Oct. 1, 2020 cut-off date. The collateral is a mix of new origination loans seasoned less than 24 months (44%) and loans seasoned 24 months or more (56%). The loans were aggregated by Citigroup Global Markets Realty, Corp. As of the closing date, Fay Servicing, LLC (Fay), rated 'RSS3+', will be the servicer for 100% of the loans. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The collateral pool consists of fixed rate mortgage (FRM) and adjustable rate mortgage (ARM) fully amortizing loans seasoned approximately 55 months in aggregate. The borrowers in this pool have strong credit profiles (766 model FICO) and very low leverage (a 59.3% sustainable loan-to-value ratio [sLTV]). The collateral is a mix of new origination loans seasoned less than 24 months (44%) and loans seasoned 24 months or more (56%). Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.80% of the original balance will be maintained for the senior certificates, and a subordination floor of 1.45% of the original balance will be maintained for the subordinate certificates. Citigroup Global Markets Realty Corp. (CGMRC) will provide full advancing for the life of the transaction. To the extent CGMRC fails to make an advance, U.S. Bank as Trust Administrator, will be obligated to advance such amounts to the trust. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Payment Forbearance (Neutral): As of the cutoff date, no loans in the pool are currently under a coronavirus-related forbearance or deferral plan. There are 11 borrowers in the pool that called the issuer to inquire about a coronavirus plan, but a plan was never put in place. There are six borrowers that were previously on coronavirus-related forbearance plans, but all of these plans have expired and the borrowers are making their monthly payments. If a borrower was on a coronavirus-related forbearance plan and is now cashflowing, they were not penalized as having a prior delinquency during that time. All borrowers in the pool are currently current. To the extent that a borrower goes on a coronavirus-related forbearance or deferral plan in the future, P&I will be advanced so long as those advances are deemed recoverable. High Investor Property Concentration (Negative): Approximately 19.3% of the pool is comprised of investor loans. All of these loans were underwritten to the borrower's credit profile (credit score and debt-to-income ratio) rather than an investor cash flow program that underwrites the loan based on a debt service coverage ratio (DSCR). These loans have strong credit profiles with a 773 WA credit score and an original CLTV of 66.3%. To account for the additional risk of investor occupied home, Fitch increased the PD by 55% compared with owner-occupied homes. Third-Party Due Diligence Review (Positive): Third-party due diligence was performed on 100% of loans by SitusAMC, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. Approximately 45% of the pool is newly originated and received a full due diligence scope that includes a review of credit, regulatory compliance and property valuation. The remaining 55% of the pool is seasoned (24 months or more) and primarily received a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations; an updated tax and title review was also completed on the season portion. Overall, Fitch applied a credit for the percentage of loan level due diligence on newly originated loans (44%) which reduced the 'AAAsf' loss expectation 11bps. R&W Framework (Positive): The sponsor, CGMRC, is providing loan-level representations and warranties (R&W) with respect to the loans in the trust. The loan level R&Ws are bifurcated to account for the seasoned and non-seasoned loan populations. Both sets of R&Ws are consistent with Fitch's criteria and contain the appropriate loan-level R&Ws to meet a Tier 1 framework. While there are two sets of R&Ws based on loan seasoning, there is one enforcement mechanism to handle potential breaches to loan-level R&Ws in either set. The mechanism is also consistent with a Tier 1 framework as it has an automatic review, binding arbitration and breach enforcement. In addition to the framework, CGMRC is an investment-grade counterparty with a long-term Issuer Default Rating of 'A', which helps support possible repurchase obligations of the sponsor. Fitch reduced its loss expectations by 20 bps at the 'AAAsf' rating category to reflect both the Tier 1 framework and strong financial counterparty strength. The 120-day delinquency automatic review trigger will exclude loans subject to a forbearance plan or other loss mitigation measure due to a hardship resulting from a pandemic or national emergency. This will limit the number of unnecessary R&W breach reviews due to a loan going delinquent due to the coronavirus or FEMA disaster forbearance. Low Operational Risk (Neutral): Operational risk is well controlled for this transaction. Fitch has reviewed the Citigroup Global Mortgage Realty Corp (CGMRC) acquisition platform and assessed it as 'Above Average' due to its robust risk controls. Fay Servicing, LLC (Fay), rated 'RSS3+' by Fitch, is the named servicer for 100% of the loans. Fitch did not apply adjustments to the expected losses due to assessments of the counterparties involved in the transaction. Citi is also retaining at least 5% of each class of bonds to ensure an alignment of interest between the issuer and investors. There is no master servicer. CGMRC is the advancing party and is an investment-grade counterparty, rated 'A' by Fitch. To the extent CGMRC fails to make an advance, U.S. Bank as Trust Administrator, will be obligated to advance such amounts to the trust. U.S. Bank is rated 'AA-' by Fitch. Prior Delinquencies (Negative): Approximately 2.7% of the loans have experienced a delinquency in the past 24 months. Any loan which was confirmed to have a prior delinquency related to a servicing transfer was not penalized. 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 25% of the pool for the first six months of the transaction at all rating categories, with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of past-due payments following Hurricane Maria in Puerto Rico. As of the cutoff date, the issuer confirmed that no loans are on an active coronavirus relief plan. CMLTI 2020-EXP2 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in CMLTI 2020-EXP2 and include strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in expected losses. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to positive rating action/upgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade rating. CRITERIA VARIATION Fitch's analysis included one variation from the 'U.S. RMBS Rating Criteria.' Per criteria, Fitch expects to conduct an aggregator review for seasoned and RPL aggregators. Citi's RPL/Seasoned aggregator review is outdated. 55% of the underlying collateral is considered seasoned (24+ months). 11% of the seasoned loans came from seasoned called/collapsed deals from 2003-2005 and the remaining 89% of the seasoned loans came through a bulk purchase. The seasoned loans are very high quality (96% clean pay for 24 months, high WA model FICO of 762 and very low sLTV of 49.4%) and received 100% due diligence per Fitch's criteria. Additionally, Fitch has familiarity with Citi's new origination aggregation platform and assess them as Above Average for new origination. These loans received neutral treatment in Fitch's model as a majority is from one bulk purchase and the remaining loans are from seasoned called deals. This variation did not have a rating impact. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. A third-party due diligence review was completed on 100% of the loans in this transaction. The review was done by SitusAMC, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. The scope of the due diligence review varied for this transaction depending on the seasoning of the loans; approximately 45% of the transaction by loan count is seasoned less than 24 months from the cut-off date and the remaining 55% by loan count is seasoned greater than 24 months. The population seasoned less than 24 months was subject to a due diligence scope consistent with newly originated loans that includes a review of credit, regulatory compliance and property valuation. The seasoned loan population received a diligence scope that consists primarily of regulatory compliance along with updated tax and title search, pay history review and review of servicing comments. Both review scopes for new origination and seasoned populations were consistent with Fitch criteria. Overall, Fitch applied a credit for the percentage of loan level due diligence on newly originated loans (44%) which reduced the 'AAAsf' loss expectation 11bps. Due Diligence Results - New Origination Collateral: Approximately 52% of the new origination loans were assigned a final grade of 'B'. 47% of loans were graded 'B' for compliance exceptions that primarily relate to the TILA-RESPA Integrated Disclosure (TRID) rule. Compliance exceptions were considered by the TPR to be immaterial due to being corrected with subsequent documentation post-close. Approximately 9% of the new origination loans were graded 'B' for credit exceptions. These exceptions were also considered to be immaterial as they were either approved by the originator during the underwriting process or waived by the aggregator due to the presence of compensating factors. Loss adjustments were not applied for loans with a final grade of 'B'. Due Diligence Results - Seasoned Collateral: 351 loans, or 55% of the transaction pool by loan count, are seasoned over 24 months and are subject to a due diligence scope that primarily tests for compliance to lending regulations. However, 162 seasoned loans, or approximately 25% of the transaction pool, had applications after Jan. 14, 2014 and therefore were applicable to QM/ATR testing. Therefore, these loans received a credit review in addition to the regulatory compliance review required for seasoned loans. Although the due diligence grades provided for these loans reflect a full credit, compliance and property valuation scope, Fitch believes the initial underwriting guidelines do not play as large a role in determining future ability and willingness to repay as the delinquency status and pay histories of the underlying mortgage loans. For the analysis, Fitch focused strictly on the compliance results of the 55% of the transaction pool that is seasoned over 24 months. The regulatory compliance review indicated that 57 reviewed loans, or approximately 16% of the seasoned loan population, were found to have a material defect and therefore assigned a final grade of 'C' or 'D'. Eighteen of the reviewed loans, or approximately 5% of seasoned sample, received a final grade of 'D' as the loan file did not have a final HUD-1. The absence of a final HUD-1 file does not allow the TPR firm to properly test for compliance surrounding predatory lending, in which statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. The remaining 39 loans with a final grade of 'C' or 'D' reflect missing final HUD-1 files that are not subject to predatory lending, missing state disclosures, and other missing documents related to compliance testing. Fitch notes that these exceptions are unlikely to add material risk to bondholders since the statute of limitations on these issues have expired. No adjustment to loss expectations were made for these 39 loans. Fitch adjusted its loss expectation at the 'AAAsf' by approximately 1 basis point to reflect the missing final HUD-1 files and 2nd lien treatment. ESG CONSIDERATIONS CMLTI 2020-EXP2has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to its well-controlled operational risk and strong aggregator, which has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. 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. CITIGROUP MORTGAGE 2020-EXP2: S&P Rates Class B-5 Certs 'B+ (sf)' ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Citigroup Mortgage Loan Trust 2020-EXP2's $310.9 million mortgage pass-through certificates. The issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing residential mortgage loans (some with an interest-only period), secured primarily by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 644 loans, which are primarily qualified mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; -- The mortgage aggregator, Citigroup Global Markets Realty Corp.; -- The geographic concentration; and -- The impact that the economic stress brought on by COVID-19, is likely to have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The current consensus among health experts is that COVID-19 will remain a threat until a vaccine or effective treatment becomes widely available, which could be around mid-2021. S&P said, "We are using this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Citigroup Mortgage Loan Trust 2020-EXP2 $198,187,000 class A-1: AAA (sf) $198,187,000(i) class A-1-IO1: AAA (sf) $198,187,000(i) class A-1-IO2: AAA (sf) $198,187,000(i) class A-1-IOX: AAA (sf) $198,187,000 class A-1A: AAA (sf) $198,187,000(i) class A-1-IOW: AAA (sf) $198,187,000 class A-1W: AAA (sf) $66,062,000 class A-2: AAA (sf) $66,062,000(i) class A-2-IO1: AAA (sf) $66,062,000(i) class A-2-IO2: AAA (sf) $66,062,000(i) class A-2-IOX: AAA (sf) $66,062,000 class A-2A: AAA (sf) $66,062,000(i) class A-2-IOW: AAA (sf) $66,062,000 class A-2W: AAA (sf) $264,249,000 class A-3: AAA (sf) $264,249,000(i) class A-3-IO1: AAA (sf) $264,249,000(i) class A-3-IO2: AAA (sf) $264,249,000(i) class A-3-IOX: AAA (sf) $264,249,000 class A-3A: AAA (sf) $264,249,000(i) class A-3-IOW: AAA (sf) $264,249,000 class A-3W: AAA (sf) $28,445,000 class A-4: AAA (sf) $28,445,000(i) class A-4-IO1: AAA (sf) $28,445,000(i) class A-4-IO2: AAA (sf) $28,445,000(i) class A-4-IOX: AAA (sf) $28,445,000 class A-4A: AAA (sf) $28,445,000(i) class A-4-IOW: AAA (sf) $28,445,000 class A-4W: AAA (sf) $292,694,000 class A-5: AAA (sf) $292,694,000(i) class A-5-IO1: AAA (sf) $292,694,000(i) class A-5-IO2: AAA (sf) $292,694,000(i) class A-5-IOX: AAA (sf) $292,694,000 class A-5A: AAA (sf) $292,694,000(i) class A-5-IOW: AAA (sf) $292,694,000 class A-5W: AAA (sf) $6,995,000 class B-1: AA (sf) $6,995,000(i) class B-1-IO: AA (sf) $6,995,000(i) class B-1-IOX: AA (sf) $6,995,000(i) class B-1-IOW: AA (sf) $6,995,000 class B-1W: AA (sf) $4,041,000 class B-2: A+ (sf) $4,041,000(i) class B-2-IO: A+ (sf) $4,041,000(i) class B-2-IOX: A+ (sf) $4,041,000(i) class B-2-IOW: A+ (sf) $4,041,000 class B-2W: A+ (sf) $2,954,000 class B-3: BBB (sf) $2,954,000(i) class B-3-IO: BBB (sf) $2,954,000(i) class B-3-IOX: BBB (sf) $2,954,000(i) class B-3-IOW: BBB (sf) $2,954,000 class B-3W: BBB (sf) $1,554,000 class B-4: BB (sf) $777,000 class B-5: B+ (sf) $1,866,063 class B-6: Not rated $310,881,063 class A-IO-S: Not rated $310,881,063 class PT: Not rated $1,866,063 class BC: Not rated Class R: Not rated (i)Notional balance. CLNC LTD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes --------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of notes (the Notes) issued by CLNC 2019-FL1, Ltd. (the Issuer): -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the collateral since issuance. The transaction benefits from its pool composition as only two properties, representing 19.9% of the current pool balance, are backed by hospitality properties, and no loans are backed by retail properties, which are vulnerable to prolonged depressed cash flows amid the current economic environment stemming from the Coronavirus Disease (COVID-19) pandemic restrictions. In addition, 12 loans, representing 52.5% of the current pool balance, are secured by properties in areas with a DBRS Morningstar Market Rank of 5, 6, 7, or 8, which are characterized as core market locations and are more urbanized or densely suburban in nature. These markets have historically benefitted from greater demand drivers and available liquidity. In its analysis of the transaction, DBRS Morningstar applied probability of default adjustments to loans with confirmed issues related to the stressed real estate environment caused by the coronavirus pandemic. Because of the transitional nature of the underlying collateral, proposed business plans that are necessary to bring the assets to stabilization may be delayed and, in some cases, borrowers have requested relief from the Issuer. The initial collateral consisted of 21 floating-rate mortgage loans secured by 39 mostly transitional properties with a cut-off balance totalling $1,006.5 million, excluding approximately $124.9 million of future funding commitments. Most loans are in a period of transition with plans to stabilize and improve the asset value. During the 24-month reinvestment period, the Issuer may acquire future funding commitments and additional eligible loans subject to the Eligibility Criteria. According to the October 2020 remittance, the trust consists of 21 loans with a current principal balance of $1,006.5 million. Since issuance, four loans have been repaid and four loans have been added to the pool during the reinvestment period. As of September 2020, the pool has $92.2 million of future funding commitments outstanding. The reinvestment period expires in October 2021, at which point the transaction will pay sequentially. As of the October 2020 remittance, there are no loans on the servicer's watchlist and no loans in special servicing. DBRS Morningstar remains concerned with the hospitality properties given the broader lodging industry's exposure to the coronavirus pandemic. The second and third largest loans in the pool are secured by luxury hotel properties in California. The Fairmont San Jose loan (Prospectus ID#2, 9.9% of the current pool) is secured by a full-service hotel located in San Jose, California. The loan's business plan entails various capital expenditure (capex) projects and strategic initiatives in order to increase performance. All contemplated capex have been completed; however, the property has been unable to leverage its 66,000 square feet of meeting space due to a lack of group events being booked throughout the pandemic. The loan has since been modified to allow the use of reserve funds for debt service payments as well as the waiver of monthly reserve deposits. The Fairmont Claremont loan (Prospectus ID#3, 9.9% of the current pool) is secured by a full-service hotel located in Berkeley, California. The business plan is to stabilize performance; however, unlike Fairmont San Jose, no renovations were contemplated at issuance. The hotel has been severely affected by the pandemic and was closed from April through July 2020, with current room capacity noted between 20% to 30%. The borrower received a forbearance allowing it to temporarily forego furniture, fixtures, and equipment reserve deposits in exchange for a cash trap. Additionally, the mezzanine loan interest reserve was allowed to be used to pay senior debt service through July 2020. Notes: All figures are in U.S. dollars unless otherwise noted. COLT 2020-2R: Fitch Assigns Bsf Rating on Class B-2 Certs --------------------------------------------------------- Fitch Ratings assigns final ratings to the residential mortgage-backed certificates to be issued by the COLT 2020-2R Mortgage Loan Trust (COLT 2020-2R). RATING ACTIONS COLT 2020-2R Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2; LT AAsf New Rating; previously AA(EXP)sf Class A-3; LT Asf New Rating; previously A(EXP)sf Class A-IO-S; LT NRsf New Rating; previously NR(EXP)sf Class B-1; LT BBsf New Rating; previously BB(EXP)sf Class B-2; LT Bsf New Rating; previously B(EXP)sf Class B-3; LT NRsf New Rating; previously NR(EXP)sf Class M-1; LT BBBsf New Rating; previously BBB(EXP)sf Class R; LT NRsf New Rating; previously NR(EXP)sf Class X; LT NRsf New Rating; previously NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 248 loans with a total balance of about $138.7 million as of the cutoff date. Loans in the pool were originated by Caliber Home Loans, Inc. (Caliber), and 100% of the pool comprises collateral from a previously issued Fitch-rated COLT transaction. Approximately 58% of the pool is designated as nonqualified mortgage (non-QM), 9% consists of higher-priced qualified mortgage (HPQM) and 32% are safe harbor QM (SHQM). For the remainder, the ability to repay (ATR) rule does not apply. KEY RATING DRIVERS Non-QM Credit Quality (Mixed): The pool has a weighted average (WA) model credit score of 739, a WA combined loan-to-value ratio (CLTV) of 74.4% and a sustainable loan-to-value ratio (sLTV) of 80.7%. Of the pool, 44% had a debt-to-income (DTI) ratio of over 43%. The pool has WA seasoning of just over two years. The loans have benefited from a positive home price environment and a generally strong pay history. Updated exterior broker price opinions (BPOs) were provided on 98% of the loans. Fitch only treated less than 1% of the pool as having less than full documentation, which included asset depletion loans and loans originated to nonpermanent resident aliens. The pool did not include any bank statement loans. A majority of loans were underwritten to full documentation standards and met Appendix Q. Payment Forbearance (Mixed): A total of 60 borrowers in the pool have requested coronavirus payment relief plans. Of those, only 18 still remain on a plan, and only one loan is not delinquent. The remaining borrowers have either reinstated and are current (28) or have exited forbearance and are delinquent (13). The pool's other forbearance plans are granted by the servicer, and borrowers will be counted as delinquent; however, the servicer will not advance delinquent P&I during the forbearance period. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Compared to typical COLT transactions, this transaction features a weaker delinquency trigger. There is no delinquency trigger for the first six months of the transaction. Additionally, between months seven and 36, the delinquency trigger is 5% higher. The delinquency trigger is also now 30% for months 37-60, up from 25%, and after month 60, the trigger is increased 5% to 35%. The weaker delinquency trigger causes more leakage to the A-2 and A-3 classes, which exposes more risk to the A-1 (AAAsf) class. Advances of delinquent P&I will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer (Wells Fargo) will be obligated to make such an advance. The servicer or Master Servicer will not advance delinquent P&I during the forbearance period. Highlights Loan Concentration: The total loan count for this pool is 248. Fitch adjusts losses based on the weighted average number (WAN) of the pool. The WAN of this pool is 152, and to adjust for the low loan count and loan concentration, Fitch increased its loss expectations by 330bps at the AAAsf-rating stress. Approximately 32% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (11.3%), followed by the New York MSA (6.5%) and the Seattle MSA (6.4%). The top three MSAs account for 24.2% of the pool. As a result, there was no adjustment for geographic concentration. No Meaningful Changes from Prior NQM Transactions: This transaction is very similar to COLT 2020-1R, which Fitch rated last month, and there are no changes to the structure. Fitch's projected asset loss for the transaction's CE is in line with that of other NQM transactions that have similar collateral attributes. Payment Forbearance Assumptions Due to Coronavirus: The ongoing coronavirus pandemic and widespread containment efforts in the U.S. have resulted in higher unemployment and cash flow disruptions. To account for the cash flow disruptions and lack of advancing for the borrower's forbearance plans, Fitch assumed at least 40% of the pool was delinquent (DQ) 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. Based on August 2020 remittance data, approximately 20% of called/underlying COLT transactions are 30-plus days DQ, which supports Fitch's assumptions. Since these assumptions trip the delinquency triggers starting in period seven and actually benefit the class A-1 certificates, to adequately test the structure, Fitch also ran delinquency sensitivities that did not trip the triggers as quickly. These sensitivities resulted in more principal being distributed to the A-2 and A-3 certificates. The structure was able to protect against Fitch's expected losses in all scenarios, including its backloaded default curve. Third-Party Due Diligence Review: Third-party due diligence was performed on 100% of loans in the transaction by SitusAMC. As part of its rating process, Fitch reviews due diligence platforms of active TPR firms to confirm the vendor has sufficient systems and staff in place to effectively review mortgage loans. SitusAMC is assessed by Fitch as 'Acceptable - Tier 1'. All loans were graded 'A' or 'B', which indicates strong origination processes with no presence of material exceptions. Exceptions on loans with 'B' grades were immaterial and either identified strong compensating factors or were mostly accounted for in Fitch's loan loss model. The model credit for the high percentage of loan-level due diligence reduced the AAAsf loss expectation by 30bps. Low Operational Risk: Operational risk is well controlled for this transaction. Fitch reviewed the Hudson Americas L.P. (Hudson) mortgage acquisition platform and found it to have sufficient risk controls while relying on third parties to review loans prior to purchase. All loans in the transaction pool were originated by Caliber, which has an extensive operating history and is one of the more established originators of NQM loans. Hudson's oversight of Caliber's origination of NQM loans also helps to reduce the risk of manufacturing defects. Primary servicing responsibilities will be performed by Caliber, rated by Fitch at 'RPS2-'. The sponsor's retention of an eligible horizontal residual interest of at least 5% helps ensure an alignment of interest between the issuer and investors. No Advancing on Forbearance Loans: The servicer will not advance DQ P&I for borrowers on any forbearance plan during the forbearance period. A borrower that does not make a payment while on a forbearance plan will be considered DQ; however, the servicer will not be obligated to advance during that time. As P&I advances are intended to provide liquidity to the rated certificates if borrowers fail to make their monthly payments, the lack of advancing on loans in forbearance could result in temporary interest shortfalls to the lowest ranked classes, as principal can be used to pay interest to the A-1 and A-2 classes. Fitch ran a sensitivity that assumed there was no advancing for the life of the transaction to test the lack of advancing on loans in forbearance, the structure passes in a front-loaded and mid-loaded loss timing scenario. R&W Framework: While the representations for this transaction are substantively consistent with those listed in Fitch's published criteria and provide a solid alignment of interest, Fitch added approximately 109bps to the expected loss at the 'AAAsf'-rating category to reflect the noninvestment-grade counterparty risk of the provider and the lack of an automatic review of defaulted loans, other than for loans with a realized loss that have a complaint or counterclaim of a violation of ATR. The lack of an automatic review is mitigated by the ability of holders of 25% of the total outstanding aggregate class balance to initiate a review. RATING SENSITIVITIES The rating is already 'AAAsf', but the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full-category upgrade for the rated class excluding those assigned 'AAAsf' ratings. Factors that Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper Market Value Declines (MVDs) at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 7.4%. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Fitch has added a coronavirus sensitivity analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term effects arising from coronavirus-related disruptions on these economic inputs will likely affect both investment and speculative-grade ratings. CRITERIA VARIATION There was one criteria variation to Fitch's "U.S. RMBS Rating Criteria." Fitch expects an updated tax and title search to be conducted for transactions in which more than 10% of the deal comprises seasoned loans (i.e., more than two years' seasoned). Fitch was comfortable with the lack of an updated search given that the loans were held with the same servicer since origination and were previously securitized, while the servicer would have been required to advance on these amounts to maintain the trust's priority. Also, upon the cleanup call being exercised, they would have repaid themselves from the proceeds. Furthermore, the seasoning is only a few months outside of the window in which Fitch would expect an updated search to be conducted. As a result, Fitch did not make any adjustments to its loss expectations. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form "ABS Due Diligence 15E" was reviewed and used as a part of the rating for this transaction. Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria" (May 2020). LSRMF engaged SitusAMC to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria" (May 2020). LSRMF engaged SitusAMC to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company, and no material discrepancies were noted. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CSMC 2020-FACT: Moody's Assigns B3 Rating on Class F Certs ---------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CMBS securities, issued by CSMC 2020-FACT, Commercial Mortgage Pass-Through Certificates, Series 2020-FACT: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) Cl. X-CP*, Definitive Rating Assigned Aaa (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by a first-lien mortgage on the fee simple interest in The Factory, a 1.1 million SF mixed-use office property located in Long Island City, NY. The ratings are based on the collateral and the structure of the transaction. The Factory is a mixed-use creative office property spanning 1.1 million square feet across 10 stories offering large floorplates and high ceilings while boasting historic character, all features desired by many TAMI (technology, advertising, media, and information technology) tenants. Built in 1920 as a build-to-suit for Macy's to serve as a furniture warehouse for their Manhattan retail stores, the property has undergone numerous improvements over the years including recent renovations totaling $92.5 million by the sponsor to complete the redevelopment of the historic warehouse into a creative office property. As part of the redevelopment, the sponsor converted floors from industrial use to creative office and completed a full facade restoration as well as a renovation of the lobby resulting in a 18,000 SF open concept venue with F&B vendors and shared seating. Large, double-hung windows on four sides provide natural light. Most of the windows are operable. Sponsorship completed the replacement of over 2,200 windows with double-pane thermal units and frames of aluminum with thermal break. Parking is located on the lower level and accessed on the southeast side of the building on 31st Street. The garage is monitored by an attendant; however, the spaces are 'self-park'. There is currently parking for up to 190 vehicles. The property is well-situated within the Long Island City office market with excellent access to LIRR and the 7, E, M, and G subway lines. Sponsorship also provides a complimentary shuttle service for tenants to expedite commutes between the Property and nearby public transportation. Recent capital improvements have included: facade repair and restoration, window replacement, lobby renovation, elevator modification, fire alarm replacements, electrical upgrades, and other improvements. Amenities include a tenant lounge and coffee bar known as the Breakroom @ Factory, along. The Factory Sponsorship has also added several tenants to the property, offering nearby shopping to employees of other tenants and the general public. Moody's approach to rating this transaction involved the application of both its Large Loan and Single Asset/Single Borrower CMBS methodology and its IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of commercial real estate loans is determined primarily by two factors: 1) the probability of default, which is largely driven by the DSCR, and 2) and the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The whole loan first mortgage balance of $300,000,000 represents a Moody's LTV of 125.3%. The Moody's First Mortgage Actual DSCR is 1.90X and Moody's First Mortgage Actual Stressed DSCR is 0.78X. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Factory received a property quality grade of 1.50. Notable strengths of the transaction include: location, recent capital improvements, tenant strength, limited lease roll over, and sponsorship. Notable concerns of the transaction include: effects of coronavirus, new supply, and interest only amortization profile. The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. The methodologies used in rating interest-only classes were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of commercial real estate from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. CSMC TRUST 2020-RPL1: Fitch Assigns BB-sf Rating on 9 Tranches -------------------------------------------------------------- Fitch Ratings has assigned the following ratings to CSMC 2020-RPL1 Trust: RATING ACTIONS CSMC 2020-RPL1 Class A-1; LT AAAsf New Rating Class A-10; LT AAAsf New Rating Class A-10IO; LT AAAsf New Rating Class A-11; LT AA+sf New Rating Class A-11IO; LT AA+sf New Rating Class A-12; LT AA-sf New Rating Class A-12IO; LT AA-sf New Rating Class A-13; LT A-sf New Rating Class A-13IO; LT A-sf New Rating Class A-14; LT BB-sf New Rating Class A-14IO; LT BB-sf New Rating Class A-15; LT AA+sf New Rating Class A-15IO; LT AA+sf New Rating Class A-16; LT AA-sf New Rating Class A-16IO; LT AA-sf New Rating Class A-17; LT A-sf New Rating Class A-17IO; LT A-sf New Rating Class A-18; LT BB-sf New Rating Class A-18IO; LT BB-sf New Rating Class A-19IO; LT AAAsf New Rating Class A-1IO; LT AAAsf New Rating Class A-2; LT AA+sf New Rating Class A-20IO; LT AA+sf New Rating Class A-21IO; LT AA-sf New Rating Class A-22IO; LT A-sf New Rating Class A-23IO; LT BB-sf New Rating Class A-2IO; LT AA+sf New Rating Class A-3; LT AA-sf New Rating Class A-3IO; LT AA-sf New Rating Class A-4; LT A-sf New Rating Class A-4IO; LT A-sf New Rating Class A-5; LT BB-sf New Rating Class A-5IO; LT BB-sf New Rating Class A-6; LT AA+sf New Rating Class A-6IO; LT AA+sf New Rating Class A-7; LT AA-sf New Rating Class A-7IO; LT AA-sf New Rating Class A-8; LT A-sf New Rating Class A-8IO; LT A-sf New Rating Class A-9; LT BB-sf New Rating Class A-9IO; LT BB-sf New Rating Class B-1; LT NRsf New Rating Class M-1; LT NRsf New Rating Class M-1IO; LT NRsf New Rating Class M-2; LT NRsf New Rating TRANSACTION SUMMARY CSMC 2020-RPL1 is supported by a pool of re-performing mortgage loans (RPL). The transaction was originally issued in 1Q20 and was not rated at deal close. In tandem with this rating assignment, the transaction is being modified to 1) allow principal collection to be redirected to cover any potential interest shortfalls on the class A-1 A-2 and A-3, 2) using interest payment otherwise allocable to the class B-3 to fund an account that may be used for potential repurchases and 3) adding certain constraints on which institutions can act as an 'Eligible Account'. KEY RATING DRIVERS RPL Credit Quality (Mixed): The collateral consists of 30-year FRM and 5-year ARM fully amortizing loans, seasoned approximately 150 months in aggregate. The borrowers in this pool have weaker credit profiles (714 FICO) but relatively low leverage (72.8% sLTV). In addition, the pool contains no loans of particularly large size, with the largest balance being $685 thousand. A total of 28% of the pool had a delinquency in the past 24 months. Coronavirus Impact Addressed (Negative): The coronavirus outbreak and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for U.S. GDP growth is currently a 4.6% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the coronavirus, an Economic Risk Factor (ERF) floor of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss model) was applied to 'BBBsf' and below. Transaction Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. No Servicer Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. Because P&I advances, made on behalf of loans that become delinquent and eventually liquidate, reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Liquidity Stress - Potential Spike in DQs related to the coronavirus pandemic (Negative): For RPL transactions, Fitch is assuming that 40% of the pool will experience payment forbearance for six months before reverting to its standard delinquency and liquidation timing curve. The 40% assumption is based on legacy Alt-A 60+ day delinquency peak of 40% in 2009. This transaction does not provide for advancing; however, the deal allows for subordinated principal to pay timely interest to the 'AAAsf' and 'AAsf' bonds. As a result, the stress will only increase temporary shortfalls of P&I to the most subordinated bonds. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Credit Suisse is assessed by Fitch as an 'Average' aggregator specifically for acquiring seasoned and distressed loans. Select Portfolio Servicing, Inc. (SPS) is the named servicer for the transaction and is rated by Fitch as RPS1- with an Outlook Negative. Fitch decreased its adjustments to the 'AAAsf'-rating category by 203 bps based primarily on the strong rating for the servicer counterparty. Issuer retention of at least 5% of the bonds also helps ensure an alignment of interest between both the issuer and investor. Tier 2 Representation, Warranty and Enforcement (RW&E) Framework (Negative): The RW&E framework for this transaction generally contains all loan level representations listed in Fitch criteria and is consistent with a Tier 2 framework. Fitch increased its loss expectations by 142 bps at the 'AAAsf'-rating category to reflect the RW&E framework combined with the noninvestment grade counterparty risk of the rep provider. Third-Party Due Diligence Results (Negative): A third-party due diligence review was performed on approximately 100% of the loans in the transaction pool. The review scope included a compliance review that tested for adherence to applicable federal, state and local high-cost loan and/or anti-predatory laws. Due diligence was performed by SitusAMC which is an approved third-party review (TPR) firm and is assessed by Fitch as an 'Acceptable - Tier 1'. The due diligence results indicate moderate compliance risk with 3.9% of loans receiving a final grade of 'C' or 'D'. This concentration of material exceptions is relatively lower to other Fitch-rated RPL RMBS, adjustments were applied only to loans missing of estimated final HUD-1 documents that are subject to testing for compliance with predatory lending regulations. These regulations are not subject to statute of limitations like most compliance findings which ultimately exposes the trust to added assignee liability risk. Fitch adjusted its loss expectation to account for this added risk. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to a negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words, positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. CRITERIA VARIATION There is one variation to the U.S. RMBS Rating Criteria which relates to the outdated FICO scores, and outdated Tax & Title Searches for the transaction. These were both updated at the time of the transaction close, which is more than the six-month window in which Fitch looks for updated values, and is only a couple of months past the criteria date. For the FICOs, while outdated, the values better capture the borrower's credit after the modification and their initial default. To the extent the borrower has underperformed it will be reflected in the paystring which would have a much more meaningful impact on the levels. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. A third-party due diligence review was performed on approximately 100% of the loans in the transaction pool. The review scope included a compliance review that tested for adherence to applicable federal, state and local high-cost loan and/or anti-predatory laws. Due diligence was performed by SitusAMC which is an approved third-party review (TPR) firm and is assessed by Fitch as an 'Acceptable - Tier 1'. The due diligence results indicate moderate compliance risk with 3.9% of loans receiving a final grade of 'C' or 'D'. This concentration of material exceptions is relatively lower to other Fitch-rated RPL RMBS, adjustments were applied only to loans missing of estimated final HUD-1 documents that are subject to testing for compliance with predatory lending regulations. These regulations are not subject to statute of limitations like most compliance findings which ultimately exposes the trust to added assignee liability risk. Fitch adjusted its loss expectation to account for this added risk. DBWF 2015-LCM: S&P Lowers Class F Certs Rating to 'B (sf)' ---------------------------------------------------------- S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from DBWF 2015-LCM Mortgage Trust, a U.S. CMBS transaction. In addition, S&P affirmed its ratings on six other classes from the same transaction. RATING ACTIONS S&P said, "The downgrades on classes E and F reflect our reevaluation of the regional mall securing the loan that backs the stand-alone transaction. Our expected-case valuation has declined 13.0% since the last review, driven largely by the application of a higher S&P Global Ratings capitalization rate, which we believe better captures the challenges now facing the mall and the retail sector." "While the model-indicated rating was higher for class B, we affirmed our rating because our analysis also considered the potential for further performance deterioration due to the COVID-19 pandemic." "Using the S&P Global Ratings sustainable net cash flow (NCF) of $31.0 million (the same as at issuance and the last review and 14.4% lower than the servicer-reported 2019 NCF) and applying a capitalization rate of 7.75% (up from 6.75% in the last review and at issuance), we arrived at an S&P Global Ratings expected case value of $399.9 million ($210 per sq. ft.) on a whole loan basis. Our loan-to-value ratio was 91.4% and debt service coverage (DSC) was 1.41x on the whole loan." "We affirmed our rating on the class X-A interest-only (IO) certificates based on our criteria for rating IO securities, in which the rating on an IO security would not be higher than that of the lowest rated reference class. Class X-A's notional amount references class A-1." TRANSACTION SUMMARY This is a stand-alone (single borrower) transaction backed by a portion of a fixed-rate, amortizing mortgage whole loan secured by the borrower's fee simple and leasehold interests in a 2.07 million-sq.-ft. super-regional mall known as Lakewood Center in Lakewood, Calif., which is approximately 20 miles southeast of downtown Los Angeles. The mall, which closed briefly because of COVID-19, is currently open and includes Macy's (362,852 sq. ft.; 'B+/Negative'), Costco (166,718 sq. ft.; 'A+/Stable'), J.C. Penney (162,690 sq. ft.; Not rated), Target (160,058 sq. ft.; 'A/Stable'), and Home Depot (133,029 sq. ft.; 'A/Stable') as anchor tenants. According to the mall's website, the anchor tenants are still in place. According to the Oct. 13, 2020, trustee remittance report, the loan has a trust balance of $267.7 million and a whole loan balance of $365.4 million, down from $290.0 million and $410.0 million, respectively, from issuance and from $280.1 million and $390.1 million, respectively, as of the last review. The whole loan consists of a $97.7 million senior A note that is in the trust, a $97.7 million senior A note that is held outside the trust, and two junior B notes totaling $170.0 million that are in the trust. The $195.4 million A notes are pari passu in right of payment with each other and senior to the junior B notes. The whole loan amortizes based on a 30-year schedule, pays a fixed per annum interest rate of 3.43% and matures on June 1, 2026. According to the master servicer, Wells Fargo Bank N.A. (Wells Fargo), the borrower has not reached out for COVID-19 forbearance relief and has been current on its debt service payments. The trust has not incurred any principal losses to date. PROPERTY-LEVEL ANALYSIS S&P said, "Our property-level analysis considered the mall's stable servicer-reported NCF and occupancy: $34.1 million and 95.8%, respectively, in 2016; $35.6 million and 96.5%, respectively, in 2017; $36.2 million and 98.1%, respectively, in 2018; $36.2 million and 99.0%, respectively, in 2019; and $17.3 million and 95.0%, respectively, for the six months ended June 30, 2020. Wells Fargo reported a 1.58x DSC for the six months ended June 30, 2020, down from 1.65x as of year-end 2019. In addition, we considered the slight decline in reported occupancy as of June 2020 and increased retailer bankruptcies and store closures due to the COVID-19 pandemic in our analysis. According to the June 30, 2020, rent roll, the collateral mall was 95.0% occupied and faces moderate tenant rollover in the next few years: 2.9% of leases by NRA expire in 2020, 4.4% in 2021, 3.7% in 2022, and 11.7% in 2023. To account for the aforementioned risks, we excluded income from tenants that are no longer listed on the mall directory website, those in bankruptcy, or those that have announced store closures at the property." S&P also increased its capitalization rate by 100 basis points from issuance and the last review to account for weakening trends within the retail mall sector, the overall perceived increase in the market risk premium for this property type, numerous competitors in the mall's trade area, in-line sales of $420 per sq. ft. using the trailing 12 months ended March 31, 2020, and tenant sales report and 13.8% occupancy cost, as calculated by S&P Global Ratings. In addition, the current tax bill payable by the borrower, which was reported as $6.3 million as of year-end 2019, may be lower than the amount that would have to be paid by a potential purchaser of the property if it was sold or transferred. This is because of California's method of taxation (Proposition 13). S&P said, "We considered the potential valuation impact in our capitalization rate selection. 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 rating actions as deem necessary." The rating agency 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." Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety. RATINGS LOWERED DBWF 2015-LCM Mortgage Trust Commercial mortgage pass-through certificates Class E: to B+ (sf) from BB- (sf) Class F: to B (sf) from B+ (sf) RATINGS AFFIRMED DBWF 2015-LCM Mortgage Trust Commercial mortgage pass-through certificates Class A-1: AAA (sf) Class A-2: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class X-A: AAA (sf) DRYDEN 85 CLO: S&P Assigns BB- (sf) Rating to Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 85 CLO Ltd.'s fixed and floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by PGIM Inc. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral management 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 LIST Dryden 85 CLO Ltd./Dryden 85 CLO LLC RATINGS ASSIGNED $181.00 mil. class A-1: AAA (sf) $75.00 mil. class A-2: AAA (sf) $48.00 mil. class B: AA (sf) $24.00 mil. class C (deferrable): A (sf) $24.00 mil. class D (deferrable): BBB- (sf) $12.00 mil. class E (deferrable): BB- (sf) $34.40 mil. subordinated notes: not rated EAGLE RE 2020-2: DBRS Finalizes B Rating on 2 Tranches ------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the Mortgage Insurance-Linked Notes, Series 2020-2 (the Notes) issued by Eagle Re 2020-2 Ltd. (EMIR 2020-2 or the Issuer): -- $130.1 million Class M-1A at BB (high) (sf) -- $65.1 million Class M-1B at BB (sf) -- $65.1 million Class M-1C at BB (low) (sf) -- $97.6 million Class M-2 at B (sf) -- $32.5 million Class M-2A at B (high) (sf) -- $32.5 million Class M-2B at B (high) (sf) -- $32.5 million Class M-2C at B (sf) -- $32.5 million Class B-1 at B (sf) The BB (high) (sf), BB (sf), BB (low) (sf), B (high) (sf), and B (sf) ratings reflect 5.250%, 4.750%, 4.250%, 3.750%, and 3.250% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. EMIR 2020-2 is Radian Guaranty Inc.'s (Radian Guaranty or the ceding insurer) fourth rated mortgage insurance (MI) linked note transaction. The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the ceding insurer pays to settle claims on the underlying MI policies. As of the cut-off date, the pool of insured mortgage loans consists of 196,160 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, have original loan-to-value ratios (LTVs) less than or equal to 97%, and have never been reported to the ceding insurer as 60 or more days delinquent. The mortgage loans have MI policies effective in or after October 2019 and in or before July 2020. On March 1, 2020, a new master policy was introduced to conform to government-sponsored enterprises' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements guidelines. Approximately 57.6% of the mortgage loans were originated under the new master policy. On the closing date, the Issuer will enter into the Reinsurance Agreement with the ceding insurer. Per the agreement, the ceding insurer will receive protection for the funded portion of the MI losses. In exchange for this protection, the ceding insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from selling the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to AAA or equivalently rated U.S. Treasury money market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MI-linked note (MILN) transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the ceding insurer when settling claims on the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the ceding insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on a reduction in aggregate exposed principal balance on the underlying MI policy. The subordinate Notes will receive their pro rata share of available principal funds if the minimum credit enhancement test and the delinquency test are satisfied. The minimum credit enhancement test will purposely fail at the closing date, thus locking out the rated classes from initially receiving any principal payments until the subordinate percentage grows to 7.25% from 6.25%. The delinquency test will be satisfied if the three-month average of 60-plus days delinquency percentage is below 75% of the subordinate percentage. Unlike MILN transactions that were rated prior to the Coronavirus Disease (COVID-19) pandemic, where the delinquency test is satisfied when the delinquency percentage falls below a fixed threshold, this transaction incorporates a dynamic delinquency test. On the closing date, the ceding insurer will establish a cash and securities account, the premium deposit account. If the ceding insurer defaults in paying coverage premium payments to the Issuer, the amount available in this account will cover interest payments to the noteholders. Unlike prior EMIR transactions, the premium deposit account will not be funded at closing. Instead, the ceding insurer will make a deposit into this account up to the applicable target balance only when one of the premium deposit events occur. Please refer to the related report and/or offering circular for more details. The Notes are scheduled to mature on the payment date in October 2030 but will be subject to early redemption at the option of the ceding insurer (1) for a 10% clean-up call or (2) on or following the payment date in October 2027, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. Radian Guaranty, will be the ceding insurer. The Bank of New York Mellon (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. The coronavirus and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many RMBS asset classes, some meaningfully. Various MI companies have set up programs to issue MILNs. These programs aim to transfer a portion of the risk related to MI claims on a reference pool of loans to the investors of the MILNs. In these transactions, investors' risk increases with higher MI payouts. The underlying pool of mortgage loans with MI policies covered by MILN reinsurance agreements are typically conventional/conforming loans that follow government-sponsored enterprises' acquisition guidelines and therefore have LTVs above 80%. However, a portion of each MILN transaction's covered loans may not be agency eligible. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under the moderate scenario in its commentary, see Global Macroeconomic Scenarios: September Update, published on September 10, 2020. For the MILN asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, DBRS Morningstar may assume a portion of the pool (randomly selected) to be on forbearance plans in the immediate future. For these loans, DBRS Morningstar assumes higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the MILN asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that loans with layered risk (low FICO score with high LTV/high debt-to-income ratio) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Additionally, higher delinquencies might cause a longer lockout period or a redirection of principal allocation away from outstanding rated classes because performance triggers failed. Notes: All figures are in U.S. dollars unless otherwise noted. ELLINGTON FINANCIAL 2020-2: Fitch Gives Bsf Rating on Cl. B-2 Debt ------------------------------------------------------------------ Fitch Ratings assigned final ratings to the residential mortgage backed securities issued by Ellington Financial Mortgage Trust 2020-2 (EFMT 2020-2). RATING ACTIONS Ellington Financial Mortgage Trust 2020-2 Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2; LT AAsf New Rating; previously AA(EXP)sf Class A-3; LT Asf New Rating; previously A(EXP)sf Class A-IO-S; LT NRsf New Rating; previously NR(EXP)sf Class B-1; LT BBsf New Rating; previously BB(EXP)sf Class B-2; LT Bsf New Rating; previously B(EXP)sf Class B-3; LT NRsf New Rating; previously NR(EXP)sf Class M-1; LT BBBsf New Rating; previously BBB(EXP)sf Class R; LT NRsf New Rating; previously NR(EXP)sf Class X; LT NRsf New Rating; previously NR(EXP)sf TRANSACTION SUMMARY The EFMT 2020-2 certificates are supported by 490 loans with a balance of $219.73 million as of the cutoff date. This is the first Ellington Financial Mortgage Trust transaction rated by Fitch. The certificates are secured mainly by non-qualified mortgages (Non-QM) as defined by the Ability to Repay (ATR) rule. Approximately 92.6% of the loans were originated by LendSure Financial Services, Inc. (LFS), a joint venture between LFS and Ellington Financial, Inc. (EFC). The remaining 7.4% of loans were originated two third party originators. Rushmore Loan Management Services LLC, will be the servicer, and Wells Fargo Bank, N.A. will be the Master Servicer for the transaction. Of the pool, 73.4% of the loans are designated as Non-QM, and the remaining 26.6% are investment properties not subject to ATR. KEY RATING DRIVERS Revised GDP Due to the Coronavirus: The coronavirus pandemic and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for U.S. GDP growth is currently a 4.6% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario envisions an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the pandemic, an Economic Risk Factor (ERF) floor of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss model) was applied to 'BBBsf' ratings and below. 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 past-due payments following Hurricane Maria in Puerto Rico. Expanded Prime Credit Quality (Mixed): The collateral consists of fully-amortizing, interest-only, fixed and adjustable-rate mortgage loans with original terms to maturity of 15 to 40 years. The pool is seasoned approximately 18 months in aggregate according to Fitch. Generally, all of the loans were originated through a broker channel (92%). The borrowers in this pool have strong credit profiles (720 FICO) and relatively low leverage (73.7% sLTV). In addition, the pool contains loans of particularly large size. Thirty-seven loans are over $1 million, and the largest is $2.64 million. Approximately 4% consists of borrowers with prior credit events in the past seven years. Payment Forbearance (Mixed): Of the borrowers, Fitch considered 2.6% as still being on a coronavirus plan, or on a coronavirus repayment plan. The majority of the borrowers that were on a plan either continued to make their payments while on the plan, are on a repayment plan, or the borrower repaid in full prior forborne amounts, or the amount of the forborne amount under the plan was deferred and the borrower is making payments. Fitch considered the 2.6% of the borrowers on a coronavirus repayment plan, or on an active forbearance/deferral plan as being current since they are cash flowing (either making their payments under a repayment plan, continuing to make payments even though they are on a forbearance plan or had a deferral and are making payments again). For the borrowers that have repaid their plan in full, are continuing to make their payments, even if they are under a forbearance plan, had the unpaid amount deferred and are making payments, or are on a repayment plan and cash flowing were treated as clean current. Fitch did not apply a Probability of Default (PD) penalty for these loans due to their prior coronavirus-related delinquency status, since the borrower showed the ability and willingness to repay the prior missed payments and become contractually current. If the servicer will continue to advance during the forbearance period, recoveries of advances will be repaid either from reinstated or repaid amounts from loans where borrowers are on a repayment plan. For loans with deferrals of missed payments, the servicer can recover advances from the principal portion of collections, which may result in a mismatch between the loan balance and certificate balance. While this may increase realized losses, the 4.13% of excess spread as of the closing date should be available to absorb these amounts and reduce the potential for writedowns. If the borrower does not resume making payments, the loan will likely become modified, and the advancing party will be reimbursed from available funds at the time of modification. Fitch increased its loss expectations by adding 0.036% to the model output loss in all rating categories to address the potential for writedowns due to reimbursements of servicer advances. In addition, there is 4.13% excess spread as of the closing date that will be available to cover any writedowns due to reimbursements of servicer advances. Bank Statement Loans Included (Negative): Approximately 56% of the pool (256 loans) comprises self-employed borrowers underwritten to a bank statement program (46.6% was underwritten to a 24-month bank statement program and 9.4% to a 12-month bank statement program) for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's Ability to Repay Rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. High Investor Property Concentration (Negative): Of the pool, 26.6% is comprised of investment properties. Specifically, 64.4% of the investor loans were underwritten using the borrower's credit profile, while the remaining 35.6% were originated through the originators' investor cash flow program, which targets real estate investors qualified on a debt service coverage ratio (DSCR) basis. The borrowers of the non-DSCR investor properties in the pool have strong credit profiles, with a WA FICO of 720 (as calculated by Fitch), Fitch calculated original CLTV of 70.0%. DSCR loans have a WA FICO of 717 (as calculated by Fitch) and a Fitch calculated original CLTV of 61.4%. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. Foreign National Concentration (Negative): Fitch considered 43 loans (6.9%) in the pool as being made to non-permanent residents. (If the co-borrower is a U.S. citizen or permanent resident Fitch does not count those loans as loans to non-permanent residents; three loans in the pool fell into this category. ) Compared to the overall pool, the foreign national loans have a WA FICO of 692 (as calculated by Fitch) vs. 720 (as calculated by Fitch); an original CLTV of 65.4% vs. 69.2%.; average monthly income of $11,379 vs. $12, 261; and average balance of $354,204 vs. $448,432. Fitch assumed no income or employment verification for these loans, a 650 FICO for any missing values and no liquid reserves. Loan Concentration (Negative): Although the number of loans is 490, the Weighted Average Number of loans (WAN) is 287. The WAN accounts for both the number of loans in the pool and the distribution of loan balances. Fitch applies additional PD penalties for pools that have a WAN of less than 300. As a result, the 'AAAsf' expected loss was increased by 0.21% to account for the loan concentration risk. Geographic Concentration (Negative): Approximately 45% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in Los Angeles MSA (17.4%) followed by the San Francisco MSA (10%) and the Miami/Ft. Lauderdale MSA (7.7%). The top three MSAs account for 35.2% of the pool. As a result, the 'AAAsf' expected loss was increased by 0.06% to account for the geographic concentration risk. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Stop Advance Structure (Mixed): The transaction has a stop advance feature where the servicer will advance delinquent P&I up to 180 days and has the option to advance on coronavirus delinquent loans. While the limited advancing of delinquent P&I benefits the pool's projected loss severity, it reduces liquidity. To account for the reduced liquidity of a limited advancing structure, principal collections are available to pay timely interest to the 'AAAsf', and 'AAsf' rated bonds. Fitch expects 'AAAsf' and 'AAsf' rated bonds to receive timely payments of interest and all other bonds to receive ultimate interest. Additionally, as of the closing date, the deal benefits from approximately 413 bps of excess spread, which will be available to cover shortfalls prior to any writedowns. The servicer Rushmore Loan Management Services LLC (Rushmore) will provide P&I advancing on delinquent loans (Rushmore may provide P&I advancing on the loans on a coronavirus forbearance plan). If Rushmore is not able to advance, the master servicer (Wells Fargo Bank) will advance P&I on the certificates. The interest remittance amount defined term includes accrued interest received from liquidation proceeds, but because of the servicer's allocation of liquidation proceeds to principal first, this will not cause additional losses and writedowns to the subordinated classes. R&W Framework (Negative): The R&W framework for this transaction is classified as a Tier 2 due to the lack of an automatic review for loans other than those with ATR realized losses. The R&W are being provided by EF Holdco WRE Assets LLC, which does not have a financial public credit opinion or public rating from Fitch. Fitch increased its loss expectations 88 bps at the 'AAAsf' rating category to account for the limitations of the Tier 2 framework and the counterparty risk Moderate Operational Risk (Negative): Operational risk is adequately controlled for in this transaction. Ellington Management Group, LLC employs an effective acquisition operation with strong management, an experienced team and risk management framework. Fitch assessed Ellington as an 'Average' aggregator. Primary and master servicing functions will be performed by Rushmore Servicing and Wells Fargo, rated 'RPS2 and 'RMS1-', respectively. The sponsor's retention of at least 5% of the bonds (sponsor is holding the B-3, X, certificates and initially the A-IO-S certificates) helps ensure an alignment of interest between issuer and investor. Third-Party Due Diligence (Positive): Third-party due diligence was performed on 100% of loans in the transaction by SitusAMC (Tier 1), and Evolve Mortgage Services (Tier 3) TPR firms. The due diligence results are in line with industry averages and 99% were graded 'A' or 'B'. Loan exceptions graded 'B' either had strong mitigating factors or were accounted for in Fitch's loan loss model resulting in no additional adjustments. The model credit for the high percentage of loan level due diligence combined with the adjustments for loan exceptions reduced the 'AAAsf' loss expectation by 42 bps. No Exposure to Hurricane Laura, Hurricane Sally or Hurricane Delta (Positive): There are no loans located in the FEMA individual assistance area for Hurricane Delta, Hurricane Laura or Hurricane Sally in the pool. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to, or that may be considered in the surveillance of the transaction. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, and lower MVDs illustrated by a gain in home prices. 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. Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 7.4% base case sMVD. 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 two or more full categories, excluding the 'BBBsf' which would lower by one category. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a coronavirus sensitivity analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term effects arising from coronavirus-related disruptions on these economic inputs will likely affect both investment and speculative-grade ratings. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, and Evolve Mortgage Services. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.42% DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor, EF Holdco WRE Assets LLC, engaged SitusAMC, and Evolve to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS 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 HOMES 2020-SFR2: DBRS Finalizes BB Rating on Cl. F2 Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Single-Family Rental Pass-Through Certificates to be issued by FirstKey Homes 2020-SFR2 Trust (FKH 2020-SFR2): -- $1.1 billion Class A at AAA (sf) -- $173.6 million Class B at AA (high) (sf) -- $125.0 million Class C at A (high) (sf) -- $194.4 million Class D at BBB (high) (sf) -- $270.8 million Class E at BBB (low) (sf) -- $111.1 million Class F1 at BB (high) (sf) -- $69.4 million Class F2 at BB (sf) -- $69.4 million Class F3 at BB (low) (sf) -- $55.5 million Class G1 at B (high) (sf) -- $55.5 million Class G2 at B (high) (sf) The AAA (sf) rating on the Class A Certificates reflects 56.1% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (high) (sf), BB (sf), BB (low) (sf), B (high) (sf), and B (high) (sf) certificates reflect 49.2%, 44.2%, 36.4%, 25.6%, 21.1%, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The FKH 2020-SFR2 certificates are supported by the income streams and values from 14,288 rental properties. The properties are distributed across 15 states and 44 metropolitan statistical areas (MSAs) in the United States. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion value, 53.5% of the portfolio is concentrated in three states: Florida (26.0%), Texas (15.1%), and Georgia (12.5%). The average value is $194,360. The average age of the properties is roughly 37 years. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $2,499.3 million. The Sponsor intends to satisfy its risk retention obligations under the U.S. Risk Retention Rules by Class I, which is 8.33% of the initial total issuance balance, either directly or through a majority-owned affiliate. DBRS Morningstar finalized the provisional ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar assigned the final ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2006-GG8: Fitch Lowers Rating on 2 Tranches to Csf -------------------------------------------------------------- Fitch has taken various rating actions on 39 classes of across three U.S. CMBS 1.0 transactions. RATING ACTIONS GS Mortgage Securities Corp. II 2006-GG8 Class A-J 362332AH1; LT Csf Downgrade; previously at CCCsf Class B 362332AJ7; LT Csf Downgrade; previously at CCsf Class C 362332AK4; LT Csf Affirmed; previously at Csf Class D 362332AL2; LT Dsf Affirmed; previously at Dsf Class E 362332AM0; LT Dsf Affirmed; previously at Dsf Class F 362332AN8; LT Dsf Affirmed; previously at Dsf Class G 362332AT5; LT Dsf Affirmed; previously at Dsf Class H 362332AV0; LT Dsf Affirmed; previously at Dsf Class J 362332AX6; LT Dsf Affirmed; previously at Dsf Class K 362332AZ1; LT Dsf Affirmed; previously at Dsf Class L 362332BB3; LT Dsf Affirmed; previously at Dsf Class M 362332BD9; LT Dsf Affirmed; previously at Dsf Class N 362332BF4; LT Dsf Affirmed; previously at Dsf Class O 362332BH0; LT Dsf Affirmed; previously at Dsf Class P 362332BK3; LT Dsf Affirmed; previously at Dsf Class Q 362332BM9; LT Dsf Affirmed; previously at Dsf Cobalt CMBS Commercial Mortgage Trust 2007-C3 Class B 19075DAK7; LT CCsf Affirmed; previously at CCsf Class C 19075DAL5; LT Dsf Affirmed; previously at Dsf Class D 19075DAM3; LT Dsf Affirmed; previously at Dsf Class E 19075DAN1; LT Dsf Affirmed; previously at Dsf Class F 19075DAP6; LT Dsf Affirmed; previously at Dsf Class G 19075DAT8; LT Dsf Affirmed; previously at Dsf Class H 19075DAU5; LT Dsf Affirmed; previously at Dsf Class J 19075DAV3; LT Dsf Affirmed; previously at Dsf Class K 19075DAW1; LT Dsf Affirmed; previously at Dsf Class L 19075DAX9; LT Dsf Affirmed; previously at Dsf Class M 19075DAY7; LT Dsf Affirmed; previously at Dsf Class N 19075DAZ4; LT Dsf Affirmed; previously at Dsf Class O 19075DBA8; LT Dsf Affirmed; previously at Dsf J.P. Morgan Chase Mortgage Securities Trust 2007-CIBC20 Class D 46631QAR3; LT Csf Downgrade; previously at CCsf Class E 46631QAT9; LT Csf Affirmed; previously at Csf Class F 46631QAV4; LT Csf Affirmed; previously at Csf Class G 46631QAX0; LT Dsf Affirmed; previously at Dsf Class H 46631QAZ5; LT Dsf Affirmed; previously at Dsf Class J 46631QBB7; LT Dsf Affirmed; previously at Dsf Class K 46631QBD3; LT Dsf Affirmed; previously at Dsf Class L 46631QBF8; LT Dsf Affirmed; previously at Dsf Class M 46631QBH4; LT Dsf Affirmed; previously at Dsf Class N 46631QBK7; LT Dsf Affirmed; previously at Dsf TRANSACTION SUMMARY Fitch has affirmed all classes in Cobalt CMBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2007-C3 based on limited changes since Fitch's prior rating action. One loan remains in the transaction: Alameda Media Center, which is secured by a 122,000-sf office building located in Burbank, CA. The loan previously transferred to the special servicer in 2015 due to imminent default, and returned to the master servicer in 2017 following a loan modification. As of YE 2019, the reported NOI DSCR and occupancy were 1.34x and 74%, respectively. The loan is scheduled to mature in June 2021 and Fitch remains concerned with the ability to refinance. Fitch's analysis included additional stresses to the YE 2019 NOI and the resulting value indicates losses are possible. Fitch has downgraded classes A-J and B to 'Csf' from 'CCCsf' and 'CCsf', respectively, in GS Mortgage Securities Corporation II commercial mortgage pass-through certificates, series 2006-GG8. due to a higher certainty of losses. Two assets remain, both of which are in special servicing. The largest loan in the pool (67%) is secured by a single-tenant 778,370 sf suburban office building located in Islandia, NY. The loan has transferred to special servicing multiple times, received a maturity extension to October 2020 with an option to further extend to August 2021. The 778,370-sf property is vacant except for approximately 150,000 sf of subleased space. The property has been listed for sale since April 2019. The loan is categorized as non-performing matured. Fitch's losses are based on a conservative discount to a previous valuation, taking into consideration the vacant space and the current economic environment. Significant losses are expected. The second asset in the pool is an REO office property which is 59% occupied per the April 2019 rent roll, located in Fairfax, VA. The original loan was secured by nine suburban office buildings located in Fairfax, VA. The loan transferred to special servicing in 2015 and became REO in 2016; eight properties have since been sold. Fitch's losses are based on a discount to the most recently reported valuation. Fitch has downgraded class D from J.P. Morgan Chase Commercial Mortgage Securities Corp. commercial mortgage pass-through certificates, series 2007-CIBC20 to 'Csf' from 'CCsf' based on a higher certainty of losses. Three (96%) of the five remaining assets are REO with significant expected losses. The largest asset is is a 657,245-sf office property located in Memphis, TN. The property has suffered from low occupancy. The loan was transferred to special servicing for a second time in July 2018 due to imminent default. The loan had previously been in special servicing in 2013 for imminent maturity default and was subsequently modified in 2015 into a A/B Note split. The loan matured in Sept. 1, 2018 and was foreclosed in May 2020. The borrower filed suit in New York in August 2018, making affirmative claims against the trust and others, including for breach of contract. This litigation continues. The property is currently 59.7% occupied. Consistent with the prior rating action, full losses on both the A and B Note are expected given the increasing loan exposure, low occupancy and ongoing litigation. KEY RATING DRIVERS High Expected Losses: All of the transactions have high expected losses, as most of the remaining assets are in special servicing. Each transaction has five or fewer assets remaining and losses are expected to impact most of the remaining classes. Low Credit Enhancement: Each of the remaining classes has low credit enhancement. The distressed ratings on the bonds reflect insufficient credit enhancement to absorb the expected losses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Although not expected, factors that could lead to upgrades include significant improvement in valuations and performance of the remaining assets. Factors that could, individually or collectively, lead to negative rating action/downgrade: All classes in these transactions are distressed. Further downgrades to 'Dsf' are expected as losses are incurred. Classes currently rated 'Dsf' will remain unchanged as losses have already been incurred. 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. GS MORTGAGE 2016-RENT: Fitch Affirms B-sf Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of GS Mortgage Securities Corporation Trust 2016-RENT commercial mortgage pass-through certificates series 2016-RENT. RATING ACTIONS GS Mortgage Securities Corporation Trust 2016-RENT Class A 36251GAA2; LT AAAsf Affirmed; previously at AAAsf Class B 36251GAG9; LT AA-sf Affirmed; previously at AA-sf Class C 36251GAJ3; LT A-sf Affirmed; previously at A-sf Class D 36251GAL8; LT BBB-sf Affirmed; previously at BBB-sf Class E 36251GAN4; LT BB-sf Affirmed; previously at BB-sf Class F 36251GAQ7; LT B-sf Affirmed; previously at B-sf Class X-A 36251GAC8; LT AAAsf Affirmed; previously at AAAsf Class X-B 36251GAE4; LT AA-sf Affirmed; previously at AA-sf KEY RATING DRIVERS Collateral Quality: Fitch assigned the portfolio a property quality grade of 'B+' at issuance. As of that time, the sponsor had already spent $32.9 million in capital improvements since acquiring the portfolio, including $22.7 million on unit conversions and renovations and $10.2 million on base-building upgrades with plans to continue renovating units as they became vacant. As of September 2019, approximately 301 units (17.4% of the portfolio) have undergone a heavy turn/renovation beyond the standard paint and clean since YE 2015. Of the currently reported vacancy, the majority are units offline for capital work. Strong Multifamily Market: The properties are all located in the tight San Francisco multifamily market. The 61 properties are located in several central neighborhoods, including Nob Hill, Mission, Pacific Heights, Downtown San Francisco, Russian Hill and the Marina District. Per Reis, the average vacancy rate was 4.2% for second-quarter 2020, up slightly from 4.0% for full-year 2019. Stable Expectations Despite Occupancy Decline: Although occupancy has declined over the last year, the portfolio's performance is largely in line with Fitch's issuance expectations. As of YE 2019, occupancy dipped to 83.6% from 93.6% at issuance, and was down further to 77.6% in June 2020. Some of the recent decline in occupancy is attributable to the pandemic, but the borrower has reported that leasing has picked back up in the last two months. The servicer-reported YE 2019 NCF of $34.4 million is in line with Fitch's NCF at issuance. Below Market Rents: All the units in the portfolio are subject to rent-control restrictions. Given the pace of rent growth in the San Francisco market over the last three years, the gap between the portfolio's average monthly rate and the market rate has widened. The portfolio is achieving an average monthly rate of $2,688 per unit, according to the June 2020 statement. In the aggregate, in-place rents are approximately 14% below market, compared with 28% below market at issuance. Reis projects rental rates will dip through 2022 and then reverse/increase through 2024. High Fitch Leverage: Fitch's stressed DSCR and loan to value for the whole loan debt are 0.88x and 99.3%, respectively, based on an 8.00% refinance constant and a 7.00% cap rate. Additional Debt: The trust loan is pari passu with two non-trust notes totaling $130,250,000. In addition, there is a non-trust mezzanine loan of $196,500,000. Loan Structure: A capex reserve account was funded at issuance in the amount of $19 million to reimburse the sponsor for unit renovation and turnover costs. Monthly deposits continue to be made to this fund, which has a current balance of approximately $154,000. Monthly real estate taxes and insurance are escrowed. Additionally, a cash management event will be triggered in the event that the debt service coverage ratio (DSCR) dips below 1.10x. Coronavirus Exposure: The single-borrower transaction is secured by 61 multifamily properties concentrated in the same geographic location, and is therefore more susceptible to single-event risks related to the market or sponsor. The social and market disruption caused by the effects of the coronavirus pandemic and related containment measures were not a major factor in this review. RATING SENSITIVITIES The Rating Outlook on all classes remains Stable. Factors that could, individually or collectively, lead to positive rating action/upgrade: An upgrade to classes B and C could occur with stabilization of the portfolio's occupancy. Classes D and E could be upgraded should occupancy stabilize and rental rates for the underlying portfolio continue to grow. Defeasance and paydown would not play a role in contemplating an upgrade, given the single-borrower and non-amortizing nature of the securitized loan. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that could lead to downgrades include a decline in performance of the underlying assets or loan default. A downgrade to the 'AAAsf' and 'AA-sf' rated classes is not considered likely due to the position in the capital structure, but may occur should interest shortfalls occur. A downgrade to classes C and D are possible should the portfolio experience material and sustained performance decline. 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. GS MORTGAGE 2019-GSA1: Fitch Affirms B-sf Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust 2019-GSA1 commercial mortgage pass-through certificates, series 2019-GSA1. The Rating Outlook on class G-RR has been revised to Negative from Stable. RATING ACTIONS Goldman Sachs Mortgage Securities Trust 2019-GSA1 Class A-1 36261PAQ5; LT AAAsf Affirmed; previously at AAAsf Class A-2 36261PAR3; LT AAAsf Affirmed; previously at AAAsf Class A-3 36261PAS1; LT AAAsf Affirmed; previously at AAAsf Class A-4 36261PAT9; LT AAAsf Affirmed; previously at AAAsf Class A-AB 36261PAU6; LT AAAsf Affirmed; previously at AAAsf Class A-S 36261PAX0; LT AAAsf Affirmed; previously at AAAsf Class B 36261PAY8; LT AA-sf Affirmed; previously at AA-sf Class C 36261PAZ5; LT A-sf Affirmed; previously at A-sf Class D 36261PAA0; LT BBBsf Affirmed; previously at BBBsf Class E 36261PAE2; LT BBB-sf Affirmed; previously at BBB-sf Class F-RR 36261PAG7; LT BB-sf Affirmed; previously at BB-sf Class G-RR 36261PAJ1; LT B-sf Affirmed; previously at B-sf Class X-A 36261PAV4; LT AAAsf Affirmed; previously at AAAsf Class X-B 36261PAW2; LT AA-sf Affirmed; previously at AA-sf Class X-D 36261PAC6; LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Performance and Loss Expectations remain stable for the majority of the pool: Pool performance remains stable from issuance for most of the pool. There are eight Fitch Loans of Concern (FLOC) (17.4% of the pool), four of which are delinquent (10.9%), including three loans that have transferred to the special servicer (8.5%). The FLOC has been flagged for future cash flow decline given the social and market disruption due to the coronavirus pandemic. Fitch Loans of Concern: Fitch has designated eight loans (17.4%) as FLOCs. The largest FLOC is the Hilton Portfolio loan (3%), which is secured by a portfolio of seven hospitality properties located in tertiary locations, including Stroudsburg, PA; Advance, NC; Leesburg, VA; Ocala, FL and Williamsport, PA. All of the properties are affiliated with the Hilton brand. The loan has been delinquent several times during 2020. According to servicer updates, the borrower and special servicer are working on a loan modification. The next largest FLOC is the Celebration Suites loan (3%), which is secured by a 550 room unflagged hotel located in Kissimmee, FL. Walt Disney World Resort, ESPN Wide World of Sports Complex and Sea World Orlando are all within seven miles of the property. Tourism is the key demand driver for the property and has been adversely affected due to the coronavirus pandemic. The loan transferred to special servicing in July 2020 and is currently over 90 days delinquent. According to servicer updates, the special servicer is reviewing the borrowers loan modification request. The next largest FLOC is the Hotel Clermont loan (2.5%), which is secured by a 94 key hotel located in Atlanta, GA. The loan transferred to special servicing in September 2020 as a result of the coronavirus pandemic. The loan is currently over 90 days delinquent and the special servicer is in talks with the borrower on a workout strategy. For the TTM June 2020, the servicer reported NOI DSCR was -0.65x with an occupancy of 54% which is a significant decline from 74% at securitization. The next largest FLOC is the Tulsa Hotel Portfolio loan (2.4%), which is secured by two hotel properties located in Tulsa, OK. Coronavirus relief has been requested, and the borrower is working with the special servicer on a potential modification. As of YE 2019 the NOI DSCR was 1.86x with an occupancy of 71%. Minimal Change in Credit Enhancement (CE): As of the September 2020 distribution date, the pool's aggregate balance declined by 0.2% to $862.3 million from $864.2 million at issuance. 29 loans (73.7% of the pool) are IO loans, and 10 loans (12.9% of the pool) are partial IO. From securitization to maturity, the pool is projected to pay down by just 4.4%. Coronavirus Exposure: 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 account for 13 loans (26.3% of pool). Loans secured by multifamily properties account for eight loans (20.2%), while loans secured by hotel properties account for six loans (13.8%). Investment-Grade Credit Opinion Loan: One loan, Grand Canal Shoppes (2.9% of the pool), was assigned a stand-alone investment-grade credit opinion at issuance.The borrower has requested coronavirus relief for this loan. Low Mortgage Coupons: The pool's weighted average (WA) mortgage rate is 3.82%, which is well below historical averages. RATING SENSITIVITIES The Negative Outlook on class G-RR reflect concerns over the FLOCs, including three specially serviced loans, as well as the impact of the coronavirus pandemic on the loans in the pool. The Stable Outlooks reflect the stable performance of the majority of the pool. Factors that could, individually or collectively, lead to a positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf' category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. The 'BBBsf', 'BBB-sf', 'BB-' and 'B-sf' 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 could 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-3, A-4, A-AB and A-SB are not expected given the generally stable performance and their position in the capital structure, but may occur should loss expectations increase and/or interest shortfalls affect these classes. Downgrades to classes B, C, D, and E are possible should performance of the FLOCs continue to decline, or if additional loans become FLOC and/or transfer to special servicing. Downgrades to class G-RR would be likely if the specially serviced loans are liquidated under current loss expectations. 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 one or more categories and that additional classes may be placed on Outlook Negative. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS 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. GS MORTGAGE 2020-PJ5: Fitch Assigns Bsf Rating on Class B-5 Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2020-PJ5 (GSMBS 2020-PJ5). RATING ACTIONS GSMBS 2020-PJ5 Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10; LT AA+sf New Rating; previously AA+(EXP)sf Class A-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3; LT AA+sf New Rating; previously AA+(EXP)sf Class A-4; LT AA+sf New Rating; previously AA+(EXP)sf Class A-5; LT AAAsf New Rating; previously AAA(EXP)sf Class A-6; LT AAAsf New Rating; previously AAA(EXP)sf Class A-7; LT AAAsf New Rating; previously AAA(EXP)sf Class A-8; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9; LT AA+sf New Rating; previously AA+(EXP)sf Class A-X-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X-3; LT AA+sf New Rating; previously AA+(EXP)sf Class A-X-5; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X-7; LT AAAsf New Rating; previously AAA(EXP)sf Class AR; LT NRsf New Rating; previously NR(EXP)sf Class B; LT BBBsf New Rating; previously BBB(EXP)sf Class B-1; LT AAsf New Rating; previously AA(EXP)sf Class B-1-A; LT AAsf New Rating; previously AA(EXP)sf Class B-1-X; LT AAsf New Rating; previously AA(EXP)sf Class B-2; LT Asf New Rating; previously A(EXP)sf Class B-2-A; LT Asf New Rating; previously A(EXP)sf Class B-2-X; LT Asf New Rating; previously A(EXP)sf Class B-3; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3-A; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3-X; LT BBBsf New Rating; previously BBB(EXP)sf Class B-4; LT BBsf New Rating; previously BB(EXP)sf Class B-5; LT Bsf New Rating; previously B(EXP)sf Class B-6; LT NRsf New Rating; previously NR(EXP)sf Class BX; LT NRsf New Rating; previously NR(EXP)sf KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The collateral consists primarily of 30-year fixed-rate mortgage (FRM) fully amortizing loans seasoned approximately eight months in aggregate. The borrowers in this pool have strong credit profiles (766 model FICO) and relatively low leverage (a 74.1% sustainable loan-to-value ratio [sLTV]). The collateral is a mix of conforming agency eligible loans (15%) and nonconforming prime-jumbo loans (85%). Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.5% of the original balance will be maintained for the senior certificates, and a subordination floor of 1.0% of the original balance will be maintained for the subordinate certificates. Shellpoint Servicing will provide full advancing for the life of the transaction. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Geographic Concentration (Negative): Approximately 60% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (24.7%), followed by the San Francisco (13.4%) and San Diego (6.3%) MSAs. The top three MSAs account for 44.4% of the pool. As a result, there was a 1.06x adjustment for geographic concentration and a 30 basis-points (bps) increase to expected loss levels at the 'AAAsf' rating category. Payment Holidays Related to Coronavirus Pandemic (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 25% of the pool for the first six months of the transaction at all rating categories, with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of past-due payments following Hurricane Maria in Puerto Rico. Due to the servicer advancing P&I payments, this stress does not significantly impact the structure. As of the cutoff date, the issuer confirmed that no loans were either delinquent or had entered a forbearance program, and the servicer is not expected to defer scheduled payment dates. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. Goldman Sachs is assessed as an 'Above Average' aggregator by Fitch due to its robust sourcing strategy and seller oversight, experienced senior management and staff and strong risk management and corporate governance controls. Primary and master servicing responsibilities are performed by Shellpoint Mortgage Servicing (Shellpoint), rated 'RPS2-' by Fitch. Representation Framework (Negative): The loan-level representation, warranty and enforcement (RW&E) framework is consistent with Tier 2 quality. Fitch increased its loss expectations by 44 bps at the 'AAAsf' rating category as a result of the Tier 2 framework and the underlying sellers supporting the repurchase obligations of the RW&E providers. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of the loans in the transaction. Due diligence was performed by AMC, Opus, Digital Risk, Consolidated Analytics, and Clayton, which Fitch assesses as 'Acceptable - Tier 1', 'Acceptable - Tier 2', 'Acceptable - Tier 2', 'Acceptable - Tier 3', 'Acceptable - Tier 1' and 'Acceptable - Tier 2', respectively. The review scope is consistent with Fitch criteria, and the results are generally similar to prior prime RMBS transactions. Credit exceptions were supported by strong mitigating factors, and compliance exceptions were primarily cured with subsequent documentation. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 26 bps. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to, or that may be considered in the surveillance of the transaction. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, and lower MVDs illustrated by a gain in home prices. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 4.5%. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Fitch has added a coronavirus sensitivity analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term effects arising from coronavirus-related disruptions on these economic inputs will likely affect both investment and speculative-grade ratings. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Third-party due diligence was performed on approximately 100% of the loans in the transaction. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton, SitusAMC, Opus, Digital Risk and Consolidate Analytics were engaged to perform the review. The due diligence scope includes a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS that are backed by newly originated loans. The results of the review indicate overall thorough origination practices that are consistent with prime RMBS. All of the loans in the transaction pool received a final due diligence grade of 'A' or 'B'. Loans receiving a final due diligence grade of 'B' were primarily driven by regulatory compliance exceptions related to TILA-RESPA Integrated Disclosure (TRID) rules. These exceptions are not considered material based on guidance from the Structured Finance Association (SFA), or they were corrected with subsequent post-closing documentation. Less than 6% of the loans received a final grade of 'B' related to credit exceptions that were deemed immaterial due to the presence of strong compensating factors identified during the review. Three loans had a property inspection waiver (PIW) from the government-sponsored entities (GSEs). Goldman Sachs (GS)had ordered a 2055 drive-by appraisal (a field review) on the PIW loans. All loans were within a 10% +/- variance. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton, SitusAMC, Opus, Digital Risk and Consolidate Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS 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. HILDENE COMMUNITY: Moody's Assigns B3 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service assigned ratings to four classes of CDO refinancing notes issued by Hildene Community Funding CDO, Ltd. Moody's rating action is as follows: US$198,625,000 Class A-R Senior Secured Fixed Rate Notes Due 2035 (the "Class A-R Notes"), Definitive Rating Assigned Aa3 (sf) US$8,625,000 Class B Senior Secured Deferrable Fixed Rate Notes Due 2035 (the "Class B Notes"), Definitive Rating Assigned Baa3 (sf) US$18,000,000 Class C Senior Secured Deferrable Fixed Rate Notes Due 2035 (the "Class C Notes"), Definitive Rating Assigned Ba2 (sf) US$18,625,000 Class D Senior Secured Deferrable Fixed Rate Notes Due 2035 (the "Class D Notes"), Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on its methodology and considers all relevant risks particularly those associated with the CDO's portfolio and structure. The Issuer is a managed cash flow collateralized debt obligation (CDO). The issued notes are collateralized primarily by a portfolio of subordinated loans, senior unsecured notes and trust preferred securities (TruPS) issued by US regional and community banks and bank holding companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc™, an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q2-2020 financial data. Moody's assumes a fixed recovery rate of 10% for bank obligations. At least 90% of the portfolio must consist of senior loans, senior notes, subordinated notes, subordinated loans issued by banks or bank holding companies, and up to 10% of the portfolio may consist of TruPS. The portfolio is close to fully ramped as of the closing date. Hildene Structured Advisors, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's two-year reinvestment period. Thereafter, the Manager is not permitted to purchase additional assets, and principal payments and proceeds from the sale of assets will be used to amortized the Refinancing Notes in sequential order. The Issuer has issued the Refinancing Notes on November 2, 2020 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") originally issued on October 15, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of preferred shares that remains outstanding. In addition to the quantitative factors that Moody's explicitly models, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM™, which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge™ cash flow model. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, minimum unique obligors and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $265,000,000 Weighted Average Rating Factor (WARF): 1505 Weighted Average Coupon (WAC): 5.50% Weighted Average Spread (WAS) for Fixed to Float assets only: 4.50% Weighted Average Life (WAL): 12 years Minimum Unique Obligors: 35 The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of bank assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in June 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. HILDENE COMMUNITY: Moody's Gives (P)B3 Rating on Class D Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of CDO refinancing notes to be issued by Hildene Community Funding CDO, Ltd. Moody's rating action is as follows: US$198,625,000 Class A-R Senior Secured Fixed Rate Notes Due 2035 (the "Class A-R Notes"), Assigned (P)Aa3 (sf) US$8,625,000 Class B Senior Secured Deferrable Fixed Rate Notes Due 2035 (the "Class B Notes"), Assigned (P)Baa3 (sf) US$18,000,000 Class C Senior Secured Deferrable Fixed Rate Notes Due 2035 (the "Class C Notes"), Assigned (P)Ba2 (sf) US$18,625,000 Class D Senior Secured Deferrable Fixed Rate Notes Due 2035 (the "Class D Notes"), Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on its methodology and considers all relevant risks particularly those associated with the CDO's portfolio and structure. The Issuer is a managed cash flow collateralized debt obligation (CDO). The issued notes are collateralized primarily by a portfolio of subordinated loans, senior unsecured notes, and trust preferred securities (TruPS) issued by US regional and community banks and bank holding companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc, an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q2-2020 financial data. Moody's assumes a fixed recovery rate of 10% for bank obligations. At least 90% of the portfolio must consist of senior loans, senior notes, subordinated notes, subordinated loans issued by banks or bank holding companies, and up to 10% of the portfolio may consist of TruPS. Moody's expects the portfolio to be approximately 100% ramped as of the closing date. Hildene Structured Advisors, LLC will direct the selection, acquisition, and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's two-year reinvestment period. The Issuer will issue the Refinancing Notes on November 2, 2020 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") originally issued on October 15, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of preferred shares that remains outstanding. In addition to the quantitative factors that Moody's explicitly models, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM, which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge cash flow model. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, minimum unique obligors, and weighted average recovery rate, are based on its published methodology, and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $265,000,000 Weighted Average Rating Factor (WARF): 1505 Weighted Average Coupon (WAC): 5.50% Weighted Average Spread (WAS) for Fixed to Float assets only: 4.50% Weighted Average Life (WAL): 12 years Minimum Unique Obligors: 35 The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of bank assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in June 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM, which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge cash flow model. HOME RE 2020-1: Moody's Assigns B2 Rating on Class B-1 Notes ------------------------------------------------------------ Moody's Investors Service assigned definitive ratings to five classes of mortgage insurance credit risk transfer notes issued by Home Re 2020-1 Ltd. Home Re 2020-1 Ltd. (the issuer) is the third transaction issued under the Home Re program to date and the first such issue in 2020, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Mortgage Guaranty Insurance Corporation (MGIC, 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. As of the cut-off date, no mortgage loan has been reported to the ceding insurer as in two payment loan default or as subject to forbearance. To the extent, based on information reported on or prior to the cut-off date, that a mortgage loan no longer satisfies the eligibility criteria as of a date subsequent to the cut-off date, such mortgage loan will not be removed from the offering and the coverage for the related MI policy will continue to be provided by the reinsurance agreement. On the closing date, the issuer and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the Class B-2H and Class B-3H coverage levels are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. Transaction credit strengths include strong loan credit characteristics, including the fact that the MI policies are predominantly borrower-paid MI policies (96.4% by unpaid principal balance). Transaction credit weaknesses include predominantly high loan-to-value (LTV) ratios, as well as a limited third-party review scope and lack of representations and warranties (R&Ws) to the noteholders. The complete rating actions are as follows: Issuer: Home Re 2020-1 Ltd. Cl. M-1A, Definitive Rating Assigned Baa2 (sf) Cl. M-1B, Definitive Rating Assigned Baa3 (sf) Cl. M-1C, Definitive Rating Assigned Ba2 (sf) Cl. M-2, Definitive Rating Assigned B1 (sf) Cl. B-1, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expects this insured pool's aggregate exposed principal balance to incur 2.28% losses in a base case scenario, and 17.64% losses under a Aaa stress scenario. 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. It is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) the existing quota share reinsurance percentage. Reinsurance coverage percentage is 100% minus existing quota share reinsurance through unaffiliated insurer, if any. By unpaid principal balance, approximately 26.5% of the pool has zero quota share reinsurance, 69.5% of the pool has 30% reinsurance and 4% of the pool has 65% reinsurance. The ceding insurer has purchased quota share reinsurance from unaffiliated third parties, which provides proportional reinsurance protection to the ceding insurer for certain losses. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (mean expected losses by 13.43%) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description Each mortgage loan has an insurance coverage effective date (in force date) on or after January 1, 2020, but on or before July 31, 2020. The reference pool consists of 191,424 primes, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing, predominantly conforming mortgage loans with a total insured loan balance of approximately $52 billion. There are 6,652 (4.8% of total unpaid principal balance) which were not underwritten through GSE guidelines. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80% with a weighted average (WA) of 90.7% (by unpaid principal balance). The WA LTV of 90.7% 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 and other MI CRT transactions rated by Moody's. By unpaid principal balance, the borrowers in the pool have a WA FICO score of 752, a WA debt-to-income ratio of 35.1% and a WA mortgage rate of 3.5%. The WA risk in force (MI coverage percentage net of existing reinsurance coverage) is approximately 17.5% of the reference pool unpaid principal balance. 100% of insured loans were covered by mortgage insurance at origination with 96.4% covered by BPMI and 3.6% covered by LPMI based on risk in force. It should be noted that information comes from the loan tape that the insurer provided to us. Certain loan characteristics may differ from the data in the loan tape because (i) the calculations reflect its assumptions or model adjustments and/or (ii) some data in the loan tape is weighted by the aggregate exposed principal balance of the mortgage loans in contrast to being weighted by the unpaid principal balance. For example, the insurer's preliminary offering circular reflects a WA remaining term of 346 months in contrast to Moody's model output of 341 months. Company Overview MGIC is an insurance company domiciled in the State of Wisconsin. MGIC received its initial certificate of authority from the Wisconsin Office of the Commissioner of Insurance in March 1979. MGIC is one of the leading private mortgage insurers in the industry. MGIC is an approved mortgage insurer of loans purchased by Fannie Mae and Freddie Mac, and is licensed in all 50 states, the District of Columbia and the territories of Puerto Rico and Guam to issue private mortgage guaranty insurance. MGIC's has $230.5 billion of insurance in force as of June 30, 2020, with more than 4,500 originators and/or servicers utilized MGIC mortgage insurance in the last 12 months. MGIC is the primary insurance subsidiary of MGIC Investment Corporation, a Wisconsin corporation whose stock trades on the New York Stock Exchange under the symbol "MTG." MGIC Investment Corporation is a holding company which, through MGIC, MGIC Indemnity Corporation and several other subsidiaries, is principally engaged in the mortgage insurance business. The insurer financial strength of the MGIC is rated "Baa1 (stable outlook)" by Moody's. Underwriting Quality Moody's took into account the quality of MGIC's insurance underwriting, risk management and claims payment process in its analysis. Most applications for mortgage insurance are submitted to MGIC electronically, and MGIC relies upon the lender's R&Ws that the data submitted is true and correct when MGIC makes its insurance decisions. At present, MGIC's underwriting guidelines are broadly consistent with those of the GSEs. MGIC accepts the underwriting decisions made by the GSEs' underwriting systems, subject to certain additional limitations and requirements. MGIC had several overlays to GSE underwriting requirements which pre-dated Covid-19. During Covid-19, MGIC added a temporary overlay making cash-out transactions and investment property no longer eligible for MGIC insurance. MGIC's primary mortgage insurance policies are issued through one of two programs. Lenders submit mortgage loans to MGIC for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without MGIC re-underwriting the loan file. MGIC issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Lenders eligible under this program must be pre-approved by MGIC's risk management group and are subject to random and targeted internal quality control reviews. In this transaction, approximately 69.84% of the mortgage loans were originated under a delegated underwriting program. Under the non-delegated underwriting program, insurance coverage is approved after underwriting by the insurer. Some customers prefer MGIC's non-delegated program because MGIC assumes underwriting responsibility and will not rescind coverage if it makes an underwriting error, subject to the terms of its master policy. MGIC seeks to ensure that loans are appropriately underwritten through quality control sampling, loan performance monitoring and training. In this transaction, approximately 30.16% of the mortgage loans were originated under a non-delegated underwriting program. Overall, the share of delegated and non-delegated underwriting in this pool is reflective of the corresponding percentage in MGIC's overall portfolio (approximately 30% and 70%, respectively). MGIC maintains a primary underwriting center in Milwaukee, Wisconsin, along with geographically disbursed underwriters. Although MGIC's employees conduct the substantial majority of its non-delegated underwriting, from time-to-time, MGIC engages third parties to assist with certain clerical functions. As part of its ongoing quality control processes, MGIC undertakes quality control reviews of limited samples of mortgage loans that it insures under both delegated and non-delegated underwriting programs. Through MGIC's quality control process, it reviews a statistically significant sample of individual mortgages from its customers to ensure that the loans accepted through its underwriting processes meet MGIC's pre-determined eligibility and underwriting criteria. The quality control process allows MGIC to identify trends in lender underwriting and origination practices, as well as to investigate underlying reasons for delinquencies, defaults and claims within its portfolio that are potentially attributable to insurance underwriting process defects. The information gathered from the quality control process is used by MGIC in its ongoing policy acquisitions and is intended to prevent continued aggregation of Policies with insurance underwriting process defects. Submission of Claims Unless MGIC has directed the insured to file an accelerated claim, the master policy requires the insured to submit a claim for loss no later than 60 days after the earliest of (i) acquiring the borrower's title to the related property, (ii) an approved sale or (iii) completion of the foreclosure sale of the property (under the 2014 master policy the insured may elect to file the claim after expiration of the redemption period). Prior to claim payment, an investigative underwriter investigates select claims to review for origination fraud. The investigation focuses on uncovering facts and evidence related to loan origination and determines whether certain exclusions from the master policy apply to a given loan or claim. When the investigative underwriter finds issues, MGIC may rescind coverage. When no issues are found, the investigative underwriter will close the investigation case and release the claim for final processing. Investigative underwriters analyze the origination documentation as well as documentation from a variety of sources and determine if there is a significant defect. Third-Party Review MGIC 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 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. There was no compliance tested due to the nature of the review, which was to ensure the mortgage insurance application met all applicable company guidelines. MGIC is a mono-line mortgage insurance company not a mortgage lender. The size of the diligence sample was determined by the third-party diligence provider using a 95% confidence level applied to the total pool of 191,424 mortgage loans to be covered by the reinsurance agreement, a 2% precision interval applied to the confidence level and a 5% error rate applied to the final result, with the resulting number rounded up. The diligence sample consisted of 350 mortgage loans to be covered by the reinsurance agreement. The scope of the third-party review is weaker than private label RMBS transactions because it covers only a limited sample of loans (0.18% by total loan count in the reference pool) and only includes credit, data and valuation. In spite of the small sample size and a limited TPR scope for Home Re 2020-1, Moody's did not make an additional adjustment to the loss levels because (i) approximately 30% of the insured loans in the reference pool are re-underwritten by the ceding insurer via non-delegated underwriting program, which mitigates the risk of underwriting defects, (ii) MI claims paid will not include legal costs associated with any TRID violations, as the loan originators will bear these costs, and (iii) since the insured pool is predominantly GSE loans, the GSEs will also conduct their quality control review. Scope and results. The third-party due diligence scope focused on the following: Property Valuation Review: The third-party diligence provider was able to obtain current property valuations on 98.00% (by loan count) of the mortgage loans in the diligence sample. An automated Freddie Mac Home Value Explorer (HVE) valuation was ordered by the third-party diligence provider on the entire diligence sample. In some instances, a broker price opinion (BPO) and field review appraisal of the relevant property was also ordered to address certain value discrepancies. The third-party diligence provider ordered a field review appraisal for 9 properties and 2 were returned in the diligence review period. The mortgage loans for 7 properties that did not receive a field review in the time allotted for the diligence review received a collateral grade of N/A. Credit: All but one loan was rated graded A or B. One finding by the third-party diligence provider was related to original DTI exceeding applicable guidelines and determined to be a credit grade "C" exception. 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. Based on the diligence sample reviewed by the third-party diligence provider in connection with the data integrity review, 343 mortgage loans were found with no discrepancies noted and 7 mortgage loans were found with one or more discrepancies between the source documents and the data file. After taking into account the (i) third-party due diligence results for credit and property valuation and (ii) the extent to which the characteristics of the mortgage loans can be extrapolated from the error rate and the extent to which such errors and discrepancies may indicate an increased likelihood of MI losses, Moody's did not make any further adjustments to its credit enhancement. R&Ws Framework The ceding insurer does not make any R&Ws 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 and other MI CRT transactions that Moody's has rated. The ceding insurer will retain the senior coverage level A-H, coverage level B-2H and the coverage level B-3H at closing. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated Class M-1A, Class M-1B, Class M-1C, Class M-2 and Class B-1 offered notes have credit enhancement levels of 6.15%, 4.80%, 4.00%, 3.25% and 3.00%, respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. MI losses are allocated in a reverse sequential order starting with the coverage level B-3H. Investment deficiency amount losses are allocated in a reverse sequential order starting with the class B-1 notes. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to the senior reference tranche when a 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-H 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 coverage level A-H 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: 8.50%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders, when combined with the income earned on the eligible investments, of approximately 70 days while the reinsurance trust account and eligible investments are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered (1) with respect to any class of notes, if the rating of that class of notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or (2) with respect to all classes of notes, if the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into and maintain in the premium deposit account the required PDA amount (see next paragraph) only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it will be obligated to deposit the required PDA amount for all classes of notes. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i)(a) the coupon rate of the note multiplied by (b) the applicable funded percentage, (c) the coverage level amount for the coverage level corresponding to such class of notes and (d) 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-3H and the coverage level B-2H have been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claim's consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third-party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. As noted, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believes the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. JP MORGAN 2020-8: Fitch Assigns Bsf Rating on Cl. B-5 Debt ---------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2020-8 (JPMMT 2020-8). RATING ACTIONS JPMMT 2020-8 Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10-B; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10-X-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10-X-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10-X-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-11; LT AAAsf New Rating; previously AAA(EXP)sf Class A-11-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-11-AI; LT AAAsf New Rating; previously AAA(EXP)sf Class A-11-B; LT AAAsf New Rating; previously AAA(EXP)sf Class A-11-BI; LT AAAsf New Rating; previously AAA(EXP)sf Class A-11-X; LT AAAsf New Rating; previously AAA(EXP)sf Class A-12; LT AAAsf New Rating; previously AAA(EXP)sf Class A-13; LT AAAsf New Rating; previously AAA(EXP)sf Class A-14; LT AAAsf New Rating; previously AAA(EXP)sf Class A-15; LT AAAsf New Rating; previously AAA(EXP)sf Class A-16; LT AAAsf New Rating; previously AAA(EXP)sf Class A-17; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3-X; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4-X; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-B; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-X-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-X-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5-X-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-6; LT AAAsf New Rating; previously AAA(EXP)sf Class A-6-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-6-X; LT AAAsf New Rating; previously AAA(EXP)sf Class A-7; LT AAAsf New Rating; previously AAA(EXP)sf Class A-7-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-7-X; LT AAAsf New Rating; previously AAA(EXP)sf Class A-8; LT AAAsf New Rating; previously AAA(EXP)sf Class A-8-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-8-X; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9-A; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9-B; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9-X-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9-X-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9-X-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X-4; LT AAAsf New Rating; previously AAA(EXP)sf Class B-1; LT AAsf New Rating; previously AA(EXP)sf Class B-1-A; LT AAsf New Rating; previously AA(EXP)sf Class B-1-X; LT AAsf New Rating; previously AA(EXP)sf Class B-2; LT Asf New Rating; previously A(EXP)sf Class B-2-A; LT Asf New Rating; previously A(EXP)sf Class B-2-X; LT Asf New Rating; previously A(EXP)sf Class B-3; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3-A; LT BBBsf New Rating; previously BBB(EXP)sf Class B-3-X; LT BBBsf New Rating; previously BBB(EXP)sf Class B-4; LT BBsf New Rating; previously BB(EXP)sf Class B-5; LT Bsf New Rating; previously B(EXP)sf Class B-5-Y; LT Bsf New Rating; previously B(EXP)sf Class B-6; LT NRsf New Rating; previously NR(EXP)sf Class B-6-Y; LT NRsf New Rating; previously NR(EXP)sf Class B-6-Z; LT NRsf New Rating; previously NR(EXP)sf Class B-X; LT BBBsf New Rating; previously BBB(EXP)sf TRANSACTION SUMMARY The certificates are supported by 403 loans with a total balance of approximately $342 million as of the cut-off date. The pool consists of prime quality fixed-rate mortgages (FRMs) from various mortgage originators. The servicers in the transactions consists of JPMorgan Chase Bank and various other servicers. Nationstar Mortgage LLC will be the Master Servicer. A total of 92% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM) loans, and 8% of the loans qualify as Agency Safe Harbor Qualified Mortgage loans. There is no exposure to LIBOR in this transaction. The collateral is 100% fixed rate loans, the certificates are fixed rate, based on the net weighted average coupon (WAC), or floating/inverse floating rate based on the SOFR index and capped at the net WAC. This is the first JPMMT transaction to use SOFR as the index rate for floating/inverse floating rate certificates. KEY RATING DRIVERS Coronavirus Impact Addressed (Negative): The ongoing coronavirus pandemic and resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's current baseline Global Economic Outlook for U.S. GDP growth is -4.6% for 2020, down from 1.7% for 2019. To account for the baseline macroeconomic scenario and increase in loss expectations, the Economic Risk Factor (ERF) default variable for the 'Bsf' and 'BBsf' rating categories has been increased to 2.0 from floors of 1.0 and 1.5, respectively. Expected Payment Deferrals Related to Coronavirus (Negative): The outbreak of the coronavirus and widespread containment efforts in the U.S. have resulted in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 25% of the pool for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy delinquencies and past-due payments following Hurricane Maria in Puerto Rico. Payment Forbearance (Neutral): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan, however there were loans that had previously been on a coronavirus forbearance plan or inquired about a coronavirus forbearance plan, but continued to make their full contractual payment and were never considered delinquent. As of the cut-off date, approximately 3.72% of the borrowers of the mortgage loans have previously entered into a coronavirus-related forbearance plan with the related servicer (each of which is no longer active). However, with respect to each such mortgage loan, the related borrower had nonetheless made all of the scheduled payments due during the related forbearance period, and was therefore never delinquent. In addition, approximately 5.48% of the borrowers of the mortgage loans have also inquired about, or requested, forbearance plans with the related servicer but subsequently declined to enter into any forbearance plan with such servicer and remain current as of the cut-off date. Fitch did not make any adjustment to the loans previously on a coronavirus forbearance plan, since they continued to make their payments under the plan (no delinquencies), and the plans are no longer active. Any loan that enters a coronavirus forbearance plan between the cut-off date and the settlement date will be removed from the pool (at par) within 45 days of closing. For borrowers that enter a coronavirus forbearance plan post-closing, the P&I advancing party will advance P&I during the forbearance period. If at the end of the forbearance period, the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from principal collections on the overall pool. This will likely result in writedowns to the most subordinate class, which will be written back up as subsequent recoveries are realized. Since there will be no borrowers on a coronavirus forbearance plan as of the closing date and forbearance requests have significantly declined, Fitch did not increase its loss expectation to address the potential for writedowns due to reimbursement of servicer advances. High-Quality Mortgage Pool (Positive): ): The pool consists of very high-quality 30, 29, 15 and 10-year fixed-rate fully amortizing loans. A total of 92% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM) loans, and 8% of the loans qualify as Agency Safe Harbor Qualified Mortgage loans. The loans were made to borrowers with strong credit profiles, relatively low leverage, and large liquid reserves. The loans are seasoned an average of nine months according to Fitch. The pool has a weighted average (WA) original FICO score of 768 (as determined by Fitch), which is indicative of very high credit-quality borrowers. Approximately 75% of the loans have a borrower with an original FICO score above 750. In addition, the original WA CLTV ratio of 70.8% represents substantial borrower equity in the property and reduced default risk. 1.1% (four loans) of the loans in the pool are made to nonpermanent residents. These borrowers have strong average current credit score of 752, DTI of 34.1%, CLTV of 74.2%, average monthly income of $23 thousand and WA liquid reserves of $99.6 thousand. These loans were treated as investor occupied in Fitch's analysis. There are no investor occupied homes in the pool, which Fitch viewed positively in its analysis. A total of 101 loans in the pool are over $1 million and the largest loan is $2.4 million. Geographic Concentration (Neutral): Approximately 49% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in Los Angeles MSA (17.2%) followed by the San Francisco MSA (10.6%) and the San Diego MSA (6.5%). The top three MSAs account for 34.3% of the pool. As a result, there was a 1.004x adjustment for geographic concentration which increased the AAAsf expected loss by 0.02%. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): A CE or senior subordination floor of 1.35% has been considered in order to mitigate potential tail end risk and loss exposure for senior tranche, as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 0.90% has been considered in order to mitigate potential tail end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Full Servicer Advancing (Mixed): The servicers will provide full advancing for the life of the transaction (the servicer is expected to advance delinquent P&I on loans that enter a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the Master Servicer and will advance if the servicer is not able to. If the Master Servicer is not able to advance, then the Securities Administrator (Citibank) will advance. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $550 thousand per annum, which can be carried over each year, subject to the cap until paid in full. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. JPMorgan has an extensive operating history in mortgage aggregations and is assessed by Fitch as an 'Above Average' aggregator. JPMorgan has a developed sourcing strategy and maintains strong internal controls that leverage the company's enterprise wide risk management framework. Approximately 62% of loans are serviced by JPMorgan Chase (Chase), rated 'RPS1-'. Nationstar is the Master Servicer and will advance if the servicer is not able to. If the Master Servicer is not able to advance, then the Securities Administrator (Citibank) will advance. Representation and Warranty Framework (Negative): The loan-level representations and warranties (R&Ws) are mostly consistent with a higher tier framework, but have knowledge qualifiers without a clawback provision contributed to its Tier 2 assessment. Fitch increased its loss expectations 35 bps at the 'AAAsf' rating category to mitigate the limitations of the framework and the noninvestment-grade counterparty risk of the providers. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by five different third-party review firms; two firms are assessed by Fitch as 'Acceptable - Tier 1', and the other firms are assessed as 'Acceptable - Tier 2'. The review confirmed strong origination practices; no material exceptions were listed and loans that received a final 'B' grades were due to nonmaterial exceptions that were mitigated with strong compensating factors. Fitch applied a credit for the high percentage of loan level due diligence which reduced the 'AAAsf' loss expectation by 21 bps. No Exposure to Hurricane Laura, Hurricane Sally or Hurricane Delta: There are no loans located in the FEMA individual assistance area for these hurricanes in the pool. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to, or that may be considered in the surveillance of the transaction. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, and lower MVDs illustrated by a gain in home prices. Factors that could, individually or collectively, lead to a positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Factors that could, individually or collectively, lead to a negative rating action/downgrade: This defined stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines at the national level. The analysis assumes market value declines of 10%, 20% and 30%, in addition to the model projected 38.3% at 'AAAsf'. 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 two or more full categories. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a coronavirus sensitivity analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term effects arising from coronavirus-related disruptions on these economic inputs will likely affect both investment and speculative-grade ratings. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Inglet Blair, Digital Risk and Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review, and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, IngletBlair, Digital Risk and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies and no material discrepancies were noted. JP MORGAN 2020-8: Fitch to Rate 2 Tranches 'B(EXP)' --------------------------------------------------- Fitch Ratings has assigned expected ratings to JP Morgan Mortgage Trust 2020-8 (JPMMT 2020-8). RATING ACTIONS JPMMT 2020-8 Class A-1; LT AAA(EXP)sf Expected Rating Class A-10; LT AAA(EXP)sf Expected Rating Class A-10-A; LT AAA(EXP)sf Expected Rating Class A-10-B; LT AAA(EXP)sf Expected Rating Class A-10-X-1; LT AAA(EXP)sf Expected Rating Class A-10-X-2; LT AAA(EXP)sf Expected Rating Class A-10-X-3; LT AAA(EXP)sf Expected Rating Class A-11; LT AAA(EXP)sf Expected Rating Class A-11-A; LT AAA(EXP)sf Expected Rating Class A-11-AI; LT AAA(EXP)sf Expected Rating Class A-11-B; LT AAA(EXP)sf Expected Rating Class A-11-BI; LT AAA(EXP)sf Expected Rating Class A-11-X; LT AAA(EXP)sf Expected Rating Class A-12; LT AAA(EXP)sf Expected Rating Class A-13; LT AAA(EXP)sf Expected Rating Class A-14; LT AAA(EXP)sf Expected Rating Class A-15; LT AAA(EXP)sf Expected Rating Class A-16; LT AAA(EXP)sf Expected Rating Class A-17; LT AAA(EXP)sf Expected Rating Class A-2; LT AAA(EXP)sf Expected Rating Class A-3; LT AAA(EXP)sf Expected Rating Class A-3-A; LT AAA(EXP)sf Expected Rating Class A-3-X; LT AAA(EXP)sf Expected Rating Class A-4; LT AAA(EXP)sf Expected Rating Class A-4-A; LT AAA(EXP)sf Expected Rating Class A-4-X; LT AAA(EXP)sf Expected Rating Class A-5; LT AAA(EXP)sf Expected Rating Class A-5-A; LT AAA(EXP)sf Expected Rating Class A-5-B; LT AAA(EXP)sf Expected Rating Class A-5-X-1; LT AAA(EXP)sf Expected Rating Class A-5-X-2; LT AAA(EXP)sf Expected Rating Class A-5-X-3; LT AAA(EXP)sf Expected Rating Class A-6; LT AAA(EXP)sf Expected Rating Class A-6-A; LT AAA(EXP)sf Expected Rating Class A-6-X; LT AAA(EXP)sf Expected Rating Class A-7; LT AAA(EXP)sf Expected Rating Class A-7-A; LT AAA(EXP)sf Expected Rating Class A-7-X; LT AAA(EXP)sf Expected Rating Class A-8; LT AAA(EXP)sf Expected Rating Class A-8-A; LT AAA(EXP)sf Expected Rating Class A-8-X; LT AAA(EXP)sf Expected Rating Class A-9; LT AAA(EXP)sf Expected Rating Class A-9-A; LT AAA(EXP)sf Expected Rating Class A-9-B; LT AAA(EXP)sf Expected Rating Class A-9-X-1; LT AAA(EXP)sf Expected Rating Class A-9-X-2; LT AAA(EXP)sf Expected Rating Class A-9-X-3; LT AAA(EXP)sf Expected Rating Class A-X-1; LT AAA(EXP)sf Expected Rating Class A-X-2; LT AAA(EXP)sf Expected Rating Class A-X-3; LT AAA(EXP)sf Expected Rating Class A-X-4; LT AAA(EXP)sf Expected Rating Class B-1; LT AA(EXP)sf Expected Rating Class B-1-A; LT AA(EXP)sf Expected Rating Class B-1-X; LT AA(EXP)sf Expected Rating Class B-2; LT A(EXP)sf Expected Rating Class B-2-A; LT A(EXP)sf Expected Rating Class B-2-X; LT A(EXP)sf Expected Rating Class B-3; LT BBB(EXP)sf Expected Rating Class B-3-A; LT BBB(EXP)sf Expected Rating Class B-3-X; LT BBB(EXP)sf Expected Rating Class B-4; LT BB(EXP)sf Expected Rating Class B-5; LT B(EXP)sf Expected Rating Class B-5-Y; LT B(EXP)sf Expected Rating Class B-6; LT NR(EXP)sf Expected Rating Class B-6-Y; LT NR(EXP)sf Expected Rating Class B-6-Z; LT NR(EXP)sf Expected Rating Class B-X; LT BBB(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by J.P. Mortgage Trust 2020-8 (JPMMT 2020-8). The certificates are supported by 403 loans with a total balance of approximately $342.17 million as of the cut-off date. The pool consists of prime quality fixed-rate mortgages (FRMs) from various mortgage originators. The servicers in the transactions consists of JP Morgan Chase Bank and various other servicers. Nationstar Mortgage LLC will be the Master Servicer. 92% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM) loans and 8% of the loans qualify as Agency Safe Harbor Qualified Mortgage loans. There is no exposure to LIBOR in this transaction. The collateral is 100% fixed rate loans, the certificates are fixed rate, based off of the net WAC, or floating/inverse floating rate based on the SOFR index and capped at the net WAC. This is the first JPMMT transaction to use SOFR as the index rate for floating/inverse floating rate certificates. KEY RATING DRIVERS Coronavirus Impact Addressed (Negative): The ongoing coronavirus pandemic and resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's current baseline Global Economic Outlook for U.S. GDP growth is -4.6% for 2020, down from 1.7% for 2019. To account for the baseline macroeconomic scenario and increase in loss expectations, the Economic Risk Factor (ERF) default variable for the 'Bsf' and 'BBsf' rating categories has been increased from floors of 1.0 and 1.5, respectively, to 2.0. Expected Payment Deferrals Related to Coronavirus (Negative): The outbreak of the coronavirus and widespread containment efforts in the U.S. have resulted in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 25% of the pool for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy delinquencies and past-due payments following Hurricane Maria in Puerto Rico. Payment Forbearance (Neutral): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan, however there were loans that had previously been on a coronavirus forbearance plan or inquired about a coronavirus forbearance plan, but continued to make their full contractual payment and were never considered delinquent. As of the cut-off date, approximately 3.72% of the borrowers of the mortgage loans have previously entered into a coronavirus-related forbearance plan with the related servicer (each of which is no longer active). However, with respect to each such mortgage loan, the related borrower had nonetheless made all of the scheduled payments due during the related forbearance period, and was therefore never delinquent. In addition, approximately 5.48% of the borrowers of the mortgage loans have also inquired about or requested forbearance plans with the related servicer but subsequently declined to enter into any forbearance plan with such servicer and remain current as of the cut-off date. Fitch dd not make any adjustment to the loans previously on a coronavirus forbearance plan, since they continued to make their payments under the plan (no delinquencies) and the plans are no longer active. Any loan that enters a coronavirus forbearance plan between the cut-off date and the settlement date will be removed from the pool (at par) within 45 days of closing. For borrowers who enter a coronavirus forbearance plan post-closing, the principal and interest (P&I) advancing party will advance P&I during the forbearance period. If at the end of the forbearance period, the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from principal collections on the overall pool. This will likely result in writedowns to the most subordinate class, which will be written back up as subsequent recoveries are realized. Since there will be no borrowers on a coronavirus forbearance plan as of the closing date and forbearance requests have significantly declined, Fitch did not increase its loss expectation to address the potential for writedowns due to reimbursement of servicer advances. High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30, 29, 15, and 10-year fixed-rate fully amortizing loans. 92% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM) loans and 8% of the loans qualify as Agency Safe Harbor Qualified Mortgage loans. The loans were made to borrowers with strong credit profiles, relatively low leverage, and large liquid reserves. The loans are seasoned an average of nine months according to Fitch. The pool has a weighted average (WA) original FICO score of 768 (as determined by Fitch), which is indicative of very high credit-quality borrowers. Approximately 75% of the loans have a borrower with an original FICO score above 750. In addition, the original WA CLTV ratio of 70.8% represents substantial borrower equity in the property and reduced default risk. 1.1% (four loans) of the loans in the pool are made to non-permanent residents. These borrowers have strong average current credit score of 752, DTI of 34.1%, CLTV of 74.2%, average monthly income of $23,096 and weighted average liquid reserves of $99,611. These loans were treated as investor occupied in Fitch's analysis. There are no investor occupied homes in the pool, which Fitch viewed positively in its analysis. 101 loans in the pool are over $1 million and the largest loan is $2.4 million. Geographic Concentration (Neutral): Approximately 49% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in Los Angeles MSA (17.2%) followed by the San Francisco MSA (10.6%) and the San Diego MSA (6.5%). The top three MSAs account for 34.3% of the pool. As a result, there was a 1.004x adjustment for geographic concentration which increased the AAAsf expected loss by 0.02%. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): A credit enhancement (CE) or senior subordination floor of 1.35% has been considered in order to mitigate potential tail end risk and loss exposure for senior tranche, as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 0.90% has been considered in order to mitigate potential tail end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Full Servicer Advancing (Mixed): The servicers will provide full advancing for the life of the transaction (the servicer is expected to advance delinquent P&I on loans that enter a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the Master Servicer and will advance if the servicer is not able to. If the Master Servicer is not able to advance, then the Securities Administrator (Citibank) will advance. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $550,000 per annum, which can be carried over each year, subject to the cap until paid in full. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. JP Morgan has an extensive operating history in mortgage aggregations and is assessed by Fitch as an 'Above Average' aggregator. JP Morgan has a developed sourcing strategy and maintains strong internal controls that leverage the company's enterprise wide risk management framework. Approximately 62% of loans are serviced by JP Morgan Chase (Chase), rated RPS1-. Nationstar is the Master Servicer and will advance if the servicer is not able to. If the Master Servicer is not able to advance, then the Securities Administrator (Citibank) will advance. Representation and Warranty Framework (Negative): The loan-level representations and warranties (R&Ws) are mostly consistent with a higher tier framework, but have knowledge qualifiers without a clawback provision contributed to its Tier 2 assessment. Fitch increased its loss expectations 35 bps at the 'AAAsf' rating category to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by five different third-party review firms; two firms are assessed by Fitch as 'Acceptable - Tier 1', and the other firms are assessed as 'Acceptable - Tier 2'. The review confirmed strong origination practices; no material exceptions were listed and loans that received a final 'B' grades were due to non-material exceptions that were mitigated with strong compensating factors. Fitch applied a credit for the high percentage of loan level due diligence which reduced the 'AAAsf' loss expectation by 21 bps. No Exposure to Hurricane Laura, Hurricane Sally or Hurricane Delta: There are no loans located in the FEMA individual assistance area for these hurricanes in the pool. ESG.RS Governance Impact Rating Relevant: The transaction has an ESG Relevance Score of '4+' for Transaction Parties & Operational Risk due to the operational risk that is well controlled for including strong R&W framework, transaction due diligence results, and 'Above Average' aggregator and 'Above Average' master servicer, which resulted in a reduction in the expected losses, and is relevant to the rating. Remaining ESG scores are '3' or lower, as issues are credit neutral or have only a minimal credit impact, either due to their nature or the way in which they are being managed. See ESG Navigator in Appendix 2 of the report. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to, or that may be considered in the surveillance of the transaction. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, and lower MVDs illustrated by a gain in home prices. 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. Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines at the national level. The analysis assumes market value declines of 10%, 20%, and 30%, in addition to the model projected 38.3% at 'AAAsf'. 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 two or more full categories. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a coronavirus sensitivity analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term effects arising from coronavirus-related disruptions on these economic inputs will likely affect both investment and speculative-grade ratings. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Inglet Blair, Digital Risk, and Opuis. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review, and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, IngletBlair, Digital Risk and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. LIMEROCK CLO III: Moody's Lowers Rating on Class D Notes to B1 -------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Limerock CLO III, Ltd.: US$31,500,000 Class D Deferrable Junior Secured Floating Rate Notes due October 20, 2026 (the "Class D Notes"), Downgraded to B1 (sf); previously on August 6, 2020 Confirmed at Ba3 (sf) The CLO, originally issued in November 2014 and partially refinanced in February 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2018. RATINGS RATIONALE The rating action results from corrections to Moody's cash flow modeling of the principal proceeds available to these notes. In the previous rating action, the principal proceeds were modeled incorrectly, leading to an overstatement of the total par. In addition, the prior rating action reflected incorrect modeling of administrative fees and the default timing profile. These errors have been corrected, and the rating action reflects the correct cash flow modeling for the transaction. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $232,128,921 Defaulted Securities: $4,815,032 Diversity Score: 61 Weighted Average Rating Factor (WARF): 3276 Weighted Average Life (WAL): 3.6 years Weighted Average Spread (WAS): 3.18% Weighted Average Recovery Rate (WARR): 48.9% Par haircut in OC tests and interest diversion test: 1.0% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. Factors that would lead to an upgrade or downgrade of the rating: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. MCA FUND III: Fitch Assigns BBsf Rating on Class C Debt ------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to MCA Fund III Holding, LLC. (MCA Fund III). RATING ACTIONS MCA Fund III Holding, LLC Class A 55283AAA7; LT Asf New Rating; previously at A(EXP)sf Class B 55283AAB5; LT BBBsf New Rating; previously at BBB(EXP)sf Class C 55283AAC3; LT BBsf New Rating; previously at BB(EXP)sf TRANSACTION SUMMARY MCA Fund III is a private equity collateralized fund obligation (PE CFO) managed by MEMBERS Capital Advisors, Inc., an affiliate of CMFG Life Insurance Company (CMFG). The transaction consists of approximately $574.7 million net asset value (NAV) of funded commitments and $189.7 million of unfunded capital commitments. KEY RATING DRIVERS Loan-to-Value: The class A, B, and C notes will make up approximately 40.0%, 57.5%, and 70.0% of cumulative NAV at issuance, providing a sufficient level of credit enhancement (CE) at the indicated rating levels. While the cumulative loan-to-value (LTV) of the B notes is above Fitch's limit of 50% for investment-grade ratings, Fitch has taken into account the capital contributions expected to be made by CMFG, which will increase the NAV, as well as other considerations as described in greater detail in the new issue report. The ratings of the class B and C notes reflect their subordination and the lower level of CE available to these classes. The transaction includes step-down LTV-based triggers to de-lever. Stressed Cash Flow Analysis: Fitch measured the ability of the structure to withstand weak performance in its underlying funds in combination with adverse market cycles. Class A notes are rated 'Asf', class B notes are rated 'BBBsf', and class C notes are rated 'BBsf', reflecting their ability to withstand fourth-quartile-, third-quartile-, and all-quartile-level performance, respectively, in the underlying funds under Fitch's scenario analysis. Liquidity: The transaction's liquidity position is strong, as CMFG will be funding capital calls, one distribution period's interest for the class A and B notes will be reserved, and interest payments on the notes are deferrable if cash flow is insufficient. The remaining liquidity needs of the structure are relatively small and expected to be covered by distributions from the underlying funds, particularly the transaction's income producing funds, even in a weak market environment. Reliance on CMFG for Capital Calls: Fitch believes the reliance on CMFG to fund capital calls is integral to the performance of the transaction, especially in the early periods when unfunded commitments are higher. While CMFG's credit profile is currently not acting as a constraint on MCA Fund III's ratings, a deterioration in Fitch's assessment of the credit quality of CMFG may lead to a downgrade of the notes, absent other mitigants. Portfolio Composition: The portfolio of PE fund interests is diversified by strategy, vintage, managers, funds, underlying holdings and sectors. The portfolio comprises 64 commingled funds, two commingled co-investment funds, and five co-investments managed by 57 fund managers as of June 30, 2020. On a look-through basis, the portfolio has 848 underlying holdings in non-secondaries funds and 488 underlying fund LP interests and other positions in secondaries funds. Transaction Manager and Sponsor: Fitch believes that MCA has the capabilities and resources required to manage this transaction. Fitch also believes that the sponsor and noteholders' interests are sufficiently aligned, as the sponsor and its affiliates are expected to hold the class C notes and the equity stake (approximately 42.5% of NAV) issued by MCA Fund III, which absorb any losses before the class A and B noteholders. CMFG are also expected to retain about 30% of the class A notes and about 62% of the class B notes. This transaction is CMFG's third PE CFO since 2014. Counterparty Exposure: In addition to MCA Fund III's reliance on CMFG to fund capital calls, certain structural features of the transaction involve reliance on other counterparties, such as the account banks. The ratings of the notes could be negatively affected in the event that key counterparties fail to perform their duties. In the case of the account bank, Fitch believes this risk is mitigated by counterparty rating requirements and replacement provisions in the transaction documents that align with Fitch's criteria. Asset Isolation and Legal Structure: Legal opinions Fitch reviewed indicate that the issuer is structured as a special-purpose, bankruptcy-remote entity, the issuer has 100% member interests in the AssetCo and the assets held by the issuer have been transferred to it as a true sale. The assets held by AssetCo were acquired by AssetCo over time, largely through primary fund commitments, using funds that had been contributed to AssetCo by CMFG. Rating Cap at 'Asf' Category: Fitch has a rating cap at the 'Asf' category for PE CFO transactions, driven by the less proven nature of the PE CFO asset class relative to other structured finance asset classes, the uncertainty related to investment performance and the timing of cash flows, the variability of asset valuations, and lags in performance reporting. A secondary rating cap at the 'Asf' category also applies to the MCA Fund III notes related to the fact that interest payments are deferrable. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating actions/upgrades include: The ratings of the class A, B, and C notes may be upgraded if distributions are strong and the notes' LTVs decrease, absent counterparty rating constraints, and subject to the 'A' category rating cap. Factors that could, individually or collectively, lead to negative rating actions/upgrades include: The ratings of the notes may be downgraded if cash flows materialize at levels lower than modeled in Fitch's stress scenarios. A material decline in NAV that, in Fitch's view, would indicate insufficient forthcoming cash distributions to support the notes could also lead to rating downgrades. The ratings of class A, B and C notes may be downgraded if they fail Fitch's 'Asf', 'BBBsf', and 'BBsf' modelling scenarios, respectively, on a sustained basis. A ratings downgrade of a counterparty may also materially affect the ratings of the notes, given the reliance of the issuer on counterparties to provide functions, including any provider of the bank accounts, as discussed above. A deterioration in Fitch's assessment of the credit quality of CMFG could lead to a downgrade of the class A notes, absent other mitigants as described. If CMFG is replaced as the counterparty responsible for funding capital calls, the credit quality of the replacement counterparty could serve as a constraint on the ratings of the MCA Fund III notes. Fitch relied in its analysis on the legal documentation and opinions for the transaction. If any relevant party to the transaction does not follow its responsibilities and procedures as described in the documentation, the ratings on the notes may be affected. CRITERIA VARIATION Fitch's analysis of the class B note issuance included a variation from Fitch's criteria, "Exposure Draft: Private Equity Collateralized Fund Obligations Rating Criteria", as it relates to the 50% LTV limit for investment grade ratings. While the class B notes' LTV is above 50%, Fitch's expected 'BBBsf' rating for the class B notes was based on the factors outlined in the section of the new issue report titled," Structural Features: Class B Notes Rating Above the 50% LTV Investment Grade Threshold". The rating of the class B notes would have been 'BBsf' if Fitch did not apply this criteria variation. MJX VENTURE II: Moody's Affirms Ba1 on Series A Class E Notes ------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by MJX Venture Management II LLC: US$1,800,000 Series A/Class D Notes due 2030 (the "Class D Notes"), Confirmed at A3 (sf); previously on April 17, 2020 A3 (sf) Placed Under Review for Possible Downgrade US$1,475,000 Series A/Class E Notes due 2030 (the "Class E Notes"), Confirmed at Ba1 (sf); previously on April 17, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade The Series A/Class D Notes, and the Series A/Class E Notes are referred to herein, collectively, as the "Confirmed Notes." This action concludes the review for downgrade initiated on April 17, 2020 on the Series A/Class D Notes and Series A/Class E Notes and also reflects a correction to the cashflow modeling of the transaction. The Series A/Class D Notes and Series A/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXVII, Limited (the "Underlying CLO"). The Rated Notes were originally issued in May 2017 in order to comply with the retention requirements of both the US and EU Risk Retention Rules. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, the Issuer's relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the October 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3004, compared to 2711 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3012 reported in the October 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the Underlying CLO portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 17%. Nevertheless, Moody's noted that the OC tests for the Class D Notes and Class E Notes, as well as the interest diversion test were recently reported [4] as passing. This rating action also reflects a correction to Moody's modeling of the transaction. In prior rating actions, the amount reserved by the transaction's cash trap account was incorrectly modeled to exclude current period deferred interest received from the Underlying CLO notes. As a result, in scenarios where a cash trap mechanism is triggered, the model incorrectly estimated the amounts available to support the deal. Prior rating actions also reflected incorrect modeling of the amortization of the Series A/Class X-B notes, resulting in an overestimation of the interest due to these notes. In addition, deferred senior management fees were modeled incorrectly for certain scenarios. These errors have now been corrected, and the rating action reflects this change. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions for the Underlying CLO: Performing par and principal proceeds balance: $582,152,884 Defaulted Securities: $10,525,640 Diversity Score: 111 Weighted Average Rating Factor (WARF): 2993 Weighted Average Life (WAL): 5.77 years Weighted Average Spread (WAS): 3.65% Weighted Average Recovery Rate (WARR): 47.16% Par haircut in OC tests and interest diversion test: 0.18% In consideration of the current high uncertainties around the global economy and the ultimate performance of the Underlying CLO portfolio and the Underlying CLO Notes, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes of the Underlying CLO; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. MJX VENTURE II: Moody's Confirms Ba1 on Series B Class E Notes -------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by MJX Venture Management II LLC: US$1,592,381 Series B/Class D Notes, Confirmed at A3 (sf); previously on April 17, 2020 A3 (sf) Placed Under Review for Possible Downgrade US$1,395,000 Series B/Class E Notes, Confirmed at Ba1 (sf); previously on April 17, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade The Series B/Class D Notes and the Series B/Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Series B/Class D Notes and Series B/Class E Notes and also reflects a correction to cashflow modeling of the transaction. The Series B/Class D Notes and the Series B/Class E Notes, together with the other notes issued by the Issuer, are collateralized primarily by 5% of certain rated notes issued by Venture XXVIII, Limited. The Rated Notes were originally issued in July 2017 in order to comply with the retention requirements of the US Risk Retention Rules. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current ratings after taking into account the Underlying CLO's latest portfolio, the Issuer's relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the September 2020 trustee report [1], the weighted average rating factor (WARF) for the Underlying CLO was reported at 3006, compared to 2771 reported in the March 2020 trustee report [2]. Based on Moody's calculation, the proportion of obligors in the Underlying CLO portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 16.2%. Nevertheless, Moody's noted that all OC tests, as well as the interest diversion test, were recently reported [3] as passing. This rating action also reflects a correction to Moody's modeling of the transaction. In prior rating actions, the amount reserved by the transaction's cash trap account was incorrectly modeled to exclude current period deferred interest received from the Underlying CLO notes. As a result, in scenarios where a cash trap mechanism is triggered, the model incorrectly estimated the amounts available to support the deal. Prior rating actions also reflected incorrect modeling of deferred senior management fees in certain scenarios. These errors have now been corrected, and the rating action reflects this change. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions for the Underlying CLO: Performing par and principal proceeds balance: $551,913,881 Defaulted Securities: $18,698,097 Diversity Score: 106 Weighted Average Rating Factor (WARF): 3027 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.71% Weighted Average Recovery Rate (WARR): 46.7% Par haircut in OC tests and interest diversion test: 0.3% Finally, Moody's notes that it also considered the information in the October 2020 trustee report [4] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the Underlying CLO portfolio and the Underlying CLO Notes, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes of the Underlying CLO; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related Underlying CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The Underlying CLO manager's investment decisions and management of the Underlying CLO will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. MJX VENTURE II: Moody's Confirms Ba1 on Series C Class E Notes -------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by MJX Venture Management II LLC: US$1,165,000 Series C/Class D Notes, Confirmed at Baa1 (sf); previously on April 17, 2020 Baa1 (sf) Placed Under Review for Possible Downgrade US$1,025,000 Series C/Class E Notes, Confirmed at Ba1 (sf); previously on April 17, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade The Series C/Class D Notes and the Series C/Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Series C/Class D Notes and Series C/Class E Notes and and also reflect a correction to the cashflow modeling of the transaction. The Series C/Class D Notes and Series C/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture 28A CLO, Limited (the "Underlying CLO"). The Rated Notes were originally issued in July 2017, and partially re-priced in August 2020, in order to comply with the retention requirements of the US and EU Risk Retention Rules. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current ratings after taking into account the Underlying CLO's latest portfolio, the Issuer's relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. These rating actions also reflect a correction to the cashflow modeling of the transaction. In prior rating actions, the amount reserved by the transaction's cash trap account was incorrectly modeled to exclude current period deferred interest received from the Underlying CLO notes. As a result, in scenarios where a cash trap mechanism is triggered, the model incorrectly estimated the amounts available to support the deal. Prior rating actions also reflected incorrect modeling of deferred senior management fees in certain scenarios. These errors have now been corrected, and the rating action reflects this change. According to the September 2020 trustee report [1], the weighted average rating factor (WARF) for the Underlying CLO was reported at 2990, compared to 2769 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was passing the test level of 3050 reported in the September 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the Underlying CLO portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 16.4% as of September 2020. Nevertheless, Moody's noted that all the OC tests, as well as the interest reinvestment test in the Underlying CLO were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions for the Underlying CLO: Par amount and principal proceeds balance: $407,061,139 Defaulted Securites: $10,145,046 Diversity Score: 104 Weighted Average Rating Factor (WARF): 3003 Weighted Average Life (WAL): 4.64 years Weighted Average Spread (WAS): 3.70% Weighted Average Recovery Rate (WARR): 46.90% Par haircut in OC tests and interest diversion test: 0.28% Finally, Moody's notes that it also considered the information in the October 2020 trustee report [5] which became available prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the Underlying CLO portfolio and the Underlying CLO Notes, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes of the Underlying CLO; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the Underlying CLO will also affect the performance of the Rated Notes. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. MJX VENTURE II: Moody's Cuts Rating on Series F Cl. E Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on the following notes issued by MJX Venture Management II LLC: US$1,900,000 Series F/Class D Notes due 2031 (the "Series F/Class D Notes"), Downgraded to A3 (sf); previously on April 17, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$1,575,000 Series F/Class E Notes due 2031 (the "Series F/Class E Notes"), Downgraded to Ba1 (sf); previously on April 17, 2020 Baa1 (sf) Placed Under Review for Possible Downgrade The Series F/Class D Notes and Series F/Class E Notes are referred to herein, collectively, as the "Downgraded Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Series F/Class D Notes and the Series F/Class E Notes and also reflects a correction to cashflow modeling of the transaction. The Series F/Class D Notes and the Series F/Class E Notes, together with the other notes issued by the Issuer, are collateralized primarily by 5% of certain rated notes issued by Venture XXX CLO, Limited. The Rated Notes were originally issued in December 2017 in order to comply with the retention requirements of the US and EU Risk Retention Rules. RATINGS RATIONALE The downgrades on the Series F/Class D Notes and Series F/Class E Notes reflect the risk to the notes posed by credit deterioration and loss of collateral coverage observed in the portfolio of the Underlying CLO, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the Underlying CLO. Consequently, the default risk of the Underlying CLO's portfolio has increased, the credit enhancement available to the Downgraded Notes has declined, and expected losses (ELs) on those notes have increased. According to the October 2020 trustee report [1], the weighted average rating factor (WARF) for the Underlying CLO was reported at 2909, compared to 2613 reported in the March 2020 trustee report [2]. Based on Moody's calculation, the proportion of obligors in the portfolio of the Underlying CLO with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 15.8%. Nevertheless, according to the October 2020 trustee report [3], the OC tests for the Underlying CLO's Class A/B, Class C, Class D, and Class E notes, as well as the interest diversion test, were reported as passing. This rating action also reflects a correction to Moody's modeling of the transaction. In prior rating actions, the amount reserved by the transaction's cash trap account was incorrectly modeled to exclude current period deferred interest received from the Underlying CLO notes and to use the senior management fee to pay interest to the Rated Notes that should have been deferred. Additionally, the modeled cash flows did not accurately distribute remaining interest proceeds due to the Issuer, resulting in overfunding of the cash-trap account. As a result, in scenarios where a cash trap mechanism is triggered, the model incorrectly estimated the amounts available to support the deal. In addition, deferred senior management fees were modeled incorrectly for certain scenarios. These errors have now been corrected, and the rating action reflects this change. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions for the Underlying CLO: Performing par and principal proceeds balance: $681,687,232 Defaulted Securities: $13,839,560 Diversity Score: 109 Weighted Average Rating Factor (WARF): 2933 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.67% Weighted Average Recovery Rate (WARR): 47.2% In consideration of the current high uncertainties around the global economy and the ultimate performance of the Underlying CLO portfolio and the Underlying CLO Notes, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes of the Underlying CLO; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the Underlying CLO will also affect the performance of the Rated Notes. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. MORGAN STANLEY 2011-C2: Fitch Lowers Rating on Class H Certs to Csf ------------------------------------------------------------------- Fitch Ratings has downgraded nine classes of Morgan Stanley Capital I Trust 2011-C2 commercial mortgage pass-through certificates. RATING ACTIONS Morgan Stanley Capital I Trust 2011-C2 Class A-4 617459AD4; LT Asf Downgrade; previously AAAsf Class B 617459AG7; LT BBBsf Downgrade; previously AAsf Class C 617459AH5; LT BBsf Downgrade; previously Asf Class D 617459AJ1; LT B-sf Downgrade; previously BBBsf Class E 617459AK8; LT CCCsf Downgrade; previously Bsf Class F 617459AL6; LT CCsf Downgrade; previously CCCsf Class G 617459AM4; LT CCsf Downgrade; previously CCCsf Class H 617459AN2; LT Csf Downgrade; previously CCsf Class X-A 617459AE2; LT Asf Downgrade; previously AAAsf Classes X-A and X-B are interest only. KEY RATING DRIVERS Increased Loss Expectations; Coronavirus Affects Regional Malls: The downgrades and Negative Outlooks reflect increased loss expectations on the two largest loans in the pool, the Deerbrook Mall and Ingram Park Mall loans, both of which are secured by regional malls (40.3% of the pool). At its prior rating action in November 2019, Fitch modeled an outsized loss of 15% as a sensitivity analysis on the Deerbrook Mall loan; Fitch currently has modeled a 25% loss in its base case scenario. Fitch's base case loss expectation on Ingram Park Mall increased to 40% from 17% at the last rating action. The higher loss expectations for these mall loans reflect their imminent loan maturities amid the coronavirus pandemic, significant number of tenants requesting rent relief and downward trending performance metrics that include year-over-year occupancy and cash flow declines as well as substantial upcoming roll and one or more dark anchors with limited leasing traction. All loans in the pool mature by June 2021. Given these imminent loan maturities and unknown duration of the ongoing coronavirus pandemic, refinance of many of the loans is expected to be increasingly challenged. Significant Pool Concentration; Rating Cap: The rating of class A-4 is capped at 'Asf' due to its reliance on the two malls for full repayment as well as the possibility that interest shortfalls could eventually impact this class should the larger loans transfer to special servicing. Fitch Loans of Concern: More than half the portfolio is considered Fitch Loans of Concern (FLOCs; 52% of the pool). The largest FLOC is the Deerbrook Mall loan, which is secured by a 554,461-sf portion of a 1.2 million sf super-regional mall located in Humble, TX. The property, which was constructed in 1984 and further renovated in 2003, is the only enclosed shopping mall in the northeast Houston market. The closest competitor is a property located approximately 20 miles to the northwest that is owned by the same sponsor. There are now four non-collateral anchors, Dillard's, Macy's, JCPenney, and Dick's Sporting Goods ($107 YE 2019 and TTM 2020 vs. $148 psf sales for YE2018). A non-collateral Sears went dark around April 2020. The largest collateral tenants include AMC Theaters (18.2% of NRA, through August 2021), which reported TTM June 2020 sales of $218,592/screen for 24 screens with limited new movies expected to be released into the marketplace in 2020. Forever 21 (15.2% of NRA through 2024), which reported TTM June 2020 sales of $48 psf for its 84,081-sf store, and Barnes & Noble (4.5% of NRA, through January 2024), which reported TTM June 2020 sales of $183 psf. Overall, TTM June 2020 comparable in line sales, which reflect several months within the ongoing pandemic, were reported at $430 psf compared to YE 2019 at $521 and YE 2018 at $519 psf. Per the June 2020 rent roll, the collateral was approximately 89% leased compared to 91.1% at March 2019; approximately 32.1% of the NRA is scheduled to roll over the next year, including the largest tenant, AMC Theaters. Several tenants have reportedly requested coronavirus rent relief. The loan sponsor, Brookfield Property Partners, is a successor to the original property developer. The current debt is approximately $234 psf. The loan is scheduled to mature in March 2021. Fitch assumed a 25% outsize loss on the loan in its base case analysis. The next largest FLOC is the Ingram Park Mall loan, which is secured by a 374,859-sf portion of a 1.1 million sf regional mall located in San Antonio, TX. The property was originally constructed in 1979 and last renovated in 2018. Ingram Park Mall features three non-collateral anchors, including Dillard's, JCPenney, and Macy's, and two dark anchors, a former Dillard's Home Center (81,865 sf) and a former Sears (166,600 sf). The Dillard's Home Center reportedly went dark in 2016 while Sears closed circa late 2018. The largest collateral tenants include H&M (5.5% of NRA, through 2030), which opened in 2019; Victoria's Secret (2.7% of NRA, which recently extended through 2030), new tenant Wave Fashion (2.6%, through 2022), Luby's Cafeteria (2.4%, through 2022), and Express (2.1% through January 2021). As of the June 2020 rent roll, the collateral was 80.9% occupied from 82.5% in March 2019. Approximately 23% of the NRA is scheduled to roll over next year while New York & Company (1.6% of NRA) is closing all stores due to bankruptcy. Other recent large store closures in 2019 included bankrupt Bealls (6.5%) and A'GACI (2.6% of NRA). In line comparable store sales were $456 for YE 2019 compared with YE 2018 at $427, YE 2017 at $417 psf, YE 2016 at $456 and YE 2015 at $479 psf. Per March 2020 reporting, comparable in line sales are projected at $399 psf for YE 2020. Multiple tenants have reportedly requested coronavirus rent relief. Competitive properties include the South Park Mall (anchored by JCPenney, Macy's, Dick's Sporting Goods, and a dark former Sears), which is approximately 10 miles southeast of the subject; Rolling Oaks Mall (anchored by JCPenney, Dillard's, Macy's and a dark former Sears), which is approximately 15 miles northeast of the subject; Bandera Pointe, which is a retail shopping center with many big box stores such as Lowe's and Super Target, and is located about eight miles south; and the more upscale The Shops at La Cantera, which is anchored by Neiman Marcus, Nordstrom, Dillard's and Macy's and has an Apple store and several full service restaurants such as the Cheesecake Factory, P.F. Chang's and Grimaldi's Pizzeria. Shops at La Cantera is about eight miles north of the subject. The sponsor is Simon Property Group, which is the original developer of the mall. Simon cashed out approximately $60 million at issuance as part of its refinance of prior indebtedness. The current debt on the collateral is approximately $328 psf. The loan is scheduled to mature in June 2021. Fitch assumed a 40% outsize loss on the loan in its base case analysis. The third largest FLOC is the Three Riverway Office loan (7.2%), which is secured by a 398,413-sf high-end office property located in Houston, TX that was severely damaged by flooding related to Hurricane Harvey in August 2017. Prior to the storm damaging the property, occupancy was trending downward primarily due to its concentration of energy related tenants. While Hurricane related repairs were finally completed in 2019, occupancy has failed to stabilize and was down to 54.3% as of June 2020 from 59.8% in September 2019, 76.9% at YE 2017, 82.1% at YE 2016, and 90% at YE 2015. Further, the servicer-reported YE 2019 NOI DSCR was 0.90x. The loan is scheduled to mature in May 2021. Three other loans (4.4% of pool) have also been designated as FLOCs. The Riverside 5 loan (3%), which is secured by an office property located in Frederick, MD that has suffered a cash flow decline since it lost its third largest tenant in 2017. The specially serviced 192nd Avenue Plaza loan (0.9%) that transferred to special servicing in June 2017 after the borrower executed a major lease without the prior written consent of the servicer; the mixed-use loan remains current, and the servicer is working toward a resolution with the borrower. Third, the 157 Chambers retail loan (0.5%), which is only 9% occupied after losing its largest tenant at lease expiration this year. Fitch applied increased cash flow haircuts and/or higher cap rates in its analysis to account for performance concerns. Significant Defeasance/All Loans Maturing in 2021: As of the September 2020 distribution date, the transaction had been reduced by 48.4%, including a realized loss of $34.7 million (2.7% of the original balance). Approximately 23.3% of the pool is currently defeased. Only 3.9% of the pool (two loans) are interest only. Alternative Loss Consideration; Ingram Park Mall: Given the potential for an outsized loss on the Ingram Park Mall loan, Fitch's analysis included an additional stress scenario that assumed a 50% loss on the balloon balance. The Negative Rating Outlooks on classes A-4 through D and the interest-only class X-A reflect this scenario. ADDITIONAL CONSIDERATIONS Very Concentrated Pool: 39 of the original 52 loans remain in the pool. However, the top two loans comprise 40.3% of the pool, while the top three loans in the pool make up 47.5%. Loans secured by retail properties represent 51.6% of the pool, including four of the top 15 loans. Loans secured by properties located in Texas compose 49.1% of the pool. The highest concentrations are as follows: defeased at 23.3%, office at 13.9%, industrial at 5.5%, self-storage at 2.8%, hotels at 1.9%, and mixed use at 0.9%. RATING SENSITIVITIES The Negative Outlooks on classes A-4 through D primarily reflect concerns over the top three loans in the pool, which are all expected to face challenges in their ability to refinance at their 2021 loan maturities. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity Factors that lead to upgrades would include stable to improved asset performance coupled with further pay down and/or defeasance. Upgrades of the 'Asf' category are unlikely due to the increasing concentration of the pool. Further, classes would not be upgraded above 'Asf' given the likelihood of interest shortfalls should loans begin to transfer to special servicing at or near maturity in 2021. Upgrades to the 'BBBsf' category and below would occur should performance of the FLOCs stabilize and/or should any of the larger loan's payoff at or near their scheduled maturities. Factors that could, individually or collectively, lead to negative rating action/downgrade: Further downgrades to classes A-4 through D are possible should performance of the FLOCs continue to decline and should loans not refinance at their respective maturities and begin to transfer to special servicing and/or should further losses be realized. The distressed classes could be further downgraded should losses be realized or become more certain. MORGAN STANLEY 2016-C28: Fitch Lowers Rating on 2 Tranches to CCC ----------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 11 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28 commercial mortgage pass-through certificates. RATING ACTIONS MSBAM 2016-C28 Class A-3 61766LBR9; LT AAAsf Affirmed; previously at AAAsf Class A-4 61766LBS7; LT AAAsf Affirmed; previously at AAAsf Class A-S 61766LBV0; LT AAAsf Affirmed; previously at AAAsf Class A-SB 61766LBQ1; LT AAAsf Affirmed; previously at AAAsf Class B 61766LBW8; LT AA-sf Affirmed; previously at AA-sf Class C 61766LBX6; LT A-sf Affirmed; previously at A-sf Class D 61766LAC3; LT BBB-sf Affirmed; previously at BBB-sf Class E 61766LAJ8; LT Bsf Downgrade; previously at BB-sf Class E-1 61766LAE9; LT BBsf Affirmed; previously at BBsf Class E-2 61766LAG4; LT Bsf Downgrade; previously at BB-sf Class EF 61766LAS8; LT CCCsf Downgrade; previously at B-sf Class F 61766LAQ2; LT CCCsf Downgrade; previously at B-sf Class X-A 61766LBT5; LT AAAsf Affirmed; previously at AAAsf Class X-B 61766LBU2; LT AAAsf Affirmed; previously at AAAsf Class X-D 61766LAA7; LT BBB-sf Affirmed; previously at BBB-sf The class E-1 and E-2 certificates may be exchanged for a related amount of class E certificates, and the class E certificates may be exchanged for a rateable portion of class E-1 and E-2 certificates. Additionally, a holder of class E-1, E-2, F-1 and F-2 certificates may exchange such classes of certificates (on an aggregate basis) for a related amount of class EF certificates, and a holder of class EF certificates may exchange that class EF for a rateable portion of each class of the class E-1, E-2, F-1 and F-2 certificates. Fitch does not rate the class F-1, F-2, G-1, G-2, H-1, H-2, G, H, or EFG certificates. Classes A-1 and A-2 have paid in full. KEY RATING DRIVERS Increased Loss Expectations Driven by Fitch Loans of Concern: The downgrades reflect increased loss expectations for the pool due to an increasing number of Fitch Loans of Concern (FLOCs) and higher loss expectations since the prior rating action on the hotel and retail FLOCs that have been impacted by the slowdown in economic activity related to the coronavirus. Seventeen loans (35.8% of pool) were designated as FLOCs, which includes three loans (8.7%) that transferred to special servicing since April 2020. The average NOI for the 14 FLOCs reporting YE 2019 financials declined 6% from the prior year. The largest increase in loss since the prior rating action is the University West Apartments loan (2.1%), which is secured by a 483-unit student housing property located in Ames, IA near Iowa State University. Cash flow has fallen significantly since issuance due to lower occupancy and increased operating expenses. The loan was assumed in December 2018 and the timing of the sale reportedly impacted property occupancy, as the primary leasing season occurs prior to September at the start of each new school year. YE 2019 NOI declined 33% from YE 2018 due to a 36% increase in total operating expenses (mostly utilities, repairs and maintenance and advertising and marketing expenses), as the new owner made improvements to the property. Rental concessions have also been offered at the property in an effort to improve occupancy. Occupancy rose to 84.7% as of June 2020 from 75.5% in June 2019 and 49.1% in March 2019, but remains below 97% reported at issuance. The servicer-reported YTD June 2020 NOI debt service coverage ratio (DSCR) was 0.98x, up slightly from 0.78x at YE 2019. The partial interest-only loan begins amortizing in December 2020. Enrollment at Iowa State University has also trended downward since issuance. The fifth largest loan, Princeton South Corporate Center (5.5%), which had the next largest increase in loss since the prior rating action, was flagged for declining occupancy and cash flow, upcoming lease rollover and high submarket vacancy. The loan is secured by a 267,426-sf suburban office property located in Trenton, NJ that was 75.2% occupied as of June 2020, down from 79.3% in July 2019 and 80.9% in December 2018. The recent occupancy decline was due to four tenants totaling 6.1% of the NRA and 8% of total base rents vacating at or ahead of lease expiration in 2019; this was partially offset by leases with two smaller tenants totaling 2% of the NRA starting in September 2019 and February 2020. YE 2019 NOI fell 23% from YE 2018 due to lower rental income and higher operating expenses. The loan was recently returned from special servicing in July 2020, after it transferring in May 2020 for imminent monetary default due to coronavirus concerns. No forbearance was granted, as the loan's return to the master servicer was due to there being sufficient NOI to pay debt service. Upcoming lease rollover includes 1.8% of the NRA in 2020, 7.1% in 2021 and 16.4% in 2022; the 2022 rollover is mostly concentrated in the April 2022 expiration of largest tenant CA, Inc. (15.9% of NRA; 21% of total base rents). The property is also located in a high vacancy submarket, with 18.9% vacancy reported by REIS for the Trenton office submarket as of 2Q20. The Greenville Mall loan (4.8%), which has the next largest increase in loss since the prior rating action, is secured by a 406,464-sf portion of a 448,471-sf regional mall operated by Brookfield located in Greenville, NC that has reported declining anchor and inline tenant sales since issuance. The mall is anchored by JCPenney (21.9% of collateral NRA; lease expiry in February 2024), Belk Ladies (22.1%; January 2025), Dunham's Sports (13.4%; January 2024) and Belk Men & Home (non-collateral). Comparable inline sales for tenants occupying less than 10,000 sf were $346 psf for TTM June 2020, down from $414 psf at YE 2019 and $404 psf at issuance. JCPenney reported estimated sales of $94 psf for TTM June 2020, unchanged from YE 2019 but down from $120 psf at YE 2016. Sales for Belk Ladies dropped to $86 psf for TTM June 2020 from $125 psf at YE 2019 and $179 psf at issuance. Sales for Dunham's Sports were $44 psf for TTM June 2020, compared with $38 psf at YE 2019 and $62 psf at issuance. Collateral occupancy is estimated to be approximately 91.8% after Pier 1 Imports (2.5%) closed in mid-2020. As a result of the pandemic, the mall closed in March 2020 and reopened in May with restricted hours. The servicer-reported YE 2019 NOI DSCR was 1.66x, compared with 1.60x at YE 2018. The eighth largest loan in the pool, Marriott - Albuquerque, NM (4%), which is secured by a 411-room full-service hotel located in Albuquerque, NM, transferred to special servicing in April 2020 for imminent monetary default and was 30 days delinquent as of the October 2020 remittance reporting. The borrower requested coronavirus relief through the suspension of FF&E payments for nine months and a suspension of the cash management trigger until 3Q21; relief negotiations are ongoing. The borrower has continued to fund operating expense and debt service shortfalls. As of TTM July 2020, the hotel reported occupancy, ADR and RevPAR of 42.9%, $122.74 and $52.66, respectively, and was underperforming its competitive set in terms of occupancy and RevPAR, with respective penetration ratios of 85.7% and 90.9%; ADR penetration was 106%. Occupancy for the YTD July 2020 period was 26.3%. The DoubleTree by Hilton - Cleveland, OH loan (3.1%), which is secured by a 379-room full-service hotel located in downtown Cleveland, OH, transferred to special servicing in October 2019 for imminent monetary default and was over 90 days delinquent as of the October 2020 remittance reporting. Property performance declined prior to the onset of the coronavirus pandemic due to lower occupancy and room rates from increased competition and several significant non-recurring local events that resulted in higher revenues during 2016. The hotel reported TTM August 2019 occupancy, ADR and RevPAR of 59.1%, $123 and $73, respectively, compared to 66.9%, $121 and $81 at the time of issuance. According to the special servicer, the coronavirus-related foreclosure moratorium for the subject's jurisdiction of Cuyahoga County, OH was lifted on Oct. 1, 2020 and the trust counsel is working through issues related to the union pension plan that must be resolved before foreclosure can be finalized. The other FLOCs include two additional specially serviced hotel loans (Le Meridien Cambridge MIT and Holiday Inn - La Mesa, CA; combined 4.7%); a portfolio of two office properties flagged due to declining cash flow and a lack of leasing updates for two larger tenants (Solar Plaza & Sunbelt Professional Centre; 3.1%); and nine loans secured by retail and hotel properties (combined 8.5%) flagged for declining occupancy and/or cash flow, lack of leasing updates for expired tenants, coronavirus-related performance concerns, the occurrence of a servicing trigger event or delinquent financial statements. Additional Stresses Applied due to Coronavirus Exposure: Loans secured by retail, hotel and multifamily properties represent 38.9% of the pool (16 loans), 15% (nine loans) and 9.9% (four loans), respectively. The multifamily exposure includes one loan (University West Apartments; 2.1%) secured by a student housing property, which is a FLOC. The retail loans have a weighted average (WA) NOI DSCR of 2.34x and can withstand an average 57.3% decline to NOI before DSCR falls below 1.00x. The hotel loans have a WA NOI DSCR of 1.87x and can withstand an average 46.4% decline to NOI before DSCR falls below 1.00x. The multifamily loans have a WA NOI DSCR of 1.47x and can withstand an average 31.9% decline to NOI before DSCR falls below 1.00x. Fitch's base case analysis applied additional coronavirus-related stresses on eight retail loans (14.1%), six hotel loans (8.1%) and one multifamily loan (University West Apartments; 2.1%) to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the downgrade of classes E, F, E-2 and EF and the Negative Rating Outlooks on classes D, X-D, E, E-1 and E-2. Alternative Loss Consideration: Fitch performed an additional sensitivity on the Greenville Mall loan (4.8%), which factored in a potential outsized loss of 50% on the current balance to reflect declining tenant sales, the tertiary market location and regional mall concerns due to the negative effects of the pandemic; this drove the Negative Outlook revision on classes D and X-D and further supports the Negative Outlook maintained on classes E, E-1 and E-2. Increasing Credit Enhancement: Credit enhancement (CE) has increased since issuance due to continued amortization and the repayment of the GLP Industrial Portfolio A loan ($67.5 million) in October 2019, ahead of its scheduled November 2025 maturity date. As of the October 2020 distribution date, the pool's aggregate principal balance has paid down by 9.9% to $861 million from $956 million at issuance. The transaction is expected to pay down by 8.8% based on scheduled loan maturity balances. Five loans (21.9% of pool) are full-term, interest-only and eight loans (25.9%) are partial interest-only and have yet to begin amortizing, compared to 54.2% of the original pool at issuance. Two loans (1.6%) have been defeased. RATING SENSITIVITIES The Negative Rating Outlooks on classes D, X-D, E, E-1 and E-2 reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs, which include four specially serviced loans. The Stable Rating Outlooks on classes A-3 through D reflect the overall stable performance of the remainder of the pool and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B and C would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs. Upgrades to classes D and X-D would also consider these factors, but would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to classes E, E-1 and E-2 are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE. Classes F and EF are unlikely to be upgraded absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans/assets. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-3, A-4, A-SB, A-S, B, X-A and X-B are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. A downgrade to class C is possible should expected losses for the pool increase significantly and/or should all of the loans susceptible to the coronavirus pandemic suffer losses. Downgrades to classes D, E, E-1 and E-2 are possible should an outsized loss occur on the Greenville Mall loan, performance of the FLOCs continue to decline and/or additional loans transfer to special servicing. Further downgrades to classes F and EF would occur as losses are realized and/or become more certain. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks will be downgraded one or more categories. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of 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. NEW MOUNTAIN 1: S&P Assigns BB- (sf) Rating to Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned ratings to New Mountain CLO 1 Ltd.'s floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by New Mountain Credit CLO Advisers LLC. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned New Mountain CLO 1 Ltd./New Mountain CLO 1 LLC Class A-1, $197.00 mil.: AAA (sf) Class A-2, $20.00 mil.: AAA (sf) Class B, $49.00 mil.: AA (sf) Class C (deferrable), $19.25 mil.: A (sf) Class D (deferrable), $19.25 mil.: BBB- (sf) Class E (deferrable), $12.25 mil.: BB- (sf) Subordinated notes, $31.95 mil.: Not rated OAKTOWN RE V: Moody's Assigns B3 Rating on Class B-1 Notes ---------------------------------------------------------- Moody's Investors Service assigned definitive ratings to four classes of mortgage insurance credit risk transfer notes issued by Oaktown Re V Ltd. Oaktown Re V Ltd. is the second transaction issued under the Oaktown Re program in 2020, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by National Mortgage Insurance Corporation (NMI, 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, Oaktown Re V Ltd. (the issuer) and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the Class B-2 coverage level is 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: Oaktown Re V Ltd. Cl. M-1A, Assigned Baa2 (sf); Cl. M-1B, Assigned Ba1 (sf); Cl. M-2, Assigned B1 (sf); Cl. B-1, Assigned B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expects this insured pool's aggregate exposed principal balance to incur 1.79% losses in a base case scenario, and 15.59% losses under a Aaa stress scenario. The aggregate exposed principal balance is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) the reinsurance coverage percentage. Reinsurance coverage percentage is 100% minus existing quota share reinsurance through unaffiliated insurer, if any. The existing quota share reinsurance applies to about 98.7% of unpaid principal balance of the reference pool, covering approximately 21% of risk in force. The ceding insurer has purchased quota share reinsurance from unaffiliated third parties, which provides proportional reinsurance protection to the ceding insurer for certain losses. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (mean expected losses by 13.20%) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from of a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description Each mortgage loan has an insurance coverage reporting date on or after July 1, 2019, but on or before September 30, 2020. The reference pool consists of 87,967 prime, majority fixed -rate, one- to four-unit, first-lien fully-amortizing, predominantly conforming mortgage loans with a total insured loan balance of approximately $30.8 billion. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than or equal to 80%, with a weighted average of 90.7%. The borrowers in the pool have a weighted average FICO score of 763, a weighted average debt-to-income ratio of 33.0% and a weighted average mortgage rate of 3.2%. The weighted average risk in force (MI coverage percentage net of existing reinsurance coverage) is approximately 19.7% 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 90.7% 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 and slightly lower than recent comparable Mortgage Insurance CRT transactions. 100% of insured loans were covered by mortgage insurance at origination with 98.7% covered by BPMI and 1.3% covered by LPMI based on risk in force. Underwriting Quality Moody's took into account several key qualitative factors during the ratings process, including qualities of NMI's insurance underwriting, risk management and claims payment process, as well as the scope and results of the independent third-party due diligence review. Mortgage insurance underwriting Lenders submit mortgage loans to NMI for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without NMI re-underwriting the loan file. NMI issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Lenders eligible under this program must be pre-approved by NMI'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. NMI performs independent validation of the entire loan file (underwriting file and closing package) on most of the mortgage loans underwritten through delegated program. As of June 2020, approximately 67% of the loans in NMI's overall portfolio are insured through delegated underwriting, of which 59% were subject to post-close validation and 33% through non-delegated underwriting. NMI broadly follows the GSE underwriting guidelines via DU/LP, subject to certain additional limitations and requirements. NMI performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans. NMI utilizes third party vendors in the quality assurance reviews as well as re-verifications and investigations. Vendors must meet stringent approval requirements. 10% of all third party reviewed loans deemed as having no findings, are evaluated by NMI's staff to ensure accuracy. Third-Party Review NMI engaged AMC Diligence, LLC (AMC) 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 356 of the total loans in the initial reference pool as of August 2020, or 0.40% by loan count). Once the sample size was determined, the files were selected randomly to meet the final sample count of 356 files out of a total of 31,008 loan files available for sampling. In spite of the small sample size and a limited TPR scope for Oaktown Re V Ltd., Moody's did not make an additional adjustment to the loss levels because, (1) Approximately 34.1% of the insured loans were re-underwritten by the ceding insurer through the non-delegated underwriting channel, 57.6% of the insured loans were underwritten through delegated channels and were subject to post-close validation by approved underwriting vendors, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. In addition, the TPR available sample does not cover a subset of pool that have MI coverage reporting date after August 2020, representing 20.0% 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-August 2020 subset and the pre-August 2020 subset, including the percentage of loans with MI policies underwritten through non-delegated underwriting program, which ceding insurer requires full loan file and performs independent re-underwriting and quality assurance. Moody's took this into consideration in its TPR review. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider also reviewed property valuation on 356 loans in the sample pool. The third-party review concluded a property grade of A for 354 loans. For those loans with property grade A, an AVM was first ordered on all loans, in which 6 AVMs returned no results due to insufficient property information. The AVM variance is calculated as difference between AVM value and the lesser of original appraisal or sales price. If the resulting negative variance of the AVM was greater than 10%, or if no results were returned, a BPO was ordered on the property. If the resulting value of the BPO was less than 90% of the value reflected on the original appraisal a field review was ordered on the property. Within these grade A loans, all the appraisal values are supported by secondary valuation within a 10% variance. Loans qualified with a property inspection waiver were excluded from a BPO or a field review. In addition, two mortgage loans received a "C" property grade as the secondary valuation obtained resulted in a value that was greater than 10% of the appraisal value. Moody's did not make additional adjustment to these loans given Moody's used the lower of original appraisal and purchase price as property value in its analysis. Credit: The third-party diligence provider reviewed credit on 356 loans in the sample pool. The third-party diligence provider reviewed each mortgage loan file to determine the adherence to stated underwriting or credit extension guidelines, standards, criteria or other requirements provided by NMI. For GSE eligible mortgage loan files, the review of the Automated Underwriting System (AUS) output was also performed. Per the TPR report, 352 loans have credit grade A, three loans have credit grade C and one loan has grade D. These grade C exceptions were due to GSE requirement not being met and grade D exception was due to insufficient documentation provided to due diligence provider from the lender or servicer. Moody's did not make adjustment to its losses for these exceptions because these were all GSE eligible loans underwritten to full documentation. Such exceptions will likely to be cured after transaction closing. Data integrity: The third-party review firm was provided a data file with loan level data, which was audited against origination documents to determine the accuracy of data found within the data tape. A total of 16 data fields were reviewed against the loan files to confirm the integrity of data tape information. As the TPR report suggests, there is one discrepancy finding under original loan amount column and one discrepancy under representative FICO. 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 coverage level A and coverage level B-2. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior notes, resulting in a shorter expected weighted average life on the notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Credit enhancement in this transaction is comprised of subordination provided by junior notes. The rated M-1A, M-1B, M-2 and B-1 offered notes have credit enhancement levels of 4.85%, 3.55%, 2.25% and 2.00%, 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-2. 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: 6.25%). 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 Consolidated Analytics, Inc., as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-2 has 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. OCEAN TRAILS X: S&P Assigns BB- (sf) Rating to Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Ocean Trails CLO X's fixed- and floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated, speculative-grade (rated 'BB+' and lower), senior secured term loans that are governed by collateral quality tests. The notes are managed by Five Arrows Managers North America LLC. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Ocean Trails CLO X/Ocean Trails CLO X LLC $160.00 mil. class A-1: AAA (sf) $20.00 mil. class A-2: AAA (sf) $22.50 mil. class B-1: AA (sf) $22.50 mil. class B-2: AA (sf) $19.50 mil. class C (deferrable): A (sf) $15.00 mil. class D (deferrable): BBB- (sf) $10.50 mil. class E (deferrable): BB- (sf) $32.20 mil. subordinated notes: NR NR--Not rated. PALMER SQUARE 2020-4: Fitch Assigns B+sf Rating on Class E Debt --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Ratings Outlooks to Palmer Square Loan Funding 2020-4, Ltd. RATING ACTIONS Palmer Square Loan Funding 2020-4, Ltd. Class A-1; LT AAAsf New Rating Class A-2; LT AAsf New Rating Class B; LT Asf New Rating Class C; LT BBBsf New Rating Class D; LT BBsf New Rating Class E; LT B+sf New Rating Sub. Notes; LT NRsf New Rating TRANSACTION SUMMARY Palmer Square Loan Funding 2020-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be serviced by Palmer Square Capital Management LLC (Palmer Square). Net proceeds from the issuance of the secured and subordinated notes will provide financing on a static portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the purchased portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The purchased portfolio consists of 99.4% first lien senior secured loans and has a weighted average recovery assumption of 77.7%. Portfolio Composition (Positive): The largest three industries comprise 44.8% of the portfolio balance in aggregate, while the top five obligors represent 3.9% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period and discretionary sales are not permitted. Fitch's analysis was based on the purchased portfolio factoring in the near-term stress scenario (as outlined in "CLO Sensitivity Remains Focused on Portfolio Rating Migration over Time" dated Oct. 22, 2020), with consideration given for a stressed scenario incorporating potential maturity amendments on the underlying loans. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. Each class of notes was able to withstand default rates in excess of its respective rating hurdle. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for the class A-2 notes, between 'AAAsf' and 'AAsf' for the class B notes, 'AA+sf' and 'A+sf' for the class C notes, 'A+sf' and 'BBB+sf' for the class D notes, and 'A+sf' and 'BBB+sf' for the class E notes. Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as declines in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for the class A-1 notes, 'BB+sf' and 'AAAsf' for the class A-2 notes, 'B+sf' and 'A+sf' for the class B notes, ' Fitch has added a sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a halting recovery begins in second-quarter 2021. Results under this sensitivity scenario ranged between 'AAAsf' and 'AA+sf' for class A-1 notes, 'A+sf' for class A-2 notes, between 'BBB+sf' and 'BBBsf' for class B notes, 'BB+sf' for class C notes, between 'B+sf' and 'CCCsf' for class D notes and between 'B-sf' and ' USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The sources of information used to assess these ratings were provided by the arranger Citigroup Global Markets, Inc. and the public domain. Cash Flow Model Disclosure When conducting cash flow analysis, Fitch's cash flow model first projects the portfolio scheduled amortization proceeds and any voluntary prepayments for each reporting period of the transaction life assuming no defaults (and no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntarily terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and voluntary prepayments and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. PPM CLO 4: Moody's Assigns Ba3 Rating on $15.6MM Class E Notes -------------------------------------------------------------- Moody's Investors Service assigned ratings to six classes of notes issued by PPM CLO 4 Ltd. Moody's rating action is as follows: US$210,000,000 Class A-1 Floating Rate Notes due 2031 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$10,500,000 Class A-2 Floating Rate Notes due 2031 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$45,500,000 Class B Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$16,200,000 Class C Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$19,800,000 Class D Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$15,600,000 Class E Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on its methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. PPM CLO 4 Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of non-senior secured loans. The portfolio is approximately 95% ramped as of the closing date. PPM Loan Management Company, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $350,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 years The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. PRETSL COMBINATION I: Moody's Cuts Series P XV-1 Certs to Caa1 -------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following certificates issued by PreTSL Combination Trust I: US$10,000,000 Combination Certificates, Series P XV-1 due September 26, 2034 (current rated balance of $2,144,353.69), Downgraded to Caa1 (sf); previously on September 11, 2019 Downgraded to B2 (sf) PreTSL Combination Trust I (for PTS XV), issued in September 2004, is a trust that issued combination certificates comprised of $5 million of Class A-1 notes and $5 million of Subordinate Income notes issued by Preferred Term Securities XV, Ltd. Preferred Term Securities XV, Ltd., issued in September 2004, is a collateralized debt obligation (CDO) backed by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The downgrade rating action on the Combination Securities reflects the deteriorating coverage and the interest cash flow shortfall from the underlying components of the Combination Securities. At issuance, the Combination Securities comprised of $5 million of Class A-1 notes and $5 million of subordinate income notes issued by Preferred Term Securities XV, Ltd. Currently, the Combination Securities' rated balance of $2.1 million is backed by $1.6 million of Class A-1 notes and $5 million of subordinate income notes. Due to lack of equity distributions from the subordinated income notes' component, interest distributions from the Class A-1 component have not been sufficient to cover the 2% rated coupon on the Combination Securities. The shortfall has been covered by Class A-1 principal distributions, effectively reducing the Class A-1 component coverage of the Combination Securities. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $361.7 million, defaulted/deferring par of $55.8 million, a weighted average default probability of 9.96% (implying a WARF of 1037), and a weighted average recovery rate upon default of 10%. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating TruPS CDOs" published in June 2020. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PSMC 2020-3 TRUST: S&P Assigns B (sf) Rating to Class B-5 Certs --------------------------------------------------------------- S&P Global Ratings assigned its ratings to PSMC 2020-3 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed-rate, fully amortizing mortgage loans secured by single family residential properties, condominiums, planned-unit developments, and townhouses to primarily prime borrowers. The ratings reflect S&P's view of: -- The high-quality collateral in the pool; -- The available credit enhancement; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; -- The geographic concentration; -- The experienced aggregator; -- The 100% due diligence results consistent with represented loan characteristics; and -- The impact that the economic stress brought on by the COVID-19 pandemic is likely to have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction S&P 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. "We are using this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly," S&P said. RATINGS ASSIGNED PSMC 2020-3 Trust Class Rating Amount ($) A-1 AAA (sf) 355,200,000 A-2 AAA (sf) 355,200,000 A-3 AAA (sf) 266,400,000 A-4 AAA (sf) 266,400,000 A-5 AAA (sf) 17,760,000 A-6 AAA (sf) 17,760,000 A-7 AAA (sf) 71,040,000 A-8 AAA (sf) 71,040,000 A-9 AAA (sf) 43,885,000 A-10 AAA (sf) 43,885,000 A-11 AAA (sf) 284,160,000 A-12 AAA (sf) 88,800,000 A-13 AAA (sf) 284,160,000 A-14 AAA (sf) 88,800,000 A-15 AAA (sf) 399,085,000 A-16 AAA (sf) 399,085,000 A-17 AAA (sf) 53,280,000 A-18 AAA (sf) 17,760,000 A-19 AAA (sf) 53,280,000 A-20 AAA (sf) 17,760,000 A-21 AAA (sf) 230,880,000 A-22 AAA (sf) 35,520,000 A-23 AAA (sf) 230,880,000 A-24 AAA (sf) 35,520,000 A-25 AAA (sf) 124,320,000 A-26 AAA (sf) 124,320,000 A-X1 AAA (sf) 399,085,000(i) (ii) (iii) A-X2 AAA (sf) 355,200,000(i) (ii) (iv) A-X3 AAA (sf) 266,400,000(i) (ii) (v) A-X4 AAA (sf) 17,760,000(i) (ii) (vi) A-X5 AAA (sf) 71,040,000(i) (ii) (vii) A-X6 AAA (sf) 43,885,000(i) (ii) (viii) A-X7 AAA (sf) 399,085,000(i) (ii) (iii) A-X8 AAA (sf) 53,280,000(i) (ii) (ix) A-X9 AAA (sf) 17,760,000(i) (ii) (x) A-X10 AAA (sf) 230,880,000(i) (ii) (xi) A-X11 AAA (sf) 35,520,000(i) (ii) (xii) B-1 AA (sf) 6,895,000 B-2 A (sf) 3,343,000 B-3 BBB (sf) 3,970,000 B-4 BB- (sf) 1,880,000 B-5 B (sf) 1,254,000 B-6 NR 1,463,462 R NR N/A (i)Notional balance. (ii)The class A-X1, A-X2, A-X3, A-X4, A-X5, A-X6, A-X7, A-X8, A-X9, A-X10 and A-X11 certificates are interest-only certificates. (iii)The class A-X1 and A-X7 certificates will each accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5, A-9, A-19, A-20, A-21 and A-22 certificates. (iv)The class A-X2 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5, A-19, A-20, A-21 and A-22 certificates. (v)The class A-X3 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-21 and A-22 certificates. (vi)The class A-X4 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5 certificates. (vii)The class A-X5 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the classes A-19 and A-20 certificates. (viii)The class A-X6 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-9 certificates. (ix)The class A-X8 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-19 certificates. (x)The class A-X9 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-20 certificates. (xi)The class A-X10 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-21 certificates. (xii)The class A-X11 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-22 certificates. N/A--Not applicable. NR--Not rated. PSMC TRUST 2020-3: Fitch Assigns Bsf Rating on Cl. B-5 Debt ----------------------------------------------------------- Fitch Ratings has assigned final ratings to American International Group, Inc.'s (AIG) PSMC 2020-3 Trust (PSMC 2020-3). RATING ACTIONS PSMC 2020-3 Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously AAA(EXP)sf Class A-5; LT AAAsf New Rating; previously AAA(EXP)sf Class A-6; LT AAAsf New Rating; previously AAA(EXP)sf Class A-7; LT AAAsf New Rating; previously AAA(EXP)sf Class A-8; LT AAAsf New Rating; previously AAA(EXP)sf Class A-9; LT AAAsf New Rating; previously AAA(EXP)sf Class A-10; LT AAAsf New Rating; previously AAA(EXP)sf Class A-11; LT AAAsf New Rating; previously AAA(EXP)sf Class A-12; LT AAAsf New Rating; previously AAA(EXP)sf Class A-13; LT AAAsf New Rating; previously AAA(EXP)sf Class A-14; LT AAAsf New Rating; previously AAA(EXP)sf Class A-15; LT AAAsf New Rating; previously AAA(EXP)sf Class A-16; LT AAAsf New Rating; previously AAA(EXP)sf Class A-17; LT AAAsf New Rating; previously AAA(EXP)sf Class A-18; LT AAAsf New Rating; previously AAA(EXP)sf Class A-19; LT AAAsf New Rating; previously AAA(EXP)sf Class A-20; LT AAAsf New Rating; previously AAA(EXP)sf Class A-21; LT AAAsf New Rating; previously AAA(EXP)sf Class A-22; LT AAAsf New Rating; previously AAA(EXP)sf Class A-23; LT AAAsf New Rating; previously AAA(EXP)sf Class A-24; LT AAAsf New Rating; previously AAA(EXP)sf Class A-25; LT AAAsf New Rating; previously AAA(EXP)sf Class A-26; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X4; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X5; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X6; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X7; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X8; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X9; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X10; LT AAAsf New Rating; previously AAA(EXP)sf Class A-X11; LT AAAsf New Rating; previously AAA(EXP)sf Class B-1; LT AAsf New Rating; previously AA(EXP)sf Class B-2; LT A+sf New Rating; previously A+(EXP)sf Class B-3; LT BBB+sf New Rating; previously BBB+(EXP)sf Class B-4; LT BBB-sf New Rating; previously BBB-(EXP)sf Class B-5; LT Bsf New Rating; previously B(EXP)sf Class B-6; LT NRsf New Rating; previously NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 532 loans with a total balance of approximately $417.89 million as of the cutoff date. The pool consists of prime fixed-rate mortgages (FRMs) acquired by subsidiaries of American International Group, Inc. (AIG) from various mortgage originators. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, shifting-interest structure. KEY RATING DRIVERS Revised GDP Due to Coronavirus (Negative): The coronavirus outbreak and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Its baseline global economic outlook for U.S. GDP growth is currently a 4.4% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the coronavirus, an Economic Risk Factor (ERF) floor of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss model) was applied to 'BBBsf' ratings and below. Expected Payment Deferrals Related to Coronavirus (Negative): The outbreak of the coronavirus and widespread containment efforts in the U.S. have resulted in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 25% of the pool for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy delinquencies and past-due payments following Hurricane Maria in Puerto Rico. Payment Forbearance (Neutral): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan. Additionally, any loan that enters a coronavirus forbearance plan between the cutoff date and the settlement date will be removed from the pool (at par) within 45 days of closing. For borrowers who enter a coronavirus forbearance plan post-closing, the principal and interest (P&I) advancing party will advance P&I during the forbearance period. If at the end of the forbearance period, the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from principal collections on the overall pool. This will likely result in writedowns to the most subordinate class, which will be written back up as subsequent recoveries are realized. Since there will be no borrowers on a coronavirus forbearance plan as of the closing date and forbearance requests have significantly declined, Fitch did not increase its loss expectation to address the potential for writedowns due to reimbursement of servicer advances. High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30- and 15-year fixed-rate fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage, and large liquid reserves. The loans are seasoned an average of seven months. The pool has a weighted average (WA) original FICO score of 774, which is indicative of very high credit-quality borrowers. Approximately 83.8% of the loans have a borrower with an original FICO score above 750. In addition, the original WA CLTV ratio of 69.1% represents substantial borrower equity in the property and reduced default risk. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. AIG has strong operational practices and is an 'Above Average' aggregator. The aggregator has experienced senior management and staff, strong risk management and corporate governance controls, and a robust due diligence process. Primary and master servicing functions will be performed by Cenlar FSB and Wells Fargo Bank, N.A., rated 'RPS2'/Negative and 'RMS1-'/Negative, respectively. If the primary servicer does not advance delinquent P&I, Wells Fargo Bank (AA-/F1+) will be obligated to advance such amounts to the trust. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by AMC Diligence, LLC (AMC) and Edge Mortgage Advisory Company, LLC (EdgeMac), assessed as 'Acceptable - Tier 1' and 'Acceptable - Tier 3', respectively, by Fitch. The results of the review identified no material exceptions. Credit exceptions were supported by mitigating factors and compliance exceptions were primarily TRID related and cured with subsequent documentation. Fitch applied a credit for the high percentage of loan level due diligence, which reduced the 'AAAsf' loss expectation by 19bps. Top Tier Representation and Warranty Framework (Positive): The loan-level representation, warranty and enforcement (RW&E) framework is consistent with Tier I quality. Fitch reduced its loss expectations by 17bps at the 'AAAsf' rating category as a result of the Tier 1 framework and the 'A' Fitch-rated counterparty supporting the repurchase obligations of the RW&E providers. Straightforward Deal Structure (Neutral): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.25% of the original balance will be maintained for the certificates. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five years following deal closing. Geographic Concentration (Neutral): The pool is geographically diverse, and, as a result, no geographic concentration penalty was applied. Approximately 38% of the pool is located in California, which is in line with other recent Fitch-rated transactions. The top three metropolitan statistical areas (MSAs) account for 25.7% of the pool. The largest MSA concentration is in the San Francisco MSA (9.6%), followed by the Los Angeles MSA (9.6%) and the Seattle MSA (6.5%). Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $300,000 per annum, which can be carried over each year, subject to the cap until paid in full. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to a negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC and Edge Mortgage Advisory Company, LLC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation for each loan and is consistent with Fitch criteria. The due diligence companies performed a review on 100% of the loans. The results indicate high quality loan origination practices that are consistent with non-agency prime RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: loans with due diligence received a credit in the loss model. This adjustment reduced the 'AAAsf' expected losses by 19 bps. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS PSMC 2020-3 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk due to well-controlled operational risk that includes strong R&W framework, transaction due diligence results, an 'Above Average' aggregator, and an 'Above Average' master servicer, all of which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. 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. SEQUOIA MORTGAGE 2020-4: Fitch Gives BB-sf Rating on Cl. B4 Certs ----------------------------------------------------------------- Fitch Ratings assigns ratings to the residential certificates issued by Sequoia Mortgage Trust 2020-4. RATING ACTIONS Sequoia Mortgage Trust 2020-4 Class A-IO24; LT AAAsf New Rating; previously AAA(EXP)sf Class A-IO25; LT AAAsf New Rating; previously AAA(EXP)sf Class A-IO26; LT AAAsf New Rating; previously AAA(EXP)sf Class A1; LT AAAsf New Rating; previously AAA(EXP)sf Class A10; LT AAAsf New Rating; previously AAA(EXP)sf Class A11; LT AAAsf New Rating; previously AAA(EXP)sf Class A12; LT AAAsf New Rating; previously AAA(EXP)sf Class A13; LT AAAsf New Rating; previously AAA(EXP)sf Class A14; LT AAAsf New Rating; previously AAA(EXP)sf Class A15; LT AAAsf New Rating; previously AAA(EXP)sf Class A16; LT AAAsf New Rating; previously AAA(EXP)sf Class A17; LT AAAsf New Rating; previously AAA(EXP)sf Class A18; LT AAAsf New Rating; previously AAA(EXP)sf Class A19; LT AAAsf New Rating; previously AAA(EXP)sf Class A2; LT AAAsf New Rating; previously AAA(EXP)sf Class A20; LT AAAsf New Rating; previously AAA(EXP)sf Class A21; LT AAAsf New Rating; previously AAA(EXP)sf Class A22; LT AAAsf New Rating; previously AAA(EXP)sf Class A23; LT AAAsf New Rating; previously AAA(EXP)sf Class A24; LT AAAsf New Rating; previously AAA(EXP)sf Class A3; LT AAAsf New Rating; previously AAA(EXP)sf Class A4; LT AAAsf New Rating; previously AAA(EXP)sf Class A5; LT AAAsf New Rating; previously AAA(EXP)sf Class A6; LT AAAsf New Rating; previously AAA(EXP)sf Class A7; LT AAAsf New Rating; previously AAA(EXP)sf Class A8; LT AAAsf New Rating; previously AAA(EXP)sf Class A9; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO1; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO10; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO11; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO12; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO13; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO14; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO15; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO16; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO17; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO18; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO19; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO2; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO20; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO21; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO22; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO23; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO3; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO4; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO5; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO6; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO7; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO8; LT AAAsf New Rating; previously AAA(EXP)sf Class AIO9; LT AAAsf New Rating; previously AAA(EXP)sf Class B1; LT AA-sf New Rating; previously AA-(EXP)sf Class B2; LT A-sf New Rating; previously A-(EXP)sf Class B3; LT BBB-sf New Rating; previously BBB-(EXP)sf Class B4; LT BB-sf New Rating; previously BB-(EXP)sf Class B5; LT NRsf New Rating; previously NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 350 loans with a total balance of approximately $304.36 million as of the cutoff date. The pool consists of prime fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (Redwood) from various mortgage originators. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year, 25-year and 20-year, fixed-rate, fully amortizing loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The pool has a weighted average (WA) original model FICO score of 775 and an original WA combined loan to value ratio of 71%. All the loans in the pool consist of Safe Harbor Qualified Mortgages. Interest Reduction Risk (Negative): The transaction incorporates a structural feature unique to Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high-stress scenarios. Low Operational Risk (Neutral): The operational risk is well controlled for in this transaction. Redwood is assessed as an 'Above Average' aggregator. The aggregator has a robust sourcing strategy and maintains experienced senior management and staff, strong risk management and corporate governance controls, and a robust due diligence process. Primary and master servicing functions will be performed by entities rated 'RPS2' and 'RMS2+', respectively. Credit Enhancement Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.75% of the original balance will be maintained for the certificates. The floor is sufficient to protect against the five largest loans defaulting at Fitch's 'AAAsf' average loss severity of 39%. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to a negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. CRITERIA VARIATION There was one variation to Fitch's 'U.S. RMBS Rating Criteria'. Fitch expects to conduct an originator review for all entities that make up 15% or more of a transaction. Prime Lending currently contributes 15.5% of the collateral. Given the strong credit profile, the clean diligence results and Redwood's Above Average aggregator assessment, Fitch did not view the lack of a review as a heightened risk and no adjustment was made. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by five separate third party review firms. The third-party due diligence described in Form 15E focused on credit, compliance and property valuations. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: A 5% credit was applied to each loan's probability of default to the extent diligence was performed, which resulted in a reduction to the 'AAAsf' loss of 16bps. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS 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. SG RESIDENTIAL 2020-2: Fitch Assigns Bsf Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by SG Residential Mortgage Trust 2020-2 (SGR 2020-2). RATING ACTIONS SGR 2020-2 Class A-1; LT AAAsf New Rating; previously AAA(EXP)sf Class A-2; LT AAsf New Rating; previously AA(EXP)sf Class A-3; LT Asf New Rating; previously A(EXP)sf Class A-IO-S; LT NRsf New Rating; previously NR(EXP)sf Class B-1; LT BBsf New Rating; previously BB(EXP)sf Class B-2; LT Bsf New Rating; previously B(EXP)sf Class B-3; LT NRsf New Rating; previously NR(EXP)sf Class M-1; LT BBBsf New Rating; previously BBB(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by SG Residential Mortgage Trust 2020-2, Mortgage-Backed Certificates, Series 2020-2 (SGR 2020-2) as indicated. The certificates are supported by 212 loans with a balance of $109.36 million as of the cutoff date. This will be the first Fitch-rated transaction issued by SG Capital Partners. The certificates are secured mainly by nonqualified mortgages (Non-QM) as defined by the Ability to Repay (ATR) rule. Approximately 70% of the loans were originated by ClearEdge, one of SG Capital's wholesale originators. The remaining 30% of loans were originated by a variety of other captive wholesale originators that each contributed less than 10% to the pool. Select Portfolio Servicing, will be the servicer and Nationstar Mortgage LLC will be the Master Servicer for the transaction. Of the pool, 75% comprises loans designated as Non-QM, and the remaining 25% are investment properties not subject to ATR. KEY RATING DRIVERS Revised GDP Due to the Coronavirus (Negative): The ongoing coronavirus pandemic and resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's current baseline Global Economic Outlook for U.S. GDP growth is -4.6% for 2020, down from 1.7% for 2019. To account for the baseline macroeconomic scenario and increase in loss expectations, the Economic Risk Factor (ERF) default variable for the 'Bsf' and 'BBsf' rating categories has been increased from floors of 1.0 and 1.5, respectively, to 2.0. 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 past-due payments following Hurricane Maria in Puerto Rico. As of the cutoff date, the issuer confirmed that no loans were on an active pandemic relief plan. Nonprime Credit Quality (Mixed): The collateral consists of 30-year FRM and five-year ARM fully amortizing loans, seasoned approximately 10 months in aggregate. Approximately 77% of the pool was originated through a broker channel. The borrowers in this pool have strong credit profiles (715 WA FICO) and relatively low leverage (75.3% sLTV) as determined by Fitch. In addition, the pool contains some concentration of loans of particularly large size. Thirty loans are over $1 million, and the largest is $2.54 million. Payment Forbearance (Mixed): Fitch considered 47 loans (25.8% by balance) were previously put on pandemic relief plans and had their payment deferred. No loans are currently on active plans. Of the loans that were previously on a COVID-19 relief plan, 24.4% have made their payments after the deferral expiration date and are current. One loan in the pool (0.2%) did not make its September payment and is delinquent. Fitch considered borrowers who made their payments after the deferral expiration date as current for the deferral period while the borrowers who were not cash flowing post deferral were treated as delinquent. SG Capital will be allocating the deferred balance to a non-rated class. Fitch included the deferrals as a junior lien in its analysis. Loss Concentration (Negative): The pool contains 212 loans with a weighted average (WA) count of 129. As a result, a 3.23% penalty was added to the 'AAA' loss to account for loan concentration. Bank Statement Loans Included (Negative): Approximately 68.2% of the pool (126 loans) was made to self-employed borrowers underwritten to a bank statement program (38.5% was underwritten to a 24-month bank statement program and 29.7% to a 12-month bank statement program) for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's Ability to Repay Rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. High Investor Property Concentration (Negative): 25.1% of the pool comprises investment properties, which were underwritten to the borrower's credit attributes. 4.7% of the pool consists of loans to non-permanent residents that were treated as investor loans. The borrowers of the U.S. resident investor properties in the pool have strong credit profiles, with a WA FICO of 743 (as calculated by Fitch) and an original CLTV of 68.2% and the non-permanent resident loans have a WA FICO of 650 (as calculated by Fitch) and an original CLTV of 65.4%. There are no investor cash flow loans in the pool. Geographic Concentration (Negative): Approximately 66% of the pool is concentrated in California with moderate MSA concentration. The largest MSA concentration is in Los Angeles MSA (35.6%) followed by the San Francisco MSA (13.6%) and the Miami MSA (8.2%). The top three MSAs account for 57.3% of the pool. As a result, there was a 1.16x adjustment for geographic concentration resulting in a 1.31% penalty for 'AAAsf' rated bonds. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Stop Advance Structure (Mixed): The transaction has a stop advance feature where the servicer will advance delinquent P&I up to 180 days. While the limited advancing of delinquent P&I benefits the pool's projected loss severity (LS), it reduces liquidity. To account for the reduced liquidity of a limited advancing structure, principal collections are available to pay timely interest to the 'AAAsf', 'AAsf' and 'Asf' rated bonds. Fitch expects 'AAAsf' and 'AAsf' rated bonds to receive timely payments of interest and all other bonds to receive ultimate interest. Additionally, as of the closing date, the deal benefits from approximately 319 bps of excess spread, which will be available to cover shortfalls prior to any writedowns. The servicer Select Portfolio Servicing (SPS) will provide P&I advancing on delinquent loans (even the loans on a coronavirus forbearance plan). If SPS is not able to advance, the master servicer (Nationstar Mortgage LLC) will advance P&I on the certificates and if Nationstar is not able to advance, the securities administrator (Citibank) will advance P&I on the certificates, in each case, based on the applicable advancing party's recoverability determination. Low Operational Risk (Positive): Operational risk is adequately controlled for in this transaction. Prior to the suspension of SG Capital's correspondent aggregation business in March 2020, the company employed an effective acquisition operation with strong management, an experienced underwriting team and risk management framework. Fitch has assessed SG Capital as an 'Average' aggregator and ClearEdge Lending as an 'Average' originator. Primary servicing functions will be performed by Select Portfolio Servicing, rated an 'RPS1-' servicer by Fitch, and master servicing will be performed by Nationstar Mortgage LLC, rated an 'RMS2+' servicer. The sponsor's retention of at least 5% of the bonds helps ensure an alignment of interest between issuer and investor. The 'AAAsf' loss was reduced by 2.66% due to the low operational risk of a 'RPS1-' servicer and because 70% of the pool was originated by an 'Average' originator. R&W Framework (Negative): The R&W framework for this transaction is classified as a Tier 2 due to the lack of an automatic review for loans other than those with ATR realized losses. The R&W are being provided by SG Capital Mortgage LLC, which does not have a financial credit opinion or public rating from Fitch. Fitch increased its loss expectations 156 bps at the 'AAAsf' rating category to account for the limitations of the Tier 2 framework and the counterparty risk. Third-Party Due Diligence (Positive): Third-party due diligence was performed on 100% of loans in the transaction by SitusAMC (Tier 1), Clayton Services (Tier 1), and IngletBlair (Tier 2) TPR firms. The due diligence results are in line with industry averages, and 99% were graded 'A' or 'B'. Loan exceptions graded 'B' either had strong mitigating factors or were accounted for in Fitch's loan loss model resulting in no additional adjustments. The model credit for the high percentage of loan level due diligence combined with the adjustments for loan exceptions reduced the 'AAAsf' loss expectation by 41 bps. No Exposure to Hurricane Laura, Hurricane Sally or Hurricane Delta (Positive): There are no loans located in the FEMA individual assistance area for Hurricane Delta, Hurricane Laura or Hurricane Sally in the pool. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, and lower MVDs illustrated by a gain in home prices. 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. Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 5.6% base case sMVD. 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 two or more full categories, excluding the 'BBBsf' which would lower by one category. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a coronavirus sensitivity analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term effects arising from coronavirus-related disruptions on these economic inputs will likely affect both investment and speculative-grade ratings. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC), Clayton and Inglet Blair. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.41%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor, SG Capital LLC, engaged SitusAMC, Clayton, and Inglet Blair to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS 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. SIERRA AUTO 2016-1: S&P Affirms 'BB (sf)' Rating on Class C Notes ----------------------------------------------------------------- S&P Global Ratings affirmed its 'BB (sf)' rating on the class C notes from Sierra Auto Receivables Securitization Trust 2016-1 (SARST 2016-1), and removed it from CreditWatch, where S&P placed it with negative implications on May 13, 2020. S&P previously extended the CreditWatch negative placement on Aug. 10, 2020. 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." "The affirmation reflects collateral performance to date and our expectations regarding future collateral performance, including an upward adjustment in remaining cumulative net losses (CNLs) to account for the COVID-19-induced recession. The rating actions also account for our view of the transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the note's creditworthiness is consistent with the affirmed rating." "The deal is currently at month 52 with a pool factor of 5.20% and has experienced CNLs of 23.98%. Monthly net losses and the loss-to-liquidation rates continue to decrease as the pool factor continues to decline. In addition, extension and delinquency rates did not increase significantly as a result of the COVID-19 pandemic. However, due to elevated unemployment levels associated with the current COVID-19-induced recession, we made an upward adjustment to our expected cumulative net loss (ECNL) to no higher than 25.75%, from 24.25%-25.25%." Table 1 Collateral Performance (%) As of the October 2020 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. SARST 2016-1 52 5.20 23.98 3.82 Mo.--Month. Delinq.--Delinquencies. CNL--Cumulative net loss. Class C's total credit enhancement (excluding excess spread) is currently providing coverage for this class at a level commensurate with the 'BB (sf)' rating. Class C's total hard credit enhancement has grown to 48.86% as of the October 2020 distribution date, from 15.00% at closing (13.50% initial overcollateralization (O/C) plus 1.50% reserve account). The 48.86% of total hard credit enhancement consists of 20.00% of O/C and 28.86% in the reserve account. The O/C and reserve account are currently at their target levels. Since closing, the hard credit support for class B has increased as a percentage of the amortizing pool balance. Table 3 Hard Credit Support (%) As of the October 2020 distribution date Total hard Current total hard credit support credit support Series Class at issuance(i) (% of current)(i) SARST 2016-1 C 15.00 48.86 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We believe that the credit enhancement is adequate to support the rating factoring in our current loss expectations. As a result, we affirmed the 'BB (sf)' rating on the class C notes and removed the rating from CreditWatch negative." "We will continue to monitor the performance of the transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for the rated classes." SLC STUDENT 2008-2: Fitch Affirms CCCsf Rating on 2 Tranches ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on SLC Student Loan Trusts (SLC) 2008-1 and 2008-2. RATING ACTIONS SLC Student Loan Trust 2008-1 Class A-4A 78444LAD5; LT AAsf Affirmed; previously AAsf Class A-4B 78444LAF0; LT AAsf Affirmed; previously AAsf Class B 78444LAE3; LT AAsf Affirmed; previously AAsf SLC Student Loan Trust 2008-2 Class A-4 78444NAD1; LT CCCsf Affirmed; previously CCCsf Class B 78444NAE9; LT CCCsf Affirmed; previously CCCsf TRANSACTION SUMMARY SLC 2008-1: Cash flow modeling for the class A and B notes support cash flow model-implied ratings of 'AAAsf' under Fitch's credit and maturity stresses. The affirmation at 'AAsf'; Outlook Stable reflects the counterparty risk arising from the outstanding swap in the transaction as swap documents that do not envisage any collateral posting in line with Fitch counterparty criteria. SLC 2008-2: Fitch's cash flow modeling for the class A notes shows that the bonds miss their legal final maturity date under both Fitch's credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. As such, the class A-4 and B notes are affirmed at 'CCCsf' KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance: SLC 2008-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 10.25% under the base case scenario and a default rate of 30.75% under the 'AAAsf' credit stress scenario. Fitch revised the sCDR to 2.00% from 1.60% and maintained the sCPR (voluntary and involuntary) at 8.50%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAAsf' case. The trailing twelve months (TTM) levels of deferment, forbearance and income-based repayment (prior to adjustment) are 3.16%, 10.42% and 10.86%, respectively, which are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be 0.26% based on information provided by the servicer. SLC 2008-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 27.25% under the base case scenario and a default rate of 81.75% under the 'AAAsf' credit stress scenario. Fitch maintained the sCDR at 4.30% and revised the sCPR (voluntary and involuntary) to 8.00% from 10.00%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAAsf' case. The trailing twelve months (TTM) levels of deferment, forbearance and income-based repayment (prior to adjustment) are 7.81%, 20.29% and 28.89%, respectively, which are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be 0.11% for Stafford and 0.46% PLUS/SLS based on information provided by the servicer. Fitch's student loan ABS cash flow model indicates that the class A-4 notes do not pay off before their maturity date in all of Fitch's modeling scenarios, including the base cases. If the breach of the class A-4 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Basis and Interest Rate Risk: Basis risk for both transactions arise from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of Sept. 2020, approximately 99.9% and 81.1% of student loans in SLC 2008-1 and SLC 2008-2, respectively, are indexed to one-month LIBOR. The reset is indexed to 90 Day T-Bill, and notes are indexed to three-month LIBOR. Fitch applies its standard basis interest rate stresses to both transactions as per Fitch's FFELP criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread, reserve account, and for the class A notes, subordination provided by the class B notes. As of Sept. 2020, senior and total parity ratios (including the reserve) are 123.22% (18.84% CE) and 107.50% (6.98% CE) for 2008-1, and 127.90% (21.82% CE) and 101.78% (1.75% CE) for 2018-2. Liquidity support is provided by a reserve sized at 0.25% of the pool balance for both transactions. The trusts will continue to release cash as long as target parities are maintained. Operational Capabilities: SLC Trusts are the securitizations of The Student Loan Corporation, now a subsidiary of Discover Bank. Discover Bank serves as master servicer, while day-to-day servicing is provided by Navient Solutions, LLC (Navient). Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Swap Counterparty Exposure in SLC 2008-1: The transaction's swap documents do not envisage any collateral posting in line with Fitch counterparty criteria. In Fitch's opinion, posting collateral is a key remedial action for derivative exposures and one that can be credibly executed in a short timeframe. In Fitch's experience, unhedged FX risk in structured finance transactions is rarely a marginal rating driver. According to Fitch's counterparty criteria, the available contractual replacement trigger of 'BBB+' or 'F2' would support, without any collateral arrangements, ratings up to the 'A' category. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors. They should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: SLC 2008-1 No upgrade factors were run as notes are already passing at highest rating for the class A and B notes. SLC 2008-2 Credit Stress Rating Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: SLC 2008-1: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf'; -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf'; -- Basis Spread increase 0.5%: class A 'AAAsf'; class B 'AAAsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage increase 50%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining Term increase 25%: class A 'Asf'; class B 'AAAsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'Asf'. SLC 2008-2: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. CRITERIA VARIATION Under the "Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum", dated Jan. 2020, Fitch looks to its own collateral posting requirements. The swap documents do not envisage any collateral posting in line with Fitch counterparty criteria. Despite this the documents do provide for collateral posting in line with S&P and Moody's; therefore, there is a level of protection versus having no collateral posting requirements at all. As such, the notes are affirmed at their current ratings. Without this variation, the notes would have been downgraded to the rating of the counterparty at 'Asf'. SLM STUDENT 2008-1: Fitch Affirms Bsf Rating on Class B Debt ------------------------------------------------------------ Fitch Ratings has affirmed the outstanding notes of SLM Student Loan Trust 2008-1, 2008-2 and 2008-4. In addition, Fitch has placed SLM Student Loan Trust 2008-3 on Rating Watch Negative. For all four trusts, the senior notes miss their legal final maturity date under Fitch's baseline maturity stresses; however, these classes are eventually paid in full under Fitch's stressed cashflow analysis. The event of default from not meeting the legal final maturity dates would result in interest payments being diverted away from the class B notes, causing them to default as well. In affirming at 'Bsf' rather than downgrading to 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, and the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. Fitch assigned Rating Watch Negative to 2008-3 as the legal final maturity of the class A-3 notes is less than one year away and repayment by the legal final maturity date is unlikely without support from the sponsor under Fitch's maturity stress scenarios. For SLM 2008-1 and 2008-4, Fitch revised the Rating Outlook to Negative from Stable since the legal final maturity dates of the outstanding senior notes of both transactions are less than two years away with repayment by the legal final maturity date becoming increasingly unlikely as the transactions amortize, without support from the sponsor under Fitch's maturity stress scenarios. The Rating Outlook for SLM 2008-2 remains Stable, reflecting the maturity date for the outstanding senior class of this transaction. Each trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. RATING ACTIONS SLM Student Loan Trust 2008-1 Class A-4 784439AD3; LT Bsf Affirmed; previously Bsf Class B 784439AE1; LT Bsf Affirmed; previously Bsf SLM Student Loan Trust 2008-2 Class A-3 784442AC9; LT Bsf Affirmed; previously Bsf Class B 784442AD7; LT Bsf Affirmed; previously Bsf SLM Student Loan Trust 2008-3 Class A-3 78444GAC8; LT Bsf Rating Watch On; previously Bsf Class B 78444GAD6; LT Bsf Rating Watch On; previously Bsf SLM Student Loan Trust 2008-4 Class A-4 78445AAD8; LT Bsf Affirmed; previously Bsf Class B-1 78445AAE6; LT Bsf Affirmed; previously Bsf KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance SLM 2008-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 36.0% under the base case scenario and a 100.0% default rate under the 'AAA' credit stress scenario. Fitch maintained its sustainable constant default rate (sCDR) of 5.2% and its sustainable constant prepayment rate (sCPR; voluntary and involuntary) at 11.0% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 7.4%, 21.9%, and 26.1%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.02%, based on information provided by the sponsor. SLM 2008-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 30.25% under the base case scenario and a 90.75% default rate under the 'AAA' credit stress. Fitch maintained its sCDR at 4.2% and its sCPR (voluntary and involuntary) at 11.0% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR (prior to adjustment) are 6.5%, 21.3%, and 28.4%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.06%, based on information provided by the sponsor. SLM 2008-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 29.0% under the base case scenario and an 87.0% default rate under the 'AAA' credit stress. Fitch maintained its sCDR at 4.2% and its sCPR (voluntary and involuntary) at 11.0% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR (prior to adjustment) are 7.4%, 21.2%, and 27.6%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.02%, based on information provided by the sponsor. SLM 2008-4: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 27.5% under the base case scenario and an 82.5% default rate under the 'AAA' credit stress. Fitch maintained its sCDR at 4.0% and revised its sCPR (voluntary and involuntary) down to 11.0% from 11.5% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR (prior to adjustment) are 6.8%, 20.8%, and 26.3%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.05%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of September 2020, approximately 4.9%, 2.5%, 2.3% and 1.4% of the trust student loans are indexed to T-bill for SLM 2008-1, 2008-2, 2008-3 and 2008-4, respectively, with the remainder indexed to one-month LIBOR. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure SLM 2008-1: Credit enhancement (CE) is provided by excess spread and for the class A notes, subordination. As of the October 2020 distribution date, total and senior parity ratio (including the reserve) are 100.22% (0.22% CE) and 119.65% (16.42% CE), respectively. Liquidity support is provided by a reserve account sized at its floor of $1,499,914. The transaction will release excess cash as long as 100% total parity (excluding the reserve) is maintained. SLM 2008-2: CE is provided by excess spread and for the class A notes, subordination. As of the October 2020 distribution date, total and senior effective parity ratio (including the reserve) are 100.16% (0.16% CE) and 115.64% (13.52% CE), respectively. Liquidity support is provided by a reserve account sized at its floor of $2,199,978. The transaction will release excess cash as long as 100% total parity (excluding the reserve) is maintained. SLM 2008-3: CE is provided by excess spread, overcollateralization (OC), and for the class A notes, subordination. As of the October 2020 distribution date, total and senior effective parity ratio (including the reserve) are 102.78% (2.70% CE) and 119.36% (16.22% CE) respectively. Liquidity support is provided by a reserve account sized at its floor of $1,000,020. The transaction will release excess cash as long as the target OC amount of $5,841,096 is maintained. SLM 2008-4: CE is provided by excess spread, OC, and for the class A notes, subordination. As of the October 2020 distribution date, total and senior effective parity ratio (including the reserve) are 102.68% (2.61% CE) and 124.74% (19.83% CE), respectively. Liquidity support is provided by a reserve account sized at its floor of $999,985. The transaction will release excess cash as long as the target total parity ratio of 102.55% (excluding the reserve) is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Coronavirus Impact: Fitch's baseline (rating) scenario assumes an initial activity bounce in 3Q20 followed by a slower recovery trajectory from 4Q20 onward amid high unemployment and further pullback in private-sector investment. To assess the sustainable assumptions, Fitch assumed a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transactions. Fitch revised the sCPR and maintained the sCDR for SLM 2008-4 and maintained the sCDR and maintained the sCPR for the 2008-1, 2008-2 and 2008-3 transactions in cash flow modelling to reflect this analysis. The risk of negative rating actions will increase under Fitch's coronavirus downside (sensitivity) scenario, which contemplates a more severe and prolonged period of stress with a halting recovery beginning in 2Q21. The results of this sensitivity analysis are provided in Rating Sensitivities. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the downside coronavirus sensitivity scenario, Fitch assumed a 50% increase in defaults, IBR and remaining term for the credit and maturity stresses, respectively. Under this scenario, the model-implied ratings remain unchanged under Fitch's credit and maturity stresses. Factors that could, individually or collectively, lead to positive rating action/upgrade: SLM 2008-1 Current Ratings: class A 'Bsf'; class B 'Bsf'. Credit Stress Sensitivity -- Default decrease 25%: class A 'Bsf'; class B 'Bsf; -- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'; Maturity Stress Sensitivity -- CPR increase 25%: class 'Bsf'; class B 'Bsf'; -- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf'; -- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'. SLM 2008-2 Current Ratings: class A 'Bsf'; class B 'Bsf'. Credit Stress Sensitivity -- Default decrease 25%: class A 'Bsf'; class B 'Bsf; -- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'; Maturity Stress Sensitivity -- CPR increase 25%: class 'Bsf'; class B 'Bsf'; -- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf'; -- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'. SLM 2008-3 Current Ratings: class A 'Bsf'; class B 'Bsf'. Credit Stress Sensitivity -- Default decrease 25%: class A 'Bsf'; class B 'Bsf; -- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'; Maturity Stress Sensitivity -- CPR increase 25%: class 'Bsf'; class B 'Bsf'; -- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf'; -- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'. SLM 2008-4 Current Ratings: class A 'Bsf'; class B 'Bsf'. Credit Stress Sensitivity -- Default decrease 25%: class A 'Bsf'; class B 'Bsf; -- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'; Maturity Stress Sensitivity -- CPR increase 25%: class 'Bsf'; class B 'Bsf'; -- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf'; -- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: SLM 2008-1 Credit Stress Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf. Maturity Stress Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf. SLM 2008-2 Credit Stress Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf. Maturity Stress Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM 2008-3 Credit Stress Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM 2008-4 Credit Stress Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf. Maturity Stress Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. UBS-BARCLAYS COMMERCIAL 2013-C5: Fitch Cuts Class F Certs to CC --------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed nine classes of UBS-Barclays Commercial Mortgage Trust (UBS-BB) commercial mortgage pass-through certificates series 2013-C5. Fitch has also revised the Rating Outlooks on classes B, C, X-B and EC to Negative from Stable. RATING ACTIONS UBS-BB 2013-C5 Class A-3 90270YBE8; LT AAAsf Affirmed; previously AAAsf Class A-4 90270YBF5; LT AAAsf Affirmed; previously AAAsf Class A-AB 90270YBG3; LT AAAsf Affirmed; previously AAAsf Class A-S 90270YAA7; LT AAAsf Affirmed; previously AAAsf Class B 90270YAG4; LT AA-sf Affirmed; previously AA-sf Class C 90270YAL3; LT A-sf Affirmed; previously A-sf Class D 90270YAN9; LT BBsf Downgrade; previously BBB-sf Class E 90270YAQ2; LT CCCsf Downgrade; previously BBsf Class EC 90270YAJ8; LT A-sf Affirmed; previously A-sf Class F 90270YAS8; LT CCsf Downgrade; previously CCCsf Class XA 90270YAC3; LT AAAsf Affirmed; previously AAAsf Class XB 90270YAE9; LT AA-sf Affirmed; previously AA-sf KEY RATING DRIVERS Increased Loss Expectations; High Concentration of Fitch Loans of Concern (FLOC): The downgrades and Negative Outlooks reflect an increase in Fitch's loss expectations since the last rating action, largely attributable to increased losses for the loans in special servicing and several retail loans including loans secured by regional malls. The largest drivers of the increase in Fitch's base case expected losses are Harborplace (5.4%) and Chatham Retail (1.5%), both of which are in special servicing. Overall, there are 13 FLOCs (51.5% of the pool), including the two specially serviced loans. FLOCs/Specially Serviced Loans: The largest specially serviced loan, Harborplace (5.4%), is secured by a 156,641-sf retail center located in the heart of Baltimore's Inner Harbor at the intersection of Pratt and Light streets, and situated steps away from the harbor itself. H&M (12.7%; exp 1/31/2022) is the anchor tenant. Major restaurant tenants include Bubba Gump Shrimp Company (8.7%; exp 6/1/2023); Pizzeria Uno (4.2%; exp 12/31/2020) and The Cheesecake Factory (4.1%; exp 1/31/2026). The loan transferred to special servicing in February 2019 due to imminent monetary default and is 90+ days delinquent. Occupancy has remained below 75% since YE 2016 and has steadily declined following the loss of several tenants. As of August 2020, occupancy was reported at 52% compared to 68% in September 2019, primarily due to the loss of Ripley's (8.6%). The receiver is working through tenant rent relief requests. Fitch modeled a an approximately 60% loss which reflects concerns with the potential for further declines due to the current economic environment due to the pandemic. The other specially serviced loan, Chatham Retail (1.5%) is secured by 34,140-sf retail property located between 65th and 66th street and 3rd Ave in NYC. The loan transferred to special servicing in June 2020 due to payment default. Per the October 2020 rent roll, the property is 18% occupied by one tenant (1 Life Healthcare Inc; exp 7/31/2030), compared to 100% at YE 2018. Pier 1 (51%) vacated the property in 2019 prior to its 2022 lease expiration and the borrower collected an $1.8MM termination fee. The rent roll indicates three tenants (53%) have leases scheduled to commence between Dec. 2020 through March 2021. Analyst requested terms and rent figures for these tenants, but no response was received. Per the special servicer, negotiations for a modification continue, while the loan is being dual tracked for foreclosure. Fitch modeled an approximately 45% loss; however, loss expectations may be reduced if the borrower can successfully re-tenant the vacant space. The largest FLOC in the pool is Santa Anita Mall (18.1%), which is secured by an 956,343-sf interest in a 1,472,167-sf regional mall located in Arcadia, CA. Anchors at the property include JC Penney, Macy's and Nordstrom, which are subject to long term ground leases and are not part of the collateral. Major collateral tenants include XXI Forever (12.3%; exp 01/31/2028), AMC Movie Theater (7.7%; exp 09/30/2024), Dave & Busters (5.2%; exp 09/30/2024), Gold's Gym (3.6%; exp 06/30/2028) and Zara (2.8%; exp 01/31/2027). Occupancy and DSCR have remained strong since issuance at a reported 94% and 3.85x, respectively, at YE 2019. While there is minimal rollover within the next few years, 5.7% in 2020 and 6.2% in 2021, Fitch's analysis assumed a 20% HC to YE 2019 NOI due to exposure to Gold's Gym, entertainment tenants (AMC and Dave & Buster's) and the expectation that 2020 performance has been impacted due to the coronavirus pandemic restrictions. Annual sales as of June 2019 for Macy's, JC Penney and Nordstrom were $298 psf, $119 psf and $637 psf, respectively, compared to $297 psf, $120 psf and $641 psf, at September 2018, $293 psf, $130 psf and $625 psf at September 2016, and $260 psf, $169 psf and $529 psf at issuance. Annual sales as of June 2019 for American Multi-Cinema were $1,018,125 per screen compared to $983,125 in September 2018, $897,063 in September 2016 and $1 million at issuance. A YE 2019 sales report was requested but remains outstanding. Fitch received June 2020 sales of $267 psf, $85 psf and $564 psf for Macy's, JC Penney and Nordstrom, respectively. However, the analysis recognized that some recovery from this performance trough is likely. Fitch's analysis assumed a 20% HC to YE 2019 NOI due to account for future performance concerns during the pandemic, and uncertainty of ultimate recovery; this analysis did not factor in a loss to the loan. The mall has exposure to AMC, Dave & Busters and Gold's Gym, all of which have been significantly impacted from the coronavirus pandemic. The second largest FLOC in the pool is Valencia Town Center (16.4%), which is secured by an 657,837-sf interest in a 1,106,145-sf regional mall located in Valencia, CA. Anchors at the property include Macy's and JC Penney, which are subject to ground leases. Sears vacated during the first half of 2018, prior to its September 2045 ground lease expiration date. Fitch received no further details on re-leasing efforts of the vacant space as the space is not part of the loan's collateral. Major collateral tenants include Edwards Theaters (10.2%; exp 5/31/2024), Gold's Gym (4.4%; exp 11/30/2027), H&M (3.5%; exp 1/31/2035) and Salon Republic (2.9%; exp 9/30/2034). Occupancy has fluctuated over the past several years: 99% (YE 2017), 84% (YE 2018), 95% (YE 2019) and 83% (June 2020). DSCR has shown a consistent decline during the same period: 3.29x (YE 2017), 3.21x (YE 2018) and 2.69x (YE 2019). While there is minimal rollover within the next few years, 5.7% in 2020 and 6.2% in 2021, Fitch's analysis assumed a 10% HC to YE 2019 NOI due to exposure to Gold's Gym and entertainment tenants (Edwards Theaters and Billy Beez), as well as the uncertainty of the ultimate performance recovery due to the pandemic, which resulted in a 5% loss. Annualized sales as of September 2018 for Macy's and JC Penney were $288 psf and $111 psf, respectively, compared to $300 psf and 114 psf in September 2016 and $276 psf and $146 psf at issuance. Excluding the non-collateral anchor tenants and Apple, annualized sales as of September 2018 were $490 psf compared to $475 in September 2016 and $492 psf at issuance. With Apple, annualized sales as of September 2018 were $556 psf compared to $527 in September 2016. A 2019 sales report was requested but remains outstanding. The third largest non-specially serviced FLOC in the pool is 155 Fifth Avenue (2.1%), which is secured by 35,039-sf class B office and retail building located in Manhattan's Flatiron District between East 21st and East 22nd Streets. The property is 100% occupied by five tenants: Pitchbook Data, Inc. (30%; 5/31/2021), The White Company, Inc (23%; 4/30/2027), Officeworks (16%; exp 6/30/2025), App Annie, Inc (15%; 4/30/2022) and Rachel Zoe Creations, LLC (15%; 1/31/2021) Fitch's analysis assumed a 30% HC to YE 2019 NOI due to two tenants with lease expirations in 2021 representing approximately 33% of base rent. A leasing status update was requested; however, a response was not received. The fourth largest non-specially serviced FLOC in the pool is Residence Inn Tysons Corner (1.8%), which is secured by a 121-room extended-stay hotel located in Vienna, VA. Occupancy and DSCR were a reported 74.9% and 1.49x, respectively at YE 2019 compared to 77.9% and 1.34x the prior year. Fitch's analysis assumed a 26% HC to YE 2019 NOI due to account for performance concerns related to the coronavirus pandemic. The fifth largest non-specially serviced FLOC in the pool is The Village of Cross Keys (1.7%), which is secured by a 296,766-sf mixed-use property (147,140-sf retail space, 119,334-sf office space, and a 30,292-sf tennis club) located just east of Interstate 83 in central Baltimore approximately seven miles north of Baltimore's Inner Harbor. The loan was previously in special servicing in 2019 due to imminent monetary default, and recently was returned back to the master in September 2020. Occupancy has remained in the low 60s since 2017 at a reported 61.6% as of March 2020. NOI DSCR was 0.85x as of TTM November 2019 compared to 0.92x at YE 2018 and 1.20x at YE 2017. Fitch's analysis assumed a 15% HC to YE 2019 NOI to account for upcoming rollover risk. Approximately 13.1% NRA and 15.4% NRA expire in 2020 and 2021 respectively. The remaining six FLOCs (4.5%) are outside the top 15 and were flagged as FLOCs primarily due to performance concerns stemming from the coronavirus pandemic. Defeasance/Improved Credit Enhancement Since Issuance: 20 loans (20%) are fully defeased including the 4th and 5th largest loans. Two loans (1.9%) defeased since the 2019 rating action. As of the October 2020 distribution date, the pool's aggregate balance has been reduced by 20.1% to $1.2 billion from $1.5 billion at issuance. Realized losses total $2.4 million and interest shortfalls in the amount of $1.1 million are currently affecting non-rated class G. Four loans (37.4% of the pool) are full-term interest-only, one loan (0.1%) is fully amortizing and the remaining 72 loans are amortizing. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed potential outsized losses of 50% on the current balance of The Village at Crosskeys to reflect the potential for outsized losses due to continued occupancy declines and upcoming rollover risk. While Santa Anita and Valencia Town Center loans have demonstrated stable performance, potential losses of 15% were assumed on each loan to reflect refinancing concerns, uncertainty the ultimate recovery of performance during the pandemic and uncertainty of the sponsor's long-term commitment to the regional malls. This scenario contributed to the 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 non-defeased retail properties and mixed-use properties with a retail component account for 22 loans (55% of pool). Loans secured by non-defeased hotel properties account for seven loans (8.9%), while four non-defeased loans (2.3%) are secured by a multifamily property. Fitch's base case analysis applied additional stresses to five hotel loans and two retail loans due to their vulnerability to the coronavirus pandemic; this analysis contributed to the downgrades and negative outlooks. Pool and Property Concentrations: The largest loan, Santa Anita Mall, represents 18.1% of the current pool balance. Additionally, the top 10 loans represent 60% of the current pool balance. The pool's largest property excluding defeased loans is retail at 51.2%, including the 1st and 2nd largest loans (34.6%) which are secured by regional malls. RATING SENSITIVITIES The Negative Outlooks on classes B, C, X-B and EC reflect concerns over the FLOCs, primarily the two specially serviced loans and two regional malls within the pool. The Stable Outlooks on classes A-AB, A-3, A-4 and A-S reflect the substantial CE to the classes and expected continued amortization and increase in CE. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity Factors that lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. While not considered likely in the near term, upgrades to classes B and C are possible with significant improvement in credit enhancement and/or defeasance. However, adverse selection, increased concentrations or the underperformance of particular loans may limit the potential for future upgrades. Upgrades to classes, D, E and F are considered unlikely unless there is significant improvement in Fitch's current expected losses or paydown and substantially higher recoveries than expected on the specially serviced loans/assets. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfall. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-AB, A-3, A-4 and A-S are not expected given the high CE and continued expectation of increasing C/E due to amortization, but may occur should interest shortfalls affect these classes. Downgrades or revision of the Outlook to Negative on class A-S were not considered given the expected losses on Harborplace were considered conservative, but would be considered in the event the value continues to decline, if the loan workout continues without improvement in performance, of the loan is disposed in the near future with losses greater than Fitch's expectations. A downgrade to classes B, C and D may occur should the FLOCs performance fail to stabilize, additional loans transfer to special servicing, or performance deteriorates for other loans in the pool. Further downgrades to classes E and F would occur as losses are realized and/or become more certain. The Negative Rating Outlooks may be revised back to stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus pandemic eventually stabilize. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that the class with the Negative Rating Outlook may be downgraded by more than one category. VENTURE 28A: Moody's Confirms Ba3 Rating on $20.4MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by Venture 28A CLO, Limited: US$23,300,000 Class D Mezzanine Secured Deferrable Floating Rate Notes, Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$20,500,000 Class E Junior Secured Deferrable Floating Rate Notes, Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and the Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Confirmed Notes issued by the CLO. The CLO, originally issued in July 2017 and partially re-priced in August 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2021. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the September 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 2990, compared to 2769 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was passing the test level of 3050 reported in the September 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 16.4% as of September 2020. Nevertheless, Moody's noted that all the OC tests, as well as the interest reinvestment test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Par amount and principal proceeds balance: $407,061,139 Defaulted Securites: $10,145,046 Diversity Score: 104 Weighted Average Rating Factor (WARF): 3003 Weighted Average Life (WAL): 4.64 years Weighted Average Spread (WAS): 3.70% Weighted Average Recovery Rate (WARR): 46.90% Par haircut in OC tests and interest diversion test: 0.28% Finally, Moody's notes that it also considered the information in the October 2020 trustee report [5] which became available prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. VENTURE XVIII: Moody's Lowers $29MM Class E-R Notes to B1 --------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the following notes issued by Venture XVIII CLO, Limited: Issuer: Venture XVIII CLO, Limited US$29,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes Due 2029 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class E-R Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$33,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes Due 2029 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes are referred to herein as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D-R and Class E-R Notes issued by the CLO. The CLO, originally issued in August 2014 refinanced in October 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2021. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (ELs) on certain notes have increased. Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the rating on the Confirmed Notes. According to the October 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 2908, compared to 2733 reported in the March 2020 trustee report [2]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 14%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $575.6 million, or $24.4 million less than the deal's ramp-up target par balance. As per the October 2020 trustee report [3], the OC tests were reported passing but the interest diversion test was reported as failing, which resulted in a portion of excess interest collections being diverted towards reinvestment in collateral. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $567,612,696 Defaulted Securities: $20,582,300 Diversity Score: 106 Weighted Average Rating Factor (WARF): 2890 Weighted Average Life (WAL): 4.8 years Weighted Average Spread (WAS): 3.67% Weighted Average Recovery Rate (WARR): 47.0% Par haircut in OC tests and interest diversion test: 0.18% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. VENTURE XXII: Moody's Confirms Ba3 Rating on $30MM Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Venture XXII CLO, Limited: US$33,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on Apr 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$30,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on Apr 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and the Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R and Class E-R Notes issued by the CLO. The CLO, originally issued in January 2016 and refinanced in February 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current ratings after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the October 2020 trustee report [1], the weighted average rating factor (WARF) for the CLO was reported at 2934, compared to 2752 reported in the March 2020 trustee report [2]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 14.9% for the CLO [3]. Nevertheless, Moody's noted that for the CLO, all the OC tests as well as the interest diversion test were recently reported as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $577,024,600 Defaulted Securities: $17,527,267 Diversity Score: 109 Weighted Average Rating Factor (WARF): 2952 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.73% Weighted Average Recovery Rate (WARR): 46.9% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. VENTURE XXIX: Moody's Confirms Ba3 Rating on $26MM Class E Notes ---------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by Venture XXIX CLO, Limited: US$31,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes, Confirmed at Baa3 (sf); previously on Apr 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$26,000,000 Class E Junior Secured Deferrable Floating Rate Notes, Confirmed at Ba3 (sf); previously on Apr 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and Class E Notes, are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D and E Notes, issued by the CLO. The CLO, issued in September 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in September 2022. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current ratings after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the October 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 2990 compared to 2745 reported in the March 2020 trustee report [2]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 18.4%. Nevertheless, Moody's noted that all the OC tests as well as the interst diversion test were recently reported [3] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $505,567,061 Defaulted Securities: $9,016,537 Diversity Score: 107 Weighted Average Rating Factor (WARF): 3018 Weighted Average Life (WAL): 5.82 years Weighted Average Spread (WAS): 3.70% Weighted Average Recovery Rate (WARR): 46.97% Par haircut in O/C tests and interest diversion test: 0.1% Finally, Moody's notes that it also considered the information in the October 2020 trustee report [4] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. VENTURE XXVII: Moody's Confirms Ba3 rating on $29.5MM Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by Venture XXVII CLO, Limited: US$36,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$29,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D Notes and Class E Notes issued by the CLO. The CLO, issued in May 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2022. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the October 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3004, compared to 2711 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3012 reported in the October 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 17%. Nevertheless, Moody's noted that the OC tests for the Class D Notes and Class E Notes, as well as the interest diversion test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $582,152,884 Defaulted Securities: $10,525,640 Diversity Score: 111 Weighted Average Rating Factor (WARF): 2993 Weighted Average Life (WAL): 5.77 years Weighted Average Spread (WAS): 3.65% Weighted Average Recovery Rate (WARR): 47.16% Par haircut in OC tests and interest diversion test: 0.18% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. VENTURE XXVIII: Moody's Confirms Ba3 Rating on $27.9MM Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has confirmed the ratings on the following notes issued by Venture XXVIII CLO, Limited: US$31,742,381 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030, Confirmed at Baa3 (sf); previously on Apr 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$27,900,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030, Confirmed at Ba3 (sf); previously on Apr 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and the Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D and the Class E Notes issued by the CLO. The CLO, issued in July 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on July 2022. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the September 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3006, compared to 2771 reported in the March 2020 trustee report [2]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 16.2%. Nevertheless, Moody's noted that all OC tests, as well as the interest diversion test, were recently reported [3] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $551,913,881 Defaulted Securities: $18,698,097 Diversity Score: 106 Weighted Average Rating Factor (WARF): 3027 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.71% Weighted Average Recovery Rate (WARR): 46.7% Par haircut in OC tests and interest diversion test: 0.3% Finally, Moody's notes that it also considered the information in the October 2020 trustee report [4] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. VENTURE XXX: Moody's Confirms Ba3 Rating on $31.5MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by Venture XXX CLO, Limited: US$38,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$31,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and the Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D Notes and the Class E Notes issued by the CLO. The CLO, originally issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the October 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 2909, compared to 2613 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was passing the test level of 2997 reported in the October 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 15.8%. Nevertheless, according to the October 2020 trustee report [4], the OC tests for the Class A/B, Class C, Class D, and Class E notes, as well as the interest diversion test, were reported as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $681,687,232 Defaulted Securities: $13,839,560 Diversity Score: 109 Weighted Average Rating Factor (WARF): 2933 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.67% Weighted Average Recovery Rate (WARR): 47.2% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. WELLS FARGO 2017-C42: Fitch Affirms B-sf Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 18 classes of Wells Fargo Commercial Mortgage Trust 2017-C42 commercial mortgage pass-through certificates. The Outlooks on classes E, X-E and X-F were revised to Negative from Stable. RATING ACTIONS WFCM 2017-C42 Class A-1 95001GAA1; LT AAAsf Affirmed; previously at AAAsf Class A-2 95001GAB9; LT AAAsf Affirmed; previously at AAAsf Class A-3 95001GAD5; LT AAAsf Affirmed; previously at AAAsf Class A-4 95001GAE3; LT AAAsf Affirmed; previously at AAAsf Class A-BP 95001GAF0; LT AAAsf Affirmed; previously at AAAsf Class A-S 95001GAK9; LT AAAsf Affirmed; previously at AAAsf Class A-SB 95001GAC7; LT AAAsf Affirmed; previously at AAAsf Class B 95001GAL7; LT AA-sf Affirmed; previously at AA-sf Class C 95001GAM5; LT A-sf Affirmed; previously at A-sf Class D 95001GAU7; LT BBB-sf Affirmed; previously at BBB-sf Class E 95001GAW3; LT BB-sf Affirmed; previously at BB-sf Class F 95001GAY9; LT B-sf Affirmed; previously at B-sf Class X-A 95001GAG8; LT AAAsf Affirmed; previously at AAAsf Class X-B 95001GAJ2; LT A-sf Affirmed; previously at A-sf Class X-BP 95001GAH6; LT AAAsf Affirmed; previously at AAAsf Class X-D 95001GAN3; LT BBB-sf Affirmed; previously at BBB-sf Class X-E 95001GAQ6; LT BB-sf Affirmed; previously at BB-sf Class X-F 95001GAS2; LT B-sf Affirmed; previously at B-sf KEY RATING DRIVERS Increase in Loss Expectations/Fitch Loans of Concern (FLOC): While the majority of the pool maintains stable performance, loss expectations on the pool have increased over the last year primarily due to the nine FLOCs (17.4% of the pool), including one specially serviced loan (3.7%), as well as concerns over the overall impact of the coronavirus pandemic on the pool. For each of the loans flagged as a FLOC, Fitch applied an additional haircut to the net operating income (NOI), or a stress to the most recent appraisal value, which contributes to the Negative Outlooks. The largest driver to the Outlook revisions is the increased losses on the Courtyard Los Angeles Sherman Oaks (3.7%), which is secured by a 213-room full-service hotel located in Sherman Oaks, CA. The loan transferred to special servicing in July 2020 due to payment default. According to servicer updates, the borrower has requested debt service payment relief due to hardships stemming from the coronavirus pandemic, and modification discussions are ongoing. The loan is past 90 days delinquent. As of YE 2019 the servicer reported NOI DSCR was 2.44x and an occupancy of 81%. The next largest FLOC is the Laguna Cliffs Marriott (3.4%), which is high-quality 378-key, full-service hotel located in Dana Point, CA. The property has been closed since March 2020 due to the pandemic. The subject's website indicates a potential reopening in December 2020. Per STR's June 2019 report, the TTM June 2019 occupancy penetration was 88.2%; ADR penetration was 102.6%; and RevPar penetration was 90.5%. The loan's financial reporting year-end is June, and the June 2020 statements have not yet been provided. Given the hotel will have been closed for most of the past year, Fitch expects performance will be down significantly from the prior year. The next largest FLOC is the Lennar Corporate Center loan (3.9%), which is secured by a 289,986-sf office property located in Miami, FL. The property has been designated a FLOC due to scheduled rollover representing 33% of the NRA by YE2020. Additionally, there have been media reports that the largest tenant, Lennar Corporation (50% NRA), is planning to relocate its offices and vacate the property prior to the lease expiration in March 2022. According to servicer updates, Lennar Corporation is still occupying its space at the property. As of YE 2019 the servicer reported interest-only NOI DSCR was 3.70x and occupancy was 93%. The fourth largest FLOC is the Lakeside Shopping Center loan (3.4%), which is secured by a 1.2 million-sf super regional mall located in Metairie, LA, approximately 7.8 miles northwest of New Orleans. It is designated a FLOC because the collateral anchor, JCPenney, recently announced it will be closing its store at the subject. While JCPenney leases 16.8% NRA through November 2022, it only accounts for 4.6% of rent and recoveries. The other collateral anchors at the mall are Dillard's, which leases 25.7% NRA through December 2029, and Macy's, which has a ground lease for 19% NRA through February 2029. Occupancy will decline to 82% from 99% as a result of JCPenney vacating, and Fitch expects some co-tenancy clauses may be triggered. At YE 2019, servicer-reported NOI DSCR was 2.72x. 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 account for 13 loans (25% of pool). Loans secured by hotel properties account for six loans (16%), while two loans (1.8%) are secured by a multifamily property. Fitch's base case analysis applied additional stresses to four retail loans, six hotel loans and two multi-family loans due to their vulnerability to the coronavirus pandemic; these additional stresses contributed to the Negative Rating Outlooks. Minimal Change to Credit Enhancement (CE): There has been minimal change to credit enhancement since issuance. As of the September 2020 distribution date, the pool's aggregate balance has been paid down by 0.9% to $738.2 million from $744.8 million at issuance. All 38 of the original loans remain in the pool. Eleven loans representing 45.4% of the pool are full-term interest-only loans and nine loans representing 31.7% of the pool remain in their partial interest-only period. RATING SENSITIVITIES Factors that could, individually or collectively, lead to a positive rating action/upgrade: Sensitivity factors that lead to upgrades would include improved asset performance coupled with paydown and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf' category could occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. The 'BBB-sf', 'BB-' and 'B-sf' are unlikely to be upgraded absent significant performance improvement and substantially higher recoveries than expected on the specially serviced loan/asset and improved performance of the FLOCs. Factors that could, individually or collectively, lead to a negative rating action/downgrade: Sensitivity factors that could lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1, A-2, A-3, A-4, A-BP, A-SB and A-S are not expected given the generally stable performance and their position in the capital structure, but may occur should loss expectations increase and/or interest shortfalls affect these classes. Downgrades to classes B, C, and D are possible should performance of the FLOCs continue to decline, or if additional loans become FLOC and/or transfer to special servicing. Downgrades to class E and F would occur if the loans susceptible to the pandemic fail to stabilize and/or if loss expectations increase. 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 one or more categories and that additional classes may be placed on Outlook Negative. WELLS FARGO 2018-C48: Fitch Affirms B-sf Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Wells Fargo Commercial Mortgage Trust 2018-C48 Commercial Mortgage Pass-Through Certificates, series 2018-C48. In addition, Fitch revised the Rating Outlook for one class to Negative from Stable. RATING ACTIONS WFCM 2018-C48 Class A-1 95001RAS8; LT AAAsf Affirmed; previously AAAsf Class A-2 95001RAT6; LT AAAsf Affirmed; previously AAAsf Class A-3 95001RAU3; LT AAAsf Affirmed; previously AAAsf Class A-4 95001RAW9; LT AAAsf Affirmed; previously AAAsf Class A-5 95001RAX7; LT AAAsf Affirmed; previously AAAsf Class A-S 95001RBA6; LT AAAsf Affirmed; previously AAAsf Class A-SB 95001RAV1; LT AAAsf Affirmed; previously AAAsf Class B 95001RBB4; LT AA-sf Affirmed; previously AA-sf Class C 95001RBC2; LT A-sf Affirmed; previously A-sf Class D 95001RAC3; LT BBB-sf Affirmed; previously BBB-sf Class E-RR 95001RAE9; LT BBB-sf Affirmed; previously BBB-sf Class F-RR 95001RAG4; LT BB-sf Affirmed; previously BB-sf Class G-RR 95001RAJ8; LT B-sf Affirmed; previously B-sf Class X-A 95001RAY5; LT AAAsf Affirmed; previously AAAsf Class X-B 95001RAZ2; LT AA-sf Affirmed; previously AA-sf Class X-D 95001RAA7; LT BBB-sf Affirmed; previously BBB-sf KEY RATING DRIVERS Increased Loss Expectations/Fitch Loans of Concern: Loss expectations have increased since issuance, primarily attributable to the Fitch Loans of Concern (FLOCs). Fitch has designated seven loans as FLOCs (22.4% of the pool), including four loans in the top 15. Fitch's analysis includes an additional haircut to the NOI or most recent appraised value for the FLOCs, which contributes to the Negative Rating Outlooks on classes F-RR and G-RR. The largest FLOC is the Sheraton Grand Nashville Downtown (7.3% of the pool). The loan is secured by a 482-key full-service hotel located in downtown Nashville, TN. The loan transferred to special servicing in June 2020 due to payment default; the loan is 90+ days delinquent as of the October 2020 distribution. The borrower submitted a loan modification request, which is currently under review by the servicer. As of the TTM May 2020 STR report, occupancy, ADR and RevPAR decreased to 62%, $223 and $138, respectively, from 79.8%, $232 and $185 at YE 2019. The STR report also noted that 125 new hotels totaling 16,749 rooms are currently either in the planning stages or under construction in the Nashville market. The servicer-reported NOI debt service coverage ratio (DSCR) was 2.81x as of YE 2019. The second largest FLOC is Riverworks (2% of the pool). The subject is a suburban office property located approximately six miles west of downtown Boston, MA. The two largest tenants have leases expiring in the next 12 months. The largest tenant is a sublease tenant through October 2020. The subtenant is Markforged, Inc. (21.9% of NRA), a 3D printer manufacturer, which has been headquartered at the property since 2018. The second largest tenant is New England Research Institutes (17.2% NRA), a contract research organization, with two, five-year renewal options available. The January 2020 servicer site inspection showed the property to be in good condition, and both tenants are currently paying below market rental rates. The third largest FLOC is the Starwood Hotel Portfolio (3.6% of the pool). The collateral includes 22 hotels spread throughout 12 states. The portfolio's performance is expected to decline through 2020 and into 2021, as a result of the coronavirus pandmic's effect on travel. The TTM March 2020 occupancy, ADR and RevPAR were 69%, $114 and $79, respectively, compared to 72%, $115 and $83 at YE 2019. The last remaining FLOC in the top 15 is 35 Claver Place (2.6% of the pool). The loan is secured by a 44-unit garden-style multifamily property in Brooklyn's Clinton Hill neighborhood. It is a FLOC due to missed debt service payments. According to servicer reporting, the loan has been behind on payments every month since April, and missed the September and October payments altogether. Minimal Changes to Credit Enhancement (CE): As of the October 2020 distribution, the pool's aggregate principal balance has been paid down by 0.7% to $827 million from $834 million at issuance. All 52 loans remain in the pool. Twenty-one loans representing 48.5% of the pool are interest only for the full term. An additional 17 loans representing 23.9% of the pool were structured with partial interest-only periods. Of these loans, 14 (20.5% of the pool) have yet to begin amortizing. Coronavirus Exposure: Fitch expects significant economic impact to certain hotels, retail and multifamily properties from the coronavirus pandemic, due to the sudden reductions in travel and tourism, temporary property closures and lack of clarity at this time on the potential duration of containment measures. The pool's property type concentrations for retail, hotel and multifamily loans are 20.4%, 17.6% and 15.4%, respectively. Fitch's base case analysis included additional stresses to six hotels (10.3% of the pool), three retail loans (8.6% of the pool) and three multifamily loans (2% of the pool) due to their vulnerability to the coronavirus pandemic. These additional stresses contributed to the Negative Rating Outlooks on classes F-RR and G-RR. Investment-Grade Credit Opinion Loans: At issuance, three loans (6.9% of the pool) received investment-grade credit opinions: Christiana Mall (3.4%) received a stand-alone credit opinion of 'AA-sf'; Aventura Mall (2.4%) received a stand-alone credit opinion of 'Asf'; and Fair Oaks Mall (1.1%) received a stand-alone credit opinion of 'BBB-sf'. RATING SENSITIVITIES The Negative Outlooks on classes F-RR and G-RR reflect concerns for the FLOCs, one of which is the second largest loan and is in special servicing. The Stable Outlooks on the remaining classes reflects the overall stable performance of the pool and sufficient CE relative to expected losses, and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades of classes B and C could occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. Upgrades to classes D and E-RR would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to classes F-RR and G-RR are unlikely absent significant performance improvement and stabilization of the FLOCs. Factors that could, individually or collectively, lead to a negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to the classes rated 'AAAsf' and 'AA-sf' are not likely due to the high CE relative to expected losses and amortization, but could occur if there are interest shortfalls. Classes C and D may be downgraded if additional loans transfer to special servicing or the loan currently in special servicing disposes at a lower than expected recovery. Class E-RR may be downgraded if performance of the FLOCs continues to decline. Classes F-RR and G-RR may be downgraded if the loan in special servicing is not resolved in the near term, or the value of the asset continues to decline. The Negative Rating Outlooks may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks will be downgraded one or more categories. WELLS FARGO 2020-5: Fitch Assigns B+sf Rating on Cl. B-5 Debt ------------------------------------------------------------- Fitch Ratings assigns the following ratings to Wells Fargo Mortgage-Backed Securities 2020-5 Trust (WFMBS 2020-5): RATING ACTIONS WFMBS 2020-5 Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-2; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-3; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-5; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-6; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-7; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-8; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-9; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-10; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-11; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-12; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-13; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-14; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-15; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-16; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-17; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-18; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-19; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-20; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO2; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO3; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO4; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO5; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO6; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO7; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO8; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO9; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO10; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO11; LT AAAsf New Rating; previously at AAA(EXP)sf Class B-1; LT AA+sf New Rating; previously at AA+(EXP)sf Class B-2; LT Asf New Rating; previously at A(EXP)sf Class B-3; LT BBB+sf New Rating; previously at BBB+(EXP)sf Class B-4; LT BB+sf New Rating; previously at BB+(EXP)sf Class B-5; LT B+sf New Rating; previously at B+(EXP)sf Class B-6; LT NRsf New Rating; previously at NR(EXP)sf TRANSACTION SUMMARY Subsequent changes to the collateral and certificate balances had no effect on Fitch's expected losses or ratings. The certificates are supported by 493 prime fixed-rate mortgage loans with a total balance of approximately $457 million as of the cutoff date. All of the loans were originated by Wells Fargo Bank, N.A (Wells Fargo). This is the eleventh post-crisis issuance from Wells Fargo. KEY RATING DRIVERS Revised GDP Due to the Coronavirus (Negative): The coronavirus and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for U.S. GDP growth is currently a 4.4% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the coronavirus, an Economic Risk Factor (ERF) floor of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss model) was applied to 'BBBsf' and below. Expected Payment Deferrals Related to the Coronavirus (Negative): The outbreak of the coronavirus and widespread containment efforts in the U.S. will result in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 25% of the pool for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy delinquencies and past-due payments following Hurricane Maria in Puerto Rico. Payment Forbearance (Mixed): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan. Additionally, any loan that enters a coronavirus forbearance plan between the cutoff date and prior to or on the closing date will be removed from the pool (at par) within 30 days of closing. For borrowers who enter a coronavirus forbearance plan post-closing, the P&I advancing party will advance delinquent P&I during the forbearance period. If at the end of the forbearance period the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from available funds. Fitch increased its loss expectations by 10 bps for the 'BB+sf' ratings categories and below to address the potential for writedowns due to reimbursements of servicer advances. This increase is based on a servicer reimbursement scenario analysis which incorporated collateral similar to WFMBS 2020-5. Fitch did not adjust its loss expectations above 'BB+sf' because the agency's model output levels were sufficiently lower than its loss floors for 30-year collateral. Full Servicer Advancing (Neutral): The pool benefits from advances of delinquent P&I until the servicer, Wells Fargo, the primary servicer of the pool, deems them nonrecoverable. Fitch's loss severities reflect reimbursement of amounts advanced by the servicer from liquidation proceeds based on its liquidation timelines assumed at each rating stress. In addition, the credit enhancement (CE) for the rated classes has some cushion for recovery of servicer advances for loans that are modified following a payment forbearance. Very High-Quality Mortgage Pool (Positive): The collateral attributes are among the strongest of post-crisis RMBS rated by Fitch. The pool consists primarily of 30-year fixed-rate fully amortizing loans to borrowers with strong credit profiles, low leverage and large liquid reserves. All loans are Safe Harbor Qualified Mortgages (SHQM). The loans are seasoned an average of approximately four months. The pool has a weighted average (WA) original FICO score of 777, which is indicative of very high credit-quality borrowers. Approximately 85% has original FICO scores at or above 750. In addition, the original WA CLTV ratio of 72.5% represents substantial borrower equity in the property. The pool's attributes, together with Wells Fargo's sound origination practices, support Fitch's very low default risk expectations. High Geographic Concentration (Negative): Approximately 57% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in San Francisco MSA (22.7%) followed by the New York MSA (12.3%) and the San Jose MSA (12.3%). The top three MSAs account for 47.2% of the pool. As a result, an additional penalty of approximately 7% was applied to the pool's lifetime default expectations. Low Operational Risk (Positive): Operational risk is very well controlled for in this transaction. Wells Fargo has an extensive operating history in residential mortgage originations and is assessed as an 'Above Average' originator by Fitch. The entity has a diversified sourcing strategy and uses an effective proprietary underwriting system for its retail originations. Wells Fargo will perform primary and master servicing for this transaction; these functions are rated 'RPS1-' and 'RMS -', respectively, which are among Fitch's highest servicer ratings. Fitch revised the Outlook for both servicers to Negative from Stable earlier in 2020 due to the changing economic landscape. The expected losses at the 'AAAsf' rating stress were reduced by approximately 56 bps to reflect these strong operational assessments. Tier 2 R&W Framework (Neutral): While the loan-level representations and warranties (R&Ws) for this transaction are substantially in conformity with Fitch criteria, the framework has been assessed as a Tier 2 due to the narrow testing construct, which limits the breach reviewers' ability to identify or respond to issues not fully anticipated at closing. The Tier 2 assessment and the strong financial condition of Wells Fargo as R&W provider resulted in a neutral impact to the CE. In response to the coronavirus and in an effort to focus breach reviews on loans that are more likely to contain origination defects that led to or contributed to the delinquency of the loan, Wells Fargo added additional carve-out language relating to the delinquency review trigger for certain Disaster Mortgage Loans that are modified or delinquent due to disaster-related loss mitigation (including the coronavirus). This is discussed further in the Asset Analysis section. Due Diligence Review Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction pool. The review was performed by Clayton, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. Fitch assessed 99.8% of the loans a final grade of 'A' or 'B', which reflects strong origination practices. Loans with a final grade of 'B' were supported with sufficient compensating factors or were already accounted for in Fitch's loan loss model. One loan was graded 'C' due to a material property valuation exception where the secondary review value yielded a negative variance greater than 10% of the original appraisal value. Fitch applied the lower of the values to calculate the LTV. The adjustment did not have a material impact on the expected loss levels. Loans with due diligence receive a credit in the loss model; the aggregate adjustment reduced the 'AAAsf'-expected losses by 13 bps. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified CE levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.05% of the original balance will be maintained for the senior certificates. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts, reviewer fees and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $350,000 per annum, with the exception of independent reviewer breach review fee, which can be carried over each year, subject to the cap until paid in full. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to a negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words, positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton Services LLC. The third-party due diligence described in Form 15E focused on a compliance review, credit review and valuation review. The due diligence company performed a review on 100% of the loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: loans with due diligence received a credit in the loss model. This adjustment reduced the 'AAAsf'-expected losses by 13 bps. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG CONSIDERATIONS WFMBS 2020-5 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in WFMBS 2020-5, including strong R&W and transaction due diligence and a strong originator and servicer, which resulted in a reduction in expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. Except for the matters discussed, the highest level of ESG credit relevance, if present, is a score of '3'. 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. WELLS FARGO 2020-5: Moody's Assigns Ba2 Rating on Cl. B-5 Debt -------------------------------------------------------------- Moody's Investors Service assigned definitive ratings to 25 classes of residential mortgage-backed securities (RMBS) issued by Wells Fargo Mortgage Backed Securities 2020-5 Trust. The ratings range from Aaa (sf) to Ba2 (sf). WFMBS 2020-5 is the sixth prime issuance by Wells Fargo Bank, N.A. (Wells Fargo Bank, the sponsor and mortgage loan seller) in 2020, consisting of 435 primarily 30-year, fixed rate, prime residential mortgage loans with an unpaid principal balance of $390,538,860. The pool has strong credit quality and consists of borrowers with high FICO scores, significant equity in their properties and liquid cash reserves. The pool has clean pay history and weighted average seasoning of approximately 2.96 months. The mortgage loans for this transaction are originated by Wells Fargo Bank, through its retail channel, in accordance with its underwriting guidelines. In this transaction, all 435 loans are designated as qualified mortgages (QM) under the QM safe harbor rules. Wells Fargo Bank will service all the loans and will also be the master servicer for this transaction. In response to the COVID-19 national emergency, Wells Fargo has temporarily transitioned to allowing exterior-only appraisals, instead of a full interior and exterior inspection of the subject property, on many mortgage transactions. Majority of the loan pool, approximately 73.92% by unpaid principal balance, does not have a full appraisal that includes an exterior and an interior inspection of the property. Instead, these loans have an exterior-only appraisal. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2020-5 Trust Cl. A-1, Assigned Aaa (sf) Cl. A-2, Assigned Aaa (sf) Cl. A-3, Assigned Aaa (sf) Cl. A-4, Assigned Aaa (sf) Cl. A-5, Assigned Aaa (sf) Cl. A-6, Assigned Aaa (sf) Cl. A-7, Assigned Aaa (sf) Cl. A-8, Assigned Aaa (sf) Cl. A-9, Assigned Aaa (sf) Cl. A-10, Assigned Aaa (sf) Cl. A-11, Assigned Aaa (sf) Cl. A-12, Assigned Aaa (sf) Cl. A-13, Assigned Aaa (sf) Cl. A-14, Assigned Aaa (sf) Cl. A-15, Assigned Aaa (sf) Cl. A-16, Assigned Aaa (sf) Cl. A-17, Assigned Aaa (sf) Cl. A-18, Assigned Aaa (sf) Cl. A-19, Assigned Aaa (sf) Cl. A-20, Assigned Aaa (sf) Cl. B-1, Assigned Aa3 (sf) Cl. B-2, Assigned A2 (sf) Cl. B-3, Assigned Baa2 (sf) Cl. B-4, Assigned Baa3 (sf) Cl. B-5, Assigned Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale In response to COVID-19, Wells Fargo Home Lending (WFHL) has temporarily been allowing exterior-only appraisals. The majority of the mortgage loans (73.92% by unpaid principal balance) have been evaluated using this alternative exterior-only appraisal method. Since the exterior-only appraisal only covers the outside of the property there is a risk that the property condition cannot be verified to the same extent had the appraiser been provided access to the interior of the home. Moody's did not make any adjustments to its losses for such loans primarily because (i) substantial percentage of the exterior only appraisal loans are Wells Fargo rate/term refinance transactions where (a) majority of the original appraisals were performed within the past 48 months, (b) the differences in value between the original and current appraisals were reasonable and (c) the loans had substantial amount of reserves of $416,194 on an average, and (ii) for purchase only loans Wells Fargo's review process includes looking at photographs and other information available on publicly available databases. This is further mitigated because (iii) all of the mortgage loans are owner occupied with strong credit characteristics, such as high FICOs, low LTVs and DTI ratios, and significant liquid cash reserves, and it is unlikely that homeowners with equity in their homes and resources would not properly maintain their properties, (iv) all of the mortgage loans have a history of at least two monthly payments, indicating that the borrowers have not found any major issues with the interiors of the property that would prevent them from paying the mortgage as required, (v) the reliability of Wells Fargo's property valuation policies and procedures, experienced valuation team, robust appraisal oversight, along with a well-defined scope of work for exterior-only appraisals helps to remove uncertainty risks associated with lack of the full-appraisals for such mortgage loans, and (vi) such mortgage loans were not adversely selected for inclusion in this transaction but representative of Wells Fargo's portfolio of loans originated during the same period. Moody's expected loss for this pool in a baseline scenario-mean is 0.21% and reaches 3.03% at a stress level consistent with its Aaa ratings. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. The contraction in economic activity in the second quarter was severe and the overall recovery in the second half of the year will be gradual. However, there are significant downside risks to its forecasts in the event that the pandemic is not contained and lockdowns have to be reinstated. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (8.14% for the mean) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the coronavirus outbreak. Moody's bases its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral Description The WFMBS 2020-5 transaction is a securitization of 435 first lien residential mortgage loans with an unpaid principal balance of $390,538,860 as of the cut-off date. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 782 and a weighted-average original loan-to-value ratio (LTV) of 72.2%. In addition, 4.43% of the borrowers are self-employed; rate-and-term refinance and cash-out loans comprise approximately 36.06% of the aggregate pool (inclusive of construction to permanent loans). 5.76% (by loan balance) of the pool comprises construction to permanent loans. The construction to permanent is a two-part loan where the first part is for the construction and then it becomes a permanent mortgage once the property is complete. For such loans in the pool, the construction was complete and because the borrower cannot receive cash from the permanent loan proceeds or anything above the construction cost, Moody's treated these loans as a rate term refinance rather than a cash out refinance loan. The pool has a high geographic concentration with 51.32% of the aggregate pool located in California and 14.36% located in the New York-Newark-Jersey City MSA. Origination Quality Exterior-Only Appraisals: Its assessment of an originator's property valuation capabilities focuses primarily on the types of valuation techniques lenders use and which products are subsequently utilized to validate the soundness of the primary source of valuation in originations. Starting on March 26, 2020, Wells Fargo Bank suspended the use of interior appraisals and introduced the use of exterior-only appraisals for specific non-conforming transactions due to the health and safety concerns associated with COVID-19. Wells Fargo Bank implemented certain changes to underwriting guidelines such as the requirement of potential borrowers to (i) exit any forbearance plan on any prior mortgage loan prior to applying for a new loan from Wells Fargo Bank and (ii) provide documentary evidence of on-time payment of mortgage, rent and/or HELOC, as applicable, for the past three consecutive months. This requirement was put in place because of inconsistencies around credit reporting for customers in forbearance. Other changes to underwriting guidelines, include (i) a verbal verification of employment for all salaried and self-employed borrowers within 10 business days of the note date, (ii) exclusion of rental income to satisfy income requirement to qualify for a mortgage loan, (iii) reduction in maximum permitted DTI, (iv) reduction in maximum LTV/CLTV for second home purchase and rate/term refinance loans, and (v) increase in post-close liquidity requirement. Some of the credit policy changes include suspension of non-conforming loan origination via correspondent channel and addition of restrictions for non-conforming loan originations via retail channel. Wells Fargo Bank, N.A. (long term debt Aa2) is an indirect, wholly-owned subsidiary of Wells Fargo & Company (long term debt A2). Wells Fargo & Company is a U.S. bank holding company with approximately $1.97 trillion in assets and approximately 266,000 employees as of June 30, 2020, which provides banking, insurance, trust, mortgage and consumer finance services throughout the United States and internationally. Wells Fargo Bank has sponsored or has been engaged in the securitization of residential mortgage loans since 1988. Wells Fargo Home Lending is a key part of Wells Fargo & Company's diversified business model. The mortgage loans for this transaction are originated by WFHL, through its retail channel, generally in accordance with its underwriting guidelines. The company uses a solid loan origination system which include embedded features such as a proprietary risk scoring model, role-based business rules and data edits that ensure the quality of loan production. After considering the company's origination practices, Moody's made no additional adjustments to its base case and Aaa loss expectations for origination. Third Party Review (TPR) One independent third-party review firm, Clayton Services LLC, was engaged to conduct due diligence for the credit, regulatory compliance, property valuation and data accuracy for all of the 497 loans in the initial population of this transaction. For an initial population of 497 loans, Clayton Services LLC identified 479 loans with level A and 18 loans with level B credit component grades. Most of the level B loans were underwritten using underwriter discretion. Areas of discretion included documents not supporting minor guideline requirements, insufficient cash reserves, length of mortgage/rental history, and explanation for other multiple credit exceptions. The due diligence firm noted that these exceptions are minor and/or provided an explanation of compensating factors. Clayton Services LLC identified 13 loans with level B compliance issues and the remaining 484 loans received level A grade. The identified compliance issues were primarily related to Right of Rescission and TRID exceptions and are not considered material. Clayton Services LLC identified 496 loans with level A and one (1) loan with level C property valuation grade. For the one (1) level C loan there is finding related to property valuation review, because Clayton determined that the appraisal value used in the origination of such mortgage loan was not supported by field review within a negative 10% variance. Low DTI and LTV were cited as compensating factors. Representation & Warranties (R&W) Wells Fargo Bank, as the originator, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when loans become 120 days delinquent, the property is liquidated at a loss above a certain threshold, or the loan is modified by the servicer. Similar to J.P. Morgan Mortgage Trust (JPMMT) transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. It should be noted that exceptions exist for certain excluded disaster mortgage loans that trip the delinquency trigger. These excluded disaster loans include COVID-19 forbearance loans or any other loan with respect to which (a) the related mortgaged property is located in an area that is subject to a major disaster declaration by either the federal or state government and (b) has either been modified or is being reported delinquent by the servicer as a result of a forbearance, deferral or other loss mitigation activity relating to the subject disaster. Such excluded disaster mortgage loans may be subject to a review in future periods if certain conditions are satisfied. Overall, Moody's believes that Wells Fargo Bank's robust processes for verifying and reviewing the reasonableness of the information used in loan origination along with effectively no knowledge qualifiers mitigates any risks involved. Wells Fargo Bank has an anti-fraud software tools that are integrated with the loan origination system and utilized pre-closing for each loan. In addition, Wells Fargo Bank has a dedicated credit risk, compliance and legal teams oversee fraud risk in addition to compliance and operational risks. Moody's did not make any additional adjustment to its base case and Aaa loss expectations for R&Ws. Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.20% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.20% of the closing pool balance. Moody's calculates the credit neutral floors for a given target rating as shown in its principal methodology. The senior subordination floor of 1.20% and subordinate floor of 1.20% are consistent with the credit neutral floors for the assigned ratings. Transaction Structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period of time and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. All certificates in this transaction are subject to a net WAC cap. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Servicing Arrangement In WFMBS 2020-5, unlike other prime jumbo transactions, Wells Fargo Bank acts as servicer, master servicer, securities administrator and custodian of all of the mortgage loans for the deal. The servicer will be primarily responsible for funding certain servicing advances and delinquent scheduled interest and principal payments for the mortgage loans, unless the servicer determines that such amounts would not be recoverable. The master servicer and servicer will be entitled to be reimbursed for any such monthly advances from future payments and collections (including insurance and liquidation proceeds) with respect to those mortgage loans. In the case of the termination of the servicer, the master servicer must consent to the trustee's selection of a successor servicer, and the successor servicer must have a net worth of at least $15 million and be Fannie or Freddie approved. The master servicer shall fund any advances that would otherwise be required to be made by the terminated servicer (to the extent the terminated servicer has failed to fund such advances) until such time as a successor servicer is appointed. Additionally, in the case of the termination of the master servicer, the trustee will be required to select a successor master servicer in consultation with the depositor. The termination of the master servicer will not become effective until either the trustee or successor master servicer has assumed the responsibilities and obligations of the master servicer which also includes the advancing obligation. After considering Wells Fargo Bank's servicing practices, Moody's did not make any additional adjustment to its losses. COVID-19 Impacted Borrowers As of the cut-off date, no borrower under any mortgage loan has entered into a COVID-19 related forbearance plan with the servicer. The mortgage loan seller will covenant in the mortgage loan purchase agreement to repurchase at the repurchase price within 30 days of the closing date any mortgage loan with respect to which the related borrower requests or enters into a COVID-19 related forbearance plan after the cut-off date but on or prior to the closing date. In the event that after the closing date a borrower enters into or requests a COVID-19 related forbearance plan, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower of a mortgage loan, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, the servicer anticipates it will modify such mortgage loan and any forborne amounts will be deferred as a non-interest bearing balloon payment that is due upon the maturity of such mortgage loan. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Wells Fargo Bank will recover advances made during the period of Covid-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. WFRBS COMMERCIAL 2013-C15: Fitch Lowers Class F Certs to Csf ------------------------------------------------------------ Fitch Ratings has downgraded six and affirmed five classes of WFRBS Commercial Mortgage Trust (WFRBS) Commercial Mortgage Pass-Through Certificates, series 2013-C15. RATING ACTIONS WFRBS 2013-C15 Class A-3 92938CAC1; LT AAAsf Affirmed; previously AAAsf Class A-4 92938CAD9; LT AAAsf Affirmed; previously AAAsf Class A-S 92938CAF4; LT AAAsf Affirmed; previously AAAsf Class A-SB 92938CAE7; LT AAAsf Affirmed; previously AAAsf Class B 92938CAH0; LT Asf Downgrade; previously AA-sf Class C 92938CAJ6; LT BBsf Downgrade; previously A-sf Class D 92938CAL1; LT CCCsf Downgrade; previously BBB-sf Class E 92938CAN7; LT CCsf Downgrade; previously CCCsf Class F 92938CAQ0; LT Csf Downgrade; previously CCsf Class PEX 92938CAK3; LT BBsf Downgrade; previously A-sf Class X-A 92938CAG2; LT AAAsf Affirmed; previously AAAsf KEY RATING DRIVERS Increased Loss Expectations: The downgrade of classes B, C, D, E, F and PEX and Negative Rating Outlooks on classes A-S, B, C, PEX and X-A reflect increased loss expectations on the two underperforming regional mall loans, Kitsap Mall and Carolina Place, which comprise 19.4% of the pool. Fitch previously applied an outsized loss of 25% as a sensitivity on Kitsap Mall at the prior rating action in April 2020; however, this has now been increased to approximately 50% in the base case scenario due the significant performance deterioration as a result of the coronavirus pandemic and the expected consensual transfer of title back to the lender. Fitch previously modeled no loss on Carolina Place at the prior rating action; however, this has increased to approximately 40% due to performance deterioration exacerbated by the coronavirus pandemic, significant lease rollover prior to maturity, declining occupancy and sales since issuance, limited leasing progress on the vacant anchor spaces and significant market competition. Fitch Loans of Concern: Eleven loans (39.6%) are Fitch Loans of Concern (FLOCs), including four specially serviced loans/assets (11.8%). The largest contributor to Fitch's overall loss expectation and the largest increase in loss since the prior rating action is the specially serviced Kitsap Mall loan (9.6%), which is secured by a 580,000-sf collateral portion of a 762,000-sf regional mall located in Silverdale, WA. The subject is the only regional mall within its trade area, with the nearest competing mall located 33 miles south in Tacoma. The loan transferred to special servicing in May 2020 due to imminent default. The sponsor, Starwood Capital Group, has indicated its intent to convey title to the trust. Collateral anchors include JCPenney (27.1% of collateral NRA; lease through August 2023) and Macy's (20.9%; January 2024). Kohl's is the sole non-collateral tenant after Sears closed in October 2019. Per the June 2020 rent roll, total mall occupancy was 82% and collateral occupancy was 95%. Inline sales have increased to $458 psf in 2019, from $406 psf in 2018, $430 psf in 2017 and $389 psf at issuance. Macy's sales declined to $121 psf at YE 2019 from $123 psf at YE 2018, $133 psf at YE 2017 and $184 psf at issuance. The servicer-reported NOI DSCR fell to 1.44x as of YE 2019 from 1.82x at YE 2018. The loan began amortizing in August 2019. Although YE 2019 inline sales have shown improvement from issuance and collateral occupancy remains relatively stable, revenues have dropped significantly as a result of the pandemic as multiple tenants having been granted or in the process of requesting rent deferral/abatement. The property was closed in mid-March 2020 as a result of the pandemic and reopened in early June. The second largest contributor to Fitch's overall loss expectation and next largest increase in loss since the prior rating action is the Carolina Place loan (9.9%), which is secured by a 693,000-sf collateral portion of a 1.2 million-sf regional mall located in Pineville, NC. The loan is sponsored by a joint venture between Brookfield Properties Retail Group and the New York State Common Retirement Fund. Collateral occupancy fell to 75.6% as of the June 2020 rent roll from 99.3% at YE 2018 after Sears (22.8%) vacated in January 2019. JCPenney (17.3%) is the sole remaining collateral anchor and Dillard's and Belk are non-collateral anchors. Per the June 2020 rent roll, leases totaling 47.4% of NRA expire prior to the June 2023 maturity, including JCPenney in May 2023. Inline sales were $383 psf in 2019, compared with $376 psf in 2018, $383 psf in 2017 and $412 psf at issuance. JCPenney reported declining sales of $88 psf as of YE 2019 from $93 psf at YE 2018 and YE 2017 and $157 psf at issuance. The servicer-reported NOI DSCR fell slightly to 1.84x as of YE 2019 from 1.90x at YE 2018. In addition, there are four competing malls within a 20-mile radius of the subject, the largest being the Simon-owned SouthPark Mall located seven miles to the north and anchored by Belk, Neiman Marcus, Nordstrom, Dillard's, Macy's and Dick's Sporting Goods. Fitch expects the loan will transfer to special servicing due to refinance concerns given the low occupancy and sales, substantial lease roll and stronger nearby competition. The specially serviced loans outside of the top 15 include two REO vacant Gander Mountain stores (1.1%) located in Valdosta, GA and Opelika, AL; a REO anchored retail property (0.6%) located in North Olmsted, OH that was formerly anchored by Babies "R" Us and an 81-key extended stay hotel (0.5%) located in College Station, TX that already had pre-pandemic concerns due to oversupply. Five additional FLOCs (16.4%) are secured by hotel properties that have experienced declining performance due to the coronavirus pandemic. Increased Credit Enhancement (CE): As of the October 2020 distribution date, the pool's aggregate principal balance has been paid down by 28.4% to $792.1 million from $1.107 billion at issuance. Since issuance, 15 loans (20.6% of the original pool balance) have paid off or disposed, including four loans in the past year. Realized losses to date total $20.4 million (1.8%) following the dispositions of the REO Holiday Inn Express & Suites - Sydney and Cleveland Airport Marriott assets in July 2019 and July 2020, respectively. Fifteen loans (11.6% of the current pool balance) are fully defeased. Three loans (14.6%) are full-term, IO, including the largest loan in the pool; all other remaining loans (85.4%) are currently amortizing. Loan maturities are concentrated in 2023 (96.5%), with one loan maturing in 2020 (0.5%) and two loans in 2028 (1.2%). Cumulative interest shortfalls totaling $2.1 million are currently affecting the non-rated class G. Coronavirus Exposure: Seven loans (18.0%) are secured by hotel properties. The weighted average (WA) NOI DSCR for the hotel loans is 2.48x; these hotel loans could sustain a decline in NOI of 57.5% before NOI DSCR falls below 1.0x. Sixteen loans (46.0%) are secured by retail properties, including three regional malls (33.3%) in the top five loans. The WA NOI DSCR for the retail loans is 2.27x; these retail loans could sustain a decline in NOI of 66.0% before DSCR falls below 1.0x. Fitch applied additional stresses to two hotel loans and five retail loans to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Rating Outlooks on classes A-S, B, C, PEX and X-A. The largest loan in the pool is the Brookfield-sponsored Augusta Mall (13.9%), which is secured by a 500,000-sf collateral portion of a 1.1 million-sf, two-story super-regional mall located in Augusta, GA. Non-collateral anchors are Dillard's, JCPenney and Macy's. The non-collateral Sears closed in April 2020. Large collateral tenants include Dick's Sporting Goods (12.4% of NRA; through January 2023), Barnes & Noble (5.8%; January 2024), H&M (4.6%; January 2025) and Forever 21 (3.2%; January 2023). Collateral occupancy was 92.7% and total mall occupancy was 82.3% as of the June 2020 rent roll. Inline sales were $514 psf including Apple ($434 psf excluding Apple) in 2019; $482 ($421) for 2018; $460 ($407) for 2017 and $444 ($406) at issuance. The servicer-reported NOI DSCR on this full-term, IO loan was 3.86x as of YE 2019. RATING SENSITIVITIES The Negative Rating Outlooks on classes A-S, B, C, PEX and X-A reflect the potential for further downgrades due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs, primarily the Carolina Place and Kitsap Mall loans. The Stable Rating Outlooks on classes A-SB, A-3 and A-4 reflect the increased CE from paydowns and defeasance, continued expected amortization and relatively stable performance of the majority of the pool. Factors that Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: An upgrade of class B would only occur with significant improvement in CE, and/or defeasance, but is not likely unless the FLOCs stabilize. Upgrades to classes C and PEX are also not likely until the FLOCs stabilize, but would be limited based on sensitivity to loan and pool concentrations. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to classes D, E and F are unlikely absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans. Factors that Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the super-senior classes A-SB, A-3 and A-4 are not likely due to the position in the capital structure, but may occur should interest shortfalls impact the classes. Downgrades to classes A-S and X-A may occur should interest shortfalls impact the classes and/or should all of the loans susceptible to the coronavirus pandemic suffer losses. Further downgrades to classes B, C and PEX would occur should performance of the FLOCs continue to decline and/or loss expectations on the Carolina Place and Kitsap Mall increase significantly. Further downgrades to classes D, E and F would occur with increased certainty of losses or as losses are realized. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects further negative rating actions, including additional downgrades and/or Negative Rating Outlook revisions. WFRBS COMMERCIAL 2013-C15: Moody's Lowers Class C Debt to Ba1 ------------------------------------------------------------- Moody's Investors Service affirmed the ratings on five classes and downgraded the ratings on three classes in WFRBS Commercial Mortgage Trust 2013-C15 as follows: Cl. A-3, Affirmed Aaa (sf); previously on November 14, 2019 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on November 14, 2019 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on November 14, 2019 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on November 14, 2019 Affirmed Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on November 14, 2019 Affirmed Aa3 (sf) Cl. C, Downgraded to Ba1 (sf); previously on November 14, 2019 Affirmed A3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on November 14, 2019 Affirmed Aaa (sf) Cl. PEX**, Downgraded to Baa1 (sf); previously on November 14, 2019 Affirmed A1 (sf) * Reflects interest-only classes ** Reflects exchangeable classes RATINGS RATIONALE The ratings on four P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the P&I classes, Cl. B and Cl. C, were downgraded due to a decline in pool performance and higher anticipated losses driven primarily from Kitsap Mall (9.6% of the pool), which was already experiencing declining net operating income (NOI) prior to the coronavirus pandemic. The rating on the IO class was affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class, Cl. PEX, was downgraded due to a decline in credit quality of the referenced exchangeable classes. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of commercial real estate from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 10.9% of the current pooled balance, compared to 7.1% at Moody's last review. Moody's base expected loss plus realized losses is now 9.7% of the original pooled balance, compared to 5.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September. The principal methodology used in rating exchangeable classes was "Moody's Approach to Rating Repackaged Securities" published in June 2020. The methodologies used in rating interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. DEAL PERFORMANCE As of the October 19, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $792 million from $1.1 billion at securitization. The certificates are collateralized by 71 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans (excluding defeasance) constituting 60% of the pool. One loan, constituting 1% of the pool, has an investment-grade structured credit assessment. Fifteen loans, constituting 12% of the pool, have defeased and are secured by US government securities. The pool contains nineteen low leverage cooperative loans, constituting 6% of the pool balance, that were too small to credit assess; however, have Moody's leverage that is consistent with other loans previously assigned an investment grade Structured Credit Assessments. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 14, compared to 16 at Moody's last review. As of the October 2020 remittance report, loans representing 88% were current on their debt service payments. Twenty loans, constituting 36% of the pool, are on the master servicer's watchlist, of which two loans, representing 11% of the pool, indicate the borrower has requested relief in relation to coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $20.4 million (for an average loss severity of 50%). Four loans, constituting 12% of the pool, are currently in special servicing. Two of the specially serviced loans, representing 10% of the pool, have transferred to special servicing since March 2020. The largest specially serviced loan is the Kitsap Mall Loan ($75.8 million -- 9.6% of the pool), which is secured by a 533,480 square feet (SF) component of a 715,225 SF enclosed regional mall located on the Kitsap Peninsula in Silverdale, Washington, which is approximately 18 miles west of Seattle, Washington. The property is currently anchored by Kohl's (which is not part of the collateral), JC Penney (on a ground lease) and Macy's. One anchor space is currently vacant following the October 2019 closure of Sears (105,600 SF). Other major tenants include Barnes & Noble, Dick's Sporting Goods and H&M. As of the September 2020 rent roll, the collateral was 90% occupied and inline occupancy was 66%. As of the September 2020 rent roll, the mall was 92% leased, compared to 96% in December 2019 and 100% at securitization. The loan has amortized 2% since securitization. Property performance has declined, and the year-end 2019 net operating income (NOI) was nearly 31% lower than at securitization. The loan transferred to special servicing in May 2020 due to imminent monetary default. The loan is last paid through its March 2020 payment date, and a pre-negotiation letter has been executed. The borrower has indicated that the title will be handed back to the trust, and a receiver was appointed in August 2020. The second largest specially serviced loan is the Gander Mountain Portfolio Loan ($9.0 million -- 1% of the pool), which is secured by two single-tenant retail properties in Opelika Alabama and Valdosta, Georgia. The sole tenant in both of these properties, Gander Mountain, filed for Chapter 11 Bankruptcy in March 2017. As of September 2020, a lease was signed for a single tenant in the Opelika, Alabama property while the Valdosta, Georgia property remains vacant. The loan has amortized 13% since securitization. The loan transferred to special servicing in August 2017 due to imminent monetary default. The remaining two specially serviced loans are secured by a retail property and hotel and represent 1% of the pool. Moody's estimates an aggregate $59.9 million loss (64% expected loss on average) for the specially serviced loans. Moody's received full year 2019 operating results for 94% of the pool, and full or partial year 2020 operating results for 65% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 95% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 24% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.2%. Moody's actual and stressed conduit DSCRs are 1.67X and 1.22X, respectively, compared to 1.78X and 1.28X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the 33 Greenwich Owners Corp. Loan ($11 million -- 1% of the pool), which is secured by a residential cooperative located in Manhattan's Greenwich Village neighborhood. Moody's structured credit assessment is aaa. The top three conduit loans represent 34% of the pool balance. The largest loan is the Augusta Mall Loan ($110 million -- 14% of the pool), which represents a pari-passu portion of a $170 million mortgage loan. The loan is secured by a 500,000 SF portion of a 1.1 million SF super regional mall in Augusta, Georgia. The mall's anchors include Dillard's, Sears, Macy's, and JC Penney and each anchor is excluded from the loan collateral. As of June 2020, rent roll, the inline occupancy was 93%, compared to 96% as of December 2018. The loan is interest-only loan for the entire loan term. Moody's LTV and stressed DSCR are 107% and 0.96X, respectively, compared to 97% and 1.03X at the last review. The second largest loan is the Meritage Resort and Spa Loan ($81 million -- 10% of the pool), which is secured by a full-service independent hotel located in Napa, California. Amenities include a restaurant, wine bar, business center, bocce court, fitness room, pool, wine tasting rooms and a spa. The property was 66% occupied as of August 2020, compared to 63% as of June 2019. The loan benefits from amortization and Moody's LTV and stressed DSCR are 106% and 1.13X, respectively, compared to 83% and 1.44X at the last review. The third largest loan is the Carolina Place Loan ($78 million -- 10% of the pool), which represents a pari-passu portion of a $161 million mortgage loan. The loan is secured by a 647,511 SF component of a 1.2 million SF super-regional mall located in Pineville, North Carolina. The mall is anchored by Dillard's, Belk, Dick's Sporting Goods and JC Penney (all non-collateral anchors) Sears, a former collateral anchor tenant, vacated in early 2019. As of June 2020, rent roll, the total mall was 83% leased, compared to 73% in June 2019 and 99% in December 2018. As of the June 2020 rent roll, the collateral portion and in-line were 75% and 96% leased, respectively. After an initial three-year interest only period, the loan has amortized by 8% since securitization. Moody's LTV and stressed DSCR are 120% and 0.90X, respectively, compared to 107% and 0.98X at the last review. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. 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