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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, January 10, 2021, Vol. 25, No. 9

                            Headlines

AIMCO CLO 12: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
ATLAS SENIOR XIV: Moody's Confirms Ba1 Rating on $23.8M Cl. D Notes
BANK 2017-BNK5: DBRS Confirms B (low) Rating on Class G Certs
BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs
BANK 2020-BNK30: DBRS Finalizes BB Rating on Class X-G Certs

BDS 2020-FL5: DBRS Confirms B (low) Rating on Class G Notes
BELLEMEADE RE 2020-4: DBRS Finalizes BB Rating on Class M-2A Notes
BENCHMARK 2020-B22: Fitch Gives Final 'B-' Rating on Cl. G Certs
BLACKROCK DLF 2019-G: DBRS Hikes Class E Notes Rating to BB
BX TRUST 2021-MFM1: S&P Assigns Prelim 'B-' Rating to Class F Certs

CFMT 2020-HB4: DBRS Finalizes BB Rating on Class M4 Notes
CHEVY CHASE 2005-C: Moody's Lowers Rating on Class NIO Certs to Ca
CIM TRUST 2020-J2: Fitch Gives Final 'B' Rating on Class B-5 Certs
CIM TRUST 2020-J2: Moody's Rates Class B-4 Debt 'Ba1'
DRYDEN 83: S&P Assigns BB- (sf) Rating to $14MM Class E Notes

FIRST INVESTORS 2021-1: S&P Assigns Prelim B (sf) Rating to F Notes
GS MORTGAGE 2020-GSA2: Fitch Gives 'B' Rating on Class G-RR Certs
GS MORTGAGE 2020-PJ6: Fitch Assigns 'Bsf' on Class B5 Certs
IMSCI 2016-7: DBRS Confirms B Rating on G Certificates
LUCALI CLO: S&P Assigns BB- (sf) Rating to $14MM Class E Notes

MORGAN STANLEY 2015-C22: Fitch Lowers Class E Certs Rating to CCC
MORGAN STANLEY 2020-1: Fitch Assigns 'Bsf' on Class B-5 Debt
PALMER SQUARE 2015-1: S&P Assigns BB- (sf) Rating on D-R2 Notes
PK AIR 1: S&P Assigns B- (sf) Rating to Class D1-F Notes
READY CAPITAL 2018-4: DBRS Confirms B(low) Rating on Class G Certs

REVELSTOKE CDO I: DBRS Cuts 3 Classes of Secured Notes Rating to D

                            *********

AIMCO CLO 12: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
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S&P Global Ratings assigned its preliminary ratings to AIMCO CLO 12
Ltd./AIMCO CLO 12 LLC's floating-rate notes.

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

The preliminary ratings are based on information as of Jan. 6,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The diversification of the collateral pool;

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

-- The experience of the collateral 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.

  Preliminary Ratings Assigned

  AIMCO CLO 12 Ltd./AIMCO CLO 12 LLC

  Class X, $4.00 mil.: AAA (sf)
  Class A, $256.00 mil.: AAA (sf)
  Class B, $48.00 mil.: AA (sf)
  Class C (deferrable), $24.00 mil.: A (sf)
  Class D (deferrable), $24.00 mil.: BBB- (sf)
  Class E (deferrable), $13.00 mil.: BB- (sf)
  Subordinated notes, $33.50 mil.: Not rated


ATLAS SENIOR XIV: Moody's Confirms Ba1 Rating on $23.8M Cl. D Notes
-------------------------------------------------------------------
Moody's Investors Service has confirmed the rating on the following
notes issued by Atlas Senior Loan Fund XIV, Ltd. (the "CLO" or
"Issuer"):

US$23,800,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2032, Confirmed at Ba1 (sf); previously on December 8, 2020 Ba1
(sf) Placed Under Review for Possible Upgrade

The Class D Notes are referred as the "Confirmed Notes."

This action concludes the review for upgrade initiated on December
8, 2020 on the Class D Notes issued by the CLO. The CLO, issued in
June 2019, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
July 2024.

RATINGS RATIONALE

Moody's confirmed the rating on the Confirmed Notes due to its
determination that their expected loss continues to be consistent
with the notes' current rating after taking into account the CLO's
latest portfolio, over-collateralization levels, relevant
structural features and covenants, as well as applying Moody's
revised CLO assumptions.

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

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

Performing par and principal proceeds balance: $388,249,143

Defaulted Securities: $3,540,252

Diversity Score: 73

Weighted Average Rating Factor (WARF): 2892

Weighted Average Life (WAL): 6.0 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.54%

Weighted Average Recovery Rate (WARR): 47.6%

Par haircut in OC tests and interest diversion test: 0.12%

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 our 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; an additional cashflow
analysis assuming a lower WAS to test the sensitivity to LIBOR
floors; sensitivity analysis on deteriorating credit quality due to
a large exposure to loans with negative outlook, and a lower
recovery rate assumption on defaulted assets to reflect declining
loan recovery rate 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.
Moody's 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 our forecasts is unusually high.

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

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

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

The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.


BANK 2017-BNK5: DBRS Confirms B (low) Rating on Class G Certs
-------------------------------------------------------------
DBRS Limited confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2017-BNK5 issued by BANK
2017-BNK5 as follows:

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

All trends are Stable.

Class G was removed from Under Review with Negative Implications
where it was placed on August 6, 2020.

As of the December 2020 remittance, all 87 original loans remain in
the pool. Two loans, representing 0.5% of the current pool balance,
are fully defeased. Additionally, 17 loans, representing 21.8% of
the current trust balance, are on the servicer's watchlist. These
loans are generally being monitored for a low debt service coverage
ratio (DSCR) and occupancy issues that have generally been driven
by disruptions related to the Coronavirus Disease (COVID-19)
pandemic.

Eight of the loans on the watchlist (4.4% of the pool) are secured
by co-op properties, while the other nine (17.4% of the pool) are
secured by non-co-op properties, including six loans backed by five
limited-service hotels (14.2% of the pool), two by retail
properties (1.8% of the pool), and one by a multifamily property
(1.4% of the pool). Three of the loans backed by hospitality
properties have been flagged for COVID-19 relief requests, with
those borrowers typically seeking temporary payment relief.
Although the need for relief, as well as the pandemic-related
stress on hospitality properties across the country that is
undoubtedly affecting the collateral hotels in this pool, is
generally indicative of increased risks from issuance, the
mitigating factors in the historically strong performance of the
underlying hotels and the lack of delinquency were noted as
stabilizing factors for this review. DBRS Morningstar will continue
to monitor those loans for developments.

At issuance, four loans, representing 18.6% of the current pool
balance, were shadow-rated investment grade. These loans include
Del Amo Fashion Center (Prospectus ID #1; 7.5% of the pool);
Olympic Tower (Prospectus ID #5; 4.6% of the pool); Gateway Net
Lease Portfolio (Prospectus ID #9; 3.7% of the pool); and Stor-It
Southern California Portfolio (Prospectus ID #11; 2.8% of the
pool). With this review, DBRS Morningstar confirms that the
performance of these loans remains consistent with investment-grade
loan characteristics.

Although the overall performance of the pool has remained stable
from issuance, DBRS Morningstar continues to monitor the
performance of the underlying collateral, much of which has been
affected by the pandemic. DBRS Morningstar notes that the pool has
a moderate concentration of hospitality properties, representing
14.4% of the pool. Hospitality properties have been the most
severely affected by the initial impact of the coronavirus
pandemic. The pool is also concentrated in loans secured by retail
properties, which represent 34.2% of the current pool balance. Much
like hospitality properties, retail properties have been among the
most significantly affected by the pandemic and those loans are
being monitored closely as well.

The largest loan in the pool, Del Amo Fashion Center (Prospectus
ID#1; 7.5% of the pool), is secured by the borrower's fee interest
in 1.8 million square feet (sf) of a 2.5 million-sf super-regional
mall located outside Los Angeles in Torrance, California. The mall
was subject to a $423.0 million renovation finished in May 2018
that expanded the north (higher end retail), south (value segment),
and lifestyle wings of the mall. In July 2020, the non-collateral
Sears was closed, leaving anchors in JCPenney, Macy's, and
Nordstrom. DBRS Morningstar notes the low going-in loan-to-value
ratio of 39.8% along with stable occupancy since issuance as
mitigating factors for the additional challenges to regional malls
amid the coronavirus pandemic. The loan is shadow-rated investment
grade and has continued to display very strong credit metrics since
issuance, showing a YE2019 DSCR of 4.15 times.

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


BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs
---------------------------------------------------------
DBRS Limited confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2017-BNK7 issued by BANK
2017-BNK7 as follows:

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

All trends are Stable.

Classes G and X-F were removed from Under Review with Negative
Implications where they were placed on August 6, 2020.

As of the December 2020 remittance, 64 of the original 65 loans
remain in the pool, representing a collateral reduction of 2.1%
since issuance. Additionally, 18 loans, representing 15.3% of the
current trust balance, are on the servicer's watchlist. These loans
are generally being monitored for a low debt service coverage ratio
and occupancy issues that have generally been driven by disruptions
related to the Coronavirus Disease (COVID-19) pandemic.

Twelve of the loans on the watchlist (2.4% of the pool) are secured
by co-op properties, while six of the loans (12.9% of the pool) are
secured by non-co-op properties, including three loans backed by
limited-service hotels (11.1% of the pool), two by multifamily
properties (1.6% of the pool), and one by a retail property (0.2%
of the pool). With the exception of the Redondo Beach Hotel
(Prospectus #7; 5.1% of the pool) property, which saw cash flow
declines through YE2019, the hospitality properties in the pool
have generally exhibited stable credit characteristics since
issuance. Although the pandemic-related stress on hospitality
properties across the country is undoubtedly affecting the
collateral hotels in this pool, a factor generally indicative of
increased risks from issuance, the historically stable performance
and the lack of delinquency were noted as stabilizing factors for
this review. DBRS Morningstar will continue to monitor those loans
for developments.

At issuance, five loans, representing 25.1% of the current pool
balance, were shadow-rated investment grade. These loans include
General Motors Building (Prospectus ID #1; 9.4% of the pool);
Westin Building Exchange (Prospectus ID#5; 5.7% of the pool); The
Churchill (Prospectus ID #8; 4.1% of the pool); Overlook at King of
Prussia (Prospectus ID #9; 3.4% of the pool); and Moffett Place B4
(Prospectus ID #13; 2.7% of the pool). With this review, DBRS
Morningstar confirms that the performance of these loans remains
consistent with investment-grade loan characteristics.

One loan is in special servicing: HGI Memphis Wolfchase Galleria
(Prospectus ID#22), representing 1.1% of the pool. The collateral
is a 124-key limited-service hotel located in Cordova, Tennessee,
and the loan was transferred to the special servicer in May 2020
for monetary default related to the coronavirus pandemic. According
to the servicer's commentary, conversations with the borrower
regarding the workout strategy remain ongoing.

Although the overall performance of the pool has remained generally
stable from issuance, DBRS Morningstar continues to monitor the
impact of the pandemic on the underlying collateral. DBRS
Morningstar notes that the subject pool has a relatively moderate
concentration (12.2%) of loans backed by hospitality properties.
The pool has a higher concentration of loans secured by retail
properties, which represent 21.9% of the current balance. Both
hotel and retail property types have been among the hardest hit by
the effects of the pandemic and, as such, these loans will be
monitored closely for developments.

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


BANK 2020-BNK30: DBRS Finalizes BB Rating on Class X-G Certs
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2020-BNK30 issued by BANK 2020-BNK30:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-3-1 at AAA (sf)
-- Class A-3-2 at AAA (sf)
-- Class A-3-X1 at AAA (sf)
-- Class A-3-X2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-4-X1 at AAA (sf)
-- Class A-4-X2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class X-F at BBB (low) (sf)
-- Class X-G at BB (sf)
-- Class D at A (low) (sf)
-- Class X-D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)

All trends are Stable. Classes X-D, X-F, X-G, D, E, F, and G have
been privately placed.

Classes A-3-X1, A-3-X2, A-4-X1, A-4-X2, X-A, X-B, A-S-X1, A-S-X2,
X-D, X-F, and X-G are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.

The Class A-3-1, A-3-2, A-3-X1, A-3-X2, A-4-1, A-4-2, A-4-X1,
A-4-X2, A-S-1, A-S-2, A-S-X1, and A-S-X2 certificates are also
offered certificates. Such classes of certificates, together with
the Class A-3, A-4, and A-S certificates, constitute the
Exchangeable Certificates. The Class A-1, A-SB, A-2, B, C, D, E, F,
G, and H certificates, together with the RR Interest and the
Exchangeable Certificates with a certificate balance, are referred
to as the principal balance certificates.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. DBRS Morningstar continues to monitor the
ongoing coronavirus pandemic and its impact on both the commercial
real estate (CRE) sector and the global fixed income markets.
Accordingly, DBRS Morningstar may apply additional short-term
stresses to its rating analysis, for example by front-loading
default expectations and/or assessing the liquidity position of a
structured finance transaction with more stressful operational risk
and/or cash flow timing considerations.

The transaction consists of 40 fixed-rates loans secured by 62
commercial and multifamily properties. The transaction is of a
sequential-pay pass-through structure. Three loans, representing
25.7% of the pool, are shadow-rated investment grade by DBRS
Morningstar. Additionally, 14 loans in the pool, representing 5.3%
of the transaction, are backed by residential co-operative loans.
The conduit pool was analyzed to determine the DBRS Morningstar
ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. When the cut-off
loan balances were measured against the DBRS Morningstar Net Cash
Flow and their respective actual constants, the initial
Weighted-average (WA) DBRS Morningstar Debt Service Coverage Ratio
(DSCR) of the pool was 2.75 times (x). One loan, representing only
0.7% of the pool, has a DBRS Morningstar DSCR below 1.32x, a
threshold indicative of a higher likelihood of midterm default. The
pool additionally includes five loans, composing a combined 15.3%
of the pool balance, with a DBRS Morningstar Loan-to-Value (LTV)
ratio exceeding 67.1%, a threshold generally indicative of
above-average default frequency. The WA DBRS Morningstar LTV of the
pool at issuance was 52.4%, and the pool is scheduled to amortize
down to a WA DBRS Morningstar LTV of 47.4% at maturity. These
credit metrics are based on the A-note balances. Excluding the
shadow-rated loans, representing 25.7% of the pool, the deal still
exhibits a favorable DBRS Morningstar Issuance LTV of 56.4%.

The pool has a top 10 loan concentration of 70.6% and exhibits a
Herfindahl score of 16.7, which is notably lower than previous
transactions rated by DBRS Morningstar, including BANK 2020-BNK29,
with a Herfindahl score of 18.4, and BANK 2020-BNK26, with a
Herfindahl score of 32.7. Three of the loans—605 Third Avenue,
McDonald's Global HQ, and Grace Building—exhibit credit
characteristics consistent with investment-grade shadow ratings.
Combined, these loans represent 25.7% of the pool. Both 605 Third
Avenue and McDonald's Global HQ have credit characteristics
consistent with an A (low) shadow rating, and Grace Building has
credit characteristics consistent with an "A" shadow rating.
Additionally, 14 loans in the pool, representing 5.3% of the
transaction, are backed by residential co-operative loans.
Residential co-operatives tend to have minimal risk, given their
low leverage and high risk to residents if the co-operative
associations default on their mortgages. The WA LTV for these loans
is 17.2%.

Twenty-seven loans, representing a combined 62.7% of the pool by
allocated loan balance, exhibit issuance LTVs of less than 59.3%, a
threshold historically indicative of relatively low-leverage
financing and generally associated with below-average default
frequency. Even with the exclusion of the shadow-rated loans,
representing 25.7% of the pool, and 14 loans, representing 5.3% of
the pool, the deal exhibits a favorable DBRS Morningstar Issuance
LTV of 59.4%. Additionally, term default risk is low, as indicated
by a strong DBRS Morningstar DSCR of 2.75x. Even with the exclusion
of the shadow-rated and National Cooperative Bank, N.A. (NCB)
loans, the deal exhibits a very favorable DBRS Morningstar DSCR of
2.28x.

While the pool demonstrates favorable loan metrics with WA DBRS
Morningstar Issuance and Balloon LTVs of 52.4% and 47.4%,
respectively, it also exhibits heavy leverage barbelling. There are
three loans, accounting for 25.7% of the pool, with
investment-grade shadow ratings and a WA LTV of 40.8% and 14 loans,
representing 5.3% of the transaction, secured by co-operatives with
a WA DBRS Morningstar LTV of 17.2%. The pool also has 27 loans,
representing a combined 62.7% of the pool by allocated loan
balance, with an issuance LTV lower than 59.3%, a threshold
historically indicative of relatively low-leverage financing. There
are five loans, constituting a combined 15.3% of the pool balance,
with an issuance LTV higher than 67.1%, a threshold historically
indicative of relatively high-leverage financing and generally
associated with above-average default frequency. The WA expected
loss of the pool's investment-grade and NCB co-operative component
was approximately 0.6%, while the WA expected loss of the pool's
conduit component was substantially higher at approximately 2.0%,
further illustrating the barbelled nature of the transaction. The
WA DBRS Morningstar expected loss exhibited by the loans that have
relatively high-leverage financing was 2.1%. This is higher than
the conduit component's WA expected loss of 1.9%, and the pool's
credit enhancement reflects the higher leverage of this five-loan
component with an issuance LTV exceeding 67.1%.

Nine loans, representing 29.1% of the pool, are in areas identified
as DBRS Morningstar Market Ranks of 7 or 8, which are generally
characterized as highly dense urbanized areas that benefit from
increased liquidity driven by consistently strong investor demand,
even during times of economic stress. Markets ranked seven and
eight benefit from lower default frequencies than less dense
suburban, tertiary, and rural markets. Urban markets represented in
the deal include New York and San Francisco. In addition, 22 loans,
representing 42.0% of the pool balance, have collateral in
Metropolitan Statistical Area (MSA) Group 3, which is the
best-performing group in terms of historical commercial
mortgage-backed securities (CMBS) default rates among the top 25
MSAs. MSA Group 3 has a historical default rate of 17.2%, which is
nearly 10.8 percentage points lower than the overall CMBS
historical default rate of 28.0%.

Ten loans, representing 57.0% of the pool balance, received a
property quality of Average + or better including one loan,
representing 8.6% of the pool, deemed to have Excellent quality and
two loans, representing 16.6% of the pool, to be Above Average. Six
loans, five of which are within the top 10 loans, representing
42.4% of the pool, have Strong sponsorship. Furthermore, DBRS
Morningstar identified only three loans, which, combined, represent
just 6.5% of the pool, that have sponsorship and/or loan collateral
associated with a voluntary bankruptcy filing, a prior discounted
payoff, a loan default, limited net worth and/or liquidity, a
historical negative credit event, and/or inadequate commercial real
estate experience.

The pool has a relatively high concentration of loans secured by
office and retail properties with six loans, representing 42.3% of
the pool balance, secured by office properties and 10 loans,
representing 33.6% of the pool, secured by retail properties. The
ongoing coronavirus pandemic continues to pose challenges globally,
and the future demand for office and retail space is uncertain with
many store closures, companies filing for bankruptcy or downsizing,
and more companies extending their remote-working strategy. Three
of the six office loans, representing 60.8% of the office balance,
are shadow-rated investment grade by DBRS Morningstar: 605 Third
Avenue, McDonald's Global HQ, and Grace Building. Furthermore,
62.2% of the office loans are in areas with DBRS Morningstar Market
Ranks of 7 or 8, and no loans are in a market ranked lower than
five. Additionally, two retail loans, representing 38.3% of the
retail concentration, are in areas with a DBRS Morningstar Market
Rank of 6. The retail properties in more suburban areas have a WA
expected loss that is more than 50% higher than the overall pool's
expected loss. Of the retail concentration, three loans,
representing 24.4% of the retail loans, are secured by multiple
properties (25 in total), which insulates the loans from issues at
any one property. The office and retail properties exhibit
favorable WA DBRS Morningstar DSCRs of 3.01x and 2.10x,
respectively. Additionally, both property types exhibit favorable
LTVs at 47.3% and 60.7%, respectively. Four of the loans secured by
office properties, representing 74.1% of the concentration, have
sponsors that DBRS Morningstar deemed to be Strong.

Sixteen loans, representing 67.0% of the pool balance, are
structured with full-term IO periods. An additional three loans,
representing 7.8% of the pool balance, are structured with
partial-IO terms ranging from 36 months to 60 months. Of the 16
loans with full-term IO periods, seven loans, representing 39.0% of
the pool by allocated loan balance, are in areas with a DBRS
Morningstar Market Rank of 6, 7, or 8. These markets benefit from
increased liquidity even during times of economic stress. Two of
the 16 identified loans, representing 17.2% of the total pool
balance, are shadow-rated investment grade by DBRS Morningstar: 605
Third Avenue and Grace Building.

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


BDS 2020-FL5: DBRS Confirms B (low) Rating on Class G Notes
-----------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of notes
issued by BDS 2020-FL5 Ltd.:

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

All trends are Stable.

The ratings confirmations reflect the overall stable performance of
the Notes since issuance. At issuance, the trust consisted of 24
floating-rate mortgage loans secured by 26 transitional real estate
properties with a cut-off pool balance of $492.2 million. The $57.8
million ramp-up period ended in August 2020, increasing the pool
balance to $550.0 million. Per the December 2020 remittance report,
the trust comprised 27 loans secured by 29 properties. The
transaction features a two-year reinvestment period that is
scheduled to expire in February 2022. Reinvestment is subject to
eligibility criteria, which includes a rating agency confirmation
for funded companion participations that are being acquired for
more than $1.5 million and for any other mortgaged assets. DBRS
Morningstar analyzed the pool using the most conservative loan
metrics to forecast an adverse selection scenario for acquired
companion participations of less than $1.5 million.

The loans are generally secured by traditional property types with
only two loans, representing 6.9% of the pool balance, secured by
hospitality properties and one loan, representing 4.5% of the pool
balance, secured by a student housing property. The trust primarily
comprises multifamily properties, which secure 22 loans
representing 79.4% of the pool balance. Multifamily properties have
generally been more resilient during the Coronavirus Disease
(COVID-19) pandemic relative to other property types. Most of the
multifamily properties in the transaction are in a transitional
phase that commenced prior to the coronavirus pandemic; however,
the pandemic has delayed some of the original completion timelines,
which could ultimately affect the collaterals' stabilization
process prior to the respective initial loan maturities.

Per the December 2020 remittance report, eight loans, representing
27.0% of the pool balance, are on the servicer's watchlist
primarily for financial performance declines. Forbearance
agreements related to the coronavirus pandemic were granted to
sponsors of the Park Long Beach Portfolio, The Normandy Hotel,
Obispo & Coronado Portfolio, and Carte Hotel San Diego Downtown
loans. The forbearance agreements generally allowed deferral of
debt service payments that are scheduled to be repaid over the loan
term.

Forbearance agreements were executed for the two hospitality
properties, Carte Hotel San Diego Downtown (Prospectus ID#10; 3.6%
of the pool balance) and The Normandy Hotel (Prospectus ID#14; 3.2%
of the pool balance). The Carte Hotel San Diego Downtown loan is
secured by a 246-key full-service hotel near San Diego's Little
Italy neighborhood. The sponsor developed the property and
delivered it to the market in September 2019. The sponsor's
business plan was to stabilize hotel and food and beverage
operations by capturing business from the transient and group
segments. Travel restrictions resulting from the coronavirus
pandemic have significantly affected operations and the borrower
has been covering the debt service payments, despite the
collateral's cash shortfalls. A forbearance agreement was agreed
upon that allowed the deferral of interest payments for 90 days
beginning with the November 2020 monthly payment, which will be
repaid in monthly installments over the subsequent 12 months. The
servicer has the option to extend the forbearance period by an
additional 90 days. As of December 2020, the recent resurgence of
coronavirus outbreaks in California has further restricted
travelers and the hotel's services and amenities are limited at
this time. DBRS Morningstar continues to monitor the coronavirus
situation in California, which considerably affects the
collateral's performance.

The Normandy Hotel loan is secured by a 75-key limited-service
boutique hotel near Embassy Row in Washington, D.C. Major demand
drivers for the hotel include visitors to the local embassies,
overflow guests from nearby larger convention hotels, and business
travelers. The sponsor's business plan was to stabilize hotel
operations after completing a guest-room renovation in late 2018.
The coronavirus pandemic has significantly affected the hotel;
according to the September 2020 Smith Travel Research report, the
subject's occupancy rate has been less than 15.0% since April 2020.
A forbearance agreement was executed that originally allowed
deferral of interest payments and furniture, fixture, and equipment
deposits between May 2020 and July 2020. A 90-day extension was
approved with payments and deposits deferred through October 2020.
The borrower requested an additional 180-day extension through
March 2021, which is currently under review. DBRS Morningstar is
monitoring the status of the forbearance extension and the ultimate
repayment plan of the deferred interest payments. If the current
terms are extended through March 2021, the accrued interest
payments may not be fully repaid over the subsequent 12 months.

BDS 2020-FL5 Retention Holder, LLC, a subsidiary of the advancing
agent, was initially slated to acquire the Class F Notes, Class G
Notes, and the Preferred Shares, which represent 18.25% of the pool
balance.

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


BELLEMEADE RE 2020-4: DBRS Finalizes BB Rating on Class M-2A Notes
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Insurance-Linked Notes, Series 2020-4 issued by Bellemeade
Re 2020-4 Ltd. (BMIR 2020-4 or the Issuer):

-- $136.3 million Class M-2A at BB (sf)
-- $152.6 million Class M-2B at B (low) (sf)

The BB (sf) and B (low) (sf) ratings reflect 4.25% and 2.25% of
credit enhancement, respectively.

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

BMIR 2020-4 is Arch Mortgage Insurance Company's  and United
Guaranty Residential Insurance Company's (Ceding Insurer) 12th
rated 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 that the Ceding Insurer pays to settle claims
on the underlying MI policies.

The BMIR 2020-4 Notes are backed by the MI policies that were also
reinsured in the Bellemeade Re 2020-1 Ltd. (BMIR 2020-1)
transaction. The losses arising from any underlying MI policies
reinsured in this transaction will be allocated first to the
various coverage levels, up to the coverage level M-1C, before
being allocated to the coverage level B-1 of the BMIR 2020-1
transaction.

As of the cut-off date, the pool of insured mortgage loans consists
of 131,047 fully amortizing first-lien fixed- and variable-rate
mortgages that are part of BMIR 2020-1 transaction. They all have
been underwritten to a full documentation standard, have original
loan-to-value ratios (LTVs) less than or equal to 100%, have never
been reported to the ceding insurer as 60 or more days delinquent,
have never been reported to be modified, and have not been reported
to be in payment forbearance plan. The mortgage loans have MI
policies effective on or after February 2018. 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. All of the
mortgage loans (100%) were originated prior to the introduction of
the new master policy.

On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the Ceding Insurer. As 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 the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to AAA or equivalent 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 mortgage
insurance-linked Notes (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 claims are settled
with respect to 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
the reduction in the aggregate exposed principal balance on the
underlying MI policy that is allocated to the Notes. 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 be satisfied if the subordinate percentage is at least 8.00%.
The delinquency test will be satisfied if the three-month average
of 60+ days delinquency percentage is below 75% of the subordinate
percentage.

Interest payments are funded via (1) premium payments that the
Ceding Insurer must make under the reinsurance agreement and (2)
earnings on eligible investments.

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 a majority of the prior rated MILN
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 occurs. Please refer to the related report
and/or offering circular for more details.

The Notes are scheduled to mature on June 25, 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
December 2025, among others. The Notes are also subject to
mandatory redemption before the scheduled maturity date upon the
termination of the Reinsurance Agreement.

Arch MI and UGRIC, together, act as 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.

Coronavirus Impact – MILN

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may continue to rise in
the coming months for many RMBS asset classes, some meaningfully.

Various mortgage insurance (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 is typically
composed of 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 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 the moderate
scenario in its commentary "Global Macroeconomic Scenarios:
December Update" published on December 2, 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 pandemic 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 (DTI) 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 of the
failure of performance triggers.

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


BENCHMARK 2020-B22: Fitch Gives Final 'B-' Rating on Cl. G Certs
----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2020-B22 Mortgage Trust commercial mortgage pass-through
certificates series 2020-B22 as follows:

-- $9,763,000 class A-1 'AAAsf'; Outlook Stable;

-- $3,086,000 class A-2 'AAAsf'; Outlook Stable;

-- $15,906,000 class A-SB 'AAAsf'; Outlook Stable;

-- $132,500,000a class A-4 'AAAsf'; Outlook Stable;

-- $380,199,000a class A-5 'AAAsf'; Outlook Stable;

-- $611,069,000b class X-A 'AAAsf'; Outlook Stable;

-- $69,615,000 class A-M 'AAAsf'; Outlook Stable;

-- $30,941,000 class B 'AA-sf'; Outlook Stable;

-- $31,907,000 class C 'A-sf'; Outlook Stable;

-- $62,848,000bc class X-B 'A-sf'; Outlook Stable;

-- $41,576,000bc class X-D 'BBB-sf'; Outlook Stable;

-- $22,238,000bc class X-F 'BB-sf'; Outlook Stable;

-- $7,735,000bc class X-G 'B-sf'; Outlook Stable;

-- $22,238,000c class D 'BBBsf'; Outlook Stable;

-- $19,338,000c class E 'BBB-sf'; Outlook Stable;

-- $22,238,000c class F 'BB-sf'; Outlook Stable;

-- $7,735,000c class G 'B-sf'; Outlook Stable.

The following classes are not rated by Fitch:

-- $28,040,150bc class X-H;

-- $28,040,150c class H;

-- $40,710,850cd VRR Interest.

(a) When Fitch published its expected ratings on Dec. 15, 2020, the
initial certificate balances of classes A-4 and A-5 were unknown
and expected to be $512,699,000 in aggregate, subject to a 5%
variance. The final certificate balances for class A-4 and class
A-5 are $132,500,000 and $380,199,000, respectively.

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

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

(d) Vertical credit risk retention interest.

The final ratings are based on information provided by the issuer
as of Dec. 31, 2020.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 33 fixed-rate loans secured by
44 commercial properties having an aggregate principal balance of
$814,217,000 as of the cut-off date. The loans were contributed to
the trust by JPMorgan Chase Bank, National Association, Citi Real
Estate Funding Inc., Goldman Sachs Mortgage Company and German
American Capital Corporation. Fitch reviewed a comprehensive sample
of the transaction's collateral, including site inspections on
52.3% of the properties by balance, cash flow analysis of 94.2% and
asset summary reviews of 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 (2.5% of the pool) and Hotel Zaza Houston Museum
District (2.5% of the pool), have negotiated loan
amendments/modifications. Please see the Additional Coronavirus
Forbearance Provisions section on page 13 of Fitch's presale for
more details.

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 98.8% is lower than the YTD 2020 average of 99.4% and the 2019
average of 103.0%. The pool's Fitch debt service coverage ratio
(DSCR) of 1.40x is greater than the YTD 2020 and 2019 averages of
1.32x and 1.26x, respectively. Excluding credit opinion loans, the
pool's weighted average (WA) Fitch DSCR and LTV are 1.33x and
108.4%, respectively.

Credit Opinion Loans: The pool includes two loans, representing
19.0% of the deal, that received investment-grade credit opinions.
This falls between the YTD 2020 and 2019 averages of 25.8% and
14.2%, respectively. The Grace Building (9.8% of the pool) received
a stand-alone credit opinion of 'A-sf*'; and MGM Grand & Mandalay
Bay (9.2% of pool) received a stand-alone credit opinion of
'BBB+sf*'.

Property Type Representations: Loans secured by office properties
account for 47.6% of the pool, which is higher than the YTD 2020
and 2019 averages of 41.1% and 34.2%, respectively. While the pool
is highly exposed to the office sector, several of these properties
are high-quality assets in core markets, including The Grace
Building (9.8% of the pool), 711 Fifth Avenue (4.0% of the pool)
and 4 West 58th Street (3.7% of the pool) located in New York City,
and 1088 Sansome (4.0% of the pool) located in San Francisco. The
pool's retail property concentration of 18.2% is greater than the
YTD 2020 average of 15.6%, but lower than the 2019 average of
23.6%. Hotel and casino properties account for 14.1% of the pool by
balance, which is greater than the YTD 2020 and 2019 averages of
8.9% and 12.0%, 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 result 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 positive
rating action/upgrade:

-- 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 in
    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' /
'BBB-sf' / 'BBB-sf'.

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

-- Similarly, 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 to
    the same one variable, Fitch NCF:

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

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

20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BB+sf' / 'B+sf' / 'CCCsf ' /
'CCCsf' / 'CCCsf'.

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

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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.

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.


BLACKROCK DLF 2019-G: DBRS Hikes Class E Notes Rating to BB
-----------------------------------------------------------
DBRS, Inc. confirmed its ratings of AAA (sf) on the Class A-1 Notes
and AA (sf) on the Class A-2 Notes issued by BlackRock DLF IX
2019-G CLO, LLC. DBRS Morningstar upgraded four ratings as follows:
the Class B Notes to A (high) (sf) from A (sf), the Class C Notes
to A (sf) from BBB (sf), the Class D Notes to BBB (sf) from BB
(sf), and the Class E Notes to BB (sf) from B (sf) (together, the
Secured Notes). DBRS Morningstar also assigned a rating of B (sf)
to the Issuer's Class W Notes (together with the Secured Notes, the
Notes). DBRS Morningstar discontinued its rating on the Combination
Notes, pursuant to the Amended and Restated Note Purchase and
Security Agreement (NPSA) dated as of December 23, 2020, among the
Issuer; the U.S. Bank National Association (rated AA (high) with a
Negative trend by DBRS Morningstar) as the Collateral Agent,
Custodian, Document Custodian, Collateral Administrator,
Information Agent, and Note Agent; and the Purchasers referred to
therein. The discontinuation of the rating on the Combination Notes
reflects the repayment in full of the Combination Notes by way of a
redemption in kind with the corresponding underlying components of
the Secured Notes, which fully reduced the Combination Note Rated
Principal Balance, pursuant to the terms of the NPSA.

The ratings on the Class A-1 and A-2 Notes address the timely
payment of interest (excluding the interest payable at the
Post-Default Rate, as defined in the NPSA) and the ultimate payment
of principal on or before the Stated Maturity of October 16, 2029.
The ratings on the Class B, C, D, E, and W Notes address the
ultimate payment of interest (excluding the interest payable at the
Post-Default Rate, as defined in the NPSA) and the ultimate payment
of principal on or before the Stated Maturity of October 16, 2029.

The principal methodology used to rate the Notes is "Rating CLOs
and CDOs of Large Corporate Credit," which can be found on
dbrsmorningstar.com under Methodologies & Criteria.

The Notes are collateralized primarily by a portfolio of U.S.
middle-market corporate loans. The Issuer will be managed by
BlackRock Capital Investment Advisors, LLC (BCIA), which is a
wholly-owned subsidiary of BlackRock, Inc. DBRS Morningstar
considers BCIA to be an acceptable collateralized loan obligation
(CLO) manager.

The ratings reflect the following:

(1) The Amended and Restated NPSA dated as of December 23, 2020;
(2) The integrity of the transaction structure;
(3) DBRS Morningstar's assessment of the portfolio quality;
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios; and
(5) DBRS Morningstar's assessment of the origination, servicing,
and CLO management capabilities of BCIA.

To assess portfolio credit quality, DBRS Morningstar provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio that DBRS Morningstar doesn't
already rate. Credit estimates are not ratings; rather, they
represent a model-driven default probability for each obligor that
helps when rating a facility.

As the Coronavirus Disease (COVID-19) spread around the world,
certain countries imposed quarantines and lockdowns, including the
United States, which accounts for more than one-fourth of confirmed
cases worldwide. The coronavirus pandemic has negatively affected
not only the economies of the countries with the highest infection
rates, but also the overall global economy with diminished demand
for goods and services as well as disrupted supply chains. The
effects of the pandemic may result in deteriorated financial
conditions for many companies and obligors, some of which will
experience the effects of such negative economic trends more than
others. At the same time, governments and central banks in multiple
regions, including the United States and Europe, have taken
significant measures to mitigate the economic fallout from the
coronavirus pandemic.

In conjunction with DBRS Morningstar's commentary, "Global
Macroeconomic Scenarios: Implications for Credit Ratings,"
published on April 16, 2020, and updated in its "Global
Macroeconomic Scenarios: December Update" on December 2, 2020, DBRS
Morningstar further considers additional adjustments to assumptions
for the CLO asset class that consider the moderate economic
scenario outlined in the commentary. The adjustments include a
higher default assumption for the weighted-average (WA) credit
quality of the current collateral obligation portfolio. To derive
the higher default assumption, DBRS Morningstar notches ratings for
obligors in certain industries and obligors at various rating
levels based on their perceived exposure to the adverse disruptions
caused by the coronavirus. Considering a higher default assumption
would result in losses that exceed the original default
expectations for the affected classes of notes. DBRS Morningstar
may adjust the default expectations further if there are changes in
the duration or severity of the adverse disruptions.

For CLOs, DBRS Morningstar ran an additional higher default
adjustment on the WA DBRS Morningstar Risk Score of the current
collateral obligation pool and then ran this adjusted modeling pool
through the DBRS Morningstar CLO Asset Model to generate a stressed
default rate. DBRS Morningstar then performed a cash flow model
analysis to determine the breakeven default rate for the rated
debt. The breakeven default rate is computed over nine combinations
of default timing and interest rate stresses. The breakeven default
rate must exceed the lifetime total default rate generated by the
DBRS Morningstar CLO Asset Model for the debt to achieve the
rating. The results of this adjustment indicate that the Notes can
withstand an additional higher default stress commensurate with a
moderate-scenario impact of the coronavirus pandemic.

Notes: The principal methodology is Rating CLOs and CDOs of Large
Corporate Credit (July 21, 2020), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.


BX TRUST 2021-MFM1: S&P Assigns Prelim 'B-' Rating to Class F Certs
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BX Trust
2021-MFM1's commercial mortgage pass-through certificates.

The note issuance is a CMBS securitization backed by a two-year,
interest-only, floating-rate commercial mortgage loan (comprising
two componentized promissory notes) totaling $477.0 million,
subject to three, one-year extension options. The loan is secured
by the first-mortgage lien on the borrowers' fee-simple interests
in a portfolio of eight multifamily properties totaling 3,206 units
in Florida (three properties), Texas (two properties), Georgia (one
property), North Carolina (one property), and Colorado (one
property).

The preliminary ratings are based on information as of Jan. 4,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of the collateral's
historic and projected performance, the sponsor's and the manager's
experience, respectively, the trustee-provided liquidity, the loan
terms, and the transaction's structure.

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."

  Preliminary Ratings Assigned

  BX Trust 2021-MFM1 pass-through certificates(i)

  Class A, $221,112,500: AAA (sf)
  Class X-CP(ii), $154,778,750(iii): AAA (sf)
  Class X-NCP(ii), $221,112,500(iii): AAA(sf)
  Class B, $51,509,000: AA- (sf)
  Class C, $38,304,000: A- (sf)
  Class D, $39,206,500: BBB- (sf)
  Class E, $45,590,500: BB- (sf)
  Class F, $47,870,500: B-
  Class G, $9,557,000: NR
  RR interest(iv), $23,850,000: NR


CFMT 2020-HB4: DBRS Finalizes BB Rating on Class M4 Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2020-3, issued by CFMT 2020-HB4, LLC:

-- $496.9 million Class A at AAA (sf)
-- $31.4 million Class M1 at AA (sf)
-- $32.7 million Class M2 at A (sf)
-- $28.9 million Class M3 at BBB (sf)
-- $29.4 million Class M4 at BB (sf)
-- $6.3 million Class M5 at BB (low) (sf)

The AAA (sf) rating reflects 90.3% of credit enhancement. The AA
(sf), A (sf), BBB (sf), BB (sf), and BB (low) (sf) ratings reflect
15.55%, 10.33%, 5.71%, 1.01%, and 0.00% of credit enhancement,
respectively.

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

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowner's
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the Cut-Off Date (October 31, 2020), the collateral has
approximately $625.6 million in unpaid principal balance (UPB) from
2,681 nonperforming home equity conversion mortgage (HECM) reverse
mortgage loans secured by first liens typically on single-family
residential properties, condominiums, multifamily (two- to
four-family) properties, manufactured homes, and planned unit
developments. The loans were originated between 1994 and 2016. Of
the total loans, 359 have a fixed interest rate (13.3% of the
balance), with a 5.07% weighted-average coupon (WAC). The remaining
2,322 loans have floating-rate interest (86.7% of the balance) with
a 1.75% WAC, bringing the entire collateral pool to a 2.19% WAC.

All the loans in this transaction are nonperforming (i.e.,
inactive) loans. There are 1,053 loans that are referred for
foreclosure (42.5% of the balance), 63 are in bankruptcy (2.3%),
930 are called due (34.4%), 55 are real estate owned (1.6%), and
the remaining 580 (19.1%) are in default. However all these loans
are insured by the United States Department of Housing and Urban
Development (HUD), and this insurance acts to mitigate losses
vis-à-vis uninsured loans. Because the insurance supplements the
home value, the industry metric for this collateral is not the
loan-to-value ratio (LTV) but rather the weighted-average (WA)
effective LTV adjusted for HUD insurance, which is 54.4% for these
loans. The WA LTV is calculated by dividing the UPB by the maximum
claim amount plus the asset value.

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (the
Class A notes) have been reduced to zero. This structure provides
credit enhancement in the form of subordinate classes and reduces
the effect of realized losses. These features increase the
likelihood that holders of the most senior class of notes will
receive regular distributions of interest and/or principal. All
note classes have available fund caps.

The Class M1, M2, M3, M4, and M5 notes have principal lockout terms
insofar as they are not entitled to principal payments until after
the expected final payment of the upstream notes. Available cash
will be trapped until these dates at which stage the notes will
start to receive payments. Specifically, Classes M1, M2, M3, M4,
and M5 are locked out until May 2023, July 2023, September 2023,
December 2023, and March 2024, respectively. Note that the DBRS
Morningstar cash flow as it pertains to each note models the first
payment being received after these dates for each of the respective
notes; hence at the time of issuance, these rules are not expected
to affect the natural cash flow waterfall.

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


CHEVY CHASE 2005-C: Moody's Lowers Rating on Class NIO Certs to Ca
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class NIO
from Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series
2005-C.

The complete rating action is as follows:

Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates,
Series 2005-C

Cl. NIO*, Downgraded to Ca (sf); previously on Oct 27, 2017
Confirmed at Caa3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating downgrade of Class NIO, an interest only bond, is
primarily due to the principal paydowns of some of its linked P&I
bonds. The rating on an IO bond referencing multiple bonds is the
weighted average of the current ratings of its referenced bonds
based on their current balances which are grossed up, if any, by
their realized losses.

The rating action also reflects the recent performance as well as
Moody's updated loss expectations on the underlying pools.

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

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

Principal Methodologies

The methodologies used in this rating were US RMBS Surveillance
Methodology published in July 2020.


CIM TRUST 2020-J2: Fitch Gives Final 'B' Rating on Class B-5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to residential
mortgage-backed certificates issued by CIM Trust 2020-J2 (CIM
2020-J2).

DEBT            RATING             PRIOR
----            ------             -----
CIM Trust 2020-J2

A-1      LT  AAAsf  New Rating    AAA(EXP)sf
A-2      LT  AAAsf  New Rating    AAA(EXP)sf
A-3      LT  AAAsf  New Rating    AAA(EXP)sf
A-4      LT  AAAsf  New Rating    AAA(EXP)sf
A-5      LT  AAAsf  New Rating    AAA(EXP)sf
A-6      LT  AAAsf  New Rating    AAA(EXP)sf
A-7      LT  AAAsf  New Rating    AAA(EXP)sf
A-8      LT  AAAsf  New Rating    AAA(EXP)sf
A-9      LT  AAAsf  New Rating    AAA(EXP)sf
A-10     LT  AAAsf  New Rating    AAA(EXP)sf
A-11     LT  AAAsf  New Rating    AAA(EXP)sf
A-12     LT  AAAsf  New Rating    AAA(EXP)sf
A-13     LT  AAAsf  New Rating    AAA(EXP)sf
A-14     LT  AAAsf  New Rating    AAA(EXP)sf
A-15     LT  AAAsf  New Rating    AAA(EXP)sf
A-16     LT  AAAsf  New Rating    AAA(EXP)sf
A-17     LT  AAAsf  New Rating    AAA(EXP)sf
A-18     LT  AAAsf  New Rating    AAA(EXP)sf
A-19     LT  AAAsf  New Rating    AAA(EXP)sf
A-20     LT  AAAsf  New Rating    AAA(EXP)sf
A-21     LT  AAAsf  New Rating    AAA(EXP)sf
A-22     LT  AAAsf  New Rating    AAA(EXP)sf
A-23     LT  AAAsf  New Rating    AAA(EXP)sf
A-24     LT  AAAsf  New Rating    AAA(EXP)sf
A-IO1    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO2    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO3    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO4    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO5    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO6    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO7    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO8    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO9    LT  AAAsf  New Rating    AAA(EXP)sf
A-IO10   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO11   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO12   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO13   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO14   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO15   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO16   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO17   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO18   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO19   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO20   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO21   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO22   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO23   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO24   LT  AAAsf  New Rating    AAA(EXP)sf
A-IO25   LT  AAAsf  New Rating    AAA(EXP)sf
B-1      LT  AAsf   New Rating    AA(EXP)sf
B-IO1    LT  AAsf   New Rating    AA(EXP)sf
B-1A     LT  AAsf   New Rating    AA(EXP)sf
B-2      LT  Asf    New Rating    A(EXP)sf
B-IO2    LT  Asf    New Rating    A(EXP)sf
B-2A     LT  Asf    New Rating    A(EXP)sf
B-3      LT  BBBsf  New Rating    BBB(EXP)sf
B-4      LT  BBsf   New Rating    BB(EXP)sf
B-5      LT  Bsf    New Rating    B(EXP)sf
B-6      LT  NRsf   New Rating    NR(EXP)sf
A-IO-S   LT  NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 359 fixed-rate mortgages (FRMs)
with a total balance of approximately $327.36 million as of the
cutoff date. The loans were originated by various mortgage
originators and the seller, Fifth Avenue Trust, acquired the loans
from Bank of America, National Association. 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 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 -3.5% 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. will result in increased unemployment and cash flow
disruptions. To account for the cash flow disruptions, Fitch
assumes deferred payments on a minimum of 8.3% of the pool for the
first month at all rating categories with a reversion to its
standard delinquency and liquidation timing curve by January 2021.

Payment Forbearance (Neutral): As of Dec. 4, 2020, none of the
borrowers in the pool are on a coronavirus forbearance plan. For
borrowers who enter a coronavirus forbearance plan after this date,
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-year fixed-rate fully amortizing Safe Harbor
Qualified Mortgage (SHQM) loans to borrowers with strong credit
profiles, relatively low leverage, and large liquid reserves. Per
Fitch's calculation methodology, the loans are seasoned an average
of four months. The pool has a weighted average (WA) original FICO
score of 782, which is indicative of very high credit-quality
borrowers. Approximately 89% of the loans have a borrower with a
FICO score above 750. In addition, the original WA CLTV ratio of
63.8% represents substantial borrower equity in the property and
reduced default risk.

Low Operational Risk (Negative): Operational risk is well
controlled for in this transaction. Chimera actively purchases
prime jumbo loans and is assessed as an 'Average' aggregator by
Fitch. Loans were primarily originated by Guaranteed Rate, Inc.
(Guaranteed Rate) and Fairway Independent Mortgage Corporation
(Fairway), which comprise approximately 31% and 20% of the loans in
the transaction pool, respectively. Fitch has reviewed both
Guaranteed Rate and Fairway mortgage origination platforms and has
assessed them both to be 'Average' originators.

Shellpoint Mortgage Servicing is the named servicer for the
transaction and is responsible for primary and special servicing
functions. Fitch views Shellpoint as a sound servicer of prime
loans and is rated 'RPS2-'. Overall, Fitch increased its expected
losses at the 'AAAsf' rating stress slightly by 4 bps to reflect
the absence of originator assessments covering a portion of the
transaction coupled with the 'Average' aggregator assessment.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of the pool by Clayton Services,
Opus CMC, and Consolidated Analytics which are respectively
assessed as Acceptable - Tier 1, Acceptable - Tier 2, and
Acceptable - Tier 3 by Fitch. The due diligence results identified
no material exceptions as 100% of loans were graded 'A' or 'B'.
Credit exceptions were deemed immaterial and supported by
compensating factors, and compliance exceptions were primarily
related to the TRID rule and cured with subsequent documentation.
Fitch applied a credit for loans that received due diligence, which
ultimately reduced the 'AAAsf' loss expectation by 13 bps.

Representation and Warranty Framework Adjustment (Negative): The
loan-level representation and warranty (R&W) framework is
consistent with a Tier 1 framework as it contains the full list of
representations which are outstanding for the life of the mortgage
loans. Despite a strong framework, repurchase obligations are
designated to a separate fund that does not hold an
investment-grade rating. The fund may have issues fulfilling
repurchases in times of economic stress, particularly if the fund
must repurchase on behalf of the underlying originators. Fitch
increased its loss expectations by 11 bps at the 'AAAsf' rating
category to account for the non-investment grade counterparty risk
of the R&W provider.

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.

Full Servicer Advancing (Mixed): The servicer will provide full
advancing for the life of the transaction (the servicer is also
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. Wells Fargo, as master servicer, will advance if the
servicer fails to do so.

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 tranches as pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Also, a junior subordination floor
of 0.90% will be maintained to mitigate tail risk, which arises as
the pool seasons and fewer loans are outstanding. Additionally, the
stepdown tests do not allow principal prepayments to subordinate
bondholders in the first five years following deal closing.

Geographic Concentration (Negative): Approximately 49% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(15.6%), followed by the San Francisco MSA (13.3%) and the Chicago
MSA (8.0%). The top three MSAs account for 36.9% of the pool. As a
result, there was a 1.01x adjustment for geographic concentration,
which increased the 'AAAsf' expected loss by 0.02%.

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.

Factor 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 38.5% 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 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.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

CRITERIA VARIATION

The analysis includes one variation to Fitch's "U.S. RMBS Rating
Criteria." Fitch expects to conduct an originator review every
12-18 months for any underlying originator that contributed 15% or
more to a transaction. The originator review for PrimeLending
(15.3%) is expired. The loans in the pool are of very high quality,
a third-party due diligence review was conducted on 100% of the
loans in the pool (with 100% A and B grades), and the concentration
is just slightly above the concentration noted in Fitch's
criteria.

Additionally, Fitch has reviewed both Chimera and BANA as
aggregators. Loans that do not have an originator assessment are
treated as the aggregator in Fitch's analysis and, therefore, a 5%
penalty was applied. 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 Consolidated Analytics, Clayton Services, and Opus CMC.
The third-party due diligence described in Form 15E focused on
credit, compliance, data integrity 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 sound loan origination practices with no incidence of
material defects 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 13 bps.

ESG CONSIDERATIONS

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.


CIM TRUST 2020-J2: Moody's Rates Class B-4 Debt 'Ba1'
-----------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 58
classes of residential mortgage-backed securities issued by CIM
Trust 2020-J2. The ratings range from Aaa (sf) to Ba3 (sf).

CIM 2020-J2 is a securitization of prime residential mortgages. The
pool comprises primarily 30-year along with three 25-year and one
27-year fixed rate mortgages. This transaction represents the
second prime jumbo issuance by Chimera Investment Corporation (the
sponsor) in 2020. The transaction includes 359 fixed rate, first
lien-mortgages with an unpaid principal balance of $327,361,523.
There are 14, primarily high balance, GSE-eligible (2.29% by
balance) and 345 prime jumbo (97.71% by loan balance) mortgage
loans in the pool. The mortgage loans for this transaction have
been acquired by the affiliate of the sponsor, Fifth Avenue Trust
(the Seller) from Bank of America, National Association (BANA).
BANA acquired the mortgage loans through its whole loan purchase
program from various originators. Approximately, 96.04% of the
loans in the pool and those acquired by BANA are underwritten to
Chimera Investment Corporation's guidelines.

All the loans are designated as qualified mortgages either under
the QM safe harbor or the GSE temporary exemption under the
Ability-to-Repay rules. Shellpoint Mortgage Servicing will service
the loans and Wells Fargo Bank, N.A. (Aa2, long term debt) will be
the master servicer. SMS will be responsible for advancing
principal and interest and servicing advances, with the master
servicer backing up SMS' advancing obligations if SMS cannot
fulfill them.

Three third-party review firms verified the accuracy of the loan
level information that we received from the Sponsor. These firms
conducted detailed credit, property valuation, data accuracy and
compliance reviews on 100% of the mortgage loans in the collateral
pool. The TPR results indicate that there are no material
compliance, credit, or data issues and no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis model. Moody's also compared the
collateral pool to other prime jumbo securitizations. In addition,
Moody's adjusted its expected losses based on qualitative
attributes, including the financial strength of the representation
and warranties provider and TPR results.

CIM 2020-J2 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
Moody's analysis of tail risk, Moody's considered the increased
risk from borrowers with more than one mortgage in the pool.

The complete rating actions are as follows:

Issuer: CIM Trust 2020-J2

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. A-21, Assigned Aaa (sf)

Cl. A-22, Assigned Aaa (sf)

Cl. A-23, Assigned Aaa (sf)

Cl. A-24, Assigned Aaa (sf)

Cl. A-IO1*, Assigned Aaa (sf)

Cl. A-IO2*, Assigned Aaa (sf)

Cl. A-IO3*, Assigned Aaa (sf)

Cl. A-IO4*, Assigned Aaa (sf)

Cl. A-IO5*, Assigned Aaa (sf)

Cl. A-IO6*, Assigned Aaa (sf)

Cl. A-IO7*, Assigned Aaa (sf)

Cl. A-IO8*, Assigned Aaa (sf)

Cl. A-IO9*, Assigned Aaa (sf)

Cl. A-IO10*, Assigned Aaa (sf)

Cl. A-IO11*, Assigned Aaa (sf)

Cl. A-IO12*, Assigned Aaa (sf)

Cl. A-IO13*, Assigned Aaa (sf)

Cl. A-IO14*, Assigned Aaa (sf)

Cl. A-IO15*, Assigned Aaa (sf)

Cl. A-IO16*, Assigned Aaa (sf)

Cl. A-IO17*, Assigned Aaa (sf)

Cl. A-IO18*, Assigned Aaa (sf)

Cl. A-IO19*, Assigned Aaa (sf)

Cl. A-IO20*, Assigned Aaa (sf)

Cl. A-IO21*, Assigned Aaa (sf)

Cl. A-IO22*, Assigned Aaa (sf)

Cl. A-IO23*, Assigned Aaa (sf)

Cl. A-IO24*, Assigned Aaa (sf)

Cl. A-IO25*, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-IO1*, Assigned Aa3 (sf)

Cl. B-1A, Assigned Aa3 (sf)

Cl. B-2, Assigned A2 (sf)

Cl. B-IO2*, Assigned A2 (sf)

Cl. B-2A, Assigned A2 (sf)

Cl. B-3, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba1 (sf)

Cl. B-5, Assigned Ba3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.21%
at the mean and 0.09% at the median and reaches 2.47% at a stress
level consistent with our Aaa ratings.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Moody's analysis has considered the effect on the performance of
residential mortgage loans from the current weak US economic
activity and a gradual recovery for the coming months. Although an
economic recovery is underway, it is tenuous and its continuation
will be closely tied to containment of the virus. As a result, the
degree of uncertainty around our forecasts is unusually high.
Moody's increased its model-derived median expected losses by 15%
(approximately 9.1% for the mean) and our Aaa losses by 5% to
reflect the likely performance deterioration resulting from a
slowdown in US economic activity in 2020 due to the coronavirus
outbreak.

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 base 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

Moody's assessed the collateral pool as of the cut-off date of
December 1, 2020. CIM 2020-J2 is a securitization of 359 mortgage
loans with an aggregate principal balance of $327,361,523. This
transaction consists of fixed-rate fully amortizing loans, which
will not expose the borrowers to any interest rate shock for the
life of the loan or to refinance risk. All the mortgage loans are
secured by first liens on one- to four- family residential
properties, condominiums, and planned unit developments. The loans
have a weighted average seasoning of approximately 1.33 months.

Overall, the credit quality of the mortgage loans backing this
transaction is better than recently issued prime jumbo
transactions. The WA FICO of the aggregate pool is 786 (771 CIM
Trust 2020-J1 and 770 in CIM Trust 2019-J2) with a WA LTV of 63.7%
(66.6% in CIM Trust 2020-J1 and 70.3% in CIM Trust 2019-J2) and WA
CLTV of 63.8% (66.9% in CIM Trust 2020-J1 and 70.3% in CIM Trust
2019-J2). Approximately 21.3% (by loan balance) of the pool has a
LTV ratio greater than 75% compared to 30.2% in CIM Trust 2020-J1
and to 38.4% in CIM Trust 2019-J2.

Exterior-only appraisals: In response to the COVID-19 national
emergency, many originators/aggregators have temporarily
transitioned to allowing exterior-only appraisals, instead of a
full interior and exterior inspection of the subject property, on
many mortgage transactions. There are 5 loans in the pool, 1.6% by
unpaid principal balance, that do not have a full appraisal that
includes an exterior and an interior inspection of the property.
Instead, these loans have an exterior-only appraisal. Moody's did
not make any adjustments to its losses for such loans primarily
because of strong credit characteristics such as high FICO score,
low LTV and DTI ratios, and significant liquid cash reserves. In
addition, none of these borrowers have any prior history of
delinquency.

Loans with delinquency and forbearance history: Although there are
no loans in the pool that are currently delinquent, there are 17
loans in the pool that have some history of delinquency. Of these
17 delinquent loans, 6 delinquencies were COVID-19 related
delinquencies and were under a forbearance plan. Of the remaining
11 loans, 9 loans were delinquent because of servicing transfer and
the other 2 loans were delinquent for non-payment of mortgage
obligation. Of note, there were 7 borrowers that had either
inquired about or had entered into a COVID-19 forbearance plan but
never exercised any forbearance option and were always current.
Moody's increased its model-derived median expected losses by 15%
(approximately 9.1% for the mean) and its Aaa losses by 5% to
reflect the likely performance deterioration resulting from of a
slowdown in US economic activity in 2020 due to the coronavirus
outbreak. Moody's regards the coronavirus outbreak as a social risk
under its ESG framework, given the substantial implications for
public health and safety.

Origination

There are 12 originators in the transaction, some of which may have
limited history of securitizing prime jumbo mortgages. The largest
originators in the pool with more than 10% by balance are
Guaranteed Rate Inc. and Guaranteed Rate Affinity, LLC (31.32%+
4.03% = 35.35%), Fairway Independent Mortgage Corporation (20.36%),
PrimeLending (15.28%), and JMAC Lending, Inc. (11.61%).

Underwriting guidelines

Approximately 97.71% of the loans by loan balance are prime jumbo
loans. 96.04% of the loan pool is underwritten to Chimera's
guidelines, with the remaining 1.67% and 2.29% underwritten to
loanDepot.com, LLC's and GSE guidelines, respectively. All the
loans are designated as qualified mortgages either under the QM
safe harbor or the GSE temporary exemption under the
Ability-to-Repay rules.

Moody's increased its base case and Aaa loss expectations for all
loans underwritten to Chimera's underwriting guidelines, as Moody's
considers the underwriting guidelines to be slightly weaker. For
loans that were not acquired under Chimera's guidelines, Moody's
made adjustments based on the origination quality of such loans.
While Moody's were neutral on all GSE-eligible loans, of note,
regardless of the underwriting channel, Moody's increased its base
case and Aaa loss expectations for conforming loans originated by
Home Point Financial Corporation (0.34% of aggregate collateral
balance).

Third Party Review

Three third-party review (TPR) firms, Clayton Services LLC,
Consolidated Analytics, Inc, and Opus Capital Markets Consultants,
LLC, verified the accuracy of the loan level information that the
sponsor gave us. These firms conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool. The TPR results indicate
that the majority of reviewed loans were in compliance with
respective originators' underwriting guidelines, no material
compliance or data issues, and no appraisal defects.

The overall property valuation review for this transaction is in
line with most prime jumbo transactions Moody's have rated, which
typically had third-party valuation products, such as collateral
desk appraisal (CDA), field review and automated valuation model
(AVM) or a Collateral Underwriter (CU) risk score. For one
conforming loan the transaction is utilizing AVM and CU score of
greater than 2.5 as a comparison to verify the original appraisal
and for another conforming loan the transaction is utilizing just
the AVM and does not have a CU score to verify the original
appraisal. These valuation methods are weaker than either having a
CDA or a CU score less than 2.5. Moody's took this framework into
consideration and did not apply an adjustment to the loss for such
loans since the statistically significant sample size and valuation
results of the loans that were reviewed using a third-party
valuation product such as a CDA, field review, and a CU risk score
of equal to or less than 2.5 (in the case of GSE-eligible loans)
were sufficient.

Of note, for property valuation, of the 359 loans reviewed, the TPR
firms identified all loans as either A or B level grades. There
were 2 loans the appraisal of which was not supported by the desk
review (variance between the appraisal value and the desk review
was greater than -10%). A field review was subsequently ordered,
and this valuation came out in line with the appraisal. Therefore,
Moody's did not make any additional adjustments to Moody's base
case and Aaa loss expectations for TPR.

Reps & Warranties (R&W)

All loans were aggregated by BANA through its whole loan
aggregation program. Each originator will provide comprehensive
loan level reps and warranties for their respective loans. BANA
will assign each originator's R&W to the seller, who will in turn
assign to the depositor, which will assign to the trust. To
mitigate the potential concerns regarding the originators' ability
to meet their respective R&W obligations, the R&W provider will
backstop the R&Ws for all originators' loans. The R&W provider's
obligation to backstop third party R&Ws will terminate five years
after the closing date, subject to certain performance conditions.
The R&W provider will also provide gap reps. Moody's considered the
R&W framework in our analysis and found it to be adequate. Moody's
therefore did not make any adjustments to Moody's losses based on
the strength of the R&W framework.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. The loan-level R&Ws are strong and, in
general, either meet or exceed the baseline set of credit-neutral
R&Ws Moody's identified for US RMBS. Among other considerations,
the R&Ws address property valuation, underwriting, fraud, data
accuracy, regulatory compliance, the presence of title and hazard
insurance, the absence of material property damage, and the
enforceability of mortgage.

In a continued 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, an additional carve out
has been included in recent transactions Moody's have rated from
other issuers relating to the delinquency review trigger.
Similarly, in this transaction, exceptions exist for certain
excluded disaster mortgage loans that trip the delinquency trigger.
These excluded disaster loans include COVID-19 forbearance loans.

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 1.35% 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 0.90% of the cut-off pool
balance.

Other Considerations

In CIM 2020-J2, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at a cost
to the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's considers this credit
neutral because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

Servicing Arrangement / COVID-19 Impacted Borrowers

In the event a borrower enters into or requests a COVID-19 related
forbearance plan after December 4, 2020, such mortgage loan will
remain in the mortgage pool and the servicer will be required to
make advances in respect of delinquent interest and principal (as
well as servicing advances) on such mortgage loan during the
forbearance period (to the extent such advances are deemed
recoverable). Forbearances are being offered in accordance with
applicable state and federal regulatory guidelines and the
homeowner's individual circumstances. At the end of the forbearance
period, as with any other modification, to the extent the related
borrower is not able to make a lump sum payment of the forborne
amount, the servicer may, subject to the servicing matrix, offer
the borrower a repayment plan, enter into a modification with the
borrower (including a modification to defer the forborne amounts)
or utilize any other loss mitigation option permitted under the
pooling and servicing agreement.

As with any other modification, it is anticipated that the servicer
will reimburse itself at the end of the forbearance period for any
advances made by it with respect to such mortgage loan, whether
that be from any lump sum payments made by the related borrower,
from any increased payments received with respect to any repayment
plan entered into by the borrower, or, if modified and capitalized
in connection therewith, at the time of such modification as a
reimbursement of such capitalized advances from principal
collections on all of the mortgage loans. The servicer also has the
right to reimburse itself for any advance from all collections on
the mortgage loans at any time it deems such advance to be
non-recoverable. With respect to a mortgage loan that was the
subject of a servicing modification, the amount of principal of the
mortgage loan, if any, that has been deferred and that does not
accrue interest will be treated as 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 rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


DRYDEN 83: S&P Assigns BB- (sf) Rating to $14MM Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Dryden 83 CLO Ltd.'s
floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

-- 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

  Dryden 83 CLO Ltd.
  Class X, $4 million: AAA (sf)
  Class A, $256 million: AAA (sf)
  Class B, $48 million: AA (sf)
  Class C, $24 million: A (sf)
  Class D, $24 million: BBB- (sf)
  Class E, $14 million: BB- (sf)
  Subordinated notes, $40 million: Not rated


FIRST INVESTORS 2021-1: S&P Assigns Prelim B (sf) Rating to F Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to First
Investors Auto Owner Trust 2021-1's asset-backed notes.

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

The preliminary ratings are based on information as of Jan. 7,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The availability of approximately 38.7%, 33.2%, 26.2%, 22.7%,
18.3%, and 14.8% credit support for the class A, B, C, D, E, and F
notes, respectively, based on stressed cash flow scenarios
(including excess spread). These credit support levels provide
approximately 3.10x, 2.65x, 2.05x, 1.75x, 1.40x, and 1.10x coverage
of its 11.75%-12.25% expected cumulative net loss (CNL) range for
the class A, B, C, D, E, and F notes, respectively.

-- The timely interest and principal payments by the legal final
maturity date made under stressed cash flow modeling scenarios that
S&P deems appropriate for the assigned preliminary ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(2.00x S&P's expected loss level), all else being equal, its
ratings will be within the limits specified within the credit
stability section of "S&P Global Ratings Definitions," published
Jan. 5, 2021.

-- The collateral characteristics of the pool, which includes
47.33% of direct-originated loans. Direct loans, historically, have
lower losses than indirect-originated loans.

-- Prefunding will be used in this transaction in the amount of
approximately $46.20 million, about 20% of the pool. The subsequent
receivables, with eligibility criteria similar to those established
for the initial receivables pool, are expected to be transferred
into the trust within three months from the closing date.

-- First Investors Financial Services Inc.'s (First Investors')
31-year history of originating and underwriting auto loans, 18-year
history of self-servicing auto loans, and track record of
securitizing auto loans since 2000 and its 14 years of origination
static pool data, segmented by direct and indirect loans.

-- Wells Fargo Bank N.A.'s experience as the committed back-up
servicer.

-- The transaction's sequential payment and credit structure,
which builds credit enhancement based on a percentage of
receivables as the pool amortizes.

  PRELIMINARY RATINGS ASSIGNED

  First Investors Auto Owner Trust 2021-1

  Class A, $170.36 million: AAA (sf)
  Class B, $17.33 million: AA (sf)
  Class C, $20.21 million: A (sf)
  Class D, $8.09 million: BBB (sf)
  Class E, $8.66 million: BB- (sf)
  Class F, $6.35 million: B (sf)


GS MORTGAGE 2020-GSA2: Fitch Gives 'B' Rating on Class G-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to GS Mortgage Securities Trust 2020-GSA2 commercial
mortgage pass-through certificates series 2020-GSA2:

-- $17.1 million class A-1 'AAAsf'; Outlook Stable;

-- $10.4 million class A-2 'AAAsf'; Outlook Stable;

-- $13.8 million class A-3 'AAAsf'; Outlook Stable;

-- $159.0 million class A-4 'AAAsf'; Outlook Stable;

-- $322.3 million class A-5 'AAAsf'; Outlook Stable;

-- $32.4 million class A-AB 'AAAsf'; Outlook Stable;

-- $612.4 million (a) class X-A 'AAAsf'; Outlook Stable;

-- $73.3 million (a) class X-B 'A-sf'; Outlook Stable;

-- $57.5 million class A-S 'AAAsf'; Outlook Stable;

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

-- $37.7 million class C 'A-sf'; Outlook Stable;

-- $46.6 million (a)(b) class X-D 'BBB-sf'; Outlook Stable;

-- $26.8 million (b) class D 'BBBsf'; Outlook Stable;

-- $19.8 million (b) class E 'BBB-sf'; Outlook Stable;

-- $19.8 million (b) class F 'BB-sf'; Outlook Stable;

-- $7.9 million (b)(c) class G-RR 'Bsf'; Outlook Stable.

Fitch does not rate the following classes:

-- $32.7 million (b)(c) class H-RR;

-- $22.6 million (d) class RR Interest;

-- $11 million (d) class RR Certificates.

(a) Notional amount and IO.

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

(c) Horizontal credit risk retention interest.

(d) Non-offered vertical credit risk retention interest.

Since Fitch published its presale on Dec. 14, 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 $481 million in aggregate, subject to a 5% variance.
The final class balances for classes A-4 and A-5 are $159 million
and $322.3 million, 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 46 fixed-rate loans secured
by 89 commercial properties with an aggregate principal balance of
$826.3 million as of the cutoff date. The loans were contributed to
the trust by Citi Real Estate Funding Inc., Goldman Sachs Mortgage
Company, Starwood Mortgage Capital LLC, Argentic Real Estate
Finance, and Societe Generale Financial Corporation. The master
servicer is expected to be Midland Loan Services, Inc. and the
special servicer are expected to be LNR Partners, LLC.

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 four loans, JW
Marriott Nashville (4.2% of the pool), Hotel Zaza Houston Museum
District (2.4% of the pool), Paramount Town Center loan (1.3% of
the pool) and 1404 West University loan (0.5% of the pool) have
negotiated loan amendments/modifications. Please see the Additional
Coronavirus Forbearance Provisions section on page 13 of Fitch's
presale for more details.

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 (LTV) of 103.8% is higher than YTD 2020 average of
99.4%, but only slightly greater than the 2019 average of 103.0%.
The pool's Fitch debt service coverage ratio (DSCR) of 1.33x is
slightly higher than the YTD 2020 average of 1.31x and higher than
the 2019 average of 1.26x. Excluding credit opinion loans, the
pool's weighted average (WA) DSCR and LTV are 1.27x and 109.6%,
respectively.

Credit Opinion Loans: Two loans representing 10.9% of the pool by
balance have credit characteristics consistent with
investment-grade obligations on a stand-alone basis. MGM Grand &
Mandalay Bay (7.9% of the pool) is secured by a hotel and casino
and received a stand-alone credit opinion of 'BBB+sf', while Grand
Canal Shoppes (3.0% of the pool) is secured by an upscale retail
property located within the Venetian Hotel & Casino and received a
stand-alone credit opinion of 'BBB-sf'.

Property Type Representation: Loans secured by office properties
account for 47.4% of the pool, which is higher than the YTD 2020
and 2019 averages of 41.1% 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. Loans
secured by hotel properties account for 16.3% of the pool, which is
higher than the YTD 2020 and 2019 averages of 8.9% and 12.0%,
respectively. Fitch consider the hotel asset type to have the
greatest downside risk among all of the commercial asset types and
loans secured by hotel properties are assigned an above-average
probability of default in Fitch's multiborrower model.

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 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.

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:

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 below
    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' / 'Bsf'.

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

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

-- Similarly, 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 to
    the same one variable, Fitch NCF:

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

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: 'BBB-sf' / 'BB+sf' / 'CCCsf' / 'CCCsf'/ 'CCCsf' /
'CCCsf' / 'CCCsf'.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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 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.

DATA ADEQUACY

Fitch received information from the issuer in accordance with its
published criteria, which are available at www.fitchratings.com.
Sufficient data, including asset summaries, three years of property
financials (when available) and third-party reports on the
properties, were received.

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-PJ6: Fitch Assigns 'Bsf' on Class B5 Certs
-----------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by GS Mortgage-Backed
Securities Trust 2020-PJ6 (GSMBS 2020-PJ6).

DEBT             RATING              PRIOR
----             ------              -----
GSMBS 2020-PJ6

A1         LT  AAAsf  New Rating    AAA(EXP)sf
A10        LT  AAAsf  New Rating    AAA(EXP)sf
A11        LT  AAAsf  New Rating    AAA(EXP)sf
A11X       LT  AAAsf  New Rating    AAA(EXP)sf
A12        LT  AA+sf  New Rating    AA+(EXP)sf
A2         LT  AAAsf  New Rating    AAA(EXP)sf
A3         LT  AA+sf  New Rating    AA+(EXP)sf
A4         LT  AA+sf  New Rating    AA+(EXP)sf
A5         LT  AAAsf  New Rating    AAA(EXP)sf
A6         LT  AAAsf  New Rating    AAA(EXP)sf
A7         LT  AAAsf  New Rating    AAA(EXP)sf
A8         LT  AAAsf  New Rating    AAA(EXP)sf
A9         LT  AAAsf  New Rating    AAA(EXP)sf
A9X        LT  AAAsf  New Rating    AAA(EXP)sf
AIOS       LT  NRsf   New Rating    NR(EXP)sf
AR         LT  NRsf   New Rating    NR(EXP)sf
AX1        LT  AA+sf  New Rating    AA+(EXP)sf
AX2        LT  AAAsf  New Rating    AAA(EXP)sf
AX3        LT  AA+sf  New Rating    AA+(EXP)sf
AX4        LT  AA+sf  New Rating    AA+(EXP)sf
AX5        LT  AAAsf  New Rating    AAA(EXP)sf
AX7        LT  AAAsf  New Rating    AAA(EXP)sf
B          LT  BBBsf  New Rating    BBB(EXP)sf
B1         LT  AAsf   New Rating    AA(EXP)sf
B1A        LT  AAsf   New Rating    AA(EXP)sf
B1X        LT  AAsf   New Rating    AA(EXP)sf
B2         LT  Asf    New Rating    A(EXP)sf
B2A        LT  Asf    New Rating    A(EXP)sf
B2X        LT  Asf    New Rating    A(EXP)sf
B3         LT  BBBsf  New Rating    BBB(EXP)sf
B3A        LT  BBBsf  New Rating    BBB(EXP)sf
B3X        LT  BBBsf  New Rating    BBB(EXP)sf
B4         LT  BBsf   New Rating    BB(EXP)sf
B5         LT  Bsf    New Rating    B(EXP)sf
B6         LT  NRsf   New Rating    NR(EXP)sf
BX         LT  NRsf   New Rating    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 four months in aggregate. The
borrowers in this pool have strong credit profiles (773 model FICO)
and relatively low leverage (a 75.8% sustainable loan-to-value
ratio [sLTV]). The 100% full documentation collateral is mostly
nonconforming prime-jumbo loans (98%), with a small mix of
conforming agency eligible loans (2%), while 100% of the loans are
Safe Harbor QM. The pool consists of 98% of loans where the
borrower maintains a primary residence, while 2% are second homes.
Additionally, over 90% of the loans were originated through a
retail channel.

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 1.0% of the
original balance will be maintained for the senior certificates,
and a subordination floor of 0.7% 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.

Prior Delinquencies (Negative): 1.9% of the loans have had
delinquencies over the last 12 months; however, all loans are
current and none are in forbearance. The servicer/issuer provided
prior delinquency details on all loans with a prior delinquency,
including whether the loans were a credit-related delinquency, or
delinquency related to a coronavirus-hardship. Only credit-related
delinquencies were treated as dirty current in Fitch's analysis,
and they were treated with a higher probability of default (PD).
These prior delinquencies resulted in an increased 'AAAsf' rating
category loss of 30 bps.

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
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 34 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 21 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.

Factor 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 4.4%. 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.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

CRITERIA VARIATION

Fitch did not review Movement Mortgage, LLC (19%) prior to
assigning expected ratings. Per criteria, Fitch expects to have an
outstanding operational assessment on originators contributing over
15% of an RMBS transaction pool. Fitch has not conducted a full
review of Movement Mortgage, and one is expected to be scheduled in
the near future. Movement Mortgage provided data and material
related to their origination process, as well as underwriting
guidelines.

Ultimately, Fitch is relying on Goldman Sachs' review framework as
Goldman Sachs is assessed as an 'Above Average' aggregator by Fitch
for its robust loan sourcing strategy and strong internal risk
management framework. The aggregator also manages an internal due
diligence team that reviews acquired loans in addition to
leveraging independent TPR firms. In addition to strong aggregation
processes by Goldman Sachs, 100% of the transaction pool received
loan level due diligence from independent TPR firms that are
assessed by Fitch.

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

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.

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. Refer to the
Third-Party Due Diligence section of this report for further
details.

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.


IMSCI 2016-7: DBRS Confirms B Rating on G Certificates
------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2016-7 issued by
Institutional Mortgage Securities Canada Inc., (IMSCI)  Series
2016-7 as follows:

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

All trends are Stable.

The rating confirmations reflect the continued overall stable
performance of the transaction. As of December 2020, the
transaction consists of 36 loans totaling $300.6 million. Two of
the original 38 loans have been repaid, resulting in collateral
reduction of 14.7%, including loan repayments and amortization. The
transaction benefits from a concentration of industrial collateral
as nine loans, representing 26.2% of the pool, are secured by
industrial properties, which have shown greater resilience to cash
flow declines during the Coronavirus Disease (COVID-19) pandemic.
This includes the second-largest loan in the transaction, which is
secured by an industrial property in Montréal, Boivin Industrial
(Prospectus ID#2; 6.3% of the pool). The transaction also includes
nine loans secured by multifamily and self-storage properties,
representing 17.1% of the pool. Additionally, one loan,
representing 5.1% of the pool, is secured by defeasance
collateral.

The transaction has exposure to retail and hotel properties, which
the coronavirus pandemic has disproportionately affected. Combined,
these loans represent 35.9% of the pool, including the largest loan
in the transaction. As of December 2020, six loans, representing
17.3% of the pool, were on the servicer's watchlist. The largest
loan on the servicer's watchlist, Portage Place (Prospectus ID#1;
8.2% of the pool), was added to the watchlist following the
servicer's approval of a modification to allow two three-month
forbearance periods spanning May 2020 to October 2020. During the
forbearance period, principal was deferred and the borrower began
paying amortizing debt service payments in November 2020. The
deferred principal will be paid in equal installments over a
nine-month period. The second-largest loan on the servicer's
watchlist, Hilton Mississauga Meadowvale (Prospectus ID#8; 3.7% of
the pool), is also being monitored for a forbearance, which was
granted from September 2020 to November 2020 and allowed for a
deferment of principal through that period. The borrower began
paying amortizing debt service payments beginning in December 2020
and will pay the forborne principal over a six-month period.

Notes: All figures are in Canadian dollars unless otherwise noted.



LUCALI CLO: S&P Assigns BB- (sf) Rating to $14MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Lucali CLO Ltd./Lucali
CLO LLC's floating-rate notes.

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

The ratings reflect S&P's view of:

-- The diversification of the collateral pool.

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

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

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

  Ratings Assigned

  Lucali CLO Ltd./Lucali CLO LLC

  Class X, $2 million: AAA (sf)
  Class A, $256 million: AAA (sf)
  Class B, $48 million: AA (sf)
  Class C (deferrable), $24 million: A (sf)
  Class D (deferrable), $24 million: BBB- (sf)
  Class E (deferrable), $14 million: BB- (sf)
  Subordinated notes, $40 million: Not rated


MORGAN STANLEY 2015-C22: Fitch Lowers Class E Certs Rating to CCC
-----------------------------------------------------------------
Fitch has downgraded two and affirmed 11 classes of Morgan Stanley
Bank of America Merrill Lynch Trust (MSBAM) 2015-C22 commercial
mortgage pass-through certificates.

     DEBT               RATING             PRIOR
     ----               ------             -----
MSBAM 2015-C22

A-2 61690FAJ2      LT  AAAsf  Affirmed     AAAsf
A-3 61690FAL7      LT  AAAsf  Affirmed     AAAsf
A-4 61690FAM5      LT  AAAsf  Affirmed     AAAsf
A-S 61690FAP8      LT  AAAsf  Affirmed     AAAsf
A-SB 61690FAK9     LT  AAAsf  Affirmed     AAAsf
B 61690FAQ6        LT  AA-sf  Affirmed     AA-sf
C 61690FAS2        LT  A-sf   Affirmed     A-sf
D 61690FAB9        LT  BBsf   Downgrade    BBB-sf
E 61690FAC7        LT  CCCsf  Downgrade    Bsf
F 61690FAD5        LT  CCCsf  Affirmed     CCCsf
PST 61690FAR4      LT  A-sf   Affirmed     A-sf
X-A 61690FAN3      LT  AAAsf  Affirmed     AAAsf
X-B 61690FAA1      LT  AA-sf  Affirmed     AA-sf

KEY RATING DRIVERS

Increased Loss Expectations from FLOCs/Specially Serviced Loans:
The downgrades are driven by increased loss expectations on a
greater number of Fitch Loans of Concern (FLOCs) that have been
impacted by the slowdown in economic activity related to the
coronavirus pandemic. Fifteen loans (36% of pool) are identified as
FLOCs, which includes three specially serviced loans (19.8%), all
of which are among the top five loans in the pool.

Fitch's current ratings incorporate a base case loss of 7.30%. The
Negative Rating Outlooks on classes B, C, D, PST and X-B factor in
additional stresses related to the coronavirus pandemic, which
reflect losses could reach 8.80%. The transaction has also incurred
an additional $6 million in realized losses since the last rating
action from the disposition of the Sheraton Four Points College
Station loan in September 2020 with lower recoveries than
expected.

The largest increase in loss since the prior rating action is the
second largest loan in the pool, Waterfront at Port Chester (8% of
pool), which is secured by a 349,743-sf anchored retail property
located in Port Chester, NY. The loan was transferred to special
servicing in June 2020 for payment default and was over 90 days
delinquent as of the December 2020 distribution date. The borrower,
Greg Wasser of G&S Investors, requested a three-month forbearance
in March 2020 due to the coronavirus pandemic, but defaulted on the
loan while the request was being considered by the master
servicer.

Property occupancy was 94.9% as of June 2020. The property is
anchored by Super Stop & Shop (20.3% of NRA leased through August
2030) and AMC (19.9% of NRA leased through December 2030). Other
major tenants include Bed Bath & Beyond, Marshalls and Crunch
Fitness. All tenants at the property with the exception of Super
Stop & Shop were ordered to close in late March 2020, but most have
been able to reopen over New York's four-stage process. The AMC
Theater remains closed as of December 2020.

Many of the tenants at the property have asked for rent abatements
due to the state's coronavirus restrictions on shopping, with some
requesting permanent lease amendments. According to the special
servicer as of December 2020, the lender is negotiating documents
for a modification agreement that will give a short deferral period
and utilize existing escrows as well as fresh equity to bring the
loan current.

The next largest increase in loss since the prior rating action is
the Dallas Marriott Las Colinas loan (6% of pool), which is secured
by a 364-key full service hotel located in Irving, TX. The loan was
designated a FLOC due to declining cash flow as a result of the
coronavirus pandemic. The servicer-reported TTM June 2020 NOI was
25% below YE 2019.

As of TTM September 2020, the hotel reported occupancy, ADR and
RevPAR of 32.9%, $189 and $62, respectively, compared to 65.3%,
$183, $119 at YE 2019 and 61.1%, $157 and $96 at issuance. As of
TTM September 2020, the property was outperforming its competitive
set in terms of ADR and RevPAR, with respective penetration ratios
of 135% and 103.2%; occupancy penetration was 76.5%.

The loan was modified in June 2020, allowing for the suspension of
monthly FF&E payments for May through July 2020. Per the
modification, the borrower resumed reserve deposits and began
reserve replenishments in August 2020. The hotel's franchise
agreement with Marriott was recently renewed for 20 years through
July 2040. The servicer-reported a TTM June 2020 NOI DSCR of 1.30x,
down from 1.74x at YE 2019.

The next largest increase in loss since the prior rating action is
the specially serviced Hilton Houston Westchase loan (4.3% of
pool), which is secured by a 297-key, full-service hotel located in
Houston, TX. The loan was transferred to special servicing in
February 2020 for imminent maturity default and subsequently
defaulted at its March 2020 scheduled maturity date. The property
is located in the energy corridor and has experienced substantial
performance declines related to the decline in oil and gas prices,
coupled with oversupply in the Houston hotel market. The property
has experienced further performance declines as a result of the
coronavirus pandemic.

The borrower was granted forbearance from April to July 2020;
however, the borrower and special servicer were unable to reach a
long-term modification agreement thereafter. According to the
special servicer as of December 2020, a receiver was appointed in
October 2020 and is working to stabilize operations and bring the
hotel into compliance with all franchisor/brand standard
requirements. The property will be sold through receivership, with
timing to be determined following the receipt of updated broker
valuations in 1Q 2021.

The hotel reported TTM October 2020 occupancy, ADR and RevPAR of
38.1%, $102 and $39, respectively, down from 72.4%, $115 and $83,
respectively, as of YE 2019 and 80%, $144 and $115, respectively,
at issuance. The hotel was outperforming its competitive set in
terms of occupancy and RevPAR as of TTM October 2020, with
respective penetration ratios of 122.3% and 121.5%; ADR penetration
was 99.3%.

The third specially serviced loan, Hilton Garden Inn W 54th Street
(7.5%), is secured by a 401-key select service hotel located on
West 54th Street between Broadway and 8th Avenue in Midtown
Manhattan. The loan was transferred to special servicing in May
2020 for imminent monetary default and was 30 days delinquent as of
the December 2020 distribution date.

The special servicer is currently negotiating a loan modification
and the foreclosure process has not been started due to the New
York moratorium. The hotel reopened in September 2020 after being
closed since March due to the pandemic. TTM October 2020 occupancy,
ADR and RevPAR were 71.3%, $188 and $134, respectively, compared
with 99.1%, $238 and $235 at YE 2019 and 94.6%, $255 and $241 at
issuance.

Additional Stresses Applied due to Coronavirus Exposure: Loans
secured by retail, hotel and multifamily properties represent 24.6%
of the pool (31 loans), 23.2% (ten loans) and 8.1% (seven loans),
respectively. The multifamily exposure includes one loan (Woodland
Heights Apartments; 0.5%) secured by a student housing property.

The retail loans have a weighted average (WA) NOI DSCR of 1.92x and
can withstand an average 47.9% decline to NOI before DSCR falls
below 1.00x. The hotel loans have a WA NOI DSCR of 1.91x and can
withstand an average 47.5% decline to NOI before DSCR falls below
1.00x. The multifamily loans have a WA NOI DSCR of 1.81x and can
withstand an average 44.8% decline to NOI before DSCR falls below
1.00x.

Fitch's analysis applied additional coronavirus-related stresses on
11 retail loans (11.9%), six hotel loans (9.5%) and one multifamily
loan (Woodland Heights Apartments; 0.5%) to account for potential
cash flow disruptions due to the coronavirus pandemic; these
additional stresses contributed to the downgrade of classes D and E
and the Negative Rating Outlooks on classes B, C, D, PST and X-B.

Increased Credit Enhancement: As of the December 2020 distribution
date, the pool's aggregate principal balance has paid down by 8.4%
to $998 million from $1.1 billion at issuance. Defeasance has
increased to 7.2% of the pool (eight loans; $72.3 million) as of
December 2020 from 4.6% (six loans; $48.2 million) at the last
rating action.

Since the last rating action, one loan (Towamencin Corporate
Center; $9.1 million) was repaid in full at maturity in March 2020
and two specially serviced loans (combined $20.7 million) were
disposed with losses in September 2020. This includes the $7.5
million Sheraton Four Points College Station loan, which was
disposed with higher losses than expected, and the $13.1 million
Saucon Valley Plaza loan, which was disposed with a de minimis
loss.

The pool has experienced $16.6 million (1.5% of original pool
balance) in realized losses to date from the liquidation of three
specially serviced loans/assets. As a result of the liquidations,
credit enhancement for most of the junior classes remains below
issuance levels. Cumulative interest shortfalls totaling $1.8
million are currently affecting classes F through H.

Six loans (30%) are full-term, interest-only and the remainder of
the pool (70% of pool; 67 loans) is currently amortizing. Scheduled
loan maturities include two loans (0.9%) in 2022, three loans
(4.8%) in 2024 and 67 loans (90.1%) in 2025.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes B, C, D, PST and X-B
reflect the potential for downgrade due to concerns surrounding the
ultimate impact of the coronavirus pandemic and the performance
concerns associated with the FLOCs. The Stable Rating Outlooks on
classes A-2 through A-S reflect the relatively stable performance
of the majority 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, C, X-B and PST would only occur with
    significant improvement in credit enhancement and/or
    defeasance and with the stabilization of performance on the
    FLOCs and/or the properties affected by the coronavirus
    pandemic.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood of interest shortfalls.

-- Upgrades to class D 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 credit
    enhancement to the class.

-- Classes E and F are unlikely to be upgraded absent significant
    performance improvement on the FLOCs and substantially higher
    recoveries than expected on the specially serviced
    loans/assets.

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

Sensitivity factors that lead to downgrades include:

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets.

-- Downgrades to classes A-2 through A-SB are not likely due to
    the position in the capital structure, but may occur should
    interest shortfalls affect these classes.

-- A downgrade of one category to classes A-S and X-A is possible
    should expected losses for the pool increase significantly
    and/or should all of the loans susceptible to the coronavirus
    pandemic suffer losses and/or if interest shortfalls occur.

-- Downgrades to classes B, C, PST and X-B are possible should
    expected losses for the pool increase significantly,
    performance of the FLOCs continue to decline, additional loans
    transfer to special servicing and/or should loans susceptible
    to the coronavirus pandemic not stabilize.

-- Downgrades to class D would occur should loss expectations
    increase due to a continued decline in the performance of the
    FLOCs, an increase in specially serviced loans or the
    disposition of a specially serviced loan at a high loss.

-- The Negative Rating Outlooks on classes B, C, D, PST and X-B
    may be revised back to Stable if performance of the FLOCs
    improve and/or properties vulnerable to the coronavirus
    pandemic eventually stabilize.

-- Further downgrades to classes E and F 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.

For more information on Fitch's original rating sensitivity on the
transaction, please refer to the new issuance report.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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.

ESG CONSIDERATIONS

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


MORGAN STANLEY 2020-1: Fitch Assigns 'Bsf' on Class B-5 Debt
------------------------------------------------------------
Fitch Ratings has assigned the following final ratings to Morgan
Stanley Residential Mortgage Loan Trust 2020-1:

DEBT                  RATING                 PRIOR
----                  ------                 -----
MSRM 2020-1

A-1             LT   AAAsf  New Rating      AAA(EXP)sf
A-1-IO          LT   AAAsf  New Rating      AAA(EXP)sf
A-1A-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-2             LT   AAAsf  New Rating      AAA(EXP)sf
A-2-A           LT   AAAsf  New Rating      AAA(EXP)sf
A-2-B           LT   AAAsf  New Rating      AAA(EXP)sf
A-2A-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-2B-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-3             LT   AAAsf  New Rating      AAA(EXP)sf
A-3-A           LT   AAAsf  New Rating      AAA(EXP)sf
A-3-B           LT   AAAsf  New Rating      AAA(EXP)sf
A-3A-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-3B-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-4             LT   AAAsf  New Rating      AAA(EXP)sf
A-4-A           LT   AAAsf  New Rating      AAA(EXP)sf
A-4-B           LT   AAAsf  New Rating      AAA(EXP)sf
A-4A-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-4B-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-5             LT   AAAsf  New Rating      AAA(EXP)sf
A-5-A           LT   AAAsf  New Rating      AAA(EXP)sf
A-5-B           LT   AAAsf  New Rating      AAA(EXP)sf
A-5A-IO         LT   AAAsf  New Rating      AAA(EXP)sf
A-5B-IO         LT   AAAsf  New Rating      AAA(EXP)sf
B-1             LT   AAsf   New Rating      AA(EXP)sf
B-2             LT   Asf    New Rating      A(EXP)sf
B-3             LT   BBBsf  New Rating      BBB(EXP)sf
B-4             LT   BBsf   New Rating      BB(EXP)sf
B-5             LT   Bsf    New Rating      B(EXP)sf
B-6             LT   NRsf   New Rating      NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed certificates issued by
Morgan Stanley Residential Mortgage Loan Trust 2020-1 (MSRM
2020-1).

This is the third post-crisis transaction off the Morgan Stanley
Residential Mortgage Loan Trust shelf, with the first transaction
issued in 2014. It is also the first MSRM transaction that is
composed of loans from various sellers and acquired by Morgan
Stanley in their prime jumbo aggregation process.

The certificates are supported by 342 prime quality loans with a
total balance of approximately $302.30 million as of the cutoff
date. The pool consists of 100% fixed-rate mortgages (FRMs) from
various mortgage originators. The servicer in this transaction is
Specialized Loan Servicing LLC (SLS). Nationstar Mortgage LLC will
be the master servicer.

All of the loans qualify as Safe Harbor Qualified Mortgage (SHQM)
or agency eligible temporary Qualified Mortgage loans.

There is no exposure to LIBOR in this transaction. The collateral
is 100% fixed rate loans, and the certificates are fixed rate and
capped at the net weighted average coupon (WAC) or based on the net
WAC.

Like other prime transactions, the transaction uses a senior
subordinate shifting interest structure with subordination floors
to protect against tail risk.

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative):The coronavirus and the
resulting containment efforts have resulted in revisions to Fitch's
GDP estimates for 2020. Fitch's current baseline outlook for U.S.
GDP growth is -3.5% for 2020, down from 1.7% for 2019. To account
for declining macroeconomic conditions, the Economic Risk Factor
(ERF) default variable for the 'Bsf' and 'BBsf' rating categories
was increased from a floor of 1.0 and 1.5, respectively, to 2.0.
The ERF floor of 2.0 best approximates Fitch's baseline GDP for
2020 and a recovery of 4.5% in 2021. If conditions deteriorate
further and recovery is longer or less than current projections,
the ERF floors may be further revised higher.

Expected Payment Deferrals Related to 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
assumes deferred payments on a minimum of 16.67% of the pool for
the first month at all rating categories with a reversion to its
standard delinquency and liquidation timing curve by January 2021.
This assumption is based on observations of legacy Alt-A
delinquencies and past due payments following Hurricane Maria in
Puerto Rico and a haircut by 40%.

Payment Forbearance (Neutral): As of the cutoff date, none of the
borrowers in the pool are on a coronavirus forbearance plan or
other pandemic relief plan. Since there are no loans currently
delinquent or under a forbearance plan, Fitch did not make any
additional adjustments to account for increase servicing advance
recoupment, and relied on the pre-pandemic advancing and
liquidation stresses outlined in Fitch's criteria.

If a borrower were to request pandemic relief, the servicer is
offering borrowers a three-month forbearance plan with the option
to extend for another three months if it is still impacted. The
forbearance plan will be followed by a repayment plan. The servicer
will follow standard servicing practices when assessing the need
for pandemic relief and other loss mitigation options. The servicer
plans to advance delinquent P&I while the borrower is on a
forbearance plan.

High-Quality Mortgage Pool (Positive): The collateral consists of
25- and 30-year fixed rate fully amortizing loans, seasoned
approximately a month in aggregate. Most of the loans were
originated through the sellers' retail channels. The borrowers in
this pool have strong credit profiles (776 FICO) and relatively low
leverage (77.2% sLTV as determined by Fitch). In addition, the pool
contains no loans of particularly large size. Only 80 loans are
over $1 million and the largest is $2.85 million. Fitch considered
100% of the loans in the pool to be fully documented loans.

The pool contains one loan made to a nonpermanent resident, which
makes up 0.3% of the pool. The borrower has a prime credit profile
(742), LTV of 80.0%, and $144,000 of liquid reserves. This loan was
treated by Fitch as investor occupied to capture the risk of the
borrower being a non-permanent resident.

Geographic Concentration (Neutral): Approximately 28% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(12.1%) followed by the San Francisco MSA (7.4%) and the Miami MSA
(5.9%). The top three MSAs account for 25.4% of the pool. As a
result, there was no adjustment for geographic concentration.

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 1.6% has
been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration. A junior subordination floor of 1.4% has been
considered 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
$425,000 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. Morgan Stanley has an
extensive operating history in mortgage aggregations and is
assessed by Fitch as an 'Above Average' aggregator. Morgan Stanley
has a developed sourcing strategy and maintains strong internal
controls that leverage the company's enterprise wide risk
management framework. All of the loans are serviced by Specialized
Loan Servicing (SLS), rated 'RPS2' by Fitch. SLS will be the
advancing party, but in the event that neither SLS nor Nationstar
are able to advance, Citibank will be the ultimate advancing
party.

Representation and Warranty Framework (Negative): The loan-level
representations and warranties (R&Ws) are mostly consistent with a
higher tier framework but have a prescriptive testing construct and
materiality factor with no parameters that are restricting them to
a Tier 2. Although some of the loan level representations have
knowledge qualifiers, there is a knowledge qualifier clawback
provision for the sellers/originators, which Fitch views as a
positive aspect of the framework.

Morgan Stanley is not providing the R&Ws for this transaction. The
underlying originators/sellers will be the R&W provider, Morgan
Stanley will be providing gap reps if the originators/sellers are
not providing the rep up until the closing date. The following reps
will sunset after 36 months: fraud, underwriting,
income/employment/ assets and property valuation. Fitch increased
its loss expectations 24bps 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 four
different third-party review firms; two firms are assessed by Fitch
as 'Acceptable - Tier 1', and the other firms are assessed as
'Acceptable - Tier 3'. 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 22bps.

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.

Fitch increased its 'BBsf'-expected loss by rounding the raw model
loss up to the nearest 0.25% rather than to the nearest 0.25% to
prevent compression and to prevent the 'BBsf' and 'Bsf' rating
stresses from having the same given expected loss. For all other
rating stresses, Fitch rounded the raw model loss to the nearest
0.25%.

RATING SENSITIVITIES

Fitch's analysis 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 may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.

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.

Factor 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 6.2% in
    the base case. The analysis indicates that there is some
    potential rating migration with higher MVDs for all rated
    classes, compared with the model projection. Specifically, a
    10% additional decline in home prices would lower all rated
    classes by 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 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 affected by changes in its sustainable home
    price model due to updates to the model's underlying economic
    data inputs. Any long-term effects arising from disruptions
    related to the coronavirus on these economic inputs will
    likely affect both investment- and speculative-grade ratings.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

CRITERIA VARIATION

There was one criteria variation to the "U.S. RMBS Rating Criteria"
that was applied to this transaction's analysis. The variation
reflected the out dated Quicken originator assessment. Per
criteria, Fitch expects to have an outstanding operational
assessment conducted within 12-18 months of securitization date on
originators contributing over 15% of an RMBS transaction pool.
Fitch has reviewed Quicken Loans in the past and was comfortable
with their origination platform.

Fitch was comfortable with Quicken Loans contributing over 15% of
the loans in this transaction primarily because Morgan Stanley is
the aggregator and is assessed by Fitch as 'Above Average'. Morgan
Stanley has an established loan sourcing strategy and strong
internal controls that leverage its enterprise wide risk management
framework. In addition, 100% of the transaction pool received loan
level due diligence from independent TPR firms that are assessed by
Fitch as 'Acceptable - Tier 1' and 'Acceptable - Tier 3'. The
results of the due diligence review confirmed sound origination
processes with no indication of material defects.

Quicken Loans is a large contributor to non-agency PLS RMBS with
over $1.5 billion of production included in non-agency
securitization since 2016. Performance of this production has been
strong with minimal defaults, and the credit characteristics are
similar to other prime loans included in non-agency PLS. Lastly,
all loans in this transaction sourced from Quicken Loans have been
current since origination and have not exhibited any early payment
defaults. There was no rating impact due to 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, Clayton, Consolidated Analytics, and
Infinity. 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, Infinity, and Consolidated 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. Refer to the Third-Party
Due Diligence section for more detail.

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.

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.


PALMER SQUARE 2015-1: S&P Assigns BB- (sf) Rating on D-R2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R3, A-2-R3, and B-R3 replacement notes from Palmer Square CLO
2015-1 Ltd., a CLO originally issued in 2015 and refinanced in 2019
that is managed by Palmer Square Capital Management LLC. The
replacement notes will be issued via a proposed supplemental
indenture. The class A-1-R3, A-2-R3, and B-R3 replacement notes are
expected to be issued at a lower floating spread than the original
notes.

The preliminary ratings reflect S&P's view that the credit support
available is commensurate with the associated rating levels.

Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

S&P said, "On the Jan. 15, 2021, refinancing date, we expect the
proceeds from the issuance of the replacement notes will be used to
redeem the original notes. At that time, we expect to withdraw our
ratings on the original notes and assign ratings to the replacement
notes. However, if the refinancing doesn't occur, we may affirm the
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes. The replacement notes are being issued
via a proposed supplemental indenture."

Replacement And Original Note Issuances

Replacement notes

-- Class A-1-R3, $457.00 million, three-month LIBOR + 1.00%
-- Class A-2-R3, $84.20 million, three-month LIBOR + 1.40%
-- Class B-R3, $56.50 million, three-month LIBOR + 2.00%

Original notes

-- Class A-1-R2, $457.00 million, three-month LIBOR + 1.22%
-- Class A-2-R2, $84.20 million, three-month LIBOR + 1.65%
-- Class B-R2, $56.50 million, three-month LIBOR + 2.25%

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

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

  Preliminary Ratings Assigned

  Palmer Square CLO 2015-1 Ltd./Palmer Square CLO 2015-1 LLC

  Replacement class A-1-R3, $457.00 million: AAA (sf)
  Replacement class A-2-R3, $84.20 million: AA (sf)
  Replacement class B-R3, $56.50 million: A (sf)

  Other Outstanding Ratings

  Palmer Square CLO 2015-1 Ltd./Palmer Square CLO 2015-1 LLC

  Class C-R2: BBB (sf)
  Class D-R2: BB- (sf)


PK AIR 1: S&P Assigns B- (sf) Rating to Class D1-F Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to PK Air 1 L.P.'s
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 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 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 S&P's 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. (Apollo PK) and Merx Aviation
Servicing Ltd. (Merx), 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.

Additionally, the class A-R and A-F loans accrue stated interest at
three-month LIBOR plus a fixed margin. While the original deadline
for LIBOR cessation was December 2021, the phase out date is now
expected after June 2023 for most dollar LIBOR maturities, such as
one-month and three-month. In 2019, the Federal Reserve's
Alternative Reference Rates Committee published recommended
guidelines for fallback language in new securitizations and the
language in this transaction is generally consistent with its key
principles: trigger events, a list of alternative rates and a
spread adjustment. S&P will continue to monitor reference rate
reform and take into account changes specific to this transaction
when appropriate.

  RATINGS ASSIGNED

  PK Air 1 L.P.

  U.S. Dollar structure
  Class    Initial commitment   Current funded  
           Amount (mil. $)(i)   amount (mil. $)   Rating
  A-R       1,000.000             500.739        A (sf)
  A-F       1,215.000           1,215.000        A (sf)
  B1-F        525.000             448.822        BBB+ (sf)
  B2-F        458.000             391.544        BBB- (sf)
  C-F         270.000             230.823        BB- (sf)
  D1-F         46.000              39.325        B- (sf)
  X-U          42.300               0.000        NR
  USD sub notes  333.750          296.478        NR

  Euro structure
  Class   Current balance    Current balance  
          (mil. EUR)         (mil. $)(ii)       Rating
  A-E        255.885            301.330         A (sf)
  B-E         22.000             25.907         BB (sf)
  C-E         62.000             73.011         BB- (sf)
  D-E         84.500             99.507         B- (sf)
  X-E          0.000(iii)         0.000         NR
  Euro sub notes 28.918          34.054         NR

(i)The maximum amount that can be drawn on each class of loans and
notes.
(ii)$1= EUR0.849.
(iii)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.

NR--Not rated.


READY CAPITAL 2018-4: DBRS Confirms B(low) Rating on Class G Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Ready Capital Mortgage Trust 2018-4 Commercial Mortgage
Pass-Through Certificates issued by Ready Capital Mortgage Trust
2018-4:

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

With this review, DBRS Morningstar removed Classes E, F, and G from
Under Review with Negative Implications, where they were placed on
August 6, 2020. All trends are Stable.

The rating confirmations reflect the overall stability of the
transaction since issuance. At issuance, the transaction consisted
of 50 loans at an original trust balance of $165.0 million, and per
the November 2020 remittance, 38 loans remain in the transaction at
a current trust balance of $108.9 million, representing a
collateral reduction of 34.0%. The pool is concentrated by property
type as 16 loans, representing 31.2% of the current trust balance,
are secured by multifamily properties while 14 loans, representing
39.7% of the current trust balance, are secured by retail
properties.

There are six loans, representing 24.1% of the current trust
balance, in special servicing. DBRS Morningstar notes its concerns
with Morrison Opera House (Prospectus ID#7; 4.6% of the current
trust balance), which is secured by a mixed-use office and retail
property in downtown Indianapolis, just south of Monument Circle.
The loan was transferred to the special servicer in June 2020 after
the borrower indicated that operations had been affected by the
Coronavirus Disease (COVID-19) pandemic. Hard Rock previously
occupied 22.4% of the net rentable area (NRA) and departed its
space in April 2019 while Startup Accelerator (formerly 41.6% of
NRA) vacated following issuance. According to the YE2019 reporting,
effective gross income decreased 37.5% compared with the prior year
primarily due to the declining occupancy. The July 2020 Asset
Summary Report noted that funds from cash management will be
applied to repay deferred debt service following the loan's
forbearance term. DBRS Morningstar applied an increased probability
of default (POD) factor to reflect the increased risk profile with
this loan.

DBRS Morningstar also generally applied increased POD factors for
other loans with the special servicer. Additionally, there are 11
loans, representing 25.1% of the current trust balance, on the
servicer's watchlist. For loans on the watchlist, DBRS Morningstar
generally applied increased POD factors to reflect increased risk
surrounding declining occupancy and cash flow performance with
these loans.

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


REVELSTOKE CDO I: DBRS Cuts 3 Classes of Secured Notes Rating to D
------------------------------------------------------------------
DBRS Limited downgraded the ratings of the notes issued by
Revelstoke CDO I Limited, following the execution of the issuer
default notice on December 17, 2020, as follows:

-- Class A-1 Senior Variable Rate Secured Notes due 2020 to D (sf)
from CC (sf)

-- Class A-2 Senior Variable Rate Secured Notes due 2026 to D (sf)
from C (sf)

-- Class A-3 Senior Variable Rate Secured Notes due 2033 to D (sf)
from C (sf)

DBRS Morningstar subsequently discontinued and withdrew the ratings
on the notes.

Notes: The principal methodology is Canadian Surveillance
Methodology for CDOs of Large Corporate Credit (October 30, 2020),
which can be found on dbrsmorningstar.com under Methodologies &
Criteria.



                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets.  At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled.  Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets.  A company may establish reserves on its balance sheet for
liabilities that may never materialize.  The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.

On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts.  The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.

Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/books/to order any title today.

Monthly Operating Reports are summarized in every Saturday edition
of the TCR.

The Sunday TCR delivers securitization rating news from the week
then-ending.

TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.

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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.

Copyright 2021.  All rights reserved.  ISSN: 1520-9474.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.  Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.

The TCR subscription rate is $975 for 6 months delivered via
e-mail.  Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each.  For subscription information, contact Peter A.
Chapman at 215-945-7000.

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