/raid1/www/Hosts/bankrupt/TCR_Public/210214.mbx          T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, February 14, 2021, Vol. 25, No. 44

                            Headlines

610 FUNDING 2: S&P Assigns BB- (sf) Rating on Class D-R-2 Notes
610 FUNDING 2: S&P Assigns Prelim BB-(sf) Rating on D-R-2 Notes
ACCESS GROUP 2007-1: S&P Cuts Class C Notes Rating to 'B (sf)'
ACRE COMMERCIAL 2021-FL4: DBRS Finalizes B(low) Rating on G Notes
AJAX MORTGAGE: Fitch Assigns Final 'B' Rating on Class B-2 Notes

AMERICAN CREDIT 2021-1: DBRS Finalizes B(sf) Rating on Cl. F Notes
ARCH STREET: Moody's Raises Class D-R Notes From Ba1
BANK 2018-BNK10: DBRS Confirms B(sf) Rating on Class X-F Certs
BANK 2018-BNK13: DBRS Confirms B (low) Rating on Class F Certs
BANK 2018-BNK14: DBRS Confirms BB(sf) Rating on Class F Certs

BANK OF AMERICA 2016-UBS10: DBRS Confirms B(sf) Rating on X-G Certs
BANK OF AMERICA 2017-BNK3: DBRS Confirms B(high) Rating on F Certs
BBCMS MORTGAGE 2017-C1: DBRS Confirms B Rating on Class X-G Certs
BENCHMARK 2018-B4: DBRS Confirms B(high) Rating on Class GRR Certs
BENCHMARK 2018-B5: DBRS Confirms B(sf) Rating on Class G-RR Certs

BENCHMARK 2021-B23: DBRS Gives Prov. B(low) Rating on 360D Certs
BX TRUST 2021-LBA: DBRS Gives Prov. B (low) Rating on 2 Classes
CALIFORNIA STREET XII: Moody's Hikes Class E Notes to Ba2
CD 2017-CD4: DBRS Confirms BB(sf) Rating on Class X-F Certs
CITIGROUP 2015-GC29: Fitch Lowers Class F Certs to 'B-'

CITIGROUP 2020-GC46: Fitch Affirms B- Rating on Class GRR Certs
CITIGROUP COMMERCIAL 2006-C4: Fitch Lowers Class C Certs to CCC
CITIGROUP COMMERCIAL 2016-C2: DBRS Confirms BB Rating on 2 Classes
CITIGROUP COMMERCIAL 2017-P7: Fitch Cuts Class F Certs to 'CCC'
CITIGROUP MORTGAGE 2017-B1: DBRS Confirms B(sf) Rating on X-F Certs

COLT 2021-2R: Fitch to Rate Class B-2 Certs 'B(EXP)'
CPS AUTO 2021-A: DBRS Finalizes BB Rating on Class E Notes
CSAIL 2017-C8: DBRS Lowers Class F Certs Rating to B
CSAIL 2018-CX11: DBRS Confirms B(high) Rating on Class G-RR Certs
CSAIL 2018-CX12: DBRS Lowers Class G-RR Certs Rating to B (high)

CSAIL 2019-C16: DBRS Confirms BB Rating on Class F-RR Certs
CT CDO IV: Fitch Lowers Rating on Class E Debt to Dsf
DBJPM 2016-C1: DBRS Lowers Class G Rating to CCC
DT AUTO 2021-1: DBRS Finalizes BB Rating on Class E Notes
FLAGSHIP CREDIT 2021-1: DBRS Gives Prov. BB(high) Rating on E Notes

FREDDIE MAC 2021-DNA1: DBRS Finalizes BB(sf) Rating on 16 Classes
GCT COMMERCIAL 2021-GCT: Moody's Rates Class HRR Certs 'B2'
GS MORTGAGE 2013-G1: Fitch Lowers Rating on Class DM Debt to 'B'
GS MORTGAGE 2018-GS9: Fitch Affirms B- Rating on Class F-RR Certs
GS MORTGAGE 2021-PJ1: DBRS Finalizes B Rating on Class B-5 Certs

GS MORTGAGE 2021-PJ1: Fitch Gives Final 'B' Rating on Cl. B5 Certs
GS MORTGAGE 2021-PJ2: Fitch to Rate Class B-5 Certs 'B(EXP)'
HOME RE 2021-1: Moody's Gives B2 Rating on Class M-2 Notes
JAMESTOWN CLO V: Moody's Upgrades Class D Notes From Ba1
JP MORGAN 2021-1: Fitch Assigns Final 'B+' Rating on Cl. B-5 Certs

JP MORGAN 2021-2NU: Moody's Rates Class HRR Certificates 'Ba1'
JPMCC COMMERCIAL 2017-JP5: Fitch Lowers Class E-RR Debt to 'B-'
KKR CLO 13: Moody's Raises $21MM Class E-R Notes to Ba3
KKR CLO 29: S&P Assigns Prelim B- (sf) Rating on Class F Notes
KKR INDUSTRIAL 2021-KDIP: DBRS Finalizes B (low) Rating on G Certs

LOANCORE 2021-CRE4: DBRS Gives Prov. B (low) Rating on Cl. G Notes
MARATHON CLO XIII: Moody's Confirms Ba1 Rating on Class C Notes
MELLO WAREHOUSE 2021-1: Moody's Gives B2 Ratings on 2 Note Classes
MILL CITY 2020-NMR1: DBRS Gives Prov. B(high) Rating on 3 Classes
MILL CITY 2021-NMR1: Fitch Assigns B- Rating on 3 Tranches

MORGAN STANLEY 2012-C5: Fitch Affirms B Rating on Class H Certs
MORGAN STANLEY 2016-C29: DBRS Confirms B Rating on Class X-G Certs
MORGAN STANLEY 2017-H1: DBRS Confirms B (low) Rating on H-RR Certs
MORGAN STANLEY 2018-L1: DBRS Confirms B Rating on Class H-RR Certs
PALMER SQUARE 2019-3: Fitch Upgrades Class E Debt to 'BB'

REAL ESTATE 2016-1: DBRS Confirms B(sf) Rating on Class G Certs
REGATTA VI: Moody's Confirms Ba3 Rating on Class E-R Notes
SCF EQUIPMENT 2021-1: Moody's Gives '(P)B3' Rating on Class F Notes
SDART 2021-1: Moody's Gives (P)B2 Rating to Class E Notes
SEQUOIA MORTGAGE 2021-1: Fitch Gives 'B(EXP)' Rating on B-4 Certs

SUDBURY MILL: Moody's Hikes Class D Notes From Ba1
VERUS SEC 2021-R1: DBRS Finalizes B(low) Rating on Class B-2 Notes
VOYA CLO 2015-3: Fitch Assigns B- Rating on Class E-R Notes
WELLS FARGO 2014-C24: Fitch Cuts Rating on 4 Tranches to 'D'
WELLS FARGO 2016-C32: DBRS Confirms B(sf) Rating on Class X-F Certs

WELLS FARGO 2016-LC25: DBRS Cuts Class G Certs Rating to B (low)
WELLS FARGO 2017-RB1: DBRS Confirms B Rating on 3 Classes of Certs
WELLS FARGO 2018-C44: DBRS Confirms BB Rating on Class F-RR Certs
WELLS FARGO 2018-C47: DBRS Confirms BB Rating on Class G-RR Certs
WFRBS COMMERCIAL 2012-C8: Moody's Cuts Class F Certs to Ba3

[*] Fitch Takes Actions on Eight Trust Preferred CDOs
[*] Fitch Took Actions on Distressed Bonds in 7 US CMBS Deals
[*] S&P Takes Various Actions on 47 Classes From 13 US RMBS Deals

                            *********

610 FUNDING 2: S&P Assigns BB- (sf) Rating on Class D-R-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to 610 Funding CLO 2 Ltd.'s
fixed- and floating-rate notes.

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

The ratings reflect S&P's view of:

-- The diversification of the collateral pool.

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

  -- The experience of the collateral 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

  610 Funding CLO 2 Ltd.

  Class X-R-2, $2.00 million: AAA (sf)
  Class A-1-R-2, $248.00 million: AAA (sf)
  Class A-2-R-2A, $32.00 million: AA (sf)
  Class A-2-R-2B, $24.00 million: AA (sf)
  Class B-R-2 (deferrable), $23.00 million: A (sf)
  Class C-R-2 (deferrable), $21.00 million: BBB- (sf)
  Class D-R-2 (deferrable), $17.00 million: BB- (sf)
  Subordinated notes, $70.59 million: Not rated


610 FUNDING 2: S&P Assigns Prelim BB-(sf) Rating on D-R-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to 610 Funding
CLO 2 Ltd.'s fixed- and floating-rate notes.

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

The preliminary ratings are based on information as of Feb. 5,
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.

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

  Preliminary Ratings Assigned

  610 Funding CLO 2 Ltd.

  Class X-R-2, $2.00 million: AAA (sf)
  Class A-1-R-2, $248.00 million: AAA (sf)
  Class A-2-R-2-A, $32.00 million: AA (sf)
  Class A-2-R-2-B, $24.00 million: AA (sf)
  Class B-R-2 (deferrable), $23.00 million: A (sf)
  Class C-R-2 (deferrable), $21.00 million: BBB- (sf)
  Class D-R-2 (deferrable), $17.00 million: BB- (sf)
  Subordinated notes, $67.80 million: Not rated


ACCESS GROUP 2007-1: S&P Cuts Class C Notes Rating to 'B (sf)'
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes from Access
Group Inc.'s student loan asset-backed notes series 2007-1. At the
same time, it removed the ratings from CreditWatch, where it had
placed them with negative implications on Aug. 31, 2020.

The transaction is primarily backed by a pool of student loans
originated through the U.S. Department of Education's (ED's)
Federal Family Education Loan Program (FFELP).

S&P said, "Our review considered the transaction's collateral
performance and available liquidity, changes in credit enhancement,
and capital and payment structures. We also considered the evolving
macroeconomic environment that has resulted from the COVID-19
pandemic, which will likely present employment challenges for
student loan borrowers. Additionally, we considered secondary
credit factors, such as credit stability, peer comparisons, and
issuer-specific analyses."

As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity. S&P said, "We use this assumption
about vaccine timing in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates
accordingly."

Rating Action Rationale

S&P said, "Using the average note principal payment over the past
year, we calculated a principal payment haircut, which indicates
the percentage decline a note can immediately withstand and still
be repaid by its legal final maturity date. A lower haircut
indicates that a note can withstand a smaller decline in principal
payment amounts than a note with a higher haircut. As of the most
recent servicer report, the principal payment haircut on the series
2007-1 class A-4 note of approximately 14% shows the haircut
continues to decline and fell below 20%. Per our U.S. FFELP student
loan ABS guidance, notes with principal payment haircuts below 20%
and legal final maturities within two years would have ratings no
higher than 'B (sf)'. Generally, we believe that notes with
principal payment haircuts below 20% are more sensitive to a
further decline in principal payments and an increased likelihood
that their haircut will fall below 0% prior to the notes'
maturity.

"We also lowered the ratings on the series 2007-1 subordinate class
B and C notes to 'B (sf)' from 'BB (sf)' and removed the ratings
from CreditWatch negative. The haircut, above 30% for these
classes, indicates that the class B and C notes benefit from their
longer maturity dates as it relates to the likelihood of receiving
their principal repayment by their legal final maturity dates. The
likelihood of receiving timely interest on the subordinate notes is
directly related to the likelihood of default in principal at the
legal final maturity date of the class A-4 senior notes because a
default of the senior notes will reprioritize class A-4 principal
payments ahead of class B and C note interest payments."

In response to the COVID-19 pandemic, delinquent loans were
automatically placed into a 90-day forbearance, and loans in
repayment were placed in forbearance upon borrower request. As a
result of increased forbearance, note principal repayment rates
declined. Note principal payment rates may decline further if
forbearance increases or if guarantee payments for defaults are
lower due to delinquent loans receiving pandemic-related
forbearance. These declines may continue for some time until
borrowers either return to employment (and repayment), default (ED
makes a guarantee payment), or achieve the requirements for loan
forgiveness (ED reimburses the loan). Because of its near-term
maturity, the class A-4 note is expected to benefit less from
stabilized or improved payment rates, whereas classes with later
maturity dates will have more payment periods to recover. As such,
the class A-4 is sensitive not only to the declining level of note
principal repayment, but also to how quickly borrowers will recover
from the economic impacts of the pandemic.

Expected Asset Performance

S&P said, "Although the level of default for the loans in this
transaction may increase due to the COVID-19 pandemic, we expect
the loans to maintain their guarantee from the ED and for net
losses to remain low. We rely on the long-term sovereign rating on
the U.S. government ('AA+') in our analysis of defaulted loan
reimbursements under the federally-reinsured guarantee, as well as
ED interest subsidies and special allowance payments on the FFELP
loans. S&P Global Ratings affirmed its rating on the U.S. sovereign
at 'AA+/Stable/A-1+' on April 2, 2020. Generally, credit
enhancement levels for these classes remain stable and indicate all
of the notes will be repaid in full, but as discussed above, the
timing of repayment for certain classes may be sensitive to the
recession caused by the COVID-19 pandemic."

Payment Structured And Credit Enhancement

The transactions utilize a payment mechanism that defines a
principal distribution amount based upon maintaining total parity
of 100.25%. Generally, once the principal distribution amount is
paid, available funds can be released out of the trust. The
targeted principal distribution amount is generally allocated pro
rata between the senior and subordinate notes, and sequentially
within the senior notes. The payment priority contains parity
triggers that if breached, reallocate principal payment
sequentially to the senior notes first, rather than pro rata
between the senior and subordinate notes. To date, this parity
trigger has been breached sporadically, and has led to uncertainty
as to whether the senior and subordinate notes will be paid pro
rata or sequentially. The more often the trigger is not breached
and future principal payments are allocated pro rata between the
note classes, the lower the principal payment haircut and greater
the likelihood that the class A-4 notes will not be paid by legal
final maturity.

In addition to any reserve accounts, bond principal payments and
releases represent excess available liquidity if needed for bond
interest payments in the short term. As such, S&P believes these
classes will receive timely interest payments even if a significant
percentage of the pool is in a nonpaying status.

Credit enhancement includes overcollateralization (parity),
subordination (for senior classes), the reserve account, and excess
spread.

S&P said, "We will continue to monitor the performance of the
student loan receivables backing the transactions relative to our
ratings and the available credit enhancement and liquidity for the
classes. We will take rating actions as we consider appropriate."

  Ratings Lowered And Removed From CreditWatch Negative

  Access Group Inc. (Series 2007-1)

  Class A-4 to 'B (sf)' from 'BB (sf)/Watch Neg'
  Class B to 'B (sf)' from 'BB (sf)/Watch Neg'
  Class C to 'B (sf)' from 'BB (sf)/Watch Neg'

  Ratings Affirmed

  Access Group Inc. (Series 2007-1)
  
  Class A-4: 'AA+ (sf)'


ACRE COMMERCIAL 2021-FL4: DBRS Finalizes B(low) Rating on G Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by ACRE Commercial Mortgage 2021-FL4 Ltd.:

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

All trends are Stable.

The initial collateral consists of 23 floating-rate mortgage loans
secured by 34 mostly transitional real estate properties with a
cut-off-date pool balance of approximately $667.2 million,
excluding $77.1 million of future funding commitments ($77.1
million of which remained outstanding as of the mortgage loan
cut-off date). Most loans are in a period of transition with plans
to stabilize and improve asset value. During the Permitted Funded
Companion Participation Acquisition Period, the Issuer may acquire
Funded Companion Participations subject to, among other criteria,
receipt of a no-downgrade confirmation (commonly referred to as a
rating agency confirmation). The transaction does not permit the
ability to reinvest or add unidentified assets to the pool post
closing, except that principal proceeds can be used to acquire the
aforementioned Funded Companion Participations.

For all floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded with the remaining fully extended
loan term of the loans or the strike price of the interest rate cap
with the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the property-level
as-is appraised values were measured against the fully funded
mortgage loan commitments, the pool exhibited a relatively high
weighted-average (WA) as-is loan-to-value (LTV) ratio of 77.7%.
However, DBRS Morningstar estimates the pool's WALTV to improve to
66.3% through stabilization. When the debt service payments
associated with the fully funded loan balances were measured
against the DBRS Morningstar As-Is Net Cash Flow (NCF), 19 loans,
representing 95.7% of the cut-off-date pool balance, had a DBRS
Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00
times (x), a threshold indicative of higher default risk.
Additionally, when the debt service payments associated with the
fully funded loan amounts were measured against the DBRS
Morningstar Stabilized NCF, 11 loans, representing 56.1% of the
pool, exhibited a stabilized DBRS Morningstar DSCR of below 1.00x,
a threshold indicative of elevated refinance risk. The properties
are often transitional with potential upside in cash flow. However,
DBRS Morningstar does not give full credit to the stabilization if
there are no holdbacks or if other structural features are
insufficient to support such treatment. Furthermore, even with the
structure provided, DBRS Morningstar generally does not assume the
assets will stabilize above market levels.

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, affected
more immediately. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis, for example
by front-loading default expectations and/or assessing the
liquidity position of a structured finance transaction with more
stressful operational risk and/or cash flow timing considerations.

The borrowers for all 23 loans have purchased Libor caps with
strike prices that range from 1.15% to 3.50% to protect against
rising interest rates through the duration of the loan term. In
addition to the fulfillment of certain minimum performance
requirements, exercise of any extension options would also require
the repurchase of interest rate cap protection through the duration
of the respectively exercised options. The loans are generally
secured by traditional property types (i.e., retail, multifamily,
and office) with only eight loans, representing 14.9% of the
cut-off-date pool balance, secured by nontraditional property types
such as hospitality and self-storage. Additionally, only two
multifamily loans in the pool are secured by student-housing
properties, which often exhibit higher cash flow volatility than
traditional multifamily properties.

Based on the initial pool balances, the overall WA DBRS Morningstar
As-Is DSCR of 0.47x and WA As-Is LTV of 77.7% are generally
reflective of high-leverage financing. Most of the assets are
generally well-positioned to stabilize, and any realized cash flow
growth would help to offset a rise in interest rates and improve
the overall debt yield of the loans. DBRS Morningstar associates
its loss given default based on the assets' as-is LTV, which does
not assume that the stabilization plan and cash flow growth will
ever materialize. The DBRS Morningstar As-Is DSCR at issuance does
not consider the sponsor's business plan, as the DBRS Morningstar
As-Is NCF was generally based on the most recent annualized period.
The sponsor's business plan could have an immediate impact on the
underlying asset performance that the DBRS Morningstar As-Is NCF is
not accounting for. When measured against the DBRS Morningstar
Stabilized NCF, DBRS Morningstar estimates the WA DBRS Morningstar
As-Stabilized DSCR to improve to 0.98x, suggesting the properties
are likely to have improved NCFs once the sponsor's business plan
has been implemented.

Sixteen loans, comprising 82.8% of the cut-off-date pool balance,
represent refinance financing. The refinancings within this
securitization generally do not require the respective sponsor(s)
to contribute material cash equity as a source of funding in
conjunction with the mortgage loan, resulting in a lower sponsor
equity basis in the underlying collateral. Of the 16 refinance
loans, five loans, comprising 28.4% of the pool, reported occupancy
rates higher than 80.0%. Additionally, the 16 refinance loans
exhibited a WA growth between as-is and stabilized appraised value
estimates of 17.4% compared with the overall WA appraised value
growth of 17.9% for the pool and the WA appraised value growth of
20.0% exhibited by the pool's acquisition loans.

Six loans, comprising 40.0% of the cut-off-date pool balance, are
structured to be interest only (IO) through most of or all of the
initial loan term but switch to 30-year amortization schedules
during the last year of the loan term or during the extension
periods. Loans structured with partial IO periods generally exhibit
higher-than-average default frequencies relative to loans
structured with full-term IO periods or no IO periods. All
identified floating-rate loans have extension options and, in order
to qualify for such options, must generally meet minimum and/or
maximum leverage, debt yield, and/or DSCR requirements.

The transaction will likely be subject to a benchmark rate
replacement, which will depend on the availability of various
alternative benchmarks. The current selected benchmark is the
Secured Overnight Financing Rate (SOFR). Term SOFR, which is
expected to be a similar forward-looking term rate compared with
Libor, is the first alternative benchmark replacement rate but is
currently being developed. There is no assurance Term SOFR
development will be completed or that it will be widely endorsed
and adopted. This could lead to volatility in the interest rate on
the mortgage assets and floating-rate notes. The transaction could
be exposed to a timing mismatch between the notes and the
underlying mortgage assets as a result of the mortgage benchmark
rates adjusting on different dates than the benchmark on the note,
or a mismatch between the benchmark and/or the benchmark
replacement adjustment (if any) applicable to the mortgage loans.
In order to compensate for differences between the successor
benchmark rate and then-current benchmark rate, a benchmark
replacement adjustment has been contemplated in the indenture as a
way to compensate for the rate change. Currently, Wells Fargo,
National Association, in its capacity as Designated Transaction
Representative, will generally be responsible for handling any
benchmark rate change and will be held to a gross negligence
standard only with regard to any liability for its actions.

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


AJAX MORTGAGE: Fitch Assigns Final 'B' Rating on Class B-2 Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to Ajax Mortgage Loan
Trust 2021-A as follows:

DEBT         RATING              PRIOR
----         ------              -----
AJAXM 2021-A

A-1    LT  AAAsf  New Rating    AAA(EXP)sf
A-2    LT  Asf    New Rating    A(EXP)sf
B-1    LT  BBsf   New Rating    BB(EXP)sf
B-2    LT  Bsf    New Rating    B(EXP)sf
B-3    LT  NRsf   New Rating    NR(EXP)sf
M-1    LT  BBBsf  New Rating    BBB(EXP)sf
XS     LT  NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates the RMBS notes to be issued by Ajax Mortgage Loan Trust
2021-A (AJAXM 2021-A) as indicated above. The transaction closed on
Jan. 29, 2021. The notes are supported by one collateral group that
consists of 1,082 seasoned re-performing loans (RPLs) with a total
balance of approximately $207 million. The loans were acquired by
Great Ajax Operating Partnership LP, a wholly owned subsidiary of
Great Ajax Corp. (AJX), and will be serviced by Gregory Funding,
LLC.

Distributions of P&I are based on a traditional sequential
structure that prioritizes the payment of interest above principal.
The notes will not be reduced by losses on the loans; however,
under certain loss scenarios, there may not be enough interest and
principal collections on the mortgage loans or liquidation proceeds
to pay the notes' all interest and principal amounts. The servicer
will not be advancing delinquent monthly payments of P&I.

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The coronavirus pandemic
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 2.2% 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.

RPL Credit Quality (Mixed): The collateral consists of 1,082
seasoned performing and re-performing first-lien loans, totaling
$207 million, and seasoned approximately 170 months in aggregate as
determined by Fitch. The pool is 95.9% current and 4.1% delinquent.
Fitch determined that 46.5% of loans have been clean current and
never experienced a delinquency in the past two years.
Additionally, 84.5% of loans have a prior modification. The
borrowers have a weaker credit profile (655 FICO as determined by
Fitch and relatively high leverage (72.4% sustainable loan-to-value
(sLTV) as determined by Fitch). The pool consists of 91.9% of loans
on primary residences, while 8.1% are investment properties or
second homes.

Payment Forbearance (Negative): As of the cutoff date, 43 loans
(6.1%) of the pool opted into a coronavirus relief plan. Of the
loans, four loans, or 0.9% of the pool, are on an active plan; all
are still making payments and contractually current as of the
cutoff date. The relief plans for these four loans are set to
expire at the end of January or February 2021. Of the pool, 5.1% of
the loans are no longer on active coronavirus relief plans, and all
but one of these loans are contractually current as of the cutoff
date. No loans are under review for coronavirus related relief, and
10.0% of the borrowers have inquired about or requested coronavirus
relief, but the servicer has not granted it due to the borrower not
completing the standardized hardship questionnaire.

Fitch considered borrowers which are on a coronavirus relief plan
that are cash flowing as current, while the borrowers which are not
cash flowing were treated as delinquent.

Gregory Funding is offering borrowers a three-month payment
forbearance plan. At the end of the forbearance period, the
borrower can opt to reinstate (i.e., repay the three missed
mortgage payments in a lump sum) or repay the missed amounts with a
repayment plan. If reinstatement or a repayment plan is not
affordable, Gregory Funding will find the optimal loss mitigation
option for the borrower, which may include extending the
forbearance period. To the extent special rules apply to a
mortgagor because of the jurisdiction or type of the mortgage loan,
the servicer will comply with those rules. Such rules may include
restrictions on requesting proof of hardship, mandatory payment
forbearance periods (and extensions) and mandatory loss mitigation
options, among others.

If the borrower does not resume making payments, the loan will
likely become modified. Fitch incorporated a 0.50% weighted average
coupon (WAC) reduction in its analysis to account for this risk.
The 'AAAsf' rated class received timely interest at the fixed rate
and the 'Asf-Bsf' rated classes received ultimate interest at their
assigned fixed rate or net WAC rate. All classes were paid in full
and did not incur any losses in their assigned rating stresses in
this analysis.

Geographic Concentration (Neutral): Approximately 28.9% of the pool
is concentrated in California. Fitch determined the largest MSA
concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA
(11.1%), followed by the New York-Northern New Jersey-Long Island,
NY-NJ-PA MSA (10%) and the Miami-Fort Lauderdale-Miami Beach, FL
MSA (6.7%). The top three MSAs account for 27.7% of the pool,
according to Fitch. As a result, there was no adjustment for
geographic concentration.

Non-Interest Bearing Deferred Amounts (Negative): Non-interest
bearing principal forbearance totaling $20.0 million (9.7%) of the
unpaid principal balance (UPB) is outstanding and is being
securitized. Fitch included the deferred amounts when calculating
the borrower's loan-to-value ratio (LTV) and sustainable LTV
(sLTV), despite the lower payment and amounts not being owed during
the term of the loan. The inclusion resulted in a higher
probability of default (PD) and loss severity than if there were no
deferrals. Fitch believes that borrower default behavior for the
loans will resemble that of the higher LTVs, as exit strategies
(i.e., sale or refinancing) will be limited relative to those
borrowers with more equity in the property.

Well Controlled Operational Risk (Neutral): Operational risk is
well controlled for this transaction. Great AJX has a disciplined
loan acquisition strategy and is assessed as an 'Average'
aggregator by Fitch. AJX leverages its affiliate servicing
platform, Gregory Funding, rated 'RSS3' by Fitch, to service its
loan portfolio. Loss expectations were not adjusted at the 'AAAsf'
rating category based on these counterparty assessments. Issuer
retention of at least 5% of the bonds also helps ensure an
alignment of interest between both the issuer and investor.

Non-Investment Grade Representations and Warranties (R&W) Provider
(Negative): The loan-level R&Ws are consistent with a Tier 1
framework. While the framework is considered strong, Fitch
increased its loss expectations by 103bps at the 'AAAsf' rating
category to reflect the non-investment-grade counterparty risk of
the provider, Great Ajax Operating Partnership LP.

Third-Party Due Diligence (Negative): A third-party due diligence
review was performed on 100% of the loans in the transaction pool.
The review was performed by four different third-party review (TPR)
firms; two are assessed by Fitch as 'Acceptable - Tier 1', while
the other two are assessed as 'Acceptable - Tier 2' and 'Acceptable
- Tier 3', respectively. A total of 99.5% of the pool was assessed
by an 'Acceptable - Tier 1' third-party review firm.

The due diligence results indicate 12.5% of loans receiving a final
grade of 'C' or 'D'. However, adjustments were only applied to
approximately 7.4% of these loans due to missing or estimated HUD-1
documents that are necessary for properly testing compliance with
predatory lending regulations. These regulations are not subject to
a statute of limitations, which ultimately exposes the trust to
added assignee liability risk. Fitch adjusted its loss expectations
at the 'AAAsf' rating category by 114bps to reflect the potential
for future assignee liability risk.

Transaction Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. This is the same structure as was seen in the previously
rated Towd Point Mortgage Trust (TPMT ) and AJAXM transactions.

No Advancing (Positive): The servicers will not be advancing
delinquent monthly payments of P&I. Because P&I advances made on
behalf of loans that become delinquent and eventually liquidate
reduce liquidation proceeds to the trust, the loan-level loss
severities (LS) are less for this transaction than for those where
the servicer is obligated to advance P&I.

Realized Losses Not Allocated to the Notes (Negative): Realized
Losses will not be applied to reduce the note amount of any class
of notes; however, under certain loss scenarios, there will not be
enough P&I collections on the mortgage loans or liquidation
proceeds to pay all the notes the P&I amounts to which they are
entitled. Credit enhancement was increased to account for this
risk.

On each payment date following the payment date in January 2029
(the step-up date), the class A-1, A-2 and M-1 notes will be
entitled to receive the step-up interest payment amount. If the
step-up interest payment amount is not able to be paid from the
interest remittance amount, it is not eligible to be paid from the
principal remittance amount. The non-payment of the step-up
interest payment amount from the interest remittance amount is not
considered a cap carryover amount (interest shortfall). The ratings
and the analysis of the A-1, A-2, and M-1 notes do not take into
consideration these classes receiving the step-up interest payment
amount.

RATING SENSITIVITIES

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

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

-- This defined 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 10.0%. Excluding the senior classes that are
    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 MVDs at the national level. The
    analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition
    to the model-projected 39.2% at 'AAA'. As shown in the table,
    the analysis indicates that there is some potential rating
    migration with higher MVDs, compared with the model
    projection.

-- 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. For enhanced disclosure on Fitch's stresses and
    sensitivities, please refer to the transaction's presale
    report.

-- Fitch has also added a coronavirus sensitivity analysis that
    contemplates a more severe and prolonged economic stress
    caused by a reemergence of infections in the major economies,
    before a slow recovery begins in 2Q21. 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

There are two variations to the "U.S. RMBS Rating Criteria"
report.

The first variation is that a 100% tax/title review was not
performed. Per criteria, an updated tax/title search is expected to
be completed on 100% of first liens in the transaction pool.
Approximately 88% of first liens received an updated tax and title
search. As a result, the tax/title review was not performed on all
the loans or was outdated. Fitch was comfortable with this
variation because all loans that did not receive an updated tax and
title review have valid title policies confirmed through the
custodial file review. The servicer for these loans, Gregory
Funding, confirmed that all loans are in first lien position.
Gregory Funding is rated 'RSS3' by Fitch with a Negative Outlook.

AJX also has a diligent acquisition strategy and conducts title
searches upon initial purchase. Loans are dropped from a
prospective trade if there are issues that may potentially cloud
the lien priority in the event of foreclosure. After acquisition,
AJX leverages Gregory Funding to service the loans and monitor
their lien position to ensure it remains in first position. In the
event there are any delinquent tax, municipal lien or HOA super
lien amounts prior to the closing date of the transaction, Gregory
Funding cures the amounts prior to the loans being delivered to the
trust. This variation had no rating impact.

The second variation is that a 100% pay history review was not
performed. Per Fitch's criteria, a 24-month pay history review is
supposed to be performed on 100% of the loans (a gap report from
the servicer can be used as long as there was an initial review
conducted). A pay history review was not conducted for 100% of the
loans, but Fitch received confirmation directly from the servicer
that the 24-month pay string in the loan tape was accurate. This
variation has no rating impact.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Opus Capital Markets Consultants LLC
(Opus), Solidifi, and Infinity. The third party due diligence
described in Form 15E focused on three areas: compliance review,
credit review and valuation review for the 5 newly originated loans
and compliance review for the seasoned loans. A custodian review,
data integrity, and an updated tax and title review were also
conducted by these third party review firms. Fitch considered this
information in its analysis and, as a result, increased the overall
expected loss by 1.14% in the AAAsf stress.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence reviews
performed on the pool. Specifically, 100% of the pool by loan count
had a compliance/data integrity review, 66.4% had a pay history
review (but Fitch received a gap report from the servicer
confirming the 24-month paystring provided in the tape for all the
loans), 100% had a custodian review, 39.6% had an initial title and
lien review, and 88.0% had an updated tax and lien search. The
third-party due diligence was generally consistent with Fitch's
"U.S. RMBS Rating Criteria." SitusAMC, Clayton, Opus Capital
Markets Consultants LLC (Opus), Solidifi, and Infinity were engaged
to perform the reviews. Loans reviewed under this engagement were
given compliance grades. Minimal exceptions and waivers were noted
in the due diligence reports. Refer to the Third-Party Due
Diligence section for more details.

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.


AMERICAN CREDIT 2021-1: DBRS Finalizes B(sf) Rating on Cl. F Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by American Credit Acceptance Receivables
Trust 2021-1 (ACAR 2021-1 or the Issuer):

-- $184,000,000 Class A Notes at AAA (sf)
-- $51,290,000 Class B Notes at AA (sf)
-- $85,330,000 Class C Notes at A (sf)
-- $51,520,000 Class D Notes at BBB (sf)
-- $28,290,000 Class E Notes at BB (sf)
-- $10,350,000 Class F Notes at B (sf)

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

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

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

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

(2) ACAR 2021-1 provides for Class A, B, C, D, and E coverage
multiples that are slightly below the DBRS Morningstar range of
multiples set forth in the criteria for this asset class. DBRS
Morningstar believes that this is warranted, given the magnitude of
expected loss and structural features of the transaction.

(3) DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains regarding the intensity and
duration of the shock, the DBRS Morningstar-projected CNL includes
an assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 32.05% based on the expected cut-off
date pool composition.

(4) The transaction's assumptions consider DBRS Morningstar's set
of macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, which have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis. The assumptions also take
into consideration observed performance during the 2008–09
financial crisis and the possible impact of stimulus. The
assumptions consider the moderate macroeconomic scenario outlined
in the commentary, with the moderate scenario serving as the
primary anchor for current ratings. The moderate scenario factors
in increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

(5) The consistent operational history of American Credit
Acceptance, LLC as well as the strength of the overall Company and
its management team.

-- The ACA senior management team has considerable experience,
with an average of 19 years in banking, finance, and auto finance
companies, as well as an average of approximately eight years of
Company tenure.

(6) ACA's operating history and its capabilities with regard to
originations, underwriting, and servicing.

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

-- ACA has completed 33 securitizations since 2011, including four
transactions in 2020.

-- ACA maintains a strong corporate culture of compliance and a
robust compliance department.

(7) The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.

-- Availability of considerable historical performance data and a
history of consistent performance on the Company's portfolio.

-- The statistical pool characteristics include the following: the
pool is seasoned by approximately five months and contains ACA
originations from Q1 2015 through Q4 2020; the weighted-average
(WA) remaining term of the collateral pool is approximately 66
months; and the WA FICO score of the pool is 543.

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

(9) The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with ACA, that the
trust has a valid first-priority security interest in the assets,
and the consistency with the DBRS Morningstar "Legal Criteria for
U.S. Structured Finance."

(10) ACAR 2021-1 provides for Class F Notes with an assigned rating
of B (sf). While the DBRS Morningstar "Rating U.S. Retail Auto Loan
Securitizations" methodology does not set forth a range of
multiples for this asset class for the B (sf) rating level, the
analytical approach for this rating level is consistent with that
contemplated by the methodology. The typical range of multiples
applied in the DBRS Morningstar stress analysis for a B (sf) rating
is 1.00 times (x) to 1.25x.

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

The ACAR 2021-1 transaction represents the 34th securitization
completed by ACA since 2011 and offers both senior and subordinate
rated securities. The receivables securitized in ACAR 2021-1 are
subprime automobile loan contracts secured primarily by used
automobiles, light-duty trucks, vans, motorcycles, and minivans.

The rating on the Class A Notes reflects 61.00% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the reserve fund (1.00%), and OC (10.70% of the total pool
balance). The ratings on the Class B, C, D, E, and F Notes reflect
49.85%, 31.30%, 20.10%, 13.95%, and 11.70% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.

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


ARCH STREET: Moody's Raises Class D-R Notes From Ba1
----------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Arch Street CLO, Ltd. (the "CLO" or "Issuer"):

US$48,000,000 Class B-R Senior Secured Floating Rate Notes due 2028
(the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on
October 22, 2018 Assigned Aa2 (sf)

US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-R Notes"), Upgraded to A1 (sf);
previously on December 8, 2020 A2 (sf) Placed Under Review for
Possible Upgrade

US$22,750,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-R Notes"), Upgraded to Baa3 (sf);
previously on August 17, 2020 Downgraded to Ba1 (sf)

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

These actions conclude the reviews for upgrade initiated on
December 8, 2020 on the Class C-R Notes issued by the CLO. The CLO,
originally issued in September 2016 and refinanced in October 2018,
is a managed cashflow CLO. The notes are collateralized primarily
by a portfolio of broadly syndicated senior secured corporate
loans. The transaction's reinvestment period ended in October
2020.

RATINGS RATIONALE

The upgrade actions taken on the Upgraded Notes are primarily a
result of applying Moody's revised CLO assumptions described in
"Moody's Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, Moody's now adjust the obligor's Moody's
Default Probability Rating down by one notch if the obligor's
rating is on review for possible downgrade and Moody's make no
adjustments if the obligor's rating has a negative outlook. Based
on these updates, Moody's calculated WARF on the portfolio is now
3236 compared to the WARF of 3665 as reported on the trustee's
January 2021 report [1].

The upgrade actions are also a result of deleveraging of the senior
notes and an increase in the transaction's over-collateralization
(OC) ratios since August 2020. The Class A-R notes have been paid
down by approximately 1.3% or $3.1 million since that time. Based
on the trustee's January 2021 report [2], the OC ratios for the
Class A/B, Class C, Class D and Class E notes are reported at
127.14%, 118.97%, 110.86%, and 104.06%, respectively, versus August
2020 levels of 124.89%, 116.94%, 108.95%, and 102.32%,
respectively.

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."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers or the metrics calculated based on the current portfolio.

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

Performing par and principal proceeds balance: $364,601,338

Defaulted Securities: $7,704,566

Diversity Score: 68

Weighted Average Rating Factor (WARF): 3236

Weighted Average Life (WAL): 4.3 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
4.04%

Weighted Average Recovery Rate (WARR): 47.38%

Par haircut in OC tests and interest diversion test: 2.88%

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 Moody's 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;; 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 Ratings:

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

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


BANK 2018-BNK10: DBRS Confirms B(sf) Rating on Class X-F Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-BNK10
issued by BANK 2018-BNK10:

-- 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 A (high) (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.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the January 2021 remittance,
there has been a collateral reduction of 1.3%, with all 68 loans
remaining in the pool. According to the YE2019 financials, the
servicer reported a weighted-average debt service coverage ratio
(DSCR) of 2.05 times (x), compared with the DBRS Morningstar DSCR
at issuance of 2.31x. The pool is fairly concentrated by property
type as 10 loans, representing 25.0% of the pool, are secured by
office properties; 10 loans (21.4% of the pool) are secured by
self-storage properties; and 14 loans (18.7% of the pool) are
secured by retail properties, with these three property types
collectively representing 65.1% of the pool.

As of the January 2021 remittance, there are four loans in special
servicing, including the 14th-largest loan in the pool, Courtyard
Los Angeles Sherman Oaks (Prospectus ID#14, 2.2% of the pool
balance), which is secured by a 213-key full-service hotel located
in Sherman Oaks, California. The loan was transferred to special
servicing in July 2020 for imminent default, and the servicer
continues to negotiate with the borrower regarding potential loan
modification measures to accommodate the disruptions in cash flow
at the property as a result of the Coronavirus Disease (COVID-19)
pandemic. As of the January 2021 remittance, the loan was listed
121+ days delinquent and was last paid in May 2020.

Although the pre-pandemic performance was generally healthy, the
trailing 12 months ended March 31, 2020, DSCR of 2.03x, was down
from the YE2019 figure of 2.18x. As of a July 2020 Smith Travel
Research report, the property reported an occupancy, average daily
rate (ADR), and revenue per available room (RevPAR) of 57.9%,
$210.60, and $122.04, respectively, compared with the competitive
set's occupancy rate of 64.4%, ADR of $183.32, and RevPAR of
$118.05. Based on the August 2020 appraisal obtained by the special
servicer, the property was valued at $48.7 million, a 43.3% decline
compared with the issuance appraised value of $85.9 million, but
just under the combined principal balance of $55.0 million for the
pari passu whole loan held across the subject trust and the WFCM
2017-C42 transaction, which was not rated by DBRS Morningstar. The
strong historical performance should incentivize the sponsor to
continue working toward a resolution of the outstanding defaults,
but there are noteworthy risk factors in the $6.9 million cash out
for the subject transaction, which refinanced previous commercial
mortgage-backed security debt, and the Marriott franchise agreement
expires during the loan term, in 2024.

The remaining three specially serviced loans totaled 1.7% of the
pool and were all transferred to special servicing because of
pandemic-related hardships.

According to the January 2021 remittance, 17 loans are on the
servicer's watchlist, representing 25.3% of the current pool
balance. The service is monitoring these loans for various reasons,
including a low DSCR or occupancy figure, tenant rollover risk,
and/or pandemic-related forbearance requests. Many of the larger
loans on the servicer's watchlist are backed by lodging properties,
including the fourth-largest loan in the pool, Wisconsin Hotel
Portfolio (Prospectus ID#4, 5.5% of the pool), and the
second-largest loan in the pool, Roedel Hotel Portfolio (Prospectus
ID#5, 3.2% of the pool). Although both loans are being monitored
for low DSCRs, it is noteworthy that neither is being monitored for
a pandemic-related relief request and both remain current.

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


BANK 2018-BNK13: DBRS Confirms B (low) Rating on Class F Certs
--------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-BNK13 issued by BANK
2018-BNK13 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-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (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)

In addition, Classes E, F, X-E, and X-F were removed from Under
Review with Negative Implications, where they were placed on August
6, 2020. All trends are Stable.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction. At issuance, the trust
consisted of 62 fixed-rate loans secured by 80 commercial,
hospitality, and multifamily properties with an original balance of
$944.2 million. As of the December 2020 remittance report, all of
the original loans remain in the pool and there has been a nominal
collateral reduction of 3.4% since issuance. Amortization has
generally been limited as 23 of the loans representing 66.3% of the
current pool balance are structured as interest-only (IO) and seven
loans representing another 7.7% are structured as partial-IO and
remain in their IO periods. Of note, nearly all of the amortization
to date is attributable to the Pfizer Building loan, which is
amortizing on an atypical 75-month schedule. The collateral pool is
concentrated by property type with the highest property type
concentration by loan balance consisting of office assets (13
properties accounting for 36.4% of the current pool balance).
Retail assets account for the second greatest property type
concentration, with 24 properties that represent 35.4% of the
current pool balance. There are six loans secured by lodging
properties, which have been particularly hard-hit by the global
Coronavirus Disease (COVID-19) pandemic; however, the concentration
is relatively small as these loans make up only 10.3% of the
current pool balance.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to four loans: Prospectus ID#1 – 1745 Broadway (10.3% of
current pool); Prospectus ID#3 – Pfizer Building (4.6% of current
pool); Prospectus ID#12 – Fair Oaks Mall (3.6% of current pool);
and Prospectus ID#14 – 181 Fremont (2.4% of current pool). With
this review, DBRS Morningstar confirmed that the respective
performance of each of these loans remains consistent with the
characteristics of an investment-grade loan.

As of the December 2020 remittance period, there were three loans
with the special servicer representing 8.1% of the current pool
balance. One of the specially serviced loans, Shoppes at Chino
Hills (Prospectus ID#15, 2.4% of the current pool), has been
modified and is expected to return to the master servicer in the
near term. The largest specially serviced loan is the Florida Hotel
& Conference Center loan (Prospectus ID#10, 4.4% of current pool).
The loan, secured by a 511-key, full-service hotel in Orlando,
transferred to the special servicer in October 2020 for
coronavirus-related relief after a prior relief request was denied
in April 2020. Performance prior to the pandemic was generally in
line with expectations and a temporary forbearance appears to be
the likely outcome. A new appraisal was reported in December 2020
that valued the property at $54.9 million, comfortably in excess of
the current loan balance.

The Courtyard – Myrtle Beach loan (Prospectus ID#22, 1.3% of
current pool) also transferred after a coronavirus-related relief
request and the servicer is dual-tracking a workout with
foreclosure. Despite performance trending downward through YE2019,
a post-transfer appraisal still valued the property in excess of
the loan balance.

There are 15 loans representing 5.6% of the current pool balance on
the servicer's watchlist; however, 10 of these loans are secured by
co-operative properties that historically have very low default
rates. Among the remaining watchlisted loans, none exceed a current
balance of $6.0 million and all are generally being monitored for
minor performance declines or for deferred maintenance.

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


BANK 2018-BNK14: DBRS Confirms BB(sf) Rating on Class F Certs
-------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-BNK14 issued by BANK
2018-BNK14 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-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-F at BB (high) (sf)
-- Class F at BB (sf)
-- Class X-G at BB (low) (sf)
-- Class G at B (high) (sf)

DBRS Morningstar also removed the ratings on Classes X-F, F, X-G,
and G from Under Review with Negative Implications, where they were
placed on August 6, 2020. The trends on Classes X-F, F, X-G, and G
are Negative while the trends on all other classes remain Stable.

The Negative trends reflect the generally increased risks for the
transaction since issuance with three specially serviced loans,
representing 6.9% of the pool, as of the December 2020 remittance,
all of which are secured by hotel or retail properties and two of
which are in the top 20.

At issuance, the trust consisted of 62 fixed-rate loans secured by
136 commercial, hospitality, and multifamily properties with an
original trust balance of $1.38 billion. As of the December 2020
remittance report, all of the original loans remain in the pool.
Since issuance in September 2018, there has been minimal collateral
reduction of 1.6% as 22 of the loans, representing 59.7% of the
current trust balance, were structured as interest only (IO) and 14
loans, representing 16.5% of the current trust balance, were
structured as partial IO. Loans backed by retail properties
represent the largest property type concentration for the pool,
with 17 loans representing 36.2% of the current trust balance. The
second-largest concentration is office, with 10 loans representing
22.6% of the current trust balance. Seven loans are secured by
lodging properties, representing 17.2% of the current trust
balance. The retail and hotel concentrations are noteworthy, given
the additional stress on these property types amid the Coronavirus
Disease (COVID-19) pandemic, with the most immediate and sharpest
impacts on hotel properties across the United States.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to six loans, representing 25.6% of the current trust
balance, including four of the 15 largest loans: Prospectus ID#1
– 685 Fifth Avenue Retail (7.4% of the pool); Prospectus ID#2 –
Aventura Mall (7.4% of the pool); Prospectus ID#9 – Millennium
Partners Portfolio (3.7% of the pool); Prospectus ID#10 – 1745
Broadway (3.7% of the pool); Prospectus ID#18 – CoolSprings
Galleria (2.1% of the pool); and Prospectus ID#19 – Pfizer
Building (1.4% of the pool). With this review, DBRS Morningstar
confirmed that each of these loan's respective performance remains
consistent with the characteristics of an investment-grade loan.

As of the December 2020 remittance period, 16 loans were on the
servicers' watchlists, representing 16.4% of the current trust
balance, including 11 cooperative housing (co-op) properties
representing a combined 5.7% of the current trust balance. Of the
five loans backed by non-co-op properties, three were backed by
lodging properties (including two portfolio loans), one by a retail
property, and one by a multifamily property. These five loans are
being monitored for a variety of reasons, including low debt
service coverage ratios (DSCR) and the respective borrowers'
requests for coronavirus relief.

The three loans in special servicing are Prospectus ID#12 –
Doubletree Grand Naniloa Hotel (3.6% of the pool); Prospectus ID#16
– Shoppes at Chino Hills (2.6% of the pool); and Prospectus ID#36
– Hyatt Place Raleigh Midtown (0.7% of the pool).

The largest loan in special servicing, DoubleTree Grand Naniloa
Hotel, is secured by the borrower's leasehold interest in a
388-key, full-service hotel in Hilo, Hawaii. The property was built
in 1966 and fully renovated from 2015 to 2018. The loan transferred
to special servicing in June 2020 due to the borrower's imminent
monetary default declaration, citing the coronavirus pandemic. The
loan remains outstanding for the July 2020 payment and all
scheduled payments thereafter; however, the loan was already on the
servicer's watchlist prior to the coronavirus pandemic for a low
DSCR. The servicer reported a trailing 12-month period ended March
31, 2020, (T-12) DSCR of 0.54 times while an October 2020 Smith
Travel Research report showed a T-12 occupancy rate of 50.1%, an
average daily rate of $138.90, and a revenue per available room
rate of $69.55. DBRS Morningstar received a November 2020
appraisal, which concluded an as-is value of $55.0 million, a 45.1%
decline in value from the issuance appraised value of $100.1
million. Given this loan's underperformance compared with issuer
expectations since issuance, its five-year term maturing in
September 2023, and the prospects for a fly-to destination hotel
amid the coronavirus, DBRS Morningstar is concerned about the near-
and longer-term risks for this loan.

The second-largest loan in special servicing, Shoppes at Chino
Hills, is secured by a retail property in Chino Hills, California.
The loan transferred to the special servicer in July 2020, given
the ongoing effects of the coronavirus pandemic. The collateral
property is a mixed-use lifestyle retail and office complex
constructed in 2008. The subject benefits from a diverse tenant
roster that includes national and local businesses with granular
tenancy. The loan advanced to 121+ days past due in December 2020
and the servicer reported that a loan modification closed in
October 2020 to bring the loan current with funds from the reserve
as well as new borrower equity. As such, the loan is expected to be
brought current in the near term and returned to the master
servicer for monitoring. Although the loan modification reduces the
near-term risks for this loan, DBRS Morningstar remains concerned
about the longer-term prospects, given the concentration of
near-term rollover and the sponsor's cash flow difficulties that
prompted the default on the loan.

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


BANK OF AMERICA 2016-UBS10: DBRS Confirms B(sf) Rating on X-G Certs
-------------------------------------------------------------------
DBRS Limited confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2016-UBS10 issued by Bank of
America Merrill Lynch Commercial Mortgage Trust 2016-UBS10( as
follows:

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

DBRS Morningstar also discontinued the rating on Class A-1 as the
class was repaid with the November 2020 remittance. In addition,
the ratings for Classes F, G, X-F, and X-G were removed from Under
Review with Negative Implications, where they were placed on August
6, 2020. The trends for these classes are Negative. DBRS
Morningstar changed the trends on Classes E and X-E to Negative
from Stable. All other trends are Stable.

The Negative trends reflect DBRS Morningstar's concerns with select
loans in the pool, most notably the second-largest loan, Belk
Headquarters (Prospectus ID#3, 7.0% of the pool), which is secured
by an office property in Charlotte, North Carolina. The property is
occupied by a single tenant, Belk, a department store retailer
whose headquarters are housed at the subject property. The company
has been widely reported to be in significant distress that began
prior to the Coronavirus Disease (COVID-19) pandemic and has since
been exacerbated amid the effects social distancing measures and an
increased shift to online shopping. Although the lease runs through
2031, a bankruptcy filing by the company would put the likelihood
of the lease being honored through the term in significant doubt.
DBRS Morningstar analyzed the loan with a significant increase to
the probability of default, with the resulting loan-level expected
loss contributing to an elevated expected loss for the pool overall
given the loan size, supporting the Negative trends for the
lowest-rated certificates.

As of the January 2021 remittance, 50 of the original 52 loans
remain in the trust, representing a collateral reduction of 9.0%.
Two loans are fully defeased, representing 1.3% of the pool
balance. In general, the loans in the pool have performed as
expected thus far. Based on the YE2019 financials, the pool
reported a weighted-average (WA) debt service coverage ratio (DSCR)
of 1.84 times (x) compared with the YE2018 WA DSCR of 1.86x and the
DBRS Morningstar DSCR at issuance of 1.45x.

As of the January 2021 remittance, there were loans representing
11.8% of the pool in special servicing and 11.0% of the pool on the
servicer's watchlist. DBRS Morningstar also notes a moderate
concentration of retail and hospitality properties, representing
27.4% and 17.2% of the pool balance, respectively. These property
types have been the most severely affected by the initial effects
of the coronavirus pandemic and, where merited, loans backed by
those property types were analyzed with stressed scenarios to
increase the expected loss in the analysis.

The largest loan in the pool, Hyatt Regency Huntington Beach Resort
& Spa (Prospectus ID#1, 7.5% of the pool balance) transferred to
special servicing in July 2020 because of imminent monetary default
as a result of the pandemic. The loan was modified to allow for a
three-month forbearance of debt service payments, with an
interest-only (IO) period following the forbearance period. The
servicer also agreed to allow a deferral of monthly reserve
payments and the usage of reserves to cover operating costs and/or
debt service payments. The repayment of the deferred amounts is to
be made over a period of 30 months starting in April 2021. As the
loan went over 60 days delinquent before the modification was
finalized, a new appraisal dated October 2020 was obtained by the
special servicer, which showed an as-is value of $316.3 million,
with a stabilized value of $403.0 million, compared with the
issuance value of $367.9 million. Although the as-is value has
dropped since issuance, the loan modification and historically
strong performance of the collateral are mitigating factors that
suggest the increased risks from issuance are relatively moderate.

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


BANK OF AMERICA 2017-BNK3: DBRS Confirms B(high) Rating on F Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2017-BNK3 issued by Bank of
America Merrill Lynch Commercial Mortgage Trust 2017-BNK3 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-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at B (high) (sf)

All trends are Stable. DBRS Morningstar also removed Class F from
Under Review with Negative Implications, where it was placed on
August 6, 2020.

As of the January 2021 remittance, all 63 original loans remain in
the pool. Three loans, representing 2.0% of the current pool
balance, are fully defeased. Two loans, representing 2.1% of the
current pool balance, are in special servicing. Additionally, 22
loans, representing 35.4% of the current pool balance, are on the
servicer's watchlist. These loans are being monitored for low debt
service coverage ratios (DSCR) and/or occupancy issues generally
caused by disruptions related to the Coronavirus Disease (COVID-19)
pandemic.

Of the 22 loans on the servicer's watchlist, nine are backed by
retail properties (9.2% of the pool), three by hospitality
properties (8.3% of the pool), four by mixed-use properties (8.0%
of the pool), three by office properties (5.6% of the pool), and
three by industrial and self-storage properties. All three loans
backed by hospitality properties have been flagged for considerable
cash flow declines as a result of the coronavirus pandemic.
Although the pandemic-related stress that is affecting the
collateral hotels in this pool generally indicates increased risks
since issuance, DBRS Morningstar notes that the historically strong
performance of the underlying hotels and the lack of delinquency
are stabilizing factors for the transaction.

At issuance, two loans, representing 7.2% of the current pool
balance, were shadow-rated investment grade. These loans include 85
Tenth Avenue Center (Prospectus ID #4; 5.2% of the pool) and
Potomac Mills (Prospectus ID #14; 2.2% 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 for the transaction remains
generally stable, DBRS Morningstar notes that the pool has a
moderate concentration of hospitality properties, representing
11.9% of the current pool balance. 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 29.6% of the current pool balance. Much
like hospitality properties, retail properties have been among the
most significantly affected by the pandemic. As such, these loans
are being monitored closely.

Both of the loans in special servicing transferred for payment
default in June 2020. The largest of these loans is the Holiday Inn
Express King of Prussia (Prospectus ID#25; 1.2% of pool), which is
secured by a 155-key limited-service hotel in King of Prussia,
Pennsylvania. According to the servicer, the loan was past due for
the April 2020 payment, but reserve funds were applied to past-due
principal and interest. As such, the loan remained over 90 days
delinquent from July 2020 to October 2020 when foreclosure was
filed, followed by a motion for receivership in November 2020. The
Q3 2020 DSCR was reported at 0.57 times (x) with an occupancy rate
of 37% compared with 2.32x at YE2019 with an occupancy rate of 66%;
however, DBRS Morningstar notes that the loan's strong historical
performance, with DSCRs ranging from 2.01x to 2.32x since issuance,
is a mitigating factor. According to the September 2020 appraisal,
the property value was reported at $15.3 million, a relatively
moderate 11.6% decline compared with the issuance value of $17.3
million. Although the 2020 appraisal implies value outside the loan
balance, given the extended delinquency and continued challenges
for hospitality properties amid the coronavirus pandemic, DBRS
Morningstar analyzed this loan with an increased probability of
default (POD) to significantly increase the expected loss for this
review.

The smaller specially serviced loan, Holiday Inn Express –
Garland, TX (Prospectus ID#31; 0.9% of pool), is secured by a
98-key limited-service hotel in the Dallas suburb of Garland,
Texas. The loan remained over 90 days delinquent from July 2020 to
November 2020, but recently became current with the January 2021
payment. The loan should be returned to the master servicer once
three consecutive payments are made on time. Although the loan is
not reporting quarterly financials, the YE2019 DSCR was reported at
1.46x with an occupancy rate of 70%. Historically, the DSCR has
ranged from 1.18x to 1.62x with occupancy rates reported between
69% and 74% since issuance. According to the August 2020 appraisal,
the property value was reported at $11.2 million, a 22.8% decline
compared with the issuance value of $14.5 million, but above the
loan balance of approximately $9.0 million. Like the other loan in
special servicing, DBRS Morningstar analyzed this loan with an
increased POD to increase the expected loss for this review.

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



BBCMS MORTGAGE 2017-C1: DBRS Confirms B Rating on Class X-G Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2017-C1 issued by BBCMS Mortgage
Trust 2017-C1 as follows:

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

In addition, Classes X-E, E, X-F, F, X-G, and G were removed from
Under Review with Negative Implications where they were placed on
August 6, 2020. All trends are Stable.

DBRS Morningstar also discontinued the rating on Class A-1, which
was repaid in full with the December 2020 remittance.

The ratings confirmations reflect the overall stable performance of
the underlying loans in the transaction. At issuance, the trust
consisted of 58 fixed-rate loans secured by 75 commercial and
multifamily properties with an original balance of $856.1 million.
As of the January 2021 remittance report, there has been a
collateral reduction of 3.5% as a result of scheduled amortization
and the repayment of one loan in Prospectus ID #22, Lakewood
Village, which represented 1.6% of the transaction at issuance. One
loan, representing 0.5% of the current trust balance, has been
defeased since issuance.

There is some notable property type concentration in this
transaction as nine loans secured by office properties account for
40.2% of the current trust balance, including seven loans among the
top 15. Retail properties account for the second-greatest property
type concentration, with 18 loans and 23.6% of the current pool
balance. The largest retail loan in the pool is The Summit
Birmingham (Prospectus ID #4; 6.1% of the pool) is secured by an
open air shopping center in Birmingham, Alabama. Although
performance has been quite strong since issuance, a recent
development in the largest collateral anchor's bankruptcy filing
(Belk; 24.0% of the net rentable area (NRA)) is noteworthy and will
be monitored for developments.

Lodging properties, which have been among the most immediately
affected by the Coronavirus Disease (COVID-19) pandemic, account
for the third-largest property type concentration, with 11 loans
and 15.1% of the current pool balance. Two hotel loans are in
special servicing, including the Anaheim Marriott Suites loan
(Prospectus ID #9; 3.6% of the pool), which is further discussed
below. Another seven of the 14 loans on the servicer's watchlist
(which collectively represent 22.6% of the current trust balance)
are backed by hotel properties. Most of those watchlisted hotel
loans are being monitored for the respective borrower's coronavirus
relief request and/or performance declines driven by the pandemic.
Although the increased risks for these loans are noteworthy, in
general, DBRS Morningstar believes the longer-term outlook remains
generally healthy for most of the hotel loans in this pool.

The largest loan on the servicer's watchlist is 1000 Denny Way
(Prospectus ID#3; 6.8% of current trust balance). The loan is
secured by a 262,565-square-foot mixed-use building in Seattle,
Washington. At issuance, the property's usage was roughly broken
out as 66.3% of the NRA in Class B office space, 32.7% of the NRA
configured as a data center, and 1.0% of the NRA configured for
retail use. The loan was added to the servicer's watchlist in March
2020 after the largest tenant, The Seattle Times (59.7% of the
NRA), failed to renew its lease 12 months prior to expiration in
January 2021. The space has served as the headquarters for the
tenant since 2011. The servicer has not confirmed the tenant's
status as of the most recent update provided, but DBRS Morningstar
does note that an online Jones Lang LaSalle listing for the
property that showed a portion of the space leased to The Seattle
Times as available suggests at least part of the lease was not
expected to be renewed. The loan is structured with a cash flow
sweep, should the tenant fail to renew 12 months prior to
expiration, and the January 2021 reporting listed a $6.4 million
letter of credit provided by the borrower. The servicer reported a
trailing six months (T-6) ended June 2020 debt service coverage
ratio (DSCR) of 1.86 times (x) and the September 2020 rent roll
reported an occupancy rate of 92.5%.

The second-largest loan on the servicer's watchlist is Hyatt Place
Charlotte Downtown (Prospectus ID#9; 3.6% of current trust
balance). The loan was added to the watchlist in July 2020 for a
low DSCR and evaluation of a coronavirus-related relief request. A
forbearance agreement was executed in September 2020, allowing the
borrower to use reserve amounts to pay debt service with some
reserve collections deferred between September and November 2020,
which will be repaid over a specified period ending in August 2021.
The servicer also approved the sponsor's request to obtain a
Paycheck Protection Program loan in the amount of $285,000.

There are also five loans in special servicing including Anaheim
Marriott Suites (Prospectus ID#9; 3.6% of current trust balance),
Wolfchase Galleria (Prospectus ID#28; 1.1% of current trust
balance), Franklin Village Shopping Center (Prospectus ID#29; 1.0%
of current trust balance), Holiday Inn Express & Suites – Jackson
(Prospectus ID#43; 0.7% of current trust balance), and Washington
Place Shopping Center (Prospectus ID#52; 0.4% of current trust
balance).

The largest loan in special servicing is the previously-mentioned
Anaheim Marriot Suites loan, which is secured by a 371 key
full-service hotel located in Garden Grove, California. The
property is located by two major demand drivers, the Anaheim
Convention Center and Disneyland Park. The loan was transferred to
special servicing in June 2020 for payment default and, as of the
January 2021 remittance, was listed as 121+ days delinquent. The
workout strategy is yet to be determined however the servicer has
confirmed the borrower has proposed a debt relief option, which is
in discussions as of this review. As of the trailing 12 months
ended August 2020, Smith Travel Research reported that the
collateral reported an occupancy rate of 55.3%, average daily rate
of $123.83, and revenue per available room of $68.53. Those figures
represented year-over-year declines of 37.6%, 8.1%, and 42.7%,
respectively. The servicer most recently reported a T-6 ended June
2020 DSCR of -0.21x, down from the YE2019 DSCR of 1.84x and the
YE2018 DSCR of 1.79x.

At issuance, an investment-grade shadow rating was assigned to two
loans in Prospectus ID#5 – Merrill Lynch Drive (5.0% of the
current trust balance) and Prospectus ID#11 – State Farm Data
Center (3.0% of the current trust balance). With this review, DBRS
Morningstar confirmed that the performance of these loans remains
consistent with the characteristics of an investment-grade loan.

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


BENCHMARK 2018-B4: DBRS Confirms B(high) Rating on Class GRR Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage Pass
Through Certificates, Series 2018-B4 issued by Benchmark 2018-B4
Mortgage Trust as follows:

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

With this review, DBRS Morningstar removed Classes F-RR and G-RR
from Under Review with Negative Implications where they were placed
on August 6, 2020. The trends on these classes are now Negative. In
addition, the trend on Class E-RR is now Negative. All other trends
remain Stable.

The Negative trends reflect the increased risk to the pool
resulting from five loans having transferred to the special
servicer combined with the continued performance challenges facing
the underlying collateral, much of which has been driven by the
impact of the Coronavirus Disease (COVID-19). In addition to the
five loans (9.2% of the current pool balance) with the special
servicer, which all transferred following the outbreak of the
pandemic, there are 11 loans (20.2% of the current pool) on the
servicer's watchlist as of the January 2021 remittance. Seven of
these loans (11.1% of the current pool balance) were watchlisted as
a result of recent performance declines, reporting a weighted
average (WA) debt service coverage ratio (DSCR) of 0.70 times (x)
based on the most recent financials available, compared with the
year-end 2019 figure of 1.70x.

All 44 of the original loans remain in the pool with an aggregate
principal balance of $1.13 billion, representing a 2.1% collateral
reduction since issuance as a result of loan amortization and a
partial loan repayment. No loans have been defeased and there have
been no losses to the trust. The pool is concentrated by office,
retail, and hospitality properties, representing 29.4%, 27.4%, and
15.2% of the current pool balance, respectively.

The JAGR Hotel Portfolio loan (Prospectus ID#15, 2.9% of the
current pool balance) is the largest loan in special servicing and
is secured by three, full-service hotels totaling 721 keys, located
in secondary markets in three different states: Hilton Jackson (276
keys), DoubleTree Grand Rapids (226 keys), and DoubleTree Annapolis
(219 keys). The loan was transferred to special servicing for
imminent default in August 2020 after the borrower indicated its
inability to continue supporting property operations. The loan is
60-plus days delinquent as of the January 2021 reporting and the
servicer has presented draft modification terms to the borrower.
Based on financials as of June 2020, the loan reported a T-12 net
cash flow (NCF) figure of $1.2 million (a 0.47x DSCR), compared
with the year-end 2019 figure of $5.4 million (2.12x), reflecting a
77.9% NCF decline year-over-year (YoY), primarily as a result of
departmental revenue loss. The portfolio's performance metrics
followed a similar negative trend, with T-12 occupancy, average
daily rate (ADR), and revenue per available rooms (RevPAR) figures
as of June 2020 of 50.3%, $112, and $56, respectively, compared
with year-end 2019 figures of 65.5%, $117, and $76, respectively.
Demand segmentation for the portfolio was 43.7% commercial demand,
33.1% meeting, and 23.2% leisure at issuance. Considering the
loan's current struggles amid the pandemic, DBRS Morningstar
increased the probability of default for this loan in its analysis
to reflect the increased credit risk to the trust.

The Atlantic Times Square loan (Prospectus ID#25, 1.6% of the
current pool balance) is secured by a mixed-use (retail and
multifamily) complex in Monterey Park, California. The retail
component totals 212,800 square feet (sf), while the multifamily
component comprises 100 Class A units; there are also 110 condo
units at the property that do not serve as collateral. The loan was
transferred to special servicing in November 2020 for payment
default and is currently 90-plus days delinquent. As of Q3 2020,
the loan reported a T-9 NCF of $2.9 million (0.69x), compared with
the year-end 2019 figure of $9.8 million (2.05x), reflecting a
70.2% NCF decline YOY, mainly driven by the 47.0% decline in rental
revenue. Rental collections are undoubtedly an issue at the
property, with the largest two tenants, AMC Theatres (19.8% of the
net rentable area (NRA), expiring August 2030) and 24 Hour Fitness
(8.1% of the NRA, expiring August 2025) currently closed. Both of
these tenants have been particularly affected by the coronavirus
pandemic as they both had financial issues at the corporate level
above and beyond the store closures at the subject. According to
the servicer, 24 Hour Fitness has proposed a lease amendment that
is being reviewed, while the borrower has continued dialogue with
AMC. To account for the possible credit risk this loan presents to
the trust, DBRS Morningstar increased the probability of default to
more accurately reflect the current credit profile of the loan.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to six loans: Aventura Mall (Prospectus ID#1, 10.1% of the
current pool balance), 181 Fremont Street (Prospectus ID#2, 7.0% of
the current pool balance), Marina Heights State Farm (Prospectus
ID#3, 5.3% of the current pool balance), The Gateway (Prospectus
ID#5, 4.4% of the current pool balance), Aon Center (Prospectus
ID#6, 4.4% of the current pool balance), and 65 Bay Street
(Prospectus ID#9, 3.5% of the current pool balance). DBRS
Morningstar confirmed that the performance of these loans remains
consistent with the investment-grade loan characteristics.

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


BENCHMARK 2018-B5: DBRS Confirms B(sf) Rating on Class G-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2018-B5 issued by
Benchmark 2018-B5 Mortgage Trust 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-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (sf)

All trends are Stable.

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

As of the December 2020 remittance, all 57 original loans remain in
the pool. There are 16 loans, representing 22.3% of the current
trust balance, on the servicer's watchlist. Additionally, there are
two loans, representing 6.7% of the pool, in special servicing.
DBRS Morningstar is monitoring these loans for performance declines
that have generally been driven by disruptions related to the
Coronavirus Disease (COVID-19) pandemic. As of the December 2020
reporting, there was one loan, representing 0.4% of the pool,
showing 60 days delinquent, but as of the date of the remittance
report it remained with the master servicer.

DBRS Morningstar notes the transaction has a high concentration of
retail property types, with 16 loans secured by regional malls and
both anchored and unanchored retail properties, collectively
representing 32.9% of the pool. In addition, the pool has a
moderate concentration of hospitality properties, representing
15.9%. Hospitality properties have been the most severely affected
by the initial effects of the coronavirus pandemic; as such, this
concentration, while relatively moderate, suggests increased risks
for the pool since issuance, particularly for the lower rating
categories.

Eight of the loans on the watchlist (16.3% of the pool) are secured
by lodging properties, and two loans are secured by retail
properties (0.8% of the pool). Two of the loans backed by
hospitality properties have been flagged for coronavirus relief
requests, with those borrowers typically seeking temporary payment
relief. Although the need for relief is generally indicative of
increased risks from issuance, along with the pandemic-related
stress on hospitality properties across the country that is
undoubtedly affecting the collateral hotels in this pool, DBRS
Morningstar noted the historically stable performance of the
underlying hotels and the lack of delinquency as stabilizing
factors for this review.

At issuance, five loans, representing 27.9% of the current pool
balance, were shadow-rated as investment grade. These loans include
Aventura Mall (Prospectus ID#1; 10.0% of the pool), eBay North
First Commons (Prospectus ID#4; 5.0% of the pool), Workspace
(Prospectus ID#3; 4.9% of the pool), Aon Center (Prospectus ID#7;
4.2% of the pool), and 181 Fremont Street (Prospectus ID#8; 3.9% of
the pool). With this review, DBRS Morningstar confirms that the
performance of these loans remains consistent with investment-grade
loan characteristics.

The largest loan in special servicing, NY & CT NNN Portfolio
(Prospectus ID#2; 5.6% of the pool), is secured by the borrower's
fee interest in a cross-collateralized portfolio of nine retail
properties totalling 70,333 square feet across the greater New York
metro area. Overall, the portfolio is composed of five unanchored
single-tenant retail properties (46.2% of total net rentable area
(NRA)), three multitenant unanchored retail properties (34.4% of
total NRA), and one single-tenant pharmacy-anchored retail property
(19.4% of total NRA). This loan most recently transferred to
special servicing in December 2020 for payment default and default
on the cash management provisions. Since October 2019, the loan has
been delinquent several times but was showing current as of the
December 2020 reporting. Although the outstanding defaults and
historical delinquency are indicative of increased risks for this
loan, DBRS Morningstar notes a primary mitigating factor in the
roughly 83.5% of the portfolio's total NRA that is leased to
investment-grade-rated tenants including Bank of America, TD Bank,
JP Morgan Chase, Walgreens, and CVS. As such, recent payment
defaults appear to be sponsor-related, rather than a
performance-driven issue.

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



BENCHMARK 2021-B23: DBRS Gives Prov. B(low) Rating on 360D Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-B23 to
be issued by Benchmark 2021-B23 Mortgage Trust:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-4A1 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class 360A at A (low) (sf)
-- Class 360B at BBB (low) (sf)
-- Class 360C at BB (low) (sf)
-- Class 360D at B (low) (sf)

All trends are Stable. Class A-4A2, Class 360A, 360B, 360C, and
360D will be privately placed.

The Class 360A, 360B, 360C, and 360D are non-pooled loan-specific
certificates (rake bonds) collateralized by the subordinate
companion note for the 360 Spear whole loan. The loan-specific
certificates will only be entitled to receive distributions from,
and will only incur losses with respect to, the trust subordinate
companion loan. The trust subordinate companion loan is included as
an asset of the issuing entity but is not part of the mortgage pool
backing the pooled certificates. No class of pooled certificates
will have any interest in the trust subordinate companion loan.

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 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 53 fixed-rate loans secured by 65
commercial and multifamily properties. The transaction has a
sequential-pay pass-through structure. Four loans, representing
18.4% of the pool, are shadow-rated investment grade by DBRS
Morningstar. The conduit pool was analyzed to determine the
provisional 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
DBRS Morningstar weighted-average (WA) debt service coverage ratio
(DSCR) of the pool was 2.83 times (x). One loan, representing only
0.2% of the pool, has a DBRS Morningstar DSCR below 1.29x, a
threshold indicative of a higher likelihood of midterm default. The
pool additionally includes three loans, composing a combined 11.4%
of the pool balance, with a DBRS Morningstar loan-to-value (LTV)
ratio exceeding 70.0%, a threshold generally indicative of
above-average default frequency. The WA DBRS Morningstar LTV of the
pool at issuance was 55.0%, and the pool is scheduled to amortize
down to a WA DBRS Morningstar LTV of 53.0% at maturity. These
credit metrics are based on the A note balances. Excluding the
shadow-rated loans, representing 18.4% of the pool, the deal still
exhibits a favorable DBRS Morningstar Issuance LTV of 58.2%.

While the pool demonstrates favorable loan metrics with WA DBRS
Morningstar Issuance and Balloon LTVs of 55.0% and 53.0%,
respectively, it also exhibits heavy leverage bar belling. There
are four loans, accounting for 18.4% of the pool, with
investment-grade shadow ratings and a WA LTV of 40.6%. There are 11
loans, constituting a combined 14.6% of the pool balance, with an
issuance LTV of 65.0% or higher, 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 component was approximately
0.3%, while the WA expected loss of the pool's conduit component
was substantially higher at approximately 3.5%, 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 4.9%. This is higher than
the conduit component's WA expected loss of 2.9%, and the pool's
credit enhancement reflects the higher leverage of this 10-loan
component with an issuance LTV exceeding 67.9%.

The pool has a relatively high concentration of loans secured by
office and retail properties with 20 loans, representing 50.7% of
the pool balance, secured by office or predominantly office
properties and six loans, representing 10.2% of the pool, secured
by retail or predominantly 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 remote-working strategies. Three of the 20
office/predominantly office loans, representing 23.4% of the office
balance, are shadow-rated investment grade by DBRS Morningstar: 360
Spear, The Grace Building, and First Republic Center. Furthermore,
42.8% of the office loans are in areas with DBRS Morningstar Market
Ranks of 7 or 8. Of the retail concentration, four retail loans,
representing 93.1% of the retail concentration, have sponsors that
DBRS Morningstar deemed to be strong. The office and retail
properties exhibit favorable WA DBRS Morningstar DSCRs of 3.15x and
3.89x, respectively. Additionally, both property types exhibit
favorable LTVs at 55.4% and 45.4%, respectively.

There are 34 loans, representing 77.3% of the pool balance, that
are structured with full-term IO periods. An additional 13 loans,
representing 18.8% of the pool balance, are structured with partial
IO terms ranging from 36 months to 84 months. Of the 34 loans with
full-term IO periods, nine loans, representing 45.3% 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. Three of the 34 identified
loans, representing 11.5% of the total pool balance, are
shadow-rated investment grade by DBRS Morningstar.

There are 10 loans, representing 31.3% of the pool, that 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 7 and 8 benefit from lower default frequencies than
less-dense suburban, tertiary, and rural markets. Urban markets
represented in the deal include New York; San Francisco; and
Portland, Oregon. In addition, 17 loans, representing 44.3% 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 security (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%.

Four of the loans—360 Spear, MGM Grand & Mandalay Bay, the Grace
Building, and First Republic Center—exhibit credit
characteristics consistent with investment-grade shadow ratings.
Combined, these loans represent 18.4% of the pool. The loan for 360
Spear has credit characteristics consistent with an A (high) shadow
rating, MGM Grand & Mandalay Bay has credit characteristics
consistent with a AAA shadow rating, The Grace Building has credit
characteristics consistent with an "A" shadow rating, and First
Republic Center has credit characteristics consistent with a AA
shadow rating.

There are 27 loans, representing a combined 56.6% of the pool by
allocated loan balance, that exhibit issuance LTVs of less than
60.0%, 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 18.4% of the pool, the deal exhibits a
favorable DBRS Morningstar Issuance LTV of 58.2%.

Term default risk is low, as indicated by a strong DBRS Morningstar
DSCR of 2.83x. Even with the exclusion of the shadow-rated loans
the deal exhibits a very favorable DBRS Morningstar DSCR of 2.51x.
There are 17 loans, representing 67.4% of the DBRS Morningstar
sample, that received a property quality of Average + or better.
One loan, representing 5.9% of the DBRS Morningstar sample, was
deemed to have Excellent quality and three loans, representing
16.7% of the DBRS Morningstar sample, to be Above Average.

There are 10 loans, five of which are within the top 15 loans,
representing 30.0% of the pool, that have strong sponsorship.
Furthermore, DBRS Morningstar identified only two loans,
cumulatively representing 9.2% of the pool, that have sponsorship
and/or loan collateral associated with a prior discounted payoff,
foreclosure, loan default, historical negative credit event,
sponsorship by a foreign national, and/or inadequate commercial
real estate experience.

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


BX TRUST 2021-LBA: DBRS Gives Prov. B (low) Rating on 2 Classes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates to be issued by BX
Trust 2021-LBA:

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

All trends are Stable. Classes H-V and H-JV are Not Rated (NR).

The Class X-V-CP, X-V-NCP, X-JV-CP, and X-JV-NCP certificates are
interest-only (IO) classes whose balances are notional.

The transaction consists of two separate, uncrossed portfolios of
assets, Pool 1 (Fund V; 17 assets) and Pool 2 (Fund JV; 35 assets),
each of which supports the payments on its respective series of
certificates. Generally, each of the portfolios exhibits strong
functionality metrics and both are well-located in major industrial
markets.

The majority of both portfolios consists of functional bulk
warehouse product with strong functionality metrics and
comparatively low proportions of office square footage. The Fund V
properties have a WA year built of 1997 and WA clear heights of
27.1 feet, while the Fund JV properties have a WA year built of
1994 and WA clear heights of 28.0 feet. The percentage of office
across Fund V and Fund JV is 14.5% and 6.1%, respectively. The
metrics of both portfolios compare favorably with other industrial
portfolios recently analyzed by DBRS Morningstar.

The Fund V and Fund JV portfolios benefit from their locations
across numerous strong-performing west-coast gateway industrial
markets, including the markets in Los Angeles, Orange County, and
Inland Empire in California; Portland, Oregon; Seattle; and
Phoenix. The Fund V submarkets have a WA availability rate of
6.38%, and the Fund JV submarkets have a WA availability rate of
6.88%, each of which is below the Q3 2020 national average of
approximately 7.6% according to CBRE EA.

The portfolios have been largely unaffected by the immediate-term
disruptions from the Coronavirus Disease (COVID-19) pandemic, with
collections averaging 99% between April and November 2020 for Fund
V, and 98% for Fund JV through the same period. Furthermore, DBRS
Morningstar believes that industrial properties are among the best
positioned to weather the ongoing short- and medium-term market
dislocations related to the pandemic.

The DBRS Morningstar LTVs on the trust loans are substantial:
105.45% and 113.88%, respectively, for the Fund V and Fund JV
portfolios. The high leverage nature of the transactions, combined
with the lack of amortization, could result in elevated refinance
risk and/or loss severities in an event of default (EOD).

Leases representing approximately 72.5% and 87.1% of DBRS
Morningstar's base rent are scheduled to roll through the fully
extended loan term across the Fund V and Fund JV portfolios,
respectively. Significant portfolio rollover typically indicates
the potential for future cash flow volatility, particularly if
market rents or occupancy rates deteriorate over time.
Additionally, DBRS Morningstar did not conclude that either
portfolio's rents were significantly below market, therefore
limiting the roll-to-market upside as leases expire.

Both portfolios are heavily concentrated in terms of both allocated
loan amount (ALA) and net operating income (NOI) in the Southern
California region. While these markets continue to be among the
best-performing industrial markets in the country, both pools are
at an elevated exposure if market fundamentals deteriorate
unexpectedly. Additionally, the top five tenants in Pool 1 (Fund V)
are responsible for 44.0% of the portfolio's base rent, which is
unusually concentrated, even for a smaller portfolio of assets.
Similarly, the top five tenants in the larger Pool 2 (Fund JV) are
responsible for 25.0% of the portfolio's base rent, which is still
comparatively concentrated.

Both mortgage loans have a partial pro rata/sequential-pay
structure, which allows for pro rata paydowns for the first 30.0%
of the unpaid principal balance. DBRS Morningstar considers this
structure to be credit negative, particularly at the top of the
capital stack. Under a partial pro rata paydown structure,
deleveraging of the senior notes through the release of individual
properties occurs at a slower pace as compared with a
sequential-pay structure. DBRS Morningstar applied a penalty to the
transaction's capital structure to account for the pro rata nature
of certain prepayments.

The borrower can also release individual properties across both
portfolios with customary requirements. However, in both cases, the
prepayment premium for the release of individual assets is 105.0%
of the ALA for the first 30.0% of the original principal balance of
the mortgage loan and 110.0% thereafter. DBRS Morningstar considers
the release premium to be weaker than a generally credit-neutral
standard of 115.0% and, as a result, applied a penalty to the
transaction's capital structure to account for the weak
deleveraging premium.

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


CALIFORNIA STREET XII: Moody's Hikes Class E Notes to Ba2
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by California Street CLO XII, Ltd. (the "CLO" or
"Issuer"):

US$47,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2025 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously
on December 21, 2018 Upgraded to Aa3 (sf)

US$51,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2025 (the "Class D-R Notes"), Upgraded to A2 (sf); previously
on December 8, 2020 Baa2 (sf) Placed Under Review for Possible
Upgrade

US$34,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2025 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on
August 24, 2020 Confirmed at Ba3 (sf)

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

These actions conclude the review for upgrade initiated on December
8, 2020 on the Class D-R Notes issued by the CLO. The CLO,
originally issued in October 2013 and partially refinanced in April
2017 and October 2020, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
October 2017.

RATINGS RATIONALE

The upgrade actions taken on the Upgraded Notes are primarily a
result of applying Moody's revised CLO assumptions described in
"Moody's Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, Moody's adjust the obligor's Moody's Default
Probability Rating down by one notch if the obligor's rating is on
review for possible downgrade and we make no adjustments if the
obligor's rating has a negative outlook. Based on these updates,
Moody's calculated WARF on the portfolio is now 2578 compared to
the WARF of 2854 as reported on trustee's January report [1].

The upgrade actions are also a result of deleveraging of the senior
notes and an increase in the transaction's over-collateralization
(OC) ratios since September 2020. The Class A-R notes have been
paid down by approximately 41.3% or $87.4 million since September
2020. Based on the trustee's January 2021 report [2], the OC ratios
for the Class C-R and Class D-R and Class E notes are reported at
136.63%, 117.98%, and 108.14% and respectively, versus trustee's
September 2020 reported [3] levels of 132.85%, 116.55%, and 107.74%
respectively. Moody's notes that the January 2021 trustee reported
[4] OC ratios do not reflect $45.2 million payment to the Class A-R
notes on the January 15, 2021 payment date.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers or the metrics calculated based on the current portfolio.

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

Performing par and principal proceeds balance: $391,796,216

Defaulted Securities: $11,659,450

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2578

Weighted Average Life (WAL): 3.1 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
2.81%

Weighted Average Recovery Rate (WARR): 48.2%

Par haircut in OC tests and interest diversion test: 0.2%

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from 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; 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 Moody's forecasts is unusually high.

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

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

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

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


CD 2017-CD4: DBRS Confirms BB(sf) Rating on Class X-F Certs
-----------------------------------------------------------
DBRS, Inc. confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2017-CD4 issued by CD 2017-CD4
Mortgage Trust 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-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class V-A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class V-BC at A (high) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class V-D at BBB (sf)
-- Class X-E at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class X-F at BB (sf)
-- Class F at BB (low) (sf)

DBRS Morningstar also removed the ratings on Classes D, E, F, X-D,
X-E, X-F, and V-D from Under Review with Negative Implications,
where they were placed on August 6, 2020. The trends on these
classes are Negative, reflecting the continued performance
challenges to the underlying collateral, many of which the
Coronavirus Disease (COVID-19) pandemic has driven. The trends on
all other classes are Stable.

The rating confirmations reflect the stable performance of the
transaction, which has remained in line with DBRS Morningstar's
expectations at issuance. The pool's collateral is unchanged since
issuance, still consisting of 47 loans secured by 53 properties. As
of the January 2021 remittance, the pool had an aggregate principal
balance of $881.4 million, representing a collateral reduction of
2.1% since issuance.

Four loans, representing 9.0% of the pool, are in special
servicing. Two of these loans, Marriott Spartanburg (Prospectus
ID#9, 2.6% of the current pool balance) and Roslyn Hotel
(Prospectus ID#29, 1.1% of the current pool balance) are 90+ days
delinquent, while the remaining two loans, Key Center Cleveland
(Prospectus ID#7, 3.3% of the current pool balance) and Hamilton
Crossing (Prospectus ID#12, 2.1% of the current pool balance)
remain current.

Key Center Cleveland is secured by a mixed-use property in downtown
Cleveland, comprising two interconnected office buildings, a
400-key Marriott hotel, and a 985-space underground parking garage.
The loan was transferred to special servicing in November 2020 for
imminent default. As noted above, the loan remains current as of
the January 2021 reporting and negotiations for temporary relief
are underway. As of June 2020, the loan reported an annualized net
cash flow (NCF) of $17.8 million, representing a 38.5% decline when
compared with the year-end 2019 figure of $28.9 million. While cash
flow had been trending positive since issuance prior to the most
recent reporting, the decline comes primarily as a result of lost
revenue from the hotel and parking portions of the collateral amid
the pandemic, which is likely to remain depressed during the short
term. Additionally, the property's largest tenant, KeyBank (31.8%
of the net rentable area (NRA), expiring June 2030), downsized by
44,000 square feet (3.2% of the NRA) in July 2020 after giving the
required 12 months' notice; a $2.1 million termination fee was
collected upon notice in 2019 and held in reserves. While there is
a three-year lockout before the tenant can contract its footprint
further, KeyBank retains two more identical options, allowing the
tenant to downsize by an additional 59,000 square feet in total.
While it appears likely that a coronavirus-related forbearance may
be granted, the uncertainty caused by the pandemic and the
additional contraction options for the largest tenant increase the
loan's risk profile.

Marriott Spartanburg is secured by a nine-story, 247-room
full-service hotel located in downtown Spartanburg, South Carolina.
The loan was transferred to special servicing in July 2020 for
payment default as a result of the pandemic. According to the
servicer, the borrower and special servicer are in active
discussions for coronavirus relief. DBRS Morningstar's concerns are
also heightened because the transaction's performance had been
trending downward prior to the coronavirus pandemic, with the
YE2019 NCF reported at 67% below issuance levels with a
corresponding debt service coverage ratio (DSCR) of 0.65 times (x).
The decline in performance is likely the result of new supply, as
four new hotels opened in the immediate area since issuance. An
updated appraisal completed in September 2020 valued the property
at $25.5 million ($103,239/key), which implies a loan-to-value of
88.9%. The updated appraised value reflects a 36.4% decrease from
the at-issuance appraisal of $40.1 million.

Thirteen loans, representing 35.2% of the pool, are on the
servicer's watchlist as of the January 2021 remittance, highlighted
by the pool's largest loan, 95 Morton Street (Prospectus ID#1,
10.8% of the pool). The loan, which is secured by a Class A,
217,084-square-foot office building in New York City's West Village
neighborhood, is being monitored on the servicer's watchlist for a
cash trap trigger after the June 2020 DSCR fell below 1.10x. The
loan has maintained stable performance to date that has been
consistent with issuance levels. While the loan had a trust debt
DSCR of 2.30x as of Q3 2020, the cash trap provision is based on
the total debt inclusive of the $77 million mezzanine loan held
outside the trust. Given the loan's stable occupancy and cash flow
along with minimal rollover concerns, DBRS Morningstar did not
increase the probability of default on the loan but will continue
to monitor the loan for further updates from the servicer.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating on two loans, 95 Morton Street and Hilton Hawaiian Village
Waikiki Beach Resort (Prospectus ID#5, 6.3% of the pool balance).
With this review, DBRS Morningstar confirmed that the performance
of these loans remains consistent with investment-grade loan
characteristics.

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


CITIGROUP 2015-GC29: Fitch Lowers Class F Certs to 'B-'
-------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 13 classes of
Citigroup Commercial Mortgage Trust series 2015-GC29 commercial
mortgage pass-through certificates.

     DEBT               RATING          PRIOR
     ----               ------          -----
CGCMT 2015-GC29

A-2 17323VAX3     LT  AAAsf  Affirmed   AAAsf
A-3 17323VAY1     LT  AAAsf  Affirmed   AAAsf
A-4 17323VAZ8     LT  AAAsf  Affirmed   AAAsf
A-AB 17323VBB0    LT  AAAsf  Affirmed   AAAsf
A-S 17323VBC8     LT  AAAsf  Affirmed   AAAsf
B 17323VBD6       LT  AA-sf  Affirmed   AA-sf
C 17323VBE4       LT  A-sf   Affirmed   A-sf
D 17323VAA3       LT  BBB-sf Affirmed   BBB-sf
E 17323VAC9       LT  BBsf   Affirmed   BBsf
F 17323VAE5       LT  B-sf   Downgrade  Bsf
PEZ 17323VBH7     LT  A-sf   Affirmed   A-sf
X-A 17323VBF1     LT  AAAsf  Affirmed   AAAsf
X-B 17323VBG9     LT  AA-sf  Affirmed   AA-sf
X-D 17323VAL9     LT  BBB-sf Affirmed   BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations have increased since
the prior review due to increased loss expectations on a greater
number of Fitch Loans of Concerns (FLOCs) that have been affected
by the slowdown in economic activity related to the coronavirus
pandemic. Fourteen loans (26% of the pool balance) have been
identified as FLOC's, including two loans in special servicing
(6.7%), as a result of the coronavirus pandemic and/or occupancy
declines and upcoming lease rollover concerns. Fitch's current
ratings incorporate a base case loss of 6.50%. The Negative Rating
Outlooks indicate losses may increase further to 7.00% if loans
affected by the pandemic do not stabilize and reflect additional
stresses on these loans.

FLOCs/Specially Serviced Loans: The largest specially serviced loan
and largest contributor to expected losses, 170 Broadway (5.3%), is
secured by a 16,135-sf, single-tenant retail condominium that is
100% occupied by The Gap. The Gap's lease extends until Feb. 2030,
and the YE 2019 NOI debt service coverage ratio (DSCR) was 1.54x.
According to servicer notes, The Gap remains in-place but is not
paying rent, and there is ongoing litigation between the borrower
and tenant over whether the tenant is responsible for rental
payments during pandemic restrictions.

Fitch's analysis included a 5% stress to the YE 2019 NOI which
resulted in an approximate 35% loss severity, or a recovery of
$3,135 psf. Although the expected losses are conservative and based
on concerns with the ongoing litigation and uncertainty of the
ultimate resolution, Fitch's analysis also considered that per the
company website, the retailer has reopened at this location, and
per media reports the litigation has been progressing.

The largest FLOC (6.5%), Parkchester Commercial, is collateralized
by a 541,232 sf, retail/office mixed-use property located in the
Bronx, NY. The largest tenant is Macy's (31.5%) which expires in
March 2022. Servicer reported September 2020 NOI has increased by
23% compared to YE 2019 NOI but has declined by 26% compared to
issuance, mainly due to increasing expenses, particularly real
estate taxes and repairs and maintenance. Occupancy has remained
relatively stable at the property and is 90.5% at October 2020
compared to 94% as of September 2019 and 93% at issuance. The NOI
DSCR as of September 2020 was 1.41x compared to 1.14x at YE 2019,
1.14x at YE 2018 1.61x at YE 2017 and 1.92x at issuance. Fitch's
analysis included a 5% stress to the YE 2019 NOI for upcoming
tenant rollover which resulted in an approximate 15% loss
severity.

Papago Arroyo (3.10%), is collateralized by a 279,504 sf, suburban
office property in Tempe, AZ. The former largest tenant, Sonora
Quest Laboratories (55% of NRA), vacated its space but has signed a
short term lease for approximately 10% of the building that expires
in July 2021. Sonora Quest provided the required termination fee of
$976,000 after exercising an early termination option.
Additionally, the borrower provided a LOC of $1 million to prevent
a trigger event from occurring. Occupancy as of December 2020 was
49.3% down from 96% at YE 2019 and the NOI DSCR declined to 1.80x
at September 2020 from 2.56x at YE 2019. Fitch's analysis included
a 40% stress to the YE 2019 NOI to account for declining rental
rates at the property and rollover concerns and resulted in an
approximate 15% loss severity.

Ansley Walk (2.65%), is collateralized by a multifamily property in
Lafayette, LA, which has experienced performance decline primarily
due to exposure to the oil and gas industry, as many tenants are
employed by energy companies. Servicer reported NOI DSCR as of TTM
September 2020 declined to 1.20x from 1.30x and 1.28x at YE 2019
and YE 2018. Occupancy has increased to 98% at November 2020 from
90% at YE 2019, 97% at YE 2018 and 91% at YE2017 but rental rates
have declined causing TTM 2020 NOI to drop by 26% compared to
issuance. Fitch's analysis included a 5% stress to the YE 2019 NOI
for declining rental rates at the property and resulted in an
approximate 35% loss severity.

Coronavirus Impact: Fitch expects significant economic impacts to
certain hotels, retail and multifamily properties from the
pandemic, due to the related reductions in travel and tourism,
temporary closures and capacity rules, and lack of clarity at this
time on the potential duration and/or impact of the pandemic.
Properties collateralized by retail, multifamily, and hotels total
19.4%, 16.1% and 4.8%, respectively. Fitch's base case analysis
applied additional stresses to 11 retail loans and four hotel loans
due to their vulnerability to the pandemic; this analysis
contributed to the Downgrade of class F and the Negative Outlooks
on classes E and F.

Improved Credit Enhancement (CE): CE has increased since issuance
due to loan payoffs and scheduled amortization. As of the January
2021 distribution date, the pool's aggregate principal balance has
been reduced by 16.9% to $929.5 million from $1.12 billion at
issuance. Five loans have paid off since issuance, including the
fourth largest loan, Apollo Education Group Headquarters, formerly
$91.5 million. Four loans, approximately 37.0% of the pool, are
full-term, IO, including the three largest loans in the pool. All
of the partial-term, IO loans (36.1%) are now amortizing. Ten loans
(15.7%) are fully defeased, up from five loans (11.9%) at the prior
review, including the third largest loan. All remaining loans
mature from March 2024 through April 2025. There has been $3.7
million of realized losses from two loans liquidating since the
last review.

Pari Passu Loans: Four loans comprising 31% of the pool are part of
a pari passu loan combination: Selig Office Portfolio (13.5% of the
pool), 3 Columbus Circle (10.8% of the pool), 170 Broadway (5.3% of
the pool) and Crowne Plaza Bloomington (1.4% of the pool). The
Selig Office Portfolio, 170 Broadway and Crowne Plaza Bloomington
loan combinations are serviced under the pooling and servicing
agreement for this transaction. The controlling notes for the 3
Columbus Circle are held outside the trust.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E and F reflects the
potential for downgrades due to concerns surrounding the ultimate
impact of the pandemic, and the performance concerns associated
with the FLOCs. The Stable Rating Outlooks on classes A-2 through D
reflect the increasing CE, continued expected amortization and
relatively stable performance of the majority of the pool.

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

-- Sensitivity factors that lead to upgrades would include stable
    to improved asset performance coupled with pay down and/or
    defeasance. Upgrades of the 'AA-sf' and 'A-sf' categories
    would likely occur with significant improvement in CE and/or
    defeasance; however, adverse selection, increased
    concentrations and further underperformance of the FLOCs or
    loans expected to be negatively affected by the coronavirus
    pandemic could cause this trend to reverse.

-- Upgrades to the 'BBB-sf' category would be limited based on
    sensitivity to concentrations or the potential for future
    concentration. Classes would not be upgraded above 'Asf' if
    there were likelihood for interest shortfalls. Upgrades to the
    'BBsf' and 'B-sf' categories are not likely until the later
    years in a transaction, and only if the performance of the
    remaining pool is stable and/or properties vulnerable to the
    pandemic return to pre-pandemic levels, and there is
    sufficient CE to the classes.

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

-- Sensitivity factors that lead to Downgrades include an
    increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the 'AAAsf' and 'AA
    sf' categories are not likely due to the high CE and
    amortization, but may occur should interest shortfalls impact
    the classes.

-- Downgrades to the 'BBB-sf' and A-sf' category would occur
    should overall pool losses increase significantly and/or one
    or more large loans have an outsized loss, which would erode
    CE. Downgrades to the 'BBsf' and 'B-sf' categories would occur
    should loss expectations increase, if losses become more
    certain on 170 Broadway, and/or if performance of the FLOCs or
    loans vulnerable to the pandemic fail to stabilize or
    additional loans default and/or transfer to the special
    servicer.

In addition to its baseline scenario related to the coronavirus
pandemic, Fitch also envisions a downside scenario where the health
crisis is prolonged beyond 2021; should this scenario play out,
Fitch expects Negative rating actions, including Downgrades and/or
further Negative Rating Outlook revisions.

Deutsche Bank is the trustee for the transaction, and serves as the
backup advancing agent. Fitch's Issuer Default Rating for Deutsche
Bank is currently 'BBB'/'F2'/Outlook Positive. Fitch relies on the
master servicer, Wells Fargo Bank, N.A., a division of Wells Fargo
& Company (A+/F1/Outlook Negative), which is currently the primary
advancing agent, as counterparty. Fitch provided ratings
confirmation on Jan. 24, 2018.

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.


CITIGROUP 2020-GC46: Fitch Affirms B- Rating on Class GRR Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Citigroup Commercial
Mortgage Trust series 2020-GC46 commercial mortgage pass-through
certificates.

     DEBT                RATING           PRIOR
     ----                ------           -----
Citigroup Commercial Mortgage Trust 2020-GC46

A-1 17328RAW9      LT  AAAsf  Affirmed    AAAsf
A-2 17328RAX7      LT  AAAsf  Affirmed    AAAsf
A-4 17328RAY5      LT  AAAsf  Affirmed    AAAsf
A-5 17328RAZ2      LT  AAAsf  Affirmed    AAAsf
A-AB 17328RBA6     LT  AAAsf  Affirmed    AAAsf
A-S 17328RBB4      LT  AAAsf  Affirmed    AAAsf
B 17328RBC2        LT  AA-sf  Affirmed    AA-sf
C 17328RBD0        LT  A-sf   Affirmed    A-sf
D 17328RAG4        LT  BBBsf  Affirmed    BBBsf
E 17328RAJ8        LT  BBB-sf Affirmed    BBB-sf
F 17328RAL3        LT  BB-sf  Affirmed    BB-sf
GRR 17328RAN9      LT  B-sf   Affirmed    B-sf
X-A 17328RBE8      LT  AAAsf  Affirmed    AAAsf
X-B 17328RAA7      LT  A-sf   Affirmed    A-sf
X-D 17328RAC3      LT  BBB-sf Affirmed    BBB-sf
X-F 17328RAE9      LT  BB-sf  Affirmed    BB-sf

KEY RATING DRIVERS

Overall Stable Performance: Pool performance has remained
relatively stable since issuance, although full-year 2020
financials have not been reported and only a limited amount of rent
rolls were available. One loan, The Westin Book Cadillac (3.7%),
has transferred to the special servicer due to the performance
impact of the pandemic. The servicer has placed 15 loans (27.9%) on
the Watchlist due to the coronavirus pandemic and/or upcoming lease
rollover and low DSCR on partial year financials. Fitch is
monitoring the loans that have requested or received pandemic
relief.

Specially Serviced Loan: The Westin Book Cadillac (3.7%) is
453-room full-service hotel located in downtown Detroit, MI and
built in 1924. The hotel was renovated in 2008. The loan
transferred to special servicing in August 2020 after the borrower
requested pandemic-related relief. The hotel is close to three
casinos as well as multiple sports venues, including Comerica Park,
Ford Field and Little Caesars Arena. The hotel was closed in April,
May and most of June 2020, but has remained open since. TTM
November 2020 occupancy, ADR, and RevPar were 30.9%, $181 and $56
compared to TTM November 2019 at 77%, $204, and $158.

The special servicer is pursuing foreclosure while discussing a
potential modification with the borrower. Fitch's analysis included
a conservative loss assumption based on an updated valuation
provided by the special servicer. The assumed loss severity was
approximately 25%; however, Fitch's analysis and rating
affirmations also considered the property's location and
expectation of performance stabilization and recovery
post-pandemic. The loan matures in 2030.

Minimal Change in Credit Enhancement: As of the January 2021
distribution date, the pool's aggregate principal balance has been
paid down by 0.13% to $1.218 billion from $1.220 billion at
issuance. There are 23 loans that are full-term interest-only
(66.5% of the pool) and 13 loans (25.5%) are partial-interest only
and have yet begun amortizing. Interest shortfalls are impacting
class J-RR.

Pool Concentration/Coronavirus Exposure: Thirteen loans (29.9%) are
secured by retail properties, seven loans (12.5%) are secured by
hotel properties, and 10 loans (13.9%) are secured by multifamily
properties. None of the properties are student or senior housing.
Two loans, CBM Portfolio (4.10%) and 805 Third Avenue (3.69%), have
received forbearance relief due to the pandemic.

Investment-Grade Credit Opinion Loans: Eight loans representing
approximately 36.2% of the pool were assigned an investment-grade
credit opinion on a standalone basis at issuance. Southcenter Mall
(4.8%) loan received a credit opinion of 'AAAsf' on a standalone
basis. Parkmerced (2.3%) received a credit opinion of 'BBB+sf' on a
standalone basis. 650 Madison Avenue (9.4%), 1633 Broadway (9.0%),
CBM Portfolio (4.1%), 805 Third Avenue (3.7%), the Bellagio (1.6%),
and 510 East 14th Street (1.2%) loans each received a credit
opinion of 'BBB-sf' on a standalone basis.

RATING SENSITIVITIES

The Stable Rating Outlooks on all classes reflect the overall
stable performance of the pool and continued amortization.

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

-- Sensitivity factors that could lead to upgrades include stable
    to improved asset performance coupled with paydown and/or
    defeasance. Upgrades to classes B, C, D, E, X-B, and X-D would
    only occur with significant improvement in credit enhancement
    (CE) and/or defeasance. Classes would not be upgraded above
    'Asf' if there were a likelihood of interest shortfalls.

-- An upgrade to classes F, G-RR and X-F is unlikely until the
    later years of the transaction, and only if the performance of
    the remaining pool is stable and there is sufficient CE, which
    would likely occur when the senior classes payoff and if the
    nonrated class is not eroded. Additionally, as long as
    uncertainty surrounding the pandemic continues, upgrades are
    not likely.

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

-- Sensitivity factors that lead to downgrades include an
    increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the senior classes, A
    1, A-2, A-3, A-4, A-5, A-AB, A-S, X-A, and B, are less likely
    due to the high CE, but may occur at 'AAAsf' or 'AAsf' should
    interest shortfalls occur.

-- Downgrades to classes C, D, E, X-B and X-D could occur should
    overall pool losses increase and/or one or more large loans
    transfer to special servicing. Downgrades to classes F and G
    RR would occur should the performance of loans impacted by the
    pandemic, such as The Westin Book Cadillac, fail to stabilize
    and/or losses materialize and CE becomes eroded.

-- In addition to its baseline scenario, Fitch also envisions a
    downside scenario where the health crisis is prolonged beyond
    2021; should this scenario play out, Fitch expects that a
    greater percentage of classes may be assigned a Negative
    Rating Outlook or those with Negative Rating Outlooks will be
    downgraded by one or more categories.

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.


CITIGROUP COMMERCIAL 2006-C4: Fitch Lowers Class C Certs to CCC
---------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 11 classes of
Citigroup Commercial Mortgage Trust, commercial mortgage
pass-through certificates, series 2006-C4 (CGCMT 2006-C4).

    DEBT             RATING            PRIOR
    ----             ------            -----
Citigroup Commercial Mortgage Trust 2006-C4

C 17309DAJ2    LT  CCCsf  Downgrade     Bsf
D 17309DAK9    LT  Csf    Affirmed      Csf
E 17309DAM5    LT  Dsf    Affirmed      Dsf
F 17309DAN3    LT  Dsf    Affirmed      Dsf
G 17309DAP8    LT  Dsf    Affirmed      Dsf
H 17309DAQ6    LT  Dsf    Affirmed      Dsf
J 17309DAR4    LT  Dsf    Affirmed      Dsf
K 17309DAS2    LT  Dsf    Affirmed      Dsf
L 17309DAT0    LT  Dsf    Affirmed      Dsf
M 17309DAU7    LT  Dsf    Affirmed      Dsf
N 17309DAV5    LT  Dsf    Affirmed      Dsf
O 17309DAW3    LT  Dsf    Affirmed      Dsf

KEY RATING DRIVERS

High Loss Expectations; Concentration of REO Assets: Although class
C previously had a Positive Outlook, Fitch has downgraded the
rating due to the reliance on recoveries from specially serviced
real estate owned (REO) assets. At Fitch's prior rating action, the
class C balance was fully covered by defeased and performing loan
collateral; however, a portion of proceeds received from the
repayment of performing loans was taken to recover servicer
advances on the REO assets.

Fitch's overall loss expectations on the REO assets remain high,
and all remaining classes are reliant on proceeds from these
assets. The two REO assets totaling $38.9 million (87.7% of pool)
are secured by large retail centers, including a regional mall,
with significant performance declines.

Specially Serviced REO Assets: The largest specially serviced REO
asset, Dubois Mall (62.7%), is secured by an approximately 440,000
sf regional mall in DuBois, PA, approximately 100 miles northeast
of Pittsburgh, PA. The loan was transferred to special servicing in
May 2016 due to imminent maturity default and become REO in April
2019. The property is now being managed and leased by JLL as REO.
JLL is addressing items of deferred maintenance including mall
flooring, signage, roofing and facade repairs.

Current major collateral tenants include JCPenney, Big Lots and
Ross Dress for Less. Sears, which previously occupied 14.4% net
rentable area (NRA), vacated in December 2018. Per the October 2019
rent roll, mall occupancy was approximately 70%. Fitch's request
for a recent rent roll and leasing updates remains outstanding. Per
servicer updates, numerous rent relief requests have been received
and are being evaluated as a result of the coronavirus pandemic.

The second largest specially serviced REO asset, State & Perryville
Shopping Center (25.0%), secured by an approximately 120,000 sf
anchored retail center in Rockford, IL. The loan transferred to
special servicing in April 2017 for imminent default, as a result
of performance declines due to a major tenant vacancy. Gordmans
(previously 51.7% NRA) vacated in March 2017 after the tenant filed
for bankruptcy. The property is currently 48% occupied, primarily
by Ashley Furniture (42.5% NRA) whose lease expires in July 2021. A
foreclosure sale occurred in January 2019, and the asset is REO as
of February 2019. CBRE is providing management and leasing
services.

Exposure to Coronavirus Pandemic: Retail properties, which account
for 87.7% of the pool, have exposure to the coronavirus pandemic
and will be challenged by a decline in shopping and a secular shift
away from regional malls and larger retail centers. Fitch's
distressed ratings consider the potential for negative impact on
potential sales and workout strategies.

Increased Credit Enhancement: As of the January 2021 distribution
date, the pool's aggregate principal balance has been reduced by
98.0% to $44.4 million from $2.26 billion at issuance. Seven loans
with a balance of $23.4 million, including one in special servicing
and one that was fully defeased, were disposed with a $9.3 million
loss to the trust since Fitch's prior rating action. One loan
(12.3%) is fully defeased and has loan maturity in May 2021. Per
servicer updates, a portion of the defeased loan proceeds will be
used to cover servicer advances on the specially serviced REO
assets. There have been $175.4 million (7.8% of original pool
balance) in realized losses to date. Cumulative interest shortfalls
of $13.1 million are currently affecting classes D through P.

Concentrated Pool: Only three of the original 170 loans remain. Due
to the concentrated nature of the pool, Fitch performed a
sensitivity analysis that grouped the remaining loans based on
timing and likelihood for repayment from maturing defeased and
performing loans and by expected losses from the liquidation of
specially serviced loans.

RATING SENSITIVITIES

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

-- A downgrade of class C is possible if performance of the
    specially serviced REO assets deteriorates further. A
    downgrade of class D will incur when losses, which are
    considered inevitable, are realized as the specially serviced
    REO assets are disposed.

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

-- Upgrades are currently not expected given the high
    concentration of specially serviced REO assets but are
    possible if valuations improve significantly.

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

CGCMT 2006-C4 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to malls that are underperforming as a result of
changing consumer preference to shopping, which has a negative
impact on the credit profile and is highly relevant to the rating.

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


CITIGROUP COMMERCIAL 2016-C2: DBRS Confirms BB Rating on 2 Classes
------------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2016-C2 issued by Citigroup
Commercial Mortgage Trust 2016-C2 (CGCMT 2016-C2) 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-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class X-D at BBB (sf)
-- Class E-1 at BB (high) (sf)
-- Class E at BB (sf)
-- Class E-2 at BB (sf)
-- Class F-1 at BB (low) (sf)
-- Class EF at B (high) (sf)
-- Class F at B (high) (sf)
-- Class F-2 at B (high) (sf)
-- Class G-1 at B (sf)
-- Class EFG at B (low) (sf)
-- Class G at B (low) (sf)
-- Class G-2 at B (low) (sf)

With this review, DBRS Morningstar removed Classes E, E-2, EF, F,
F-1, F-2, G, G-1, G-2, and EFG from Under Review with Negative
Implications where they were placed on August 6, 2020. The trends
on all classes are Stable.

The rating confirmations and Stable trends reflect the overall
stable performance of the transaction from issuance, albeit with
select loans currently showing signs of increased stress from
issuance, including the loans in special servicing and those
secured by hotel and retail properties, which have been
disproportionately affected by the ongoing Coronavirus Disease
(COVID-19) pandemic. In total, 19 loans in the transaction,
representing 43.9% of the outstanding transaction balance, are
backed by hotel and retail properties. As of the January 2021
reporting, five loans, representing 14.2% of the current pool
balance, are in special servicing and nine loans, representing
20.4% of the current pool balance, are on the servicer's
watchlist.

Four of the five loans in special servicing are secured by either
hotel or retail properties, including Hyatt Regency Huntington
Beach Resort & Spa (Prospectus ID#7; 4.4% of the pool) and Welcome
Hospitality Portfolio (Prospectus ID#8; 4.0% of the pool).
Additionally, the third-largest loan in the transaction, Crocker
Park Phase I and II (Prospectus ID#3; 10.1% of the pool), is
secured by an outdoor, lifestyle center. The borrower received a
12-month forbearance in July 2020 allowing it to defer debt service
payments until loan maturity in August 2026 in order to be able to
fund the $7.0 million of estimated leasing costs necessary to
backfill current and projected future vacancy across the property.

As of January 2021, the transaction is composed of 44 loans,
totaling $591.8 million, with all of the original loans remaining
in the trust. To date, there has been a collateral reduction of
2.8% as a result of loan amortization. The transaction benefits
from the largest loan being secured by an office property in the
Seaport District of Boston (Vertex Pharmaceuticals HQ; 10.1% of the
pool). Additionally, three loans, representing 6.2% of the pool,
have been defeased.

The largest loan in special servicing, Hyatt Regency Huntington
Beach Resort & Spa, transferred to special servicing in July 2020
due to imminent monetary default as a result of the pandemic. The
loan was modified in November 2020, with terms including the
deferral of the July 2020 through September 2020 amortizing debt
service payments followed by a six-month interest-only debt service
period through March 2021. The modification also allows for a
deferment of monthly furniture, fixtures and equipment (FF&E)
deposits from March 2020 to March 2021 and allows the borrower to
access outstanding FF&E reserves to fund operating costs and/or
debt service payments shortfalls. The repayment of all deferred
funds will be made over a period of 30 months starting in April
2021. According to the updated October 2020 appraisal, the as-is
value was reported at $316.3 million, with a stabilized value of
$403.0 million, compared with the issuance value of $367.9 million.
Although the value has dropped since issuance, the loan remains
above water. The increased risks from issuance in the higher as-is
loan-to-value and the deferment of payments due are mitigated by
the historically strong performance of the property, the
irreplaceable and highly desirable location of the subject
property, and the sponsor's historical commitment to the loan.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating on the Vertex Pharmaceuticals HQ loan (Prospectus ID#1;
10.1% of the pool). With this review, DBRS Morningstar confirmed
that the performance of this loan remains consistent with
investment-grade loan characteristics.

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


CITIGROUP COMMERCIAL 2017-P7: Fitch Cuts Class F Certs to 'CCC'
---------------------------------------------------------------
Fitch Ratings has downgraded six classes, affirmed 16 classes and
revised the Rating Outlooks of 11 classes of Citigroup Commercial
Mortgage Trust 2017-P7 commercial mortgage pass-through
certificates, series 2017-P7. Fitch has also removed six classes
from Rating Watch Negative (RWN).

    DEBT                  RATING           PRIOR
    ----                  ------           -----
CGCMT 2017-P7

A-1 17325HBL7      LT  AAAsf   Affirmed     AAAsf
A-2 17325HBM5      LT  AAAsf   Affirmed     AAAsf
A-3 17325HBN3      LT  AAAsf   Affirmed     AAAsf
A-4 17325HBP8      LT  AAAsf   Affirmed     AAAsf
A-AB 17325HBQ6     LT  AAAsf   Affirmed     AAAsf
A-S 17325HBR4      LT  AAAsf   Affirmed     AAAsf
B 17325HBS2        LT  AA-sf   Affirmed     AA-sf
C 17325HBT0        LT  A-sf    Affirmed     A-sf
D 17325HAA2        LT  BB-sf   Downgrade    BBB-sf
E 17325HAC8        LT  B-sf    Downgrade    BB-sf
F 17325HAE4        LT  CCCsf   Downgrade    B-sf
V-2A 17325HAN4     LT  AAAsf   Affirmed     AAAsf
V-2B 17325HAQ7     LT  AA-sf   Affirmed     AA-sf
V-2C 17325HAS3     LT  A-sf    Affirmed     A-sf
V-2D 17325HAU8     LT  BB-sf   Downgrade    BBB-sf
V-3AB 17325HAY0    LT  AA-sf   Affirmed     AA-sf
V-3C 17325HBA1     LT  A-sf    Affirmed     A-sf
V-3D 17325HBC7     LT  BB-sf   Downgrade    BBB-sf
X-A 17325HBU7      LT  AAAsf   Affirmed     AAAsf
X-B 17325HBV5      LT  AA-sf   Affirmed     AA-sf
X-C 17325HBW3      LT  A-sf    Affirmed     A-sf
X-D 17325HAJ3      LT  BB-sf   Downgrade    BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations have increased due
to additional Fitch Loans of Concern (FLOCs), and higher losses on
the specially serviced loans. Fitch's ratings are based on base
case loss expectations of 7.20%; the Negative Rating Outlooks
reflect additional stresses on loans expected to be negatively
impacted by the pandemic, which assumes that losses could reach
7.80%.

Fitch had previously placed classes D, V-2D, V-3D, E, F and X-D on
Rating Watch Negative on Oct. 1, 2020 due to increased loss
expectations on the 229 West 43rd Street Retail Condo Loan (3.0% of
the pool). While the loan had previously been identified as a FLOC
and was specially serviced, loss expectations have increased to
approximately 70% based on a recently publicized August 2020
valuation of the property, which indicates a value considerably
lower than the outstanding debt amount.

Higher Loan Loss Expectations: The largest contributor to Fitch's
overall loss expectation and the largest increase in loss since the
prior rating action is the 229 West 43rd Street Retail Condo loan,
which is secured by a 245,132- sf retail condominium located in
Manhattan's Time Square district. The loan transferred to special
servicing in December 2019 for imminent monetary default. The
coronavirus pandemic has affected as it caters to entertainment and
tourism, in addition to tenancy issues that began prior to the
pandemic.

Multiple lease sweep periods have occurred related to the majority
of the tenants, including National Geographic, Gulliver's Gate and
OHM tenants, which have triggered a cash flow sweep since December
2017. Two of these tenants, National Geographic and Gulliver's Gate
(combined, 43% of net rentable area (NRA), have recently vacated,
dropping occupancy to 52% as of October 2020. The OHM food hall
concept contemplated at issuance failed to open at the property.
Existing tenant, Guitar Center (11.3% NRA), has recently emerged
from bankruptcy.

The property had benefited from an Industrial Commercial Incentive
Program (ICIP) tax abatement, which began to burn off in the 2017-
2018 tax year by 20% per year. The loan was 90 days delinquent as
of the January 2021 distribution date. The next largest increase in
loss is the specially serviced loan, West Lafayette Four Points
(0.7% of the pool). The loan is secured by a 171-key, full service
hotel located in West Lafayette, IN. The property was built in 1974
and renovated in 2007. Per the master servicer commentary, a
property improvement plan (PIP) was expected and commenced in May
2020. This includes updating the guest rooms and public spaces
(excluding the meeting rooms) for approximately $5 million-$6
million. The PIP was expected to be completed by the end of the
summer, however, the loan became delinquent for the April and May
2020 payments and was transferred to special servicing in December
2020 for payment default. The loan has fluctuated between 30 and 60
days delinquent since the commencement of the pandemic. Fitch's
loss expectations of 48% are based on the expected declines in
performance due to the pandemic as well as the ongoing PIP and
increased competition in the area.

The next largest increase in loss is the non-specially serviced
FLOC, Cascade Village (4.9% of the pool) which is secured by a
367,856 sf anchored retail center located in Bend, OR. The property
is anchored by a JCPenney, Food4Less and Dick's Sporting Goods. Per
local news outlets, the JCPenney officially closed in June 2020.
While occupancy has remained relatively stable at the property, the
closure of the JCPenney is expected to cause occupancy to decline
to 83.4% from 97.3% at Sept. 30, 2020.

Approximately 23% of the gross leaseable area (GLA) has lease
expirations between 2020 and 2021 including the top tenants Ross
Stores (8.2% of the NRA) and Best Buy (8.3% of the NRA), both of
which have recently renewed their leases through 2026.
Additionally, the master servicer confirmed JCPenney has vacated
the property and no co-tenancy clauses have been triggered. Fitch's
base case loss of 14% is based on a total 20% haircut to the YE
2019 net operating income (NOI) to reflect the declines in
performance, upcoming rollover of weaker tenants, and vacant JC
Penney space.

The next largest increase in loss, Comfort Inn Birch Run (0.5% of
the pool), is secured by a 99-key limited service hotel located in
Birch Run, MI. The property transferred to the special servicer in
July 2020 due to payment default after falling 90+ days delinquent.
Per the special servicer's ASR, the borrower initially submitted a
forbearance relief request but withdrew the letter and has since
communicated that they intend on handing back the keys. The
servicer is now in the process of moving forward with foreclosure.
Fitch's loss expectation of 23% is based on a haircut to an updated
appraisal from the special servicer.

The last largest increase in loss, Hamilton Crossing (3.3% of the
pool), is secured by an office complex totaling 590,917 sf located
in Carmel, IN. The loan had previously been considered a FLOC and
was on the master servicer's watchlist after the top tenant, ADESA
(previously 30% of the NRA), did not exercise its lease renewal in
July 2018 and subsequently vacated in July 2019. At the prior
review, a new tenant was expected to take occupancy to backfill a
portion of the former ADESA space but at a significantly lower
rental rate; Fitch has requested an update from the special
servicer in regards to the new tenant, but has not received a
response. Fitch's loss expectation of 15% is based on the declines
in property performance and lack of updated information from the
special servicer.

Increased Credit Enhancement (CE): As of the January 2021
remittance, the transaction's balance has been reduced by 1.4% to
$1.01 billion from $1.02 billion at issuance. Eighteen loans (48.9%
of the pool) have IO payments for the full loan term, including
eight loans (32.7% of the pool) within the top 15. Fifteen loans
(36.2% of the pool) have partial IO payments, including five loans
(21.4% of the pool) in the top 15. Eight of the fifteen partial IO
loans have begun amortizing. The remaining loans are amortizing.

Four loans (5.7% of the pool) have received forbearance relief,
including Doubletree Leominster (2.1% of the pool). Of the loans
that received forbearance relief, only the Country Inn & Suites
Orlando (1.2% of the pool) is currently 60 days delinquent.

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

Seven loans (6.1% of the pool) are secured by hotel loans and nine
loans (18.7% of the pool) are secured by retail properties. Fitch
applied additional stresses to all six hotel loans and six retail
loans to account for potential cash flow disruptions due to the
coronavirus pandemic. This sensitivity analysis contributed to the
Negative Outlooks assigned today.

Alternative Considerations: Fitch's analysis included an additional
sensitivity scenario which reflects the upcoming maturities of the
2021 loans and factors in upcoming expected paydown and the
liquidation of the largest specially serviced loan, 229 West 43rd
Street Retail Condo; this sensitivity contributed to the
affirmations of the investment grade class with Negative Rating
Outlooks.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, B, C, D, E, X-A, X-B, X-C,
X-D, V-2A, V-2B, V-2C, V-2D, V-3AB, V-3C, and V-3D reflect the
potential for further Downgrades due to performance concerns on the
FLOCs, concerns surrounding the ultimate impact of the coronavirus
pandemic, additional loan transfers to special servicing and should
losses on the larger specially serviced loans be higher than
expected. The Stable Outlooks on classes A-1, A-2, A-3, A-4 and
A-AB reflect overall stable performance for the majority of the
pool, scheduled amortization and expected continued paydowns.

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

-- Sensitivity factors that lead to Upgrades would include stable
    to improved asset performance, particularly on the FLOCs,
    coupled with additional paydown and/or defeasance. Upgrades to
    classes A-S, B, V-2A, V-2B, V-3AB and X-A would only occur
    with significant improvement in CE and/or defeasance and with
    the stabilization of performance on the FLOCs, particularly
    the 229 West 43rd Street Retail Condo loan 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 classes C, D, V-2C, V-3C, V-2D, V-3D and X-B are
    not likely until the later years in the transaction and only
    if the performance of the remaining pool is stable and/or
    properties vulnerable to the coronavirus return to pre
    pandemic levels, and there is sufficient CE 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 a
negative rating action/downgrade:

-- Sensitivity factors that lead to downgrades include an
    increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to classes A-1
    through A-AB are not likely due to the position in the capital
    structure, but may occur should interest shortfalls affect
    these classes. Downgrades to classes A-S, B and X-A are
    possible should expected losses for the pool increase
    significantly, all of the loans susceptible to the coronavirus
    pandemic suffer losses and/or interest shortfalls occur.

-- Downgrades to classes C, D, V-2C, V-3C, V-2D, V-3D and X-B are
    possible should loss expectations increase due to a continued
    performance decline of the FLOCs and additional loans transfer
    to special servicing. The Negative Rating Outlooks on classes
    A-S, B, C, D, E, X-A, X-B, X-C, X-D, V-2A, V-2B, V-2C, V-2D,
    V-3AB, V-3C and V-3D may be revised back to Stable if
    performance of the FLOCs improves and/or properties vulnerable
    to the coronavirus pandemic 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.

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.


CITIGROUP MORTGAGE 2017-B1: DBRS Confirms B(sf) Rating on X-F Certs
-------------------------------------------------------------------
DBRS Limited confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2017-B1 issued by Citigroup
Mortgage Trust 2017-B1 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-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class X-E at BB (high) (sf)
-- Class E at BB (sf)
-- Class F at B (high) (sf)
-- Class X-F at B (sf)
-- Class G at B (low) (sf)

All trends are Stable.

As of the January 2021 remittance, all 48 original loans remain in
the pool. There are 11 loans, representing 20.4% of the current
trust balance, on the servicer's watchlist. Additionally, there are
three loans, representing 7.8% of the pool, in special servicing.
These loans are generally being monitored for a low debt service
coverage ratio and/or occupancy issues that have generally been
driven by disruptions related to the Coronavirus Disease (COVID-19)
pandemic. There is one loan (representing 1.1% of the pool) that is
fully defeased.

DBRS Morningstar notes the transaction is concentrated in loans
secured by mixed-use properties, typically a combination of retail
and office space, with eight loans, representing 25.9% of the pool,
secured by that property type. The transaction has a moderate
concentration of retail property types in this pool, with 12 loans
secured by regional malls, anchored retail properties, and
unanchored retail properties, collectively representing 21.6% of
the pool. In addition, the pool has a moderate concentration of
hospitality properties, with hotel loans representing 17.4% of the
pool. Hospitality properties have been the most severely affected
by the initial effects of the coronavirus pandemic and although the
hotels backing loans in the subject pool have not been immune to
those effects, with two hotel loans in special servicing and others
on the watchlist for relief requests, the overall outlook for those
loans remains stable as of this review.

Two of the loans on the watchlist (6.0% of the pool) are secured by
lodging properties, and two loans are secured by retail properties
(4.6% of the pool). Both loans backed by hospitality properties
have been flagged for coronavirus relief requests, with those
borrowers typically seeking temporary payment relief. Although the
increased risks in the performance challenges for these loans amid
the pandemic are noteworthy, DBRS Morningstar notes both generally
benefit from the historically stable performance of the underlying
hotels and borrowers who appear committed to their respective loans
and properties. DBRS Morningstar also notes that six loans (8.4% of
the pool) are being monitored on the servicer's watchlist for
nonperformance-related issues, which include failure to submit
financials, expired flood coverage insurance, and deferred
maintenance.

At issuance, four loans, representing 24.3% of the current pool
balance, were shadow-rated investment grade. These loans include
General Motors Building (Prospectus ID#1; 10.0% of the pool);
Lakeside Shopping Center (Prospectus ID#2; 6.4% of the pool); Two
Fordham Square (Prospectus ID#5; 5.7% of the pool); and Del Amo
Fashion Center (Prospectus ID#18; 2.2% of the pool). With this
review, DBRS Morningstar confirms that the performance of these
loans remains consistent with investment-grade loan
characteristics.

The largest loan in special servicing, Old Town San Diego Hotel
Portfolio (Prospectus ID#4; 5.7% of pool), is secured by two
cross-collateralized and cross-defaulted limited-service hotels
encompassing 299 keys in San Diego's historic Old Town
neighborhood. The hotels are franchised with Marriott
International, Inc. under the Courtyard and Fairfield Inn & Suites
flags. The properties are roughly three and a half miles from the
San Diego central business district and five miles from San Diego
International Airport. The portfolio benefits from various local
demand drivers including the downtown office market, the San Diego
Convention Center, and the San Diego Zoo. The loan transferred to
special servicing in August 2020 for monetary default as a result
of the coronavirus pandemic, with payments after May 2020
outstanding. According to servicer commentary, a relief proposal is
currently being reviewed. Given the extended delinquency and
likelihood of depressed demand through the near to moderate term,
the loan was analyzed with an increased probability of default to
increase the expected loss for this review.

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


COLT 2021-2R: Fitch to Rate Class B-2 Certs 'B(EXP)'
----------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2021-2R Mortgage Loan Trust (COLT
2021-2R).

DEBT               RATING  
----               ------  
COLT 2021-2R

A-1     LT  AAA(EXP)sf  Expected Rating
A-2     LT  AA(EXP)sf   Expected Rating
A-3     LT  A(EXP)sf    Expected Rating
M-1     LT  BBB(EXP)sf  Expected Rating
B-1     LT  BB(EXP)sf   Expected Rating
B-2     LT  B(EXP)sf    Expected Rating
B-3     LT  NR(EXP)sf   Expected Rating
A-IO-S  LT  NR(EXP)sf   Expected Rating
R       LT  NR(EXP)sf   Expected Rating
X       LT  NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2021-2R Mortgage Loan Trust (COLT
2021-2R), as indicated. The certificates are supported by 231 loans
with a total balance of about $152.04 million as of the cutoff
date.

KEY RATING DRIVERS

Non-QM Credit Quality (Mixed): The pool has a weighted average (WA)
model credit score of 742, a WA combined loan to value ratio (CLTV)
of 74.3% and a sustainable loan to value ratio (sLTV) of 80.9%. Of
the pool, 45% had a debt to income (DTI) ratio of over 43%.

The pool has WA seasoning of just over two years. The loans have
benefited from a positive home price environment and a generally
strong pay history. Updated exterior broker price opinions (BPOs)
were provided on all but two loans.

Fitch only treated less than 6% of the pool as having less than
full documentation, which included asset depletion loans and loans
originated to nonpermanent resident aliens. The pool did not
include any bank statement loans. A majority of loans were
underwritten to full documentation standards according to Appendix
Q. Under the new QM definition, many of the loans would qualify as
SHQM, if originated today.

Payment Forbearance (Mixed): A total of 53 borrowers in the pool
have requested coronavirus payment relief plans. Of those, only 16
still remain delinquent. The remaining borrowers have either
re-instated and are current. Separately, there are two borrowers,
who never requested forbearance, but are delinquent. The pool's
other forbearance plans are granted by the servicer, and borrowers
will be counted as delinquent; however, the servicer will not
advance delinquent P&I during the forbearance period.

Modified Sequential Payment Structure (Mixed): The structure
distributes principal pro rata among the senior certificates while
shutting out the subordinate bonds from principal until all senior
classes are reduced to zero. If any of a cumulative loss trigger
event, delinquency trigger event or credit enhancement (CE) trigger
event occurs in a given period, principal will be distributed
sequentially to class A-1, A-2 and A-3 certificates until they are
reduced to zero.

Compared with previous new origination COLT transactions, this
transaction features a weaker delinquency trigger. There is no
delinquency trigger for the first six months of the transaction.
Additionally, between months 7 and 36, the delinquency trigger is
25%, which is 5% higher compared with previous new origination COLT
transactions (non-refinance). The delinquency trigger is 30% for
months 37-60 and after month 60, the trigger is set to 35%. The
weaker delinquency trigger could result in more leakage to the A-2
and A-3 classes, which exposes more risk to the A-1 (AAAsf) class.
The triggers are consistent with COLT 2021-1R.

Advances of delinquent P&I will be made on the mortgage loans for
the first 180 days of delinquency, to the extent such advances are
deemed recoverable. If the P&I advancing party fails to make a
required advance, the master servicer (Wells Fargo) will be
obligated to make such advance. The servicer or master servicer
will not advance delinquent P&I during the forbearance period.

Excess Cash Flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated certificates before being paid out to class X certificates.
The excess is available to pay timely interest and protect against
realized losses, resulting in a CE amount that is less than Fitch's
loss expectations for all classes except for the A1. To the extent
the collateral weighted average coupon (WAC) and corresponding
excess is reduced through a rate modification, Fitch would view the
impact as credit neutral, as the modification would reduce the
borrower's probability of default, resulting in a lower loss
expectation.

As a sensitivity to Fitch's Rating stresses, Fitch took into
account a WAC deterioration that varied by rating stress. The WAC
Cut was derived by assuming a 2.5% cut (based on the most common
historical modification rate) on 40% (historical Alt A modification
%) of the performing loans. Although the WAC reduction stress is
based on historical modification rates, the WAC reduction stress
was not included by Fitch in its testing of the delinquency
trigger.

Fitch viewed the WAC deterioration as more of a pre-emptive cut
given the ongoing macro and regulatory environment. There is likely
to be a portion of borrowers that are impaired but will not
ultimately default. Further, this approach had the largest impact
on the Backloaded Benchmark scenario which is also the most likely
outcome as defaults and liquidations are not likely to be extensive
over the next 12-18 months given the ongoing borrower relief and
eviction moratoriums.

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 modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

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

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10%, 20% and 30% in
    addition to the model-projected 8.0%. 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.

CRITERIA VARIATION

There was one criteria variation to Fitch's "U.S. RMBS Rating
Criteria." Fitch expects an updated tax and title search to be
conducted for transactions in which more than 10% of the deal
comprises seasoned loans (i.e. more than two years' seasoned).
Fitch was comfortable with the lack of an updated search given that
the loans were held with the same servicer since origination and
were previously securitized, while the servicer would have been
required to advance on these amounts to maintain the trust's
priority.

Also, upon the cleanup call being exercised, they would have repaid
themselves from the proceeds. Furthermore, the seasoning is only a
few months outside of the window in which Fitch would expect an
updated search to be conducted. As a result, Fitch did not make any
adjustments to its loss expectations.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence described in
Form 15E focused on a compliance, credit and property valuation
review.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria" (May 2020).
LSRMF engaged AMC to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades, and
assigned initial grades for each subcategory.

An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has a number of exceptions and waivers.
Fitch determined that the exceptions and waivers do not materially
affect the overall credit risk of the loans due to the presence of
compensating factors, such as having residual/disposable income
greater than the U.S. Department of Veterans Affairs' (VA)
standard, substantial liquid reserves, a low LTV and a higher FICO
score. Therefore, no adjustments were needed to compensate for
these occurrences.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout were populated by the
due diligence company, and no material discrepancies were noted.

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.

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.


CPS AUTO 2021-A: DBRS Finalizes BB Rating on Class E Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by CPS Auto Receivables Trust 2021-A:

-- $105,228,000 Class A Notes at AAA (sf)
-- $43,855,000 Class B Notes at AA (sf)
-- $36,137,000 Class C Notes at A (sf)
-- $26,705,000 Class D Notes at BBB (sf)
-- $18,620,000 Class E Notes at BB (sf)

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

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

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected CNL includes
an assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 17.00%, based on the expected cut-off
date pool composition.

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary "Global Macroeconomic
Scenarios: December Update," published on December 2, 2020. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020, that have been regularly updated. The scenarios were last
updated on December 2, 2020, and are reflected in DBRS
Morningstar's rating analysis. The assumptions also take into
consideration observed performance during the 2008–09 financial
crisis and the possible impact of stimulus. The assumptions
consider the moderate macroeconomic scenario outlined in the
commentary, with the moderate scenario serving as the primary
anchor for current ratings. The moderate scenario factors in
increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

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

(3) The consistent operational history of Consumer Portfolio
Services, Inc. and the strength of the overall Company and its
management team.

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

(4) The capabilities of CPS with regard to originations,
underwriting, and servicing.

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

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

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

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

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

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

The rating on the Class A Notes reflects 58.05% of initial hard
credit enhancement provided by subordinated notes in the pool
(51.15%), the reserve account (1.00%), and OC (5.90%). The ratings
on the Class B, Class C, Class D, and Class E Notes reflect 40.15%,
25.40%, 14.50%, and 6.90% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.

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


CSAIL 2017-C8: DBRS Lowers Class F Certs Rating to B
----------------------------------------------------
DBRS Limited downgraded two classes of the Commercial Mortgage
Pass-Through Certificates Series 2017-C8 issued by CSAIL 2017-C8
Commercial Mortgage Trust as follows:

-- Class E to B (high) (sf) from BB (sf)
-- Class F to B (sf) from B (high) (sf)

The trends on these classes are Negative.

In addition, DBRS Morningstar confirmed the ratings on the
remaining classes 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-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class V1-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class V1-B at A (sf)
-- Class D at BBB (sf)
-- Class V1-D at BBB (sf)

Additionally, DBRS Morningstar confirmed its ratings on the
following rake bonds, which are secured by the beneficial interest
in the subordinate debt placed on the 85 Broad Street (Prospectus
ID#1; 11.2% of pool) loan:

-- Class 85BD-A at AA (low) (sf)
-- Class V1-85A at AA (low) (sf)
-- Class 85BD-B at A (low) (sf)
-- Class V1-85B at A (low) (sf)
-- Class 85BD-C at BBB (low) (sf)
-- Class V1-85C at BBB (low) (sf)
-- Class V2-85 at BBB (low) (sf)

DBRS Morningstar also removed Classes D, E, F, and V1-D from Under
Review with Negative Implications where they were placed on August
6, 2020. All trends are Stable, with the exception of classes D,
V1-D, 85BD-B, 85BD-C, V1-85B, V1-85C, and V2-85, which all carry a
Negative trend.

The Negative trends and rating downgrades reflect the continued
performance challenges facing the underlying collateral, much of
which has been driven by the impact of the Coronavirus Disease
(COVID-19) pandemic. In addition to the seven loans in special
servicing, representing 16.2% of the current pool balance as of the
January 2020 remittance, DBRS Morningstar notes that the pool has a
significant concentration of retail and hospitality properties,
representing 14.2% and 14.5% of the pool balance, respectively. The
coronavirus pandemic has affected these property types most
severely and, as such, those concentrations suggest increased risks
for the pool, particularly at the lower rating categories, since
issuance.

At issuance, the transaction consisted of 32 fixed-rate loans
secured by 55 commercial and multifamily properties at a trust
balance of $811.1 million. According to the January 2020
remittance, all 32 loans remain in the pool with a collateral
reduction of 1.5%. The transaction is concentrated by property type
as eight loans, representing 44.8% of the current trust balance,
are secured by office collateral while the second-largest
concentration, representing14.5% of the current trust balance, is
made up of four loans secured by lodging collateral. Two loans,
representing 1.6% of the current trust balance, are fully defeased.
Additionally, 18 loans, representing 36.3% of the pool, are on the
servicer's watchlist. These loans are being monitored for various
reasons, including low debt service coverage ratios (DSCR) or
occupancy, tenant rollover risk, and/or pandemic-related
forbearance requests.

The transaction's largest specially serviced loan, Hotel Eastlund
(Prospectus ID#5; 5.0% of the pool), is secured by a 168-room,
full-service hotel located in Portland, Oregon. The loan
transferred to special servicing in July 2020 for payment default
amid the pandemic. The hotel previously benefited from its
proximity to the Portland Convention Center and has historically
been well occupied with corporate travelers, reporting a demand
segmentation of 35% for commercial guests and 30% for meeting and
group guests at issuance. Due to the significant decline in
business travel in 2020, occupancy and cash flow has dropped
precipitously from YE2019. As of Q3 2020, the loan reported an
occupancy rate of 23% and an annualized DSCR of -0.20 times. As of
November 2020, the appraised value of the property was $41.1
million, which represents a loan-to-value ratio approaching 100%,
based on the current trust balance. DBRS Morningstar assumed a
liquidation scenario based on a 10% haircut to the November 2020
value as part of this review, which resulted in a loss severity of
22.4%.

The second-largest specially serviced loan, Acropolis Gardens
(Prospectus ID#13; 2.5% of the pool), is secured by a co-operative
property in Astoria, New York. The loan transferred to special
servicing in November 2018 for payment default. Several lawsuits
have been filed against the borrower and property manager for
fraudulent misuse of funds over a span of several years and for
failure to remediate life/safety issues. Notably, the borrower had
previously been involved in over 20 litigation matters relating to
fraud and misappropriated funds. The lender had initiated the
foreclosure process and had appointed a receiver, however, as of
October 2019, the servicer's commentary shows that a settlement has
been executed. The loan will remain with the special servicer until
the borrower is in full compliance with all of the terms and
conditions. DBRS Morningstar received an updated appraisal dated
October 2020 that showed a value increase to $196.7 million from
$177.0 million at issuance. Given the risks with this and the other
specially serviced loans, DBRS Morningstar analyzed these loans
with elevated probabilities of default.

The transaction benefits from four loans, 85 Broad Street
(Prospectus ID#1; 11.2% of pool), Apple Sunnyvale (Prospectus ID#3;
8.8% of pool), Urban Union Amazon (Prospectus ID#6; 4.8% of pool),
and 71 Fifth Ave (Prospectus ID#12; 3.1% of pool), that are
shadow-rated investment grade. With this review, DBRS Morningstar
confirms that all four loans continue to exhibit characteristics
consistent with the investment-grade shadow ratings.

Classes 85BD-A, 85BD-B, and 85BD-C are nonpooled rake bonds backed
by the nonpooled $72.0 million 85 Broad Street A-B note. The loan's
nonpooled $58.8 million B-A note and $58.8 million B-B note are
subordinate to both the rake bonds and the $169.0 million pooled A
note. Classes 85BD-B, V1-85B, 85BD-C, V1-85C, and Class V2-85 carry
a Negative trend as DBRS Morningstar remains concerned about the
collateral's exposure to WeWork, which accounts for 26.2% of the
asset's net rentable area and 30.8% of base rent.

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


CSAIL 2018-CX11: DBRS Confirms B(high) Rating on Class G-RR Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed all ratings of the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-CX11
issued by CSAIL 2018-CX11 Commercial Mortgage Trust:

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

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

The rating confirmations reflect the overall stable performance of
the transaction since the last review. At issuance, the trust
consisted of 56 fixed-rate loans secured by 118 commercial and
multifamily properties with a total trust balance of $952.9
million. Per the January 2021 remittance report, all loans and
properties remained in the trust with a total trust balance of
$936.5 million, representing a collateral reduction of 1.7% since
issuance. The pool is relatively diverse based on loan size with
the largest 15 loans comprising 59.1% of the trust balance. Five
loans, representing 16.1% of the trust balance, exhibited credit
characteristics consistent with investment-grade shadow ratings at
issuance. Nine loans, representing 21.9% of the trust balance, are
located in urban markets with DBRS Morningstar Market Ranks of 6 or
greater. Twenty loans, representing 45.2% of the trust balance, are
structured with interest-only (IO) payments for the full term. An
additional 14 loans, representing 22.6% of the trust balance, are
structured with partial IO payments. The population of these loans
includes the three shadow-rated investment-grade loans.

Per the January 2021 remittance report, eight loans, consisting of
13.6% of the trust balance, transferred to the special servicer
after the underlying collateral was negatively affected by the
Coronavirus Disease (COVID-19) pandemic. An additional 15 loans,
representing 24.4% of the trust balance, are on the servicer's
watchlist, which include three of the largest 13 loans by loan
balance.

The 6-8 West 28th Street loan (Prospectus ID#13 - 2.8% of the pool)
is secured by the fee-interest in a 26,600 square-foot mixed-use
building between Broadway and Fifth Avenue in Manhattan. The
property was constructed in 1915 and was purchased by the sponsor
in April 2015 for $16.0 million. The sponsor then invested $6.4
million into the collateral prior to issuance. The $26.0 million
loan transferred to the special servicer in June 2020 after
coronavirus relief was requested with the last loan payment made in
March 2020. An August 2020 rent roll showed the property was 60.3%
occupied, down from the 100.0% occupancy rate at issuance. The
sponsor-related tenant, JTRE, LLC, which formerly occupied 23.7% of
net rentable area with a lease expiration of October 2029, was not
listed on the rent roll. In addition, a Commercial Observer article
dated July 2020 noted the sponsor lost two judgments totaling $5.6
million related to two unrelated New York commercial properties.
Negotiations for a forbearance agreement have since stalled and the
special servicer is giving consideration to selling the note. The
collateral was reappraised in August 2020 for $29.1 million, down
28.2% from the appraised value of $40.5 million at issuance. The
loan-to-value (LTV) ratio increased to 89.3% from 64.2% based on
that updated appraised value. For purposes of this analysis, the
loan was liquidated from the trust based on the August 2020
appraised value, which resulted in an implied loss severity in
excess of 15.0%. The remaining specially serviced loans were
reviewed based on higher LTVs following their respective
post-transfer appraisals.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to One State Street (Prospectus ID#3 - 5.3% of the trust
balance), Moffett Towers II – Building 2 (Prospectus ID#9 - 3.2%
of the trust balance), Northrop Grumman Portfolio (Prospectus ID#11
- 2.7% of the trust balance), Lehigh Valley Mall (Prospectus ID#12
- 2.8% of the trust balance), and Yorkshire & Lexington Tower
(Prospectus ID#15 - 2.1% of the trust balance). With this review,
DBRS Morningstar confirmed that the performances of these loans
remain consistent with investment-grade loan characteristics.

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


CSAIL 2018-CX12: DBRS Lowers Class G-RR Certs Rating to B (high)
----------------------------------------------------------------
DBRS, Inc. downgraded the ratings on seven classes of the
Commercial Mortgage Pass-Through Certificates, Series 2018-CX12
issued by CSAIL 2018-CX12 Commercial Mortgage Trust as follows:

-- Class X-B to A (high) (sf) from AA (low) (sf)
-- Class C to A (sf) from A (high) (sf)
-- Class X-D to A (sf) from A (high) (sf)
-- Class D to A (low) (sf) from A (sf)
-- Class E-RR to BBB (sf) from BBB (high) (sf)
-- Class F-RR to BB (high) (sf) from BBB (low) (sf)
-- Class G-RR to B (high) (sf) from BB (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

-- 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-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class X-A at AAA (sf)

With this review, DBRS Morningstar removed the ratings on Classes
D, E-RR, F-RR, G-RR, and X-D from Under Review with Negative
Implications, where they were placed on August 6, 2020. The trends
on Classes X-B, C, X-D, D, E-RR, F-RR, and G-RR are Negative while
all other trends are Stable. The rating downgrades reflect ongoing
performance issues with select loans, specifically those in special
servicing and those secured by hotel and retail properties, which
the ongoing Coronavirus Disease (COVID-19) pandemic has
disproportionately affected. As of the January 2021 reporting,
there are four loans secured by hotel properties in special
servicing, which combined account for 9.5% of the current trust
balance. Additionally, 19 loans, representing 45.8% of the current
trust balance, are on the servicer's watchlist. These loans are
being monitored for a variety of reasons, including low debt
service coverage ratio, occupancy, and deferred maintenance
issues.

The transaction is concentrated by property type as 12 loans,
representing 36.6% of the current trust balance, are secured by
retail assets, whereas 11 loans, representing 26.7% of the current
trust balance, are secured by lodging assets. Multifamily
collateral makes up the third-largest concentration, representing
nine loans and 14.5% of the current trust balance. According to the
January 2020 remittance, four loans, representing 9.5% of the
current trust balance, were in special servicing. The four loans
— the SIXTY Hotel Beverly Hills (Prospectus ID#6; 6.0% of the
current trust balance), Galveston Hotel Portfolio (Prospectus
ID#14; 2.1% of the current trust balance), Hyatt Place Santa Fe
(Prospectus ID#28; 0.8% of the current trust balance), and Red Roof
PLUS+ Poughkeepsie (Prospectus ID#36; 0.5% of the current trust
balance) — are all secured by lodging properties.

The SIXTY Hotel Beverly Hills is secured by a 118-key full-service
hotel property in Beverly Hills, California, and was transferred to
the special servicer in September 2020 as a result of the ongoing
effects of the coronavirus pandemic. While the loan was classified
as current as of the January remittance, the borrower had not made
the December payment. This represents the first missed debt service
payment since an initial forbearance was granted and the special
servicer is in discussions with the borrower on longer term
modifications. The subject recently received an updated appraisal
that reported an October 2020 value of $55.4 million (a -34.8%
variance from the issuance value of $85.0 million), implying a
current loan-to-value ratio (LTV) of 72.2%. Given that short-term
demand remains suppressed, DBRS Morningstar analyzed the loan with
an elevated probability of default.

The Galveston Hotel Portfolio is secured by two full-service hotel
properties totaling 173 keys in Galveston, Texas, and was
transferred to the special servicer in June 2020, also because of
the effects of the coronavirus pandemic. As of January 2020, the
servicer reported the workout strategy to be foreclosure and the
loan remains delinquent. The subject recently received an updated
appraisal that reported a September 2020 value of $14.6 million (a
-39.7% variance from the issuance value of $24.2 million), implying
a current LTV of 103.8%. Given these increased risks from issuance,
the loan's delinquency status, and concerns with borrower's
commitment to the property, DBRS Morningstar liquidated the loan in
the analysis for this review. In this scenario, the loan incurred
an implied loss severity of 28.4%.

All 41 original loans remain in the pool, with a collateral
reduction of 1.2% since issuance as a result of scheduled loan
amortization. No loans have been defeased.

DBRS Morningstar maintains an investment-grade shadow rating on 20
Times Square (Prospectus ID#1; 9.6% of the pool), Aventura Mall
(Prospectus ID#3; 7.5% of the pool), and the Queens Place
(Prospectus ID#5; 6.3% of the pool) loans. DBRS Morningstar
confirmed that the performance of these loans remains consistent
with investment-grade loan characteristics.

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


CSAIL 2019-C16: DBRS Confirms BB Rating on Class F-RR Certs
-----------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-C16 issued by CSAIL 2019-C16
Commercial Mortgage Trust 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-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (sf)
-- Class G-RR at B (high) (sf)

All trends are Stable.

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

The rating confirmations and Stable trends reflect the overall
stable performance of the transaction since issuance, but there are
noteworthy concentrations of loans in special servicing (six loans,
15.8% of the pool) and on the servicer's watchlist (15 loans, 32.6%
of the pool). These loans are generally being monitored for a low
debt service coverage ratio (DSCR) and/or occupancy issues that
have generally been driven by disruptions related to the
Coronavirus Disease (COVID-19) pandemic. In general, the
information available as of the time of this review suggests the
overall increased risks associated with those loans remain
moderate, with mitigating factors typically in place for the larger
loans showing stress amid the pandemic.

DBRS Morningstar notes that the transaction is concentrated in
loans secured by hospitality properties, with 12 loans,
representing 30.4% of the pool. Hospitality properties have been
the most severely affected by the initial effects of the
coronavirus pandemic, and, although the hotels backing loans in the
subject pool have been affected, with four hotel loans in special
servicing and others on the watchlist for relief requests, the
overall outlook remains generally stable as of this review. In
addition, the pool also has a high concentration of retail property
types, with 17 loans secured by regional malls, anchored retail
properties, and unanchored retail properties, collectively
representing 25.9% of the pool. There are seven loans on the
servicer's watchlist backed by anchored and unanchored retail
properties, with the largest representing 1.8% of the pool.
Although these loans are also facing headwinds amid the pandemic,
the locations were deemed favorable and/or tenant mixes generally
stable. In the case of loans showing meaningful increased risks
from issuance, DBRS Morningstar applied a probability of default
(PoD) penalty to increase the expected loss for this review.

At issuance, two loans, representing 10.2% of the current pool
balance, were shadow-rated investment grade. These loans include 3
Columbus Circle (Prospectus ID#1; 6.4% of the pool) and 787
Eleventh Avenue (Prospectus ID#9; 3.8% of the pool). With this
review, DBRS Morningstar confirms that the performance of these
loans remains consistent with investment-grade loan
characteristics.

The largest loan in special servicing, Santa Fe Portfolio
(Prospectus ID#6; 4.5% of pool), is secured by a portfolio
consisting of 218,058 sf across 11 properties. The portfolio
features 56 tenants, which largely consists of nationally
recognized and independent retailers (roughly 59.0% of total net
rentable area (NRA)), independent galleries (roughly 24.0% of total
NRA), and office tenants (roughly 18.0% of total NRA). The loan
transferred to special servicing in June 2020 for monetary default,
with payments after March 2020 outstanding as of the January 2021
remittance. DBRS Morningstar notes that performance declined prior
to the pandemic, with the loan showing a YE2019 DSCR of 1.23x,
compared with 1.42x at issuance. According to the most recent
appraisal, the as-is value of the property was estimated at $44.5
million, down 15.4% from the issuance value of $52.6 million, but
still indicating the loan remains above water. Given the extended
delinquency, slump in performance, and high exposure to art gallery
tenants, DBRS Morningstar analyzed the loan with an increased PoD
to increase the expected loss for this review.

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


CT CDO IV: Fitch Lowers Rating on Class E Debt to Dsf
-----------------------------------------------------
Fitch Ratings has downgraded 11 and affirmed 16 classes from four
commercial real estate collateralized debt obligations (CRE CDOs)
with exposure to commercial mortgage-backed securities (CMBS). The
Rating Outlook on one class from one CRE CDO was revised to Stable
from Positive.

Additionally, Fitch withdrew the ratings on 11 classes from one CRE
CDO.

   DEBT              RATING          PRIOR
   ----              ------          -----
CT CDO IV Ltd.

E 12642VAG5     LT  Dsf   Downgrade    Csf
F-FL 12642VAJ9  LT  Csf   Affirmed     Csf
F-FX 12642VAH3  LT  Csf   Affirmed     Csf
G 12642TAA3     LT  Csf   Affirmed     Csf
H 12642TAB1     LT  Csf   Affirmed     Csf
J 12642TAC9     LT  Csf   Affirmed     Csf
K 12642TAD7     LT  Csf   Affirmed     Csf
L 12642TAE5     LT  Csf   Affirmed     Csf
M 12642TAF2     LT  Csf   Affirmed     Csf

LNR CDO 2006-1, Ltd./LLC(IV)

A 53944MAA7     LT  Dsf   Affirmed     Dsf
A 53944MAA7     LT  WDsf  Withdrawn    Dsf
B-FL 53944MAB5  LT  Dsf   Affirmed     Dsf
B-FL 53944MAB5  LT  WDsf  Withdrawn    Dsf
B-FX 53944MAC3  LT  Dsf   Affirmed     Dsf
B-FX 53944MAC3  LT  WDsf  Withdrawn    Dsf
C-FL 53944MAD1  LT  Dsf   Downgrade    Csf
C-FL 53944MAD1  LT  WDsf  Withdrawn    Csf
C-FX 53944MAE9  LT  Dsf   Downgrade    Csf
C-FX 53944MAE9  LT  WDsf  Withdrawn    Csf
D-FL 53944MAF6  LT  Dsf   Downgrade    Csf
D-FL 53944MAF6  LT  WDsf  Withdrawn    Csf
D-FX 53944MAG4  LT  Dsf   Downgrade    Csf
D-FX 53944MAG4  LT  WDsf  Withdrawn    Csf
E 53944MAH2     LT  Dsf   Downgrade    Csf
E 53944MAH2     LT  WDsf  Withdrawn    Csf
F-FL 53944MAJ8  LT  Dsf   Downgrade    Csf
F-FL 53944MAJ8  LT  WDsf  Withdrawn    Csf
F-FX 53944MAT6  LT  Dsf   Downgrade    Csf
F-FX 53944MAT6  LT  WDsf  Withdrawn    Csf
G 53944MAK5     LT  Dsf   Downgrade    Csf
G 53944MAK5     LT  WDsf  Withdrawn    Csf

MACH ONE 2004-1

N 55445RAR8     LT  BBBsf Affirmed     BBBsf
O 55445RAS6     LT  Dsf   Affirmed     Dsf

LNR CDO 2003-1, Ltd.

F-FL 50211MAK7  LT  Dsf   Downgrade    Csf
F-FX 50211MAJ0  LT  Dsf   Downgrade    Csf
G 50211MAL5     LT  Csf   Affirmed     Csf
H               LT  Csf   Affirmed     Csf
J               LT  Csf   Affirmed     Csf

Fitch has affirmed classes A, B-FL and B-FX in LNR CDO 2006-1,
Ltd./LLC at 'Dsf'. These classes are non-deferrable and previously
experienced an interest payment shortfall. Fitch has also
downgraded classes C-FL, C-FX, D-FL, D-FX, E, F-FL, F-FX and G to
'Dsf' from 'Csf', reflecting no remaining collateral to pay the
outstanding bonds. The classes were already severely
undercollateralized and previously rated 'Csf', indicating default
was inevitable. The ratings on all 11 classes are subsequently
being withdrawn. There is no remaining collateral in the CRE CDO.
The ratings are no longer considered relevant to Fitch's coverage.

KEY RATING DRIVERS

Fitch has downgraded classes F-FL and F-FX in LNR CDO 2003-1 Ltd.
to 'Dsf' from 'Csf'. An Event of Default occurred during the
September 2020 payment date, whereby the senior-most classes F-FL
and F-FX defaulted in their payment of timely, non-deferrable
interest.

Fitch has downgraded class E in CT CDO IV Ltd. to 'Dsf' from 'Csf'.
The most senior class E is a non- deferrable class that has
experienced an interest payment shortfall.

Fitch has affirmed class N in MACH ONE 2004-1 at 'BBBsf' and
revised the Outlook to Stable from Positive based on a look-through
analysis to the rating of the one remaining bond in the collateral
pool, MSC 1998-WF2 class L, which is rated 'BBBsf'/Outlook Stable
by Fitch.

The sole remaining loan in the underlying MSC 1998-WF2 transaction
is the fully amortizing 1201 Pennsylvania Avenue loan, which is
secured by an office property located in Washington, DC. The
sponsor has demonstrated commitment to the asset despite the
property having negative cash flow since the departure of several
larger tenants in 2017. The sponsor has kept the loan current and
completed a $15 million renovation. The overall loan psf is low at
$28. Occupancy at YE 2019 has improved to 49% from a low of 19% in
2016.

Within the remaining bonds of these CRE CDOs, Fitch has affirmed 11
classes at 'Csf' as default is considered inevitable due to their
undercollateralization. Fitch has affirmed one class at 'Dsf' as
this class has taken a principal loss.

RATING SENSITIVITIES

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

-- Downgrades to the classes rated 'Csf' would occur at or prior
    to legal final maturity as default is inevitable due to their
    undercollateralization;

-- A downgrade of class N in MACH ONE 2004-1 is unlikely due to
    the low leverage of the 1201 Pennsylvania Avenue loan, but may
    be possible should property occupancy and performance fail to
    improve and the loan is transferred to special servicing.

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

-- An upgrade of class N in MACH ONE 2004-1 is possible as
    occupancy increases and cash flow turns positive and begins to
    stabilize for the 1201 Pennsylvania Avenue loan;.

-- Upgrades to classes rated 'Csf' and 'Dsf' are not possible due
    to their undercollateralization or they are non-deferrable
    classes that have already experience an interest payment
    shortfalls.

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.


DBJPM 2016-C1: DBRS Lowers Class G Rating to CCC
------------------------------------------------
DBRS, Inc. downgraded the following ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2016-C1 issued by DBJPM
2016-C1 Mortgage Trust:

-- Class X-C downgraded to BB (high) (sf) from BBB (sf)
-- Class D downgraded to BB (sf) from BBB (low) (sf)
-- Class X-D downgraded to B (high) (sf) from BB (sf)
-- Class E downgraded to B (sf) from BB (low) (sf)
-- Class F downgraded to B (low) (sf) from B (sf)
-- Class X-E downgraded to B (low) (sf) from B (sf)
-- Class G downgraded to CCC (sf) from B (low) (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

-- Class A-2 at AAA (sf)
-- Class A-3A at AAA (sf)
-- Class A-3B at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)

DBRS Morningstar also discontinued the rating on Class A-1 as the
class has been repaid in full.

Classes D, E, F, G, X-C, X-D, and X-E were removed from Under
Review with Negative Implications, where they were placed on August
6, 2020. The trends on Classes D, E, F, X-C, X-D, and X-E are
Negative. DBRS Morningstar changed the trends on Classes C and X-B
to Negative from Stable. Class G does not currently carry a trend.
All other trends are Stable. The downgrades and Negative trends
resulted primarily from the anticipated losses to the trust upon
the resolution of the specially serviced Sheraton North Houston
loan (Prospectus ID#4, 4.8% of the pool). In addition, loans
representing 12.5% of the pool were in special servicing as of the
January 2021 remittance. DBRS Morningstar also notes that the pool
has a significant concentration in retail and hospitality
properties, representing 34.5% and 20.9% of the pool balance,
respectively. These property types have been the most severely
affected by the initial effects of the Coronavirus Disease
(COVID-19) pandemic and, as such, those concentrations suggest
increased risks for the pool, particularly at the lower rating
categories, since issuance.

As of the January 2021 remittance, all original 33 loans remained
in the pool, and the pool had a 3.7% reduction of collateral
because of amortization. Four loans, representing 12.5% of the
pool, are with the special servicer, the largest of which, the
Sheraton North Houston loan, is secured by a 419-key full-service
hotel in Texas. The hotel has failed to generate cash flow in line
with the issuer's expectations due in part to the decline of the
Houston energy sector and more directly due to the loss of a large
contract with United Airlines after the airline moved its pilot
training facility to Denver in 2017. While the property
subsequently signed a contract with a smaller airline, it was for
only a small portion of the room nights relative to the United
Airlines contract. Additional headwinds now include the devastating
impact the coronavirus pandemic has had on the entire lodging
industry. While a 2020 appraisal was not yet available, DBRS
Morningstar noted that 2020 appraisals for several other troubled
Houston hotels reported declines in values of up to 65% when
compared with their issuance appraisal values. Given that the
struggles at this property extend beyond lost revenue caused by the
pandemic, DBRS Morningstar anticipates a similar drop in value at
this property and anticipates a sizable loss upon resolution.

There are 10 loans, representing 28.2% of the pool, on the
servicer's watchlist. These loans are being monitored for various
reasons including low debt service coverage ratios or occupancy
rates, tenant rollover risk, and/or pandemic-related forbearance
requests. Three of the loans on the watchlist, collectively
representing 11.3% of the pool balance, have been modified with
some form of forbearance agreement. These loans include the 600
Broadway loan (Prospectus ID#6, 4.7% of the pool), Hagerstown
Premium Outlets loan (Prospectus ID#12, 3.6% of the pool), and the
Renaissance Providence Downtown Hotel loan (Prospectus ID#15, 2.9%
of the pool).

DBRS Morningstar materially deviated from its North American CMBS
Insight Model when determining the ratings assigned to Classes B
and C, as the quantitative results suggested a higher rating on the
Classes. The material deviations are warranted given the uncertain
loan-level event risk with the loans in special servicing and on
the servicer's watchlist, in addition to the increased
concentration of the pool in terms of the number of loans
remaining.

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


DT AUTO 2021-1: DBRS Finalizes BB Rating on Class E Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by DT Auto Owner Trust 2021-1:

-- $186,000,000 Class A Notes at AAA (sf)
-- $38,000,000 Class B Notes at AA (sf)
-- $60,000,000 Class C Notes at A (sf)
-- $42,000,000 Class D Notes at BBB (sf)
-- $20,000,000 Class E Notes at BB (sf)

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

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

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

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

(2) DTAOT 2021-1 provides for Classes A, B, C, D, and E coverage
multiples that are slightly below the DBRS Morningstar range of
multiples set forth in the criteria for this asset class. DBRS
Morningstar believes that this is warranted, given the magnitude of
expected loss, company history, and structural features of the
transaction.

(3) DBRS Morningstar's projected losses include an assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the pandemic, the DBRS Morningstar-projected CNL
includes an assessment of the expected impact on consumer behavior.
The DBRS Morningstar CNL assumption is 30.00% based on the expected
Cut-Off Date pool composition.

(4) The assessment was guided by DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its "Global Macroeconomic Scenarios:
December Update" commentary published on December 2, 2020. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020, and they have been regularly updated. The scenarios were
updated on December 2, 2020, and are reflected in DBRS
Morningstar's rating analysis. The assumptions consider the
moderate macroeconomic scenario outlined in the commentary, with
the moderate scenario serving as the primary anchor for current
ratings. The moderate scenario factors in increasing success in
containment during the first half of 2021, enabling the continued
relaxation of restrictions.

(5) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.

(6) The quality and consistency of historical static pool data for
DriveTime originations and performance of the DriveTime auto loan
portfolio.

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

The transaction represents a securitization of a portfolio of motor
vehicle retail installment sales contracts originated by DriveTime
Car Sales Company, LLC (the Originator). The Originator is a
direct, wholly-owned subsidiary of DriveTime. DriveTime is a
leading used-vehicle retailer in the United States that focuses
primarily on the sale and financing of vehicles to the subprime
market.

The rating on the Class A Notes reflects 55.00% of initial hard
credit enhancement provided by the subordinated Notes in the pool,
the reserve account (1.50%), and overcollateralization (13.50%).
The ratings on the Class B, C, D, and E Notes reflect 45.50%,
30.50%, 20.00%, and 15.00% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.

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


FLAGSHIP CREDIT 2021-1: DBRS Gives Prov. BB(high) Rating on E Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Flagship Credit Auto Trust 2021-1 (the
Issuer):

-- $177,310,000 Class A Notes at AAA (sf)
-- $25,190,000 Class B Notes at AA (sf)
-- $32,490,000 Class C Notes at A (sf)
-- $18,720,000 Class D Notes at BBB (high) (sf)
-- $11,290,000 Class E Notes at BB (high) (sf)

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

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

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

(2) DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19) pandemic. While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected CNL includes
an assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 11.35% based on the expected Cut-Off
Date pool composition.

(3) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus pandemic, available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, that have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis. The assumptions also take
into consideration observed performance during the 2008–09
financial crisis and the possible impact of stimulus. The
assumptions consider the moderate macroeconomic scenario outlined
in the commentary, with the moderate scenario serving as the
primary anchor for current ratings. The moderate scenario factors
in increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

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

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

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

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

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

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

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

(8) The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Flagship, that
the trust has a valid first-priority security interest in the
assets, and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance."

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

The rating on the Class A Notes reflects 36.60% of initial hard
credit enhancement provided by subordinated notes in the pool
(31.85%), the reserve account (1.00%), and OC (3.75%). The ratings
on the Class B, C, D, and E Notes reflect 27.45%, 15.65%, 8.85%,
and 4.75% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.

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


FREDDIE MAC 2021-DNA1: DBRS Finalizes BB(sf) Rating on 16 Classes
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes issued
by Freddie Mac STACR REMIC Trust 2021-DNA1:

-- $208.0 million Class M-1 at BBB (sf)
-- $155.0 million Class M-2A at BB (high) (sf)
-- $155.0 million Class M-2B at BB (sf)
-- $104.0 million Class B-1A at BB (low) (sf)
-- $104.0 million Class B-1B at B (high) (sf)
-- $310.0 million Class M-2 at BB (sf)
-- $310.0 million Class M-2R at BB (sf)
-- $310.0 million Class M-2S at BB (sf)
-- $310.0 million Class M-2T at BB (sf)
-- $310.0 million Class M-2U at BB (sf)
-- $310.0 million Class M-2I at BB (sf)
-- $155.0 million Class M-2AR at BB (high) (sf)
-- $155.0 million Class M-2AS at BB (high) (sf)
-- $155.0 million Class M-2AT at BB (high) (sf)
-- $155.0 million Class M-2AU at BB (high) (sf)
-- $155.0 million Class M-2AI at BB (high) (sf)
-- $155.0 million Class M-2BR at BB (sf)
-- $155.0 million Class M-2BS at BB (sf)
-- $155.0 million Class M-2BT at BB (sf)
-- $155.0 million Class M-2BU at BB (sf)
-- $155.0 million Class M-2BI at BB (sf)
-- $155.0 million Class M-2RB at BB (sf)
-- $155.0 million Class M-2SB at BB (sf)
-- $155.0 million Class M-2TB at BB (sf)
-- $155.0 million Class M-2UB at BB (sf)
-- $208.0 million Class B-1 at B (high) (sf)
-- $104.0 million Class B-1AR at BB (low) (sf)
-- $104.0 million Class B-1AI at BB (low) (sf)

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

The BBB (sf), BB (high) (sf), BB (sf), BB (low) (sf), and B (high)
(sf) ratings reflect 2.000%, 1.625%, 1.250%, 1.000%, and 0.750% of
credit enhancement, respectively. Other than the specified classes
above, DBRS Morningstar does not rate any other classes in this
transaction.

STACR 2021-DNA1 is the 24th transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 193,729
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were estimated to be originated
on or after July 2019 and were securitized by Freddie Mac between
July 1, 2020, and August 15, 2020.

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

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available. DBRS Morningstar did
not run interest rate stresses for this transaction, as the
interest is not linked to the performance of the reference
obligations. Instead, the trust will use the net investment
earnings on the eligible investments together with Freddie Mac's
transfer amount payments to pay interest to the Noteholders.

In this transaction, approximately 48.4% of the loans were
originated using property values determined using Freddie Mac's
automated collateral evaluation (ACE) assessment rather than a
traditional full appraisal. Loans where the property values were
determined using ACE assessments generally have better credit
attributes.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR DNA
transactions, beginning with the STACR 2018-DNA2 transaction, there
has been a revision to principal allocation. The scheduled
principal in prior transactions was allocated pro rata between the
senior and nonsenior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro rata subject to certain performance tests being met.
For the more recent transactions, the scheduled and unscheduled
principal will be combined and only allocated pro rata between the
senior and nonsenior tranches if the performance tests are
satisfied. For the STACR 2021-DNA1 transaction, the minimum credit
enhancement test—one of the three performance tests—has been
set to fail at the Closing Date, thus locking out the rated classes
from initially receiving any principal payments until the
subordination percentage grows to 2.75% from 2.50%. Additionally,
the nonsenior tranches will also be entitled to supplemental
subordinate reduction amount if the offered reference tranche
percentage increases above 6.15%. The interest payments for these
transactions are not linked to the performance of the reference
obligations except to the extent that modification losses have
occurred.

The Notes will be scheduled to mature on the payment date in
January 2051, but will be subject to mandatory redemption prior to
the scheduled maturity date upon the termination of the CAA.

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

The Reference Pool consists of approximately 0.8% of loans
originated under the Home Possible program. Home Possible is
Freddie Mac's affordable mortgage product designed to expand the
availability of mortgage financing to creditworthy low- to
moderate-income borrowers.

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

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

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

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

In connection with the economic stress assumed under the moderate
scenario in its commentary, see "Global Macroeconomic Scenarios:
January 2021 Update," published on January 28, 2021, for the
government-sponsored enterprise (GSE CRT) asset class, DBRS
Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than it previously used.
DBRS Morningstar derives such MVD assumptions through a fundamental
home price approach based on the forecast unemployment rates and
GDP growth outlined in the aforementioned moderate scenario. In
addition, for pools with loans on forbearance plans, DBRS
Morningstar may assume higher loss expectations above and beyond
the coronavirus assumptions. Such assumptions translate to higher
expected losses on the collateral pool and correspondingly higher
credit enhancement.

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

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


GCT COMMERCIAL 2021-GCT: Moody's Rates Class HRR Certs 'B2'
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by GCT Commercial Mortgage Trust
2021-GCT, Commercial Mortgage Pass-Through Certificates, Series
2021-GCT:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. HRR, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

This securitization is collateralized by a first priority deed of
trust mortgage on the fee simple interests in (i) a 54-story, Class
A office building with grade level retail space and a 978 stall
subterranean parking garage located at 555 West 5th Street in Los
Angeles, California (the "Gas Company Tower") and (ii) a 1,166
stall parking garage located at 350 South Figueroa Street in Los
Angeles, California (the "World Trade Center Parking Garage" and,
together with the Gas Company Tower, the "Property"). Moody's
analysis is based on the quality of the collateral, the amount of
subordination supporting each rated class, among other structural
characteristics.

Moody's approach to rating this transaction involved the
application of our Large Loan and Single Asset/Single Borrower CMBS
methodology. The rating approach for securities backed by a single
loan compares the credit risk inherent in the underlying collateral
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also consider a range of
qualitative issues as well as the transaction's structural and
legal aspects.

The Gas Company Tower is a 54-story, 1,377,053 SF, Class A office
building with grade level retail space and a 978 stall on-site
subterranean parking garage located at 555 West 5th Street in the
Bunker Hill district of downtown Los Angeles, California. The LEED
Gold certified tower sits on the east side of West 5th Street and
spans an entire city block between South Grand Avenue and South
Olive Street.

Building amenities include an on-site management team with 24-hour
building security, engineering, and maintenance services, valet
parking with electric vehicle charging stations and text-in valet
services, a banking center, a newsstand, a car wash, a dry cleaner,
self-service bike storage, and concierge services.

As of January 1, 2021, Gas Company Tower was 75.7% leased to 28
tenants (primarily office). The weighted average remaining lease
term of the tenant roster is 6.3 years and the average gross rent
is $44.59 PSF. Investment grade, "AM Law 100", government and "Big
4" accounting firm occupants account for approximately 54.4% of
total NRA (71.8% of occupied NRA) and 69.5% of base rent. The
largest revenue contributors at the Property include Southern
California Gas Co. (A2, senior unsecured; 26.0% of NRA; 29.3% of
base rent), Sidley Austin (AM Law 100 #6; 10.0% of NRA; 12.9% of
base rent), Deloitte LLP (Big 4 accounting firm; 8.1% of NRA; 10.4%
of base rent), WeWork (6.0% of NRA; 9.2% of base rent), Latham &
Watkins (AM Law 100 #2; 6.5% of NRA; 7.8% of base rent) and GSA
(Aaa, senior unsecured; 2.6% of NRA; 7.5% of base rent). The top 10
tenants by base rent represent approximately 68.3% of NRA,
approximately 90.0% of base rent and have a weighted average
remaining lease term of 6.5 years (weighted based on base rent).

The World Trade Center Parking Garage is a 1,166-stall off-site
parking garage situated on South Figueroa Street that provides
additional parking capacity for the tenants of the Gas Company
Tower (approximately an eight-minute walk) as well as nearby
transient parkers.

The Property has a total of 2,144 parking stalls (approximately
1.56 spaces per 1,000 SF of net rentable area, which includes the
parking stalls located at the Gas Company Tower and the World Trade
Center Parking Garage).

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

The Moody's first-mortgage DSCR is 2.77x and Moody's first-mortgage
stressed DSCR (at a 9.25% constant) is .82x. Moody's DSCR is based
on our assessment of the property's stabilized NCF.

The first mortgage loan balance of $350.0 million represents a
Moody's LTV of 109.3%. Taking into consideration the additional
subordinate mezzanine loan with a principal balance of $115.0
million, the total debt Moody's LTV would increase to 145.3%.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's
weighted average property quality grade is 0.75.

Notable strengths of the transaction include: asset quality, tenant
roster, and institutional sponsorship.

Notable challenges of the transaction include: the effects of the
coronavirus, the lack of asset diversification, soft submarket,
subordinate debt, and certain credit negative loan structure and
legal features.

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

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from our
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.

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

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


GS MORTGAGE 2013-G1: Fitch Lowers Rating on Class DM Debt to 'B'
----------------------------------------------------------------
Fitch Ratings has downgraded the ratings of, and revised the Rating
Outlook to Negative from Stable for one class of GS Mortgage
Securities Trust 2013-G1. Fitch also affirmed six classes, revising
the Rating Outlooks to Negative from Stable for four additional
classes.

     DEBT                RATING           PRIOR
     ----                ------           -----
GSMS 2013-G1

A-1 36197QAA7     LT  AAAsf  Affirmed     AAAsf
A-2 36197QAC3     LT  AAAsf  Affirmed     AAAsf
B 36197QAG4       LT  AAsf   Affirmed     AAsf
C 36197QAJ8       LT  Asf    Affirmed     Asf
D 36197QAL3       LT  BBBsf  Affirmed     BBBsf
DM 36197QAN9      LT  Bsf    Downgrade    BBsf
X-A 36197QAE9     LT  AAAsf  Affirmed     AAAsf

KEY RATING DRIVERS

Stressed Cash Flow; Recent Volatility: Although Fitch received Q3
2020 financials for all three assets, Fitch's cash flow analysis
was based on the YE2019 financials. These indicate stressed to
overall stable performance when compared with issuance across all
three assets despite fluctuating sales trends and occupancy over
the last several years. The properties are expected to exhibit
declines in revenue given tenant rent relief that was granted
following the closures in 2020 and the overall pressure on rental
rates for retail malls. To account for this and upcoming scheduled
lease expirations, Fitch applied an additional 12.5% vacancy
adjustment to all three assets and capitalization rates ranging
from 10% to 11%.

Retail Market Concerns: Fitch's concerns regarding the retail
sector remain heightened given the health of retail sales, the
impact of e-commerce on traditional retailing, and the growing
number of store closures as a result of both bankruptcy and
business rationalization, especially in light of the social and
market disruption caused by the pandemic. The long-term survival of
Sears and JCPenney and other department stores remains in
question.

While JCPenney and Macy's have announced store closings, none of
the affected locations are at the subject properties. Sears
(non-collateral) terminated its lease in January 2019, prior to its
2026 lease expiration at the Deptford Mall. The Forever 21 stores
at Great Lakes Crossing Outlets and Deptford Mall were previously
slated to be closed, but both leases have been extended following
the retailer's acquisition by Simon Property Group.

Vulnerability to Coronavirus: All three malls were closed for a
period of time ranging from two the three months in 2020 due to
pandemic containment measures. Fitch expects the malls' closures
will have significant short-term effects on overall performance.
The longer-term impact from the virus is harder to discern,
although there is some cautious optimism regarding the recent
rollout of vaccines. Despite this, there remains uncertainty as to
when the properties will re-stabilize.

Additionally, Great Lakes Crossing Outlets is scheduled to mature
in January 2023. Deptford Mall is scheduled to mature in April 2023
and had previously requested forbearance relief from the servicer
due to cash flow challenges stemming from the mall's closure and
the ongoing pandemic. Katy Mills is the only loan that is not
amortizing and is scheduled to mature in December 2022. None of the
loans have ever been delinquent.

Fitch Leverage: The pooled total loan amount of $508.4 million has
a Fitch weighted-average DSCR and LTV of 1.23x and 74.6%,
respectively, totaling $190 psf.

Experienced Ownership and Management: All three loans are sponsored
by large national real estate investment trusts (REITs) focused on
regional and super-regional shopping centers. The Great Lakes
Crossing Outlets loan was originally sponsored by Taubman Centers,
Inc. (Taubman). Simon Property Group recently completed its
acquisition of Taubman in December 2020. The Deptford Mall loan is
sponsored by The Macerich Partnership, L.P. The Katy Mills loan is
sponsored by a joint venture between Simon Property Trust (SPT) and
Kan Am USA.

RATING SENSITIVITIES

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

-- Classes A-2, X-A, B, C, D and DM are on Rating Outlook
    Negative given concerns with exposure to the weakening
    regional mall sector, timing of re-stabilization of the assets
    post pandemic, and refinance risk;

-- Factors that could lead to additional downgrades include a
    failure of the malls to return to previous performance levels
    post pandemic or further deterioration of property
    performance. Downgrades to classes B, C, D and D-M could be a
    full category or more.

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

-- Upgrades are currently not expected given the outlook for
    retail mall performance and the expectation of the negative
    effects of the coronavirus. Factors that lead to upgrades
    would include significant improvement to cash flow and sales,
    paydown from the release of properties or defeasance

-- Upgrades to classes B and C could occur with significant
    improvement in credit enhancement or defeasance. An upgrade to
    classes D and DM could occur with significant improvement to
    property cash flow and sales. Classes would not be upgraded
    above 'Asf' if there is likelihood for interest shortfalls,
    which could occur if any of the loans becomes delinquent.

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.


GS MORTGAGE 2018-GS9: Fitch Affirms B- Rating on Class F-RR Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of GS Mortgage Securities
Trust 2018-GS9 commercial mortgage pass-through certificates (GSMS
2018-GS9).

     DEBT                RATING          PRIOR
     ----                ------          -----
GSMS 2018-GS9

A-1 36255NAQ8      LT  AAAsf  Affirmed   AAAsf
A-2 36255NAR6      LT  AAAsf  Affirmed   AAAsf
A-3 36255NAS4      LT  AAAsf  Affirmed   AAAsf
A-4 36255NAT2      LT  AAAsf  Affirmed   AAAsf
A-AB 36255NAU9     LT  AAAsf  Affirmed   AAAsf
A-S 36255NAX3      LT  AAAsf  Affirmed   AAAsf
B 36255NAY1        LT  AA-sf  Affirmed   AA-sf
C 36255NAZ8        LT  A-sf   Affirmed   A-sf
D 36255NAA3        LT  BBB-sf Affirmed   BBB-sf
E 36255NAE5        LT  BB-sf  Affirmed   BB-sf
F-RR 36255NAG0     LT  B-sf   Affirmed   B-sf
X-A 36255NAV7      LT  AAAsf  Affirmed   AAAsf
X-B 36255NAW5      LT  AA-sf  Affirmed   AA-sf
X-D 36255NAC9      LT  BBB-sf Affirmed   BBB-sf

KEY RATING DRIVERS

Increasing Loss Expectations: While the majority of the pool
continues to exhibit stable performance, loss expectations have
slightly increased, primarily due to the increasing number of Fitch
Loans of Concern (FLOCs). Since Fitch's last rating action, two
loans (1.85% of the pool) have transferred to special servicing due
to hardships caused by the ongoing pandemic. Fitch's ratings are
based on a base case loss expectation of 3.90%. Additional stresses
on loans expected to be negatively impacted by the coronavirus
pandemic were applied as well, which assumes that losses could
reach 4.00%; the ratings reflect this analysis.

The largest increase in loss expectations is the specially serviced
loan, North Park Apartments (1.1% of the pool). The loan is secured
by a 192 unit apartment complex located in Houston, TX. The
property transferred to special servicing in August 2020 due to
imminent monetary default due to hardships caused by the ongoing
pandemic. The loan had previously been on the master servicer's
watch list for declining performance as the borrower had inherited
"second chance" leases, which resulted in higher occupancy.
However, as part of the borrower's business plan, they began to
turn units and transition the existing tenant base to make
improvements on the property and ultimately increase rents and
attract different tenant profiles.

Additionally, the borrower settled a property tax assessment with
the county for a reduction in taxes in 2018, which resulted in a
$35k refund, expected to reduce the overall taxes for 2019. As a
result, NOI DSCR has significantly declined to 0.68x as of Sept.
30, 2020 from 0.67x at YE 2019 and 1.45x at YE 2018. The loan is
90+ days delinquent and per the special servicer, the borrower and
special servicer are currently assessing the appropriate next
steps. Fitch's loss expectation of 68% reflects the declines in
performance and delinquent status.

The next largest increase in loss expectations is the FLOC, Pin Oak
Medical Office (6.4% of the pool). The loan is secured by a
351,528-sf medical office building located in Bellaire, TX. Per the
most recent rent roll provided, approximately 30% of the NRA has
lease expirations between 2020 and 2021, including three of the top
five tenants. Fitch requested updates from the master servicer in
regards to the upcoming rollover, but has not received a response.
Additionally, as of Sept. 30, 2020, occupancy had declined to 89.8%
from 90% at YE 2019 and 94.3% at YE 2018. Fitch's loss expectations
of 11% reflect a haircut of 25% to the YE 2019 NOI to address the
declines in performance and concerns regarding significant upcoming
lease rollover.

The next largest increase in loss expectations, Cross County
Shopping Center (0.8% of the pool), is secured by a 50,857-sf
anchored retail shopping center located in West Palm Beach, FL. The
property was anchored by Big Lots (previously 46.5% of the NRA),
which vacated the property in January 2020. Per the master servicer
commentary, the borrower is actively marketing the space; however,
the space remains vacant. As of YE 2019, occupancy had declined to
46.9% from 100% at issuance and NOI DSCR had declined to 1.35x as
of YE 2019 from 2.24x at YE 2018. Fitch's loss expectation of 51%
reflects a haircut of 20% to the YE 2019 NOI to reflect the
declines in performance and continued vacancy of the former top
tenant.

Lastly, the last largest increase in loss expectations, Monte
Industrial (0.2% of the pool), is secured by a 20,000-sf industrial
property located in Hollywood, FL. The property has suffered
declining performance after two tenants, each previously 12.5% of
the NRA, vacated at lease expiration. As of Sept. 30, 2020,
occupancy had declined to 75% from 100% at YE 2019. Per the master
servicer, the borrower is marketing the vacant spaces but there are
no further updates. The loan remains current; however, Fitch's loss
expectation of 35% represents a haircut of 15% to the YE 2019 NOI
to reflect the declines in performance.

Increased Credit Enhancement: As of the January 2021 remittance,
the transaction's balance has been reduced by 0.7% to $880 million
from $887 million at issuance. Fourteen loans (59.3% of the pool)
have interest only payments for the full loan term, including
eleven loans (54.7% of the pool) within the top 15. Fourteen loans
(24.4% of the pool) have partial interest only payments, including
three loans (17.0% of the pool) in the top 15. Four of the fourteen
partial interest only loans have begun amortizing. The remaining
loans are amortizing. Based on the scheduled balance at maturity,
the pool is only expected to pay down by 5.9%.

Investment Grade Credit Opinion Loans: Four loans in the top 15
(21.8% of the pool) received investment-grade credit opinions at
issuance. Apple Campus (7.7%), Twelve Oaks Mall (7.4%), Worldwide
Plaza (3.3%) and Starwood Lodging Hotel Portfolio (2.8%) received
investment-grade credit opinions of 'BBB-sf', 'BBB-sf', 'BBB+sf'
and 'A+sf', respectively, at issuance.

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

Nine loans (15.5% of the pool) are secured by hotel loans and nine
loans (26.1% of the pool) are secured by retail properties. Fitch
applied additional stresses to all two hotel loans and four retail
loans to account for potential cash flow disruptions due to the
coronavirus pandemic. This sensitivity analysis contributed to the
affirmations issued today.

RATING SENSITIVITIES

The Stable Rating Outlooks reflect stable pool performance,
increasing CE and expected continued amortization.

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

-- Factors that lead to upgrades on classes B, C, D, E, and F-RR
    include stable to improved asset performance coupled with
    additional paydown and/or defeasance. However, adverse
    selection and increased concentrations, or the
    underperformance of particular loans could cause this trend to
    reverse.

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

-- Factors that could lead to downgrades on the unenhanced
    ratings include an increase in pool level expected losses from
    underperforming or specially serviced loans. While a
    downgrades to classes B, C, D, E, and F-RR is not expected, it
    is possible if loan performance declines significantly, loans
    face difficulty refinancing at maturity or properties
    vulnerable to the coronavirus do not return to pre-pandemic
    levels.

-- In addition to its baseline scenario related to the
    coronavirus, Fitch envisions a downside scenario where the
    health crisis is prolonged beyond 2021; should this scenario
    play out, Fitch expects Negative Rating Actions including
    downgrades or Negative Rating Outlooks to both the long-term
    and unenhanced 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.

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.


GS MORTGAGE 2021-PJ1: DBRS Finalizes B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage
Pass-Through Certificates, Series 2021-PJ1 issued by GS
Mortgage-Backed Securities Trust 2021-PJ1:

-- $353.4 million Class A-1 at AAA (sf)
-- $353.4 million Class A-2 at AAA (sf)
-- $40.9 million Class A-3 at AAA (sf)
-- $40.9 million Class A-4 at AAA (sf)
-- $265.0 million Class A-5 at AAA (sf)
-- $265.0 million Class A-6 at AAA (sf)
-- $88.3 million Class A-7 at AAA (sf)
-- $88.3 million Class A-8 at AAA (sf)
-- $394.3 million Class A-9 at AAA (sf)
-- $394.3 million Class A-10 at AAA (sf)
-- $394.3 million Class A-X-1 at AAA (sf)
-- $353.4 million Class A-X-2 at AAA (sf)
-- $40.9 million Class A-X-3 at AAA (sf)
-- $265.0 million Class A-X-5 at AAA (sf)
-- $88.3 million Class A-X-7 at AAA (sf)
-- $15.8 million Class B at BBB (sf)
-- $6.0 million Class B-1 at AA (sf)
-- $6.0 million Class B-1-A at AA (sf)
-- $6.0 million Class B-1-X at AA (sf)
-- $5.6 million Class B-2 at A (sf)
-- $5.6 million Class B-2-A at A (sf)
-- $5.6 million Class B-2-X at A (sf)
-- $4.2 million Class B-3 at BBB (sf)
-- $4.2 million Class B-3-A at BBB (sf)
-- $4.2 million Class B-3-X at BBB (sf)
-- $2.5 million Class B-4 at BB (sf)
-- $1.0 million Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-5, A-X-7, B-1-X, B-2-X, B-3-X, and
B-X are interest-only certificates. The class balances represent
notional amounts.

Classes A-1, A-2, A-4, A-6, A-8, A-9, A 10, A-X-2, B, B-1, B-2,
B-3, and B-X are exchangeable certificates. These classes can be
exchanged for combinations of exchange certificates as specified in
the offering documents.

Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior
certificates. These classes benefit from additional protection from
the senior support certificates (Classes A-3 and A-4) with respect
to loss allocation.

The AAA (sf) ratings on the Certificates reflect 5.15% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.70%, 2.35%,
1.35%, 0.75%, and 0.50% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 423 loans with a total principal
balance of $415,719,429 as of the Cut-Off Date (January 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average loan
age of two months. Approximately 99.3% of the pool are traditional,
nonagency, prime jumbo mortgage loans. The remaining 0.7% of the
pool are conforming, high-balance mortgage loans that were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers section in the
related rating report.

The originators for the mortgage pool are CrossCountry Mortgage LLC
(41.4%), Guaranteed Rate, Inc (20.4%), and various other
originators, each comprising less than 15.0% of the mortgage loans.
Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan
Seller of the transaction. For certain originators, the related
loans were sold to MAXEX Clearing LLC (4.6%) and were subsequently
acquired by the Mortgage Loan Seller.

NewRez LLC doing business as Shellpoint Mortgage Servicing will
service the mortgage loans within the pool. Wells Fargo Bank, N.A.
(rated AA with a Negative trend by DBRS Morningstar) will act as
the Master Servicer, Securities Administrator, and Custodian. U.S.
Bank Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.

The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a precrisis structure.

For this transaction, as permitted by the Coronavirus Aid, Relief,
and Economic Security Act, signed into law on March 27, 2020, seven
loans (1.1% of the pool) had been granted forbearance plans because
the borrowers reported financial hardship related to the
Coronavirus Disease (COVID-19) pandemic. These forbearance plans
allow temporary payment holidays followed by repayment once the
forbearance period ends. As of the Cut-Off Date, all seven loans
satisfied their forbearance plans and are current. Furthermore,
none of the loans in the pool are on active coronavirus forbearance
plans.

Coronavirus Pandemic Impact

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

The prime mortgage sector is a traditional RMBS asset class that
consists of securitizations backed by pools of residential home
loans originated to borrowers with prime credit. Generally, these
borrowers have decent FICO scores, reasonable equity, and robust
income and liquid reserves.

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

In connection with the economic stress assumed under its moderate
scenario (see "Global Macroeconomic Scenarios: January 2021
Update," published on January 28, 2021), for the prime asset class
DBRS Morningstar assumes a combination of higher unemployment rates
and more conservative home price assumptions than those DBRS
Morningstar previously used. Such assumptions translate to higher
expected losses on the collateral pool and correspondingly higher
credit enhancement.

In the prime asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that this sector should have low
intrinsic credit risk. Within the prime asset class, loans
originated to (1) self-employed borrowers or (2) higher
loan-to-value ratio borrowers may be more sensitive to economic
hardships resulting from higher unemployment rates and lower
incomes. Self-employed borrowers are potentially exposed to more
volatile income sources, which could lead to reduced cash flows
generated from their businesses. Higher LTV borrowers, with lower
equity in their properties, generally have fewer refinance
opportunities and therefore slower prepayments. In addition,
certain pools with elevated geographic concentrations in densely
populated urban metropolitan statistical areas may experience
additional stress from extended lockdown periods and the slowdown
of the economy.

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


GS MORTGAGE 2021-PJ1: Fitch Gives Final 'B' Rating on Cl. B5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by GS Mortgage-Backed
Securities Trust 2021-PJ1 (GSMBS 2021-PJ1). The transaction is
expected to close on Jan. 29, 2020. The certificates are supported
by 423 conforming and non-conforming loans with a total balance of
approximately $415.7 million as of the cutoff date.

DEBT          RATING               PRIOR
----          ------               -----
GSMBS 2021-PJ1

A1     LT  AAAsf  New Rating     AAA(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  AA+sf  New Rating     AA+(EXP)sf
A10    LT  AA+sf  New Rating     AA+(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
AX5    LT  AAAsf  New Rating     AAA(EXP)sf
AX7    LT  AAAsf  New Rating     AAA(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
B      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
AIOS   LT  NRsf   New Rating     NR(EXP)sf
AR     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 of
all 30-year fixed-rate mortgage (FRM) fully amortizing loans
seasoned approximately four months in aggregate. The borrowers in
this pool have strong credit profiles (770 model FICO) and
relatively low leverage (a 76.8% sustainable loan to value ratio
[sLTV]). The 100% full documentation collateral comprises mostly
nonconforming prime-jumbo loans (99%), with a small mix of
conforming agency-eligible loans (1%), while almost 100% of the
loans are safe harbor qualified mortgages (SHQM). Of the pool, 98%
are of loans for which the borrower maintains a primary residence,
while 2% are for second homes. Additionally, over 92% 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 1.35% of the
original balance will be maintained for the senior certificates,
and a subordination floor of 1.0% of the original balance will be
maintained for the subordinate certificates.

Shellpoint Servicing will provide full advancing for the life of
the transaction. While this helps the liquidity of the structure,
it also increases the expected loss due to unpaid servicer
advances.

RATING SENSITIVITIES

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

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

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

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10%, 20% and 30% in
    addition to the model-projected 5.8%. 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.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E).
Third-party due diligence was performed on 100% of the loans in the
transaction. Due diligence was performed by AMC, Opus, Digital Risk
and Consolidated Analytics, which Fitch assesses as Acceptable -
Tier 1, Acceptable - Tier 2, Acceptable - Tier 2 and Acceptable -
Tier 3, 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.

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."
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.


GS MORTGAGE 2021-PJ2: Fitch to Rate Class B-5 Certs 'B(EXP)'
------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ2
(GSMBS 2021-PJ2). The certificated are supported by 435 conforming
and nonconforming loans with a total balance of approximately
$427.61 million as of the cutoff date.

DEBT                RATING  
----                ------  
GSMBS 2021-PJ2

A-1      LT  AAA(EXP)sf  Expected Rating  
A-2      LT  AAA(EXP)sf  Expected Rating  
A-3      LT  AA+(EXP)sf  Expected Rating  
A-4      LT  AA+(EXP)sf  Expected Rating  
A-5      LT  AAA(EXP)sf  Expected Rating  
A-6      LT  AAA(EXP)sf  Expected Rating  
A-7      LT  AAA(EXP)sf  Expected Rating  
A-8      LT  AAA(EXP)sf  Expected Rating  
A-9      LT  AA+(EXP)sf  Expected Rating  
A-10     LT  AA+(EXP)sf  Expected Rating  
A-X-1    LT  AA+(EXP)sf  Expected Rating  
A-X-2    LT  AAA(EXP)sf  Expected Rating  
A-X-3    LT  AA+(EXP)sf  Expected Rating  
A-X-5    LT  AAA(EXP)sf  Expected Rating  
A-X-7    LT  AAA(EXP)sf  Expected Rating  
B-1      LT  AA(EXP)sf   Expected Rating  
B-2      LT  A(EXP)sf    Expected Rating  
B-3      LT  BBB(EXP)sf  Expected Rating  
B-4      LT  BB(EXP)sf   Expected Rating  
B-5      LT  B(EXP)sf    Expected Rating  
B-6      LT  NR(EXP)sf   Expected Rating  
A-IO-S   LT  NR(EXP)sf   Expected Rating  
A-R      LT  NR(EXP)sf   Expected Rating  

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists
entirely 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 (770 model FICO)
and relatively low leverage (a 75% sustainable loan to value ratio
[sLTV]). The 100% full documentation collateral comprises mostly
nonconforming prime-jumbo loans (99.3%), with a small mix of
conforming agency-eligible loans (0.7%), while 100% of the loans
are safe harbor qualified mortgages (SHQM). Of the pool, 97.4% are
of loans for which the borrower maintains a primary residence,
while 2.6% are for second homes. Additionally, over 91% 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 1.25% of the original balance will be maintained for the
senior certificates, and a subordination floor of 0.90% 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.

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. Additionally, Fitch
has conducted originator reviews on over 80% of the underlying
originators.

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 and
Consolidated Analytics, which Fitch assesses as Acceptable - Tier
1, Acceptable - Tier 2, Acceptable - Tier 2 and Acceptable - Tier
3, 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.

No Meaningful Changes from Prior Transactions (Neutral): This
transaction is the eighth securitization by this issuer under this
PJ shelf. All transactions have been collateralized with comparable
credit quality and assets, and they have used the identical
structure and transaction parties. Fitch's projected asset loss for
the transaction's CE is consistent with prior transactions. Fitch's
expected losses for this transaction are slightly lower due to
improved LTV's and higher amount of liquid reserves.

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.

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper MVDs at the national level. The
    analysis assumes MVDs of 10%, 20% and 30%, in addition to the
    model-projected 5.7%. As shown in the table included in the
    presale report, the analysis indicates that some potential
    rating migration exists with higher MVDs compared with the
    model projection.

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

-- Additionally, the defined rating sensitivities determine the
    stresses to MVDs that would reduce a rating by one full
    category, to non-investment grade and to '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).
Third-party due diligence was performed on 100% of the loans in the
transaction. Due diligence was performed by AMC, Opus, Digital Risk
and Consolidated Analytics, which Fitch assesses as Acceptable -
Tier 1, Acceptable - Tier 2, Acceptable - Tier 2 and Acceptable -
Tier 3, 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.

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."
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.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5-designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others, to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

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.


HOME RE 2021-1: Moody's Gives B2 Rating on Class M-2 Notes
----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to four
classes of mortgage insurance credit risk transfer notes issued by
Home Re 2021-1 Ltd.

Home Re 2021-1 Ltd. (the issuer) is the fourth transaction issued
under the Home Re program to date and the first such issue in 2021,
which transfers to the capital markets the credit risk of private
mortgage insurance policies issued by Mortgage Guaranty Insurance
Corporation (MGIC, the ceding insurer) on a portfolio of
residential mortgage loans. The notes are exposed to the risk of
claims payments on the MI policies, and depending on the notes'
priority, may incur principal and interest losses when the ceding
insurer makes claims payments on the MI policies.

As of the cut-off date, no mortgage loan has been reported to the
ceding insurer as in two payment loan default (i.e. two or more
monthly payments delinquent) and 0.07% (by unpaid principal
balance) is subject to forbearance but is not currently delinquent.
To the extent, based on information reported on or prior to the
cut-off date, that a mortgage loan no longer satisfies the
eligibility criteria as of a date subsequent to the cut-off date,
such mortgage loan will not be removed from the offering and the
coverage for the related MI policy will continue to be provided by
the reinsurance agreement.

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

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

Transaction credit strengths include strong loan credit
characteristics, including the fact that the MI policies are
predominantly borrower-paid MI policies (97.8% by unpaid principal
balance). Transaction credit weaknesses include predominantly high
loan-to-value ratios, as well as a limited third-party review scope
and lack of representations and warranties to the noteholders.

The complete rating actions are as follows:

Issuer: Home Re 2021-1 Ltd.

Cl. M-1A, Definitive Rating Assigned Baa2 (sf)

Cl. M-1B, Definitive Rating Assigned Baa3 (sf)

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

Cl. M-2, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance (AEPB) to incur 2.05% losses in a base case scenario-mean,
a baseline scenario-median loss of 1.72%, and 16.33% losses under a
Aaa stress scenario. The AEPB is the portion of the pool's risk in
force that is not covered by existing quota share reinsurance
through unaffiliated parties. It is the product, for all the
mortgage loans covered by MI policies, of (i) the unpaid principal
balance of each mortgage loan, (ii) the MI coverage percentage, and
(iii) the existing quota share reinsurance percentage. Reinsurance
coverage percentage is 100% minus existing quota share reinsurance
through unaffiliated insurer, if any. By unpaid principal balance,
approximately 24.5% of the pool has zero quota share reinsurance,
70.4% of the pool has 30% reinsurance and 5.1% of the pool has 65%
reinsurance. The ceding insurer has purchased quota share
reinsurance from unaffiliated third parties, which provides
proportional reinsurance protection to the ceding insurer for
certain losses.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
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%
(mean expected losses by 13.4%) and its Aaa losses by 5% to reflect
the likely performance deterioration resulting from a slowdown in
US economic activity beginning in 2020 due to the COVID-19
outbreak.

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

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

Collateral Description

The mortgage loans in the reference pool have an insurance coverage
effective date (in force date) from August 1, 2020 to December 31,
2020 (inclusive, respectfully). The reference pool consists of
195,208 prime, fixed- and adjustable-rate, one- to four-unit,
first-lien fully-amortizing, predominantly conforming mortgage
loans with a total insured loan balance of approximately $55
billion. There are 6,703 loans (4.8% of total unpaid principal
balance) which were not underwritten through GSE guidelines. All
loans in the reference pool had a loan-to-value (LTV) ratio at
origination that was greater than 80% with a weighted average (WA)
of 90.6% (by unpaid principal balance).

By unpaid principal balance, the borrowers in the pool have a WA
FICO score of 751, a WA debt-to-income ratio of 35.0% and a WA
mortgage rate of 3.0%. The WA risk in force (MI coverage percentage
net of existing reinsurance coverage) is approximately 17.2% of the
reference pool unpaid principal balance.100% of insured loans were
covered by mortgage insurance at origination with 97.8% covered by
BPMI and 2.2% covered by LPMI based on risk in force.

Company Overview

MGIC is an insurance company domiciled in the State of Wisconsin.
MGIC received its initial certificate of authority from the
Wisconsin Office of the Commissioner of Insurance in March 1979.
MGIC is one of the leading private mortgage insurers in the
industry. MGIC is an approved mortgage insurer of loans purchased
by Fannie Mae and Freddie Mac, and is licensed in all 50 states,
the District of Columbia and the territories of Puerto Rico and
Guam to issue private mortgage guaranty insurance. MGIC has $238.9
billion of insurance in force as of September 30, 2020, with more
than 4,500 originators and/or servicers utilized MGIC mortgage
insurance in the last 12 months. MGIC is the primary insurance
subsidiary of MGIC Investment Corporation, a Wisconsin corporation
whose stock trades on the New York Stock Exchange under the symbol
"MTG." MGIC Investment Corporation is a holding company which,
through MGIC, MGIC Indemnity Corporation and several other
subsidiaries, is principally engaged in the mortgage insurance
business. MGIC is rated Baa1 (insurance financial strength) by
Moody's with stable outlook.

Underwriting Quality

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

Most applications for mortgage insurance are submitted to MGIC
electronically, and MGIC relies upon the lender's R&Ws that the
data submitted is true and correct when MGIC makes its insurance
decisions. At present, MGIC's underwriting guidelines are broadly
consistent with those of the GSEs. MGIC accepts the underwriting
decisions made by the GSEs' underwriting systems, subject to
certain additional limitations and requirements. MGIC had several
overlays to GSE underwriting requirements which pre-dated Covid-19.
During Covid-19, MGIC added a temporary overlay making cash-out
transactions and investment property no longer eligible for MGIC
insurance.

MGIC's primary mortgage insurance policies are issued through one
of two programs. Lenders submit mortgage loans to MGIC for
insurance either through delegated underwriting or non-delegated
underwriting program. Under the delegated underwriting program,
lenders can submit loans for insurance without MGIC re-underwriting
the loan file. MGIC issues an MI commitment based on the lender's
representation that the loan meets the insurer's underwriting
requirement. Lenders eligible under this program must be
pre-approved by MGIC's risk management group and are subject to
random and targeted internal quality control (QC) reviews. In this
transaction, approximately 73% of the mortgage loans were
originated under a delegated underwriting program.

Under the non-delegated underwriting program, insurance coverage is
approved after underwriting by the insurer. Some customers prefer
MGIC's non-delegated program because MGIC assumes underwriting
responsibility and will not rescind coverage if it makes an
underwriting error, subject to the terms of its master policy. MGIC
seeks to ensure that loans are appropriately underwritten through
QC sampling, loan performance monitoring and training. In this
transaction, approximately 27% of the mortgage loans were
originated under a non-delegated underwriting program.

Overall, the share of delegated and non-delegated underwriting in
this pool is reflective of the corresponding percentage in MGIC's
overall portfolio (approximately 70% and 30%, respectively). MGIC
maintains a primary underwriting center in Milwaukee, Wisconsin,
along with geographically disbursed underwriters. Although MGIC's
employees conduct the substantial majority of its non-delegated
underwriting, from time-to-time, MGIC engages third parties to
assist with certain clerical functions.

As part of its ongoing QC processes, MGIC undertakes QC reviews of
limited samples of mortgage loans that it insures under both
delegated and non-delegated underwriting programs. Through MGIC's
quality control process, it reviews a statistically significant
sample of individual mortgages from its customers to ensure that
the loans accepted through its underwriting processes meet MGIC's
pre-determined eligibility and underwriting criteria. The QC
process allows MGIC to identify trends in lender underwriting and
origination practices, as well as to investigate underlying reasons
for delinquencies, defaults and claims within its portfolio that
are potentially attributable to insurance underwriting process
defects. The information gathered from the QC process is used by
MGIC in its ongoing policy acquisitions and is intended to prevent
continued aggregation of Policies with insurance underwriting
process defects.

Submission of Claims

Unless MGIC has directed the insured to file an accelerated claim,
the master policy requires the insured to submit a claim for loss
no later than 60 days after the earliest of (i) acquiring the
borrower's title to the related property, (ii) an approved sale or
(iii) completion of the foreclosure sale of the property (under the
2014 master policy the insured may elect to file the claim after
expiration of the redemption period).

Prior to claim payment, an investigative underwriter investigates
select claims to review for origination fraud. The investigation
focuses on uncovering facts and evidence related to loan
origination and determines whether certain exclusions from the
master policy apply to a given loan or claim. When the
investigative underwriter finds issues, MGIC may rescind coverage.
When no issues are found, the investigative underwriter will close
the investigation case and release the claim for final processing.
Investigative underwriters analyze the origination documentation as
well as documentation from a variety of sources and determine if
there is a significant defect.

Third-Party Review

MGIC engaged Opus Capital Markets Consultants, LLC to perform a
data analysis and diligence review of a sampling of mortgage loans
files submitted for mortgage insurance. This review included
validation of credit qualifications, verification of presence of
material documentation as applicable to the mortgage insurance
application, updated valuation analysis and comparison, and a
tape-to-file data integrity validation to identify possible data
discrepancies. There was no compliance tested due to the nature of
the review, which was to ensure the mortgage insurance application
met all applicable company guidelines. MGIC is a mono-line mortgage
insurance company not a mortgage lender.

The size of the diligence sample was determined by the third-party
diligence provider using a 95% confidence level applied to the
total pool of 195,208 mortgage loans to be covered by the
reinsurance agreement, a 2% precision interval applied to the
confidence level and a 5% error rate applied to the final result,
with the resulting number rounded up. The diligence sample
consisted of 325 mortgage loans to be covered by the reinsurance
agreement.

The scope of the third-party review is weaker than private label
RMBS transactions because it covers only a limited sample of loans
(0.16% by total loan count in the reference pool) and only includes
credit, data and valuation. There was no compliance tested due to
the nature of the review, which was to ensure the mortgage
insurance application met all applicable company guidelines. MGIC
is a mono-line mortgage insurance company not a mortgage lender. Of
note, approximately 30% of the insured loans in the reference pool
are re-underwritten by the ceding insurer via non-delegated
underwriting program, which mitigates the risk of underwriting
defects. In addition, MI claims paid will not include legal costs
associated with any TRID violations, as the loan originators will
bear these costs. Since the insured pool is predominantly GSE
loans, the GSEs will also conduct their QC review.

After taking into account the (i) third-party due diligence results
for credit and property valuation and (ii) the extent to which the
characteristics of the mortgage loans can be extrapolated from the
error rate and the extent to which such errors and discrepancies
may indicate an increased likelihood of MI losses, Moody's did not
make any further adjustments to our credit enhancement.

R&Ws Framework

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

Transaction Structure

The transaction structure is very similar to other MI CRT
transactions that we have rated. The ceding insurer will retain the
senior coverage level A-H, and the coverage level B-2H at closing.
The offered notes benefit from a sequential pay structure. The
transaction incorporates structural features such as a 12.5-year
bullet maturity and a sequential pay structure for the non-senior
tranches, resulting in a shorter expected WA life on the offered
notes.

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

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. The rated
Class M-1A, Class M-1B, Class M-1C, and Class M-2 offered notes
have credit enhancement levels of 5.7%, 4.5%, 3.5%, and 2.5%,
respectively. The credit risk exposure of the notes depends on the
actual MI losses incurred by the insured pool. MI losses are
allocated in a reverse sequential order starting with the coverage
level B-2H. Investment deficiency amount losses are allocated in a
reverse sequential order starting with the class B-1 notes.

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

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A-H for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75% of coverage level A-H
subordination amount or (ii) the subordinate percentage (or with
respect to the first payment date, the original subordinate
percentage) for that payment date is less than the target CE
percentage (minimum C/E test: 7.50%).

Premium Deposit Account (PDA)

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

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

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

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

Claims Consultant

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

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

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

Down

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

Up

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

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


JAMESTOWN CLO V: Moody's Upgrades Class D Notes From Ba1
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Jamestown CLO V Ltd. (the "CLO" or "Issuer"):

US$28,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2027 (the "Class B-1-R Notes"), Upgraded to Aaa (sf); previously on
June 25, 2019 Upgraded to Aa1 (sf)

US$24,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2027
(the "Class B-2-R Notes"), Upgraded to Aaa (sf); previously on June
25, 2019 Upgraded to Aa1 (sf)

US$19,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2027 (the "Class C-R Notes"), Upgraded to Aa2 (sf);
previously on December 8, 2020 A2 (sf) Placed Under Review for
Possible Upgrade

US$21,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2027 (the "Class D Notes"), Upgraded to Baa3 (sf); previously
on October 2, 2020 Downgraded to Ba1 (sf)

The Class B-1-R Notes, the Class B-2-R Notes, the Class C-R Notes,
and the Class D Notes are referred to herein, collectively, as the
"Upgraded Notes."

These actions conclude the review for upgrade initiated on December
8, 2020 on the Class C-R Notes issued by the CLO. The CLO,
originally issued in December 2014 and partially refinanced in
April 2017, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
January 2019.

RATINGS RATIONALE

The upgrade actions taken on the Upgraded Notes are primarily a
result of applying Moody's revised CLO assumptions described in
"Moody's Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, Moody's now adjust the obligor's Moody's
Default Probability Rating down by one notch if the obligor's
rating is on review for possible downgrade and we make no
adjustments if the obligor's rating has a negative outlook. Based
on these updates, Moody's calculated WARF on the portfolio is now
2939 compared to the WARF of 3381 as reported on trustee's January
2021 report[1].

The upgrade actions are also a result of deleveraging of the senior
notes and an increase in the transaction's over-collateralization
(OC) ratios since September 2020. The Class A-R notes have been
paid down by approximately 44.0% or $47.0 million since then. Based
on the trustee's January 2021 report[2], the OC ratios for the
Class A/B, Class C and Class D notes are reported at 145.88%,
128.05% and 112.81%, respectively, versus September 2020 levels of
138.70%, 123.88% and 110.79%, respectively.

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."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers or the metrics calculated based on the current portfolio.

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

Performing par and principal proceeds balance: $175,752,534

Defaulted Securities: $4,945,967

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2939

Weighted Average Life (WAL): 3.31 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.29%

Weighted Average Recovery Rate (WARR): 48.09%

Par haircut in OC tests and interest diversion test: 1.49%

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 Moody's 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; 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 Ratings:

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

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


JP MORGAN 2021-1: Fitch Assigns Final 'B+' Rating on Cl. B-5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to JP Morgan Mortgage
Trust 2021-1 (JPMMT 2021-1).

DEBT          RATING              PRIOR
----          ------              -----
JPMMT 2021-1

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-3-A   LT  AAAsf  New Rating    AAA(EXP)sf
A-3-X   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-X   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-X   LT  AAAsf  New Rating    AAA(EXP)sf
A-6     LT  AAAsf  New Rating    AAA(EXP)sf
A-6-A   LT  AAAsf  New Rating    AAA(EXP)sf
A-6-X   LT  AAAsf  New Rating    AAA(EXP)sf
A-7     LT  AAAsf  New Rating    AAA(EXP)sf
A-7-A   LT  AAAsf  New Rating    AAA(EXP)sf
A-7-X   LT  AAAsf  New Rating    AAA(EXP)sf
A-8     LT  AAAsf  New Rating    AAA(EXP)sf
A-8-A   LT  AAAsf  New Rating    AAA(EXP)sf
A-8-X   LT  AAAsf  New Rating    AAA(EXP)sf
A-9     LT  AAAsf  New Rating    AAA(EXP)sf
A-9-A   LT  AAAsf  New Rating    AAA(EXP)sf
A-9-X   LT  AAAsf  New Rating    AAA(EXP)sf
A-10    LT  AAAsf  New Rating    AAA(EXP)sf
A-10-A  LT  AAAsf  New Rating    AAA(EXP)sf
A-10-X  LT  AAAsf  New Rating    AAA(EXP)sf
A-11    LT  AAAsf  New Rating    AAA(EXP)sf
A-11-X  LT  AAAsf  New Rating    AAA(EXP)sf
A-11-A  LT  AAAsf  New Rating    AAA(EXP)sf
A-11-AI LT  AAAsf  New Rating    AAA(EXP)sf
A-11-B  LT  AAAsf  New Rating    AAA(EXP)sf
A-11-BI 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-X-1   LT  AAAsf  New Rating    AAA(EXP)sf
A-X-2   LT  AAAsf  New Rating    AAA(EXP)sf
A-X-3   LT  AAAsf  New Rating    AAA(EXP)sf
A-X-4   LT  AAAsf  New Rating    AAA(EXP)sf
B-1     LT  AA-sf  New Rating    AA-(EXP)sf
B-1-A   LT  AA-sf  New Rating    AA-(EXP)sf
B-1-X   LT  AA-sf  New Rating    AA-(EXP)sf
B-2     LT  Asf    New Rating    A(EXP)sf
B-2-A   LT  Asf    New Rating    A(EXP)sf
B-2-X   LT  Asf    New Rating    A(EXP)sf
B-3     LT  BBBsf  New Rating    BBB(EXP)sf
B-4     LT  BB+sf  New Rating    BB+(EXP)sf
B-5     LT  B+sf   New Rating    B+(EXP)sf
B-6     LT  NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 1,121 loans with a total balance
of approximately $1.03 billion as of the cutoff date. The pool
consists of prime quality fixed-rate mortgages (FRMs) from various
mortgage originators. The servicers in the transactions consists of
JP Morgan Chase Bank and various other servicers. Nationstar
Mortgage LLC will be the Master Servicer.

100% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM)
loans.

There is no exposure to LIBOR in this transaction. The collateral
is 100% fixed rate loans, the certificates are fixed rate, based
off of the net WAC, or floating/inverse floating rate based off of
the SOFR index and capped at the net WAC. This is the second
Fitch-rated JPMMT transaction to use SOFR as the index rate for
floating/inverse floating rate certificates.

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The ongoing coronavirus
pandemic and resulting containment efforts have resulted in
revisions to Fitch's GDP estimates for 2020. Fitch's current
baseline Global Economic Outlook for U.S. GDP growth is -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 from floors of 1.0 and
1.5, respectively, to 2.0.

Payment Forbearance (Neutral): As of the cutoff date, none of the
borrowers in the pool are on a coronavirus forbearance plan, but
there were loans that had previously been on a coronavirus
forbearance plan or inquired about a coronavirus forbearance plan,
but continued to make their full contractual payment and were never
considered delinquent.

As of the cut-off date, approximately 1.55% of the borrowers of the
mortgage loans have previously entered into a COVID-19-related
forbearance plan with the related servicer (each of which is no
longer active). However, with respect to each such mortgage loan,
the related borrower had nonetheless made all of the scheduled
payments due during the related forbearance period and was
therefore never delinquent. In addition, approximately 0.60% of the
borrowers of the mortgage loans have also inquired about or
requested forbearance plans with the related servicer but
subsequently declined to enter into any forbearance plan with such
servicer and remain current as of the cut-off date.

Fitch did not make any adjustment to the loans previously on a
COVID-19 forbearance plan, since they continued to make their
payments under the plan (no delinquencies) and the plans are no
longer active.

Any loan that enters a coronavirus forbearance plan between the
cutoff date and the settlement date will be removed from the pool
(at par) within 45 days of closing. For borrowers who enter a
coronavirus forbearance plan post-closing, the principal and
interest (P&I) advancing party will advance P&I during the
forbearance period. If at the end of the forbearance period, the
borrower begins making payments, the advancing party will be
reimbursed from any catch-up payment amount.

If the borrower does not resume making payments, the loan will
likely become modified and the advancing party will be reimbursed
from principal collections on the overall pool. This will likely
result in writedowns to the most subordinate class, which will be
written back up as subsequent recoveries are realized. Since there
will be no borrowers on a coronavirus forbearance plan as of the
closing date and forbearance requests have significantly declined,
Fitch did not increase its loss expectation to address the
potential for writedowns due to reimbursement of servicer
advances.

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30- and 20-year fixed-rate fully amortizing loans.
100% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM)
loans. The loans were made to borrowers with strong credit
profiles, relatively low leverage, and large liquid reserves. The
loans are seasoned an average of 4.6 months according to Fitch. The
pool has a weighted average (WA) original FICO score of 776 (as
determined by Fitch), which is indicative of very high
credit-quality borrowers. Approximately 84% of the loans have a
borrower with an original FICO score above 750. In addition, the
original WA CLTV ratio of 69.7% represents substantial borrower
equity in the property and reduced default risk.

1.5% (16 loans) of the loans in the pool are made to non-permanent
residents. These borrowers have strong current credit score of 762,
DTI of 32.9%, CLTV of 69.9% and average monthly income of $18,333.
These loans were treated as investor occupied in Fitch's analysis.

There are no investor occupied homes in the pool, which Fitch
viewed positively in the analysis. 331 loans in the pool are over
$1 million, and the largest loan is $2.8 million.

Geographic Concentration (Neutral): Approximately 50% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in San Francisco
MSA (14.6%) followed by the Los Angeles MSA (13.3%) and the San
Jose MSA (8.2%). The top three MSAs account for 36.0% of the pool.
As a result, there was a 1.003x adjustment for geographic
concentration which increased the 'AAAsf' expected loss by 0.01%.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): A credit enhancement (CE) or senior
subordination floor of 0.70% 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. A
junior subordination floor of 0.50% has been considered in order to
mitigate potential tail end risk and loss exposure for subordinate
tranches as pool size declines and performance volatility increases
due to adverse loan selection and small loan count concentration.

Full Servicer Advancing (Mixed): The servicers will provide full
advancing for the life of the transaction (the servicer is expected
to advance delinquent P&I on loans that enter a coronavirus
forbearance plan). Although full P&I advancing will provide
liquidity to the certificates, it will also increase the loan-level
loss severity (LS) since the servicer looks to recoup P&I advances
from liquidation proceeds, which results in less recoveries.

Nationstar is the Master Servicer and will advance if the servicer
is not able to. If the Master Servicer is not able to advance, then
the Securities Administrator (Citibank) will advance.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$550,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. JP Morgan has an extensive
operating history in mortgage aggregations and is assessed by Fitch
as an 'Above Average' aggregator. JP Morgan has a developed
sourcing strategy and maintains strong internal controls that
leverage the company's enterprise wide risk management framework.
Approximately 91% of loans are serviced by JP Morgan Chase (Chase),
rated 'RPS1-'. Nationstar is the Master Servicer and will advance
if the servicer is not able to. If the Master Servicer is not able
to advance, then the Securities Administrator (Citibank) will
advance.

Representation and Warranty Framework (Negative): The loan-level
representations and warranties (R&Ws) are mostly consistent with a
higher tier framework, but have knowledge qualifiers without a
clawback provision contributed to its Tier 2 assessment. Fitch
increased its loss expectations 33 bps at the 'AAAsf' rating
category to mitigate the limitations of the framework and the
non-investment-grade counterparty risk of the providers.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by four
different third-party review firms; two firms are assessed by Fitch
as 'Acceptable - Tier 1', and the other two firms are assessed as
'Acceptable - Tier 2'. The review confirmed strong origination
practices; no material exceptions were listed and loans that
received a final 'B' grades were due to non-material exceptions
that were mitigated with strong compensating factors. Fitch applied
a credit for the high percentage of loan level due diligence which
reduced the 'AAAsf' loss expectation by 20 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.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation. The analysis assumes positive home price growth
    of 10%. Excluding the senior class, which is already 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all of the rated classes.

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper market value declines at the
    national level. The analysis assumes market value declines of
    10%, 20%, and 30%, in addition to the model projected 38.5% at
    'AAAsf'. The analysis indicates that there is some potential
    rating migration with higher MVDs for all rated classes,
    compared with the model projection. Specifically, a 10%
    additional decline in home prices would lower all rated
    classes by two or more full categories.

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

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

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 SitusAMC, Clayton, Inglet Blair, and Opus. The
third-party due diligence described in Form 15E focused on four
areas: compliance review, credit review, valuation review, and data
integrity. Fitch considered this information in its analysis and,
as a result, Fitch did not make any adjustments to its analysis.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Clayton, IngletBlair and Opus were engaged to perform the
review. Loans reviewed under this engagement were given compliance,
credit and valuation grades and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Refer to the Third-Party Due Diligence section
for more detail.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

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.


JP MORGAN 2021-2NU: Moody's Rates Class HRR Certificates 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by J.P. Morgan Chase Commercial
Mortgage Securities Trust 2021-2NU, Commercial Mortgage
Pass-Through Certificates, Series 2021-2NU:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa2 (sf)

Cl. HRR, Definitive Rating Assigned Ba1 (sf)

Cl. X-A*, Definitive Rating Assigned Aa1 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single, fixed-rate loan
secured by the borrower's leasehold interest in 2 + U (the
"property"), a 38-story urban office development with street-level
retail space located at 1201 Second Avenue in the central business
district (CBD) of Seattle, WA. Moody's ratings are based on the
credit quality of the loan and the strength of the securitization
structure.

Moody's approach to rating this transaction involved the
application of both our Large Loan and Single Asset/Single Borrower
CMBS methodology and our IO Rating methodology. The rating approach
for securities backed by a single loan compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also consider
a range of qualitative issues as well as the transaction's
structural and legal aspects.

The property is well located in downtown Seattle, within the
Financial District of Seattle's CBD submarket. The submarket has
historically enjoyed an influx of office employees to the immediate
area given its strong tech influence and increasing demand. The
building has good access to major traffic routes, located just
three blocks south of Interstate 5, one block south of the Third
Avenue transit corridor which provides access to the Link Light
Rail and over 200 bus lines. The property also sits at the center
of Seattle's arts, cultural, and entertainment attractions such as
Benaroya Hall, Seattle Art Museum, Pike Place Market and numerous
art galleries.

The property is a newly constructed (2019), 38-story, Class A urban
office development with street-level retail space located in the
heart of the Seattle CBD. The building was designed by Pickard
Chilton and developed by Skanska to a very high level of
specification. LEED Platinum certification is being pursued by the
loan sponsor and is in process. As of November 30, 2020, the
property was approximately 98.9% leased to nine tenants. The tenant
roster is predominately represented by the technology sector and
features creditworthy companies, including Qualtrics (39.2% of NRA;
SAP SE - A2, senior unsecured), Indeed (28.4% of NRA; Recruit
Holdings Co., Ltd - A3, senior unsecured) and Dropbox (17.2% of
NRA; NR).

The securitization consists of a $297,600,000 portion of a
seven-year, interest-only, first lien mortgage loan with an
outstanding principal balance of $457,600,000.

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

The Moody's first-mortgage DSCR is 2.23x and Moody's first-mortgage
stressed DSCR (at a 9.25% constant) is 1.08x. Moody's DSCR is based
on our assessment of the property's stabilized NCF.

The $297,600,000 senior portion of a $457,600,000 whole loan
represents a Moody's LTV of 82.6%. Taking into consideration the
additional subordinate note with a principal balance of
$160,000,000, the total debt Moody's LTV would increase to 127.0%

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's
weighted average property quality grade is 0.75.

Notable strengths of the transaction include: strong location,
asset quality, solid tenant roster, and limited rollover.

Notable concerns of the transaction include: the effects of the
coronavirus, the lack of asset diversification, new supply,
subleasing activity, limited operating history and certain credit
negative loan structure and legal features.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September
2020.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.

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


JPMCC COMMERCIAL 2017-JP5: Fitch Lowers Class E-RR Debt to 'B-'
---------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 13 classes of JPMCC
Commercial Mortgage Securities Trust 2017-JP5.

     DEBT                RATING            PRIOR
     ----                ------            -----
JPMCC 2017-JP5

A-2 46647TAP3      LT  AAAsf  Affirmed     AAAsf
A-3 46647TAQ1      LT  AAAsf  Affirmed     AAAsf
A-4 46647TAR9      LT  AAAsf  Affirmed     AAAsf
A-5 46647TAS7      LT  AAAsf  Affirmed     AAAsf
A-S 46647TAX6      LT  AAAsf  Affirmed     AAAsf
A-SB 46647TAT5     LT  AAAsf  Affirmed     AAAsf
B 46647TAY4        LT  AA-sf  Affirmed     AA-sf
C 46647TAZ1        LT  A-sf   Affirmed     A-sf
D 46647TAA6        LT  BBBsf  Affirmed     BBBsf
D-RR 46647TAC2     LT  BBB-sf Affirmed     BBB-sf
E-RR 46647TAE8     LT  B-sf   Downgrade    BB-sf
X-A 46647TAU2      LT  AAAsf  Affirmed     AAAsf
X-B 46647TAV0      LT  AA-sf  Affirmed     AA-sf
X-C 46647TAW8      LT  A-sf   Affirmed     A-sf

KEY RATING DRIVERS

Increased Loss Expectations: The Downgrade to class E-RR reflects
an increase in loss expectations since Fitch's last rating action
due to a greater number of Fitch Loans of Concern (FLOCs) that have
been affected by the slowdown in economic activity attributed to
the coronavirus pandemic. Sixteen loans (42.4% of pool) are
designated as FLOCs, including four loans (4.9%) in special
servicing.

Fitch's current ratings incorporate a base case loss of 6.70%. The
Negative Outlooks on classes D-RR and E-RR reflect losses that
could reach 8.30% when factoring in additional stresses related to
the coronavirus pandemic, as well as a potential outsized loss on
the Fresno Fashion Fair Mall loan.

FLOCs: The largest increase in loss since the prior rating action
is the Marriott Galleria loan (2.9% of pool), which is secured by a
301-key full-service hotel located in Houston, TX. The loan
transferred to special servicing in May 2020 due to imminent
default as a result of the coronavirus pandemic. The borrower has
indicated it wishes to cooperate with a transfer of the property
back to the lender. A deed-in-lieu is being negotiated given the
moratorium on Texas foreclosures. Occupancy pre-pandemic had
declined to 61.4% as of YE 2019 from 62.9% as of TTM September
2018. Property-level ADR and RevPAR declined to $90 and $147,
respectively, in 2019 from $92 and $149 in 2018 and $94 and $152 in
2017.

The second largest increase in loss is attributed to the Reston
EastPointe loan (3.7%), which is secured by a 194,346-sf suburban
office property located in Reston, VA. Occupancy has declined to
approximately 43% following the largest tenant, Perspecta (55.1% of
NRA), vacating upon its November 2020 lease expiration. Perspecta
previously contributed 64% of total base rent and was paying
significantly above-market rents. As of February 2021, the reserve
accounts for loan allocated for replacement and tenant improvement
and leasing commissions totaled $1.5 million.

The remaining largest tenants include ASRC Federal Holding (18.4%
of NRA, lease expiry in July 2030), Jacobs (7.6%, Feb. 2023),
Excelacom (6.7%, Nov. 2025), Ofinno Technologies (6.5%, Aug. 2025)
and Acclaim Technical Services (3.7%, June 2025). The borrower
indicated existing tenant ASRC Federal Holdings has pre-leased an
additional 1.5% of the NRA.

The overall largest loss in the pool is attributed to the Fresno
Fashion Fair Mall loan (6.7%), which is secured by a 561,989-sf
portion of an 835,416-sf regional mall located in Fresno, CA. Built
in 1970, the property was last renovated in 2006. Non-collateral
tenants include Macy's (Women & Home and Men's & Children's
Stores), BJ's Restaurant & Brewhouse, Chick-fil-A and Fleming's.
The largest collateral tenants include JCPenney (27.4% of NRA,
lease expiry in Nov. 2022), H&M (3.4%, Jan. 2027), Victoria's
Secret (2.6%, Jan. 2027), Cheesecake Factory (1.8%, Jan. 2026) and
ULTA Beauty (1.8%, Aug. 2027). The mall reopened at the end of May
2020, following two months of closure due to coronavirus pandemic
restrictions.

As of the September 2020, occupancy declined to 86.8% from 92.5% at
YE 2019 due to nine smaller tenants vacating upon lease expiration.
Near-term lease rollover consists of 4.4% of the NRA that was
either on month-to-month terms or have leases that expired by YE
2020 (eight tenants, including Apple), 11.5% in 2021 (24 tenants),
31.3% in 2022 (12 tenants), 5.8% in 2023 (12 tenants) and 5.4% in
2024 (17 tenants).

As of TTM September 2020, comparable in-line sales for tenants
under 10,000 sf were $590 psf including Apple and $472 excluding
Apple, down from $765 psf ($617 psf) as of TTM March 2019. Macy's
and JCPenney reported sales of $87 psf and $75 psf, respectively,
as of TTM September 2020, down from $241 psf and $230 psf as of TTM
March 2019. Fitch's base case loss expectation applies a 9.50% cap
rate and a 15% total haircut to YE 2019 NOI given the recent
occupancy decline and near-term lease rollover concerns.

Additional Stresses Applied due to Coronavirus Exposure: Eleven
loans (19.5%) are secured by retail properties and eight loans
(19.3%) are secured by hotel properties. Fitch applied additional
coronavirus-related stresses to two retail loans (3.5%) and four
hotel loans (4.0%); these additional stresses contributed to the
Negative Rating Outlooks on classes D-RR and E-RR.

Alternative Loss Consideration: Fitch applied an additional
sensitivity scenario that considered a potential outsized loss of
35% on the Fresno Fashion Fair Mall loan due to a decrease in
commerce and tourism amid the coronavirus pandemic and the
potential for a more prolonged impact on overall mall performance.
The sensitivity loss reflects an implied cap rate of 12.3% to YE
2019 NOI. This additional sensitivity contributed to the Negative
Rating Outlook on classes D-RR and E-RR.

Increased Credit Enhancement (CE): As of the January 2021
remittance reporting, the pool's aggregate principal balance was
reduced by 5.1% to $1.04 billion from $1.09 billion at issuance.
The pool has incurred $105,688 in realized losses to date from the
disposition of the St. Albans & Camino Commons loan in July 2020.
One loan (0.5%) is fully defeased. Seven loans (29.7%) are
full-term, IO, three loans (9.1%) remain in their partial IO period
and the remaining 30 loans (61.2%) are amortizing. Loan maturities
include two loans in 2022 (6.6%), one loan in 2023 (3.7%), seven
loans in 2026 (24.2%) and 30 loans in 2027 (65.5%).

RATING SENSITIVITIES

The Negative Outlooks on classes D-RR and E-RR reflect the
potential for Downgrade based on the additional sensitivity
scenario performed on the Fresno Fashion Fair Mall loan and
concerns associated with the performance of the FLOCs and ultimate
impact of the coronavirus pandemic. The Stable Outlooks on classes
A-2, A-3, A-4, A-5, A-SB, A-S, B, C, D, X-A, X-B and X-C reflect
increased CE since issuance and continued expected amortization.

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

-- Sensitivity factors that lead to Upgrades would include stable
    to improved asset performance, particularly on the FLOCs,
    coupled with additional paydown and/or defeasance. Upgrades to
    classes B, C, X-B and X-C would occur with significant
    improvement in CE and/or defeasance and with the stabilization
    of performance on the FLOCs and/or the properties affected by
    the coronavirus pandemic; however, adverse selection and
    increased concentrations could cause this trend to reverse.

-- An Upgrade to class D would also take into account these
    factors, but would be limited based on sensitivity to
    concentrations or the potential for future concentration.
    Classes would not be upgraded above 'Asf' if interest
    shortfalls are likely. Upgrades to classes D-RR and E-RR are
    not likely until the later years in the transaction and only
    if the performance of the remaining pool is stable and/or
    properties vulnerable to the coronavirus return to pre
    pandemic levels, and there is sufficient CE.

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, A
    3, A-4, A-5, A-SB, A-S, B, X-A and X-B are not likely due to
    the position in the capital structure, but may occur should
    interest shortfalls affect these classes.

-- Downgrades to classes C, X-C and D are possible should
    expected losses for the pool increase significantly and/or the
    Fresno Fashion Fair Mall loan incur an outsized loss, which
    would erode CE. Downgrades to classes D-RR and E-RR are
    possible if performance of the FLOCs or loans susceptible to
    the coronavirus pandemic not stabilize and/or additional loans
    default or transfer to special servicing.

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

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.


KKR CLO 13: Moody's Raises $21MM Class E-R Notes to Ba3
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by KKR CLO 13 Ltd. (the "CLO" or "Issuer"):

US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-R Notes"), Upgraded to Aa3 (sf);
previously on December 8, 2020 A1 (sf) Placed Under Review for
Possible Upgrade

US$24,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-R Notes"), Upgraded to Baa1 (sf);
previously on December 8, 2020 Baa2 (sf) Placed Under Review for
Possible Upgrade

US$21,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class E-R Notes"), Upgraded to Ba3 (sf);
previously on June 12, 2020 Downgraded to B1 (sf)

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

This action concludes the review for upgrade initiated on December
8, 2020 on the Class C-R and Class D-R Notes issued by the CLO. The
CLO, originally issued in December 2015 and refinanced in March
2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
January 2020.

RATINGS RATIONALE

The upgrade action taken on the Upgraded Notes is primarily a
result of applying Moody's revised CLO assumptions described in
"Moody's Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, Moody's adjust the obligor's Moody's Default
Probability Rating down by one notch if the obligor's rating is on
review for possible downgrade and Moody's make no adjustments if
the obligor's rating has a negative outlook. Based on these
updates, Moody's calculated WARF on the portfolio is now 3098
compared to the WARF of 3524 as reported on trustee's December 2020
report [1].

The upgrade action is also a result of deleveraging of the senior
notes and an increase in the transaction's over-collateralization
(OC) ratios since June 2020. The Class A-1A-R notes have been paid
down by approximately 15.8% or $40.0 million since that time. Based
on the trustee's December 2020 report [2], the OC ratios for the
Class A/B, Class C, Class D, and Class E notes are reported at
130.77%, 121.97%, 112.85%, and 105.92%, respectively, versus June
2020 [3] levels of 126.14%, 118.21, 109.91, and 103.56%,
respectively.

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."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers or the metrics calculated based on the current portfolio.

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

Performing par and principal proceeds balance: $348,382,136

Defaulted Securities: $4,755,513

Diversity Score: 64

Weighted Average Rating Factor (WARF): 3098

Weighted Average Life (WAL): 3.50 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.50%

Weighted Average Recovery Rate (WARR): 48.43%

Par haircut in OC tests and interest diversion test: 1.60%

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; 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 Ratings:

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

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


KKR CLO 29: S&P Assigns Prelim B- (sf) Rating on Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to KKR CLO 29
Ltd./KKR CLO 29 LLC'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 preliminary ratings are based on information as of Feb. 5,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary 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.

  Preliminary Ratings Assigned

  KKR CLO 29 Ltd./KKR CLO 29 LLC

  Class A, $248.0 million: AAA (sf)
  Class B, $56.0 million: AA (sf)
  Class C (deferrable), $24.0 million: A (sf)
  Class D (deferrable), $22.0 million: BBB- (sf)
  Class E (deferrable), $15.0 million: BB- (sf)
  Class F (deferrable)(i), $4.0 million: B- (sf)
  Subordinated notes, $37.3 million: Not rated.


KKR INDUSTRIAL 2021-KDIP: DBRS Finalizes B (low) Rating on G Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2021-KDIP issued by KKR Industrial Portfolio Trust 2021-KDIP:

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

All trends are Stable.

DBRS Morningstar discontinued and withdrew its ratings on the Class
X-CP, X-FP, and X-EXT interest-only (IO) certificates initially
contemplated in the offering documents, as they were removed from
the transaction.

KKR Industrial Portfolio Trust 2021-KDIP is a
single-asset/single-borrower transaction that is collateralized by
the borrower's fee-simple interest in 96 industrial properties
totaling approximately 10.9 million square feet. DBRS Morningstar
continues to take a favorable view on the long-term growth and
stability of the warehouse and logistics sector, despite the
uncertainty and risk that the Coronavirus Disease (COVID-19)
pandemic has created across all commercial real estate asset
classes. The reliance on e-commerce and home delivery during the
pandemic has only accelerated pre-pandemic consumer trends, and
DBRS Morningstar believes that retail's loss continues to be
industrial's gain. The portfolio benefits from both tenant
granularity and largely last-mile urban infill property locations,
both of which contribute to potential cash flow stability over
time.

The portfolio has a property Herfindahl score of 50.9 by allocated
loan amount (ALA), which is in line with other single-borrower
industrial portfolios. The properties are located across nine U.S.
states in multiple regions, and the portfolio also exhibits both
tenant diversity and granularity. No tenant currently accounts for
more than 3.3% of in-place base rent and no property accounts for
more than 5.3% of net operating income. Additionally, the portfolio
benefits from its position in several strong-performing industrial
markets, including Chicago, Dallas/Fort Worth, and Atlanta. While
these markets demonstrate slightly elevated average vacancy rates
of 9.0%, 8.9%, and 12.5%, respectively, they are forecast to
decline by 8.3%, 4.8%, and 10.5%, respectively, according to Reis.

The portfolio primarily consists of last-mile logistics properties
in infill locations within their respective markets. Infill markets
generally benefit from less new supply because of a scarcity of
developable land, and zoning ordinances that restrict industrial
development in suburban areas to business parks and away from
residential and other commercial use. Because required delivery
times have shortened for many online retailers and e-commerce
companies, they have begun leasing smaller warehouse and
distribution spaces closer to dense consumer bases. Furthermore,
the portfolio exhibits a moderate WA DBRS Morningstar Market Rank
of 3.3. The portfolio comprises 19.3% of ALA in MSA 0, 66.2% of ALA
in MSA 1, 6.7% of ALA in MSA 2, and 7.8% of ALA in MSA 3.

The portfolio has been largely unaffected by the immediate-term
disruptions from the coronavirus pandemic, with collections of
98.9% as of November 2020. Furthermore, DBRS Morningstar believes
that industrial properties are among the best positioned to weather
any short- and medium-term market dislocations related to the
pandemic. The portfolio demonstrates strong occupancy of 96.6% as
of the November 2020 rent roll and has an average occupancy of
94.0% since 2018. The subject portfolio exhibits stronger occupancy
relative to comparable industrial portfolios analyzed by DBRS
Morningstar.

The borrower contributed approximately $300.4 million of fresh
equity into the transaction, representing 33.4% of the $989.5
million acquisition price. Acquisition financing involving a
significant amount of equity provides a buffer against potential
losses to the trust and is viewed as credit positive.

The sponsor for this transaction is KKR Real Estate Partners
Americas II L.P., an affiliate KKR & Co. Inc. (KKR), a global
investment firm with more than $233.8 billion in assets under
management as of September 2020. In 2018, KKR founded Alpha
Industrial Properties (AIP), which is an operator of industrial
logistics and distribution properties across the U.S.

Leases representing 61.4% of DBRS Morningstar's gross rent are
scheduled to roll through the fully extended loan term. The
rollover is especially concentrated in 2022 and 2024, when 15.7%
and 16.6% of the gross rent is scheduled to expire, respectively.
Significant portfolio rollover typically indicates the potential
for future cash flow volatility, particularly if market rents or
occupancy rates have become less favorable.

The portfolio will be encumbered by $45 million in mezzanine debt,
which represents approximately 4.3% of the total financing package.
While the mezzanine loan is not collateralized directly by any
trust assets (but is collateralized by a pledge of 100% of the
indirect equity interest in the mortgage loan borrowers) and there
is an intercreditor agreement, it is still a form of subordinate
debt that the sponsor must service.

The loan allows for pro rata paydowns for the first 25% of the
original principal balance. The loan has a partial pro
rata/sequential-pay structure. We consider this structure to be
credit negative, particularly at the top of the capital stack.
Under a partial pro rata structure, deleveraging of the senior
notes through the release of individual properties occurs at a
slower pace as compared with a sequential-pay structure and DBRS
Morningstar applied a penalty to the transaction's capital
structure.

The borrower/sponsor/arranger can release individual properties
with customary debt yield and LTV tests. The prepayment premium for
the release of individual assets is 105% of the ALA (aggregate
prior releases must not exceed 15.0% of the original principal
balance) and 110% of the ALA for the release of individual assets
thereafter. As these release premiums are designed to reduce the
risk of adverse selection over time, DBRS Morningstar considers the
release premium to be weaker than a generally credit-neutral
standard of 115%. Additionally, the borrower may release one or
more pre-approved release parcels at a release price equal to
100.0% of the applicable allocated loan amount, provided the
release of the properties does not exceed 10.0% of the original
principal balance. DBRS Morningstar applied a penalty to the
transaction's capital structure to account for the weak
deleveraging premium.

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


LOANCORE 2021-CRE4: DBRS Gives Prov. B (low) Rating on Cl. G Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by LoanCore 2021-CRE4 Issuer Ltd.:

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

The initial collateral consists of 16 floating-rate mortgages
secured by 22 mostly transitional properties with a cut-off balance
totaling approximately $600.4 million, excluding approximately
$79.4 million of future funding commitments and $30.0 million of
funded companion participations. Most loans are in a period of
transition with plans to stabilize and improve the asset value. The
collateral pool for the transaction is static with no ramp-up or
reinvestment period; however, during the Replenishment Period, the
issuer may acquire funded Future Funding Participations and
permitted Funded Companion Participations with principal repayment
proceeds. The transaction will have a sequential-pay structure.
Interest can be deferred for Note F and Note G and interest
deferral will not result in an event of default.

All the loans in the pool have floating interest rates initially
indexed to Libor and are interest only through their initial terms.
As such, to determine a stressed interest rate over the loan term,
DBRS Morningstar used the one-month Libor index, which was the
lower of DBRS Morningstar's stressed rates that corresponded to the
remaining fully extended term of the loans and the strike price of
the interest rate cap with the respective contractual loan spread
added. When the fully funded loan balances were measured against
the DBRS Morningstar As-Is Net Cash Flow (NCF), nine loans,
comprising 53% of the initial pool balance, had a DBRS Morningstar
As-Is debt service ratio (DSCR) below 1.00 times (x), a threshold
indicative of elevated term default risk. Additionally, the DBRS
Morningstar Stabilized DSCR for five loans, comprising 23.7% of the
fully-funded pool balance, is below 1.00x, which is indicative of
elevated refinance risk. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other loan structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets to
stabilize above market levels.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and the 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, affected
more immediately. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis; for example,
by front-loading default expectations and/or assessing the
liquidity position of a structured finance transaction with more
stressful operational risk and/or cash flow timing considerations.

Per the issuer, five loans were granted forbearances and/or loan
modifications in connection with the coronavirus pandemic (One
Whitehall, The Parking REIT Portfolio, University Square, Parke
Green, and 1404-1408 3rd Street Promenade), representing a combined
29% of the cut-off date pool balance. The majority of the
forbearances and modifications were short term in nature and
included deferment or reductions on the Libor rates, waiver of
monthly reserves, and/or reapplication of reserves to cover
operating or other shortfalls caused by the pandemic. All payment
deferments are required to be replenished or paid back within a
year. Some modifications also included loan extensions from the
initial terms. In addition, some tenants at certain properties have
also requested rent relief and such requests are being considered
on a case-by-case basis between the landlords and tenants.

The properties are primarily located in core markets with the
overall pool's weighted-average (WA) DBRS Morningstar Market Rank
at 5.3, which is indicative of highly liquid, urban markets. Four
loans, totaling 19.3% of the pool, are in markets with a DBRS
Morningstar Market Rank of 8. These markets generally benefit from
increased liquidity that is driven by consistently strong investor
demand, and therefore tend to benefit from lower default
frequencies than less-dense suburban, tertiary, or rural markets.
Two loans, totaling 9.4% of the pool, are in markets with a DBRS
Morningstar Market Rank of 7 or 6. The market ranks correspond to
zip codes that are more urbanized in nature.

Two loans in the pool, totaling 16.2% of the total pool balance,
are backed by a property with a quality DBRS Morningstar deemed to
be Above Average. DBRS Morningstar provides for a lower probability
of default for higher quality collateral. Furthermore, two loans,
totaling 9.9% of the pool, are backed by properties considered to
have Average + property quality.

The borrowers of all 22 loans have purchased Libor rate caps
ranging between 1.9% and 4.0% to protect against rising interest
rates over the term of the loan. The WA remaining fully extended
term is 40.3 months, which allows the sponsors time to execute
their business plans without risk of imminent maturity.

All loans have floating interest rates with original-term ranges
from 24 months to 48 months, creating interest rate risk. All loans
have interest rate caps ranging from 1.95% to 4.0% to protect
against interest rate risk through the duration of the loan term.
In addition to the fulfillment of certain minimum performance
requirements, exercise of any extension options would also require
the repurchase of interest rate cap protection through the duration
of the respectively exercised options. Furthermore, DBRS
Morningstar applied the lesser of the interest rate cap or the DBRS
Morningstar-stressed forward interest rate based on the Unified
Interest Rate Model. Of the 16 loans, 15, representing 97.5% of the
trust balance, have extension options. In order to qualify for
these options, the loans must meet certain requirements, including
but not limited to minimum DSCR and loan-to-value (LTV)
requirements. One property, 60 Tenth Avenue, representing 2.5% of
the trust balance, has a current maturity of March 9, 2023, and has
no extension option.

The overall WA DBRS Morningstar As-Is DSCR of 0.74x and WA As-Is
LTV of 83.2% are generally reflective of high-leverage financing.
The DBRS Morningstar As-Is DSCR is based on the DBRS Morningstar
In-Place NCF and debt service calculated using a stressed interest
rate. The WA stressed rate used is 4.9%, which is greater than the
current WA interest rate of 3.4% (based on WA mortgage spread and
an assumed 0.16% one-month Libor index). When measured against the
DBRS Morningstar Stabilized NCF, the WA DBRS Morningstar
As-Stabilized DSCR is estimated to improve to 1.24x, suggesting the
properties are likely to have improved NCFs, assuming completion of
the sponsor's business plan. DBRS Morningstar associates its loss
severity given default (LGD) based on the assets' as-is LTV, which
does not assume that the stabilization plan and cash flow growth
will ever materialize but does account for the loan having been
fully funded.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the current in-place cash flow.
There is a possibility that the sponsors will not execute their
business plans as expected and that the higher stabilized cash flow
will not materialize during the loan term, particularly with the
ongoing coronavirus pandemic and its impact on the overall economy.
Failure to execute the business plan could result in a term default
or the inability to refinance the fully-funded loan balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plan to be rational
and the future funding amounts to be sufficient to execute such
plans. In addition, DBRS Morningstar analyzes LGD based on the DBRS
Morningstar As-Is LTV assuming the loan is fully funded.

Nine loans, totaling 58.9% of the initial pool balance, represent
refinance transactions. The refinancing within this securitization
generally does not require the respective sponsor(s) to contribute
material cash equity as a source of funding in conjunction with the
mortgage loan, resulting in a lower sponsor cost basis in the
underlying collateral. Only two of the nine refinance loans,
representing 10.9% of the pool, have a current occupancy of less
than 80.0% and three of the refinance loans account for $23.3
million of the $79.4 million of future funding. This suggests that
most of the refinance loans are near stabilization, which would
mitigate the higher risk associated with a sponsor's lower cost
basis.

The 16-loan pool is concentrated by commercial real estate
collateralized loan obligation standards with a low Herfindahl
score of 13.7. Furthermore, the top 10 loans represent 80.1% of the
pool. The 16 loans are secured by 22 properties located across 10
states and the properties are primarily located in core markets
with the overall pool's WA DBRS Morningstar Market Rank at 5.3.

The transaction has significant exposures to office (20.6%) and
retail (36.4%) with a smaller concentration in retail/office
mixed-use (6%) properties, which, in aggregate, account for 63% of
the trust balance. Office and retail property types have
experienced considerable disruption as a result of the coronavirus
pandemic with mandatory closures, stay-at-home orders, retail
bankruptcies, and consumer shifts to online purchasing. To account
for the elevated risk, DBRS Morningstar typically analyzes retail
(more specifically, unanchored retail) and office properties with
higher probabilities of default and LGDs compared with other
property types. For certain retail properties, DBRS Morningstar did
not include upside from the sponsor's business plan or accepted
only minimal upside.

The transaction will likely be subject to a benchmark rate
replacement, which will depend on the availability of various
alternative benchmarks. The current selected benchmark is the
Secured Overnight Financing Rate (SOFR). Term SOFR, which is
expected to be a forward-looking term rate comparable with Libor,
is the first alternative benchmark replacement rate but it is
currently being developed. There is no assurance that the Term SOFR
development will be completed or that it will be widely endorsed
and adopted. This could lead to volatility in the interest rate on
the mortgage assets and floating-rate notes. The transaction could
be exposed to a timing mismatch between the notes and the
underlying mortgage assets as a result of the mortgage benchmark
rates adjusting on different dates than the benchmark on the note,
or a mismatch between the benchmark and/or the benchmark
replacement adjustment (if any) applicable to the mortgage loans.
In order to compensate for differences between the successor
benchmark rate and the then-current benchmark rate, a benchmark
replacement adjustment has been contemplated in the indenture as a
way to compensate for the rate change. Currently, Wells Fargo Bank,
National Association in its capacity as Designated Transaction
Representative will generally be responsible for handling any
benchmark rate change and will only be held to a gross negligence
standard with regard to any liability for its actions.

DBRS Morningstar notes that the Designated Transaction
Representative parties in transactions have been negotiating a
gross negligence standard of care and recently added a liquidated
damages provision for 1.5x the indemnified expenses. While this may
be understandable given the unknowns associated with termination of
Libor, it could have an impact by increasing expenses.

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


MARATHON CLO XIII: Moody's Confirms Ba1 Rating on Class C Notes
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Marathon CLO XIII Ltd. (the "CLO" or
"Issuer"):

US$17,125,000 Class B-L Senior Secured Deferrable Floating Rate
Notes due 2032 (the "Class B-L Notes"), Confirmed at A3 (sf);
previously on December 8, 2020 A3 (sf) Placed Under Review for
Possible Upgrade

US$7,125,000 Class B-F Senior Secured Deferrable Fixed Rate Notes
due 2032 (the "Class B-F Notes"), Confirmed at A3 (sf); previously
on December 8, 2020 A3 (sf) Placed Under Review for Possible
Upgrade

US$30,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class C Notes"), Confirmed at Ba1 (sf); previously
on December 8, 2020 Ba1 (sf) Placed Under Review for Possible
Upgrade

The Class B-L Notes, the Class B-F Notes, and the Class C Notes are
referred to herein, collectively, as the "Confirmed Notes."

These actions conclude the reviews for upgrades initiated on
December 8, 2020 on the Class B-L Notes, Class B-F Notes, and the
Class C 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 on July 2024.

RATINGS RATIONALE

Moody's confirmed the ratings on the Confirmed Notes due to its
determination that their expected losses (ELs) continue to be
consistent with the notes' current ratings after taking into
account the CLO's latest portfolio, over-collateralization (OC)
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."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers or the metrics calculated based on the current portfolio.

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

Performing par and principal proceeds balance: $485,307,603

Defaulted Securities: $4,020,077

Diversity Score: 78

Weighted Average Rating Factor (WARF): 3156

Weighted Average Life (WAL): 5.59 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.94%

Weighted Average Recovery Rate (WARR): 47.72%

Par haircut in OC tests and interest diversion test: 0.37%

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 Moody's 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 Moody's forecasts is unusually high.

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

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

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

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


MELLO WAREHOUSE 2021-1: Moody's Gives B2 Ratings on 2 Note Classes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of notes issued by Mello Warehouse Securitization Trust
2021-1 (the transaction). The ratings range from Aaa (sf) to B2
(sf). The securities in this transaction are backed by a revolving
pool of newly originated first-lien, fixed rate and adjustable
rate, residential mortgage loans which are eligible for purchase by
Fannie Mae, Freddie Mac or in accordance with the criteria of
Ginnie Mae for the guarantee of securities backed by mortgage loans
to be pooled in connection with the issuance of Ginnie Mae
securities. The pool may also include FHA Streamline mortgage loans
or VA-IRRR mortgage Loans, which may have limited valuation and
documentation. The revolving pool has a total size of
$500,000,000.

The complete rating action are as follows.

Issuer: Mello Warehouse Securitization Trust 2021-1

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa2 (sf)

Cl. C, Definitive Rating Assigned A2 (sf)

Cl. D, Definitive Rating Assigned Baa1 (sf)

Cl. E, Definitive Rating Assigned Baa3 (sf)

Cl. F, Definitive Rating Assigned B2 (sf)

Cl. G, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

The transaction is based on a repurchase agreement between
loanDepot.com, LLC, as repo seller, and Mello Warehouse
Securitization Trust 2021-1 as buyer. LD Holdings Group, LLC ("LD
Holdings", senior unsecured rating B2) guarantees loanDepot's
payment obligations under the securitization's repurchase
agreement.

Moody's base its Aaa expected losses of 27.22% and base case
expected losses of 3.82% on a scenario in which loanDepot and the
guarantor LD Holdings does not pay the aggregate repurchase price
to pay off the notes at the end of the facility's three-year
revolving term, and the repayment of the notes will depend on the
credit performance of the remaining static pool of mortgage loans.
To assess the credit quality of the static pool, Moody's created a
hypothetical adverse pool based on the facility's eligibility
criteria, which includes no more than 5% (by unpaid balance)
adjustable-rate mortgage (ARM) loans. Loans which are subject to
payment forbearance, a trial modification, or delinquency are
ineligible to enter the facility. Moody's analyzed the pool using
its US MILAN model and made additional pool level adjustments to
account for risks related to (i) a weak representation and warranty
enforcement framework (ii) existence of compliance findings related
to the TILA-RESPA Integrated Disclosure (TRID) Rule in third-party
diligence reports from prior Mello Warehouse Securitization Trust
transactions, which have raised concerns about potential losses
owing to TRID for the loans in this transaction. The final rating
levels are based on Moody's evaluation of the credit quality of the
collateral as well as the transaction's structural and legal
framework.

The ratings on the notes are the higher of (i) the repo guarantor's
(LD Holdings Group, LLC) rating and (ii) the rating of the notes
based on the credit quality of the mortgage loans backing the notes
(i.e., absent consideration of the repo guarantor). If the repo
guarantor does not satisfy its obligations under the guaranty, then
the ratings on the notes will only reflect the credit quality of
the mortgage loans backing the notes.

Collateral Description:

The mortgage loans will be newly originated, first-lien, fixed-rate
and adjustable rate mortgage loans that also comply with the
eligibility criteria set forth in the master repurchase agreement.
The aggregate principal balance of the purchased loans at closing
will be $500,000,000. Per the transaction documents, the mortgage
pool will have a minimum weighted average FICO of 730 and a maximum
weighted average LTV of 82%.

The ultimate composition of the pool of mortgage loans remaining in
the facility at the end of the three-year term upon default of
loanDepot is unknown. Moody's modeled this risk through evaluating
the credit risk of an adverse pool constructed using the
eligibility criteria. In generating the adverse pool: 1) Moody's
assumed the worst numerical value from the criteria range for each
loan characteristic. For example, the credit score of the loans is
not less than 660 and the weighted average credit score of the
purchased mortgage loans is not less than 730; the maximum
debt-to-income ratio is 50% in the adverse pool (per eligibility
criteria); 2) Moody's assumed risk layering for the loans in the
pool within the eligibility criteria. For example, loans with the
highest LTV also had the lowest FICO to the extent permitted by the
eligibility criteria; 3) Moody's took into account the specified
restrictions in the eligibility criteria such as the weighted
average LTV and FICO; 4) Since these loans are eligible for
purchase by the agencies, Moody's also took into account the
specified restrictions in the underwriting criteria. For example,
no more than 97% LTV for fixed rate purchased loans and 95% for
adjustable rate purchase loans.

The transaction allows the warehouse facility to include up to 50%
(consistent with the prior deal) of mortgage loans (by outstanding
principal balance) whose collateral documents have not yet been
delivered to the custodian (wet loans). This transaction is more
vulnerable to the risk of losses owing to fraud from wet loans
during the time it does not hold the collateral documents. There
are risks that a settlement agent will fail to deliver the mortgage
loan files after receipt of funds, or the sponsor of the
securitization, either by committing fraud or by mistake, will
pledge the same mortgage loan to multiple warehouse lenders.
However, Moody's analysis has considered several operational
mitigants to reduce such risks, including (i) collateral documents
must be delivered to the custodian within 10 business days
following a wet loan's funding or it becomes ineligible, (ii) the
transaction will only fund a wet loan if the closing of the
mortgage loan is handled by a settlement agent (covered by errors
and omissions insurance policy) who will provide a closing
protection letter to the repo seller (except for attorney closings
in the State of New York), (iii) the repo seller maintains a
fidelity bond in place, naming the issuer as an additional insured
party, in the event of fraud in connection with the closing of the
wet loans, (iv) the repo seller has acquired services of an
independent third party fraud detection and verification vendor,
PitchPoint Solutions Inc. (settlement agent vendor), to verify
credentials of settlement agents and the bank accounts for wires in
connection with the funding of such wet loans, and (v) Deutsche
Bank National Trust Company (Baa1), a highly rated independent
counterparty, act as the mortgage loan custodian. Moody's view
these mitigants as adequate measures to prevent the likelihood of
fraud by the settlement agent or the sponsor.

The loans will be originated and serviced by loanDepot.com, LLC
(loanDepot). U.S. Bank National Association will be the standby
servicer. Moody's considers the overall servicing arrangement for
this pool to be adequate. At the transaction closing date, the
servicer acknowledges that it is servicing the purchased loans for
the joint benefit of the issuer and the indenture trustee.

Transaction Structure:

Moody's analysis of the securitization structure includes reviewing
bankruptcy remoteness, assessing the ability of the indenture
trustee to take possession of the collateral in an event of
default, conformity of the collateral with the eligibility criteria
as well as allocation of funds to the notes.

The transaction is structured as a master repurchase agreement
between loanDepot (the repo seller) and the Mello Warehouse
Securitization Trust 2021-1 (the trust or issuer). The U.S.
Bankruptcy Code provides repurchase agreements, security contracts
and master netting agreements a "safe harbor" from the Bankruptcy
Code automatic stay. Due to this safe harbor, in the event of a
bankruptcy of loanDepot or the guarantor, the issuer will be exempt
from the automatic stay and thus, the issuer will be able to
exercise remedies under the master repurchase agreement, which
includes seizing the collateral.

During the revolving period, the repo seller's obligations will
include making timely payments of interest accrued on the notes as
well as the aggregate monthly fees. Failure to make such payments
will constitute a repo trigger event whereby the indenture trustee
will seize the collateral and terminate the repo agreement. It is
expected that the notes will not receive payments of principal
until the expected maturity date or after the occurrence and
continuance of an event of default under the indenture unless the
repo seller makes an optional prepayment. In an event of default,
principal will be distributed sequentially amongst the classes.
Realized losses will be allocated in a reverse sequential order.

In addition, since the pool may consist of both fixed rate and
adjustable rate mortgages, the transaction may be exposed to
potential risk from interest rate mismatch. To account for the
mismatch, Moody's assumed a stressed LIBOR curve by increasing the
one-month LIBOR rate incrementally for a certain period until it
reaches the maximum allowable interest rate as described in the
transaction documents.

Ongoing Due Diligence

During the revolving period, Clayton Services LLC (or a qualified
successor diligence provider appointed by the repo seller) will
conduct ongoing due diligence every 90 days on 100 randomly
selected loans (other than wet loans). The first review will be
performed 30 days following the closing date. The scope of the
review will include credit underwriting, regulatory compliance,
valuation and data integrity.

Because Moody's analysis is based on a scenario in which the
facility terms out, due diligence reviews provide some control on
the credit quality of the collateral. The due diligence framework
in this transaction combined with the collateral eligibility
controls help mitigate the risks of adverse selection in this
transaction.

While the due diligence review will provide some validation on the
quality of the loans, it may not be fully representative of the
collateral quality of the facility at all times. This is mainly due
to the frequency of the due diligence review, the revolving nature
of the collateral pool, and that the review will be conducted on a
sample basis. Also, by the time the due diligence review is
completed, some of the sampled loans may no longer be in the pool.

Representation and Warranties

For a mortgage loan to qualify as an eligible mortgage loan, the
loan must meet representations and warranties described in the
repurchase agreement. The substance of the representations and
warranties are consistent with those in our published criteria for
representations and warranties for U.S. RMBS transactions. After a
repo event of default, which includes the repo seller or buyer's
failure to purchase or repurchase mortgage loans from the facility,
the repo seller or buyer's failure to perform its obligations or
comply with stipulations in the master repurchase agreement,
bankruptcy or insolvency of the buyer or the repo seller, any
breach of covenant or agreement that is not cured within the
required period of time, as well as the repo seller's failure to
pay price differential when due and payable pursuant to the master
repurchase agreement, a delinquent loan reviewer will conduct a
review of loans that are more than 120 days delinquent to identify
any breaches of the representations and warranties provided by the
underlying sellers. Loans that breach the representations and
warranties will be put back to the repo seller for repurchase.

While the transaction has the above described representation and
warranties enforcement mechanism, in the amortization period, after
an event of default where the repo seller did not pay the notes in
full, it is unlikely that the repo seller will repurchase the
loans. In addition, the noteholders (holding 100% of the aggregate
principal amount of all notes) may waive the requirement to appoint
such delinquent loan reviewer.

Elevated social risks associated with the coronavirus

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 Moody's 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.

Moody's have not made any adjustments related to coronavirus for
this transaction because (i) loans that are subject to payment
forbearance or a trial modification are ineligible to enter the
facility, and the repo seller must repurchase loans in the facility
that become subject to forbearance, (ii) delinquent loans are
ineligible to enter the facility, and (iii) loans are unlikely to
be modified while in the facility due to the seasoning constraint
specified in the eligibility criteria. The repo seller will be
required to repurchase any loans that do not meet the "eligible
loan" criteria.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings 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 the state of the housing
market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above our original expectations as
a result of a weaker collateral composition than that in the
adverse pool, financial distress of any of the counterparties.
Transaction performance also depends greatly on the US macro
economy and housing market.

Methodology

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


MILL CITY 2020-NMR1: DBRS Gives Prov. B(high) Rating on 3 Classes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgaged-Backed Securities, Series 2020-NMR1 issued by Mill City
Mortgage Loan Trust 2021-NMR1:

-- $40.3 million Class A1A at AAA (sf)
-- $120.9 million Class A1B at AAA (sf)
-- $161.2 million Class A1 at AAA (sf)
-- $190.9 million Class A2 at AA (high) (sf)
-- $209.8 million Class A3 at A (high) (sf)
-- $226.1 million Class A4 at BBB (high) (sf)
-- $29.7 million Class M1 at AA (high) (sf)
-- $18.9 million Class M2 at A (high) (sf)
-- $8.1 million Class M3A at BBB (high) (sf)
-- $8.1 million Class M3B at BBB (high) (sf)
-- $16.3 million Class M3 at BBB (high) (sf)
-- $6.8 million Class B1A at BB (high) (sf)
-- $6.8 million Class B1B at BB (high) (sf)
-- $13.6 million Class B1 at BB (high) (sf)
-- $6.3 million Class B2A at B (high) (sf)
-- $6.3 million Class B2B at B (high) (sf)
-- $12.5 million Class B2 at B (high) (sf)

Classes A1, A2, A3, A4, M3, B1, and B2 are exchangeable. These
classes can be exchanged for combinations of initial exchangeable
notes as specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 48.50% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf)
ratings reflect 39.00%, 32.95%, 27.75%, 23.40%, and 19.40% of
credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of primarily
first-lien, seasoned, performing, and reperforming residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 2,579 loans with a total principal balance of approximately
$312,929,995 as of the Cut-Off Date (December 31, 2021).

The loans are approximately 149 months seasoned. As of the Cut-Off
Date, 85.2% of the pool is current, 8.2% is 30 to 59 days
delinquent, 3.3% is 60 to 89 days delinquent, and 0.4% is 90+ days
delinquent under the Mortgage Bankers Association delinquency
method; additionally, 3.0% of the pool is in bankruptcy. Subject to
adjustments made by DBRS Morningstar, approximately 32.9% of the
pool has been zero times 30 (0 x 30) days delinquent for the past
24 months, 49.9% has been 0 x 30 for the past 12 months, and 63.2%
has been 0 x 30 for the past six months. 20.4% of loans were
missing data in certain months and as such are not included when
determining the 0 x 30 days delinquent duration.

Modified loans comprise 75.2% of the portfolio. The modifications
happened more than two years ago for 80.7% of the modified loans.
Within the pool, 859 loans have noninterest-bearing deferred
amounts, which equates to 6.4% of the total principal balance.
In accordance with the Consumer Financial Protection Bureau
Qualified Mortgage (QM) rules, no loan is designated as QM Safe
Harbor or QM Rebuttable Presumption. 13.0% are designated as non-QM
and approximately 87.0% of the loans are not subject to the QM
rules.

Approximately 8.1% of the pool comprises nonfirst-lien loans.

Nomura Corporate Funding Americas, LLC (NCFA), as the Sponsor, is
acquiring (most of) the loans from various Mill City entities in
connection with the securitization. NCFA, as the Sponsor, directly
or through a majority-owned affiliate, will acquire and retain a
5.0% eligible vertical interest in the transaction to satisfy the
credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder. These loans were originated and previously serviced by
various entities through purchases in the secondary market.

As of the Cut-Off Date, the loans are serviced by NewRez doing
business as Shellpoint Mortgage Servicing (75.3%) and Fay
Servicing, LLC (24.7%).

There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
in respect of taxes and insurance and reasonable costs and expenses
incurred in the course of servicing and disposing of properties.

When the aggregate pool balance of the mortgage loans is reduced to
less than 20% of the Cut-Off Date balance, the holders of more than
50% of the Class X Certificates will have the option to cause the
Trust to sell its remaining property (other than amounts in the
Breach Reserve Account) to one or more third-party purchasers so
long as the aggregate proceeds meet a minimum price.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-off Date, the holder(s) of more than 50% of
the most subordinate class of Notes, or their affiliates, may
purchase all mortgage loans, real-estate-owned properties, and
other properties from the Trust, as long as the aggregate proceeds
meet a minimum price.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M2 and more subordinate bonds
will not be paid until the more senior classes are retired.

CORONAVIRUS IMPACT: REPERFORMING LOAN (RPL)

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

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

As a result of the coronavirus 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 affects borrowers'
ability to make monthly payments, refinance their loans, or sell
properties in an amount sufficient to repay the outstanding balance
of their loans.

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

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

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security Act, signed into law on March
27, 2020, 536 borrowers (30.5% of the borrowers by balance) either
have completed forbearance or deferral plans or are on such plans
because the borrowers reported financial hardship related to the
coronavirus pandemic. These forbearance plans allow temporary
payment holidays, followed by repayment once the forbearance period
ends.

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

(1) Increased delinquencies for the first 12 months at all rating
levels;

(2) No voluntary prepayments for the first 12 months for the AAA
(sf) and AA (high) (sf) rating levels; and

(3) No liquidation recovery for the first 12 months for the AAA
(sf) and AA (high) (sf) rating levels.

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


MILL CITY 2021-NMR1: Fitch Assigns B- Rating on 3 Tranches
----------------------------------------------------------
Fitch Ratings has assigned ratings to the residential
mortgage-backed notes issued by Mill City Mortgage Loan Trust
2021-NMR1 (MCMLT 2021-NMR1).

DEBT              RATING              PRIOR
----              ------              -----
Mill City Mortgage Loan Trust 2021-NMR1

A1        LT  AAAsf  New Rating     AAA(EXP)sf
A1A       LT  AAAsf  New Rating     AAA(EXP)sf
A1B       LT  AAAsf  New Rating     AAA(EXP)sf
A2        LT  AA-sf  New Rating     AA-(EXP)sf
A3        LT  A-sf   New Rating     A-(EXP)sf
A4        LT  BBB-sf New Rating     BBB-(EXP)sf
B1        LT  BB-sf  New Rating     BB-(EXP)sf
B1A       LT  BB-sf  New Rating     BB-(EXP)sf
B1B       LT  BB-sf  New Rating     BB-(EXP)sf
B2        LT  B-sf   New Rating     B-(EXP)sf
B2A       LT  B-sf   New Rating     B-(EXP)sf
B2B       LT  B-sf   New Rating     B-(EXP)sf
B3        LT  NRsf   New Rating     NR(EXP)sf
B3A       LT  NRsf   New Rating     NR(EXP)sf
B3B       LT  NRsf   New Rating     NR(EXP)sf
B4        LT  NRsf   New Rating     NR(EXP)sf
B4A       LT  NRsf   New Rating     NR(EXP)sf
B4B       LT  NRsf   New Rating     NR(EXP)sf
B5        LT  NRsf   New Rating     NR(EXP)sf
B5A       LT  NRsf   New Rating     NR(EXP)sf
B5B       LT  NRsf   New Rating     NR(EXP)sf
B6        LT  NRsf   New Rating     NR(EXP)sf
B6A       LT  NRsf   New Rating     NR(EXP)sf
B6B       LT  NRsf   New Rating     NR(EXP)sf
M1        LT  AA-sf  New Rating     AA-(EXP)sf
M2        LT  A-sf   New Rating     A-(EXP)sf
M3        LT  BBB-sf New Rating     BBB-(EXP)sf
M3A       LT  BBB-sf New Rating     BBB-(EXP)sf
M3B       LT  BBB-sf New Rating     BBB-(EXP)sf
PT        LT  NRsf   New Rating     NR(EXP)sf
R         LT  NRsf   New Rating     NR(EXP)sf
X         LT  NRsf   New Rating     NR(EXP)sf
XS        LT  NRsf   New Rating     NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by a collateral group consisting of 2,579
seasoned performing loans (SPLs), non-performing loans (NPLs) and
re-performing loans (RPLs) with a total balance of approximately
$313 million, including $19.9 million, or 6.4%, of the aggregate
pool balance in non-interest-bearing deferred principal amounts, as
of the cutoff date.

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

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage RPLs. After the adjustment for
coronavirus-related forbearance loans, 12.7% of the pool was 30 or
more days delinquent as of the cutoff date, and 46.6% of loans are
current but have had recent delinquencies or incomplete 24-month
pay strings. Of the loans, 39.3% have been paying on time for the
past 24 months. Roughly 75% (by unpaid principal balance [UPB])
have been modified. Fitch did not penalize loans for prior
delinquencies that were a result of a forbearance plan that have
since cured. Fitch increased its loss expectations to account for
the delinquent loans and the high percentage of "dirty current"
loans.

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

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

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 modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

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

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10%, 20% and 30% in
    addition to the model-projected 4.5%. The analysis indicates
    that there is some potential rating migration with higher MVDs
    for all rated classes, compared with the model projection.
    Specifically, a 10% additional decline in home prices would
    lower all rated classes by one full category.

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

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 are three variations to the U.S. RMBS ratings criteria that
relate to the tax/title review, the pay history sample size and the
compliance sample size.

Based on the title effective date, all the reviewed loans by loan
count were not reviewed within six months of the closing date.
However, all of lien searches were performed within at least 12
months of the transaction closing date. The servicer has a
responsibility in line with the transaction documents to advance
these payments to maintain the trust's interest and position in the
loans. There was no rating impact as a result of this variation.

In regards to the pay history review, 8% of the loans did not have
a review. No adjustments were made and Fitch did not view this as
material to the rating as there were no issues or discrepancies
noted on the portion completed; the 7% with no review have spotty
pay histories and are receiving material penalties.

On the compliance sample size variation, five first-lien loans did
not receive a review and were penalized as high cost uncertain.
Also, the sample on the second-lien portion was less than the 20%
Fitch looks for in its criteria. Given the 100% LS already applied
and the results of the diligence on the remaining portion, no
additional adjustments were made.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by situsAMC and Clayton Services. The third-party due
diligence described in Form 15E focused on a regulatory compliance
review that covered applicable federal, state and local high-cost
loan and/or anti-predatory laws, as well as the Truth in Lending
Act (TILA) and Real Estate Settlement Procedures Act (RESPA). Fitch
considered this information in its analysis and, as a result, Fitch
made the following adjustment(s) to its analysis:

-- Missing or indeterminate HUD- 1 files;

-- Due Diligence Not Completed;

-- Missing Modification Documents;

-- Potential Ability to Repay Issues.

These adjustment(s) resulted in an approximately 75bps increase to
the expected loss at 'AAAsf'.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on more than 90% of the pool. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." SitusAMC, LLC and Clayton Services were engaged to
perform the review. Loans reviewed under this engagement were given
compliance grades. Minimal exceptions and waivers were noted in the
due diligence reports. Refer to the Third-Party Due Diligence
section for more details.

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.


MORGAN STANLEY 2012-C5: Fitch Affirms B Rating on Class H Certs
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) commercial mortgage
pass-through certificates, series 2012-C5.

     DEBT              RATING           PRIOR
     ----              ------           -----
MSBAM 2012-C5

A-3 61761AAY4   LT  AAAsf   Affirmed    AAAsf
A-4 61761AAZ1   LT  AAAsf   Affirmed    AAAsf
A-S 61761ABA5   LT  AAAsf   Affirmed    AAAsf
B 61761ABB3     LT  AAAsf   Affirmed    AAAsf
C 61761ABD9     LT  AAsf    Affirmed    AAsf
D 61761AAG3     LT  BBB+sf  Affirmed    BBB+sf
E 61761AAJ7     LT  BBB-sf  Affirmed    BBB-sf
F 61761AAL2     LT  BBB-sf  Affirmed    BBB-sf
G 61761AAN8     LT  BB+sf   Affirmed    BB+sf
H 61761AAQ1     LT  Bsf     Affirmed    Bsf
PST 61761ABC1   LT  AAsf    Affirmed    AAsf
X-A 61761AAA6   LT  AAAsf   Affirmed    AAAsf
X-B 61761AAC2   LT  AAAsf   Affirmed    AAAsf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations increased since the
last rating action primarily to due increased concerns associated
with Chatham Village and 421 N. Beverly Drive and newly transferred
loans to special servicing. There are 11 Fitch Loans of Concern
(FLOCs; 16% of the pool), including six loans (7.9%) in special
servicing primarily due to the coronavirus pandemic. Fitch's
ratings assume a base case loss expectation of 4.0%. The Negative
Outlook is based on the expectation that losses could reach 5.5%
which assumes additional stresses on loans expected to be impacted
by the coronavirus pandemic and additional stresses on Chatham
Village and 421 N. Beverly Drive loans.

Specially Serviced Loans: The largest loan in special servicing,
The Distrikt Hotel (3.6%), is secured by a 155-key, 32-story,
full-service hotel located in the Times Square neighborhood of
Manhattan. The property closed mid-March 2020 due to the pandemic
and reopened at the end of 2020. Recent internet searches indicate
the hotel is open and available for bookings. The loan transferred
in April 2020 for imminent monetary default at the borrower's
request as a result of the coronavirus pandemic. The special
servicer indicated it is pursuing the appointment of a receiver and
foreclosure action. Fitch's expected losses of approximately 7.6%
are based on a discount to the updated appraisal value provided by
the special servicer.

The second largest loan in special servicing, Ocean East Mall (1%),
is secured by a 112,260 sf retail property located in Stuart, FL.
The loan transferred in February 2020 due to imminent default.
Coastal Care (approximately 37.4% NRA and 60% of income) vacated at
its October 2019 lease expiration date. Occupancy was a reported
44% as of September 2020, down from 91% at YE 2018. Fitch's
analysis included a 55% stress to YE 2018 NOI due to the loss of
the large tenant which resulted in an expected loss severity of
approximately 13.5%.

The remaining four loans in special servicing (3.3%) consist of two
hotels (1.8%), one retail property (0.9%) and one mixed use
property (0.6%); aggregate losses were less than $2 million.

FLOCs: The largest contributor to loss expectations, 421 N. Beverly
Drive (1.7%), is secured by a 31,666-sf mixed-use property
consisting of 10,649 sf of ground-floor retail space and 21,017 sf
of second-and third-floor office space. The North Face (25% of
NRAI) vacated after its lease expired in July 2017. As a result,
occupancy declined to 75%. The space was subsequently fully
re-leased to Lululemon on a temporary basis from August 2018
through January 2019 while a smaller tenant (8.6%) vacated at the
same time. The retail space is now fully vacant while the office
space is 100% occupied. As a result, occupancy declined to
approximately 66% by YE 2019 and remains unchanged. Servicer
reported DSCR was below 1.0x at YE 2019. Approximately 41% NRA
expires in 2021 including three of the five remaining tenants.
Fitch requested a leasing status update and is awaiting a response.
Fitch's analysis included a 35% stress to YE 2019 NOI to account
for upcoming rollover risk which resulted in a 53.5% loss severity.
In addition, Fitch applied 70% loss severity in a sensitivity
scenario to address concerns with the current retail environment
and upcoming loan maturity in 2022. However, Fitch's analysis also
considered that losses may not be as high as assumed given the
property's desirable location.

The second largest contributor to loss expectations, Chatham
Village (2.5%), is secured by 124,018-sf, shadow-anchored retail
property located in Chicago, IL, approximately 10 miles south of
the CBD. Top three tenants include: Nike (16.3%; lease expires in
May 2022); Walgreens (13.6%; lease expires in September 2021) and
America's Kids (7.8%; lease expires in June 2021). Chatham Village
is also shadow anchored by Target, which is fully integrated within
the subject. Occupancy has steadily declined over the past several
years: 78.8% (March 2020), 84.5% (YE 2019), 89% (YE 2018) and 94%
(YE 2017). Approximately 28.9% and 24% NRA expire in 2021 and 2022
respectively, including the top three tenants. Fitch requested a
leasing status update and is awaiting a response. Fitch's analysis
included a 30% stress to YE 2019 NOI to account for upcoming
rollover risk which resulted in a 31.9% loss severity.

The three remaining FLOCS (3.9%) consist of two retail properties
(3.6%) and one hotel (0.3%). Fitch applied between a 20% and 26%
haircut to YE 2019 NOI on the properties to account for future
performance concerns due to coronavirus; aggregate losses were less
than $1 million.

Increased Credit Enhancement (CE) and Defeasance: As of the January
2021 distribution date, the pool's aggregate principal balance has
been reduced by 30.5% to $940.9 million from $1.4 billion at
issuance. One loan (10.6% of the pool) is full term, IO, while the
remaining 60 loans are amortizing. Eleven loans (17.6% of the pool)
are defeased including three loans in the top 15. There have been
no realized losses to date. De minimis cumulative interest
shortfalls of about $218 thousand are currently affecting the
non-rated class J.

Alternative Loss Considerations: Fitch applied an additional
sensitivity scenario that considered a potential outsized loss of
15% on the Hamilton Town Center loan and 70% on the 421 N. Beverly
Drive loan due to declining performance and refinance concerns;
these additional sensitivities contributed to the Negative Rating
Outlook on class H.

Additional Stresses Applied due to Coronavirus Exposure: Cash flow
disruptions continue as a result of property and consumer
restrictions due to the spread of the coronavirus. Fitch's base
case analysis applied an additional NOI stress to 10 retail loans
and eight hotel loans due to their vulnerability to the pandemic.

Concentrations: Approximately 42% of the pool, including six of the
top 15 loans, consists of retail properties. The second and third
largest property types are office and lodging, representing 31.5%
and 13.7% of the pool respectively. A total of 97.6% of the pool
matures in 2022.

RATING SENSITIVITIES

The Negative Outlook on class H reflect the potential for downgrade
based on the additional sensitivity scenario performed on the
Hamilton Town Center and 421 N. Beverly Drive loans and ultimate
impact of the coronavirus pandemic. The Stable Outlooks on classes
A-3 through G reflect increased CE since issuance and continued
expected amortization.

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

-- Upgrades could be triggered by significantly improved
    performance coupled with paydown and/or defeasance. An upgrade
    to classes C, D and PST could occur with stabilization of the
    FLOCs but would be limited as concentrations increase. Classes
    would not be upgraded above 'Asf' if there is likelihood of
    interest shortfalls. Upgrades of classes E, F and G would only
    occur with significant improvement in CE and stabilization of
    the FLOC. An upgrade to class H is not likely unless
    performance of the FLOCs improves and performance of the
    remaining pool remains Stable.

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

-- Downgrades could be triggered by an increase in pool-level
    losses from underperforming or specially serviced loans.
    Downgrades to the senior A-3, A-4 and A-S classes, along with
    classes B and C, are not expected given their sufficient CE
    and expected increase in CE from amortization, but may occur
    if interest shortfalls occur or losses increase considerably.
    Downgrades to classes D, E and F may occur if overall pool
    performance declines or loss expectations increase. Downgrades
    to classes G and F may occur if loans if performance of the
    FLOCs fail to stabilize or additional loans default and
    transfer to the special servicer.

In addition to its baseline scenario, Fitch envisions a downside
scenario where the health crisis is prolonged beyond 2021; should
this scenario play out, Fitch expects that a greater percentage of
classes may be given a Negative Outlook, or those with Negative
Outlooks will be downgraded one or more categories.

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 2016-C29: DBRS Confirms B Rating on Class X-G Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C29
issued by Morgan Stanley Bank of American Merrill Lynch Trust
2016-C29:

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

Classes E, X-E, F, X-F, G and X-G carry Negative trends. All other
trends are Stable.

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

The rating confirmations reflect the overall stable performance of
the transaction since issuance, when the transaction consisted of
69 fixed-rate loans secured by 106 commercial and multifamily
properties. The initial trust balance of $809 million has been
reduced to $765.3 million as of the January 2021 remittance, with
67 of the original 69 loans remaining in the pool, seven of which
have been defeased, representing 9.1% of the pool balance. The
transaction is concentrated by property type as 24 loans,
representing 38.0% of the current trust balance, are secured by
retail collateral; office properties back the second-largest
concentration of loans, with five loans representing 15.0% of the
current trust balance.

The Negative trends reflect the DBRS Morningstar outlook for some
of the loans on the servicer's watchlist and in special servicing.
As of the January 2021 remittance, 19 loans, representing 22.1% of
the pool, are on the servicer's watchlist, and there are seven
loans, representing 10.1% of the pool in special servicing. The
loans on the watchlist are being monitored for a variety of issues
including low debt service coverage ratios (DSCRs),
occupancy-related issues, deferred maintenance, delinquency, and
upcoming loan maturity. The seven loans in special servicing
include two top-10 loans backed by full-service hotels, among other
loans backed by anchored retail, industrial, and limited-service
hotel property types.

The largest loan in special servicing is Radisson Hotel Freehold
(Prospectus ID#8; 2.6% of the pool),secured by a 121-key
full-service hotel in Freehold, New Jersey. The loan was
transferred to special servicing in November 2020 for imminent
monetary default at the borrower's request, who cited financial
difficulties as a result of the Coronavirus Disease (COVID-19)
pandemic. As of the January 2021 remittance, the loan was listed as
60-89 days delinquent, where it has generally hovered since June
2020. The servicer and borrower are discussing a potential
forbearance agreement, but nothing has been finalized to date. The
servicer most recently reported a trailing 12 month (T-12) ended
June 2020 DSCR of 1.08x, down from the year-end (YE) 2019 DSCR of
2.18 times (x) and the YE2018 DSCR of 2.19x.

The second-largest loan in special servicing is Le Meridien
Cambridge MIT (Prospectus ID#9; 2.6% of the pool). The loan is
secured by a leasehold interest in a 210-key full-service hotel
located five miles east of the Boston central business district,
adjacent to the Massachusetts Institute of Technology (MIT) campus.
The loan was transferred to special servicing in April 2020 for
imminent monetary default as a result of cash flow disruptions
driven by the coronavirus pandemic and as of the January 2021
remittance, was listed as 30-59 days delinquent. A forbearance
agreement was executed in August 2020, which deferred its debt
service payments and various other reserve requirements for a
nine-month period. The loan was also granted a 12-month extension
for the December 2020 maturity date. It was also noted by the
special servicer that the sponsor continued to make voluntary debt
service payments from September through November. The servicer most
recently reported a T-12 ended June 2020 DSCR of 0.67x, down from
the YE2019 DSCR of 1.50x.

The largest loan on the servicer's watchlist is Sheraton Harborside
Portsmouth (Prospectus ID#6; 3.6% of the pool), which is being
monitored for a low DSCR of -0.17x at the T-12 ended September
2020, and delinquent insurance payments. The collateral is a
167-key portion of the 180-key full-service hotel in downtown
Portsmouth, New Hampshire. To date, the borrower has not submitted
a relief request to the servicer and the loan remains current as of
the January 2021 remittance.

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


MORGAN STANLEY 2017-H1: DBRS Confirms B (low) Rating on H-RR Certs
------------------------------------------------------------------
DBRS, Inc. confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2017-H1 issued by Morgan Stanley
Capital I Trust 2017-H1 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 (low) (sf)
-- Class C at A (high) (sf)
-- Class X-D at A (sf)
-- Class D at A (low) (sf)
-- Class E-RR at BBB (sf)
-- Class F-RR at BBB (low) (sf)
-- Class G-RR at BB (low) (sf)
-- Class H-RR at B (low) (sf)

DBRS Morningstar also removed the ratings on Classes D, E-RR, F-RR,
G-RR, H-RR, and X-D from Under Review with Negative Implications,
where they were placed on August 6, 2020. Classes G-RR and H-RR
have Negative trends to reflect the continued performance
challenges to the underlying collateral, many of which the
Coronavirus Disease (COVID-19) pandemic has driven. The trends on
all other classes are Stable.

The rating confirmations reflect the stable performance of the
transaction, which has remained in line with DBRS Morningstar's
expectations at issuance. The pool's collateral is unchanged since
issuance, still consisting of 58 loans secured by 89 properties. As
of the January 2021 remittance, the pool had an aggregate principal
balance of $1.09 billion, representing a collateral reduction of
2.1% since issuance resulting from scheduled amortization.

There are 10 loans, representing 15.2% of the pool, with the
special servicer, the largest of which, Hyatt Regency Austin
(Prospectus ID#6, 4.03% of the pool) is secured by 448-room
full-service hotel located in Austin, Texas. The loan transferred
to special servicing in August 2020 for imminent default following
notice that the property would no longer be able to support
operations going forward. According to the January 2021 reporting,
forbearance terms have been approved and an agreement is currently
pending the borrower's execution. Performance at the property had
been strong prior to the pandemic, yielding a YE2019 net cash flow
(NCF) of $17.3 million, representing a 41.8% increase when compared
with the DBRS Morningstar NCF derived at issuance of $12.2 million
and a 26.2% increase over the issuer's NCF. However, performance
dropped precipitously during the first half of 2020 and led to the
borrower's request for relief. Given the recent developments, DBRS
Morningstar increased the probability of default for this loan to
capture the increased credit risk to the trust.

The Magnolia Hotel Denver (Prospectus ID#9, 3.56% of the pool)
transferred to special servicing in May 2020 for imminent monetary
default after the borrower requested pandemic-related relief. The
loan is secured by a 297-room full-service boutique hotel in the
central business district of Denver. While the YE2019 NCF was down
13% from issuance levels, the loan was still covering at a stable
debt service coverage ratio (DSCR) of 1.38 times. The loan was
modified in November 2020; terms included a four-month deferral of
principal and interest, an additional deferral of principal through
May 2022, a temporary waiver of DSCR covenants, and a two-year
maturity extension to May 2024. The property was reappraised in
July 2020 at $62.9 million, which reflects a 34.2% decline from the
appraised value at issuance and implies a loan-to-value of 81.5%.

There are 13 loans, representing 25.1% of the pool, are on the
servicer's watchlist and highlighted by the pool's largest loan,
Market Street - The Woodlands (Prospectus ID#1, 6.09% of the pool).
The loan, which is secured by a 492,082-square-foot mixed-use
retail and office property in The Woodlands, Texas, a suburb of
Houston, is being monitored after the borrower requested
pandemic-related relief. The property's performance had been
trending downward as the YE2019 NCF declined by 7% since issuance.
The trend is expected to continue as the occupancy decreased to 87%
as of June 2020, down from 96% at YE2019. The property's largest
tenant, H-E-B Woodlands Market, is a supermarket chain that has
been a tenant since 2004 and accounts for 16.8% of the property's
net rentable area. The lease for H-E-B expires in July 2024 and
includes four five-year renewal options.

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


MORGAN STANLEY 2018-L1: DBRS Confirms B Rating on Class H-RR Certs
------------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-L1 issued by Morgan Stanley
Capital I Trust 2018-L1 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 X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F-RR at BB (high) (sf)
-- Class G-RR at BB (sf)
-- Class H-RR at B (sf)

DBRS Morningstar also removed the ratings on Classes G-RR and H-RR
from Under Review with Negative Implications, where they were
placed on August 6, 2020. Classes G-RR and H-RR have Negative
trends. DBRS Morningstar changed the trends on Classes B, C, D, E,
F-RR, X-B, and X-D to Negative from Stable. All other trends are
Stable. The Negative trends reflect the continued performance
challenges facing the underlying collateral, many of which have
been driven by the impacts of the Coronavirus Disease (COVID-19)
global pandemic. In addition to one loan, representing 1.5% of the
pool, in special servicing as of the January 2021 remittance, DBRS
Morningstar also notes that the pool has a moderate concentration
of retail and hospitality properties, representing 31.3% and 13.4%
of the pool balance, respectively. The initial impact of the
coronavirus pandemic has affected these property types most
severely. As such, those concentrations suggest slightly increased
risks for the pool, particularly at the lower rating categories,
since issuance.

The transaction is concentrated by property type as 17 loans,
representing 31.3% of the current trust balance, are secured by
retail assets while eight loans, representing 25.2% of the current
trust balance, are secured by office assets. Lodging collateral
makes up the third-largest concentration with seven loans,
representing 13.4% of the current trust balance.

According to the January 2021 remittance, there is one loan in
special servicing, Shoppes at Chino Hills (Prospectus ID#23; 1.5%
of the current trust balance), that is secured by a retail asset.
Shoppes at Chino Hills transferred to the special servicer in July
2020 given the ongoing effects of the coronavirus pandemic. The
subject is a mixed-use lifestyle retail (315,519 square feet (sf))
and office (63,157 sf) complex constructed in 2008. The subject
benefits from a diverse tenant roster that includes national and
local businesses. Tenancy is granular as no tenant makes up more
than 9.0% of the net rentable area (NRA). The property has exposure
to Forever 21 (6.0% of the NRA), with a lease expiration in
December 2023. Forever 21 filed for bankruptcy in 2019 and,
although Authentic Brands Group LLC subsequently purchased the
company in 2020, it remains a risk. In addition, there is upcoming
rollover risk as the July 31, 2020, rent roll reported that 21
tenants, representing a combined 100,320 sf and 26.7% of the NRA,
have leases that are scheduled to expire in 2021, including Jacuzzi
Brands LLC (32,458 sf), Old Navy (14,534 sf), and Banana Republic
(8,652 sf). A modification closed in October 2020 which will bring
the loan current with funds from reserves as well as new borrower
equity. The loan is in the process of returning to the master
servicer. At issuance, the collateral for the loan had an appraisal
value of $176.0 million, equating to a loan-to-value ratio of
62.5%. DBRS Morningstar believes that, while the subject is not
immune to short-term stresses from the pandemic, the headwinds in
the brick-and-mortar retail industry and the declining tourism
volume could hamper the property's long-term outlook. Given that
short-term demand remains suppressed, DBRS Morningstar analyzed the
loan with an elevated probability of default.

As of the January 2021 remittance, all 47 original loans remain in
the pool with a collateral reduction of only 0.6% since issuance as
a result of loan amortization. One loan, representing 0.8% of the
current trust balance, has been defeased. Additionally, 13 loans,
representing 37.0% of the current trust balance, are on the
servicer's watchlist. These loans are being monitored for a variety
of reasons, including low debt service coverage ratio and occupancy
as well as deferred maintenance issues.

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


PALMER SQUARE 2019-3: Fitch Upgrades Class E Debt to 'BB'
---------------------------------------------------------
Fitch Ratings has upgraded 30 and affirmed seven tranches from
seven static U.S. collateralized loan obligations (CLOs) serviced
by Palmer Square Capital Management LLC. Fitch has also revised its
Rating Outlooks on 17 tranches to Stable from Negative, with no
tranches retaining Negative Rating Outlooks. These rating actions
are based on updated cash flow analyses due to the deleveraging of
the transactions' capital structures.

A full list of rating actions is detailed and key analytical inputs
and results are detailed in the accompanying rating action report.

    DEBT               RATING            PRIOR
    ----               ------            -----
Palmer Square Loan Funding 2019-1

A-1 69700VAA7    LT  AAAsf   Affirmed    AAAsf
A-2 69700VAC3    LT  AAAsf   Upgrade     AA+sf
B 69700VAE9      LT  A+sf    Upgrade     Asf
C 69700VAG4      LT  BBB+sf  Upgrade     BBB-sf
D 69700RAA6      LT  BB+sf   Upgrade     BBsf

Palmer Square Loan Funding 2019-2

A-1 69689PAA5    LT  AAAsf   Affirmed    AAAsf
A-2 69689PAC1    LT  AAAsf   Upgrade     AA+sf
B 69689PAE7      LT  A+sf    Upgrade     Asf
C 69689PAG2      LT  BBB+sf  Upgrade     BBB-sf
D 69689MAA2      LT  BB+sf   Upgrade     BBsf
E 69689MAE4      LT  BBsf    Upgrade     B+sf

Palmer Square Loan Funding 2019-3, Ltd.

A-1 69689LAA4    LT  AAAsf   Affirmed    AAAsf
A-2 69689LAC0    LT  AA+sf   Upgrade     AAsf
B 69689LAE6      LT  A+sf    Upgrade     Asf
C 69689LAG1      LT  BBB+sf  Upgrade     BBB-sf
D 69689NAA0      LT  BB+sf   Upgrade     BBsf
E 69689NAC6      LT  BBsf    Upgrade     B+sf

Palmer Square Loan Funding 2019-4, Ltd.

A-1 69689HAA3    LT  AAAsf   Affirmed    AAAsf
A-2 69689HAC9    LT  AA+sf   Upgrade     AAsf
B 69689HAE5      LT  A+sf    Upgrade     Asf
C 69689HAG0      LT  BBB+sf  Upgrade     BBB-sf
D 69689JAA9      LT  BB+sf   Upgrade     BBsf

Palmer Square Loan Funding 2020-1, Ltd.

A-1 69701EAA4    LT  AAAsf   Affirmed    AAAsf
A-2 69701EAC0    LT  AA+sf   Upgrade     AAsf
B 69701EAE6      LT  A+sf    Upgrade     Asf
C 69701EAG1      LT  BBB+sf  Upgrade     BBB-sf
D 69701DAA6      LT  BB+sf   Upgrade     BBsf

Palmer Square Loan Funding 2020-2, Ltd.

A-1 69701FAA1    LT  AAAsf   Affirmed    AAAsf
A-2 69701FAC7    LT  AA+sf   Upgrade     AAsf
B 69701FAE3      LT  A+sf    Upgrade     Asf
C 69701FAG8      LT  BBB+sf  Upgrade     BBB-sf
D 69701GAA9      LT  BB+sf   Upgrade     BB-sf

Palmer Square Loan Funding 2020-3, Ltd.

A-1 69701KAA0    LT  AAAsf   Affirmed    AAAsf
A-2 69701KAC6    LT  AAAsf   Upgrade     AAsf
B 69701KAE2      LT  A+sf    Upgrade     Asf
C 69701KAG7      LT  Asf     Upgrade     BBB-sf
D 69701MAA6      LT  BBBsf   Upgrade     BB-sf

TRANSACTION SUMMARY

Palmer Square Loan Funding (PSLF) 2019-1, Ltd.; PSLF 2019-2, Ltd.;
PSLF 2019-3, Ltd.; PSLF 2019-4, Ltd.; PSLF 2020-1, Ltd.; PSLF
2020-2, Ltd. and PSLF 2020-3, Ltd. are arbitrage CLOs that are
serviced by Palmer Square Capital Management LLC. The CLOs were
issued in 2019 and 2020 and are securitized by static pools of
primarily first-lien, senior secured leveraged loans.

KEY RATING DRIVERS

The Upgrades are due to the deleveraging of the capital structures
in each static CLO, primarily driven by loan prepayments and
resulting in elevated credit enhancement (CE) levels for all rated
tranches. As of the January 2021 trustee report, between 12.0% and
45.5% of the original class A-1 note balance for each transaction
has amortized since closing. Therefore, Fitch conducted updated
cash flow model (CFM) analyses for all seven CLOs to support its
rating actions.

The analyses were based on the current portfolios and evaluated the
combined impact of deleveraging, rating migration and changes in
the portfolios' weighted average spreads and lives as compared with
initial metrics. The analyses used standard assumptions outlined in
Fitch's criteria and an additional stress scenario described
below.

NEAR-TERM STRESS SCENARIO

Fitch has updated its CLO coronavirus near-term stress scenario.
Fitch applied this stress by applying the average rating default
rate (RDR) levels at each rating stress, between standard
(criteria) assumptions and a more severe downside stress scenario,
in which all corporate issuers with Negative Rating Outlooks were
notched down with a floor of 'CCC-', regardless of sector. This
near-term stress scenario was used to inform the Rating Outlook for
the CLO note ratings.

The Stable Rating Outlooks on the notes in this review reflect
Fitch's expectation that the classes have sufficient levels of
credit protection to withstand potential deterioration in the
credit quality of the portfolios in stress scenarios commensurate
with such a class's rating.

CASH FLOW ANALYSIS

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

The rating actions were in line with the model-implied ratings
(MIRs) under standard assumptions, except for the following eight
classes of notes that had MIRs one notch higher than their assigned
ratings:

-- Class E notes in PSLF 2019-2, Ltd.;

-- Class A-2 and E notes in PSLF 2019-3, Ltd.;

-- Class A-2 notes in PSLF 2019-4, Ltd.;

-- Class A-2 and C notes in PSLF 2020-2, Ltd.;

-- Class C and D notes in PSLF 2020-3, Ltd.

These notes were not upgraded to the MIRs in light of these notes'
performance in the near-term stress scenario and the comparable
performance and CE levels of similar notes in other transactions in
this review. For example, the class E notes in PSLF 2019-3 were
upgraded to 'BBsf', one notch below its MIR, due to its
subordinated position to the class D notes (rated BB+sf, Stable
Outlook). As a result, the class E notes in PSLF 2019-2 were also
upgraded to 'BBsf' due to similar CE levels and note performance of
the class E notes in PSLF 2019-3.

CREDIT QUALITY, ASSET SECURITY, AND PORTFOLIO COMPOSITION

The portfolio credit quality of all transactions in this review was
in the 'B' rating category, from PSLF 2019-1 averaging 'B'/'B-' to
the 2020-vintage transactions averaging 'B+'/'B'. There are
currently no reported defaults. The current portfolios, excluding
principal cash amounts, consist of approximately 99% of first-lien
senior secured loans. The Fitch weighted average recovery rate
(WARR) of the portfolios averaged 77.5%. Portfolios remain
diversified, with obligor counts ranging from 201 to 265 and the
weight of top 10 obligors ranging from 6.5% to 9.2%.

All overcollateralization and interest coverage tests have
continued to increase within the last year and are passing for each
CLO. Given the static nature of the pools, portfolio management is
not considered a key rating driver and is limited to a few credit
risk sales since the last rating action, contributing to minimal
portfolio par losses.

RATING SENSITIVITIES

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

-- A 25% reduction of the mean default rate across all ratings,
    along with a 25% increase of the recovery rate at all rating
    levels, would lead to Upgrades (based on model-implied
    ratings) of: two rating categories for the class D notes in
    PSLF 2019-1, PSLF 2019-2, PSLF 2020-1 and PSLF 2020-2; and one
    rating category for all other notes except for the class A-2
    notes in PSLF 2019-1, PSLF 2019-2 and PSLF 2020-3, the class C
    notes in PSLF 2020-3 and all class A-1 notes, which would
    incur no rating impact. The Upgrade scenario is not applicable
    to the class A-1 notes in the transactions, as their ratings
    are at the highest level on Fitch's scale and cannot be
    upgraded.

-- Upgrades may occur in the event of better-than-expected
    portfolio credit quality and deal performance from initial
    portfolio analysis, leading to higher notes' CE and excess
    spread available to cover for losses on the remaining
    portfolio. For more information on the initial model-implied
    rating sensitivities, see the new issue reports for each of
    the CLO transactions included in this review.

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

-- A 25% increase of the mean default rate across all ratings,
    along with a 25% decrease of the recovery rate at all rating
    levels, would lead to Downgrades (based on the model-implied
    ratings) of: more than two rating categories for the class E
    notes in PSLF 2019-2 and PSLF 2019-3; two rating categories
    for the class D notes in PSLF 2019-1, PSLF 2019-2, PSLF 2019
    3, PSLF 2019-4, and PSLF 2020-3, the class B notes in PSLF
    2019-4 and PSLF 2020-1, and the class C notes in PSLF 2020-3;
    and one rating category for all other notes, except for all
    class A-1 notes, and the class B notes in PSLF 2020-3, which
    would incur no rating impact.

-- Downgrades may occur if realized and projected losses of the
    portfolio are higher than what was assumed at closing and the
    notes' CE do not compensate for the higher loss expectation
    than initially anticipated.

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.


REAL ESTATE 2016-1: DBRS Confirms B(sf) Rating on Class G Certs
---------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2016-1, issued by Real
Estate Asset Liquidity Trust, Series 2016-1 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (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 overall stable performance of
the transaction since issuance. As of the January 2020 remittance,
47 of the original 55 loans remain in the pool, with a collateral
reduction of 20.0% since issuance. According to the YE2019
financials, the servicer reported a weighted average debt service
coverage ratio (DSCR) of 1.84 times (x), compared with the DBRS
Morningstar DSCR at issuance of 1.46x. The pool is fairly
concentrated by property type as 20 loans, representing 35.7% of
the pool, are secured by retail properties; 10 loans (22.8% of the
pool) are secured by multifamily properties; and five loans (16.0%
of the pool) are secured by office properties, representing 74.5%
of the pool.

As of the January 2021 remittance, no loans are in special
servicing, however, 15 loans, representing 40.3% of the pool, are
on the servicer's watchlist, including one loan that is also on the
DBRS Morningstar Hotlist in the Sainte-Catherine Street Retail
Montreal loan (Prospectus ID#4; 5.4% of the pool). That loan is
secured by an unanchored retail property located in Montreal,
Quebec, and is on the servicer's watchlist for a low occupancy
rate. The servicer previously approved a short term forbearance
modification for the loan in response to the borrower's Coronavirus
Disease (COVID-19) relief request and, according to the January
2021 remittance, the loan was reported as current and performing.

At YE2019, the loan reported a 1.35x DSCR and a 100.0% occupancy
rate with two primary tenants in Forever 21 (85.8% of the net
rentable area (NRA)) and Fossil (13.8% of the NRA). Forever 21
ultimately vacated their space following the company's September
2019 Chapter 11 bankruptcy filing and their space appears to have
been backfilled by Ardene.

Another noteworthy loan on the servicer's watchlist is the Toronto
Congress Centre loan (Prospectus ID#2; 5.9% of pool), which is
secured by a 471,000-sf convention and trade center located near
the Toronto Pearson International Airport. The loan was placed on
the watchlist due to the borrower's coronavirus relief request,
which was ultimately granted, and, as of the January 2021
remittance, the loan was performing as agreed. Although the sharp
drop in demand for meeting and convention facilities amid the
pandemic has brought increased risks for this loan from issuance,
the stress is considered short to medium term in nature and is
mitigated by the full recourse to the sponsor and the historically
stable performance of the underlying collateral and subject loan,
which most recently reported a DSCR of 1.78x at YE2019. As such,
DBRS Morningstar confirms with this review that the characteristics
of the loan remain in line with the investment-grade shadow rating
assigned at issuance.

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


REGATTA VI: Moody's Confirms Ba3 Rating on Class E-R Notes
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Regatta VI Funding Ltd. (the "CLO" or "Issuer"):

US$48,250,000 Class B-R Senior Secured Floating Rate Notes due 2028
(the "Class B-R Notes"), Upgraded to Aaa (sf); previously on
October 22, 2018 Assigned Aa1 (sf)

US$23,750,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-R Notes"), Upgraded to Aa3 (sf);
previously on October 22, 2018 Assigned A1 (sf)

US$22,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-R Notes"), Upgraded to Baa1 (sf);
previously on October 22, 2018 Assigned Baa2 (sf)

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

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

US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2028 (the "Class E-R Notes"), Confirmed at Ba3 (sf);
previously on December 8, 2020 Ba3 (sf) Placed Under Review for
Possible Upgrade

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

This action concludes the review for upgrade initiated on December
8, 2020 on the Class E-R Notes issued by the CLO. The CLO,
originally issued in May 2016 and refinanced in October 2018, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2020.

RATINGS RATIONALE

The upgrade actions taken on the Upgraded Notes are primarily a
result of applying Moody's revised CLO assumptions described in
"Moody's Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, Moody's adjust the obligor's Moody's Default
Probability Rating down by one notch if the obligor's rating is on
review for possible downgrade and we make no adjustments if the
obligor's rating has a negative outlook. Based on these updates,
Moody's calculated WARF on the portfolio is now 2955 compared to
the WARF of 3241 as reported on trustee's January 2021 report[1].

The upgrade actions are also a result of deleveraging of the senior
notes and an increase in the transaction's over-collateralization
(OC) ratios since the end of reinvestment period in July 2020. The
Class A-R notes have been paid down by approximately 23.4% or $58.9
million since then. Based on the trustee's January 2021 report[2],
the OC ratios for the Class A/B, Class C and Class D notes are
reported at 134.30%, 123.47% and 114.88%, respectively, versus July
2020 levels of 130.76%, 121.17% and 113.47%, respectively.

Moody's confirmed the rating on the Confirmed Notes due to its
determination their expected losses (Els) continue to be consistent
with the notes' current rating and notes' junior position in the
capital structure.

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."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers or the metrics calculated based on the current portfolio.

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

Performing par and principal proceeds balance: $334,572,165

Defaulted Securities: $2,004,927

Diversity Score: 78

Weighted Average Rating Factor (WARF): 2955

Weighted Average Life (WAL): 4.61 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.37%

Weighted Average Recovery Rate (WARR): 47.61%

Par haircut in OC tests and interest diversion test: 0.36%

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, 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 Ratings:

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

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


SCF EQUIPMENT 2021-1: Moody's Gives '(P)B3' Rating on Class F Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
Equipment Contract Backed Notes, Series 2021-1, Class A-1, Class
A-2, Class A-3, Class B, Class C, Class D, Class E, and Class F
(Series 2021-1 notes or the notes) to be issued by SCF Equipment
Leasing 2021-1 LLC and SCF Equipment Leasing Canada 2021-1 Limited
Partnership. Stonebriar Commercial Finance LLC (unrated,
Stonebriar) along with its Canadian counterpart - Stonebriar
Commercial Finance Canada Inc. (unrated) are the originators and
Stonebriar alone will be the servicer of the assets backing this
transaction. The issuers are wholly-owned, limited purpose
subsidiaries of Stonebriar and Stonebriar Commercial Finance Canada
Inc. The assets in the pool will consist of loan and lease
contracts, secured primarily by corporate aircraft, manufacturing
and assembly equipment, and railcars. The Series 2021-1 transaction
will be the eighth securitization sponsored by Stonebriar and
seventh that Moody's rates. Stonebriar was founded in 2015 and is
led by a management team with an average of over 25 years of
experience in equipment financing.

The complete rating actions are as follows:

Issuer: SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing
Canada 2021-1 Limited Partnership

Class A-1 Notes, Assigned (P)P-1 (sf)

Class A-2 Notes, Assigned (P)Aaa (sf)

Class A-3 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa2 (sf)

Class C Notes, Assigned (P)A3 (sf)

Class D Notes, Assigned (P)Baa3 (sf)

Class E Notes, Assigned (P)Ba2 (sf)

Class F Notes, Assigned (P)B3 (sf)

RATINGS RATIONALE

The provisional ratings are based on; the experience of
Stonebriar's management team and the company as servicer; U.S. Bank
National Association (long-term deposits Aa1/ long-term CR
assessment Aa2(cr), short-term deposits P-1, BCA aa3) as backup
servicer for the contracts; the weak credit quality and
concentration of the obligors backing the loans and leases in the
pool; the assessed value of the collateral backing the loans and
leases in the pool; the large percentage of called seasoned
collateral from prior transactions in the pool; the credit
enhancement, including overcollateralization, excess spread and
reserve account and the sequential pay structure. The rating also
considers the heightened risk owing to the unprecedented shock that
the coronavirus outbreak is causing on the global economy.

Additionally, we base our (P)P-1 (sf) rating of the Class A-1 notes
on the cash flows that we expect the underlying receivables to
generate during the collection periods prior to the Class A-1
notes' legal final maturity date on March 11, 2022.

At closing the Class A, Class B, Class C, Class D, Class E and
Class F notes benefit from 33.0%, 24.0%, 21.3%, 17.0%, 13.5% and
7.0% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of initial
overcollateralization of 4.50% which will build to a target of
8.00% of the outstanding pool balance with a floor of 5.00% of the
initial pool balance, a 1.50% fully funded reserve account which
will step down to 1.00% of the initial pool balance after month 24
if passing the CNL trigger event, and subordination. The notes will
also benefit from excess spread.

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 U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around 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.

The equipment loans and leases that will back the notes were
extended primarily to middle market obligors and are secured by
various types of equipment including; aircraft, railcars,
manufacturing and assembly equipment, and a chemical plant.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in December 2020.

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

Up

Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or lower than
expected depreciation in the value of the equipment that secure the
obligor's promise of payment. As the primary drivers of
performance, positive changes in the US macro economy and the
performance of various sectors where the obligors operate could
also affect the ratings.

Down

Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy. Other
reasons for worse-than-expected performance include poor servicing,
error on the part of transaction parties, inadequate transaction
governance and fraud. Additionally, Moody's could downgrade the
Class A-1 short term rating following a significant slowdown in
principal collections that could result from, among other reasons,
high delinquencies or a servicer disruption that impacts obligor's
payments.


SDART 2021-1: Moody's Gives (P)B2 Rating to Class E Notes
---------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust 2021-1
(SDART 2021-1). This is the first SDART auto loan transaction of
the year for Santander Consumer USA Inc. (SC; unrated). The notes
will be backed by a pool of retail automobile loan contracts
originated by SC, who is also the servicer and administrator for
the transaction.

The complete rating actions are as follows:

Issuer: Santander Drive Auto Receivables Trust 2021-1

Class A-1 Notes, Assigned (P)P-1 (sf)

Class A-2-A Notes, Assigned (P)Aaa (sf)

Class A-2-B Notes, Assigned (P)Aaa (sf)

Class A-3 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aaa (sf)

Class C Notes, Assigned (P)Aa1 (sf)

Class D Notes, Assigned (P)Baa1 (sf)

Class E Notes, Assigned (P)B2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of SC as the servicer.
Moody's median cumulative net loss expectation for SDART 2021-1 is
18.0% and loss at a Aaa stress is 42.0%. Moody's based its
cumulative net loss expectation and loss at a Aaa stress on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of SC to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.

At closing the Class A notes, Class B notes, Class C notes, Class D
notes and Class E notes are expected to benefit from 51.70%,
42.70%, 28.25%, 15.85% and 8.50% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a non-declining reserve
account and subordination. The notes may also benefit from excess
spread.

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
consumer 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. Specifically, for auto
loan ABS, loan performance will weaken due to the unprecedented
spike in the unemployment rate that may limit the borrower's income
and their ability to service debt. The softening of used vehicle
prices due to lower demand will reduce recoveries on defaulted auto
loans, also a credit negative. Furthermore, borrower assistance
programs to affected borrowers, such as extensions, may adversely
impact scheduled cash flows to bondholders. 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 METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2020.

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

Up

Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. In Moody's analysis
of the Class A-1 money market tranche, Moody's applied incremental
stresses to its typical cash flow assumptions in consideration of a
likely slowdown in borrower payments brought on by the economic
impact of the coronavirus pandemic. Additionally, Moody's could
downgrade the Class A-1 short-term rating following a significant
slowdown in principal collections that could result from, among
other things, high usage of borrower relief programs or a servicer
disruption that impacts obligor's payments.


SEQUOIA MORTGAGE 2021-1: Fitch Gives 'B(EXP)' Rating on B-4 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned the following expected ratings to the
residential certificates to be issued by Sequoia Mortgage Trust
2021-1.

DEBT              RATING  
----              ------  
SEMT 2021-1

A-1     LT  AAA(EXP)sf  Expected Rating
A-2     LT  AAA(EXP)sf  Expected Rating
A-3     LT  AAA(EXP)sf  Expected Rating
A-4     LT  AAA(EXP)sf  Expected Rating
A-5     LT  AAA(EXP)sf  Expected Rating
A-6     LT  AAA(EXP)sf  Expected Rating
A-7     LT  AAA(EXP)sf  Expected Rating
A-8     LT  AAA(EXP)sf  Expected Rating
A-9     LT  AAA(EXP)sf  Expected Rating
A-10    LT  AAA(EXP)sf  Expected Rating
A-11    LT  AAA(EXP)sf  Expected Rating
A-12    LT  AAA(EXP)sf  Expected Rating
A-13    LT  AAA(EXP)sf  Expected Rating
A-14    LT  AAA(EXP)sf  Expected Rating
A-15    LT  AAA(EXP)sf  Expected Rating
A-16    LT  AAA(EXP)sf  Expected Rating
A-17    LT  AAA(EXP)sf  Expected Rating
A-18    LT  AAA(EXP)sf  Expected Rating
A-19    LT  AAA(EXP)sf  Expected Rating
A-20    LT  AAA(EXP)sf  Expected Rating
A-21    LT  AAA(EXP)sf  Expected Rating
A-22    LT  AAA(EXP)sf  Expected Rating
A-23    LT  AAA(EXP)sf  Expected Rating
A-24    LT  AAA(EXP)sf  Expected Rating
A-IO1   LT  AAA(EXP)sf  Expected Rating
A-IO2   LT  AAA(EXP)sf  Expected Rating
A-IO3   LT  AAA(EXP)sf  Expected Rating
A-IO4   LT  AAA(EXP)sf  Expected Rating
A-IO5   LT  AAA(EXP)sf  Expected Rating
A-IO6   LT  AAA(EXP)sf  Expected Rating
A-IO8   LT  AAA(EXP)sf  Expected Rating
A-IO7   LT  AAA(EXP)sf  Expected Rating
A-IO9   LT  AAA(EXP)sf  Expected Rating
A-IO10  LT  AAA(EXP)sf  Expected Rating
A-IO11  LT  AAA(EXP)sf  Expected Rating
A-IO12  LT  AAA(EXP)sf  Expected Rating
A-IO13  LT  AAA(EXP)sf  Expected Rating
A-IO14  LT  AAA(EXP)sf  Expected Rating
A-IO15  LT  AAA(EXP)sf  Expected Rating
A-IO16  LT  AAA(EXP)sf  Expected Rating
A-IO17  LT  AAA(EXP)sf  Expected Rating
A-IO18  LT  AAA(EXP)sf  Expected Rating
A-IO19  LT  AAA(EXP)sf  Expected Rating
A-IO20  LT  AAA(EXP)sf  Expected Rating
A-IO21  LT  AAA(EXP)sf  Expected Rating
A-IO22  LT  AAA(EXP)sf  Expected Rating
A-IO23  LT  AAA(EXP)sf  Expected Rating
A-IO24  LT  AAA(EXP)sf  Expected Rating
A-IO25  LT  AAA(EXP)sf  Expected Rating
A-IO26  LT  AAA(EXP)sf  Expected Rating
B-1     LT  AA-(EXP)sf  Expected Rating
B-2     LT  A-(EXP)sf   Expected Rating
B-3     LT  BBB-(EXP)sf Expected Rating
B-4     LT  B(EXP)sf    Expected Rating
B-5     LT  NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 613 loans with a total balance of
approximately $527.4 million as of the cutoff date. The pool
consists of prime fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. from various mortgage originators.
Distributions of principal and interest and loss allocations are
based on a senior-subordinate, shifting-interest structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year, 20-year, fixed-rate, fully amortizing loans
to borrowers with strong credit profiles, relatively low leverage
and large liquid reserves. The pool has a weighted average (WA)
original model FICO score of 779 and an original WA combined loan
to value (CLTV) ratio of 68%. All the loans in the pool consist of
Safe Harbor Qualified Mortgages (SHQM).

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature most commonly used by Redwood's program for
loans more than 120 days delinquent (a stop-advance loan). Unpaid
interest on stop-advance loans reduces the amount of interest that
is contractually due to bondholders in reverse-sequential order.
While this feature helps limit cash flow leakage to subordinate
bonds, it can result in interest reductions to rated bonds in
high-stress scenarios.

Low Operational Risk (Neutral): The operational risk is well
controlled for in this transaction. Redwood is assessed as an
'Above Average' aggregator. The aggregator has a robust sourcing
strategy and maintains experienced senior management and staff,
strong risk management and corporate governance controls, and a
robust due diligence process. Primary and master servicing
functions will be performed by entities rated 'RPS2' and 'RMS2+',
respectively.

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 0.75% of the original balance will be
maintained for the certificates. The floor is sufficient to protect
against the five largest loans defaulting at Fitch's 'AAA(EXP)sf'
average loss severity of 38%.

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 39.8% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or in other words positive home price growth with no
    assumed overvaluation. The analysis assumes positive home
    price growth of 10%. Excluding the senior class, which is
    already rated 'AAA(EXP)sf', 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 'AAA(EXP)sf'.

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

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

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 variation to Fitch's 'U.S. RMBS Rating Criteria'.
Fitch expects to conduct an originator review for all entities that
make up 15% or more of a transaction. Quicken Loans currently
contributes approximately 30.4% of the collateral. Given the strong
credit profile, the clean diligence results, and Redwood's Above
Average aggregator assessment, Fitch did not view the lack of a
review as a heightened risk and no adjustment was made.

Additionally as of the committee date Fitch has conducted a review
of Quicken but has not finalized its assessment of the originator.
Based on preliminary discussions there were no material questions
or concerns raised as a result of the review.

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 three separate third party review firms, Clayton,
Consolidated Analytics, and Edge Mac. The third-party due diligence
described in Form 15E focused on credit, compliance and property
valuations. Fitch considered this information in its analysis and,
as a result, increased the overall expected loss by 14bps in the
'AAAsf' stress.

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.


SUDBURY MILL: Moody's Hikes Class D Notes From Ba1
--------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Sudbury Mill CLO Ltd. (the "CLO" or "Issuer"):

US$24,500,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2026 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously
on December 8, 2020 Aa3 (sf) Placed Under Review for Possible
Upgrade

US$25,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2026 (the "Class D Notes"), Upgraded to Baa3 (sf); previously on
December 8, 2020 Ba1 (sf) Placed Under Review for Possible Upgrade

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

These actions conclude the reviews for upgrade initiated on
December 8, 2020 on the Class C-R and Class D Notes issued by the
CLO. The CLO, originally issued in December 2013 and partially
refinanced in April 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in January 2018.

RATINGS RATIONALE

The upgrade actions taken on the Upgraded Notes are primarily a
result of applying Moody's revised CLO assumptions described in
"Moody's Global Approach to Rating Collateralized Loan Obligations"
published in December 2020. The primary changes to the modeling
assumptions include the analytical treatment of corporate obligors
whose ratings are on review downgrade or assigned a negative
outlook. Specifically, we now adjust the obligor's Moody's Default
Probability Rating down by one notch if the obligor's rating is on
review for possible downgrade and we make no adjustments if the
obligor's rating has a negative outlook. Based on these updates,
Moody's calculated WARF on the portfolio is now 3053 compared to
the WARF of 3452 as reported on trustee's January 2021 report [1].

The upgrade actions are also a result of deleveraging of the senior
notes and an increase in the transaction's over-collateralization
(OC) ratios since August 2020. The Class A-1-R and Class A-2-R
notes have been paid down by approximately 67.9% or $46.3 million
since that time. Based on the trustee's January 2021 report [2],
the OC ratios for the Class A/B, Class C, and Class D notes are
reported at 170.08%, 136.43%, and 113.52%, respectively, versus
levels of 156.95%, 130.56%, and 111.43%, respectively, in the
trustee's August 2020 report[3].

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."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers or the metrics calculated based on the current portfolio.

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

Performing par and principal proceeds balance: $142,713,714

Defaulted Securities: $8,499,818

Diversity Score: 48

Weighted Average Rating Factor (WARF): 3053

Weighted Average Life (WAL): 3.02 years

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.17%

Weighted Average Recovery Rate (WARR): 48.23%

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; 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.
Our 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 Ratings:

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

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


VERUS SEC 2021-R1: DBRS Finalizes B(low) Rating on Class B-2 Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2021-R1 issued by Verus
Securitization Trust 2021-R1 (the Trust):

-- $461.3 million Class A-1 at AAA (sf)
-- $38.1 million Class A-2 at AA (sf)
-- $57.9 million Class A-3 at A (low) (sf)
-- $31.2 million Class M-1 at BBB (low) (sf)
-- $18.6 million Class B-1 at BB (low) (sf)
-- $13.2 million Class B-2 at B (low) (sf)

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

The AAA (sf) rating on the Class A-1 Notes reflects 26.75% of
credit enhancement provided by subordinate notes. The AA (sf), A
(low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings
reflect 20.70%, 11.50%, 6.55%, 3.60%, and 1.50% of credit
enhancement, respectively.

This securitization is a portfolio of fixed- and adjustable-rate,
expanded prime and nonprime, first-lien residential mortgages
funded by the issuance of the Notes. The Notes are backed by 1,656
mortgage loans with a total principal balance of $629,850,548 as of
the Cut-Off Date (January 1, 2021).

Subsequent to the issuance of the related Presale Report, there
were minimal loan drops and balance updates. The Notes are backed
by 1,664 mortgage loans with a total principal balance of
$635,640,108 in the Presale Report. Unless specified otherwise, all
the statistics regarding the mortgage loans in the related report
are based on the Presale Report balance.

The mortgage pool consists primarily of loans from collapsed
previously issued Verus transactions.

The loans are on average more seasoned than a typical new
origination non-Qualified Mortgage (non-QM) securitization. The
DBRS Morningstar calculated weighted-average (WA) loan age is 34
months, and 99.1% of the loans are seasoned 24 months or more.
Within the pool, 96.6% of the loans are current, 2.5% are 30 days
delinquent, and 0.9% are 60 days or more delinquent. All but two
loans that are 60 days or more delinquent are part of an active
forbearance or deferral plan. The Coronavirus Disease
(COVID-19)-affected loans account for 32.5% of the pool and are
described in further detail below.

The originators for the mortgage pool are Sprout Mortgage (29.5%)
and other originators, each comprising less than 10.0% of the
mortgage loans. The Servicers of the loans are Shellpoint Mortgage
Servicing (79.4%) and Specialized Loan Servicing LLC (20.6%),

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules,
they were made to borrowers who generally do not qualify for
agency, government, or private-label nonagency prime jumbo products
for various reasons. In accordance with the Qualified Mortgage
(QM)/ATR rules, 45.7% of the loans are designated as non-QM, 0.1%
are designated as QM safe harbor, and 0.9% are designated as QM
rebuttable presumption. Approximately 53.3% of the loans are made
to investors for business purposes and, hence, are not subject to
the QM/ATR rules.

The sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical residual interest
consisting of not less than 5% of each Note, to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the Distribution Date occurring in
January 2023 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Paying Agent, at the Controlling Holder's option, may
redeem all of the outstanding Notes at a price equal to the greater
of (a) the class balances of the related Notes plus accrued and
unpaid interest, including any cap carryover amounts and (b) the
class balances of the related Notes less than 90 days delinquent
with accrued unpaid interest plus fair market value of the loans 90
days or more delinquent and real estate-owned properties (Optional
Redemption Price). After such purchase, the Paying Agent must
complete a qualified liquidation, which requires (1) a complete
liquidation of assets within the Trust and (2) proceeds to be
distributed to the appropriate holders of regular or residual
interests.

If the Sponsor (or an affiliate) is not the Controlling Holder and
there is more than one Class XS Noteholder, a Third-Party Auction
may be requested. The Third Party Auction Bid must equal or exceed
the Optional Redemption Price for the qualified liquidation to take
place.

The P&I Advancing Party or servicer in the case of loans serviced
by SLS, will fund advances of delinquent principal and interest
(P&I) on any mortgage until such loan becomes 90 days delinquent.
The P&I Advancing Party or servicer has no obligation to advance
P&I on a mortgage approved for a forbearance plan during its
related forbearance period. The Servicers, however, are obligated
to make advances in respect of taxes, insurance premiums, and
reasonable costs incurred in the course of servicing and disposing
properties. The three-month advancing mechanism may increase the
probability of periodic interest shortfalls in the current economic
environment affected by the coronavirus pandemic. As borrowers may
seek forbearance on their mortgages in the coming months, P&I
collections may be reduced meaningfully.

This transaction incorporates a sequential-pay cash flow structure
with a pro rata feature among the senior tranches. Principal
proceeds can be used to cover interest shortfalls on the Class A-1
and A-2 Notes sequentially after a Trigger Event. For more
subordinated Notes, principal proceeds can be used to cover
interest shortfalls as the more senior Notes are paid in full.
Furthermore, excess spread can be used to cover realized losses and
prior period bond writedown amounts first before being allocated to
unpaid cap carryover amounts to Class A-1 down to Class B-3.

CORONAVIRUS IMPACT

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

The non-QM sector is a traditional RMBS asset class that consists
of securitizations backed by pools of residential home loans that
may fall outside the CFPB's ATR rules, which became effective on
January 10, 2014. Non-QM loans encompass the entire credit
spectrum. They range from high-FICO, high-income borrowers who opt
for interest-only (IO) or higher debt-to-income ratio mortgages, to
near-prime debtors who have had certain derogatory pay histories
but were cured more than two years ago, to nonprime borrowers whose
credit events were only recently cleared, among others. In
addition, some originators offer alternative documentation or bank
statement underwriting to self-employed borrowers in lieu of
verifying income with W-2s or tax returns. Finally, foreign
nationals and real estate investor programs, while not necessarily
non-QM in nature, are often included in non-QM pools.

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

In connection with the economic stress assumed under its moderate
scenario, for the non-QM asset class, DBRS Morningstar applies more
severe market value decline (MVD) assumptions across all rating
categories than what it previously used. Such MVD assumptions are
derived through a fundamental home price approach based on the
forecast unemployment rates and GDP growth outlined in the
aforementioned moderate scenario. In addition, for pools with loans
on forbearance plans, DBRS Morningstar may assume higher loss
expectations above and beyond the coronavirus assumptions. Such
assumptions translate to higher expected losses on the collateral
pool and correspondingly higher credit enhancement.

In the non-QM asset class, while the full effect of the coronavirus
pandemic may not occur until a few performance cycles later, DBRS
Morningstar generally believes loans originated to (1) borrowers
with recent credit events, (2) self-employed borrowers, or (3)
higher loan-to-value (LTV) ratio borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. Borrowers with prior credit events have exhibited
difficulties in fulfilling payment obligations in the past and may
revert to spotty payment patterns in the near term. Self-employed
borrowers are potentially exposed to more volatile income sources,
which could lead to reduced cash flows generated from their
businesses. Higher LTV borrowers, with lower equity in their
properties, generally have fewer refinance opportunities and
therefore slower prepayments. In addition, certain pools with
elevated geographic concentrations in densely populated urban
metropolitan statistical areas may experience additional stress
from extended lockdown periods and the slowdown of the economy.

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security Act, signed into law on March
27, 32.5% (as of January 1, 2021) of the borrowers had been granted
forbearance or deferral plans because of financial hardship related
to the coronavirus pandemic. These forbearance plans allow
temporary payment holidays, followed by repayment once the
forbearance period ends. The Servicers, in collaboration with the
Servicing Administrator, is generally offering borrowers a
three-month payment forbearance plan. Beginning in month four, the
borrower can repay all of the missed mortgage payments at once or
opt for other loss mitigation options. Prior to the end of the
applicable forbearance period, the Servicers will contact each
related borrower to identify the options available to address
related forborne payment amounts. As a result, the Servicers, in
conjunction with or at the direction of the Servicing
Administrator, may offer a repayment plan or other forms of payment
relief, such as deferral of the unpaid P&I amounts or a loan
modification, in addition to pursuing other loss mitigation
options.

For these loans, DBRS Morningstar applied additional assumptions to
evaluate the impact of potential cash flow disruptions on the rated
tranches, stemming from (1) lower P&I collections and (2) limited
servicing advances on delinquent P&I. These assumptions include the
following:

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

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

(3) No voluntary prepayments for the first 12 months for the AAA
(sf) and AA (sf) rating levels.

(4) No liquidation recovery for the first 12 months for the AAA
(sf) and AA (sf) rating levels.

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


VOYA CLO 2015-3: Fitch Assigns B- Rating on Class E-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
refinancing notes and affirmed the existing ratings and Rating
Outlooks on the notes issued by Voya CLO 2015-3, Ltd.

The class A-2B-R notes will be marked 'PIF'.

       DEBT                 RATING              PRIOR
       ----                 ------              -----
Voya CLO 2015-3, Ltd.

A-1-R 92913UAN6      LT  AAAsf  Affirmed        AAAsf
A-2A-R 92913UAQ9     LT  AAAsf  Affirmed        AAAsf
A-2B-R 92913UAY2     LT  PIFsf  Paid In Full    AAAsf
A-2B-RR              LT  AAAsf  New Rating  
A-3-R 92913UAS5      LT  AAsf   Affirmed        AAsf
E-R 92913DAL8        LT  B-sf   Affirmed        B-sf

TRANSACTION SUMMARY

Voya CLO 2015-3, Ltd. (the issuer) is a collateralized loan
obligation (CLO) managed by Voya Alternative Asset Management LLC
(VAAM) that originally closed in September 2015 and was refinanced
in November 2018. On the Feb. 9, 2021 refinancing date, the CLO
issued class A-2B-RR (the replacement notes) and applied the net
issuance proceeds thereof to redeem the existing class A-2B-R at
par (plus accrued interest). The class A-1-R, A-2A-R, A-3-R, B-R,
C-R, D-R, E-R and subordinated notes were not refinanced.

The replacement notes have the same terms as the previously
outstanding classes except that the stated coupons have changed.
The redeemed class A-2B-R fixed rated notes are being refinanced to
floating rate notes. The spread over three-month LIBOR on the class
A-2B-RR is 1.35%, compared to a coupon of 4.682% for the redeemed
notes. Compared to the previous capital structure the stated
interest rates of the notes have changed, resulting in a cost of
funding decrease of 0.05%.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.

Asset Security (Positive): The indicative portfolio consists of
98.8% first-lien senior secured loans and has a weighted average
recovery assumption of 76.15%. Fitch's analysis for this
refinancing focused on the transaction's current portfolio but also
included a stressed portfolio in which a higher portfolio
concentration of assets with lower recovery prospects and further
reduced recovery assumptions for higher rating stresses.

Portfolio Composition (Neutral): The largest three industries may
comprise up to 39.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.

Portfolio Management (Neutral): The transaction has a 2.7-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis included a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.

Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction.

FITCH ANALYSIS

The portfolio presented to Fitch includes 528 assets from 453
primarily high-yield obligors. The portfolio balance was below the
initial target par amount by 3.1% and was upsized in Fitch's
analysis to consider the positive cash balance of USD1.99 million.
The weighted average rating factor of the current portfolio is
'B'/'B-'. Fitch has an explicit rating or a credit opinion for
48.5% of the current portfolio par balance; ratings for 50.8% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map.

Defaulted assets represent 0.4% of the portfolio, and the remaining
0.3% does not have a public rating or a Fitch credit opinion and
were assumed to be rated 'CCC' or below. Since the last review in
August 2020 the portfolio performance has been relatively stable.
As per the latest trustee report, the transaction passes all its
coverage tests, collateral quality tests, and concentration
limitation tests, except the 'CCC' Collateral Obligations test,
which is marginally failing.

For the current tranches rating affirmation, the analysis focused
on the transaction's current portfolio and its performance since
the last review.

The cash flow modelling considered nine stress scenarios to account
for the different combinations of three default timings and three
interest rate stresses. In the analysis of the current portfolio,
the class A-1-R, A-2A-R, and A-3-R notes passed their current
rating PCM hurdle in all nine stress scenarios with a minimum
cushion of 11.3%, 7.6%, and 7.7% respectively, which supported
Fitch's affirmation of the ratings.

In the analysis of the current portfolio, the class E-R notes
passed the 'B-sf' rating hurdle in six out of nine scenarios, with
three failures of -2.8%, -1.7% and 2.4%. Fitch affirmed the class
E-R notes at 'B-sf' because the model failures experienced by the
notes in the analysis of the current portfolio were in the rising
interest rate scenarios only. Fitch believes that represents an
unlikely event in the near term and gave more weight to the stable
interest rate scenarios. Fitch also believes the notes will benefit
from stabilization of the negative credit quality migration and
views the refinancing to a lower cost of capital as credit positive
in the current interest rate environment.

For the class A-2B-RR replacement notes, the Fitch stressed
portfolio (FSP) was also analysed to assign a new rating. The FSP
consists of the current portfolio and included the following
concentrations, reflecting the limitations per the original
indenture:

-- Minimum senior secured and maximum second-lien loans: 92.5%
    and 7.5%, respectively;

-- Largest five obligors: 2.5% each, 12.5% in aggregate;

-- Largest three industries: 15%, 12%, 12%, respectively;
    however, the first, second largest industries were already
    exceeding their respective limits in the indicative portfolio
    and were maintained at 15.08%, 12.78%, respectively for the
    FSP.

-- Assets rated 'CCC+' or below: 7.5%; however, the current
    'CCC+' or below exposure was already exceeding its respective
    limit in the indicative portfolio and was maintained at 10.9%
    for the FSP;

-- Maximum weighted average life: seven years; long-dated assets
    were mocked up to 1.0% with a maturity date one week after the
    maturity date.

-- Minimum Floating-rate obligations (earning a weighted average
    spread of 3.0% over LIBOR): 95.0%;

-- Maximum Fixed-rate obligations (earning a weighted average
    coupon of 7.0%): 5.0%.

Fitch generated projected default and recovery statistics of the
FSP using its portfolio credit model (PCM). The PCM default rate
and recovery rate outputs for the FSP at the 'AAAsf' rating stress
were 56.3% and 38.2%, respectively.

In the analysis of the current portfolio the class A-2B-RR notes
passed the 'AAAsf' rating threshold in nine cash flow scenarios
with a minimum cushion of 7.6%. In the analysis of the FSP, the
class A-2B-RR passed eight out of nine scenarios, with one marginal
model failure of -2.2%.

Given the marginal failures for the class A-2B-RR when evaluating
the FSP, Fitch tested their performance at a level one notch below
their respective rating hurdle rates; the class A-2B-RR notes
passed the 'AA+sf' PCM hurdle rate in all nine scenarios with a
minimum cushion of 6.6%. Fitch assigned a 'AAAsf' rating to the
class A-2B-RR notes because it believes the notes can sustain a
robust level of defaults, combined with lower recoveries, as well
as other factors such as strong performance in the sensitivity
scenarios.

The Stable Outlook on the class A-1-R, A-2A-R, A-2B-RR and A-3-R
notes reflects the expectation that the notes have a sufficient
level of credit protection to withstand potential deterioration in
the credit quality of the portfolio. The Outlook for the class E-R
notes remains Negative, reflecting the notes' higher vulnerability
to potential further credit deterioration.

RATING SENSITIVITIES

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

-- Upgrade scenarios are not applicable to the class A-1-R, A-2A
    R and A-2B-RR notes, as these notes are in the highest rating
    category of 'AAAsf'. A 25% reduction of the mean default rate
    across all ratings, and a 25% increase of the recovery rate at
    all rating levels, would potentially lead to an upgrade of two
    notches for the class A-3-R and E-R notes, based on model
    implied ratings.

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

-- Variability in key model assumptions, such as decreases in
    recovery rates and increases in default rates, could result in
    a downgrade. Fitch evaluated the notes' sensitivity to
    potential changes in such a metric. The results under these
    sensitivity scenarios are between 'BB+sf' and 'AAAsf' for
    class A-1-R, class A-2A-R, and class A-2B-RR, between 'CCCsf'
    and 'A+sf' for class A-3-R, and lower than 'CCCsf' for class
    E-R.

-- Additional Near-Term Stress Scenario As outlined in "Fitch
    Ratings Expects to Revise Significant Share of CLO Outlooks to
    Stable," dated Jan. 21, 2021, Fitch also applied a near-term
    stress scenario to the portfolio that assumes half of the
    assets with a Negative Outlook in the indicative portfolio are
    downgraded by one notch (with a CCC- floor).

-- The total portfolio exposure to these assets is 29.38%. Under
    this stress, the class A-1-R, A-2A-R, A-2B-RR and A-3-R notes
    can withstand default rates above their respective portfolio
    credit model (PCM) hurdle rates; the class E-R notes shows
    three marginal model failures of -4.15%, -3.05%, -3.75%, all
    in the rising interest rate scenarios.

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.

DATA ADEQUACY

The sources of information used to assess these ratings were
provided by the arranger (Natixis Securities Americas LLC) and the
public domain.


WELLS FARGO 2014-C24: Fitch Cuts Rating on 4 Tranches to 'D'
------------------------------------------------------------
Fitch Ratings has downgraded seven classes of Wells Fargo
Commercial Mortgage Securities, Inc.'s WFRBS Commercial Mortgage
Trust Series 2014-C24 commercial mortgage pass-through
certificates. In addition, Fitch has affirmed the ratings on seven
classes.

     DEBT               RATING           PRIOR
     ----               ------           -----
WFRBS 2014-C24

A-3 92939KAC2    LT  AAAsf  Affirmed     AAAsf
A-4 92939KAD0    LT  AAAsf  Affirmed     AAAsf
A-5 92939KAE8    LT  AAAsf  Affirmed     AAAsf
A-S 92939KAG3    LT  AAsf   Downgrade    AAAsf
A-SB 92939KAF5   LT  AAAsf  Affirmed     AAAsf
B 92939KBR8      LT  Asf    Affirmed     Asf
C 92939KAK4      LT  BBBsf  Affirmed     BBBsf
D 92939KAT5      LT  Csf    Downgrade    B-sf
E 92939KAV0      LT  Dsf    Downgrade    Csf
F 92939KAX6      LT  Dsf    Downgrade    Csf
PEX 92939KAL2    LT  BBBsf  Affirmed     BBBsf
X-A 92939KAH1    LT  AAsf   Downgrade    AAAsf
X-C 92939KAM0    LT  Dsf    Downgrade    Csf
X-D 92939KAP3    LT  Dsf    Downgrade    Csf

KEY RATING DRIVERS

Recent Liquidation/Realized Losses Incurred: The downgrades are the
result of the recent liquidation of the Two Westlake Park asset
(previously specially serviced and the 2nd largest loan in the
pool) that resulted in the reduction in credit enhancement and
realized losses to rated classes E and F, which have been
downgraded to 'Dsf', and the non-rated class G. The downgrade of
classes A-S and interest-only X-A, which previously had Negative
Rating Outlooks, reflects that realized losses were higher than
anticipated at the previous rating action.

The Negative Outlooks on classes A-S through C reflect the 13 loans
(25.9%) that are Fitch Loans of Concern (FLOCs), including 10 loans
(14.4% of the pool) that remain in special servicing, four of which
(10%) are within the top 10. If loan performance does not stabilize
or valuations decline, downgrades are possible.

Decline in Credit Enhancement: Although the pool's aggregate
principal balance has been reduced by 21.1% to $858.4 million from
$1.087 billion at issuance, based on the original balance of the
pool, approximately 6.5% is due to the $71.7 million realized loss
on the former second largest loan. Credit enhancement on all
classes has been reduced.

Since Fitch's last rating action, three loans have paid off at or
prior to maturity. Nine loans (7.9% of pool) are fully defeased,
including the 7th largest loan (2.8% of the pool). The pool is
scheduled to amortize by 9.3% of the initial pool balance prior to
maturity. Of the current pool, approximately 54.7% is full term
interest-only, 40.6% of the pool is partial interest only and 21.7%
of the pool consists of amortizing balloon loans.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, B, C, PEX and X-A reflect the
potential for further downgrades and concerns with the FLOCs, and
potential increase in pool-level expected losses if performance of
loans impacted by the pandemic do not stabilize and/or if
additional loans transfer to special servicing. The The Stable
Rating Outlooks on classes A-3, A-4, A-5, and A-SB reflect the
defeasance, the expectation of continued amortization and the
anticipated payoff of performing non-FLOCs.

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

-- Factors resulting in upgrades include stable to improved asset
    performance coupled with paydown and/or defeasance. Upgrades
    are not likely due to performance/refinance concerns with the
    FLOCs, primarily the regional mall FLOCs, but could occur if
    performance of the FLOCs improves significantly and/or any of
    the mall's payoff, or if credit enhancement improves
    significantly.

-- Upgrades of the classes currently on Rating Watch Negative are
    not expected unless the classes senior to them payoff. If
    interest shortfalls were likely, no classes would be upgraded
    above 'Asf'. An upgrade of the distressed classes are not
    likely unless one or more of the three FLOC malls payoff, or
    performance improves considerably.

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

-- Factors resulting in downgrades include an increase in pool
    level expected losses due to valuations on the specially
    serviced malls that are less than Fitch's current assumed
    value, further clarity on the workout strategy of the
    specially serviced malls or the transfer of additional loans
    to special servicing.

-- Downgrades of classes A-3, A-4, A-5, and A-SB could occur
    should overall loss expectations increase; however, the
    payment priority of the classes would be considered. Should
    interest shortfalls occur, or expected to be incurred, classes
    would be capped at 'Asf'. Classes A-S, X-A, B, C, D and PEX
    would see downgrades if the FLOCs' performance continues to
    decline, loss expectations increase significantly, and/or
    increased certainty of losses or as losses are realized.

-- In addition to its baseline scenario related to the
    coronavirus, Fitch also envisions a downside scenario where
    the health crisis is prolonged beyond 2021. Should this
    scenario play out, Fitch expects downgrades could be multiple
    categories.

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.


WELLS FARGO 2016-C32: DBRS Confirms B(sf) Rating on Class X-F Certs
-------------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2016-C32 issued by Wells
Fargo Commercial Mortgage Trust 2016-C32 as follows:

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-3FL at AAA (sf)
-- Class A-3FX at AAA (sf)
-- Class A-4 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 (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-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)

With this review, DBRS Morningstar removed the ratings on Classes
D, X-D, X-E, E, X-F, and F from Under Review with Negative
Implications, where they were placed on August 6, 2020. The trends
on Classes X-E, E, X-F, and F are Negative; all other trends are
Stable.

The Negative trends reflect the elevated credit risk posed by six
loans in special servicing, including one loan that is expected to
become real estate owned by the Trust. In addition to the six loans
in special servicing (5.3% of the current pool balance) as of the
January 2021 remittance, there also are 18 loans (36.8% of the
current pool balance) on the servicer's watchlist. Eleven of these
loans (19.1% of the current pool balance) were watchlisted because
of performance declines. Excluding two loans that have not yet
provided Q3 2020 reporting, these loans reported a weighted-average
debt service coverage ratio (DSCR) of 0.82 times (x) based on the
most recent reporting, compared with the year-end 2019 figure of
2.22x.

As of the January 2021 remittance, 109 out of 112 of the original
loans remain in the pool, with a collateral reduction of 8.2% since
issuance as a result of loan amortization and loan repayment. By
property type, the deal is most concentrated by retail (26.9% of
the current pool balance) and hotel (14.3% of the current pool
balance) assets, which is significant given that these property
types have been the most severely affected by the Coronavirus
Disease (COVID-19) pandemic. There are also 30 loans (11.8% of the
current pool balance) secured by cooperative properties, which
benefit from very low leverage profiles. In addition, nine loans
(3.5% of the current pool balance) are secured by collateral that
has been fully defeased.

All six loans in special servicing transferred as a result of
ongoing difficulties caused by the coronavirus pandemic. The
largest of these loans, Northline Industrial (Prospectus ID#12,
2.1% of the current pool balance), failed to pay off at its
maturity in October 2020 but has continued to make debt service
payments postmaturity. According to servicer commentary, the
borrower is expected to close on refinancing by early February
2020.

Among the watchlisted loans, the Marriott Melville Long Island
(Prospectus ID#2, 6.7% of the current pool balance) is the largest
credit concern. The loan, secured by a 396-key full-service hotel
in Melville, New York, approximately 32 miles east of Manhattan,
was added to the servicer's watchlist in January 2021 because of a
sharp decline in performance following the outbreak of the
coronavirus pandemic. As of Q3 2020, the loan reported a trailing
12 months (T-12) net cash flow of $2.5 million resulting in a DSCR
of 0.83x, well below the year-end 2019 figure of $10.0 million
(3.28x). The year-end 2019 figure showed substantial growth over
the previous year's reporting and the sponsor has undertaken
approximately $9.6 million in renovations since 2015. As of
September 2020, the property reported T-12 occupancy, average daily
rate, and revenue per available room figures of 37.6%, $179, and
$67, respectively, compared with year-end 2019 figures of 72.8%,
$195, and $142, respectively. Demand segmentation at issuance was
50.0% corporate, 25.0% meeting, and 25.0% leisure, with the
corporate demand generally driven by the heavy concentration of
local employers and nearby office developments.

While the improvements made to the property are notable, DBRS
Morningstar did raise concerns at issuance over the sponsor,
Columbia Sussex Corporation, which is a privately held hospitality
company based out of Kentucky with approximately 50 hotels under
ownership and management. The concerns at issuance cited a number
of unfavorable workouts of the sponsor's CMBS portfolio, including
foreclosures and defaults, that arose as a result of the last major
credit crisis, which required the sponsor to deleverage its CMBS
portfolio. DBRS Morningstar has maintained its negative view of the
sponsorship group, despite the investment into the subject
property. The probability of default was increased for this loan to
reflect the increased credit risk to the Trust given the recent
decline in performance and concerns with the sponsorship.

DBRS Morningstar materially deviated from its North American CMBS
Insight Model when determining the rating assigned to Class B, as
the quantitative results suggested a higher rating on the Class.
The material deviation is warranted given the uncertain loan-level
event risk with the loans in special servicing and on the
servicer's watchlist.

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


WELLS FARGO 2016-LC25: DBRS Cuts Class G Certs Rating to B (low)
----------------------------------------------------------------
DBRS Limited downgraded the ratings on three classes of Commercial
Mortgage Pass-Through Certificates, Series 2016-LC25 issued by
Wells Fargo Commercial Mortgage Trust 2016-LC25 as follows:

-- Class E to BB (high) (sf) from BBB (low) (sf)
-- Class F to B (high) (sf) from BB (high) (sf)
-- Class G to B (low) (sf) from B (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

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

All trends are Stable, with the exception of Classes E, F, and G,
which have Negative trends. DBRS Morningstar also removed classes
X-D, D, E, F, and G from Under Review with Negative Implications,
where they were placed on August 6, 2020.

The rating downgrades and Negative trends reflect ongoing
performance issues with the three loans in special servicing,
particularly the two largest, which are both top 10 loans that
combine for 5.9% of the pool balance and are both backed by retail
properties, which the ongoing Coronavirus Disease (COVID-19)
pandemic has immediately affected. In total, 39 loans in the
transaction are secured by hotel and retail properties,
representing 46.7% of the pool balance. There are also 21 loans on
the servicer's watchlist, representing 25.5% of the pool balance.
The largest of these loans are generally being monitored for a low
debt service coverage ratio (DSCR) and/or occupancy issues that
have generally been driven by disruptions related to the
coronavirus pandemic. Six of the smaller loans on the watchlist
that combine for 2.2% of the pool are secured by cooperative
housing properties that are generally being monitored for low DSCRs
or missing insurance documentation.

As of the January 2021 remittance, the transaction is composed of
79 loans, totalling $905.0 million. One of the original 72 loans
has been repaid, with total collateral reduction since issuance of
5.2%. The transaction benefits from a concentration of office
collateral as 12 loans, representing 25.0% of the current pool
balance, are secured by office properties, which have shown greater
initial resilience to cash flow declines during the pandemic. This
includes the largest loan in the transaction, 9 West 57th Street
(Prospectus ID#3, 7.2% of the current pool balance), which is
secured by an office tower in Manhattan. At issuance, the 9 West
57th Street loan was shadow-rated investment grade. With this
review, DBRS Morningstar confirms that the performance of this loan
remains consistent with investment-grade loan characteristics.

The largest loan in special servicing, The Shops at Somerset
(Prospectus ID#7, 3.3% of pool), is secured by an unanchored retail
property in Glastonbury, Connecticut. The sponsors for this loan
are Rouse Properties and Brookfield Property Partners. The loan
transferred to special servicing in August 2020 as a result of
payment delinquency and has remained over 90 days delinquent since
September 2020. As of January 2021, the special servicer is in
discussions with the borrower and exploring potential workout
strategies, including a loan modification, and also a potential
deed in lieu, according to the servicer's most recent commentary
from January 2021.

The largest three tenants represent only 17.7% of the net rentable
area (NRA) and include Talbots (7.4% of the NRA) and Jos. A. Bank
(4.4% of the NRA), both of which have tenant lease expirations in
January 2021. A leasing update has been requested; both tenants
were in operation at the property as of January 2021, according to
the property website. Although updated quarterly financials are not
reporting, the pre-pandemic financials were strong with a Q1 2020
DSCR of 2.59 times (x) and an occupancy rate of 77% compared with
1.80x and occupancy of 83% at YE2019. Given the outstanding payment
default, the servicer's suggestion that a deed in lieu is even on
the table, and general challenges for the retail industry, DBRS
Morningstar increased the probability of default (POD) to account
for the increased credit risk of the loan for this review.

The second largest loan in special servicing, Gurnee Mills
(Prospectus ID#10, 2.6% of pool), is secured by a single-level
enclosed regional mall totalling 1.9 million square feet (sf), of
which 1.7 million sf is part of the collateral. Simon Property
Group owns and operates the collateral portion of the property. At
issuance, the largest tenants were Sears Grand, Bass Pro Shops, and
Macy's. Sears Grand was closed in 2018 and the sponsor has yet to
backfill the space. The loan transferred to the special servicer in
June 2020 as a result of monetary default related to the effects of
the coronavirus pandemic. The loan was last paid in April 2020,
according to the January 2021 remittance. Simon has submitted a
coronavirus-related relief request and entered into a forbearance
agreement in December 31, 2020, although the terms of the agreement
have not been disclosed. According to the servicer, the loan will
be returned to the master servicer in the near future.

Performance for the subject property was on the decline prior to
the coronavirus pandemic, with cash flow trending downward for the
past three consecutive years. The YE2019 net cash flow (NCF)
decreased 11.1% compared with YE2018 and declined 17.5% compared
with the issuer's NCF. DBRS Morningstar notes the increased risks
for the loan from issuance given the extended delinquency, the
difficulty in backfilling the former Sears Grand space, and the
property's exposure to struggling retailers, including Macy's.
Given these factors, as well as the decline in performance prior to
the pandemic, DBRS Morningstar applied a stressed POD for this loan
in the analysis for this review, increasing the expected loss.

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


WELLS FARGO 2017-RB1: DBRS Confirms B Rating on 3 Classes of Certs
------------------------------------------------------------------
DBRS Limited confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2017-RB1 issued by Wells Fargo
Commercial Mortgage Trust 2017-RB1 as follows:

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

All trends are Stable, with the exception of Classes G-1 and G-2,
and the respective exchangeable Classes EFG and G, which carry
Negative trends. With this review, DBRS Morningstar removed Classes
F-2, G-1, and G-2 from Under Review with Negative Implications,
where they were placed on August 6, 2020.

The Negative trend assignments are reflective of DBRS Morningstar's
concerns surrounding the two loans in special servicing, as
discussed below. In general, however, the transaction has performed
in line with issuance expectations. As of the January 2021
remittance, the initial trust balance of $638 million has been
reduced to $623.4 million, with 36 of the original 37 loans
remaining in the pool. The transaction is concentrated by property
type as 11 loans, representing 49.7% of the current trust balance,
are secured by office collateral. Mixed-use properties back the
second-largest concentration of loans, with five loans representing
15.1% of the current trust balance.

As of the January 2021 remittance, 11 loans, representing 17.9% of
the pool, are on the servicer's watchlist, and there are two loans,
representing 6.8% of the pool, in special servicing. Seven of the
watchlisted loans are being monitored for a variety of issues, such
as low debt service coverage ratios (DSCRs), occupancy-related
issues, and deferred maintenance. In general, the watchlisted loans
exhibiting increased risks from issuance were analyzed with a
probability of default (POD) penalty to increase the expected loss
for this review. A POD penalty was also applied for the larger loan
in special servicing, and the smaller loan in special servicing was
liquidated in the analysis for this review.

The larger loan in special servicing is Anaheim Marriot Suites
(Prospectus ID#10; 4.1% of the pool). The loan is secured by a
371-key full-service hotel in Garden Grove, California, near two
major demand drivers: the Anaheim Convention Center and Disneyland.
The loan was transferred to the special servicer in June 2020 for
payment default and, as of the January 2021 remittance, was listed
as 121-plus days delinquent. The special servicer has confirmed
that the borrower has proposed a loan modification to allow for
temporary payment relief, which is in discussions as of this
review. As of the trailing 12 month (T-12) period ended August 2020
STR, Inc. report, the collateral reported an occupancy rate of
55.3%, an average daily rate of $123.83, and revenue per available
room of $68.53. Those figures represented year-over-year declines
of 37.6%, 8.1%, and 42.7%, respectively. The servicer most recently
reported a T-6 ended June 2020 debt service coverage ratio (DSCR)
of -0.21 times (x), down from the year-end (YE) 2019 DSCR of 1.84x
and the YE2018 DSCR of 1.79x.

The other loan in special servicing is Art Van Portfolio
(Prospectus ID#14; 2.9% of the pool). The collateral is a portfolio
of three retail properties and two industrial properties in
suburban Detroit and Grand Rapids, Michigan. The portfolio
initially served as a distribution, warehouse, and retail facility
for a furniture company, Art Van Furniture (Art Van). In March
2020, Art Van filed for Chapter 11 bankruptcy, which was
subsequently converted to a Chapter 7 liquidation in April. A
private-equity firm acquired three of the collateral property
leases and rebranded Art Van Furniture as Loves Furniture. With
that development, the loan was brought current through a
reinstatement agreement. The two remaining properties in the
portfolio were re-leased, but details have not been provided to
date.

More recently, however, the newly formed Loves Furniture has filed
for Chapter 11 bankruptcy as of December 2020, with the company
announcing initial plans to downsize its national footprint to 11
stores from 24. The closure list did not include the subject
properties; however, DBRS Morningstar notes that significant
challenges remain for the fledgling furniture retailer that could
ultimately mean all locations will be closed. The subject loan is
delinquent for the November 2020 payment and all payments due
thereafter. Although the industrial properties will likely be more
attractive for selling and/or re-leasing should Loves Furniture
ultimately fold, the Coronavirus Disease (COVID-19) pandemic brings
significant uncertainty that DBRS Morningstar considered for this
review. As such, DBRS Morningstar applied a conservative approach
that allowed for a significant haircut to the September 2020
appraisal.

At issuance, DBRS Morningstar shadow-rated one loan investment
grade, Merrill Lynch Drive (Prospectus ID#13; 3.3% of the pool).
With this review, DBRS Morningstar confirms the performance of the
loan remains in line with its respective shadow ratings.

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



WELLS FARGO 2018-C44: DBRS Confirms BB Rating on Class F-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-C44 issued by Wells Fargo
Commercial Mortgage Trust 2018-C44 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 X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (sf)
-- Class G-RR at B (high) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction. At issuance, the trust
consisted of 44 fixed-rate loans secured by 55 commercial,
hospitality, and multifamily properties with an original balance of
$766.7 million. As of the January 2021 remittance report, all of
the original loans remain in the pool and there has been nominal
collateral reduction of 1.2% since issuance. The pool is somewhat
concentrated by property type, with the greatest concentration by
loan balance consisting of office assets (12 loans accounting for
35.2% of the current bool balance). Retail assets account for the
second-greatest property type concentration, with 13 loans that
represent 24.8% of the current pool balance. There are six loans
secured by lodging properties, which have been particularly
hard-hit by the global Coronavirus Disease (COVID-19) pandemic;
however, the concentration is relatively small as these loans make
up 12.3% of the current pool balance.

At issuance, an investment-grade shadow rating was assigned to one
loan, Prospectus ID#7 – 181 Fremont Street (4.0% of the current
pool balance). With this review, DBRS Morningstar confirmed that
the performance of this loan remains consistent with the
characteristics of an investment-grade loan.

As of the January 2021 remittance period, there were nine loans
representing 22.1% of the current pool balance on the servicer's
watchlist, including three of the top 15 loans that combine for
16.5% of the pool. The watchlisted loans are being monitored for a
variety of reasons including low debt service coverage ratios
(DSCRs), decreases in occupancy from issuance, upcoming lease
expirations, and/or requests from the respective borrowers for
relief as a result of the coronavirus pandemic.

The largest loan in the pool, Village at Leesburg (8.7% of the
pool) is on the watchlist for monitoring after its return from the
special servicer, where it was transferred in June 2020 following
the borrower's pandemic-related relief request. The loan is secured
by a grocery-anchored retail property in Leesburg, Virginia,
approximately 40 miles northwest of Washington, D.C. The grocery
anchor is Wegmans, with 26.1% of the net rentable area (NRA) on a
lease that runs through July 2034. The second-largest tenant is
Cobb Theatres (11.7% of the NRA), whose parent company filed for
bankruptcy in April 2020. L.A. Fitness (8.2% of the NRA), Bowlero
(3.9% of the NRA), and Atomic Trampoline (3.0% of the NRA) round
out the top five tenant roster.

Although the grocery anchor is a desirable draw, particularly given
the property's proximity to a Silver Line subway station that was
opened in 2020, the concentration of experiential tenants as the
other four tenants in the top five tenants is noteworthy amid the
pandemic given the challenges for those businesses with the social
distancing guidelines in place. The borrower initially submitted a
relief request when the loan was transferred to special servicing,
but that was ultimately withdrawn and the loan was returned to the
master servicer in November 2020.

There were also three loans in special servicing: Prospectus ID#9
– Prince and Spring Street Portfolio (4.0% of the current pool
balance); Prospectus ID#23 - Holiday Inn Express & Suites -
Marysville, WA (1.5% of current pool balance); and Prospectus ID#25
– 1442 Lexington Ave (1.5% of current pool balance).

The largest specially serviced loan, Prince and Spring Street
Portfolio, is secured by a portfolio of three mixed-use properties
with a total of 48 multifamily units and approximately 8,000 square
feet of ground-floor retail, all located within three blocks of
each other in the Nolita neighborhood of lower Manhattan, New York.
The loan's transfer to special servicing was reflected in the
January 2021 remittance, when it was reported as more than 90 days
delinquent. Cash flows prior to the pandemic were already stressed,
with a YE2019 DSCR of 0.97x, and the loan had been delinquent
several times before the transfer to special servicing and
according to the special servicer, the borrower has formally
requested relief and negotiations are underway regarding a
potential loan modification.

The second-largest specially serviced loan, Holiday Inn Express &
Suites - Marysville, WA, is secured by a 100-key limited-service
hotel in Marysville, Washington (approximately 40 miles north of
Seattle). The loan transferred to special servicing in October 2020
because of imminent monetary default resulting from the effects of
the coronavirus pandemic. However, it has since been reported that
the borrower has withdrawn the relief request and the loan is
expected to return to the master servicer in the near term. The
loan was paid in December 2020, but the January 2021 remittance
showed the January 2021 payment remained outstanding.

Although the effects of the pandemic have introduced and/or
exacerbated previously existing risks for these larger loans in
special servicing, DBRS Morningstar notes mitigating factors for
each that include favorable locations for the collateral properties
in the case of the Prince and Spring Street Portfolios and in the
historically stable performance for the Holiday Inn Express &
Suites – Marysville, WA property and believes the overall risk
through the near to medium term remains moderate for both loans.

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


WELLS FARGO 2018-C47: DBRS Confirms BB Rating on Class G-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2018-C47 issued by Wells Fargo
Commercial Mortgage Trust 2018-C47 as follows:

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

DBRS Morningstar also removed Classes G-RR and H-RR from Under
Review with Negative Implications, where they were placed on August
6, 2020. Those two classes have Negative trends; all other trends
are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the December 2020 remittance,
all 47 loans secured by 106 commercial and multifamily properties
remain in the pool with a collateral reduction of 0.7% since
issuance. According to the YE2019 financials, the servicer reported
a weighted-average debt service coverage ratio (DSCR) of 1.91 times
(x) compared to the DBRS Morningstar DSCR at issuance of 1.85x.

The Negative trends for the two lowest-rated classes reflect DBRS
Morningstar's concerns with the defaulted loans in the pool. As of
the December 2020 remittance, there are two loans in special
servicing, including the sixth-largest loan in the pool, Holiday
Inn FiDi (Prospectus ID#6, 3.7% of the pool balance), which is a
portion of a $137.0 million pari passu whole loan secured by a
492-key limited-service hotel located in the Financial District of
Downtown Manhattan, New York. The loan was transferred to special
servicing in May 2020 for imminent default at the borrower's
request, and the servicer confirmed in the December 2020 commentary
that negotiations regarding a forbearance remained ongoing. The
loan was last paid in April 2020.

Although the pre-Coronavirus Disease (COVID-19) pandemic
performance was generally healthy, the YE2019 DSCR of 2.11x was
down from the issuer's DSCR of 2.47x and down from the YE2018
figure of 2.31x. The servicer most recently reported a DSCR of
-0.71x as of the trailing 12 months ended September 30, 2020. An
updated appraisal has been ordered but not finalized; however,
given the sharp decline in demand for hotels across the country,
with demand falling off particularly sharply in New York where the
pandemic's effects have been exacerbated by many factors including
the size of the population and the challenges for social distancing
measures that result, the as-is value of the hotel has likely
fallen significantly from issuance. Given these factors, as well as
the below issuance performance metrics of the two years post-loan
closing and pre-pandemic, the risks for this loan are considered
significantly higher than the issuance level and as such, the loan
was analyzed with a sharp increase to the probability of default to
increase the expected loss for this review.

The second-largest loan in special servicing is the 1400 Fifth
Avenue (Prospectus ID#26, 1.3% of the pool balance) loan, which is
secured by an anchored retail property located in New York and was
transferred to special servicing in June 2020 for imminent default.
As of the December 2020 remittance, the loan was last paid in March
2020, with the servicer reporting negotiations remain underway for
a forbearance request. Due to stay-at-home orders and business
closures, several of the property's tenants are currently
delinquent on their monthly rents. In addition, the largest tenant,
New York Sports Club, which occupied 45.6% of the net rentable
area, filed for bankruptcy in September 2020 and has since vacated
the property. As of September 2020, the loan reported a DSCR of
0.70x, compared to the YE2019 DSCR of 1.39x. Given the significant
challenges facing the sponsor in the sizable vacancy and the
extended delinquency for this loan, a liquidation scenario was
assumed that implied a loss severity in excess of 12.0%.

According to the December 2020 remittance, 20 loans are on the
servicer's watchlist, representing 29.3% of the current pool
balance. The service is monitoring these loans for various reasons,
including a low DSCR or occupancy figure, tenant rollover risk,
and/or pandemic-related forbearance requests. Many of the larger
loans on the servicer's watchlist are backed by lodging properties,
including the largest loan on the watchlist in Prospectus ID#1,
Starwood Hotel Portfolio (7.4% of the pool) and the second-largest
loan on the watchlist in Prospectus ID#5, Virginia Beach Hotel
Portfolio (4.8% of the pool). Although both loans are being
monitored for low DSCRs, it is noteworthy that neither is being
monitored for a coronavirus relief request and both remain
current.

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


WFRBS COMMERCIAL 2012-C8: Moody's Cuts Class F Certs to Ba3
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings on two classes
and affirmed the ratings on eleven classes in WFRBS Commercial
Mortgage Trust 2012-C8, Commercial Mortgage Pass-Through
Certificates, Series 2012-C8 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Jul 15, 2020 Affirmed Aaa
(sf)

Cl. A-FL, Affirmed Aaa (sf); previously on Jul 15, 2020 Affirmed
Aaa (sf)

Cl. A-FX, Affirmed Aaa (sf); previously on Jul 15, 2020 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Jul 15, 2020 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Jul 15, 2020 Affirmed
Aaa (sf)

Cl. B, Affirmed Aa1 (sf); previously on Jul 15, 2020 Affirmed Aa1
(sf)

Cl. C, Affirmed A1 (sf); previously on Jul 15, 2020 Affirmed A1
(sf)

Cl. D, Affirmed A3 (sf); previously on Jul 15, 2020 Affirmed A3
(sf)

Cl. E, Affirmed Baa3 (sf); previously on Jul 15, 2020 Affirmed Baa3
(sf)

Cl. F, Downgraded to Ba3 (sf); previously on Jul 15, 2020 Confirmed
at Ba2 (sf)

Cl. G, Downgraded to Caa3 (sf); previously on Jul 15, 2020
Downgraded to Caa1 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Jul 15, 2020 Affirmed
Aaa (sf)

Cl. X-B*, Affirmed Aa1 (sf); previously on Jul 15, 2020 Affirmed
Aa1 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on the nine P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.

The ratings on two P&I classes were downgraded due to higher
anticipated losses driven by the specially serviced and troubled
loans, which are secured by regional mall and hotel properties. The
largest specially serviced loan, the Town Center at Cobb Loan (6.8%
of the pool), is secured by a regional mall that was already
experiencing declining performance prior to 2020 and the special
servicer indicated the Borrower is now cooperating with a
foreclosure anticipated in early 2021. Furthermore, in addition to
the specially serviced loans, the transaction includes another
regional mall loan, Northridge Fashion Center (8.3% of the pool),
that faces upcoming refinance risk in December 2021.

The ratings on the two IO classes were affirmed based on the credit
quality of the referenced classes.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our analysis has considered the effect on the performance of
commercial real estate from the current weak US economic activity
and a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around our forecasts is unusually high. Stress on
commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties.

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

Moody's rating action reflects a base expected loss of 6.0% of the
current pooled balance, compared to 5.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.2% of the
original pooled balance, compared to 3.9% at Moody's last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
https://bit.ly/3tmJ0XE.

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

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

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

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in September 2020.

DEAL PERFORMANCE

As of the January 15, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 30% to $913 million
from $1.3 billion at securitization. The certificates are
collateralized by 66 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans (excluding
defeasance) constituting 58% of the pool. Twenty-five loans,
constituting 21% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 13, compared to 14 at Moody's last review.

As of the January 2021 remittance report, loans representing 91%
were current or within their grace period on their debt service
payments, 1% were beyond their grace period but less than 30 days
delinquent, 1% were between 30 -- 59 days delinquent, and 8% were
in foreclosure or already real estate owned (REO).

Eleven loans, constituting 17% of the pool, are on the master
servicer's watchlist, of which one loan, representing 8% of the
pool, indicate the borrower has received a loan modification in
relation to coronavirus impact on the property. The watchlist
includes loans that meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, the agency reviews the watchlist to assess which loans
have material issues that could affect performance.

One loan has been liquidated from the pool, resulting in a minimal
loss to the trust. Two loans, constituting 8% of the pool, are
currently in special servicing.

The largest specially serviced loan is the Town Center at Cobb Loan
($62.1 million -- 6.8% of the pool), which represents a pari-passu
portion of a $177 million mortgage loan. The loan is secured by a
560,000 square foot (SF) portion of a 1.3 million SF super-regional
mall located in Kennesaw, Georgia. The property is anchored by a
Macy's, Macy's Furniture, J.C. Penney, and Belk. A fifth anchor,
Sears, closed its store in 2020. All of the anchors own their own
boxes, with the exception of Belk and a portion of the J.C. Penney
space. Belk recently declared Chapter 11 bankruptcy but has not
announced any store closure plans. The property's major collateral
tenants include apparel retailers such as H&M (4.6% of collateral
NRA; lease expiration in January 2029), Forever 21 (4.1% of NRA;
lease expiration in January 2023) and Victoria's Secret (1.8% of
NRA; lease expiration in January 2024). Several of the anchor and
major collateral tenants have declared bankruptcy since 2019 or
have recently announced plans to reduce store counts. Property
performance has declined over the past five years due to lower
revenue, and the year-end 2019 performance was 16% below the 2012
NOI. The loan has amortized 11% since securitization, however, the
2019 NOI DSCR was 1.33X compared to 1.59X in 2012. Property
performance has continued to decline as a result of the pandemic
with a September 2020 NOI DSCR of 1.26X. The collateral component
of the property was 85% occupied as of July 2020, compared to 84%
in December 2019. The inline space was only 78% occupied in July
2020. Comparable in-line sales were $387 PSF for the year-end
period ending in December 2019, compared to $392 PSF during the
prior year. The loan transferred to special servicing in June 2020
due to its operation being materially impacted by the coronavirus
pandemic. The loan sponsor is Simon and the loan is last paid
through its April 2020 payment date. Based on an August 2020
appraisal value, the loan has recognized a 37% appraisal reduction.
The special servicer indicated the Borrower is now cooperating with
a friendly foreclosure process which is anticipated to take place
in early 2021.

The other specially serviced loan is the Springhill Suites - San
Angelo Loan ($6.4 million -- 0.7% of the pool), which is secured by
a 96-key limited service hotel located in San Angelo, Texas.
Property performance declined significantly in 2015 and 2016 due to
decreased occupancy and increased supply in the market. The loan
transferred to the special servicer in April 2016 for imminent
monetary default, was foreclosed upon in December 2017 and is now
REO. A property improvement plan (PIP) was completed in 2018 and
the special servicer anticipates a sale by early 2022.

Moody's has also assumed a high default probability for one poorly
performing loan, constituting 0.8% of the pool, secured by the
Holiday Inn Express Alexandria Loan. The loan is secured by an
86-key limited service hotel in Alexandria, Virginia. The
property's performance has declined since securitization as a
result of an increased operating expenses since securitization. As
of the January 2021 remittance date, the loan is last paid through
its December 2020 payment date.

Moody's has estimated an aggregate loss of $37 million (a 49%
expected loss on average) from these specially serviced and
troubled loans.

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

Moody's received full year 2019 operating results for 100% of the
pool, and full or partial year 2020 operating results for 94% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 93%, essentially the same as at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 21% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.

Moody's actual and stressed conduit DSCRs are 1.58X and 1.20X,
respectively, compared to 1.60X and 1.20X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25 % stress rate the agency applied to the loan balance.

The top three conduit loans represent 30% of the pool balance. The
largest loan is the 100 Church Street Loan ($133.4 million -- 14.6%
of the pool), which represents a pari-passu portion of a $205
million first mortgage loan. The loan is secured by a 1.1 million
SF, Class B office property in downtown Manhattan. As of September
2020, the property was 98% leased, unchanged since 2018 and up from
84% at securitization. Property performance has improved since
securitization due to higher revenues and the 2019 reported NOI was
52% higher than 2012. The largest two tenants include the City of
New York (46% of the NRA; lease expiration in March 2034) and HF
Management Services (22% of the NRA; lease expiration in March
2032). The loan has amortized 11% since securitization and Moody's
LTV and stressed DSCR are 87% and 1.12X, respectively, compared to
88% and 1.11X at the last review.

The second largest loan is the Northridge Fashion Center Loan
($75.6 million -- 8.3% of the pool), which represents a pari-passu
portion of a $208 million first mortgage. The loan is secured by a
644,000 SF component of a 1.5 million SF, two-story, super-regional
mall located in Northridge, California. The mall's non-collateral
anchors include Macy's, Macy's Men's and Home and J.C. Penney. One
non-collateral anchor space, formerly occupied by Sears, has been
vacant since 2018. The total property was 78% occupied as of
September 2020, with an inline occupancy of 92%. While property
performance declined in 2019 due to revenue declines and increased
expenses, the 2019 NOI remained 7% higher than in 2012. The loan
sponsor, Brookfield Property Partners, requested payment relief in
connection with the coronavirus pandemic and the special servicer
agreed to provide relief in the form of reserves being utilized to
cover debt service payments from April 2020 through December 2020.
The property faces competition from several malls contained within
a 12-mile radius of the subject, including Westfield Topanga and
Westfield Fashion Square, however, the property has historically
performed well within its competitive set. The 2019 comparable
in-line sales (10,000SF) were $698 PSF, or $576 PSF excluding the
Apple store. The loan has amortized 15% since securitization and
Moody's LTV and stressed DSCR are 94% and 1.09X, respectively,
compared to 96% and 1.08X at the last review.

The third largest loan is the BJ's Portfolio Loan ($68.1 million --
7.5% of the pool), which is secured by the first mortgage liens on
six properties consisting of five retail stores of BJ's Wholesale
Club and one industrial center serving as a BJ's Distribution
facility. The portfolio is located in five different states:
Massachusetts, Pennsylvania, Maryland, New Jersey and Florida. The
portfolio is 100% occupied by a single tenant, BJ's Wholesale Club,
Inc., with all lease expirations in September 2031. Due to the
single tenant exposure, Moody's valuation reflects a lit/dark
analysis. The loan is interest only for its entire term and Moody's
LTV and stressed DSCR are 98% and 1.13X, respectively, the same as
at Moody's last review.


[*] Fitch Takes Actions on Eight Trust Preferred CDOs
-----------------------------------------------------
Fitch Ratings, on Feb. 9, 2021, affirmed 35, upgraded three, and
revised Rating Outlooks to five tranches from eight collateralized
debt obligations (CDOs) backed primarily by Trust Preferred (TruPS)
securities issued by banks. Rating actions and performance metrics
for each CDO are reported in the accompanying rating action
report.

     DEBT                   RATING           PRIOR
     ----                   ------           -----
ALESCO Preferred Funding XVII, Ltd./LLC

A-1 01450NAA0         LT  Asf    Upgrade     BBBsf
A-2 01450NAB8         LT  BBBsf  Affirmed    BBBsf
B 01450NAC6           LT  BBsf   Upgrade     Bsf
C-1 01450NAD4         LT  CCCsf  Affirmed    CCCsf
C-2 01450NAE2         LT  CCCsf  Affirmed    CCCsf
D 01450NAF9           LT  Csf    Affirmed    Csf

Preferred Term Securities VIII, Ltd./Inc.

A-2 74041PAB6         LT  Asf    Affirmed    Asf
B-1 74041PAC4         LT  Csf    Affirmed    Csf
B-2 74041PAD2         LT  Csf    Affirmed    Csf
B-3 74041PAE0         LT  Csf    Affirmed    Csf

Preferred Term Securities XII, Ltd./Inc.

A-1 74041NAA3         LT  AAsf   Affirmed    AAsf
A-2 74041NAB1         LT  Asf    Affirmed    Asf
A-3 74041NAC9         LT  Asf    Affirmed    Asf
A-4 74041NAD7         LT  Asf    Affirmed    Asf
B-1 74041NAE5         LT  Csf    Affirmed    Csf
B-2 74041NAG0         LT  Csf    Affirmed    Csf
B-3 74041NAJ4         LT  Csf    Affirmed    Csf

U.S. Capital Funding I, Ltd./Corp.

A-2 903329AC4         LT  AAsf   Affirmed    AAsf
B-1 903329AE0         LT  CCCsf  Affirmed    CCCsf
B-2 903329AG5         LT  CCCsf  Affirmed    CCCsf

U.S. Capital Funding II, Ltd./Corp.

A-2 90390KAB0         LT  AAsf   Affirmed    AAsf
B-1 90390KAC8         LT  CCCsf  Affirmed    CCCsf
B-2 90390KAD6         LT  CCCsf  Affirmed    CCCsf

ALESCO Preferred Funding III, Ltd./Inc.

A-2 01448MAB5         LT  Asf    Affirmed    Asf
B-1 01448MAC3         LT  Csf    Affirmed    Csf
B-2 01448MAD1         LT  Csf    Affirmed    Csf

Tropic CDO II Ltd./Corp.

Class A-1L 89707UAA0  LT  AAAsf  Upgrade     AAsf
Class A-2L 89707UAB8  LT  Asf    Affirmed    Asf
Class A-3L 89707UAC6  LT  BBsf   Affirmed    BBsf
Class A-4 89707UAL6   LT  Csf    Affirmed    Csf
Class A-4L 89707UAD4  LT  Csf    Affirmed    Csf
Class B-1L 89707UAF9  LT  Csf    Affirmed    Csf

Soloso CDO 2007-1 Ltd./Corp.

A-1LA 83438JAA4       LT  Asf    Affirmed    Asf
A-1LB 83438JAC0       LT  BBsf   Affirmed    BBsf
A-2L 83438JAE6        LT  CCCsf  Affirmed    CCCsf
A-3F 83438JAJ5        LT  Csf    Affirmed    Csf
A-3L 83438JAG1        LT  Csf    Affirmed    Csf
B-1L 83438JAL0        LT  Csf    Affirmed    Csf

KEY RATING DRIVERS

The main driver behind the upgrades on class A-1 and class B notes
in Alesco Preferred Funding XVII, Ltd./Inc. was deleveraging from
collateral redemptions and excess spread. Six CDOs paid down the
senior-most notes, ranging from 1% to 9% of their balances at last
review. The magnitude of the deleveraging for each CDO is reported
in the accompanying rating action report. The Positive Outlooks are
due to the increasing performing credit enhancement (CE) levels,
which are advancing into the next category's range.

For two transactions, the credit quality of the collateral
portfolios, as measured by a combination of Fitch's bank scores and
public ratings, remained stable or improved, with the other six
exhibiting negative credit migration. There was one cure since last
review. In addition, two bank issuers across two CDOs cured and
re-deferred over this review period. No new defaults have been
reported.

The ratings on 22 classes of notes in the eight transactions have
been capped based on the application of the performing CE cap as
described in Fitch's "U.S. Trust Preferred CDOs Surveillance Rating
Criteria".

The rating of the issuer account bank was considered in the rating
for the class A-1 notes in Preferred Term Securities XII, Ltd./Inc.
due to the transaction documents not conforming to Fitch's
"Structured Finance and Covered Bonds Counterparty Rating
Criteria".

RATING SENSITIVITIES

To address potential risks of adverse selection and increased
portfolio concentration, Fitch applied a sensitivity scenario, as
described in the criteria, to applicable transactions.

In addition, this review applied a COVID-19 stress scenario. Under
this scenario, all issuers in the pool were downgraded either by
0.5 for private bank scores or one notch for publicly rated banks
and insurance issuers with a mapped rating. The outcome of this
scenario was considered in assignment of outlooks and when notes'
performing CE was indicating a potential upgrade.

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

-- Future upgrades to the rated notes may occur if a transaction
    experiences improvement in CE through deleveraging from
    collateral redemptions and/or interest proceeds being used for
    principal repayment.

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

-- Downgrades to the rated notes may occur if a significant share
    of the portfolio issuers defers or defaults on their TruPS
    instruments, which would cause a decline in performing CE
    levels. If the pandemic inflicted disruptions become more
    prolonged, Fitch will formulate a sensitivity scenario that
    represents a more severe impact on the banking and insurance
    sectors than the scenario specified above.

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.


[*] Fitch Took Actions on Distressed Bonds in 7 US CMBS Deals
--------------------------------------------------------------
Fitch Ratings, on Feb. 5, 2021, took various actions on already
distressed bonds in seven U.S. CMBS transactions.

    DEBT                 RATING          PRIOR
    ----                 ------          -----
Morgan Stanley Capital I Trust 2007-IQ16

A-J 61756UAH4      LT  Dsf   Affirmed     Dsf
A-J 61756UAH4      LT  WDsf  Withdrawn    Dsf
A-JA 61756UAJ0     LT  Dsf   Affirmed     Dsf
A-JA 61756UAJ0     LT  WDsf  Withdrawn    Dsf
A-JFX 61756UBG5    LT  Dsf   Affirmed     Dsf
A-JFX 61756UBG5    LT  WDsf  Withdrawn    Dsf
B 61756UAN1        LT  Dsf   Affirmed     Dsf
B 61756UAN1        LT  WDsf  Withdrawn    Dsf
C 61756UAP6        LT  Dsf   Affirmed     Dsf
C 61756UAP6        LT  WDsf  Withdrawn    Dsf
D 61756UAQ4        LT  Dsf   Affirmed     Dsf
D 61756UAQ4        LT  WDsf  Withdrawn    Dsf
E 61756UAR2        LT  Dsf   Affirmed     Dsf
E 61756UAR2        LT  WDsf  Withdrawn    Dsf
F 61756UAS0        LT  Dsf   Affirmed     Dsf
F 61756UAS0        LT  WDsf  Withdrawn    Dsf
G 61756UAT8        LT  Dsf   Affirmed     Dsf
G 61756UAT8        LT  WDsf  Withdrawn    Dsf
H 61756UAU5        LT  Dsf   Affirmed     Dsf
H 61756UAU5        LT  WDsf  Withdrawn    Dsf
J 61756UAV3        LT  Dsf   Affirmed     Dsf
J 61756UAV3        LT  WDsf  Withdrawn    Dsf
K 61756UAW1        LT  Dsf   Affirmed     Dsf
K 61756UAW1        LT  Dsf   Withdrawn    Dsf
L 61756UAX9        LT  Dsf   Affirmed     Dsf
L 61756UAX9        LT  WDsf  Withdrawn    Dsf
M 61756UAY7        LT  Dsf   Affirmed     Dsf
M 61756UAY7        LT  WDsf  Withdrawn    Dsf
N 61756UAZ4        LT  Dsf   Affirmed     Dsf
N 61756UAZ4        LT  WDsf  Withdrawn    Dsf

J.P. Morgan Chase Mortgage Securities Trust 2007-LDP10

A-J 46630JAG4      LT  Dsf   Affirmed     Dsf
A-J 46630JAG4      LT  WDsf  Withdrawn    Dsf
A-JFX 46630JCU1    LT  Dsf   Affirmed     Dsf
A-JFX 46630JCU1    LT  WDsf  Withdrawn    Dsf
A-JS 46630JAP4     LT  Dsf   Affirmed     Dsf
A-JS 46630JAP4     LT  WDsf  Withdrawn    Dsf
B 46630JAQ2        LT  Dsf   Affirmed     Dsf
B 46630JAQ2        LT  WDsf  Withdrawn    Dsf
B-S 46630JBE8      LT  Dsf   Affirmed     Dsf
B-S 46630JBE8      LT  WDsf  Withdrawn    Dsf
C 46630JAS8        LT  Dsf   Affirmed     Dsf
C 46630JAS8        LT  WDsf  Withdrawn    Dsf
C-S 46630JBG3      LT  Dsf   Affirmed     Dsf
C-S 46630JBG3      LT  WDsf  Withdrawn    Dsf
D 46630JAU3        LT  Dsf   Affirmed     Dsf
D 46630JAU3        LT  WDsf  Withdrawn    Dsf
D-S 46630JBJ7      LT  Dsf   Affirmed     Dsf
D-S 46630JBJ7      LT  WDsf  Withdrawn    Dsf
E 46630JAW9        LT  Dsf   Affirmed     Dsf
E 46630JAW9        LT  WDsf  Withdrawn    Dsf
E-S 46630JBL2      LT  Dsf   Affirmed     Dsf
E-S 46630JBL2      LT  WDsf  Withdrawn    Dsf
F 46630JAY5        LT  Dsf   Affirmed     Dsf
F 46630JAY5        LT  WDsf  Withdrawn    Dsf
F-S 46630JBN8      LT  Dsf   Affirmed     Dsf
F-S 46630JBN8      LT  WDsf  Withdrawn    Dsf
G 46630JBA6        LT  Dsf   Affirmed     Dsf
G 46630JBA6        LT  WDsf  Withdrawn    Dsf
G-S 46630JBQ1      LT  Dsf   Affirmed     Dsf
G-S 46630JBQ1      LT  WDsf  Withdrawn    Dsf
H 46630JBC2        LT  Dsf   Affirmed     Dsf
H 46630JBC2        LT  WDsf  Withdrawn    Dsf
H-S 46630JBS7      LT  Dsf   Affirmed     Dsf
H-S 46630JBS7      LT  WDsf  Withdrawn    Dsf
J 46630JBU2        LT  Dsf   Affirmed     Dsf
J 46630JBU2        LT  WDsf  Withdrawn    Dsf
K 46630JBW8        LT  Dsf   Affirmed     Dsf
K 46630JBW8        LT  WDsf  Withdrawn    Dsf
L 46630JBY4        LT  Dsf   Affirmed     Dsf
L 46630JBY4        LT  WDsf  Withdrawn    Dsf
M 46630JCA5        LT  Dsf   Affirmed     Dsf
M 46630JCA5        LT  WDsf  Withdrawn    Dsf
N 46630JCC1        LT  Dsf   Affirmed     Dsf
N 46630JCC1        LT  WDsf  Withdrawn    Dsf
P 46630JCE7        LT  Dsf   Affirmed     Dsf
P 46630JCE7        LT  WDsf  Withdrawn    Dsf

J. P. Morgan Chase Commercial Mortgage Securities Corp. 2005-LDP2

H 46625YNY5        LT  Dsf   Affirmed     Dsf
H 46625YNY5        LT  WDsf  Withdrawn    Dsf
J 46625YPB3        LT  Dsf   Affirmed     Dsf
J 46625YPB3        LT  WDsf  Withdrawn    Dsf
K 46625YQE6        LT  Dsf   Affirmed     Dsf
K 46625YQE6        LT  WDsf  Withdrawn    Dsf
L 46625YPE7        LT  Dsf   Affirmed     Dsf
L 46625YPE7        LT  WDsf  Withdrawn    Dsf
M 46625YPH0        LT  Dsf   Affirmed     Dsf
M 46625YPH0        LT  WDsf  Withdrawn    Dsf
N 46625YPL1        LT  Dsf   Affirmed     Dsf
N 46625YPL1        LT  WDsf  Withdrawn    Dsf
O 46625YPP2        LT  Dsf   Affirmed     Dsf
O 46625YPP2        LT  WDsf  Withdrawn    Dsf
P 46625YPS6        LT  Dsf   Affirmed     Dsf
P 46625YPS6        LT  WDsf  Withdrawn    Dsf
Q 46625YPV9        LT  Dsf   Affirmed     Dsf
Q 46625YPV9        LT  WDsf  Withdrawn    Dsf

Banc of America Commercial Mortgage Inc. 2005-4

F 05947UY77        LT  Dsf   Affirmed     Dsf
F 05947UY77        LT  WDsf  Withdrawn    Dsf
G 05947UY93        LT  Dsf   Affirmed     Dsf
G 05947UY93        LT  WDsf  Withdrawn    Dsf
H 05947UZ35        LT  Dsf   Affirmed     Dsf
H 05947UZ35        LT  WDsf  Withdrawn    Dsf
J 05947UZ50        LT  Dsf   Affirmed     Dsf
J 05947UZ50        LT  WDsf  Withdrawn    Dsf
K 05947UZ76        LT  Dsf   Affirmed     Dsf
K 05947UZ76        LT  WDsf  Withdrawn    Dsf
L 05947UZ92        LT  Dsf   Affirmed     Dsf
L 05947UZ92        LT  WDsf  Withdrawn    Dsf
M 05947U2B3        LT  Dsf   Affirmed     Dsf
M 05947U2B3        LT  WDsf  Withdrawn    Dsf
N 05947U2D9        LT  Dsf   Affirmed     Dsf
N 05947U2D9        LT  WDsf  Withdrawn    Dsf
O 05947U2F4        LT  Dsf   Affirmed     Dsf
O 05947U2F4        LT  WDsf  Withdrawn    Dsf

LB-UBS Commercial Mortgage Trust 2007-C7

D 52109RBT7        LT  Dsf   Downgrade    Csf

Banc of America Commercial Mortgage Trust 2007-5

A-J 05952CAH3      LT  Dsf   Affirmed     Dsf
A-J 05952CAH3      LT  WDsf  Withdrawn    Dsf
B 05952CAL4        LT  Dsf   Affirmed     Dsf
B 05952CAL4        LT  WDsf  Withdrawn    Dsf
C 05952CAN0        LT  Dsf   Affirmed     Dsf
C 05952CAN0        LT  WDsf  Withdrawn    Dsf
D 05952CAQ3        LT  Dsf   Affirmed     Dsf
D 05952CAQ3        LT  WDsf  Withdrawn    Dsf
E 05952CAS9        LT  Dsf   Affirmed     Dsf
E 05952CAS9        LT  WDsf  Withdrawn    Dsf
F 05952CAU4        LT  Dsf   Affirmed     Dsf
F 05952CAU4        LT  WDsf  Withdrawn    Dsf
G 05952CAW0        LT  Dsf   Affirmed     Dsf
G 05952CAW0        LT  WDsf  Withdrawn    Dsf
H 05952CAY6        LT  Dsf   Affirmed     Dsf
H 05952CAY6        LT  WDsf  Withdrawn    Dsf
J 05952CBA7        LT  Dsf   Affirmed     Dsf
J 05952CBA7        LT  WDsf  Withdrawn    Dsf
K 05952CBC3        LT  Dsf   Affirmed     Dsf
K 05952CBC3        LT  WDsf  Withdrawn    Dsf
L 05952CBE9        LT  Dsf   Affirmed     Dsf
L 05952CBE9        LT  WDsf  Withdrawn    Dsf
M 05952CBG4        LT  Dsf   Affirmed     Dsf
M 05952CBG4        LT  WDsf  Withdrawn    Dsf
N 05952CBJ8        LT  Dsf   Affirmed     Dsf
N 05952CBJ8        LT  WDsf  Withdrawn    Dsf
O 05952CBL3        LT  Dsf   Affirmed     Dsf
O 05952CBL3        LT  WDsf  Withdrawn    Dsf
P 05952CBN9        LT  Dsf   Affirmed     Dsf
P 05952CBN9        LT  WDsf  Withdrawn    Dsf
Q 05952CBQ2        LT  Dsf   Affirmed     Dsf
Q 05952CBQ2        LT  WDsf  Withdrawn    Dsf

Banc of America Commercial Mortgage Trust 2007-1

A-J 059497BB2      LT  Dsf   Affirmed     Dsf
A-J 059497BB2      LT  WDsf  Withdrawn    Dsf
B 059497BC0        LT  Dsf   Affirmed     Dsf
B 059497BC0        LT  WDsf  Withdrawn    Dsf
C 059497AB3        LT  Dsf   Affirmed     Dsf
C 059497AB3        LT  WDsf  Withdrawn    Dsf
D 059497AC1        LT  Dsf   Affirmed     Dsf
D 059497AC1        LT  WDsf  Withdrawn    Dsf
E 059497AD9        LT  Dsf   Affirmed     Dsf
E 059497AD9        LT  WDsf  Withdrawn    Dsf
F 059497AE7        LT  Dsf   Affirmed     Dsf
F 059497AE7        LT  WDsf  Withdrawn    Dsf
G 059497AF4        LT  Dsf   Affirmed     Dsf
G 059497AF4        LT  WDsf  Withdrawn    Dsf
H 059497AG2        LT  Dsf   Affirmed     Dsf
H 059497AG2        LT  WDsf  Withdrawn    Dsf
J 059497AH0        LT  Dsf   Affirmed     Dsf
J 059497AH0        LT  WDsf  Withdrawn    Dsf
K 059497AJ6        LT  Dsf   Affirmed     Dsf
K 059497AJ6        LT  WDsf  Withdrawn    Dsf
L 059497AK3        LT  Dsf   Affirmed     Dsf
L 059497AK3        LT  WDsf  Withdrawn    Dsf
M 059497AL1        LT  Dsf   Affirmed     Dsf
M 059497AL1        LT  WDsf  Withdrawn    Dsf
N 059497AM9        LT  Dsf   Affirmed     Dsf
N 059497AM9        LT  WDsf  Withdrawn    Dsf
O 059497AN7        LT  Dsf   Affirmed     Dsf
O 059497AN7        LT  WDsf  Withdrawn    Dsf
P 059497AP2        LT  Dsf   Affirmed     Dsf
P 059497AP2        LT  WDsf  Withdrawn    Dsf

Nine classes of Banc of America Commercial Mortgage, Inc. 2005-4,
11 classes of Banc of America Commercial Mortgage, Inc. 2007-1, 16
classes of Banc of America Commercial Mortgage, Inc. 2007-5, nine
classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.
2005-LDP2, 23 classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp. 2007-LDP10, and 15 classes of Morgan Stanley
Capital I Trust 2007-IQ16 are being affirmed at 'Dsf' as a result
of previously incurred losses. The ratings on these bonds are
subsequently being withdrawn. The 'Dsf' rated classes are the only
remaining in the six deals. As a result, the transactions are no
longer considered relevant to Fitch's coverage.

KEY RATING DRIVERS

Along with the above withdrawals, Fitch has downgraded one class of
LB-UBS 2007-C7 to 'Dsf' as the class realized its first dollar loss
during the January 2021 payment period. The class was previously
rated 'Csf,' which indicated default was inevitable.

RATING SENSITIVITIES

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

-- Classes that have incurred their first principal losses will
    be downgraded to 'Dsf.' Classes rated 'Dsf' cannot be
    downgraded further.

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

-- Classes rated 'Dsf' have realized principal losses, thus
    upgrades are not possible.

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.


[*] S&P Takes Various Actions on 47 Classes From 13 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 47 ratings from 13 U.S.
RMBS transactions issued between 2002 and 2007. All these
transactions are backed by subprime collateral. The review yielded
12 upgrades, two downgrades, and 33 affirmations.

Analytical Considerations

As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity. S&P said, "We use this assumption
about vaccine timing in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates
accordingly."

S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- Available subordination or overcollateralization;
-- Erosion of or increases in credit support;
-- Payment priority;
-- Expected short duration; and
-- Historical interest shortfalls or missed interest payments.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
below for the specific rationales associated with each of the
classes with rating transitions.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections."

A list of Affected Ratings can be viewed at:

            https://bit.ly/3pRY0uy


                            *********

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
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                   *** End of Transmission ***