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

              Sunday, December 6, 2020, Vol. 24, No. 340

                            Headlines

ARES LVII: S&P Assigns BB- Rating on $13MM Class E Notes
BANK 2020-BNK29: Fitch Assigns B-sf Rating on 2 Tranches
BENCHMARK 2020-B21: Fitch Assigns Bsf Rating on 2 Tranches
CITIGROUP COMMERCIAL 2020-420K: Moody's Rates Class E Certs Ba3
CITIGROUP MORTGAGE 2020-RP2: Fitch Rates Class B-2 Debt Bsf

CWALT INC 2007-2CB: Moody's Assigns Ca Rating on Cl. 2-A-15 Certs
CWMBS REPERFORMING 2004-R1: Moody's Cuts Class 1A-F Certs to Caa1
ELLINGTON CLO I: Moody's Lowers $43MM Cl. E-R Notes to B1
METLIFE 2020-INV1: S&P Assigns B Rating on Class B-5 Notes
PK AIR 1: S&P Assigns Prelim. B- Rating on 2 Tranches

WELLS FARGO 2020-C58: Fitch to Rate Class H-RR Certs 'B-sf'
[*] S&P Takes Various Actions on 77 Classes From 62 US RMBS Deals

                            *********

ARES LVII: S&P Assigns BB- Rating on $13MM Class E Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to Ares LVII CLO Ltd./Ares
LVII CLO LLC's 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 Ares CLO Management 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 management team, which can
    affect the performance of the rated notes through collateral
    selection, ongoing portfolio management, and trading; and

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

  Ratings Assigned

  Ares LVII CLO Ltd./Ares LVII CLO LLC

  Class X, $4.00 million: AAA (sf)
  Class A, $256.00 million: AAA (sf)
  Class B, $48.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $13.00 million: BB- (sf)
  Subordinated notes, $40.00 million: Not rated


BANK 2020-BNK29: Fitch Assigns B-sf Rating on 2 Tranches
--------------------------------------------------------
Fitch Ratings has assigned final ratings and rating Outlooks on
BANK 2020-BNK29, commercial mortgage pass-through certificates,
Series 2020-BNK29.

Fitch's ratings and rating Outlooks are as follows:

RATING ACTIONS

BANK 2020-BNK29

  -- $26,400,000 Class A-1 'AAAsf'; Outlook Stable

  -- $29,800,000 Class A-SB 'AAAsf'; Outlook Stable

  -- $188,000,000a Class A-3 'AAAsf'; Outlook Stable

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

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

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

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

  -- $335,123,000a Class A-4 'AAAsf'; Outlook Stable

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

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

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

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

  -- $579,323,000b Class X-A 'AAAsf'; Outlook Stable

  -- $132,417,000b Class X-B 'A-sf'; Outlook Stable

  -- $47,587,000a Class A-S 'AAAsf'; Outlook Stable

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

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

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

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

  -- $41,380,000 Class B 'AA-sf'; Outlook Stable

  -- $43,450,000 Class C 'A-sf'; Outlook Stable

  -- $47,587,000bc Class X-D 'BBB-sf'; Outlook Stable

  -- $13,448,000bc Class X-F 'BB+sf'; Outlook Stable

  -- $11,380,000bc Class X-G 'BB-sf'; Outlook Stable

  -- $10,345,000bc Class X-H 'B-sf'; Outlook Stable

  -- $25,862,000c Class D 'BBBsf'; Outlook Stable

  -- $21,725,000c Class E 'BBB-sf'; Outlook Stable

  -- $13,448,000c Class F 'BB+sf'; Outlook Stable

  -- $11,380,000c Class G 'BB-sf'; Outlook Stable

  -- $10,345,000c Class H 'B-sf'; Outlook Stable

The following classes are not rated by Fitch:

  -- $8,276,000bc Class X-J;

  -- $10,345,000bc Class X-K;

  -- $14,483,773bc Class X-L;

  -- $8,276,000c Class J;

  -- $10,345,000c Class K;

  -- $14,483,773c Class L;

  -- $43,558,146cd RR Interest.

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

(b) Notional amount and interest only.

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

(d) Non-offered vertical credit risk retention interest

The ratings are based on information provided by the issuer as of
Nov. 25, 2020.

Since Fitch published its presale on Nov. 17, 2020, the class
balances for class A-3 and A-4 have been finalized. At the time
that the expected ratings were published, the initial certificate
balances of classes A-3 and A-4 were unknown and expected to be
approximately $523,123,000 in aggregate, subject to a 5% variance.
The final class balances for classes A-3 and A-4 are $188,000,000
and $335,123,000, respectively.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 41 loans secured by 89
commercial properties having an aggregate principal balance of
$871,162,919 as of the cut-off date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of
America, National Association and Wells Fargo Bank, National
Association.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 44.9% of the properties
by balance, cash flow analyses of 94.7% of the pool and asset
summary reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes the COVID-19 disease) pandemic may have
an adverse impact on near-term revenue (i.e. bad debt expense, rent
relief) and operating expenses (i.e., sanitation costs) for some
properties in the pool. Delinquencies may occur in the coming
months as forbearance programs are put in place, although the
ultimate impact on credit losses will depend heavily on the
severity and duration of the negative economic impact of the
coronavirus pandemic, and to what degree fiscal interventions by
the U.S. federal government can mitigate the impact on consumers.
Per the offering documents, all of the loans are current and are
not subject to any forbearance requests. The 10th largest loan in
the pool, 1890 Ranch (3.4% of the cutoff) was granted three months
of forbearance during the months of June, July and August 2020 as a
result of the coronavirus pandemic. The borrower as since resumed
payments and is current on the loan, with all deferred payments
made up. Additionally, all deferred interest has been repaid,
reserve accounts were replenished and a three-month debt service
reserve established.

KEY RATING DRIVERS

Highly Concentrated Pool: The pool's 10 largest loans represent
65.1% of the pool's cutoff balance, which is greater than the YTD
2020 and 2019 averages of 55.9% and 51.0%, respectively. The pool's
LCI of 544 is considerably greater than the YTD 2020 and 2019
averages of 428 and 379, respectively. For this transaction, the
losses estimated by Fitch's deterministic test at 'AAAsf' exceeded
the base model loss estimate.

Average Fitch Leverage: Overall, the pool's Fitch DSCR of 1.34x is
slightly higher than average when compared to the YTD 2020 and 2019
averages of 1.31x and 1.26x, respectively. The pool's Fitch LTV of
103.6% is above the YTD 2020 average of 99.3%, and generally
in-line with the 2019 average of 103.0%.

Credit Opinion Loans: Three loans representing 17.2% of the pool by
balance have credit characteristics consistent with
investment-grade obligations on a stand-alone basis. Grace Building
(8.6% of the pool) received a stand-alone credit opinion of 'A-sf',
McDonald's Global HQ received a stand-alone credit opinion of
'Asf', and Turner Towers (2.9% of the pool) received a stand-alone
credit opinion of 'AAAsf'.

Below-Average Mortgage Coupons: The pool's weighted average (WA)
mortgage rate is 3.21%, which is well below historical levels. The
WA mortgage rate is below the YTD 2020 average mortgage rate of
3.67% and well below the 2019 average of 4.27%. Fitch accounted for
increased refinance risk in a higher interest rate environment by
incorporating an interest rate sensitivity that assumes an interest
rate floor of 5% for the term risk of most property types, 4.5% for
multifamily properties and 6.0% for hotel properties, in
conjunction with Fitch's stressed refinance constants, which were
9.59% on a WA basis.

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

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


BENCHMARK 2020-B21: Fitch Assigns Bsf Rating on 2 Tranches
----------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2020-B21 Mortgage Trust Commercial Mortgage Pass-Through
Certificates Series 2020-B21 as follows:

RATING ACTIONS

  -- $11,511,000 class A-1 'AAAsf'; Outlook Stable.

  -- $46,719,000 class A-2 'AAAsf'; Outlook Stable.

  -- $216,500,000 class A-4 'AAAsf'; Outlook Stable.

  -- $423,991,000 class A-5 'AAAsf'; Outlook Stable.

  -- $21,966,000 class A-AB 'AAAsf'; Outlook Stable.

  -- $819,782,000a class X-A 'AAAsf'; Outlook Stable.

  -- $99,094,000a class X-B 'A-sf'; Outlook Stable.

  -- $99,095,000 class A-S 'AAAsf'; Outlook Stable.

  -- $56,625,000 class B 'AA-sf'; Outlook Stable.

  -- $42,469,000 class C 'A-sf'; Outlook Stable.

  -- $46,330,000ab class X-D 'BBB-sf'; Outlook Stable.

  -- $18,017,000ab class X-F 'BBsf'; Outlook Stable.

  -- $10,296,000ab class X-G 'Bsf'; Outlook Stable.

  -- $25,739,000b class D 'BBBsf'; Outlook Stable.

  -- $20,591,000b class E 'BBB-sf'; Outlook Stable.

  -- $18,017,000b class F 'BBsf'; Outlook Stable.

  -- $10,296,000b class G 'Bsf'; Outlook Stable.

The following classes are not rated by Fitch:

  -- $36,034,836ab class X-H.

  -- $36,034,836b class H.

  -- $29,379,045bc RR Interest.

  -- $24,808,000bc RR Certificates.

(a)Notional amount and interest only (IO). (b)Privately placed and
pursuant to Rule 144A. (c)Vertical credit risk retention interest.

Since Fitch published its expected ratings on Nov. 17, 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
$640,491,000 in aggregate, subject to a variance of plus or minus
5%. The final class balances for classes A-4 and A-5 are
$216,500,000 and $423,991,000, respectively. The classes above
reflect the final ratings and deal structure.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 39 fixed-rate loans secured
by 74 commercial properties having an aggregate principal balance
of $1,083,740,881 as of the cutoff date. The loans were contributed
to the trust by Citi Real Estate Funding Inc., Goldman Sachs
Mortgage Company, JPMorgan Chase Bank, National Association and
German American Capital Corporation. Fitch reviewed a comprehensive
sample of the transaction's collateral, including site inspections
on 61.8% of the properties by balance, cashflow analysis of 93.6%
and asset summary reviews on 100% of the pool.

The ongoing containment efforts related to the coronavirus pandemic
may have an adverse impact on near-term revenue (i.e. bad debt
expense and 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
pandemic and to what degree fiscal interventions by the U.S.
government can mitigate the impact on consumers. Per the offering
documents, all loans are current and none are subject to any
forbearance requests; however, the sponsors for two loans, JW
Marriott Nashville (1.8% of the pool) and Willoughby Commons (1.8%
of the pool), have negotiated loan amendments/modifications.

KEY RATING DRIVERS

Lower Fitch Leverage than Recent Transactions: The pool has below
average leverage relative to other multiborrower transactions
recently rated by Fitch. The pool's Fitch loan-to-value ratio (LTV)
of 96.5% is lower than the YTD 2020 average of 99.3% and the 2019
average of 103.0%. The pool's Fitch debt service coverage ratio
(DSCR) of 1.31x is consistent with the YTD 2020 average of 1.31x
and improved from the 2019 average of 1.26x. Excluding credit
opinion loans, the pool's weighted average (WA) Fitch DSCR and LTV
are 1.24x and 111.8%, respectively.

Credit Opinion Loans: The pool includes six loans, representing
33.7% of the deal, that received investment-grade credit opinions.
This is above the YTD 2020 and 2019 averages of 25.9% and 14.2%,
respectively. The Grace Building (9.2% of the pool) received a
stand-alone credit opinion of 'A-sf*'; Amazon West LA (6.9% of the
pool) received a stand-alone credit opinion of 'BBB-sf*'; MGM Grand
& Mandalay Bay (6.9% of the pool) received a stand-alone credit
opinion of 'BBB+sf*'; 416-420 Kent Avenue (5.5% of the pool)
received a stand-alone credit opinion of 'BBB-sf*'; Kings Plaza
(2.8% of the pool) received a stand-alone credit opinion of
'BBB-sf*'; and Cambridge Crossing (2.3% of the pool) received a
stand-alone credit opinion of 'BBB-sf*'.

Property Type Representation: Loans secured by office properties
account for 46.5% of the pool, which is higher than the YTD 2020
and 2019 averages of 40.3% and 34.2%, respectively. While the pool
is highly exposed to the office sector, several of these properties
are generally better-quality assets located in core markets. The
pool's retail property concentration of 17.2% is greater than the
YTD 2020 average of 15.2% but lower than the 2019 average of 23.6%.
Hotel and casino properties account for 10.7% of the pool by
balance, which is slightly above the YTD average of 9.1% and below
the 2019 average of 12.0%.

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 result 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:

  -- Improvement in cashflow that increases property value and
capacity to meet debt service obligations. The following indicates
the model-implied rating sensitivity to changes in one variable
(Fitch NCF):

Original Ratings:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'.

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

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

Similarly, declining cashflow that decreases property value and
capacity to meet debt service obligations. The following indicates
the model-implied rating sensitivity to changes to the same one
variable (Fitch NCF):

Original Ratings:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'.

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

20% NCF Decline:
'A-sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCCsf'/'CCCsf'/'CCCsf'.

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

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

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


CITIGROUP COMMERCIAL 2020-420K: Moody's Rates Class E Certs Ba3
---------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to six
classes of CMBS securities, issued by Citigroup Commercial Mortgage
Trust 2020-420K, Commercial Mortgage Pass-Through Certificates,
Series 2020-420K as follows:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. X*, Definitive Rating Assigned Aa1 (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)

*Reflects Interest-Only Class

Note: Moody's previously assigned a provisional rating to Class X
of (P) Aa3 (sf), described in the prior press release, dated
November 12, 2020. Subsequent to the release of the provisional
ratings for this transaction, the structure of Class X was modified
to reference Principal Classes A and B (previously Class X was
referencing Principal Classes A, B and C). Based on the current
structure of Class X, Moody's has assigned a definitive rating of
Aa1 (sf) to Class X.

RATINGS RATIONALE

The certificates are collateralized by a single loan secured by the
borrower's fee simple interest in an 857 unit multifamily property
and 18,827 square feet of commercial space known as 416-420 Kent
Avenue ("the property") located in Brooklyn, NY. Its ratings are
based on the credit quality of the loan and the strength of the
securitization structure.

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 collateral for the loan consists of two newly-constructed
luxury residential towers totaling 857 units, with approximately
18,827 square feet of ground floor commercial space, and two
parking garages of 429 total parking spaces. The property features
views of the East River and an amenity package that includes
rooftop pools, resident lounges, a fitness center, yoga studios,
landscaped roof decks with outdoor lounges, wellness spa, lobby
coffee bar, billiard and gaming lounge, co-working lounges, common
dining areas with professional grade kitchens, library/quiet room,
concierge services, shuttle bus services, and bicycle storage.

The residential unit mix consists of 468 studio units (54.6% of
total units), 202 one-bedroom units (23.6% of total units), and 187
two-bedroom units (21.8% of total units). As of the October rent
roll, residential units were 83.8% occupied, with average monthly
rent of $3,399. There are 670 market rate units (79.4% occupied;
average monthly rent of $4,238), 186 affordable units (99.5%
occupied; average monthly rent of $985) and one resident manager
unit (not generating revenue).

416 Kent contains a total of 252 residential units, including 187
market rate units and 65 affordable units. As of the October rent
roll, market rate units were 85.6% occupied and affordable units
were 98.5% occupied. The building began initial lease-up in January
2019 and achieved stabilization by September 2019. 416 Kent
benefits from a 35-year tax abatement program, whereby the building
is 100% exempt from taxes on the increases in the prior assessed
value of the building for the first 25 years and 25.8% exempt for
the last 10 years.

420 Kent contains a total of 605 residential units, including 483
market rate units, 121 affordable units, and one resident manager
unit (not generating revenue). As of the October rent roll, market
rate units were 77.0% occupied and affordable units were 100.0%
occupied. The building began initial lease-up in September 2019 and
is currently in the process of being stabilized. 420 Kent benefits
from a 25-year tax abatement program, whereby the building is 100%
exempt from taxes on the increases in the prior assessed value of
the building for the first 21 years of the abatement period, with a
20% annual phase-in of the fully assessed taxes for the last 4
years of the abatement period.

As of September 2020, the 18,827 square feet of commercial space
was 37.3% leased to four tenants. Two tenants are open and current
on rents, and the remaining two tenants are still in their free
rent period.

The property is located on the East River waterfront within the
Williamsburg neighborhood of Brooklyn, NY. Williamsburg is a dense
in-fill neighborhood heavily favored by young professionals,
attracted by the area's retail amenities, relatively more
affordable rents than Manhattan, and proximity to nearby job
centers. Williamsburg is connected to Manhattan via the
Williamsburg Bridge and several subway lines including the L, G, J,
M and Z. Additional transportation includes the East River Ferry,
which is located adjacent to the property, that provides service to
Manhattan, Queens and other parts of Brooklyn.

The securitization will consist of a $238,000,000 portion of a
ten-year, interest-only, first lien mortgage loan with an
outstanding principal balance of $298,000,000.

The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's makes various adjustments to the MLTV. Moody's adjusts the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between its sustainable cap rates and market cap
rates. Moody's also uses an adjusted loan balance that reflects
each loan's amortization profile. The MLTV reported in this
publication reflects the MLTV before the adjustments described in
the methodology.

The Moody's whole loan actual DSCR is 1.94x and Moody's whole loan
stressed DSCR at a 9.25% constant is 0.70x. Moody's DSCR is based
on its assessment of the property's stabilized NCF.

The whole loan balance of $298,000,000 represents a Moody's LTV of
107.5%, taking in to consideration of the additional $90,000,000
mezzanine loan, the total debt Moody's LTV would increase to
140.0%.

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 property's quality
grade is 0.50.

Notable strengths of the transaction include: the property's strong
location, high-quality new construction with strong amenity
offerings, submarket strength and low operating expense load.

Notable concerns of the transaction include: the effects of the
coronavirus pandemic, limited operating history, interest-only
mortgage loan profile, additional debt, the lack of asset
diversification, and credit-negative legal features.

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 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.


CITIGROUP MORTGAGE 2020-RP2: Fitch Rates Class B-2 Debt Bsf
-----------------------------------------------------------
Fitch Ratings has assigned ratings to Citigroup Mortgage Loan Trust
2020-RP2 (CMLTI 2020-RP2).

RATING ACTIONS

CMLTI 2020-RP2

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 M-1; LT Asf New Rating; previously A(EXP)sf

Class M-2; LT BBBsf New Rating; previously BBB(EXP)sf

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

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

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

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

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

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

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

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

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

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

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

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

TRANSACTION SUMMARY

The transaction is expected to close on Nov. 30, 2020. The notes
are supported by one collateral group that consists of 6,739
seasoned performing loans (SPLs) and re-performing loans (RPLs)
with a total balance of approximately $1.057 billion, which
includes $80 million, or 7.6%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicer will not be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Revised GDP Due to the Coronavirus (Negative): The ongoing
coronavirus pandemic and resulting containment efforts have led to
revisions in Fitch's GDP estimates for 2020. Fitch's baseline
global economic outlook for U.S. GDP growth is currently a 3.7%
decline for 2020, down from 1.7% for 2019. Fitch's downside
scenario would see an even larger decline in output in 2020 and a
weaker recovery in 2021. To account for the declining macroeconomic
conditions resulting from the pandemic, an Economic Risk Factor
(ERF) floor of 2.0 (the ERF is a default variable in the U.S. RMBS
loan loss model) has been applied to ratings of 'BBBsf' and below.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage RPLs. After the adjustment for
coronavirus-related forbearance loans, 9.5% of the pool was 30 days
delinquent as of the statistical calculation date, and 78.3% of
loans are current but have had recent delinquencies or incomplete
24 month pay strings. 12.2% of the loans have been paying on time
for the past 24 months. Roughly 89% has been modified. Fitch
increased its loss expectations to account for the delinquent loans
and the high percentage of "dirty current" loans.

Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.

No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity (LS) is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.

Payment Holidays Related to Coronavirus Pandemic: The ongoing
coronavirus pandemic and widespread containment efforts in the U.S.
have resulted in increased unemployment and cashflow disruptions.
To account for the cashflow disruptions, Fitch assumed deferred
payments on a minimum of 26.6% of the pool for the first month of
the transaction in all rating categories, with a reversion to its
standard delinquency and liquidation timing curve by month 3. This
assumption is based on observed peak delinquencies for legacy Alt-A
collateral. Under these assumptions the 'AAAsf' and 'AAsf' classes
did not incur any shortfalls and are expected to receive timely
payments of interest. The cash flow waterfall providing for
principal otherwise distributable to the lower rated bonds to pay
timely interest to the 'AAAsf' and 'AAsf' bonds and availability of
excess spread also mitigate the risk of interest shortfalls. The
'Asf' through 'Bsf' rated classes incurred temporary interest
shortfalls that were ultimately recovered.

Low Operational Risk: Operational risk is well controlled for in
this transaction. Citigroup is assessed by Fitch as an 'Average'
aggregator and meets the industry standards necessary for acquiring
seasoned and distressed loans. Select Portfolio Servicing, Inc.
(SPS) is the named servicer for the transaction and is rated
'RPS1-'/Negative. Fitch decreased its loss expectation at the
'AAAsf' rating category by 249 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.

Deferred Amounts: Non-interest-bearing principal forbearance or
deferral amounts totaling $80 million (7.6%) of the UPB are
outstanding on 2,120 loans. Fitch included the deferred amounts
when calculating the borrower's loan-to-value ratio (LTV) and
sustainable LTV (sLTV), despite the lower payment and amounts not
being owed during the term of the loan. The inclusion resulted in a
higher probability of default (PD) and LS than if there were no
deferrals. Fitch believes that borrower default behavior for these
loans will resemble that of the higher LTVs, as exit strategies
(i.e. sale or refinancing) will be limited relative to those
borrowers with more equity in the property.

Representation and Warranty Framework: The representation, warranty
and enforcement (RW&E) framework for this transaction contains
substantially all loan level representations listed in Fitch
criteria and is consistent with a Tier 1 framework. Fitch decreased
its loss expectations by 136 bps at the 'AAAsf' rating category to
reflect the RW&E framework combined with the investment-grade
counterparty risk of the rep provider.

Third-Party Due Diligence Review: A third-party due diligence
review was performed on 100% of the loans in the transaction pool.
The review consisted solely of a compliance review and was
performed by SitusAMC, which is assessed by Fitch as an 'Acceptable
- Tier 1' TPR firm. The results indicate moderate compliance risk
with 14.8% of loans receiving a final grade of 'C' or 'D'. While
this concentration of material exceptions is similar to other
Fitch-rated RPL RMBS, adjustments were applied only to loans
missing of estimated final HUD-1 documents that are subject to
testing for compliance with predatory lending regulations. These
regulations are not subject to statute of limitations like most
compliance findings which ultimately exposes the trust to added
assignee liability risk. Fitch adjusted its loss expectation at the
'AAAsf' rating category by 92 bps to account for this added risk.

RATING SENSITIVITIES

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 38.4% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

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

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

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

CRITERIA VARIATION

There is one variation to the US RMBS Ratings Criteria which
relates to the tax/title review. Approximately 96% of the reviewed
loans by loan count were not performed (title effective date)
within six months of the closing date. However, 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 as a result of this variation.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, LLC. A third-party due diligence review was
completed on 100% of the loans in the transaction pool. The due
diligence scope included a regulatory compliance review that
covered applicable federal, state and local high-cost loan and/or
anti-predatory laws, as well as the Truth In Lending Act (TILA) and
Real Estate Settlement Procedures Act (RESPA). The scope was
consistent with Fitch criteria for due diligence on RPL RMBS. Fitch
applied outside the model adjustments on 244 loans that had missing
modification agreements. Each loan received a three-month
foreclosure timeline extension to represent a delay in the event of
liquidation as a result of these files not being present. Fitch
adjusted its loss expectation at the 'AAAsf' by approximately 92
basis points to reflect the missing modification agreements. An
updated tax, title and lien search was also performed on 100% of
loans in the transaction pool. The search identified loans with
outstanding liens and taxes that could take priority over the
subject mortgage. Fitch considered this information in its analysis
and, as a result, Fitch adjusted its loss expectation at the
'AAAsf' by approximately 14 basis points.


CWALT INC 2007-2CB: Moody's Assigns Ca Rating on Cl. 2-A-15 Certs
-----------------------------------------------------------------
Moody's Investors Service assigned a rating to Class 2-A-15 from
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-2CB.

Complete rating actions are as follows:

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-2CB

Cl. 2-A-15, Assigned Ca (sf); previously on Mar 20, 2013 Withdrawn
(sf)

RATINGS RATIONALE

The assignment of the rating reflects the correction of a prior
error. The rating on this exchangeable tranche 2-A-15 was
previously withdrawn due to an administrative error. This error has
now been corrected and the rating has been reassigned to the above
tranche.

The rating action also reflects the recent performance as well as
Moody's updated loss expectations on the underlying pools. In light
of the current macroeconomic environment, Moody's revised loss
expectations based on the extent of performance deterioration of
the underlying mortgage loans, resulting from a slowdown in
economic activity and increased unemployment due to the coronavirus
outbreak. Specifically, Moody's has observed an increase in
delinquencies, payment forbearance, and payment deferrals since the
start of pandemic, which could result in higher realized losses.

Its analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. In cases where loan level data is not available,
Moody's assumed that the proportion of borrowers enrolled in
payment relief programs would be equal to levels observed in
transactions of comparable asset quality. Based on its analysis,
the proportion of borrowers that are currently enrolled in payment
relief plans varied greatly, ranging between approximately 4% and
25% among RMBS transactions issued before 2009. In its analysis,
Moody's assumes these loans to experience lifetime default rates
that are 50% higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Its analysis considered
the impact of six months of scheduled principal payments on the
loans enrolled in payment relief programs being passed to the trust
as a loss. The magnitude of this loss will depend on the proportion
of the borrowers in the pool subject to principal deferral and the
number of months of such deferral. The treatment of deferred
principal as a loss is credit negative, which could incur
write-downs on bonds when missed payments are deferred.

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.

Principal Methodologies

The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in July 2020.

In addition, Moody's publishes a weekly summary of structured
finance credit ratings and methodologies.

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

Up

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

Down

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

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


CWMBS REPERFORMING 2004-R1: Moody's Cuts Class 1A-F Certs to Caa1
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 23 tranches
from 8 transactions, backed by FHA and VA mortgage loans, issued by
multiple issuers.

The complete rating actions are as follows:

Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series
2004-R1

Cl. 1A-F, Downgraded to Caa1 (sf); previously on Feb 5, 2016
Downgraded to B3 (sf)

Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series
2006-R2

Cl. A-S*, Downgraded to Caa3 (sf); previously on Feb 8, 2018
Confirmed at Caa2 (sf)

Issuer: GSMPS Mortgage Loan Trust 2004-4

Cl. 1A2, Downgraded to B3 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)

Cl. 1A3, Downgraded to B3 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)

Cl. 1A4, Downgraded to B3 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)

Cl. 1AF, Downgraded to B3 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)

Cl. 1AS*, Downgraded to B3 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)

Cl. 2A1, Downgraded to B3 (sf); previously on Jul 25, 2016
Downgraded to B1 (sf)

Issuer: GSMPS Mortgage Loan Trust 2005-RP3

Cl. 1A2, Downgraded to Caa1 (sf); previously on Dec 9, 2016
Downgraded to B3 (sf)

Cl. 1A3, Downgraded to Caa1 (sf); previously on Dec 9, 2016
Downgraded to B3 (sf)

Cl. 1A4, Downgraded to Caa1 (sf); previously on Dec 9, 2016
Downgraded to B3 (sf)

Cl. 1AF, Downgraded to Caa1 (sf); previously on Dec 9, 2016
Downgraded to B3 (sf)

Cl. 1AS*, Downgraded to Caa1 (sf); previously on Dec 9, 2016
Downgraded to B3 (sf)

Cl. 2A1, Downgraded to Caa1 (sf); previously on Dec 9, 2016
Downgraded to B3 (sf)

Issuer: NAAC Reperforming Loan Remic Trust 2004-R3

Cl. A1, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)

Cl. AF, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)

Cl. AS*, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)

Cl. PT*, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)

Issuer: RBSGC Mortgage Loan Trust 2005-RP1

Cl. I-F, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)

Cl. I-SF*, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)

Issuer: SACO I Trust 1999-5

Cl. A, Downgraded to Caa1 (sf); previously on Jul 25, 2016
Downgraded to B3 (sf)

Issuer: Structured Asset Securities Corp. 2005-RF6

Cl. A, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)

Cl. AIO*, Downgraded to Caa1 (sf); previously on Sep 6, 2011
Downgraded to B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

The rating downgrades are primarily due to the weak performance of
the underlying collateral and a decrease in credit enhancement
available to the bonds. Additionally, Class Cl. 1A-F from CWMBS
Reperforming Loan REMIC Trust Certificates, Series 2004-R1, Cl.
1AF, Cl. 1A2, Cl. 1A3, Cl. 1A4 from GSMPS Mortgage Loan Trust
2005-RP3, and Class A from SACO I Trust 1999-5 have already
incurred losses. The rating downgrade on Cl. A-S from CWMBS
Reperforming Loan REMIC Trust Certificates, Series 2006-R2,
reflects the updated performance of the underlying collateral and
bonds. The rating actions also reflect the recent performance as
well as Moody's updated loss expectations on the underlying pools.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on the extent of performance deterioration
of the underlying mortgage loans, resulting from a slowdown in
economic activity and increased unemployment due to the coronavirus
outbreak. Specifically, Moody's has observed an increase in
delinquencies since the start of pandemic, which could result in
higher realized losses. On average, the 60+ delinquency pipeline
for the deals affected by the actions increased by approximately
40%. In response to the financial dislocations faced by many
borrowers, servicers have offered payment holiday programs to the
impacted borrowers. In accordance with the Coronavirus Aid, Relief,
and Economic Security Act (CARES Act), the Federal Housing
Administration (FHA) and the Department of Veterans Affairs (VA)
borrowers experiencing financial hardship due to COVID-19 are
entitled to request and obtain a forbearance for up to 180 days.
Also, borrowers have the right to request and obtain a forbearance
extension for up to another 180 days (for a total of up to 360
days). In addition, the FHA and VA have loss mitigation options to
assist borrowers at the end of the forbearance period to help repay
the missed payments.

In its analysis, Moody's increased its model-derived expected
losses by approximately 10% to reflect the performance
deterioration resulting from a slowdown in US economic activity in
2020 due to the COVID-19 outbreak. The ratings of the bonds
impacted by the actions showed sensitivity to an increase in loss
expectations.

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.

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "FHA-VA US RMBS Surveillance Methodology"
published in July 2020. The methodologies used in rating
interest-only classes were "FHA-VA US RMBS Surveillance
Methodology" published in July 2020, and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in February 2019.

In addition, Moody's publishes a weekly summary of structured
finance credit ratings and methodologies.

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

Up

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

Down

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

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

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.


ELLINGTON CLO I: Moody's Lowers $43MM Cl. E-R Notes to B1
---------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Ellington CLO I, Ltd.:

US$43,000,000 Class E-R Secured Deferrable Floating Rate Notes (the
"Class E-R Notes"), Downgraded to B1 (sf); previously on August 29,
2018 Assigned Ba3 (sf)

US$12,400,000 Class F-R Secured Deferrable Floating Rate Notes (the
"Class F-R Notes"), Downgraded to Caa3 (sf); previously on August
29, 2018 Assigned B3 (sf)

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

The CLO, originally issued in June 2017 and refinanced in August
2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
October 2021.

RATINGS RATIONALE

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

According to the October 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 5368, compared to 4581
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 4694 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 71%.
Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $383 million, or
$42 million less than the deal's ramp-up target par balance. Based
on the October 2020 trustee report [4], all of the deal's OC ratio
and interest diversion tests were reported as failing. As a result,
certain interest proceeds were used to repay a portion of the
senior notes, and the Class C-R, Class D-R, Class E-R, and Class
F-R Notes did not receive interest payments on the October
distribution date.

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: $364,452,310

Defaulted Securities: $55,357,813

Diversity Score: 48

Weighted Average Rating Factor (WARF): 5290

Weighted Average Life (WAL): 4.2 years

Weighted Average Spread (WAS): 4.99%

Weighted Average Coupon (WAC): 13.00%

Weighted Average Recovery Rate (WARR): 46.4%

Par haircut in OC tests and interest diversion test: 5.8%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; 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.


METLIFE 2020-INV1: S&P Assigns B Rating on Class B-5 Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to MetLife Securitization
Trust 2020-INV1's mortgage pass-through securities.

The issuance is a RMBS transaction backed by first-lien, fixed-rate
fully amortizing investment property mortgage loans secured by one-
to four-family residential properties, condominiums, and
planned-unit developments 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 100% due diligence results consistent with
    represented loan characteristics; and

-- The impact that the economic stress brought on by the
    COVID-19 pandemic will likely have on the performance of
    the mortgage borrowers in the pool and liquidity
    available in the transaction.

S&P Global Ratings believes there remains a high degree of
uncertainty about the evolution of the coronavirus pandemic.
Reports that at least one experimental vaccine is highly effective
and might gain initial approval by the end of the year are
promising, but this is merely the first step toward a return to
social and economic normality; equally critical is the widespread
availability of effective immunization, which could come by the
middle of next year. S&P said, "We use 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

  MetLife Securitization Trust 2020-INV1

  Class A-1, $273,517,000: AAA (sf)
  Class A-1-A, $273,517,000: AAA (sf)
  Class A-1-X, $273,517,000(i): AAA (sf)
  Class A-2, $255,483,000: AAA (sf)
  Class A-2-A, $255,483,000: AAA (sf)
  Class A-2-X, $255,483,000(i): AAA (sf)
  Class A-3, $166,064,000: AAA (sf)
  Class A-3-A, $166,064,000: AAA (sf)
  Class A-3-X, $166,064,000(i): AAA (sf)
  Class A-4, $89,419,000: AAA (sf)
  Class A-4-A, $89,419,000: AAA (sf)
  Class A-4-X, $89,419,000(i): AAA (sf)
  Class A-5, $18,034,000: AAA (sf)
  Class A-5-A, $18,034,000: AAA (sf)
  Class A-5-X, $18,034,000(i): AAA (sf)
  Class X, $300,568,294(i): Not rated
  Class B-1, $8,265,000: AA (sf)
  Class B-2, $5,861,000: A (sf)
  Class B-3, $6,312,000: BBB (sf)
  Class B-4, $3,457,000: BB (sf)
  Class B-5, $1,653,000: B (sf)
  Class B-6, $1,503,294: Not rated
  Class R: Not rated

  (i)Notional balance.


PK AIR 1: S&P Assigns Prelim. B- Rating on 2 Tranches
-----------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to PK Air 1
L.P.'s (PK) floating- and fixed-rate USD and Euro notes and loans.

The note issuance is an ABS transaction backed by primarily
first-lien, senior secured loans backed by aircraft and aircraft
engines, of which 83% is denominated in USD and the remaining 17%
in Euro.

The preliminary ratings are based on information as of Dec. 2,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The likelihood of timely interest on each payment date and
ultimate principal on or before legal final maturity on the class A
loans and ultimate interest and principal payments made to the
class B, C, and D notes on or before the legal final maturity, in
S&P's rating stress scenarios.

-- The diversification of the collateral pool, which consists
primarily of first-lien, senior secured loans backed by aircraft
and aircraft engines, of which 83% is denominated in USD and the
remaining 17% in Euro with a weighted average life of approximately
three years.

-- The underlying aircraft collateral's quality and residual value
generating capability. The portfolio comprises 239 aircraft and 19
aircraft engines currently being operated by more than 80 airlines
worldwide. The underlying aircraft assets have a weighted average
age of approximately 6.4 years.

-- The relatively low loan-to-value ration (LTV; approximately
65%) on the underlying loans, calculated based on the funded par
balance and the lower of the mean and median (LMM) of half-life
base and market values from four appraisers, adjusted by PK's share
in the individual loans. This results in potentially higher
recoveries upon a loan default under our stress assumptions.

-- The short reinvestment period ending in December 2022, which is
subject to reinvestment guidelines including pass/ maintain/improve
of collateral quality tests, concentration limitations,
overcollateralization tests, a class A LTV test, and the S&P SDR
test. The reinvestment is also subject to an annual limitation of
20% of the principal collateral.

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

-- The servicer and special servicer for the transaction are
Apollo PK Air Management (CLO) L.P. and Merx Aviation Servicing
Ltd., respectively, which are affiliated aircraft leasing
companies. Their in-house aircraft asset and aviation finance teams
are experienced in managing new and mid-life aircraft assets.

-- The structure of the underlying loans, which generally falls
into one of the following categories: airline financing loans,
investor financing loans, Japanese operating leases (JOLs), and
Japanese operating leases with call options (JOLCOs).

-- The enforcement mechanisms of the loans, which generally fall
under: airline financing loans, investor financing loans, JOLs, and
JOLCOs as detailed further in the legal section of this document.

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

  PRELIMINARY RATINGS ASSIGNED

  PK Air 1 L.P.

  $1,000.000 mil. class A-R: A (sf)

  $1,215.000 mil. class A-F: A (sf)

  $525.000 mil. class B1-F: BBB+ (sf)

  $458.000 mil. class B2-F: BBB- (sf)

  $270.000 mil. class C-F: BB- (sf)

  $46.000 mil. class D1-F: B- (sf)

  $42.300 mil. class X-U: not rated

  $333.750 mil. USD subordinated notes: not rated

  EUR255.885 mil. class A-E: A (sf)

  EUR22.000 mil. class B-E: BB (sf)

  EUR62.000 mil. class C-E: BB- (sf)

  EUR84.500 mil. class D-E: B- (sf)

  EUR0.000(i) mil. class X-E: not rated

  EUR28.918 mil. Euro subordinated notes: not rated

(i) The class X-E notes will be funded in Euro from time to time on
and after the closing date up to a maximum of EUR7 million


WELLS FARGO 2020-C58: Fitch to Rate Class H-RR Certs 'B-sf'
-----------------------------------------------------------
Fitch Ratings has issued a presale report on WFCM 2020-C58
commercial mortgage passthrough certificates, series 2020-C58.

RATING ACTIONS

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

  -- $26 million class A-1 'AAAsf'; Outlook Stable;

  -- $6.76 million class A-2 'AAAsf'; Outlook Stable;

  -- $28.8 million class A-SB 'AAAsf'; Outlook Stable;

  -- $210 million (a)(b) class A-3 'AAAsf'; Outlook Stable;

  -- $215.8 (a)(b) class A-4 'AAAsf'; Outlook Stable;

  -- $487.4 million (c) class X-A 'AAAsf'; Outlook Stable;

  -- $110 million (c)(d) class X-B 'A-sf'; Outlook Stable;

  -- $54 million (b) class A-S 'AAAsf'; Outlook Stable;

  -- $35.7 million (b) class B 'AA-sf'; Outlook Stable;

  -- $20.3 million (b)(d) class C 'A-sf'; Outlook Stable;

  -- $10.1 million (d)(e)(f) class D-RR 'A-sf'; Outlook Stable;

  -- $20 million (e)(f) class E-RR 'BBBsf'; Outlook Stable;

  -- $15.7 million (e)(f) class F-RR 'BBB-sf'; Outlook Stable;

  -- $16.5 million (e)(f) class G-RR 'BB-sf'; Outlook Stable.

  -- $6.96 million (e)(f) class H-RR 'B-sf'; Outlook Stable;

The following class is not expected to be rated by Fitch:

  -- $29.6 million (e)(f) class J-RR;

(a) The initial certificate balances of class A-3 and A-4 are
unknown and expected to be $428.8 million in aggregate, subject to
a 5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-3 balance range is $75 million to $429 million, and the
expected class A-4 balance range is $216 million to $351 million.
The balances of classes A-3 and A-4 shown above are the
hypothetical balance for A-3 if A-4 were sized at the minimum of
its range. In the event that the class A-3 certificates are issued
with an initial certificate balance of $426 million, the class A-4
certificates will not be issued.

(b) Exchangeable Certificates. The class A-3, A-4, A-S, B, and C
certificates are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the corresponding
classes of exchangeable certificates. Class A-3 may be surrendered
(or received) for the received (or surrendered) classes A-3-1,
A-3-2, A-3-X1 and A-3-X2. Class A-3. Class A-4 may be surrendered
(or received) for the received (or surrendered) classes A-4-1,
A-4-X1, A-4-2 and A-4-X2. Class A-S may be surrendered (or
received) for the received (or surrendered) classes A-S-1, A-S-X1,
A-S-2 and A-S-X2. Class B may be surrendered (or received) for the
received (or surrendered) classes B-1, B-X1, B-2 and B-X2. Class C
may be surrendered (or received) for the received (or surrendered)
classes C-1, C-X1, C-2 and C-X2.

(c) Notional amount and IO.

(d) The initial certificate balance of class C, class X-B and class
D-RR certificates are subject to change based on final pricing of
all certificates and the final determination of the Class D-RR,
E-RR, F-RR, G-RR, H-RR and J-RR certificates.

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

(f) Horizontal Risk Retention Interest. The Class D-RR, E-RR, F-RR,
G-RR, H-RR and J-RR certificates (collectively, the "horizontal
risk retention certificates") will be retained by the retaining
sponsor through a third-party purchaser as part of the U.S. risk
retention requirements.

The expected ratings are based on information provided by the
issuer as of Nov. 30, 2020.

TRANSACTION SUMMARY

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 36.2% of the properties
by balance, cash flow analysis of 85.1% and asset summary reviews
on 100.0% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes the COVID-19 disease) pandemic may have
an adverse impact on near term revenue (i.e., bad debt expense,
rent relief) and operating expenses (i.e., sanitation costs) for
some properties in the pool. Delinquencies may occur in the coming
months as forbearance programs are put in place, although the
ultimate impact on credit losses will depend heavily on the
severity and duration of the negative economic impact of the
coronavirus pandemic, and to what degree fiscal interventions by
the U.S. federal government can mitigate the impact on consumers.
Per the offering documents, all of the loans are current. The
sponsor of Holiday Inn Salina submitted a request in May 2020 for
payment relief for three months. During the forbearance period (May
to July 2020), the sponsor made full payments of principal and
interest and paid tax and insurance reserves.

KEY RATING DRIVERS

Fitch Leverage Exceeds that of Recent Transactions: The pool has
higher leverage compared to other recent Fitch-rated multiborrower
transactions. The pool's Fitch LTV of 105.0% is higher than the YTD
2020 average of 99.3% and the 2019 average of 103.0%. The pool's
Fitch DSCR of 1.32x is in line with the YTD 2020 average of 1.31x
and higher than the 2019 average of 1.26x.

Investment-Grade Credit Opinion Loans: One loan, representing 6.5%
of the pool, received an investment-grade credit opinion. MGM Grand
& Mandalay Bay received a stand-alone credit opinion of'BBB+sf'.

Diversified Pool: The top 10 loans constitute 48.6% of the pool,
which is less than the 2020 YTD average of 55.9% and the 2019
average of 51.0%. The Loan Concentration Index (LCI) of 365 is also
lower than the 2020 YTD average of 428 and the 2019 average of 465.
Additionally, the Sponsor Concentration Index (SCI) of 373 is also
lower than the 2020 YTD average of 428 and 2019 average of 403.

Above-Average Amortization: Loans making up 27.9% of the pool are
amortizing balloon loans. Loans making up 49.0% of pool are
full-term, IO loans, and loans making up 23.1% of pool are partial
IO. Based on the scheduled balance at maturity, the pool will pay
down by 9.0%, which is higher than the YTD 2020 and 2019 averages
of 5.9% and 5.0%, respectively.

RATING SENSITIVITIES

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

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

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

Original Rating
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'BB-sf';

10% NCF Decline
'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf';

20% NCF Decline
'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf'/'CCCsf'/'CCCsf'/'CCCsf';

30% NCF Decline
'BBB-sf'/'BBsf'/'CCCsf'/'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'/'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'.


[*] S&P Takes Various Actions on 77 Classes From 62 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 77 classes from 62 U.S.
RMBS transactions issued between 1998 and 2007. The review yielded
60 downgrades due to observed principal write-downs and 14
downgrades due to the application of our interest shortfall
criteria.

S&P said, "We subsequently withdrew our ratings on two classes that
were lowered due to observed principal write-downs, as the
principal balance for each class has been fully written-down. In
addition, we corrected the rating on Credit Suisse First Boston
Mortgage Securities Corp. (CSFB Mortgage-Backed Trust) 2003-17's
class IIIA5 to 'B (sf)' from 'AA+ (sf)' following the discovery of
an error in our reading of missed interest reimbursement provisions
in the transaction documents. As a result of this correction, we
withdrew the ratings on classes IIIA3 and IIIX issued from the same
transaction."

RATING ACTIONS

In addition to the error corrections described in the following
paragraph, the rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes.

S&P said, "In reviewing ratings on classes with outstanding
interest shortfalls, we consider our "S&P Global Ratings
Definitions," published Aug. 7, 2020, which impose a maximum rating
threshold on classes that have incurred interest shortfalls
resulting from credit or liquidity erosion. In applying our ratings
definitions, we look to see if the applicable class receives
additional compensation beyond the imputed interest due as direct
economic compensation for the delay in interest payment (such as
securities with capitalized interest). In instances where the class
does not receive additional compensation for outstanding interest
shortfalls, like the 14 classes impacted in this review (see the
ratings list below), our analysis focuses on our expectations
regarding the length of the interest payment interruptions to
assign the rating on the class.

"For example, under our ratings definitions, if a class experiences
an interest shortfall in May and is not repaid, or not expected to
be repaid, in full until December (seven-month duration), the
applicable maximum potential rating, per the ratings definitions,
would be 'BBB-'."

  Maximum Potential Rating And Interest Shortfall Periods

  Maximum              Maximum time until
  potential rating     full interest repayment

  AA+                  Two months or less
  AA-                  Three months or less
  A-                   Six months or less
  BBB-                 Nine months or less
  B                    12 months or less
  D                    More than 12 month

S&P said, "In applying the interest shortfall guidelines described
above, we determined that we erred in affirming the 'AA+(sf)'
rating for CSFB Mortgage-Backed Trust 2003-17's class IIIA5 on
April 21, 2020. The error was based on our incorrect determination
that the transaction documents provide for this security to receive
capitalized interest to compensate for the delay in interest
payments. However, after further review of the documents, we have
determined that this class does not receive additional compensation
for the delay beyond the interest otherwise accrued. To correct
this error, we applied the table above. Our revised rating of
'B(sf)' reflects the length of time the interest payments on this
class have thus far been interrupted (i.e., 11 months). If interest
payment disruptions were to continue over the next several months,
this class could be subject to further downgrades, including a 'D
(sf)' rating.

"Additionally, as a result of the downgrade of our rating on class
IIIA5, which represents the only remaining referenced principal-
and interest-paying class for this transaction, we applied our
interest-only criteria, "Global Methodology For Rating
Interest-Only Securities," published April 15, 2010, on classes
IIIA3 and IIIX, which resulted in withdrawing the ratings on these
two classes. These criteria call for the withdrawal of ratings on
interest-only securities like the two in question once all
referenced principal- and interest-paying classes rated 'AA-' or
higher have been retired or downgraded below that rating level. The
lowered ratings due to outstanding principal write-downs reflect
our assessment of the principal write-downs' impact on the affected
classes during recent remittance periods. All of the classes were
rated 'B- (sf)' or below before today's rating actions. Two classes
that were lowered due to outstanding principal write-downs were
subsequently withdrawn, as the principal balances for each class
have been fully written-down."

ANALYTICAL CONSIDERATIONS

S&P Global Ratings believes there remains a high degree of
uncertainty about the evolution of the coronavirus pandemic.
Reports that at least one experimental vaccine is highly effective
and might gain initial approval by the end of the year are
promising, but this is merely the first step toward a return to
social and economic normality; equally critical is the widespread
availability of effective immunization, which could come by the
middle of next year. S&P said, "We use 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."

A lis of Affected Ratings can be viewed at:

           https://bit.ly/3odwS7U


                            *********

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