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

              Sunday, January 23, 2022, Vol. 26, No. 22

                            Headlines

AMUR EQUIPMENT 2019-1: Moody's Hikes Rating on Class F Notes to B1
AMUR EQUIPMENT 2022-1: Moody's Gives (P)B3 Rating to Class F Notes
BANK 2022-BNK39: Fitch Assigns B- Rating on 2 Tranches
BLACKROCK DLF 2019-G: DBRS Confirms BB Rating on Class E Notes
BX TRUST 2022-VAMF: Moody's Assigns (P)B2 Rating to Cl. F Certs

CITIGROUP 2016-C1: Fitch Affirms B- Rating on Class F Certs
CITIGROUP 2016-GC37: Fitch Affirms CCC Rating on Cl. F Certs
COMM 2014-LC17: Fitch Affirms CC Rating on 2 Tranches
CPS AUTO 2022-A: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
ELLINGTON FINANCIAL 2022-1: Fitch Gives 'B(EXP)' Rating on B-2 Debt

FLAGSHIP CREDIT: DBRS Takes Rating Actions on 17 Trust Transactions
FREDDIE MAC 2022-DNA1: S&P Assigns Prelim 'B+' Rating on B-1B Notes
GOODLEAP SUSTAINABLE 2022-1: Fitch Gives BB(EXP) Rating on C Notes
GREEN TREE 1996-2: S&P Affirms CC (sf) Rating on Class M1 Trust
HALCYON LOAN 2014-1: Moody's Cuts $18MM Cl. E Notes Rating to Ca

HERTZ VEHICLE III: Moody's Assigns Ba2 Rating to 2 Tranches
JP MORGAN 2013-C15: Fitch Affirms B Rating on Class F Certs
JP MORGAN 2021-LTV2: DBRS Finalizes B(high) Rating on Cl. B-2 Certs
JPMDB COMMERCIAL 2017-C5: Fitch Lowers G-RR Certs to 'C'
MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs

MELLO MORTGAGE 2022-INV1: Moody's Gives (P)B3 Rating to B-5 Certs
MF1 LTD 2022-Fl8: DBRS Gives Prov. B(low) Rating on Class H Notes
NEW RESIDENTIAL 2022-NQM1: Fitch Gives 'B(EXP)' Rating to B-2 Notes
NYMT LOAN 2022-CP1: DBRS Gives Prov. B Rating on Class B-2 Notes
NYMT LOAN 2022-CP1: Fitch Assigns B Rating on Class B2 Notes

OBX 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes
PIONEER AIRCRAFT: Fitch Affirms B Rating on Series C Notes
RCKT MORTGAGE 2022-1: Fitch Affirms B- Rating on Class B-5 Debt
SLM STUDENT 2007-7: S&P Lowers Cl. A-4/B Notes Ratings to 'CC(sf)'
SMR MORTGAGE 2022-IND: Moody's Assigns (P)B3 Rating to Cl. F Certs

SMRT COMMERCIAL 2022-MINI: Moody's Assigns (P)B2 Rating to F Certs
STARWOOD MORTGAGE 2022-1: Fitch Gives B-(EXP) Rating to B-2 Debt
TABERNA PREFERRED III: Moody's Ups Rating on Cl. A-2A Notes to Ba2
WELLS FARGO 2018-C44: Fitch Affirms B- Rating on G-RR Certs
WELLS FARGO 2019-C49: Fitch Affirms CCC Rating on H-RR Certs

WELLS FARGO 2022-JS2: S&P Assigns Prelim B- (sf) Rating on F Certs
[*] Fitch Gives Ratings to 16 Unrated Classes From CAS Deals
[*] Moody's Hikes 87 Bonds of Prime Jumbo RMBS Issued 2017-2020

                            *********

AMUR EQUIPMENT 2019-1: Moody's Hikes Rating on Class F Notes to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded six classes of notes issued
by Amur Equipment Finance Receivables VII LLC, Series 2019-1 (Amur
2019-1) and Amur Equipment Finance Receivables IX LLC, Series
2021-1 (Amur 2021-1). The notes are backed by pools of fixed-rate
loans and leases secured primarily by trucking, transportation,
medical and industrial equipment.

The complete rating actions are as follows:

Issuer: Amur Equipment Finance Receivables VII LLC, Series 2019-1

Class C, Upgraded to Aaa (sf); previously on Oct 14, 2021 Upgraded
to Aa2 (sf)

Issuer: Amur Equipment Finance Receivables IX LLC, Series 2021-1

Class B Notes, Upgraded to Aaa (sf); previously on Oct 14, 2021
Upgraded to Aa1 (sf)

Class C Notes, Upgraded to Aa2 (sf); previously on Oct 14, 2021
Upgraded to Aa3 (sf)

Class D Notes, Upgraded to A2 (sf); previously on Oct 14, 2021
Upgraded to Baa1 (sf)

Class E Notes, Upgraded to Ba1 (sf); previously on Apr 20, 2021
Definitive Rating Assigned Ba2 (sf)

Class F Notes, Upgraded to B1 (sf); previously on Apr 20, 2021
Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The rating actions were a result of reductions in pool loss
expectations as well as the build-up of credit enhancement to the
notes driven by the sequential payment structure,
overcollateralization and non-declining reserve accounts. The
Cumulative Net Loss (CNL) expectations for Amur 2021-1 and Amur
2019-1 were decreased to 4.75% and 5.25%, respectively, from 6.00%
in both deals due to strong collateral performance.

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

Up

Moody's could upgrade the notes if, given its 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
equipment securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US macroeconomy, the equipment
markets, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given its 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
equipment securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US macroeconomy, the equipment
markets, and poor servicer performance. Other reasons for
worse-than-expected performance include error on the part of
transaction parties, inadequate transaction governance, and fraud.


AMUR EQUIPMENT 2022-1: Moody's Gives (P)B3 Rating to Class F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
Series 2022-1 notes to be issued by Amur Equipment Finance
Receivables X LLC (Amur 2022-1). Amur Equipment Finance, Inc.
(Amur) will sponsor the securitization, which will be backed by
fixed-rate loans and leases secured primarily by trucking,
transportation, industrial and construction equipment. Amur will
also be the servicer of the pool to be securitized. Amur 2022-1
will be Amur's tenth transaction backed by somewhat similar
collateral and the fourth that Moody's will rate.

The complete rating actions are as follows:

Issuer: Amur Equipment Finance Receivables X LLC, Series 2022-1

Class A-1 Notes, Assigned (P)P-1 (sf)

Class A-2 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa3 (sf)

Class C Notes, Assigned (P)A2 (sf)

Class D Notes, Assigned (P)Baa2 (sf)

Class E Notes, Assigned (P)Ba3 (sf)

Class F Notes, Assigned (P)B3 (sf)

RATINGS RATIONALE

The provisional ratings of the notes are based on the credit
quality of the equipment loan and lease pool to be securitized and
its expected performance, the historical performance of Amur's
managed portfolio and that of its prior securitizations, the
experience and expertise of Amur as the originator and servicer of
the underlying pool, the back-up servicing arrangement with UMB
Bank, N.A. (long-term deposits Aa3/ long-term CR assessment A1(cr),
short-term deposit P-1, BCA a3), the transaction structure
including the level of credit enhancement supporting the notes, and
the legal aspects of the transaction.

Moody's median cumulative net loss expectation for the Amur 2022-1
collateral pool is 4.5% and loss at a Aaa stress is 28.00%. Moody's
cumulative net loss expectation and loss at a Aaa stress is based
on its analysis of the credit quality of the underlying collateral
pool and the historical performance of similar collateral,
including Amur's managed portfolio performance, the track-record,
ability and expertise of Amur to perform the servicing functions,
and current expectations for the macroeconomic environment during
the life of the transaction.

Additionally, in assigning a (P)P-1 (sf) rating to the Class A-1
Notes, Moody's considered the cash flows the underlying receivables
are expected to generate during the collection periods prior to the
Class A-1 notes' legal final maturity date.

The classes of notes will be paid sequentially. At transaction
closing, the Class A, Class B, Class C, Class D, Class E and Class
F notes will benefit from 25.4%, 20.8%, 17.6%, 12.8%, 9.7% and 7.7%
of hard credit enhancement, respectively. Initial hard credit
enhancement for the notes will consist of (1) subordination, (2)
over-collateralization (OC) of 6.7% of the initial adjusted
discounted pool balance with the transaction utilizing excess
spread to build to an OC target of 9.0% of the outstanding adjusted
discounted pool balance, and (3) a fully funded, non-declining
reserve account of 1.0% of the initial adjusted discounted pool
balance. The transaction will also benefit from an OC floor of
1.75%. Excess spread may be available as additional credit
protection for the notes. The sequential-pay structure and
non-declining reserve account will result in a build-up of credit
enhancement supporting the rated notes.

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 then current expectations of
loss may be better than its original expectations because of lower
frequency of default by the underlying obligors or slower
depreciation in the value of the equipment securing obligors'
promise of payment. As the primary drivers of performance, positive
changes in the US macro economy and the performance of various
sectors in which the obligors operate could also affect the
ratings. This transaction has a sequential pay structure and
therefore credit enhancement will grow 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-up of enhancement.

Down

Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Credit enhancement could decline if excess
spread is not sufficient to cover losses in a given month. 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 equipment securing obligors' promise of payment. As the primary
drivers of performance, negative changes in the US macro economy
and the performance of various sectors in which the obligors
operate could also affect the ratings. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties and inadequate transaction
governance. 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 obligors'
payments.


BANK 2022-BNK39: Fitch Assigns B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
BANK 2022-BNK39, commercial mortgage pass-through certificates,
series 2022-BNK39 as follows:

-- $12,669,000 class A-1 'AAAsf'; Outlook Stable;

-- $2,824,000 class A-2 'AAAsf'; Outlook Stable;

-- $24,138,000 class A-SB 'AAAsf'; Outlook Stable;

-- $175,000,000ab class A-3 'AAAsf'; Outlook Stable;

-- $0b class A-3-1 'AAAsf'; Outlook Stable;

-- $0bc class A-3-X1 'AAAsf'; Outlook Stable;

-- $0b class A-3-2 'AAAsf'; Outlook Stable;

-- $0bc class A-3-X2 'AAAsf'; Outlook Stable;

-- $583,985,000ab class A-4 'AAAsf'; Outlook Stable;

-- $0b class A-4-1 'AAAsf'; Outlook Stable;

-- $0bc class A-4-X1 'AAAsf'; Outlook Stable;

-- $0b class A-4-2 'AAAsf'; Outlook Stable;

-- $0bc class A-4-X2 'AAAsf'; Outlook Stable;

-- $798,616,000c class X-A 'AAAsf'; Outlook Stable;

-- $159,723,000c class X-B 'AAAsf; Outlook Stable;

-- $114,088,000b class A-S 'AAAsf'; Outlook Stable;

-- $0b class A-S-1 'AAAsf'; Outlook Stable;

-- $0bc class A-S-X1 'AAAsf'; Outlook Stable;

-- $0b class A-S-2 'AAAsf'; Outlook Stable;

-- $0bc class A-S-X2 'AAAsf'; Outlook Stable;

-- $45,635,000b class B 'AA-sf'; Outlook Stable;

-- $0b class B-1 'AA-sf'; Outlook Stable;

-- $0bc class B-X1 'AA-sf'; Outlook Stable;

-- $0b class B-2 'AA-sf'; Outlook Stable;

-- $0bc class B-X2 'AA-sf'; Outlook Stable;

-- $48,488,000b class C 'A-sf'; Outlook Stable;

-- $0b class C-1 'A-sf'; Outlook Stable;

-- $0bc class C-X1 'A-sf'; Outlook Stable;

-- $0b class C-2 'A-sf'; Outlook Stable;

-- $0bc class C-X2 'A-sf'; Outlook Stable;

-- $54,192,000cd class X-D 'BBB-sf'; Outlook Stable;

-- $27,096,000cd class X-F 'BB-sf'; Outlook Stable;

-- $11,409,000cd class X-G 'B-sf'; Outlook Stable;

-- $28,522,000d class D 'BBBsf'; Outlook Stable;

-- $25,670,000d class E 'BBB-sf'; Outlook Stable;

-- $27,096,000d class F 'BB-sf'; Outlook Stable;

-- $11,409,000d class G 'B-sf'; Outlook Stable.

The following classes are not expected to be rated by Fitch:

-- $41,356,941cd class X-H;

-- $41,356,941d class H;

-- $60,046,365de RR Interest.

(a) The initial certificate balances of classes A-3 and A-4 are
unknown and expected to be $758,985,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-3 balance range is $0 to $350,000,000, and the expected
class A-4 balance range is $408,985,000 to $758,985,000. Fitch's
certificate balances for classes A-3 and A-4 are assumed at the
midpoint of each range;

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

(c) Notional amount and interest only;

(d) Privately placed and pursuant to Rule 144A;

(e) Represents the "eligible vertical interest" comprising 5.0% of
the pool.

The expected ratings are based on information provided by the
issuer as of Jan. 6, 2022.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 66 loans secured by 96
commercial properties having an aggregate principal balance of
$729,014,163 as of the cut-off date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Wells
Fargo Bank, National Association, Bank of America, National
Association, and National Cooperative Bank, N.A. The Master
Servicers are expected to be Wells Fargo Bank, National Association
and National Cooperative Bank, N.A., and the Special Servicers are
expected to be LNR Partners, LLC., and National Cooperative Bank,
N.A.

Fitch reviewed a comprehensive sampled of the transaction's
collateral, including site inspections on 30.5% if the loans by
balance, cash flow analysis of 81.6% of the pool and asset summary
reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenue (i.e. bad debt expense and rent relief) and operating
expenses (i.e. sanitation costs) for some properties in the pool.
Per the offering documents, all of the loans are current and are
not subject to any ongoing forbearance requests.

KEY RATING DRIVERS

Lower Fitch Leverage than Recent Transactions: This transaction's
leverage is lower than that of other multiborrower transactions
recently rated by Fitch. The pool's Fitch debt service coverage
ratio (DSCR) of 1.70x is higher than the 2021 and 2020 averages of
1.38x and 1.32x, respectively. Additionally, the pool's Fitch loan
to value (LTV) ratio of 99.8% is below the 2021 average of 103.0%
and in line with the 2020 average of 99.6%. Excluding the
co-operative (co-op) and the credit opinion loans, the pool's DSCR
and LTV are 1.25x and 115.8%, respectively. The 2021 and 2020
averages excluding credit opinions and co-op loans are 1.30x/110.3%
and 1.24x/111.3%, respectively.

Investment-Grade Credit Opinions and Co-Op Loans: The pool includes
three loans, representing 22.7% of the pool, that received
investment-grade credit opinions; this falls between the 2021 and
2020 average credit opinion concentrations of 13.3% and 24.5%,
respectively. On a standalone basis, 601 Lexington Avenue (9.2% of
pool) received a credit opinion of 'BBBsf', while 333 River Street
(6.3%), CX - 350 & 450 Water (4.4%) and Park Avenue Plaza (2.9%)
received credit opinions of 'BBB-sf'. Additionally, the pool
contains 15 loans, representing 8.9% of the pool, that are secured
by residential co-ops and exhibit leverage characteristics
significantly lower than typical conduit loans. The weighted
average (WA) Fitch DSCR and LTV for the co-op loans are 7.90x and
24.3%, respectively.

Average Pool Concentration: The pool's 10 largest loans represent
54.5% of its cutoff balance, which falls between the 2021 and 2020
averages of 51.2% and 56.8%, respectively. The pool's Loan
Concentration Index (LCI) is 386, between the 2021 and 2020
averages of 378 and 440, respectively.

Limited Amortization: Based on the scheduled loan balances at
maturity, the pool is scheduled to pay down only 3.3%, which is
below the respective 2021 and 2020 averages of 4.8% and 5.3%.
Forty-four loans representing 79.5% of the pool are full-term
interest only, and an additional 10 loans representing 13.3% of the
pool are partial interest only. The percentage of full-term
interest-only loans is significantly higher than the 2021 and 2020
averages of 70.5% and 67.7%, respectively.

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

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 Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and it did not
have an effect on Fitch's analysis or conclusions.

ESG CONSIDERATIONS

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


BLACKROCK DLF 2019-G: DBRS Confirms BB Rating on Class E Notes
--------------------------------------------------------------
DBRS, Inc. confirmed its ratings of AAA (sf) on the Class A-1
Notes, AA (sf) on the Class A-2 Notes, A (high) (sf) on the Class B
Notes, A (sf) on the Class C Notes, BBB (sf) on the Class D Notes,
BB (sf) on the Class E Notes (together, the Secured Notes) issued
by BlackRock DLF IX 2019-G CLO, LLC (the Issuer) and also confirmed
its rating of B (sf) on the Issuer's Class W Notes (together with
the Secured Notes, the Notes) pursuant to the Amended and Restated
Note Purchase and Security Agreement (NPSA) dated as of December
23, 2020, among the Issuer; U.S. Bank National Association (rated
AA (high) with a Stable trend by DBRS Morningstar) as the
Collateral Agent, Custodian, Document Custodian, Collateral
Administrator, Information Agent, and Note Agent; and the
Purchasers referred to therein.

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

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

The ratings reflect the following:

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

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

The Coronavirus Disease (COVID-19) pandemic and the resulting
mitigation measures caused an immediate economic contraction,
leading in some cases to increases in unemployment rates and income
reductions for many borrowers. DBRS Morningstar anticipates that
delinquencies may continue to increase in the coming months for
many CLO transactions. The rating is based on additional analysis
to expected performance as a result of the global efforts to
contain the spread of the coronavirus.

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


BX TRUST 2022-VAMF: Moody's Assigns (P)B2 Rating to Cl. F Certs
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of CMBS securities, to be issued by BX Trust 2022-VAMF,
Commercial Mortgage Pass-Through Certificates, Series 2022-VAMF:

Cl. A, Assigned (P)Aaa (sf)

Cl. B, Assigned (P)Aa3 (sf)

Cl. C, Assigned (P)A3 (sf)

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

Cl. F, Assigned (P)B2 (sf)

Cl. X-CP*, Assigned (P)A2 (sf)

Cl. X-EXT*, Assigned (P)A2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

The certificates are collateralized by the borrower's fee interest
in three multifamily properties located in Fairfax County, VA.
Moody's ratings are based on the credit quality of the loans and
the strength of the securitization structure.

Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower CMBS methodology and Moody's 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 portfolio includes three multifamily properties totaling 50
buildings and 1,748 residential units in Fairfax County, Virginia.
The Portfolio has a unit mix of 789 one-bedroom units, 841
two-bedroom units and 118 three-bedroom units and the average unit
size across the Portfolio is 892 SF. As of October 18, 2021, the
Portfolio was 98.6% leased.

The Bent Tree Property is a 15-building, 748-unit, garden-style
Class B apartment complex located in Centreville, VA. The property
was developed in 1986, renovated between 2018 and 2021, and offers
a common amenities package that includes swimming pool, fitness
center, tennis court, resident lounge, kids play room and dog park.
As of October 18, 2021, the Bent Tree Property had an occupancy
rate of 98.8%.

The Shenandoah Crossing Property is a 21-building, 640-unit,
garden-style Class B apartment complex located in Fairfax, VA. The
property was developed in 1984, renovated between 2017 and 2021,
and offers a common amenities package that includes swimming pool,
fitness center, tennis court, and grilling stations. As of October
18, 2021, the Shenandoah Crossing Property had an occupancy rate of
98.0%.

The Burke Shire Commons Property is a 14-building, 360-unit,
garden-style Class B apartment complex located in Burke, VA. The
property was developed in 1986, renovated between 2018 and 2021,
and offers a common amenities package that includes swimming pool,
fitness center, and dog park. As of October 18, 2021, the Burke
Shire Commons Property had an occupancy rate of 99.4%.

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 Moody's first mortgage DSCR is 3.32x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.69x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 128.5% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 111.4% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.

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 pool's weighted
average property quality grade is 1.75.

Notable strengths of the transaction include: property type, strong
location demographics, submarket performance, operating
performance, significant historical capital expenditures, fresh
equity, and experienced sponsorship.

Notable concerns of the transaction include: the high Moody's
loan-to-value ratio (MLTV), asset age, lack of asset and location
diversification, and floating-rate/interest-only mortgage loan
profile.

Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.

The principal methodology used in rating all classes except
intertest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.

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.


CITIGROUP 2016-C1: Fitch Affirms B- Rating on Class F Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2016-C1 (CGCMT 2016-C1). Fitch has also revised the Rating
Outlook on one class to Stable from Negative.

    DEBT                RATING          PRIOR
    ----               ------           -----
CGCMT 2016-C1

A-2 17290YAP3    LT AAAsf   Affirmed    AAAsf
A-3 17290YAQ1    LT AAAsf   Affirmed    AAAsf
A-4 17290YAR9    LT AAAsf   Affirmed    AAAsf
A-AB 17290YAS7   LT AAAsf   Affirmed    AAAsf
A-S 17290YAT5    LT AAAsf   Affirmed    AAAsf
B 17290YAU2      LT AA-sf   Affirmed    AA-sf
C 17290YAV0      LT A-sf    Affirmed    A-sf
D 17290YAA6      LT BBB-sf  Affirmed    BBB-sf
E 17290YAC2      LT BB-sf   Affirmed    BB-sf
EC 17290YAY4     LT A-sf    Affirmed    A-sf
F 17290YAE8      LT B-sf    Affirmed    B-sf
X-A 17290YAW8    LT AAAsf   Affirmed    AAAsf
X-B 17290YAX6    LT AA-sf   Affirmed    AA-sf

KEY RATING DRIVERS

Increased Loss Expectations: Overall loss expectations for the pool
have increased slightly since Fitch's last rating action, primarily
due to higher loss expectations on some of the larger Fitch Loans
of Concern. There are 13 Fitch Loans of Concern (FLOCs; 22% of
pool). Fitch's current ratings reflect a base case loss of 5.90%.
Losses are marginally higher when factoring an outsized loss on one
hotel loan to account for the ongoing business disruption as a
result of the pandemic.

The largest increase in loss since the last rating action is 46
Geary Street (1.8% of pool), which is secured by an 18,002-sf
mixed-use property located in downtown San Francisco, CA. This FLOC
was flagged for property occupancy declining to 72.9% as of
September 2021 from 100% at YE 2020 due to TapFwd (27.1% of NRA)
vacating at its 2021 lease expiration after going dark in 2020.

Additionally, Propeller Health (22.6% of NRA) has fully subleased
their space to Haus Services, which has a lease expiration on Jan.
31, 2022 per the September 2021 rent roll. Fitch requested a
leasing update from the master servicer, but has not received a
response. Fitch's base case loss of 38% reflects a 20% stress to
the YE 2020 NOI due to the potential upcoming lease rollover.

The next largest increase in loss is One Harbor Point Square (5.4%
of pool), which is secured by a 251,295-sf office building located
in the South End district of Stamford, CT. The former top tenant,
Bridgewater Associates (54% of NRA), exercised its lease
termination right ahead of lease expiration, resulting in occupancy
dropping to 45% as of September 2021 from 100%. According to the
master servicer, the tenant was required to pay a $15 million
termination fee which is held in a lender-controlled reserve.

As of December 2021, the reserve had a balance of $17 million. The
borrower has since re-tenanted a portion of the space to two new
tenants, totaling approximately 66,000 sf, which will boost
occupancy to 71%. Fitch's base case loss of 5% incorporates a 40%
stress to the YE 2020 NOI, which considers the net effect on cash
flow given the occupancy and tenancy changes.

The third largest increase in loss is DeSoto Town Center (2.3% of
pool), which is secured by the leasehold interest in a 161-unit
garden-style multifamily property located in DeSoto, TX, roughly 15
miles south of downtown Dallas. Although the property's occupancy
remains stable, overall operating expenses have increased 51% since
issuance, largely due to higher real estate taxes, property
insurance, utilities and payroll and benefits. The property was
96.4% occupied as of September 2021, compared with 94% at YE 2020
and 92.2% at YE 2019. Fitch's expected loss of 18% is based on a 5%
stress to the YE 2020 NOI.

Increased Credit Enhancement: As of the January 2022 remittance,
the pool's aggregate balance has been reduced by 7.7% to $697
million from $756 million at issuance. Since Fitch's last rating
action, the specially serviced DoubleTree - Cocoa Beach loan (1.8%
of last rating action pool balance) was disposed at better than
expected recoveries. Three loans (3.2% of pool) are defeased. Six
loans (18%) have full-term, interest-only payments. Twenty loans
(40.9%) had partial interest-only payments, but are now all
amortizing.

Additional Loss Consideration; Coronavirus Exposure: Fitch
performed a sensitivity scenario which applied an additional stress
to the pre-pandemic cash flow for one hotel loan given significant
pandemic-related 2020 NOI declines; this scenario contributed to
maintaining the Negative Outlook on class F. The Rating Outlook
revision to Stable from Negative on class E reflects sufficient
credit enhancement, better than expected performance of loans that
were affected by the pandemic and the Hyatt Regency Huntington
Beach Resort loan being resolved and returned to the master
servicer.

Undercollateralization: The transaction is slightly
undercollateralized by approximately $697,000 due to a workout
delayed reimbursement advance (WODRA) on the Hyatt Regency
Huntington Beach Resort & Spa loan, which was first reflected in
the March 2021 remittance.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool-level losses
    from underperforming or specially serviced loans. Downgrades
    to the 'AAsf' and 'AAAsf' categories are not expected given
    their high CE relative to expected losses and continued
    amortization, but may occur if interest shortfalls occur or if
    a high proportion of the pool defaults and expected losses
    increase considerably.

-- Downgrades to the 'BBBsf' and Asf' category would occur should
    overall pool losses increase significantly and/or one or more
    of the larger FLOCs have an outsized loss, which would erode
    CE. Downgrades to the 'Bsf' and 'BBsf' categories would occur
    should loss expectations increase and if performance of the
    FLOCs or loans vulnerable to the coronavirus pandemic fail to
    stabilize or additional loans default and/or transfer to the
    special servicer.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories
    would likely occur with significant improvement in CE and/or
    defeasance; however, adverse selection, increased
    concentrations and further underperformance of the larger
    FLOCs or loans impacted by the coronavirus pandemic could
    cause this trend to reverse.

-- Upgrades to the 'BBBsf' category would be limited based on
    sensitivity to concentrations or the potential for future
    concentration. Classes would not be upgraded to 'Asf' if there
    is a likelihood for interest shortfalls. Upgrades to the 'Bsf'
    and 'BBsf' 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 coronavirus
    return to pre-pandemic levels, and there is sufficient CE to
    the classes.

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 2016-GC37: Fitch Affirms CCC Rating on Cl. F Certs
------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Citigroup Commercial
Mortgage Trust Commercial Mortgage Pass-Through Certificates,
series 2016-GC37. Six classes on Negative Outlook have been revised
to Stable.

    DEBT              RATING           PRIOR
    ----              ------           -----
CGCMT 2016-GC37

A-3 17290XAS9    LT AAAsf  Affirmed    AAAsf
A-4 17290XAT7    LT AAAsf  Affirmed    AAAsf
A-AB 17290XAU4   LT AAAsf  Affirmed    AAAsf
A-S 17290XAV2    LT AAAsf  Affirmed    AAAsf
B 17290XAW0      LT AA-sf  Affirmed    AA-sf
C 17290XAX8      LT A-sf   Affirmed    A-sf
D 17290XAA8      LT BBsf   Affirmed    BBsf
E 17290XAC4      LT B-sf   Affirmed    B-sf
EC 17290XBA7     LT A-sf   Affirmed    A-sf
F 17290XAE0      LT CCCsf  Affirmed    CCCsf
X-A 17290XAY6    LT AAAsf  Affirmed    AAAsf
X-B 17290XAZ3    LT AA-sf  Affirmed    AA-sf
X-D 17290XAL4    LT BBsf   Affirmed    BBsf

KEY RATING DRIVERS

Decreased Loss Expectations: Loss expectations have decreased
slightly from the prior rating action due to the reduction in
percentage of specially serviced loans and Fitch Loans of Concern
(FLOCs) and ongoing recovery of loans impacted by the coronavirus
pandemic. One loan (1.1%) has returned to the master servicer since
the prior rating action, and nine loans (31.0%), including the
specially serviced loans, have been designated as FLOCs.

Fitch's current ratings incorporate a base case loss of 8.9%. The
Negative Outlooks on classes D and E reflect losses could reach
9.7% after factoring in an additional sensitivity analysis, which
applied an additional stress to the Hotel on Rivington to reflect
potential performance volatility given the property has recently
re-opened.

Large Specially Serviced Loan is Highest Contributor to Loss: The
largest specially serviced loan is Hilton Orrington Evanston
(6.3%). The loan is collateralized by a 269-key full-service hotel
located in Evanston, IL, adjacent to Northwestern University. The
loan transferred to special servicing in October 2020 for imminent
monetary default after the borrower failed to remit payments when
the loan's forbearance period ended in August 2020. Foreclosure
complaint and motion to appoint receiver have been filed. The
property, which had been closed since December 2020, reopened in
June 2021 for graduation. On July 30, 2021, the borrower expressed
interest to enter into a formal short sale disposition process; the
property would become REO should a sale not be consummated.
Midland, the special servicer, anticipates sale closing, subject to
lender approval, during the first half of 2022.

Fitch's expected loss of approximately 48.4% was based on a 26%
stress to the YE 2019 given the downward trending historical cash
flow, the likelihood that the asset will become REO, and the
property's reliance on Northwestern University as the primary
demand driver. As of 2Q 2020, the NCF debt service coverage ratio
(DSCR) has declined to 0.48x compared with 1.15x at YE 2019, 1.37x
at YE 2018 and 1.64x at issuance.

Smaller specially serviced loans include two hotels that have
suffered declines due to the coronavirus pandemic.

Performing Fitch Loans of Concern: The largest non-specially
serviced FLOC, Hotel on Rivington (6.3%) is a 109-key full-service
hotel located in the Lower East Side of Manhattan, at the cross
streets of Rivington and Essex. The loan is current and on
servicer's watchlist for low DSCR due to the impact of the
coronavirus pandemic and closed in March 2020. The loan is
currently in the final stages of being assumed by a new borrower
who reopened the hotel at end of September 2021 with plans to
infuse new money. Fitch's base case analysis included an overall
10% stress to YE 2019 NOI. A sensitivity analysis which assumed
losses of 26.9% was also performed given concerns that performance
not recover to sustainable levels.

Austin Block 21 (6%), is secured by a mixed-use property located in
downtown Austin, TX with recent occupancy and cash flow declines.
Although the loan is current, it is currently listed on the
watchlist for low DSCR due to a decrease in total income after M.
Arthur Gensler & Associates (38% of office NRA; 4% of total
property NRA) vacated at its January 2020 lease expiration, a
decrease in hotel revenue given the impact of the coronavirus
pandemic and a decline in other income due to reduced revenue from
the ACL Live venue and other event space at the property.

The sponsor has indicated that regional travel has increased and
events such as the Formula One U.S. Grand Prix and Austin City
Limits Music Festival have increased bookings. In addition, per the
September 2021 rent roll, Block 21 Service Company (25.6% NRA) has
backfilled a portion of Gensler's former space. Loss expectations
have improved from the prior review given the signs of performance
improvement, strong asset quality and location. Fitch's losses are
based on a 5% stress to YE 2019 given the expectations that
performance will recover during the loan term.

West LA Office - 350 South Beverly Drive (5.4%) is an office
building located in Beverly Hills, CA. Performance at the property
has declined since 2020 due to several tenants vacating the
property. The loan is current and on servicer's watchlist for low
DSCR and low occupancy of 64.5% after several tenants, including
Untitled Entertainment (28.1% total NRA) vacating the property.
Fitch's analysis included an overall 30% stress to YE2019 NOI due
to continued occupancy issues and lease roll concerns.

Other FLOCs include Staybridge Cleveland Mayfield (1.73% of the
deal), The Armitage Collection (1.73% of the deal) and Whitney Gray
Building (1.04% of the deal), which are all on the watchlist due to
low DSCR.

Minimal Change to Credit Enhancement (CE): As of the December 2021
distribution date, the pool's aggregate principal balance has been
reduced by 12.43% to $608.4 million from $694.7 million at
issuance. Six loans (25.4%) are full-term interest-only and 27
loans (53.5%) are partial-term interest-only, 17 (21.2%) of which
have begun amortizing. Interest shortfalls are currently impacting
class H. 17 loans (14%) mature in 2025, and the remaining 33 loans
(86%) mature in 2026.

Alternative Loss Considerations: Fitch performed a sensitivity
scenario which assumed a 26% stress to YE 2019 on the Hotel on
Rivington loan given concerns with performance recovery as the
property has recently reopened. This sensitivity scenario
contributed to the Negative Outlooks on classes D and E.

Coronavirus Exposure: The pool contains eight loans (34.0%) with
hotel exposure including six loans (17.69%) secured by traditional
hotels, one loan collateralized by the fee position on the ground
lease of a Denver hotel (11.51%) and one mixed-use property (6%)
with a hotel component. The traditional hotels have a weighted
average (WA) NOI DSCR of 0.56x. Retail properties account for 19
loans (32.2%) and have a WA NOI DSCR of 1.37x. Cashflow disruptions
continue as a result of the ongoing coronavirus pandemic. However,
Fitch expects the negative impact to lessen gradually along with
the nationwide progress of vaccination.

RATING SENSITIVITIES

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

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to classes A-3, A-4, 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 or
    if underperforming loans transfer to special servicing.
    Downgrades to classes C, X-B and PST would occur should
    overall pool losses increase and/or one or more large loans,
    such as the Hilton Orrington Evanston loan, have an outsized
    loss which would erode CE.

-- Downgrades to classes D, E and X-D would occur should loss
    expectations increase due to higher total exposure in
    specially serviced loans or an increase in the certainty of
    losses on specially serviced loans. The distressed class F
    could be further downgraded should losses be realized or
    become more certain. The Negative Outlooks may be revised back
    to Stable if performance of the FLOCs and specially serviced
    loans improves and/or properties vulnerable to the pandemic
    stabilize as the health crisis subsides.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of classes B, C, X-B and PST would
    only occur with significant improvement in CE and/or
    defeasance, but would be limited unless the specially serviced
    and FLOCs stabilize. An upgrade to classes D and X-D would
    also consider these factors, but would be more limited due to
    its more junior position.

-- An upgrade to classes E and F is not likely until the later
    years in a transaction and only if the performance of the
    remaining pool is stable and/or if there is sufficient CE,
    which would likely occur when the senior classes payoff and if
    the non-rated classes are not eroded. While uncertainty
    surrounding the coronavirus pandemic and the resolution of the
    Hilton Orrington Evanston continues, upgrades are not likely.

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.


COMM 2014-LC17: Fitch Affirms CC Rating on 2 Tranches
-----------------------------------------------------
Fitch Ratings has affirmed 15 classes of COMM 2014-LC17 Mortgage
Trust. Fitch has also revised the Rating Outlooks on Classes B and
X-B to Positive from Stable and Classes D and X-C to Stable from
Negative.

   DEBT               RATING           PRIOR
   ----               ------           -----
COMM 2014-LC17

A-4 12592MBJ8    LT AAAsf  Affirmed    AAAsf
A-5 12592MBK5    LT AAAsf  Affirmed    AAAsf
A-M 12592MBM1    LT AAAsf  Affirmed    AAAsf
A-SB 12592MBG4   LT AAAsf  Affirmed    AAAsf
B 12592MBN9      LT AAsf   Affirmed    AAsf
C 12592MBQ2      LT Asf    Affirmed    Asf
D 12592MAN0      LT BBsf   Affirmed    BBsf
E 12592MAQ3      LT CCCsf  Affirmed    CCCsf
F 12592MAS9      LT CCsf   Affirmed    CCsf
PEZ 12592MBP4    LT Asf    Affirmed    Asf
X-A 12592MBL3    LT AAAsf  Affirmed    AAAsf
X-B 12592MAA8    LT AAsf   Affirmed    AAsf
X-C 12592MAC4    LT BBsf   Affirmed    BBsf
X-D 12592MAE0    LT CCCsf  Affirmed    CCCsf
X-E 12592MAG5    LT CCsf   Affirmed    CCsf

KEY RATING DRIVERS

Improved Loss Expectations: The Rating Outlook revisions reflect
lower loss expectations on the overall pool due to previously
specially serviced loans disposed with better than expected
recoveries, as well as continued performance stabilization and
workout of the loans affected by the coronavirus pandemic.

Fitch's current ratings reflect a base case loss of 4.70%. Eleven
loans (13.5% of pool) are Fitch Loans of Concern (FLOCs), including
five specially serviced loans (7.8%). Six of these loans were
flagged due to high vacancy, low DSCR, upcoming rollover concerns
and/or pandemic-related delinquency and underperformance.

The largest contributor to the improved loss expectations since the
last rating action is the Aloft Cupertino loan (3.9%), which is
secured by a 123-key, limited service hotel in Cupertino, CA,
within Silicon Valley. As of December 2021, the lender and borrower
agreed to a modification/forbearance agreement, which includes the
deferral of delinquent principal and interest payments, an
interest-only period between June 2021 and 2022, deferment of FF&E
deposits between January 2021 and June 2022 and a waiver of default
interest and late fees. Deferred amounts are to be paid back by the
end of June 2024, two months prior to this loan's maturity. The
loan is expected to be returned to the master servicer.

The loan had transferred to special servicing in March 2021 for
payment default resulting from economic hardship brought on by the
coronavirus pandemic and diminished business travel. At issuance,
the borrower stated that corporate demand accounted for 85% of
revenue, given its close proximity to Apple's, Google's, Seagate's,
PWC's and Amazon's offices. Per STR and as of TTM June 2021, RevPAR
was $29.21, compared to $202.11 as of June 2019.

The largest contributor to overall loss expectations is the
Paradise Valley asset (1.7% of pool), a shopping center located in
Phoenix, AZ, which became REO in January 2022. The loan transferred
to special servicing in August 2020 for imminent monetary default.
The property was already exhibiting performance issues in 2016 when
the largest tenant, RoomStore of Phoenix (35.3% of NRA) declared
bankruptcy and vacated. Occupancy has fallen to 46% in June 2021
from 65% at YE 2018. Significant lease rollover concerns exist as
the largest and third largest remaining tenants, Manhattan Dance
Project (6.6% of NRA) and Nicole's Yoga (4.5%), are both on
month-to-month leases. Fitch's expected loss of 31% incorporates a
discount to a recent appraisal, reflecting a stressed value of $106
psf.

The second largest contributor to modelled losses is the Parkway
120 loan (5.2% of pool), which is secured by an office property
located in Matawan, NJ, approximately 35 miles south of New York
City. Fitch's expected loss of 10% is based on a 9% cap rate and a
15% stress to the YE 2020 NOI to reflect upcoming lease roll, which
includes two tenants (8.7% of NRA) with October 2022 lease
expirations. The largest tenant, ICIMS Inc. (37.9% of NRA), also
rolls in June 2023.

Increased Credit Enhancement: The Positive Outlook revisions also
reflects increased credit enhancement since the last rating action
due to loan repayments and resolutions. As of the January 2022
distribution date, the pool's aggregate balance has been reduced by
34.7% to $806.7 million from $1.2 billion at issuance.

Since Fitch's last rating action, three loans (combined, $62.6
million) were paid in full, including the previously specially
serviced Georgia Multifamily Portfolio loan, which Fitch had
applied a large loss at the last rating action given the property's
consistently poor pre-pandemic cash flow and inferior position in
the submarket. The REO World Houston Plaza asset was also disposed
with losses in line with Fitch's expectations.

Seven loans (25.4% of pool) are interest-only. Nine loans (7.4%)
have been fully defeased.

Additional Loss Scenario: In order to test the durability of the
Rating Outlook revisions, Fitch applied an additional sensitivity
scenario, which assumed higher cap rates and a higher stress to
servicer-reported NOI; this scenario supported the Outlook
revisions of classes B and D.

Coronavirus Exposure: Three loans (24.7% of pool) are secured by
lodging properties, one of which is flagged as a FLOC. Seventeen
loans (24.0%) are secured by retail properties, six of which are
flagged as FLOCs. While all three loans secured by lodging
properties have exhibited underperformance, the Loews Miami Beach
Hotel (14.9%) and Myrtle Beach Marriott Resort & Spa (5.9%) have
strong asset location and property quality.

RATING SENSITIVITIES

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

-- Downgrades to classes A-4 through A-M and the interest-only
    classes X-A are not likely due to the position in the capital
    structure, but may occur should interest shortfalls occur.
    Downgrades to classes B, C, X-B and PEZ are possible should
    overall loss expectations for the pool increase significantly,
    performance of the FLOCs further decline, and all loans
    susceptible to the coronavirus pandemic experience losses.

-- Classes D, E, F, X-C, X-D and X-E could be downgraded should
    performance of the FLOCs further decline, realized losses on
    the specially serviced loans are higher than anticipated
    and/or should further loans default or transfer to special
    servicing.

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

-- The Positive Outlook on Class B reflects the potential of for
    upgrades should loans affected by the coronavirus pandemic
    continue to recover and/or the specially serviced loans are
    resolved with better recoveries than expected. Upgrades to the
    'Asf' rated class would likely occur with significant
    improvement in CE and/or defeasance and/or the stabilization
    to the properties affected by the coronavirus pandemic.

-- An upgrade of the 'BBB-sf' class is considered unlikely and
    would be limited based on the sensitivity to concentrations or
    the potential for future concentrations. Classes would not be
    upgraded above 'Asf' if there is a likelihood of interest
    shortfalls. An upgrade to the 'BBsf', 'CCCsf' and 'CCsf' rated
    classes is not likely, but would be possible if the pool
    continues to stabilize and the loans in special servicing are
    resolved with better than expected losses.

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.


CPS AUTO 2022-A: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CPS Auto
Receivables Trust 2022-A's asset-backed notes. The note issuance is
an ABS transaction backed by subprime auto loan receivables.

The preliminary ratings are based on information as of Jan. 19,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The availability of approximately 56.6%, 48.5%, 38.3%, 29.8%,
and 24.0% of credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 3.20x, 2.70x, 2.10x, 1.60x, and 1.23x S&P's
17.00%-18.00% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. In addition, the
credit enhancement, including excess spread, for classes A, B, C,
D, and E covers break-even cumulative gross losses of approximately
90.5%, 77.6%, 63.9%, 49.6%, and 40.0%, respectively.

-- The expectations that under a moderate ('BBB') stress scenario
(1.60x our expected loss level), all else being equal, S&P's
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
will be within the credit stability limits specified by section A.4
of the Appendix contained in "S&P Global Ratings Definitions,"
published Nov. 10, 2021.

-- The preliminary rated notes' underlying credit enhancement in
the form of subordination, overcollateralization (O/C), a reserve
account, and excess spread for the class A through E notes.

-- The timely interest and principal payments made to the
preliminary rated notes under our stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
preliminary ratings.

-- The transaction's payment and credit enhancement structure,
which includes an incurable performance trigger.

  Preliminary Ratings Assigned

  CPS Auto Receivables Trust 2022-A

  Class A, $157.740 million: AAA (sf)
  Class B, $46.695 million: AA (sf)
  Class C, $49.335 million: A (sf)
  Class D, $36.630 million: BBB (sf)
  Class E, $26.400 million: BB- (sf)


ELLINGTON FINANCIAL 2022-1: Fitch Gives 'B(EXP)' Rating on B-2 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Ellington Financial
Mortgage Trust 2022-1.

DEBT                RATING
----                ------
EFMT 2022-1

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
X        LT NR(EXP)sf   Expected Rating
R        LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by Ellington Financial Mortgage Trust 2022-1, Mortgage
Pass-Through Certificates, Series 2022-1 (EFMT 2022-1) as indicated
above. The certificates are supported by 817 loans with a balance
of $417.19 million as of the cutoff date. This will be the fourth
Ellington Financial Mortgage Trust transaction rated by Fitch.

The certificates are secured mainly by nonqualified mortgages
(non-QM) as defined by the Ability to Repay (ATR) rule.
Approximately 86% of the loans were originated by LendSure Mortgage
Corporation, a joint venture between LendSure Financial Services,
Inc. (LFS) and Ellington Financial, Inc. (EFC). The remaining 14%
of the loans were originated by third-party originators.

Of the pool, 64% of the loans are designated as non-QM, and the
remaining 36% are investment properties not subject to ATR.
Rushmore Loan Management Services LLC will be the servicer and
Nationstar Mortgage LLC will be the master servicer for the
transaction.

Consistent with the majority of the non-QM transactions issued to
date, this transaction has a sequential payment structure. In this
sequential payment structure, the subordinate classes do not
receive principal until the senior classes are repaid in full.
Losses are allocated in reverse-sequential order. Furthermore, the
provision to reallocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to that class with
limited advancing. There is LIBOR exposure in this transaction.
While the majority of the loans in the collateral pool comprise
fixed-rate mortgages, 1.19% of the pool comprises loans with an
adjustable rate based on one-month or one-year LIBOR. The offered
certificates are fixed rate and capped at the net weighted average
coupon (WAC) or pay the net WAC.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.7% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is the result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 18.6% yoy nationally as of June 2021.

Nonprime Credit Quality (Mixed): Collateral consists mainly of
30-year or 40-year fully amortizing loans, either fixed rate or
adjustable rate, and 31% of the loans have an interest-only period.
The pool is seasoned at about five months in aggregate, as
determined by Fitch. The borrowers in this pool have relatively
strong credit profiles with a 742 WA FICO score and a 40.8%
debt-to-income ratio (DTI), both as determined by Fitch, and
moderate leverage with an original combined loan-to-value ratio
(CLTV) of 69.1%, translating to a Fitch-calculated sustainable
loan-to-value ratio (sLTV) of 76.1%.

Fitch considered 55.7% of the pool to consist of loans where the
borrower maintains a primary residence, while 37.8% comprises an
investor property and 6.5% represents second homes. Fitch considers
loans to nonpermananet residents and foreign nationals as investor
occupied, which explains why the primary residence percentage is
lower than the transaction documentation percentage of 56.8%, the
second home percentage is lower than the transaction documentation
percentage of 7.4% and the investor occupied percentage is higher
than the transaction documentation percentage of 35.8%.

In total, 95% of the loans were originated through a nonretail
channel. Additionally, 64% of the loans are designated as non-QM,
while the remaining 36% are exempt from QM since they are investor
loans. The pool contains 97 loans over $1 million, with the largest
loan at $3.350 million.

Fitch determined that self-employed non-debt service coverage ratio
(DSCR) borrowers make up 52.3% of the pool; salaried non-DSCR
borrowers make up 24.2%; and 23.5% comprise investor cash flow DSCR
loans. About 37.8% of the pool comprises loans on investor
properties (14.3% underwritten to the borrowers' credit profiles
and 23.5% comprising investor cash flow loans), and Fitch
considered 44 loans in the pool (4.0%) to be tied to nonpermanent
residents, which Fitch assumes as investor occupied. There are no
second liens in the pool and none of the loans have subordinate
financing.

Around 40% of the pool is concentrated in California with
relatively low MSA concentration. The largest MSA concentration is
in the Los Angeles MSA (16.5%), followed by the Miami MSA (7.2%)
and the San Diego MSA (7.1%). The top three MSAs account for 30.8%
of the pool. As a result, there was no adjustment for geographic
concentration.

All loans are current as of Jan. 1, 2022. Overall, the pool
characteristics resemble nonprime collateral; therefore, the pool
was analyzed using Fitch's nonprime model.

Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans
(Negative): About 80.0% of the pool was underwritten to less than
full documentation, and 37.6% was underwritten to a 12- or 24-month
bank statement program for verifying income, which is not
consistent with Appendix Q standards and Fitch's view of a full
documentation program. A key distinction between this pool and
legacy Alt-A loans is that these loans adhere to underwriting and
documentation standards required under the Consumer Financial
Protection Bureau's (CFPB) ATR Rule. This reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to the
rigor of the Rule's mandates with respect to underwriting and
documentation of the borrower's ability to repay. Additionally,
7.9% comprises an asset depletion product, 0% is a CPA or P&L
product, and 23.5% is a DSCR product.

Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent P&I. The limited advancing reduces
loss severities, as there is a lower amount repaid to the servicer
when a loan liquidates, and liquidation proceeds are prioritized to
cover principal repayment over accrued but unpaid interest. The
downside is additional stress on the structure side as there is
limited liquidity in the event of large and extended
delinquencies.

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

RATING SENSITIVITIES

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

-- Fitch incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper market value declines
    (MVDs) than assumed at the MSA level. 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.

-- 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 41.9% 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 positive
rating action/upgrade:

-- Fitch incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper MVDs than assumed at the
    MSA level. 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.

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

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

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 Evolve and AMC. The third-party due diligence described
in Form 15E focused on three areas: compliance review, credit
review, and valuation review. Fitch considered this information in
its analysis. Based on the results of the 100% due diligence
performed on the pool, Fitch reduced the overall 'AAAsf' expected
loss by 0.44%.

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."
Evolve and AMC 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

EFMT 2022-1 has an ESG Relevance Score of '4[+]' for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in EFMT 2022-1, including strong transaction due diligence as well
as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in
expected losses. This has a positive impact on the credit profile
and is relevant to the ratings in conjunction with other factors.

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.


FLAGSHIP CREDIT: DBRS Takes Rating Actions on 17 Trust Transactions
-------------------------------------------------------------------
DBRS, Inc. upgraded 12 ratings, confirmed 56 ratings, and
discontinued six ratings as a result of repayment from 17 Flagship
Credit Auto Trust transactions.

The Affected Ratings are available at https://bit.ly/3nJwG2s

The Affected Issuers are:

Flagship Credit Auto Trust 2021-1
Flagship Credit Auto Trust 2020-4
Flagship Credit Auto Trust 2018-3
Flagship Credit Auto Trust 2020-2
Flagship Credit Auto Trust 2017-4
Flagship Credit Auto Trust 2019-2
Flagship Credit Auto Trust 2021-2
Flagship Credit Auto Trust 2020-1
Flagship Credit Auto Trust 2018-2
Flagship Credit Auto Trust 2017-3
Flagship Credit Auto Trust 2019-1
Flagship Credit Auto Trust 2019-4
Flagship Credit Auto Trust 2020-3
Flagship Credit Auto Trust 2018-4
Flagship Credit Auto Trust 2018-1
Flagship Credit Auto Trust 2019-3
Flagship Credit Auto Trust 2017-2

The rating actions are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary Baseline Macroeconomic Scenarios For
Rated Sovereigns December 2021 Update, published on December 9,
2021. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse COVID-19 pandemic scenarios,
which were first published in April 2020. The baseline
macroeconomic scenarios reflect the view that recent COVID-19
developments, particularly the new Omicron variant with subsequent
restrictions, combined with rising inflation pressures in some
regions, may dampen near-term growth expectations in coming months.
However, DBRS Morningstar expects the baseline projections will
continue to point to an ongoing, gradual recovery.

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected cumulative net loss (CNL) assumptions.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.

-- The transactions' capital structure and form and sufficiency of
available credit enhancement. The current level of hard credit
enhancement and estimated excess spread are sufficient to support
the DBRS Morningstar-projected remaining CNL assumption at a
multiple of coverage commensurate with the ratings.


FREDDIE MAC 2022-DNA1: S&P Assigns Prelim 'B+' Rating on B-1B Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2022-DNA1's residential mortgage-backed notes.

The note issuance is an RMBS securitization backed by a reference
pool consisting of 100% conforming residential mortgage loans.

The preliminary ratings are based on information as of Jan. 13,
2022. 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 credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;

-- The REMIC structure, which reduces the counterparty exposure to
Freddie Mac for periodic principal and interest payments but also
pledges the support of Freddie Mac (as a highly rated counterparty)
to cover any shortfalls on interest payments and make up for any
investment losses;

-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the transaction's
performance, which enhances the notes' strength, in S&P's view;

-- The enhanced credit risk management and quality control (QC)
processes Freddie Mac uses in conjunction with the underlying
representations and warranties (R&Ws) framework; and

-- The further impact that the COVID-19 pandemic is likely to have
on the U.S. economy and housing market, and the additional
structural provisions included to address corresponding forbearance
and subsequent defaults.

  Preliminary Ratings Assigned

  Freddie Mac STACR REMIC Trust 2022-DNA1

  Class A-H(i), $32,062,833,829: NR
  Class M-1A, $478,000,000: A- (sf)
  Class M-1AH(i), $25,604,719: NR
  Class M-1B, $318,000,000: BBB (sf)
  Class M-1BH(i), $17,736,480: NR
  Class M-2, $239,000,000: BB (sf)
  Class M-2A, $119,500,000: BB+ (sf)
  Class M-2AH(i), $6,401,180: NR
  Class M-2B, $119,500,000: BB (sf)
  Class M-2BH(i), $6,401,180: NR
  Class M-2R, $239,000,000: BB (sf)
  Class M-2S, $239,000,000: BB (sf)
  Class M-2T, $239,000,000: BB (sf)
  Class M-2U, $239,000,000: BB (sf)
  Class M-2I, $239,000,000: BB (sf)
  Class M-2AR, $119,500,000: BB+ (sf)
  Class M-2AS, $119,500,000: BB+ (sf)
  Class M-2AT, $119,500,000: BB+ (sf)
  Class M-2AU, $119,500,000: BB+ (sf)
  Class M-2AI, $119,500,000: BB+ (sf)
  Class M-2BR, $119,500,000: BB (sf)
  Class M-2BS, $119,500,000: BB (sf)
  Class M-2BT, $119,500,000: BB (sf)
  Class M-2BU, $119,500,000: BB (sf)
  Class M-2BI, $119,500,000: BB (sf)
  Class M-2RB, $119,500,000: BB (sf)
  Class M-2SB, $119,500,000: BB (sf)
  Class M-2TB, $119,500,000: BB (sf)
  Class M-2UB, $119,500,000: BB (sf)
  Class B-1, $159,000,000: B+ (sf)
  Class B-1A, $79,500,000: BB- (sf)
  Class B-1AR, $79,500,000: BB- (sf)
  Class B-1AI, $79,500,000: BB- (sf)
  Class B-1AH(i), $4,434,120: NR
  Class B-1B, $79,500,000: B+ (sf)
  Class B-1BH(i), $4,434,120: NR
  Class B-2, $159,000,000: NR
  Class B-2A, $79,500,000: NR
  Class B-2AR, $79,500,000: NR
  Class B-2AI, $79,500,000: NR
  Class B-2AH(i), $4,434,120: NR
  Class B-2B, $79,500,000: NR
  Class B-2BH(i), $4,434,120: NR
  Class B-3H(i), $83,934,120: NR

(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of these tranches.
NR--Not rated.



GOODLEAP SUSTAINABLE 2022-1: Fitch Gives BB(EXP) Rating on C Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the class A, B and C
notes issued by GoodLeap Sustainable Home Solutions Trust 2022-1
(GoodLeap 2022-1).

DEBT           RATING
----           ------
GoodLeap Sustainable Home Solutions Trust 2022-1

A    LT A(EXP)sf    Expected Rating
B    LT BBB(EXP)sf  Expected Rating
C    LT BB(EXP)sf   Expected Rating
R    LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

This is a securitization of residential equipment loans backed by
solar (93.7%) and other home improvement assets (non-solar: 6.3%);
99% of the solar loans in the static portfolio have 20- or 25-year
maturities.

KEY RATING DRIVERS

LIMITED PERFORMANCE HISTORY DETERMINES 'Asf' CAP

Residential solar loans in the U.S. have long terms, many of which
are now at 25 years. For GoodLeap, about two full years of
performance data are available. GoodLeap has also launched
non-solar and interest-only (IO) loans in 2021, which respectively
make up 6.3% and 17.6% of the securitized portfolio.

EXTRAPOLATED ASSET ASSUMPTIONS

Fitch has focused on the 2018 and 2019 default vintages, and used
an annualized default rate (ADR) of 1.5% and certain prepayment
assumptions for solar loans. For non-solar loans, which have
shorter tenors, Fitch considered proxy data on home improvement
loans and assigned a default expectation of 10%. The overall base
case default rate is 11.1%. Fitch has also assumed a 25% base case
recovery rate for solar loans and no recovery for non-solar loans.
At 'Asf', the aggregate default and recovery assumptions are 37.6%
and 15.0%, respectively.

TRIGGER BREACH MATERIAL TO CASH FLOW ANALYSIS

The notes will initially amortize based on target
overcollateralization (OC) percentages. Should asset performance
deteriorate, first, additional principal will be paid to cover any
defaulted amounts; second, once the cumulative loss trigger is
breached, the payment waterfall will switch to "turbo" sequential
to the senior class. This feature means that the driving model
scenario has back-loaded defaults and a high level of prepayments,
and ultimately constrains the ratings. See Model Outputs.

STANDARD, REPUTABLE COUNTERPARTIES; NO SWAP

The transaction account is with Wilmington Trust (A/F1/Negative)
and the servicer's lockbox account is with KeyBank (A-/F1/Stable).
Commingling risk is mitigated by the daily transfer of collections,
high ACH share at closing and ratings of KeyBank.

ESTABLISHED LENDER, BUT NEW ASSETS

GoodLeap has grown to be one of the largest U.S. solar loan
lenders. Underwriting is mostly automated and in line with those of
other U.S. ABS originators. Other than the solar lending business,
GoodLeap also originates mortgage and sustainable home improvement
loans. Some loan servicing is outsourced to Genpact (UK) Limited,
the subservicer, while GoodLeap has increased its role in direct
servicing over time. Servicing disruption risk is further mitigated
by the appointment of Vervent, Inc. as the backup servicer (see
Appendix 1).

RATING SENSITIVITIES

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

Additional performance data, both at transaction and at originator
level, that do not show flattening of the cumulative default
curves, especially during the second and third year after
originations, may contribute to a negative outlook or downgrade,
especially if the implied ADRs do not fall below 1.5% and at the
same time the prepayment activity subsides.

Material changes in policy support, the economics of purchasing and
financing PV panels and batteries, and/or ground-breaking
technological advances that make the existing equipment obsolete
may also affect the ratings negatively.

Increase of defaults (Class A / B / C):
-- +10%: 'A-sf' / 'BB+sf' / 'BB-sf'
-- +25%: 'BBB+sf' / 'BBsf' / 'Bsf'
-- +50%: 'BBB-sf' / 'BB-sf' / 'B-sf'

Decrease of recoveries (Class A / B / C):
-- -10%: 'A-sf' / 'BBB-sf' / 'BB-sf'
-- -25%: 'A-sf' / 'BBB-sf' / 'BB-sf'
-- -50%: 'BBB+sf' / 'BB+sf' / 'B+sf'

Increase of defaults/decrease of recoveries (Class A / B / C):
-- +10% / -10%: 'BBB+sf' / 'BB+sf' / 'B+sf'
-- +25% / -25%: 'BBBsf' / 'BBsf' / 'Bsf'
-- +50% / -50%: 'BB+sf' / 'B+sf' / 'CCCsf'

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

Fitch currently caps ratings in the 'Asf' category due to limited
data history. As a result, a positive rating action would follow a
substantially greater amount of performance data, for example with
regard to the levels of default after the ITC timing, more data on
recoveries, and the performance of IO loans and non-solar loans.

Subject to those conditions, good transaction performance, credit
enhancement at the target OC levels and ADRs materially below 1.5%
would support an upgrade.

Decrease of defaults (Class A / B / C):
-- -10%: 'Asf' / 'BBBsf' / 'BBsf'
-- -25%: 'A+sf' / 'BBB+sf' / 'BB+sf'
-- -50%: 'A+sf' / 'A+sf' / 'BBB+sf'

Increase of recoveries (Class A / B / C):
-- +10%: 'Asf' / 'BBBsf' / 'BBsf'
-- +25%: 'Asf' / 'BBBsf' / 'BBsf'
-- +50%: 'Asf' / 'BBBsf' / 'BBsf'

Decrease of defaults/increase of recoveries (Class A / B / C):
-- -10% / +10%: 'Asf' / 'BBBsf' / 'BBsf'
-- -25% / +25%: 'A+sf' / 'BBB+sf' / 'BBB-sf'
-- -50% / +50%: 'A+sf' / 'A+sf' / 'A-sf'

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 Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on comparing or re-computing certain
information with respect to 200 loan contracts from the collateral
pool of assets for the transaction. Fitch considered this
information in its analysis and it did not have an effect on
Fitch's analysis or conclusions.

DATA ADEQUACY

The historical information available for this originator was
limited in that originations began less than three years ago, while
the loan tenor can be as long as 25 years. Fitch applied a rating
cap at the 'Asf' category to address this limitation, as well as
default and recovery stresses at the high or median-high level of
the criteria range. The amortizing nature of the assets and the
application of an annual default rate to the static portfolio
allowed us to determine lifetime default assumptions.

In addition, Fitch considered proxy data from other originators and
borrower characteristics (including demographics and relatively
high FICO scores) to derive asset assumptions, as envisaged under
the Consumer ABS Rating Criteria. Taking into account this
analytical approach, the rating committee considered the available
data sufficient to support a rating in the 'Asf' category.

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.


GREEN TREE 1996-2: S&P Affirms CC (sf) Rating on Class M1 Trust
---------------------------------------------------------------
S&P Global Ratings completed its review of 15 classes from 13 Green
Tree Financial Corp. Man Hsg Trust transactions issued between 1996
and 1998. S&P raised five ratings and affirmed 10.

The transactions are U.S. ABS transactions backed by pools of
manufactured housing installment sale contracts and installment
loan agreements that are currently serviced by Shellpoint Mortgage
Servicing.

S&P said, "The rating actions reflect the transactions' collateral
performance to date, our views regarding future collateral
performance, the transactions' structures, and the credit
enhancement available. Furthermore, our analysis incorporated
secondary credit factors such as credit stability and sector- and
issuer-specific analysis.

"The upgrades reflect our assessment of the growth in credit
enhancement for the affected classes in the form of subordination,
which we expect will mitigate the impact of losses being higher
than originally expected for these pools. We also took into
consideration the relatively short estimated time horizon for the
notes to be paid in full. The affirmations reflect our view that
the total credit support as a percentage of the amortizing pool
balances, compared with our expected remaining cumulative net
losses, is sufficient to support the current ratings."

Table 1

Collateral Performance (%)

As of the December 2021 distribution date

                                           Prior      Current
                                60+ day  expected     expected
GTFCMHT       Current Current  delinq.  lifetime     lifetime
deal      Mo.  PF (%)  CNL (%)  (%)(i)  CNL (%)(ii)   CNL (%)

1996-6    305   1.70   17.27    4.83   17.50-18.50   17.50-18.50
1996-10   300   2.03   16.91    9.72   17.00-18.00   17.00-18.00
1998-5    282   4.64   18.63    8.16   20.10-21.10   20.00-21.00
1998-8    277   5.02   21.12    7.71   22.75-23.75   22.75-23.75

(i)Aggregate 60-plus day delinquencies as a percentage of the
current pool balance.

(ii)As of July 2020.
Mo.--months.
PF--Pool factor.
CNL--cumulative
net loss.

GTFCMHT--Green Tree Financial Corp. Man Hsg Trust.

Table 2

Hard Credit Support (%)

                         Prior total hard   Current total hard
                           credit support       credit support
GTFCMHT deal   Class   (% of current)(i)         (%)(ii)(iii)
1996-6         M-1                 24.18                45.53
1996-10        M-1                 37.14                95.91
1998-5         A-1                 70.25                96.66
1998-8         A-1                 52.81                72.25

(i)As of the May 2020 distribution date.

(ii)As of the December 2021 distribution date.

(iii)The current hard credit support consists solely of
subordination. Prior and current total hard credit support exclude
excess spread.

GTFCMHT--Green Tree Financial Corp. Man Hsg Trust.

S&P said, "The 'CCC (sf)' and 'CC (sf)' ratings reflect our view
that our projected credit support will remain insufficient to cover
our projected losses for these classes. As defined in our criteria,
the 'CCC (sf)' level ratings reflect our view that the related
classes are still vulnerable to nonpayment and are dependent upon
favorable business, financial, and economic conditions in order to
be paid interest and/or principal according to the terms of each
transaction. Additionally, the 'CC (sf)' ratings reflect our view
that the related classes remain virtually certain to default. Each
transaction was initially structured with overcollateralization
(O/C) and subordination. However, due to higher-than-expected
losses, the O/C on each of these transactions has been depleted to
zero, and many of the subordinated classes have experienced
principal write-downs.

"We will continue to monitor the performance of the transactions
relative to their cumulative net loss expectations and the
available credit enhancement. We will take rating actions as we
consider appropriate."

  RATINGS RAISED

  Green Tree Financial Corp. Man Hsg Trust

  Series    Class   From       To

  1996-4    M-1     CC (sf)    CCC- (sf)
  1996-5    M-1     CC (sf)    CCC- (sf)
  1996-6    M-1     CCC (sf)   B- (sf)
  1996-8    M-1     CCC (sf)   CCC+ (sf)
  1996-10   M-1     BBB (sf)   A+ (sf)

  RATINGS AFFIRMED

  Green Tree Financial Corp. Man Hsg Trust

  Series   Class   Rating

  1996-2   M-1     CC (sf)
  1996-2   B-1     CC (sf)
  1996-3   M-1     CC (sf)
  1996-3   B-1     CC (sf)
  1996-9   M-1     CCC (sf)
  1997-4   M-1     CCC- (sf)
  1997-6   M-1     CC (sf)
  1997-7   M-1     CC (sf)
  1998-5   A-1     A+ (sf)
  1998-8   A-1     BBB (sf)



HALCYON LOAN 2014-1: Moody's Cuts $18MM Cl. E Notes Rating to Ca
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Halcyon Loan Advisors Funding 2014-1
Ltd.:

US$18,000,000 Class E Secured Deferrable Floating Rate Notes Due
April 2026 (current outstanding balance of $18,125,481.34) (the
"Class E Notes"), Downgraded to Ca (sf); previously on July 16,
2021 Downgraded to Caa3 (sf)

Halcyon Loan Advisors Funding 2014-1 Ltd., originally issued in
March 2014 and partially refinanced in July 2017, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2018.

RATINGS RATIONALE

The downgrade action on the Class E notes reflects the
deterioration in its Over-Collateralization (OC) ratio and interest
coverage. Based on Moody's calculation, the OC ratio for the Class
E notes is currently at 85.84% versus level of 94.82% in July 2021.
Additionally, the Class E notes is currently deferring interest
payments, and carries the deferred interest balance of $125,481.

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 and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: $36,058,751

Defaulted par: $7,213,313

Diversity Score: 14

Weighted Average Rating Factor (WARF): 3791

Weighted Average Spread (WAS) (before accounting for LIBOR Floors):
3.96%

Weighted Average Recovery Rate (WARR): 46.90%

Weighted Average Life (WAL): 2.2 years

Par haircut in OC tests and interest diversion test: 9.0%

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, credit deterioration of the
underlying portfolio and lower recoveries on defaulted assets.

Methodology Used for the Rating Action

The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.

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

The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performnce of the rated notes.


HERTZ VEHICLE III: Moody's Assigns Ba2 Rating to 2 Tranches
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
Series 2022-1 and Series 2022-2 Rental Car Asset Backed Notes
issued by Hertz Vehicle Financing III LLC (the Issuer), Hertz's
rental car ABS facility.

The Series 2022-1 Notes and the Series 2022-2 Notes have a legal
final maturity in 54 and 78 months, respectively. Hertz Vehicle
Financing III LLC (HVFIII) is a Delaware limited liability company,
which is a bankruptcy-remote special purpose entity (SPE) and
direct subsidiary of The Hertz Corporation (Hertz). The collateral
backing the notes is a fleet of vehicles and a single operating
lease of the fleet to Hertz for use in its rental car business, as
well as certain manufacturer and incentive rebate receivables owed
to the SPE by the original equipment manufacturers (OEMs).

Moody's also announced today that the issuance of the Series 2022-1
and Series 2022-2 Notes, along with an amendment to the maximum
lease termination date definition, in and of themselves and at this
time, will not result in a reduction, withdrawal, or placement
under review for possible downgrade of any of the ratings currently
assigned to the outstanding series of notes issued by the Issuer.
Following this amendment, the maximum lease termination date for
all passenger automobiles, vans and light-duty trucks, will be the
earlier of (1) the last business day of the month that is 60 months
after the month in which its vehicle operating lease commencement
date occurred (48 prior to the amendment) and (2) the last business
day of the month that is 72 months after December 31 of the
calendar year prior to the model year of such vehicle.

The complete rating actions are as follows:

Issuer: Hertz Vehicle Financing III LLC

Series 2022-1 Rental Car Asset Backed Notes, Class A, Definitive
Rating Assigned Aaa (sf)

Series 2022-1 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A2 (sf)

Series 2022-1 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa2 (sf)

Series 2022-1 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)

Series 2022-2 Rental Car Asset Backed Notes, Class A, Definitive
Rating Assigned Aaa (sf)

Series 2022-2 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A2 (sf)

Series 2022-2 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa2 (sf)

Series 2022-2 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)

RATINGS RATIONALE

The definitive ratings are based on (1) the credit quality of the
collateral in the form of rental fleet vehicles, which Hertz uses
in its rental car business, (2) the credit quality of Hertz,
Corporate Family Rating of B2, as the primary lessee and as
guarantor under the operating lease, (3) the experience and
expertise of Hertz as sponsor and administrator, (4) the credit
enhancement, which will consist of subordination and
over-collateralization, (5) a required liquidity amount in the form
of cash and/or a letter of credit, (6) the transaction's legal
structure, including standard bankruptcy remoteness and security
interest provisions, and (7) vastly improved rental car market
conditions, owing to the tight supply and increasing demand.

The Series 2022-1 and Series 2022-2 Class A, Class B, and Class C
Notes will benefit from subordination of 30.00%, 22.00%, and 13.00%
of the outstanding balance of the Series 2022-1 and Series 2022-2
Notes, respectively. Additionally, the Series 2022-1 Notes and
Series 2022-2 Notes will benefit from overcollateralization and a
liquidity reserve to cover at least six months of interest on the
notes, plus 50 basis points of expenses.

As in prior issuances, the transaction documents stipulate that the
required credit enhancement for the Series 2022-1 and Series 2022-2
Notes, sized as a percentage of the total assets, will be a blended
rate, which is a function of Moody's ratings on the vehicle
manufacturers and defined asset categories as described below:

5.00% for eligible program vehicle and receivable amount from
investment grade manufacturers (any manufacturer that has Moody's
long-term rating or senior unsecured rating or long-term corporate
family rating (together, relevant Moody's ratings) of at least
"Baa3" and any manufacturer that does not have a relevant Moody's
rating and has a senior unsecured debt rating from Moody's of at
least "Ba1")

8.00% for eligible program vehicle amount from non-investment
grade manufacturers

15.00% for eligible non-program vehicle amount from investment
grade manufacturers

15.00% for eligible non-program vehicle amount from non-investment
grade manufacturers

8.00% for eligible program receivable amount from non-investment
grade (high) manufacturers (any manufacturer that (i) is not an
investment grade manufacturer and (ii) has a relevant Moody's
rating of at least "Ba3")

100.00% for eligible program receivable amount from non-investment
grade (low) manufacturers (any manufacturer that has a relevant
Moody's rating of less than "Ba3")

35.0% for medium-duty truck amount

0.00% for cash amount

100% for remainder Aaa amount

Consequently, the actual required amount of credit enhancement will
fluctuate based on the mix of vehicles and receivables in the
securitized fleet. Furthermore, the transaction documents dictate
that the total enhancement should include a minimum portion which
is liquid (in cash and/or letter of credit), sized as a percentage
of the aggregate Class A / B / C / D principal amount, net of
cash.

Assumptions Moody's applied in the analysis of this transaction:

Risk of sponsor default: Moody's assumed a 60% decrease in the
probability of default (from Moody's idealized default probability
tables) implied by the B2 rating of the sponsor. This reflects
Moody's view that, in the event of a bankruptcy, Hertz would be
more likely to reorganize under a Chapter 11 bankruptcy filing, as
it would likely realize more value as an ongoing business concern
than it would if it were to liquidate its assets under a Chapter 7
filing. Furthermore, given the sponsor's competitive position
within the industry and the size of its securitized fleet relative
to its overall fleet, the sponsor is likely to affirm its lease
payment obligations in order to retain the use of the fleet and
stay in business. Moody's arrive at the 60% decrease assuming a 80%
probability Hertz would reorganize under a Chapter 11 bankruptcy
and a 75% probability Hertz would affirm its lease payment
obligations in the event of Chapter 11.

Disposal value of the fleet: Moody's assumed the following haircuts
to the net book value (NBV) of the vehicle fleet:

Non-Program Haircut upon Sponsor Default (Car): Mean: 19%

Non-Program Haircut upon Sponsor Default (Car): Standard Deviation:
6%

Non-Program Haircut upon Sponsor Default (Truck): Mean: 35%

Non-Program Haircut upon Sponsor Default (Truck): Standard
Deviation: 8%

Non-Program Haircut upon Sponsor Default (Tesla): Mean: 24%

Non-Program Haircut upon Sponsor Default (Tesla): Standard
Deviation: 10%

Fixed Program Haircut upon Sponsor Default: 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Car): 20%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Truck): 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Tesla): 50%

Fleet composition -- Moody's assumed the following fleet
composition (based on NBV of vehicle fleet):

Non-program Vehicles: 95%

Program Vehicles: 5%

Non-program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 10.0%, 2, A3

Baa Profile: 55.0%, 2, Baa3

Ba/B Profile: 35.0%, 2, Ba3

Program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 0.0%, 0, A3

Baa Profile: 50.0%, 1, Baa3

Ba/B Profile: 50.0%, 1, Ba3

Manufacturer Receivables: 10%; receivables distributed in the same
proportion as the program fleet (Program Manufacturer Concentration
and Manufacturer Receivables together should add up to 100%)

Correlation: Moody's applied the following correlation
assumptions:

Correlation among the sponsor and the vehicle manufacturers: 10%

Correlation among all vehicle manufacturers: 25%

Default risk horizon -- Moody's assumed the following default risk
horizon:

Sponsor: 5 years

Manufacturers: 1 year

A fixed set of time horizon assumptions, regardless of the
remaining term of the transaction, is used when considering sponsor
and manufacturer default probabilities and the expected loss of the
related liabilities, which simplifies Moody's modeling approach
using a standard set of benchmark horizons.

Detailed application of the assumptions are provided in the
methodology.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Rental Vehicle
Securitizations Methodology" published in October 2021.

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

Moody's could upgrade the ratings of the Series 2022-1 and 2022-2
Notes if (1) the credit quality of the lessee improves, (2)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to improve, as reflected by a
stronger mix of program and non-program vehicles and stronger
credit quality of vehicle manufacturers, (3) the residual values of
the non-program vehicles collateralizing the transaction were to
increase materially relative to Moody's expectations.

Down

Moody's could downgrade the ratings of the Series 2022-1 and 2022-2
Notes if (1) the credit quality of the lessee deteriorates or a
corporate liquidation of the lessee were to occur and introduce
operational complexity in the liquidation of the fleet, (2)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to weaken, as reflected by a
weaker mix of program and non-program vehicles and weaker credit
quality of vehicle manufacturers, (3) reduced demand for used
vehicles results in lower sales volumes and sharp declines in used
vehicle prices above Moody's assumed depreciation, or (3) the
residual values of the non-program vehicles collateralizing the
transaction were to decrease materially relative to Moody's
expectations.


JP MORGAN 2013-C15: Fitch Affirms B Rating on Class F Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 11 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMBB) Commercial Mortgage
Pass-Through Certificates series 2013-C15. Additionally, Fitch has
revised the Rating Outlooks on Classes E and F to Stable from
Negative and Classes B and X-B to Positive from Stable.

    DEBT               RATING           PRIOR
    ----               ------           -----
JPMBB 2013-C15

A-4 46640NAD0    LT AAAsf   Affirmed    AAAsf
A-5 46640NAE8    LT AAAsf   Affirmed    AAAsf
A-S 46640NAJ7    LT AAAsf   Affirmed    AAAsf
A-SB 46640NAF5   LT AAAsf   Affirmed    AAAsf
B 46640NAK4      LT AAsf    Affirmed    AAsf
C 46640NAL2      LT Asf     Affirmed    Asf
D 46640NAP3      LT BBB-sf  Affirmed    BBB-sf
E 46640NAR9      LT BBsf    Affirmed    BBsf
F 46640NAT5      LT Bsf     Affirmed    Bsf
X-A 46640NAG3    LT AAAsf   Affirmed    AAAsf
X-B 46640NAH1    LT AAsf    Affirmed    AAsf

KEY RATING DRIVERS

Stabilizing Loss Expectations: The affirmations and revised
Outlooks to Stable for classes E and F and Positive for Classes B
and X-B reflect the stabilizing performance of the pool since the
prior rating action. There are 12 Fitch Loans of Concern (FLOCs;
53.6% of the pool), including two loans (2.1%) in special
servicing. The top three loans in the pool are considered FLOCs
(38.7%) and are flagged for declining performance as a result of
the coronavirus pandemic and/or a decline in occupancy. Fitch's
current ratings reflect a base case loss of 5.9%.

The largest contributor to Fitch's base case loss and the second
largest FLOC, 1615 L Street (15.3% of the pool), is secured by a
417,383-sf office building located in downtown Washington, DC, four
blocks from the White House. The property was built in 1984 and
renovated in 2009. The property's previous top tenant, Cardinia
Real Estate downsized their space at the September 2020 lease
expiration to 6.7% of NRA from 21.8%. The departure caused property
occupancy to decrease to approximately 78.1% as of September 2021
from 93.8% as of September 2020, 94.1% at September 2019, and 98.6%
at YE 2018.

Per the master servicer, three new leases were signed in June,
October, and November 2021 totaling approximately 9,600sf,
offsetting some of the occupancy decline. There is also a proposed
lease out for signature for the entire 10th floor (40,456sf). The
NOI DSCR as of June 2021 was 1.47x compared to 1.89x at YE 2020 and
YE 2019. Fitch's analysis includes a 15% stress to the YE 2020 NOI
to account for the occupancy decline and expected decline in
performance which resulted in an approximate 10% loss. However,
given the location of the asset and potential leasing, losses may
not be incurred.

Improved Credit Enhancement: Credit enhancement (CE) has increased
since issuance due to loan payoffs and scheduled amortization. As
of the December 2021 distribution date, the pool's aggregate
principal balance has been reduced by 45.1% to $654.5 million from
$1.19 billion at issuance. Twenty-one loans have paid off since
issuance, including the large FLOC, Hulen Mall, formerly $82.2
million.

Two loans, approximately 17.8% of the pool, are full-term, interest
only, including the second largest loan, 1615 L Street (15.3%). All
of the partial-term interest only loans (36.6%) are now amortizing
with the exception of Miracle Mile Shops, which was modified,
extending the Interest only period. Fifteen loans (17.7%) are fully
defeased, up from ten loans (12.3%) at the prior review, including
the 8th, 9th, and 16th largest loans. All remaining loans mature
from July through October 2023. There have been no realized losses
to date.

Alternative Loss Considerations: Fitch's analysis included an
additional sensitivity scenario that included additional pool-wide
stresses to cap rates (100 bps over Fitch standard stressed cap
rates) and NOI (10% additional stress) applied on the performing
loans in the pool. This additional sensitivity scenario was used to
test the ratings for upgrades given the increase in CE. The
Positive Outlooks on classes B and X-B reflects this scenario; with
continued stable or improved performance, upgrades to these classes
are likely.

Coronavirus Exposure/Significant Retail Concentration:
Approximately 33.4% of the loans in the pool are secured by retail
properties, including the largest loan in the pool, a regional mall
in Las Vegas, NV (16% of the pool). Other property type
concentrations include office at 38.8%, and hotel at 8%, and
multifamily at 7.6%.

The largest retail loan is the Miracle Mile Shops (16%), which is
secured by a 448,835-sf regional mall located at the base of the
Planet Hollywood Resort & Casino on the Las Vegas Strip. The
collateral includes an adjacent 11-story parking garage. The loan
is considered a FLOC due to the large theater/specialty tenants
which are vulnerable to coronavirus pandemic. The largest tenant is
V Theater (8.5% of NRA; December 2023) and the third largest tenant
is Race and Sports Book (4.3%; July 2045).

The loan, which transferred to special servicing in August 2020 due
to the borrower requesting coronavirus relief, was modified. Terms
included a seven-month deferral of principal payments and leasing
reserve deposits from August 2020 through February 2021, with
repayment beginning in March 2021. The loan was subsequently
returned to the master servicer later in August 2020.

YE 2020 NOI DSCR declined to 1.01x from 1.41x at YE19 and 1.55x
YE18. The mall was temporarily closed due to the pandemic in March
2020 and re-opened in July 2020. Occupancy fell to 89.2% as of
September 2021 from 96.7% in April 2020 and 98% in December 2019.
The former second-largest tenant, Saxe Theater (5%), and several
other smaller tenants, vacated in 2020 during the pandemic.

The mall had strong historical sales performance prior to the
pandemic and has improved recently from pandemic lows. The most
recently reported TTM August 2021 inline sales were $778psf, up
from $473psf the prior year. Pre-pandemic, inline sales were
$835psf as of TTM February 2020, $817 as of TTM March 2019 and
$868psf at issuance in 2013. Fitch's analysis includes a 20% stress
to the YE 2019 NOI to account for coronavirus performance
concerns.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool-level losses
    from underperforming or specially serviced loans. Downgrades
    to the 'AAsf' and 'AAAsf' categories are not expected given
    their high CE relative to expected losses and continued
    amortization, but may occur if interest shortfalls occur or if
    a high proportion of the pool defaults and expected losses
    increase considerably.

-- Downgrades to the 'Asf' and 'BBB-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 'Bsf' categories would occur
    should loss expectations increase and 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.

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

-- Upgrades would occur with stable to improved performance of
    the overall pool coupled with additional paydown and/or
    increased defeasance. Upgrades of the 'Asf' and 'AAsf'
    categories would only occur with significant improvement in
    CE, defeasance and/or performance stabilization of FLOCs and
    other properties affected by the coronavirus pandemic. Classes
    would not be upgraded above 'Asf' if there were likelihood for
    interest shortfalls.

-- Upgrades the 'BBB-sf' and 'BBsf' categories may occur as the
    number of FLOCs are reduced, properties vulnerable to the
    pandemic further stabilize and/or return to pre-pandemic
    levels and there is sufficient CE to the classes. An upgrade
    to the 'Bsf' rated class is not likely unless the performance
    of the remaining pool stabilizes and the senior classes pay
    off so there is sufficient CE to the class.

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.


JP MORGAN 2021-LTV2: DBRS Finalizes B(high) Rating on Cl. B-2 Certs
-------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2021-LTV2 issued by J.P.
Morgan Mortgage Trust 2021-LTV2 (JPMMT 2021-LTV2):

-- $393.4 million Class A-1 at AAA (sf)
-- $36.9 million Class A-2 at AA (high) (sf)
-- $32.0 million Class A-3 at A (high) (sf)
-- $462.3 million Class A-X-1 at A (high) (sf)
-- $4.4 million Class M-1 at BBB (high) (sf)
-- $3.2 million Class B-1 at BB (high) (sf)
-- $13.5 million Class B-2 at B (high) (sf)

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

Class A-X-1 is an interest-only certificate. The class balance
represents a notional amount.

The AAA (sf) rating on the Class A-1 Certificates reflects 20.00%
of credit enhancement provided by subordinate certificates. The AA
(high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B
(high) (sf) ratings reflect 12.50%, 6.00%, 5.10%, 4.45%, and 1.70%
of credit enhancement, respectively.

This securitization of a portfolio of first-lien fixed-rate prime
residential mortgages is funded by the issuance of the
Certificates. The Certificates are backed by 518 loans with a total
principal balance of $491,761,078 as of the Cut-Off Date (December
1, 2021).

Compared with other post-crisis prime pools, this portfolio
consists of higher loan-to-value (LTV), first-lien, fully
amortizing fixed-rate mortgages with original terms to maturity of
up to 30 years. The weighted-average original combined LTV (CLTV)
for the portfolio is 86.6%, and the majority of the pool (78.4%)
comprises loans with DBRS Morningstar-calculated current CLTV
ratios greater than 80.0%. The high LTV attribute of this portfolio
is mitigated by certain strengths, such as high FICO scores, low
debt-to-income ratios, robust income and reserves, as well as other
strengths detailed in the report.

The originators for the aggregate mortgage pool are United
Wholesale Mortgage, LLC (UWM; 44.3%), loanDepot.com, LLC
(loanDepot; 12.9%), and various other originators of which each
comprises less than 10.0% of the pool.

The mortgage loans will be serviced by UMW (44.3%), Shellpoint
Mortgage Servicing (SMS; 41.8%), loanDepot (12.9%), and A&D
Mortgage LLC (0.9%). For UWM and loanDepot-serviced loans, the
subservicer is Cenlar FSB (57.3%).

As of the Closing Date, SMS (41.8%) is the interim servicer for
JPMorgan Chase Bank, National Association (JPMCB). Servicing will
be transferred to JPMCB from SMS on the servicing transfer date
(February 1, 2022, or a later date) as determined by the Issuing
Entity and JPMCB. For this transaction, the servicing fee payable
for mortgage loans serviced by JPMCB, loanDepot, SMS, and UWM is
composed of three separate components: the aggregate base servicing
fee, the aggregate delinquent servicing fee, and the aggregate
additional servicing fee. These fees vary based on the delinquency
status of the related loan and will be paid from interest
collections before distribution to the securities.

Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will
act as Securities Administrator and Delaware Trustee. Computershare
Trust Company N.A. will act as Custodian. Pentalpha Surveillance
LLC will serve as the Representations and Warranties Reviewer.

Unlike transactions previously issued under the LTV shelf, which
employed a traditional prime shifting-interest structure, JPMMT
2021-LTV2 employs a sequential 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 Certificates. For
more subordinated Certificates, principal proceeds can be used to
cover interest shortfalls as the more senior Certificates are paid
in full. Furthermore, excess spread can be used to cover realized
losses and prior period bond writedown amounts.

Coronavirus Impact

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. DBRS Morningstar saw increases in
delinquencies for many residential mortgage-backed securities
(RMBS) asset classes shortly after the onset of the pandemic.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
coronavirus, because the option to forebear mortgage payments was
so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low LTVs,
and good underwriting in the mortgage market in general. Across
nearly all RMBS asset classes, delinquencies have been gradually
trending down in recent months as forbearance period comes to an
end for many borrowers.

As of the Cut-Off Date, none of the loans are currently subject to
a coronavirus-related forbearance plan. In the event a borrower
requests or enters into a coronavirus-related forbearance plan
after the Cut-Off Date but prior to the Closing Date, the Mortgage
Loan Seller will remove such loan from the mortgage pool and remit
the related Closing Date substitution amount. Loans that enter a
coronavirus-related forbearance plan after the Closing Date will
remain in the pool.

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



JPMDB COMMERCIAL 2017-C5: Fitch Lowers G-RR Certs to 'C'
--------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 10 classes of JPMDB
Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2017-C5.

    DEBT              RATING            PRIOR
    ----              ------            -----
JPMDB 2017-C5

A-4 46590TAD7    LT AAAsf  Affirmed     AAAsf
A-5 46590TAE5    LT AAAsf  Affirmed     AAAsf
A-S 46590TAJ4    LT AA-sf  Affirmed     AA-sf
A-SB 46590TAF2   LT AAAsf  Affirmed     AAAsf
B 46590TAK1      LT Asf    Affirmed     Asf
C 46590TAL9      LT BBBsf  Affirmed     BBBsf
D 46590LBA9      LT BBsf   Affirmed     BBsf
E-RR 46590LBC5   LT CCCsf  Affirmed     CCCsf
F-RR 46590LBE1   LT CCsf   Downgrade    CCCsf
G-RR 46590LBG6   LT Csf    Downgrade    CCsf
X-A 46590TAG0    LT AA-sf  Affirmed     AA-sf
X-B 46590TAH8    LT BBBsf  Affirmed     BBBsf

KEY RATING DRIVERS

Increased Certainty of Loss; Higher Loss Expectations: The
downgrades reflect an increased certainty of loss due to higher
loss expectations for the pool since Fitch's prior rating action,
primarily driven by the largest loan, 229 West 43rd Street Retail
Condo (8.4% of pool), as well as continued pandemic-related
underperformance for some of the Fitch Loans of Concern (FLOCs).
There are 11 FLOCs (36.9%), including three specially serviced
loans (15.5%).

Fitch's current ratings incorporate a base case loss of 9.30%. The
Negative Rating Outlooks factor in potential outsized losses on the
Summit Mall loan, reflecting that losses could reach 9.90%.

The largest contributor to Fitch's overall loss expectations 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 property has been affected
by the coronavirus pandemic as it caters to entertainment and
tourism, in addition to tenancy issues that began prior to the
pandemic. A receiver was appointed in March 2021 and foreclosure
has been filed; per the servicer, foreclosure is not projected to
occur until mid- to late-2022 due to the delays in New York City
courts.

Multiple lease sweep periods have occurred related to the majority
of the tenants, triggering a cash flow sweep since December 2017.
Additionally, the OHM food hall concept contemplated at issuance
failed to open at the property. Three tenants, National Geographic,
Gulliver's Gate and Guitar Center (combined, 54% of the NRA), have
vacated the property; as a result, occupancy declined to 41% as of
the October 2021 rent roll from 52% in October 2020. Per the
special servicer, Los Tacos and The Ribbon are currently paying
reduced rents under recently approved lease modifications. A lease
modification for Haru is forthcoming and one for Bowlmor is being
negotiated.

The property had been benefiting 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 exposure continues
to increase due to servicer advances. Fitch's base case loss of 78%
reflects a stressed value of $335 psf.

The second largest contributor to overall losses is the Gateway I &
II loan (5.6%), which is secured by a 95,782-sf mixed use property
with office and retail space (65% office NRA, 35% retail NRA)
located in the East Harlem neighborhood of Manhattan along
Lexington Avenue. This FLOC was flagged due to declining occupancy
and cash flow. The property was 74.9% occupied as of September
2021, down from 83.5% in December 2020 and 96.7% in December 2019.
This was driven by Day Care Council NY (7.9% of NRA; 6% of base
rents) vacating at expiration in December 2020, and Modell's
(15.3%; 21%) vacating in 2020 ahead of its January 2028 lease
expiration. As a result, YE 2020 NOI dropped 10% from YE 2019, and
the annualized YTD September 2021 NOI was 17% below YE 2019.

The loan is currently on the watchlist for low DSCR and cash
management is in the process of being implemented. The property's
largest tenant is NYSARC (now known as The Arc New York), a
non-profit organization that is primarily funded through state
agencies and could be impacted by future budget cuts. The tenant
has been in occupancy at the subject property since it was
originally developed, and operates residential quarters onsite for
people with developmental disabilities, which would be
cost-prohibitive to relocate based on the residents' needs.

NYSARC leases 38.8% of the total NRA, with 25.2% of NRA leased
through November 2029 and 13.6% through January 2030. Fitch's base
case loss of 13% is based on an 8.75% cap rate and 10% haircut to
the YE 2020 NOI to reflect the further decline in occupancy as well
as a higher real estate tax expense given the property's ICIP tax
abatement, while also factoring the collateral's strong infill
location.

Alternative Loss Considerations: The Summit Mall loan (3.7% of
pool) is secured by a 528,234-sf portion of an approximately
777,000-sf regional mall located in the secondary market of
Fairlawn, OH. Anchors include a non-collateral Dillard's and a
collateral Macy's (37.3% of NRA leased through October 2025), the
latter of which has been reporting declining sales since issuance.
Collateral occupancy was 83.9% as of September 2021, with total
mall occupancy of 89.1%, compared with 84.8% and 89.6%,
respectively, in September 2020 and 89.2% and 92.7% in September.
The recent occupancy decline was due to various inline tenants
vacating at or prior to expiration in 2020.

As of the September 2021 rent roll, upcoming lease rollover
includes 6.8% of the NRA in 2022, 7.9% in 2023 and 9.5% in 2024.
None of the tenants scheduled to roll through YE 2024 comprise
greater than 1.6% of the collateral NRA. The Apple lease (1.2%)
expired in January 2021 per the September 2021 rent roll, but the
store remains open per the mall website.

According to the August 2021 tenant sales report, inline sales for
comparable tenants less than 10,000 sf were projected at $377 psf
(excluding Apple), compared with $254 psf at YE 2020, $357 psf for
YE 2019, $365 psf at YE 2018 and $379 psf at the time of issuance.
Sales for Macy's were projected to be $85 psf ($16.6 million gross)
for YE 2021, compared with $69 psf ($13.5 million) at YE 2020, $119
psf ($23.3 million) projected for YE 2019, $123 psf ($24.1 million)
at YE 2018 and $146 psf ($28.6 million) at issuance.

Fitch's base case loss of 9% incorporates a 15% cap rate and 15%
haircut to the YE 2020 NOI to reflect upcoming lease rollover.
Fitch's analysis included an additional sensitivity scenario
whereby a potential outsized loss of 25% was applied to the
maturity balance of the loan to reflect regional mall weakness and
declining occupancy and tenant sales; this sensitivity loss implies
a cap rate of approximately 19% on the YE 2020 NOI and contributed
to the Negative Outlooks.

Increased Credit Enhancement: As of the December 2021 distribution
date, the pool's aggregate principal balance has paid down by 8.6%
to $954 million from $1.04 billion at issuance. Since Fitch's prior
rating action, one loan (Jevan Multifamily Portfolio; $23.6
million) was repaid ahead of its scheduled November 2026 maturity.
Six loans (33.5% of pool) are full-term, interest-only, and three
loans (7.3%) still have a partial interest-only component during
their remaining loan term, compared with 41.6% of the original pool
at issuance. There have been no realized losses since issuance.

One loan (Cleveland Towne Center; 1.2%) is scheduled to mature in
2024; one loan (Prudential Plaza; 6.6%) in 2025; nine loans (32.2%)
in 2026; and 21 loans (60%) in 2027.

Investment-Grade Credit Opinion Loans: Three loans representing
17.7% of the pool were assigned investment-grade credit opinions of
'BBB-sf' on a standalone basis at issuance. These loans include 350
Park Avenue (7%), Hilton Hawaiian Village (6.5%) and Moffett
Gateway (4.2%).

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to classes A-2
    through A-SB are not likely due to the position in the capital
    structure, but may occur should interest shortfalls affect
    these classes. 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 and X-B are possible should loss
    expectations increase due to a continued performance decline
    of the FLOCs, additional loans transfer to special servicing
    and/or the Summit Mall loan experiences an outsized loss. The
    Negative Rating Outlooks on classes A-S, B, C, D, X-A and X-B
    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-RR, F-RR
    and G-RR would occur as losses are realized and/or become more
    certain.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional paydown and/or defeasance.
    Upgrades to classes A-S, B and X-A would only occur with
    significant improvement in credit enhancement 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 pandemic.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood of interest shortfalls. Upgrades to classes C, D
    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 credit
    enhancement to the class. Classes E-RR, F-RR and G-RR are
    unlikely to be upgraded absent significant performance
    improvement on the FLOCs and substantially higher recoveries
    than expected on the specially serviced loans/assets.

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.


MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs
---------------------------------------------------------
DBRS Limited confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2014-1 issued by MCAP CMBS Issuer
Corporation, Series 2014-1 as follows:

-- Class D at AAA (sf)
-- Class E at AAA (sf)
-- Class F at BBB (low) (sf)
-- Class G at B (sf)

All trends are Stable.

The rating confirmations reflect the current credit outlook on the
remaining collateral. As of the December 2021 remittance, four of
the original 32 loans remain in the pool with an aggregate
principal trust balance of $16.1 million, representing a 92.8%
collateral reduction since issuance. Three of the remaining loans,
representing 79.5% of the current trust balance, are performing
either in line with or above issuance expectations. All three loans
are scheduled to mature in 2024; generally, refinancing prospects
look favorable for these loans.

The fourth remaining loan, 1121 Centre Street NW loan (Prospectus
ID#7, 20.5% of the pool), was formerly secured by a Class B
mid-rise office building in Calgary. In October 2020, the property
sold for $6.8 million, with proceeds from the sale used to pay down
the trust loan, outstanding advances, and other fees. A balance of
$3.3 million remained in the trust as of the December 2021
reporting; this balance is recourse to the borrowing entity and to
the guarantor, Riaz Mamdani and IEC Ltd., for the full amount of
the outstanding debt. A judgment was obtained against the corporate
guarantor, IEC Ltd., in April 2021. In regard to the personal
guarantee, Mamdani filed a consumer proposal where he declared zero
assets. The issuer, MCAP, was subsequently approached by an entity
related to one of the claimants with an offer to purchase the
personal guarantee for $123,000. After reviewing all supporting
documents presented by the trustee and discussing with the legal
counsel, MCAP agreed to sell the personal guarantee for $123,000.
Although the loan is structured with full recourse provisions, it
is unknown if the sponsorship entity has the capital available to
fulfill this obligation. In the event that the loan does realize a
loss upon resolution, that loss would be absorbed by the nonrated
first-loss bond in the capital stack.

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


MELLO MORTGAGE 2022-INV1: Moody's Gives (P)B3 Rating to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 54
classes of residential mortgage-backed securities (RMBS) issued by
Mello Mortgage Capital Acceptance 2022-INV1 (MMCA 2022-INV1). The
ratings range from (P)Aaa (sf) to (P)B3 (sf).

MMCA 2022-INV1 is a securitization of GSE eligible first-lien
investment property loans. Similarly to the MMCA 2021-INV3 and
INV4, 100.0% of the pool by loan balance is originated by
loanDepot.com, LLC (loanDepot).

In this transaction, the Class A-11, Class A-11-A, Class A-11-B,
and A-11-C notes' coupon is indexed to SOFR. In addition, the
coupon on Class A-11-X, Class A-11-AI, and Class A-11-BI is also
impacted by changes in SOFR. However, based on the transaction's
structure, the particular choice of benchmark has no credit impact.
First, interest payments to the notes, including the floating rate
notes, are subject to the net WAC cap, which prevents the floating
rate notes from incurring interest shortfalls as a result of
increases in the benchmark index above the fixed rates at which the
assets bear interest. Second, the shifting-interest structure pays
all interest generated on the assets to the bonds and does not
provide for any excess spread.

Servicing compensation is subject to a step-up incentive fee
structure. The servicing fee includes a base fee plus delinquency
and incentive fees. Delinquency and incentive fees will be deducted
reverse sequentially starting from the Class B-6 interest payment
amount first and could result in interest shortfall to the
certificates depending on the magnitude of the delinquency and
incentive fees.

The complete rating actions are as follows:

Issuer: Mello Mortgage Capital Acceptance 2022-INV1

Cl. A-1, Assigned (P)Aaa (sf)

Cl. A-1-A, Assigned (P)Aaa (sf)

Cl. A-2, Assigned (P)Aaa (sf)

Cl. A-2-A, Assigned (P)Aaa (sf)

Cl. A-2-B, Assigned (P)Aaa (sf)

Cl. A-3, Assigned (P)Aaa (sf)

Cl. A-3-A, Assigned (P)Aaa (sf)

Cl. A-3-B, Assigned (P)Aaa (sf)

Cl. A-3-X*, Assigned (P)Aaa (sf)

Cl. A-4, Assigned (P)Aaa (sf)

Cl. A-4-A, Assigned (P)Aaa (sf)

Cl. A-4-B, Assigned (P)Aaa (sf)

Cl. A-4-X*, Assigned (P)Aaa (sf)

Cl. A-5, Assigned (P)Aaa (sf)

Cl. A-5-A, Assigned (P)Aaa (sf)

Cl. A-5-X*, Assigned (P)Aaa (sf)

Cl. A-6, Assigned (P)Aaa (sf)

Cl. A-6-A, Assigned (P)Aaa (sf)

Cl. A-6-B, Assigned (P)Aaa (sf)

Cl. A-6-X*, Assigned (P)Aaa (sf)

Cl. A-7, Assigned (P)Aaa (sf)

Cl. A-7-A, Assigned (P)Aaa (sf)

Cl. A-7-X*, Assigned (P)Aaa (sf)

Cl. A-8, Assigned (P)Aaa (sf)

Cl. A-8-A, Assigned (P)Aaa (sf)

Cl. A-8-X*, Assigned (P)Aaa (sf)

Cl. A-9, Assigned (P)Aaa (sf)

Cl. A-9-A, Assigned (P)Aaa (sf)

Cl. A-9-X*, Assigned (P)Aaa (sf)

Cl. A-10, Assigned (P)Aaa (sf)

Cl. A-10-A, Assigned (P)Aaa (sf)

Cl. A-10-X*, Assigned (P)Aaa (sf)

Cl. A-11, Assigned (P)Aaa (sf)

Cl. A-11-X*, Assigned (P)Aaa (sf)

Cl. A-11-A, Assigned (P)Aaa (sf)

Cl. A-11-AI*, Assigned (P)Aaa (sf)

Cl. A-11-B, Assigned (P)Aaa (sf)

Cl. A-11-BI*, Assigned (P)Aaa (sf)

Cl. A-11-C, Assigned (P)Aaa (sf)

Cl. A-12, Assigned (P)Aaa (sf)

Cl. A-13, Assigned (P)Aaa (sf)

Cl. A-14, Assigned (P)Aa1 (sf)

Cl. A-15, Assigned (P)Aa1 (sf)

Cl. A-16, Assigned (P)Aaa (sf)

Cl. A-17, Assigned (P)Aaa (sf)

Cl. A-X-1*, Assigned (P)Aaa (sf)

Cl. A-X-2*, Assigned (P)Aaa (sf)

Cl. A-X-3*, Assigned (P)Aaa (sf)

Cl. A-X-4*, Assigned (P)Aa1 (sf)

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

Cl. B-2, Assigned (P)A3 (sf)

Cl. B-3, Assigned (P)Baa3 (sf)

Cl. B-4, Assigned (P)Ba3 (sf)

Cl. B-5, Assigned (P)B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 1.00%
at the mean, 0.70% at the median, and reaches 7.15% at a stress
level consistent with Moody's Aaa ratings.

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral description

As of the cut-off date of January 1, 2021, the $597,079,019 pool
consisted of 1,442 mortgage loans secured by first liens on
residential investment properties. All the loans are underwritten
in accordance with Freddie Mac or Fannie Mae guidelines, which take
into consideration, among other factors, the income, assets,
employment and credit score of the borrower as well as
loan-to-value (LTV). These loans are run through one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and have received an "Approve" or "Accept"
recommendation.

The average stated principal balance is $414,063 and the weighted
average (WA) current mortgage rate is 3.4%. The majority of the
loans have a 30 year term. All of the loans have a fixed rate. The
WA original credit score is 766 for the primary borrower only and
the WA combined original LTV is 64.7%. The WA original
debt-to-income (DTI) ratio is 36.2%. Approximately 12.39% of the
Mortgage Loans have been made to borrowers who are acting as
borrowers on more than one Mortgage Loan included in the Mortgage
Pool.

Over a third of the mortgages (39.2% by loan balance) are backed by
properties located in California. The next largest geographic
concentration is Washington (10.0% by loan balance), New York (9.2%
by loan balance), and New Jersey (5.1% by loan balance). All other
states each represent less than 5.0% by loan balance. Loans backed
by single family residential properties represent 40.3% (by loan
balance) of the pool. Approximately 1.7% of the mortgage loans by
count are "Appraisal Waiver" (AW) loans, whereby the sponsor
obtained an AW for each such mortgage loan from Fannie Mae or
Freddie Mac through their respective programs. In each case,
neither Fannie Mae nor Freddie Mac required an appraisal of the
related mortgaged property as a condition of approving the related
mortgage loan for purchase by Fannie Mae or Freddie Mac, as
applicable.

Origination quality

loanDepot originated 100% of the loans in the pool. These loans
were underwritten in conformity with GSE guidelines with
predominantly non-material overlays. Moody's consider loanDepot's
origination quality to be in line with its peers due to: (1)
adequate underwriting policies and procedures, (2) acceptable
performance with low delinquency and repurchase and (3) adequate
quality control. Therefore, Moody's have not applied an additional
adjustment for origination quality.

Servicing arrangements

Moody's consider the overall servicing arrangement for this pool to
be adequate. Cenlar FSB (Cenlar) will service all the mortgage
loans in the transaction. Computershare Trust Company, N.A. will
serve as the master servicer. The servicing administrator,
loanDepot, will be primarily responsible for funding certain
servicing advances of delinquent scheduled interest and principal
payments for the mortgage loans, unless the servicer determines
that such amounts would not be recoverable. The master servicer
will be obligated to fund any required monthly advance if the
servicing administrator fails in its obligation to do so. Moody's
did not make any adjustments to Moody's base case and Aaa stress
loss assumptions based on this servicing arrangement.

Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation. The
fee-for-service compensation is reasonable and adequate for this
transaction because it better aligns the servicer's costs with the
deal's performance. Furthermore, higher fees for the more
labor-intensive tasks make the transfer of these loans to another
servicer easier, should that become necessary.

Third-party review

Full due diligence (i.e. compliance, credit, property valuation and
data integrity review) was conducted by the TPR firms on a sample
of 276 loans in the pool and a valuation-only review was conducted
on the remaining loans (i.e. property valuation review was done on
100% of the loans in the pool). Moody's calculated the
credit-neutral sample size using a confidence interval, error rate
and a precision level of 95%/5%/2%. The number of loans that went
through a full due diligence review does not meet Moody's
calculated threshold. With sampling, there is a risk that loan
defects may not be discovered and such loans would remain in the
pool. Moreover, vulnerabilities of the R&W framework, such as the
lack of an automatic review of R&Ws by an independent reviewer and
the weaker financial strength of the R&W provider, reduce the
likelihood that such defects would be discovered and cured during
the transaction's life. As a result, Moody's made an adjustment to
Moody's Aaa loss and EL after taking account the risks associated
with these factors.

Representations and Warranties Framework

The R&W provider is mello Securitization Depositor LLC and the
guarantor is LD Holdings Group LLC. The Guarantor (LD Holdings
Group LLC) will guarantee certain performance obligations of the
R&W provider (mello Securitization Depositor LLC). These entities
may not have the financial wherewithal to purchase defective loans.
Moreover, unlike other transactions that Moody's have rated, the
R&W framework for this transaction does not include a mechanism
whereby loans that experience an early payment default (EPD) are
repurchased. In addition, the loss amount remedy is subject to
conflicts of interest and will likely not adequately compensate the
transaction for loans that breach the R&Ws. Moody's have adjusted
its loss levels to account for these weaknesses in the R&W
framework.

Unlike most other comparable transactions that Moody's have rated,
the R&W framework in this transaction has a "loss amount" remedy.
Specifically, in case there is a material breach to the R&Ws, the
depositor, who is the R&W provider, is tasked with calculating the
loss amount to indemnify the trust. Unlike buying a defective loan
at par, this loss amount remedy is subject to conflicts of
interest. The party determining the loss amount will have a natural
incentive to determine a low amount since it will have to pay that
amount. Furthermore, there may be no objective way to determine
such amount since the decrease in the value of a loan that breaches
a R&W may not be quantifiable at the time the breach is discovered.
The fact that the controlling holder can bring the depositor to
arbitration if it deems that a R&W breach is not resolved in a
satisfactory manner is a partial mitigant. However, there may be no
good way to prove in arbitration that the depositor's determination
is not adequate because the determination of the loss payment will
be, in many cases, subjective. Furthermore, the controlling holder
must expend its own funds to go to arbitration, which could
disincentivize it to pursue arbitration. Another partial mitigant
is that the loans in the pool were originated by loanDepot, an
originator whose repurchase statistics are equal to or better than
the GSEs' average.

Transaction structure

The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all prepayments
to the senior bond for a specified period of time, and increasing
amounts of prepayments to the subordinate bonds thereafter, but
only if loan performance satisfies delinquency and loss tests.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 0.95% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 0.85% of the closing pool balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 0.95% and 0.85%,
respectively, are consistent with the credit neutral floors for the
assigned ratings. Specifically, the subordinate floor is consistent
with a Aa1 rating or lower.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


MF1 LTD 2022-Fl8: DBRS Gives Prov. B(low) Rating on Class H Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by MF1 2022-Fl8 Ltd. (the Issuer or the Trust):

-- 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 (high) (sf)
-- Class G at BB (low) (sf)
-- Class H at B (low) (sf)

All trends are Stable.

The initial collateral consists of 32 floating-rate mortgage loans
secured by 69 transitional multifamily properties and one
manufactured housing community property, totaling $1.8 billion
(77.0% of the total fully funded balance), excluding $152.6 million
of future funding commitments and $392.1 million of pari passu
debt. One loan, Two Blue Slip (Prospectus ID#1, representing 12.4%
of the initial pool balance), is contributing both senior and
mezzanine loan components that will both be held in the trust. One
loan, SF Multifamily Portfolio IV (Prospectus ID#24, 2.0%), allows
the borrower to acquire and bring properties into the trust
post-closing through future funding up to a maximum whole-loan
amount of $100.0 million, which is accounted for in figures and
metrics throughout the report. Additionally, one loan, Mosser CA
Portfolio (Prospectus ID#6, 4.1%), has delayed-close mortgage
assets, which are identified in the data tape and included in the
DBRS Morningstar analysis. The Issuer has 45 days post-closing to
acquire the delayed-close assets.

The transaction is a managed vehicle that includes a 24-month
reinvestment period. As part of the reinvestment period, the
transaction includes a 120-day ramp-up acquisition period that will
be used to increase the trust balance by $202,334,608 to a total
target collateral principal balance of $2,022,000,000. DBRS
Morningstar assessed the ramp loans using a conservative pool
construct and, as a result, the ramp loans have expected losses
above the pool WA loan expected losses. Reinvestment of principal
proceeds during the reinvestment period is subject to eligibility
criteria, which, among other criteria, includes a no-downgrade
rating agency confirmation (RAC) by DBRS Morningstar for all new
mortgage assets and funded companion participations exceeding $0.
If a delayed-close asset is not expected to close or fund prior to
the purchase termination date, the Issuer may acquire any
delayed-closed collateral interest at any time during the ramp up
acquisition period. The eligibility criteria indicates that only
multifamily, manufactured housing, student housing, and senior
housing properties can be brought into the pool during the stated
ramp-up acquisition period. Additionally, the eligibility criteria
establishes minimum DSCR, LTV, and Herfindahl requirements.
Furthermore, certain events within the transaction require the
Issuer to obtain RAC. DBRS Morningstar will confirm that a proposed
action or failure to act or other specified event will not, in and
of itself, result in the downgrade or withdrawal of the current
rating. The Issuer is required to obtain RAC for acquisitions of
companion participations in excess of $0.

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


NEW RESIDENTIAL 2022-NQM1: Fitch Gives 'B(EXP)' Rating to B-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed notes to be issued by New Residential Mortgage Loan
Trust 2022-NQM1 (NRMLT 2022-NQM1).

DEBT              RATING
----              ------
NRMLT 2022-NQM1

A-1      LTAAA(EXP)sf  Expected Rating
A-2      LTAA(EXP)sf   Expected Rating
A-3      LTA(EXP)sf    Expected Rating
M-1      LTBBB(EXP)sf  Expected Rating
B-1      LTBB(EXP)sf   Expected Rating
B-2      LTB(EXP)sf    Expected Rating
B-3      LTNR(EXP)sf   Expected Rating
XS-1     LTNR(EXP)sf   Expected Rating
XS-2     LTNR(EXP)sf   Expected Rating
A-IO-S   LTNR(EXP)sf   Expected Rating
R        LTNR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The notes are supported by a mix of 430 seasoned and newly
originated loans that had a balance of $257.2 million as of the
Jan. 1, 2022 cutoff date. The pool consists of loans primarily
originated by NewRez LLC (NewRez), which was formerly known as New
Penn Financial, LLC. The seasoned loans in this pool are from the
recently collapsed NRMLT NQM transactions.

The notes are secured mainly by non-QM loans as defined by the
Ability-to-Repay (ATR) Rule. Of the loans in the pool, 85.3% are
designated as non-QM, while the remainder are not subject to the
ATR Rule.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11% above a long-term sustainable level (vs. 10.6%
on a national level). Underlying fundamentals are not keeping pace
with the growth in prices, which is a result of a supply/demand
imbalance driven by low inventory, low mortgage rates and new
buyers entering the market. These trends have led to significant
home price increases over the past year, with home prices rising
19.7% yoy nationally as of September 2021.

Non-Prime Credit Quality (Mixed): The collateral consists of 430
loans, totaling $257 million and seasoned approximately seven
months in aggregate, according to Fitch (as calculated from
origination date). The borrowers have a strong credit profile which
is better when compared to other non-QM transactions from the
issuer (751 FICO and 34% debt to income ratios (DTI) as determined
by Fitch) and moderate leverage (79.1% sLTV).

The pool consists of 66.1% of loans where the borrower maintains a
primary residence, while 33.9% are considered an investor property
or second home. Only 17% of the loans were originated through a
retail channel. Moreover, 85% are considered non-QM and the
remainder are not subject to QM. NewRez LLC originated close to 90%
of the loans, which have been serviced since origination by
Shellpoint Mortgage Servicing. The remaining loans were originated
by various entities.

Geographic Concentration (Negative): Approximately 37% of the pool
is concentrated in California. The largest MSA concentration is in
the New York City area MSA (23.2%) followed by the Los Angeles area
(18.6%), and the Miami-Fort Lauderdale MSA (8.0%). The top three
MSAs account for 50% of the pool. As a result, there was a 1.07x
payment default (PD) penalty for geographic concentration.

Loan Documentation (Negative): Approximately 81% of the pool was
underwritten to less than full documentation, according to Fitch's
review. Approximately 66% was underwritten to a 12- or 24-month
bank statement program for verifying income, which is not
consistent with Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protection Bureau's (CFPB)
ATR Rule, which reduces the risk of borrower default arising from
lack of affordability, misrepresentation or other operational
quality risks due to rigor of the ATR Rule's mandates with respect
to the underwriting and documentation of the borrower's ATR.
Additionally, 14.7% are DSCR product.

Fitch considered 19% of the pool as fully documented based on the
loans being underwritten to 12-24 months of W2s and/or tax
returns.

High Investor Property Concentrations (Negative): Approximately 29%
of the pool comprises investment property loans, including 14.7%
underwritten to a cash flow ratio rather than the borrower's
debt-to-income ratio. Investor property loans exhibit higher PDs
and higher loss severities (LS) than owner-occupied homes. Fitch
increased the PD by approximately 2.0x for the cash flow ratio
loans (relative to a traditional income documentation investor
loan) to account for the increased risk.

RATING SENSITIVITIES

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

-- The 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 42% 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.

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

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

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

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, Canopy Financial and Infinity IPS. The
third-party due diligence described in Form 15E focused on a full
review of the loans as it relates to credit, compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% credit was applied to each loan's probability of
default assumption. This adjustment resulted in a 49bps reduction
to the 'AAAsf' expected loss.

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.


NYMT LOAN 2022-CP1: DBRS Gives Prov. B Rating on Class B-2 Notes
----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2022-CP1 (the Notes) to be issued by
NYMT Loan Trust 2022-CP1 (NYMT 2022-CP1 or the Issuer):

-- $228.2 million Class A-1 at AAA (sf)
-- $23.3 million Class A-2 at AA (sf)
-- $20.6 million Class M-1 at A (low) (sf)
-- $15.7 million Class M-2 at BBB (sf)
-- $9.8 million Class B-1 at BB (low) (sf)
-- $5.1 million Class B-2 at B (sf)

The AAA (sf) rating on the Notes reflects 26.45% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(low) (sf), BBB (sf), BB (low) (sf), and B (sf) ratings reflect
18.95%, 12.30%, 7.25%, 4.10%, and 2.45% of credit enhancement,
respectively.

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

The NYMT 2022-CP1 securitization is backed by a portfolio of
predominantly seasoned performing and reperforming first-lien
mortgages funded by the issuance of the Notes. The Notes are backed
by 1,949 loans with a total principal balance $310,218,919 as of
the Cut-Off Date (November 30, 2021).

NYMT 2022-CP1 represents the first rated seasoned, reperforming
loan securitization issued by the Sponsor, New York Mortgage Trust,
Inc. (NYMT), from the NYMT shelf. Prior to NYMT 2022-CP1, NYMT
issued eight unrated seasoned securitizations since 2012. These
securitizations were backed by seasoned, performing, or
reperforming loans of varying credit profiles.

For this deal, the mortgage loans are approximately 142 months
seasoned. The portfolio contains 57.9% modified loans, and
modifications happened more than two years ago for 90.0% of the
modified loans. Within the pool, 853 mortgages, equating to
approximately 3.7% of the total principal balance, have
non-interest-bearing deferred amounts. There are no mortgages in
the Home Affordable Modification Program, and proprietary principal
forgiveness amounts are not included in the deferred amounts. The
majority of the pool (75.4%) is not subject to the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules.

As of the Cut-Off Date, 99.2% of the pool is current and 0.8% is
30+ days delinquent, including one loan that is 60 days delinquent,
under the Mortgage Bankers Association (MBA) delinquency method.
Approximately 76.1% of the mortgage loans have been zero times 30
days delinquent (0 x 30) for at least the past 24 months under the
MBA delinquency method or 0 x 30 since origination for loans less
than 24 months seasoned.

The Seller, or an affiliate, acquired the loans directly or
indirectly from various originators or other secondary market
participants prior to the Closing Date. On the Closing Date, NYMT
Securitization I, LLC, the Depositor, will contribute the loans to
the Trust.

The Sponsor or a wholly owned affiliate will retain a 5% eligible
horizontal residual interest consisting of the Class B-1, B-2, B-3,
and XS Notes to satisfy the credit risk retention requirements
promulgated under the Dodd-Frank Wall Street Reform and Consumer
Protection Act.

As of the Cut-Off Date, the loans are serviced by Fay Servicing,
LLC (71.0%) and Specialized Loan Servicing, LLC (29.0%). 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 certain advances in
respect of homeowner's association fees, taxes, and insurance, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.

The Issuer can redeem the Notes in whole but not in part at the tax
redemption price (par plus interest) following a tax event as
described in the transaction documents (Tax Redemption).

On or after the earlier of (1) the third anniversary of the Closing
Date or (2) the date on which the aggregate stated principal
balance of the loans falls to 30% or less of the Cut-Off Date
balance, the Administrator, at its option, on behalf of the Issuer
may purchase all of the Notes at the optional termination price
(par plus interest) described in the transaction documents
(Optional Redemption).

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class B-1
and more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired.

Certain features in this transaction are less commonly seen in DBRS
Morningstar-rated seasoned securitizations, such as the interest
rates on the Notes and the principal payment priority. The interest
rates on the Notes are set at fixed rates, which are not capped by
the net weighted-average coupon (Net WAC) or available funds. This
feature causes the structure to need elevated subordination levels
relative to a comparable structure with fixed-capped interest rates
because more principal must be used to cover interest shortfalls.
In addition, within the principal payment priority, the Class A
Notes as well as the Class M Notes all receive interest before
principal gets paid to the Class A-1 Notes. This feature preserves
interest payments to those more senior classes. DBRS Morningstar
considered such nuanced features and took them into account in its
cash flow analysis.

CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT

The pandemic and the resulting isolation measures have caused an
immediate economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers.
Shortly after the onset of the pandemic, DBRS Morningstar saw an
increase in delinquencies for many residential mortgage-backed
securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forbear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios
(LTVs), and acceptable underwriting in the mortgage market in
general. Across nearly all RMBS asset classes, delinquencies have
been gradually trending downward, as forbearance periods come to an
end for many borrowers.

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


NYMT LOAN 2022-CP1: Fitch Assigns B Rating on Class B2 Notes
------------------------------------------------------------
Fitch Ratings has rated the residential mortgage-backed notes to be
issued by NYMT Loan Trust 2022-CP1 (NYMT 2022-CP1).

DEBT         RATING             PRIOR
----         ------             -----
NYMT Loan Trust 2022-CP1

A1     LT AAAsf  New Rating    AAA(EXP)sf
A2     LT AAsf   New Rating    AA(EXP)sf
M1     LT Asf    New Rating    A(EXP)sf
M2     LT BBBsf  New Rating    BBB(EXP)sf
B1     LT BBsf   New Rating    BB(EXP)sf
B2     LT Bsf    New Rating    B(EXP)sf
B3     LT NRsf   New Rating    NR(EXP)sf
XS     LT NRsf   New Rating    NR(EXP)sf
AIOS   LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch Ratings has rated the residential mortgage-backed notes to be
issued by New York Mortgage Trust 2022-CP1 (NYMT 2022-CP1) as
indicated. The notes are supported by one collateral group that
consists of 1,949 seasoned performing loans (SPLs) and
re-performing loans (RPLs) with a total balance of approximately
$310.2 million, including $11.5 million in deferred balances. The
transaction is being issued as a sub-REIT structure.

Distributions of P&I and loss allocations are based on a 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 servicers will not be
advancing delinquent monthly payments of P&I.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.4% above a long-term sustainable level (versus
10.5% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 18.6% yoy nationally as of June 2021.

RPL Credit Quality (Negative): The collateral pool consists
primarily of peak-vintage SPLs and RPLs. As of the cut-off date,
the pool was 99.1% current and 0.9% delinquent. Based on Fitch's
treatment of coronavirus-related forbearance and deferral loans and
servicing transfer related delinquencies, approximately 76.7% of
the loans were treated as having clean payment histories for the
past two years or more (clean current). Additionally, 57.9% of
loans have a prior modification. The borrowers have a moderate
credit profile (680 FICO and 42% DTI) and relatively low leverage
(67% sustainable loan-to-value).

Non-Standard Sequential Pay Structure (Mixed): 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 to the non-offered
notes in reverse-sequential order. Furthermore, there is a
provision to re-allocate principal to pay interest on the 'AAAsf'
through 'BBBsf' rated notes prior to principal distributions, which
is slightly different from a standard sequential structure where
typically principal is reallocated to pay interest to the 'AAA' and
'AA' classes only before distributing principal.

This feature is highly supportive of timely interest payments to
those classes in the absence of servicer advancing, but increases
the credit enhancement as the A-1 class does not receive principal
until interest and unpaid interest shortfalls are paid to the 'AAA'
through 'BBB' classes.

No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
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

Factor 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 41.70% at the 'AAA' level. The analysis
    indicates that there is some potential rating migration with
    higher MVDs compared with the model projection.

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

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

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

Fitch's analysis incorporated two criteria variations from the
"U.S. RMBS Rating Criteria."

The first variation is that a due diligence compliance and data
integrity review was not completed on approximately 18% of the pool
by loan count. The sample meets Fitch's criteria for SPL loans as
42% of the SPL loans were reviewed (the criteria allows for a 20%
sample). Fitch defines SPL as loans, which are seasoned over 24
months, have not been modified and have had no more one 30-day
delinquency in the prior 24 months but are current as of the cutoff
date.

A criteria variation was applied for the RPL loans. 74% of the pool
is categorized as RPL, and Fitch's criteria expects a 100%
securitization review for RPL loans (96% was reviewed). Fitch did
not make any adjustments to these loans as they were reviewed but
just not up to securitization standards. This variation did not
have a rating impact.

The second variation is that a full new origination due diligence
review, including credit, compliance and property valuation, was
not completed on the loans seasoned less than 24 months.
Approximately 1% of the pool by loan count is considered new
origination and did not receive a credit or valuation review
consistent with Fitch criteria. A criteria variation was applied as
only a compliance review was received. These loans were treated as
Tier 3 R&W framework in Fitch's analysis.

Additionally, the amount of impact loans was considered to be
immaterial. Fitch received current pay strings for all loans which
were used in Fitch's analysis. This variation did not have a
material impact.

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

Fitch was provided with the Forms ABS Due Diligence-15E (Form 15E)
as prepared by SitusAMC, Recovco and RRR. 82% of the pool received
a compliance review, 71% of the pool received a pay history review,
and 100% of the pool received a tax and title review. This was out
of scope for the RPL loans in the transaction, which resulted in a
criteria variation. For more information please see the due
diligence section in the presale.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis: increased the
LS due to HUD-1 issues, material TRID exceptions and delinquent tax
or outstanding liens and increased the timeline for foreclosures on
select loans for missing modification documents. These adjustments
resulted in an increase in the 'AAAsf' expected loss of
approximately 17 bps.

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.


OBX 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OBX
2022-NQM1 Trust's mortgage-backed notes.

The note issuance is an RMBS transaction backed by first-lien,
fixed-rate, and adjustable-rate residential mortgage loans to prime
and nonprime borrowers, including mortgage loans with initial
interest-only periods. The loans are primarily secured by
single-family residential properties, planned-unit developments,
townhouses, condominiums, and two- to four-family residential
properties. The pool has 786 loans, which are primarily
nonqualified mortgage/ability-to-repay (ATR) compliant and
ATR-exempt loans.

The preliminary ratings are based on information as of Jan. 14,
2022. 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 pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The transaction's geographic concentration;

-- The mortgage aggregator, Onslow Bay Financial LLC, and the
originators, which include AmWest Funding Corp. and Impac Mortgage
Corp.; and

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

  Preliminary Ratings Assigned(i)

  OBX 2022-NQM1 Trust

  Class A-1, $445,078,000: AAA (sf)
  Class A-2, $23,102,000: AA (sf)
  Class A-3, $31,175,000: A (sf)
  Class M-1, $20,041,000: BBB (sf)
  Class B-1, $15,310,000: BB (sf)
  Class B-2, $11,690,000: B (sf)
  Class B-3, $10,299,549: NR
  Class A-IO-S, notional(ii): NR
  Class XS, notional(iii): NR
  Class R: NR

(i)The collateral and structural information reflect the term sheet
dated Jan. 11, 2022. The preliminary ratings address the ultimate
payment of interest and principal.

(ii)For the class A-IO-S notes, the notional amount equals the
loans' stated principal balance for loans serviced by Select
Portfolio Servicing Inc., Specialized Loan Servicing LLC, and
Shellpoint Mortgage Servicing.

(iii)The notional amount equals the loans' stated principal
balance.

NR--Not rated.



PIONEER AIRCRAFT: Fitch Affirms B Rating on Series C Notes
----------------------------------------------------------
Fitch Ratings has affirmed the outstanding ratings of the series A,
B and C fixed-rate secured notes issued by Pioneer Aircraft Finance
Limited (Pioneer). The Rating Outlook on each series of notes
remains Negative.

       DEBT              RATING           PRIOR
       ----              ------           -----
Pioneer Aircraft Finance Limited

Series A 72353PAA4   LT BBBsf Affirmed    BBBsf
Series B 72353PAB2   LT BBsf  Affirmed    BBsf
Series C 72353PAC0   LT Bsf   Affirmed    Bsf

TRANSACTION SUMMARY

The rating actions reflect ongoing stress and pressure on airline
lessee credits backing the leases in each transaction pool,
downward pressure on aircraft values, Fitch's updated assumptions
and stresses, and ongoing performance of the transaction since the
prior review which occurred in January 2021.

The Outlook remains Negative on all series of notes, reflecting
Fitch's base case expectation for the structure to withstand
immediate and near-term stresses at the updated assumptions, and
stressed scenarios commensurate with their respective ratings.
Continued global travel restrictions and overall airline recovery
driven by the pandemic and the subsequent airlines recovery,
including ongoing regional flareups and potential for and
occurrence of new virus variants, resulted in continued delays in
recovery of the airline industry.

This remains a credit negative for these aircraft ABS transactions
and airlines globally remain under pressure, despite the recent
opening up of borders regionally and pick-up in air travel across
many regions. This could lead to additional near-term lease
deferrals, airline defaults and bankruptcies, along with lower
aircraft demand and value impairments, which can be impactful on
the pool. These negative factors could manifest in the transaction
resulting in lower cash flows and pressure on ratings in the near
term.

Fitch updated rating assumptions for both rated and non-rated
airlines and also aircraft values, which were key drivers of these
rating actions, along with ongoing performance metrics, which
remain mostly within Fitch's expectations, and modeled scenarios
for certain elements from the prior reviews.

Pioneer experienced stable-to-improving airline lessee credit with
the 'CCC' rated bucket declining notably since the last review, and
other performance metrics were fairly consistent over the past
year. The transaction performance has been slightly outside of
Fitch's expectations in terms of principal payments on the notes,
but nothing material given stability in other metrics since the
last review.

Therefore, Fitch did not conduct cash flow modeling for Pioneer for
this review as performance has been within expectations and the
transaction was modeled within the past 18 months, which is
consistent with criteria.

Goshawk Management (Ireland) Limited (Goshawk, not rated by Fitch)
and certain affiliates and third-parties are the sellers of the
assets, and it acts as servicer for the transaction. Fitch deems
the servicer adequate to service ABS based on its experience as a
lessor, overall servicing capabilities and historical ABS
performance to date.

KEY RATING DRIVERS

Stable-to-Improving Airline Lessee Credit

The credit profiles of the airline lessees in the pools remained
fairly stable with improvement across rating assumptions since the
last review, but many continue to be under stress due to the
coronavirus-related impact on all global airlines in 2022. The
proportion of the Pioneer pool assumed at a 'CCC' Issuer Default
Rate (IDR) and below improved notably to 58.8% down from 86.7% in
the prior review (59.0% in the prior review, and 36.3% at
closing).

The assumptions are reflective of these airlines' ongoing credit
profiles and fleets in the current operating environment, due to
the continued coronavirus-related impact on the sector. Any
publicly rated airlines in the pool whose ratings have shifted have
been updated, and there were a few airlines with higher ratings at
this review versus in 2021.

Asset Quality and Appraised Pool Value:

The pool features 82.8% liquid narrowbody (NB) aircraft including
one off-lease E190 (2.78%), which Fitch views positively. 17.3% of
the pool is a B787-8 widebody (WB) aircraft on lease to Ethiopian
Airlines (figures all as of the November reporting period, and
calculated as of the reporting maintenance adjusted base value
(MABV). There continues to be elevated uncertainty around market
values and how the current environment will impact near-term lease
maturities. Fitch recognizes that there will be downward pressure
on values in the short-to-medium term but has seen some
stabilization in values in late 2021.

The pool remains backed by 18 aircraft across 15 lessees now. There
are two aircraft off-lease currently (the E190 (2.78%), and one
A320 but this aircraft is being put back on lease and in the
delivery process thereof currently), totaling 7.64% of the pool
value. A further seven lease extensions were recently executed, a
positive for collections and the overall transaction going
forward.

The appraisers for the transaction are IBA Group Ltd. (IBA), Morten
Beyer & Agnew Inc. (mba) and Collateral Verifications, LLC (CV).
The transaction document value is $548.58 million (as of November
2021), which is down from $586.57 million a year earlier as
expected. Fitch utilized conservative asset values as there is
continued pressure and weaker market values for certain aircraft
variants.

Fitch assumed an average excluding highest value (AEH) of the
maintenance-adjusted base values (MABVs) for all aircraft
consistent with the prior review, which haircutting the E190
regional jet and also the B787-8 values lower given ongoing
pressures on those variants. This resulted in a Fitch value
assumption of $487.64 million, 11.1% haircut down from the
transaction document value of ($548.58 million of November 2021).

Transaction Performance:

Lease collections have been stable since Fitch's last review in
early 2021, with the December collection period (January reporting)
jumping to $7.04 million. The prior October-November collection
periods (November/December reporting periods) totaled $3.57 million
and $4.64 million each and were consistent-to-elevated versus prior
months. They compared to average monthly collections of $3.84
million on average going back to November 2020, and the past six
months of collections averaged $3.87 million versus $3.82 million
in the prior six-month period. A $2.15 million security deposit
transfer from two aircraft was also received in November adding to
total collections in that month. Despite a slight creep up in
recent months, LTVs have remained stable and were also in line with
November 2020 reporting period a year earlier as per the
transaction documents.

All notes continue to receive interest payments through the current
period. Class A principal paid does remain low but has continued to
be paid each month, while class B and C principal has not been paid
since early 2020 with the onset of the COVID pandemic. Classes A, B
and C principal all remain behind schedule.

RATING SENSITIVITIES

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

Down: Base Assumptions with 10% Weaker WB Values and Default of
Ethiopian Airlines:

-- The pool contains a WB concentration of 17.3%. Further
    softening in this aircraft value beyond current expectation
    could lead to further downward rating action. Due to
    continuing MV pressure on WB aircraft and worsening supply and
    demand dynamics, Fitch explored the potential cash flow
    decline if WB values were reduced further by 10% of Fitch's
    modeled values.

-- In addition to the 10% WB stress, Fitch assessed the impact of
    the transaction if Ethiopian Airlines were to default
    considering the high concentration of contracted cash flow
    coming from the 787-8 aircraft on lease to the airline.

-- Under these scenarios, the transaction would experience weaker
    cash flows and each series would be further pressured from a
    ratings perspective.

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

Up: Base Assumptions with Stronger Asset Values:

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

-- In this scenario, were values and lease collections to improve
    from the November 2021 report, the transaction would
    experience an improvement to cash flows, and each series would
    be considered for ratings uplift.

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.managed by the entity.


RCKT MORTGAGE 2022-1: Fitch Affirms B- Rating on Class B-5 Debt
---------------------------------------------------------------
Fitch Rtgs rates the residential mortgage backed securities issued
by RCKT Mortgage Trust 2022-1 (RCKT 2022-1).

DEBT           RATING               PRIOR
----           ------               -----
RCKT 2022-1

A-1      LT AAAsf   New Rating    AAA(EXP)sf
A-10     LT AAAsf   New Rating    AAA(EXP)sf
A-11     LT AAAsf   New Rating    AAA(EXP)sf
A-12     LT AAAsf   New Rating    AAA(EXP)sf
A-13     LT AAAsf   New Rating    AAA(EXP)sf
A-14     LT AAAsf   New Rating    AAA(EXP)sf
A-15     LT AAAsf   New Rating    AAA(EXP)sf
A-16     LT AAAsf   New Rating    AAA(EXP)sf
A-17     LT AAAsf   New Rating    AAA(EXP)sf
A-18     LT AAAsf   New Rating    AAA(EXP)sf
A-19     LT AAAsf   New Rating    AAA(EXP)sf
A-2      LT AAAsf   New Rating    AAA(EXP)sf
A-20     LT AAAsf   New Rating    AAA(EXP)sf
A-21     LT AAAsf   New Rating    AAA(EXP)sf
A-22     LT AAAsf   New Rating    AAA(EXP)sf
A-23     LT AAAsf   New Rating    AAA(EXP)sf
A-24     LT AAAsf   New Rating    AAA(EXP)sf
A-3      LT AAAsf   New Rating    AAA(EXP)sf
A-4      LT AAAsf   New Rating    AAA(EXP)sf
A-5      LT AAAsf   New Rating    AAA(EXP)sf
A-6      LT AAAsf   New Rating    AAA(EXP)sf
A-7      LT AAAsf   New Rating    AAA(EXP)sf
A-8      LT AAAsf   New Rating    AAA(EXP)sf
A-9      LT AAAsf   New Rating    AAA(EXP)sf
A-X-1    LT AAAsf   New Rating    AAA(EXP)sf
A-X-10   LT AAAsf   New Rating    AAA(EXP)sf
A-X-11   LT AAAsf   New Rating    AAA(EXP)sf
A-X-12   LT AAAsf   New Rating    AAA(EXP)sf
A-X-13   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
A-X-5    LT AAAsf   New Rating    AAA(EXP)sf
A-X-6    LT AAAsf   New Rating    AAA(EXP)sf
A-X-7    LT AAAsf   New Rating    AAA(EXP)sf
A-X-8    LT AAAsf   New Rating    AAA(EXP)sf
A-X-9    LT AAAsf   New Rating    AAA(EXP)sf
B-1      LT AA-sf   New Rating    AA-(EXP)sf
B-1A     LT AA-sf   New Rating    AA-(EXP)sf
B-2A     LT A-sf    New Rating    A-(EXP)sf
B-3      LT BBB-sf  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
B-X-1    LT AA-sf   New Rating    AA-(EXP)sf
B-X-2    LT A-sf    New Rating    A-(EXP)sf
B2       LT A-sf    New Rating    A-(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 827 loans with a total balance of
approximately $748 million as of the cutoff date. The pool consists
of prime fixed-rate mortgages acquired by Woodward Capital
Management LLC (Woodward) from Rocket Mortgage, LLC (Rocket
Mortgage), formerly known as Quicken Loans, LLC. Distributions of
P&I and loss allocations are based on a senior-subordinate,
shifting-interest structure.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool, due to its updated views on sustainable
home prices, as 11.2% above a long-term sustainable level (vs.
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

High-Quality Mortgage Pool (Positive): The collateral consists of
827 loans, totaling $748 million, and seasoned approximately four
months in the aggregate (calculated as the difference between
origination date and first pay date). The borrowers have a strong
credit profile (761 Fitch model FICO and 34% DTI) and moderate
leverage (80% sustainable loan-to-value ratio). The pool consists
of 94.9% of loans where the borrower maintains a primary residence,
while 5.1% comprise a second home. Additionally, 58.8% of the loans
were originated through a retail channel and 100% are designated as
Safe Harbor (APOR) qualified mortgage (QM).

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature 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.

A key difference with this transaction compared to other programs
that treat stop-advance loans similarly is that liquidation
proceeds are allocated to interest before principal. As a result,
Fitch included the full interest carry in its loss projections and
views the risk of permanent interest reductions as lower than other
programs with a similar feature.

Low Operational Risk (Positive): Operational risk is well
controlled in this transaction. Fitch assessed Rocket Mortgage (fka
Quicken Loans) as an 'above average' originator, and it is
contributing all of the loans to the pool. The originator has a
robust origination strategy and maintains experienced senior
management and staff, strong risk management and corporate
governance controls and a robust due diligence process. Primary
servicing functions will be performed by Rocket Mortgage, which is
rated 'RPS2'.

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.00% will be available for the senior bonds
and a subordinate floor of 0.70% of the original balance will be
maintained for the subordinate classes. The floor is sufficient to
protect against the 100 average-sized loans incurring Fitch's
'AAAsf' expected loss

RATING SENSITIVITIES

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

-- Fitch's incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper market value declines
    (MVDs) than assumed at the metropolitan statistical area
    level. Sensitivity analysis was conducted at the state and
    national level to assess the effect of higher MVDs for the
    subject pool as well as lower MVDs, illustrated by a gain in
    home prices.

-- The 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 42.3% 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.

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

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

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

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 AMC Diligence, LLC. The third-party due diligence
described in Form 15E focused on a review that consisted of credit,
regulatory compliance, and property valuation. Fitch considered
this information in its analysis and, as a result, Fitch made the
following adjustment to its analysis: a 5% PD credit to the 61% of
the pool by loan count in which diligence was conducted. This
adjustment resulted in a 18bps reduction to the 'AAAsf' expected
loss.

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.


SLM STUDENT 2007-7: S&P Lowers Cl. A-4/B Notes Ratings to 'CC(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its rating on the class A-4 and B notes
from SLM Student Loan Trust 2007-7 to 'CC (sf)' from 'B (sf)'. At
the same time, S&P placed the class A-4 notes on CreditWatch with
negative implications and the class B notes on CreditWatch with
developing implications. These transactions are student loan ABS
transactions backed by the U.S. Department of Education's Federal
Family Education Loan Program (FFELP) loans.

CreditWatch with negative implications indicates there is a 50% or
higher likelihood the rating will be lowered. CreditWatch with
developing implications indicates that a rating may be raised,
lowered, or affirmed. A developing designation is used for
situations where potential future events are unpredictable and
differ so significantly that the rating could be raised or
lowered.

Rationale

The rating actions primarily reflect the liquidity pressure the
senior class is experiencing, not the credit enhancement levels
available to the classes for ultimate principal repayment. The pace
of note principal payment has slowed, and the senior class is at
risk of not being repaid by its legal final maturity date. The
class A-4 balance as of the October 2021 distribution date is
$242.5 million. Principal payments to the class A-4 notes were $6.2
million for third-quarter 2021. S&P does not believe the collateral
will generate enough cash to pay the remaining class A-4 note
balance on its January 2022 legal final maturity date. The rating
on the class A-4 notes reflects the virtual certainty that this
class will likely be repaid after its maturity date of Jan. 25,
2022, triggering an event of default under the transaction
documents.

After an event of default, the trustee and/or noteholders have
several courses of action they can take, which may affect the
amount and timing of payments that are expected to be received by
the class B notes. For example, the parties may allocate payments
per the pre-event of default waterfall or they could vote to
accelerate and payments could be allocated per the post-event of
default waterfall. Additionally, the parties could decide to sell
the trust estate. Senior expenses could also increase because
uncapped expenses are allowed under the transaction documents if
they relate to addressing the post-event of default course of
action.

S&P said, "The ratings were affected by the application of our
criteria for assigning 'CCC' and 'CC' ratings. The criteria state
that we rate an issue 'CC' when we expect default to be a virtual
certainty, regardless of the time to default. Accordingly, the 'CC
(sf)' ratings reflect that, even under optimistic collateral
performance scenarios, we believe class A-4 will default on
principal repayment at legal final maturity and an event of default
will occur, which will impact the class B notes.

"We primarily considered the transaction's asset and note payment
rates relative to the notes' legal final maturity date, expected
future collateral performance, transaction payment priority, and
current credit enhancement level in our review."

CreditWatch

Once a course of action is determined by the trustee and/or
noteholders subsequent to the event of default, S&P will determine
whether the class B ratings will be raised, lowered, or affirmed.



SMR MORTGAGE 2022-IND: Moody's Assigns (P)B3 Rating to Cl. F Certs
------------------------------------------------------------------
Moody's Investors Service, Inc. has assigned provisional ratings to
six classes of CMBS securities, to be issued by SMR 2022-IND
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2022-IND:

Cl. A, Assigned (P)Aaa (sf)

Cl. B, Assigned (P)Aa3 (sf)

Cl. C, Assigned (P)A3 (sf)

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

Cl. F, Assigned (P)B3 (sf)

RATINGS RATIONALE

The certificates are collateralized by the borrower's fee and
leasehold interests in 49 single tenant industrial properties and
one single tenant office property located across 27 states. Moody's
ratings are based on the credit quality of the loans and the
strength of the securitization structure.

Moody's approach to rating this transaction involved the
application of Moody's 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 portfolio contains approximately 6,763,701 SF of aggregate net
rentable area ("NRA") across the following four property subtypes
-manufacturing (37 properties; 76.7% of NRA), cold storage (five
properties; 14.3% of NRA), warehouse (seven properties; 8.6% of
NRA), and office (one property; 0.3% of NRA). The portfolio is
geographically diverse as the properties are located across 27
states and 40 markets. The top five states by NOI are Indiana (five
properties; 16.5% of NRA), Ohio (six properties; 9.0% of NRA),
Florida (five properties; 6.1% of NRA), Michigan (four properties;
6.0% of NRA) and South Carolina (three properties; 7.4% of NRA).
The top five market concentrations by NOI are Fort
Wayne-Huntington-Auburn (two properties; 8.0% of NRA),
Indianapolis-Carmel-Muncie (two properties; 4.6% of NRA), Columbus
(one property; 5.6% of NRA), Evansville (one property; 3.9% of NRA)
and Detroit (one property; 3.8% of NRA). The properties are
primarily located in global gateway markets and generally situated
within close proximity to major transportation arteries and
population density.

Construction dates for properties range between 1960 and 2013,
showing a weighted average year built of 1991 (average age of 30
years). Portfolio improvements are generally of good condition.
Most of the facilities (28 properties; 59.5% of NRA) were built
after 1980 and only five properties (7.8% of NRA) were built before
1970. Property sizes range between 23,370 SF and 376,500 SF,
averaging 135,274 SF. Approximately 82.0% of the portfolio's NRA is
represented by facilities of 100,000 SF or greater. Clear heights
for properties in the portfolio range between 11 feet and 40 feet.
Most of the facilities are well-suited for their use, with a
weighted average maximum clear height for the portfolio of
approximately 25.0 feet. As of December 1, 2021, the portfolio was
100.0% leased to 35 tenants.

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 Moody's first mortgage DSCR is 1.42x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.60x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 158.6% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 137.5% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.

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 pool's weighted
average property quality grade is 1.75.

Notable strengths of the transaction include: occupancy with
minimal rollover, tenant granularity, geographic diversity,
multiple property pooling, partial acquisition financing, no flex
industrial, average size, and experienced sponsorship.

Notable concerns of the transaction include: the high Moody's LTV
ratio, limited historical operating information, population
demographics, and floating-rate/interest-only mortgage loan
profile.

The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in November 2021.

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.


SMRT COMMERCIAL 2022-MINI: Moody's Assigns (P)B2 Rating to F Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CMBS securities, to be issued by SMRT Commercial
Mortgage Trust 2022-MINI, Commercial Mortgage Pass-Through
Certificates, Series 2022-MINI:

Cl. A, Assigned (P)Aaa (sf)

Cl. X-CP*, Assigned (P)Aa3 (sf)

Cl. B, Assigned (P)Aa3 (sf)

Cl. C, Assigned (P)A3 (sf)

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

Cl. F, Assigned (P)B2 (sf)

* Indicates interest-only Class

RATINGS RATIONALE

The certificates are collateralized by the borrower's fee interests
in a portfolio of 18 predominantly self-storage properties located
across Manhattan, NY. Moody's ratings are based on the credit
quality of the loans and the strength of the securitization
structure.

Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
CMBS methodology and Moody's 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.

In aggregate, the properties contain 56,042 self-storage units
offering 1,820,971 SF of combined rentable area, as well as
additional 298,616 SF of commercial space. For the self-storage
component, climate-controlled units account for 80.6% of the total
unit count. As of the September 1, 2021, the portfolio was
approximately 93.1% occupied base on self-storage NRA.

The self-storage units are the primary driver of the portfolio
revenue contributing 88.8% of revenue in the September 2021 TTM
period. The remaining income is comprised of commercial leases
(6.2%), WorkSpace (2.5%), parking (1.2%), antenna and billboard
income (1.0%) and full service plus service revenue (0.3%).

No individual property accounts for more than 10.8% of the NOI or
11.9% of the mortgage ALA.

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 Moody's first mortgage DSCR is 2.31x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.58x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 135.5% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 117.5% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.

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 pool's weighted
average property quality grade is 0.25.

Notable strengths of the transaction include: the strong
self-storage market, dominant market position, portfolio's
historical operating performance, acquisition financing and
experienced sponsorship.

Notable concerns of the transaction include: the older age of the
collateral improvements, as well as the loan's high Moody's
loan-to-value ("MLTV") ratio, and floating-rate/interest-only
mortgage loan profile.

The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.

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.


STARWOOD MORTGAGE 2022-1: Fitch Gives B-(EXP) Rating to B-2 Debt
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Starwood Mortgage
Residential Trust 2022-1.

DEBT                RATING
----                ------
STAR 2022-1

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
XS       LT NR(EXP)sf   Expected Rating
A-IO-S   LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by Starwood Mortgage Residential Trust
2022-1, Mortgage-Backed Certificates, Series 2022-1 (STAR 2022-1),
as indicated. The certificates are supported by 906 loans with a
balance of approximately $562.5 million as of the cutoff date. This
will be the first Fitch-rated STAR transaction in 2022.

The certificates are secured primarily by mortgage loans that were
originated by third-party originators, with Luxury Mortgage
Corporation; HomeBridge Financial Services, Inc.; and CrossCountry
Mortgage LLC sourcing 70.8% of the pool. The remaining 29.2% of the
mortgage loans were originated by various originators who
contributed less than 10% each to the pool.

Of the loans in the pool, 63.1 % are designated as nonqualified
mortgages (non-QM, or NQM), and 36.9% are not subject to the
Consumer Finance Protection Bureau's (CFPB) Ability to Repay rule
(ATR rule, or the Rule) and 0.05% of the pool is designated as Safe
Harbor QM.

There is LIBOR exposure in this transaction. The collateral
consists of 6.7% adjustable-rate loans, which reference one-year
LIBOR, while the remaining adjustable-rate loans reference
one-month SOFR (Secured Overnight Financing Rate). The certificates
are fixed rate and capped at the net weighted average coupon
(WAC).

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.5% above a long-term sustainable level, versus
10.6% on a national level. Underlying fundamentals are not keeping
pace with growth in prices, which is a result of a supply/demand
imbalance driven by low inventory, low mortgage rates and new
buyers entering the market. These trends have led to significant
home price increases over the past year, with home prices rising
18.6% yoy nationally as of June 2021.

Nonprime Credit Quality (Mixed): The collateral consists mainly of
30-year, fixed-rate fully amortizing loans (73.0%), 14.3%
fixed-rate loans with an initial interest-only (IO) term and 4.0%
adjustable-rate 5/1 ARMs that are fully amortizing, while 3.5% are
7/1 ARMs with an initial IO term. The pool is seasoned at
approximately eight months in aggregate, as determined by Fitch.

The borrowers in this pool have relatively strong credit profiles,
with a 740 weighted average (WA) FICO score and a 41%
debt-to-income (DTI) ratio, as determined by Fitch, and relatively
high leverage with an original combined loan-to-value (CLTV) ratio
of 68.8% that translates to a Fitch-calculated sustainable
loan-to-value (sLTV) ratio of 75.3%.

The Fitch DTI is higher than the DTI in the transaction documents
(DTI is 33.6% in the transaction documents) due to Fitch assuming a
55% DTI for asset depletion loans and converting the debt service
coverage ratio (DSCR) to a DTI for the DSCR loans.

Of the pool, 59.4% consists of loans where the borrower maintains a
primary residence, while 37.0% comprises an investor property or
second home; 43.6% of the loans were originated through a retail
channel. Additionally, 63.1% are designated as non-QM, 0.05% are
designated as QM and 36.9% are exempt from QMs.

The pool contains 144 loans over $1 million, with the largest being
$3.4 million. Self-employed non-debt service coverage ratio (DSCR)
borrowers make up 57.8% of the pool, 6.6% are asset depletion loans
and 30.2% are investor cash flow DSCR loans.

Approximately 37% of the pool comprises loans on investor
properties (7% underwritten to the borrowers' credit profile and
30% comprising investor cash flow loans). A 6.1% portion of the
loans has subordinate financing, mainly due to deferred balances,
and there are no second lien loans.

Seven loans in the pool were underwritten to foreign nationals.
Fitch treated these loans as being investor occupied, having no
documentation for income and employment and having no liquid
reserves. Fitch assumed a FICO of 650 for foreign nationals without
a credit score.

Although the credit quality of the borrowers is higher than in
prior NQM transactions, the pool characteristics resemble nonprime
collateral; therefore, the pool was analyzed using Fitch's nonprime
model.

Geographic Concentration (Negative): Approximately 47.1% of the
pool is concentrated in California. The largest MSA concentration
is in the Los Angeles-Long Beach-Santa Ana, CA MSA (25.3%),
followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA
MSA (17.7%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA
(5.8%). The top three MSAs account for 48.8% of the pool. As a
result, there was a 1.08x probability of default (PD) penalty for
geographic concentration, which increased the 'AAA' loss by 0.80%.

Loan Documentation (Negative): Approximately 91.2% of the pool was
underwritten to less than full documentation, and 52.2% was
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the CFPB's ATR Rule, which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to the
rigor of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ability to repay. Additionally,
6.6% is an Asset Depletion product, 0% is a CPA or PnL product, and
30.2% is DSCR product.

Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent P&I. The limited advancing reduces
loss severities, as there is a lower amount repaid to the servicer
when a loan liquidates and liquidation proceeds are prioritized to
cover principal repayment over accrued but unpaid interest. The
downside is the additional stress on the structure side, as there
is limited liquidity in the event of large and extended
delinquencies.

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

RATING SENSITIVITIES

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

-- Fitch incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper market value declines
    (MVDs) than assumed at the MSA level. 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.

-- 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 41.8% 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 positive
rating action/upgrade:

-- Fitch incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper MVDs than assumed at the
    MSA level. 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.

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

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

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 Services LLC and Recovco Mortgage
Management, LLC. The third-party due diligence described in Form
15E focused on compliance review, credit review and valuation
review. Fitch considered this information in its analysis and, as a
result, Fitch did not make any adjustment(s) to its analysis due to
the due diligence findings. Based on the results of the 100% due
diligence performed on the pool, the overall expected loss was
reduced by 0.39%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor,
Starwood Non-Agency Lending, LLC, engaged SitusAMC, Clayton
Services LLC and Recovco Mortgage Management, LLC to perform the
review. Loans reviewed under these engagements were given
compliance, credit, and valuation grades and assigned initial
grades for each subcategory.

An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has a number of exceptions and waivers.
Fitch determined that the exceptions and waivers do not materially
affect the overall credit risk of the loans due to the presence of
compensating factors such as having liquid reserves or FICO above
guideline requirements or LTV or DTI lower than guideline
requirement. Therefore, no adjustments were needed to compensate
for these occurrences.

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

ESG CONSIDERATIONS

STAR 2022-1 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to operational risk being well
controlled for in STAR 2022-1, strong transaction due diligence as
well as a 'RPS1-' Fitch-rated servicer, which has a positive impact
on the credit profile, and is relevant to the ratings in
conjunction with other factors.

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


TABERNA PREFERRED III: Moody's Ups Rating on Cl. A-2A Notes to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Taberna Preferred Funding III, Ltd.:

US$188,500,000 Class A-1A First Priority Senior Secured Floating
Rate Notes Due 2036 (current balance of $85,784,348.39), Upgraded
to Baa2 (sf); previously on January 15, 2020 Upgraded to Ba1 (sf)

US$10,000,000 Class A-1C First Priority Senior Secured
Fixed/Floating Rate Notes Due 2036 (current balance of
$2,152,681.24), Upgraded to Baa2 (sf); previously on January 15,
2020 Upgraded to Ba1 (sf)

US$38,500,000 Class A-2A Second Priority Senior Secured Floating
Rate Notes Due 2036, Upgraded to Ba2 (sf); previously on January
15, 2020 Upgraded to B1 (sf)

Taberna Preferred Funding III, Ltd., issued in September 2005, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of REIT trust preferred securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1A and Class A-1C notes, an increase in the
transaction's over-collateralization (OC) ratios, and the
improvement in the credit quality of the underlying portfolio since
January 2021.

The Class A-1A and Class A-1C notes have paid down each by
approximately 8.3% or $7.7 million and $0.2 million, respectively,
since January 2021 using principal proceeds from the redemption of
the underlying assets and the diversion of excess interest
proceeds. Based on Moody's calculations, the OC ratios for the
Class A-1 notes have improved to 271.6% from the January 2021 level
of 248.1%, and the OC ratio for the Class A-2A notes has improved
to 188.9% from 177.0%.

The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 2307 from 2439 in
January 2021.

In August 2009, the transaction declared an Event of Default (EoD)
because of a missed interest payment on the Class B notes. In
September 2009, a majority of the controlling class directed the
trustee to declare the notes immediately due and payable. As a
result of the declaration of acceleration of the notes, all
proceeds after paying Class A-1A, Class A-1C, Class A-2A and Class
A-2B interest are currently being used to pay down the principal of
the Class A-1A and Class A-1C notes pro rata.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par and principal proceeds
balance of $238.8 million, defaulted par of $172.8 million, a
weighted average default probability of 29.04% (implying a WARF of
2307), and a weighted average recovery rate upon default of
10.00%.

The transaction's performing portfolio is concentrated, with 11
remaining obligors.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 2021.

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

The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.


WELLS FARGO 2018-C44: Fitch Affirms B- Rating on G-RR Certs
-----------------------------------------------------------
Fitch Ratings has affirmed the ratings for Wells Fargo Commercial
Mortgage Trust 2018-C44 commercial mortgage pass-through
certificates, series 2018-C44. Fitch maintains the Rating Outlook
of one class on Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
WFCM 2018-C44

A-1 95001JAS6    LT AAAsf   Affirmed    AAAsf
A-2 95001JAT4    LT AAAsf   Affirmed    AAAsf
A-3 95001JAU1    LT AAAsf   Affirmed    AAAsf
A-4 95001JAW7    LT AAAsf   Affirmed    AAAsf
A-5 95001JAX5    LT AAAsf   Affirmed    AAAsf
A-S 95001JBA4    LT AAAsf   Affirmed    AAAsf
A-SB 95001JAV9   LT AAAsf   Affirmed    AAAsf
B 95001JBB2      LT AA-sf   Affirmed    AA-sf
C 95001JBC0      LT A-sf    Affirmed    A-sf
D 95001JAC1      LT BBB-sf  Affirmed    BBB-sf
E-RR 95001JAE7   LT BBB-sf  Affirmed    BBB-sf
F-RR 95001JAG2   LT BB-sf   Affirmed    BB-sf
G-RR 95001JAJ6   LT B-sf    Affirmed    B-sf
X-A 95001JAY3    LT AAAsf   Affirmed    AAAsf
X-B 95001JAZ0    LT AA-sf   Affirmed    AA-sf
X-D 95001JAA5    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's base case expected loss remains
in-line with losses from the prior rating action due to overall
stable performance of the collateral. Fitch has identified nine
loans (25.2%) as Fitch loans of concern (FLOCs), including four
(18.1%) loans among the top 15 loans and two loans (5.5%) in
special servicing. Fitch's current ratings incorporate a base case
loss of 6.4%. The Negative Outlook on class G-RR reflects exposure
to hotel properties recovering from the effects of the pandemic,
single-tenant properties with near-term lease expirations, and
uncertainty with respect to losses of loans in special servicing.

Fitch Loans of Concern: The largest FLOC and the largest
contributor to Fitch's projected losses is the largest loan in the
pool, Village at Leesburg (8.8% of the pool). The collateral is a
large outdoor retail property anchored by Wegmans Food Market
located in Leesburg, VA.

Performance of the property has declined since issuance due to the
effects of the pandemic coupled with increasing expenses. Although
occupancy has declined to 88% as of September 2021, three newly
executed leases representing 2.1% of NRA are expected to commence
in the first quarter of 2022. The property is considered high
quality with a strong anchor profile, including Wegmans Food Market
which reported $771 psf in sales at issuance.

Previously, the second largest tenant, Cinemex Holdings USA Inc.,
parent company to CMX/Cobb Theaters (11.7% NRA through February
2029), filed for Chapter 11 in April 2020 shortly after having to
close in response to the pandemic. The loan subsequently
transferred to special servicing in June 2020 at the borrower's
request, but was returned to the master servicer just a few months
later with no forbearance or modification and remains current as of
December 2021. According to the servicer Cinemex Holdings USA Inc.
has since emerged from bankruptcy and has assumed the lease at the
subject location.

Fitch's analysis includes YE 2020 NOI resulting in modeled losses
of 20.2%. Fitch anticipates property NOI to recover as rent relief
diminishes and occupancy stabilizes.

The next largest contributor to loss is Prince and Spring Street
Portfolio (4.0% of the pool). The collateral is a portfolio of
three mixed-use retail/multifamily properties located in the NoLita
neighborhood of Manhattan, just east of SoHo. The properties
consist of 48 multifamily units, which include six rent-stabilized
units, three rent-controlled units and seven retail tenants
totaling 8,000 sf. The loan transferred to special servicing in
December 2020 due to pandemic related-hardship and is 90 days
delinquent as of the December 2021 distribution.

June 2021 DSCR reflects a substantially lower figure due to several
retail tenants shorting or paying abated rent. Additionally,
expenses have increased substantially from the prior year in the
year-to-date June 2021 reporting, primarily due to higher real
estate taxes. A new retail lease has been signed with rent
commencement expected in April 2022. At issuance, retail leases
comprised approximately 55% of base rent for the portfolio. As of
September 2021, the multifamily component is 95.8% occupied, which
compares with 98% at YE 2019. The special servicer is in discussion
with the borrower and is evaluating resolution options. Fitch's
base case loss of 33% factors a stress to the most recently
available appraisal, reflecting a recovery of approximately
$662,000 per unit.

The third largest contributor to loss is the 1442 Lexington Avenue
loan (1.5%), which is secured by a 16-unit multifamily property
located on the Upper East Side of Manhattan. Four of the units are
rent-stabilized. The loan transferred to special servicing in May
2020 at the borrower's request due to distress caused by the
pandemic. Unresolved forbearance negotiations resulted in the
special servicer filing foreclosure and motion for receivership.
Fitch's base case loss of 43% factors a stress to the most recently
available appraisal, reflecting a recovery of $505,000 per unit.

Minimal Change in Credit Enhancement: As of the January 2021
distribution, the pool's aggregate principal balance has been paid
down by 1.8% to $752.9 million from $766.7 million at issuance. All
44 of the originally securitized loans remain in the pool.
Seventeen loans representing 44.5% of the pool are interest only
for the full term. An additional 13 loans representing 35.1% of the
pool were structured with partial interest-only periods. Of these
loans, three (12.5% of the pool) have yet to begin amortizing.

Credit Opinion Loan: At issuance, the seventh largest loan, 181
Fremont Street (3.9% of the pool), received an investment-grade
credit opinion of 'BBB-sf' on a stand-alone basis. Based on
continued stable performance, the loan remains consistent with a
credit opinion loan.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to the classes
    rated 'AAAsf' and 'AA-sf' are not likely due to the high CE
    relative to expected losses and amortization, but could occur
    if there are interest shortfalls. Classes C, D and E-RR may be
    downgraded if additional loans transfer to special servicing
    or the loans currently in special servicing do not resolve in
    a timely manner.

-- Classes F-RR and G-RR may be downgraded if performance of the
    FLOCs continue to decline. The Negative Rating Outlook may be
    revised back to Stable if performance of the FLOCs improve and
    properties underperforming due to the effects of the pandemic
    recover and stabilize.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with paydown and/or defeasance. Upgrades of
    classes B and C could occur with significant improvement in CE
    and/or defeasance; however, adverse selection and increased
    concentrations could cause this trend to reverse.

-- Upgrades to classes D and E-RR would be limited based on
    sensitivity to concentrations or the potential for future
    concentration. Classes would not be upgraded above 'Asf' if
    there is likelihood for interest shortfalls. Upgrades to
    classes F-RR and G-RR are unlikely absent significant
    performance improvement and stabilization of the FLOCs.

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 2019-C49: Fitch Affirms CCC Rating on H-RR Certs
------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Wells Fargo Commercial
Mortgage Trust Pass-Through Certificates, series 2019-C49 (WFCM
2019-C49). In addition, Fitch has revised the Rating Outlook on
class E-RR to Stable from Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
WFCM 2019-C49

A-1 95001WAW8    LT AAAsf   Affirmed    AAAsf
A-2 95001WAX6    LT AAAsf   Affirmed    AAAsf
A-3 95001WAY4    LT AAAsf   Affirmed    AAAsf
A-4 95001WBA5    LT AAAsf   Affirmed    AAAsf
A-5 95001WBB3    LT AAAsf   Affirmed    AAAsf
A-S 95001WBE7    LT AAAsf   Affirmed    AAAsf
A-SB 95001WAZ1   LT AAAsf   Affirmed    AAAsf
B 95001WBF4      LT AA-sf   Affirmed    AA-sf
C 95001WBG2      LT A-sf    Affirmed    A-sf
D 95001WAC2      LT BBB-sf  Affirmed    BBB-sf
E-RR 95001WAE8   LT BBB-sf  Affirmed    BBB-sf
F-RR 95001WAG3   LT BB+sf   Affirmed    BB+sf
G-RR 95001WAJ7   LT Bsf     Affirmed    Bsf
H-RR 95001WAL2   LT CCCsf   Affirmed    CCCsf
X-A 95001WBC1    LT AAAsf   Affirmed    AAAsf
X-B 95001WBD9    LT A-sf    Affirmed    A-sf
X-D 95001WAA6    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's loss expectations have slightly
improved since the prior rating action. The Outlook revision on
class E-RR reflects better than expected 2020 performance on
several loans in the pool that were anticipated to be adversely
affected by the pandemic. Eighteen loans (35% of the pool) have
been identified as Fitch Loans of Concern (FLOCs), including four
specially serviced loans (4.3%).

Fitch's current ratings incorporate a base case loss of 6.20%. The
Negative Outlooks reflect losses that could reach 6.40% when
factoring in additional sensitivities on four, non-specially
serviced hotel loans that continue to be impacted by the
coronavirus pandemic. The Negative Outlooks also reflect the pool's
high retail and hotel concentrations of 29.9% and 21.5%,
respectively, and pandemic related underperformance of the FLOCs.
The Negative Outlooks may be revised to Stable if performance of
the FLOCs improves and/or properties vulnerable to the pandemic
stabilize as the economy improves.

The largest contributor to losses is Grapevine Station (4.4% of the
pool), which is secured by a 273-unit multifamily property located
in Grapevine, TX. Performance decline began prior to the pandemic,
with lower occupancy and rental revenues in 2020 and 2021. NOI DSCR
dropped to 1.02x as of YTD September 2021 from 1.11x at YE 2020 and
1.14x at YE 2019. Per servicer updates, NOI has been impacted by
rent concessions, bad debt, and higher insurance expense compared
to issuance.

The borrower has been working to stabilize the property through
eviction efforts and re-leasing. As a result, occupancy has
rebounded to 98% as of September 2021 compared to 82% at YE 2020.
Fitch's base case loss of 16.9% is based off the YE 2020 NOI, and
gives credit for the borrower's stabilization efforts and the
recent occupancy increase.

The second largest contributor to losses is Nostrand Avenue
Shopping Center (3.50%), which is secured by an 80,991-sf,
grocery-anchored shopping center located in Brooklyn, NY. The
property is anchored by Aldi's (22% of the NRA), and includes Blink
Fitness (20.5%), Rite Aid (15.3%), Party City (12.3%), and Lucky
Enterprises (11.2%).

Performance had declined in 2020 as a result of lost rents due to
non-payment from tenants impacted by the pandemic. As a result, NOI
DSCR declined to 1.04x at YE 2020, compared to 1.38x at YE 2019 and
1.56x per the issuers underwritten NOI. Occupancy has remained
stable since issuance reporting at 92% per the September 2021 rent
roll, however faces near-term rollover risks with leases for 16.8%
of the NRA scheduled expire in 2022, most notable is Party City
(12.3%) in June 2022.

Fitch's base case loss of 18% is based off the YE 2019 NOI, and
gives credit for the prime retail location, and essential grocery
and pharmacy tenants. The loan has remained current since issuance,
and the borrower has not requested relief to date.

The third largest contributor to losses is the specially serviced
Florissant Marketplace loan (1.58% of the pool), which is secured
by a 146,257-sf retail property located in Florissant, MO,
approximately one hour from St. Louis. The property is anchored by
a local grocery tenant, Schunk Markets (48% of the NRA). The loan
transferred to special servicing in July 2020 for payment default
after the second largest tenant, Gold's Gym (27.5%), filed for
bankruptcy and subsequently vacated the property due to hardships
caused by the ongoing coronavirus pandemic.

The property is currently 70% occupied, with negative cash flow
reported for YTD June 2021. A receiver was appointed in January
2021, and is discussing potential leasing options with a
prospective tenant for the vacant space. Per servicer updates, the
property is producing cash flow to pay down the advances and to
make property upgrades. Fitch's base case loss of 39.5% is based
off a discount to the most recent servicer provided appraised
value, which is nearly 50% below the appraised value at issuance.

Minimal Change to Credit Enhancement: As of the December 2021
remittance, the transaction's balance has been reduced by 1.1% to
$765.7 million from $774.3 million. No loans have been disposed of
and one loan has been fully defeased (0.40% of the pool) since
issuance. Twenty-seven loans (52.3%) are full-term, interest-only;
17 loans (23.7%) are fully amortizing; and twenty Loans (23.9%) are
still in their interest-only period. Interest shortfalls totaling
$460,654 are affecting the non-rated K-RR class.

Alternative Loss Consideration; Coronavirus Exposure: Five loans
(29.9%) are secured by retail properties and eight loans (21.5%)
are secured by hotel properties. Due to 2020 underperformance as a
result of the pandemic, Fitch utilized the pre-pandemic 2019 cash
flows with additional stresses in its base case analysis on 11
loans (26% of the pool). In addition, Fitch performed additional
coronavirus-related stresses on four non-specially serviced hotel
loans (10.5%), which resulted in a higher loss on the Residence Inn
Denver City Center loan (6.2%). This sensitivity analysis
contributes to the Negative Outlooks.

RATING SENSITIVITIES

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

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

-- Downgrades to classes A-1, A-2, A-3, A-4, A-5, A-SB, A-S, and
    X-A are not likely given their sufficient credit enhancement
    (CE) relative to expected losses and continued amortization,
    but may occur should interest shortfalls affect these classes
    or loss expectations increase considerably.

-- Downgrades to classes B, C, D, E-RR, X-B, and X-D may occur if
    expected losses for the pool increase significantly and/or if
    loans susceptible to the coronavirus pandemic suffer losses,
    which would erode CE.

-- Downgrades to classes F-RR, G-RR, and H-RR would occur with
    increased certainty of losses on specially serviced loans,
    continued underperformance of the FLOCs, and/or additional
    loans transfer to special servicing.

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

-- Upgrades would occur with stable to improved asset
    performance, particularly on the FLOCs and specially serviced
    loans, coupled with paydown and/or defeasance.

-- Upgrades to classes B, C, D, E-RR, X-B, and X-D would likely
    occur with significant improvement in CE and/or defeasance;
    however, adverse selection and increased concentrations or the
    underperformance of particular loans(s) could cause this trend
    to reverse. Classes would not be upgraded above 'Asf' if there
    were likelihood of interest shortfalls.

-- Upgrades to classes F-RR, G-RR, and H-RR are considered
    unlikely and would be limited based on sensitivity to
    concentrations or the potential for future concentration, and
    significant performance improvement and substantially higher
    recoveries than expected on the FLOCs.

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.


WELLS FARGO 2022-JS2: S&P Assigns Prelim B- (sf) Rating on F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Wells Fargo
Commercial Mortgage Trust 2022-JS2's commercial mortgage
pass-through certificates.

The certificate issuance is a CMBS securitization backed by a
$216.5 million fixed-rate, trust loan, which is part of a whole
mortgage loan structure in the aggregate principal amount of $350.0
million. The $216.5 million trust loan is comprised of a $50.0
million senior A-1 loan, and a $166.5 million B-1 loan. The
mortgage loan seller is retaining $133.5 million in senior
pari-passu non-trust companion loans (A-2, A-3, and A-4).

The preliminary ratings are based on information as of Jan. 14,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

S&P said, "The preliminary ratings reflect our view of the
collateral's historical and projected performance, the sponsor's
and the manager's experience, the trustee-provided liquidity, the
loan terms, and the transaction's structure. We determined that the
mortgage loan has a debt service coverage ratio of 1.40x and a
beginning and ending loan-to-value (LTV) ratio of 120.9%, based on
S&P Global Ratings' value."

S&P Global Ratings believes the new Omicron variant is a stark
reminder that the COVID-19 pandemic is far from over. Although
already declared a variant of concern by the World Health
Organization, uncertainty still surrounds its transmissibility,
severity, and the effectiveness of existing vaccines against it.
Early evidence points toward faster transmissibility, which has led
many countries to close their borders with Southern Africa or
reimpose international travel restrictions. S&P said, "Over coming
weeks, we expect additional evidence and testing will show the
extent of the danger it poses to enable us to make a more informed
assessment of the risks to credit. Meanwhile, we can expect a
precautionary stance in markets, as well as governments to put into
place short-term containment measures. Nevertheless, we believe
this shows that, once again, more coordinated, and decisive efforts
are needed to vaccinate the world's population to prevent the
emergence of new, more dangerous variants."

  Preliminary Ratings Assigned

  Wells Fargo Commercial Mortgage Trust 2022-JS2(i)

  Class A, $37,480,000: AAA (sf)
  Class X, $216,500,000(ii): Not rated
  Class B, $8,920,000: AA- (sf)
  Class C, $14,710,000: A- (sf)
  Class D, $24,900,000: BBB- (sf)
  Class E, $28,960,000: BB- (sf)
  Class F, $30,410,000: B- (sf)
  Class G, $58,220,000: Not rated
  Class HRR(iii), $12,900,000: Not rated

(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.

(ii)Notional balance. The notional amount of the class X
certificates will equal the aggregate certificate balances of the
class A, B, C, D, E, F, G, and HRR certificates.

(iii)Horizontal risk retention certificates.



[*] Fitch Gives Ratings to 16 Unrated Classes From CAS Deals
------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to 16
previously unrated classes from 13 Fannie Mae Connecticut Avenue
Securities (CAS) transactions issued between 2017 and 2019.

    DEBT              RATING               PRIOR
    ----              ------               -----
CAS 2018-C04

2B-1 30711XR30   LT Bsf     New Rating    NR(EXP)sf

CAS 2018-C06

1B-1 30711X3M4   LT B+sf    New Rating    NR(EXP)sf
2B-1 30711X5V2   LT B-sf    New Rating    NR(EXP)sf

CAS 2019-R01

2B-1 20754FAL6   LT B-sf    New Rating    NR(EXP)sf

CAS 2017-C07

1B-1 30711XUW2   LT BB+sf   New Rating    NR(EXP)sf
2B-1 30711XWW0   LT BBsf    New Rating    NR(EXP)sf

CAS 2018-C05

1B-1 30711XY32   LT BB-sf   New Rating    NR(EXP)sf

Connecticut Avenue Securities 2017-C04

2B-1 30711XLU6   LT BBsf    New Rating    NR(EXP)sf

CAS 2017-C06

1B-1 30711XQW7   LT BB+sf   New Rating    NR(EXP)sf
2B-1 30711XSW5   LT BBsf    New Rating    NR(EXP)sf

CAS 2018-C01

1B-1 30711XYW8   LT BB+sf   New Rating    NR(EXP)sf

Connecticut Avenue Securities 2017-C01

1B-1 30711XEQ3   LT BBB+sf  New Rating    NR(EXP)sf

Connecticut Avenue Securities Trust 2018-R07

1B-1 20753QAF6   LT Bsf     New Rating    NR(EXP)sf

CAS 2018-C02

2B-1 30711XC44   LT BB-sf   New Rating    NR(EXP)sf

CAS 2018-C03

1B-1 30711XJ62   LT BBsf    New Rating    NR(EXP)sf

Connecticut Avenue Securities 2017-C02

2B-1 30711XGQ1   LT BB+sf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated other classes within these transactions since deal
close. The 16 classes with ratings assigned today are subordinate
classes in the transactions and were unrated at deal close. All of
the transactions have performed well since closing with many of the
previously rated bonds upgraded or assigned a Positive Rating
Outlook.

KEY RATING DRIVERS

Higher Achievable Ratings than at Issuance

Since Fitch initially assigned ratings at issuance to these
transactions, the subordinate bonds have materially better credit
protection. This is driven by the increase in credit enhancement
(CE) and lower losses. Since issuance, the subordinate bonds have
de-levered (increased in CE) significantly due to senior bonds
paying down resulting from fast prepayments. Additionally, due to
modelling changes, and significant home price appreciation, Fitch's
model losses are down from issuance.

Structural Performance

Fast Prepayments: Due to faster prepayments over the last year,
GSE-CRT front pay bonds have been paying off allowing subordinate
bonds to de-lever. On average, these deals experienced a 37.7%
three-month CPR rate. Prepayment rates remain elevated as interest
rates remained low throughout 2021.

CE Increase: The fast paydown of first pay bonds has resulted in
significant deleveraging and CE build-up for the subordinated
bonds. The average original CE for these bonds at close was 0.50%
and is 1.83% as of December 2021 resulting in a 133basis point (bp)
increase in CE.

Collateral Performance

Delinquency: As of December 2021, average 30 days or more
delinquency (30+ DQ) for these deals is 5.4%. This is reflective of
borrowers' slow recovery from the peak pandemic delinquencies. As a
result of the COVID-19 pandemic, delinquencies peaked in June 2020,
and the average 30+ DQ was 8.1% for these deals.

CE to Loss Analysis: The B class bonds do not benefit from running
cash flows in the model since they are subordinate in the capital
structure and therefore will be outstanding longer.

Home Price Appreciation

Mark-to-Market LTVs continue to decline as a result of Home Price
Appreciation, resulting in lower expected losses due to the
increased amount of borrower equity. As of October 2021, S&P
Corelogic Case-Shiller Index reported an annual gain of 19.1%
nationally, which is in the top quintile of all monthly reports.
Over the past year, Fitch estimates that national home prices are
10.6% overvalued on a population weighted basis.

RATING SENSITIVITIES

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

-- Fitch incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper market value declines
    (MVDs) than assumed at the MSA level.

-- 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.

-- This defined negative 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 decline at the base case. This
    analysis indicates that there is some potential rating
    migration with higher MVDs compared with the model projection.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth with
    no assumed overvaluation. The analysis assumes positive home
    price growth of 10.0%. Excluding the senior classes already
    rated 'AAAsf' as well as classes that are constrained due to
    qualitative rating caps, the analysis indicates there is
    potential positive rating migration for all of the other rated
    classes.

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. For enhanced disclosure of Fitch's
stresses and sensitivities, please refer to U.S. RMBS Loss
Metrics.

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 15-E was provided at issuance, and due diligence was also
performed at the time of issuance in accordance with Fannie Mae's
framework. No due diligence adjustments were made for in this
analysis.

ESG CONSIDERATIONS

The below entities with ESG Relevance Scores of '4' for Human
Rights, Community Relations, Access & Affordability have received
the score due to accessibility to affordable housing. This has a
positive impact on the credit profile and is relevant to the
ratings in conjunction with other factors.

The below entities with ESG Relevance Scores of '4' for Customer
Welfare - Fair Messaging, Privacy & Data Security have received the
score due to exposure to compliance risks including fair lending
practices, mis-selling, repossession/foreclosure practices,
consumer data protection (data security). This has a positive
impact on the credit profile and is relevant to the ratings in
conjunction with other factors.

CAS 2017-C06: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'.

CAS 2017-C06: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2017-C07: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2017-C07: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2018-C01: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2018-C01: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2018-C02: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2018-C02: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2018-C03: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2018-C03: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2018-C04: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2018-C04: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2018-C05: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2018-C05: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2018-C06: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2018-C06: Human Rights, Community Relations, Access &
Affordability: '4'

CAS 2019-R01: Customer Welfare - Fair Messaging, Privacy & Data
Security: '4'

CAS 2019-R01: Human Rights, Community Relations, Access &
Affordability: '4'

Connecticut Avenue Securities 2017-C01: Customer Welfare - Fair
Messaging, Privacy & Data Security: '4'

Connecticut Avenue Securities 2017-C01: Human Rights, Community
Relations, Access & Affordability: '4'

Connecticut Avenue Securities 2017-C02: Customer Welfare - Fair
Messaging, Privacy & Data Security: '4'

Connecticut Avenue Securities 2017-C02: Human Rights, Community
Relations, Access & Affordability: '4'

Connecticut Avenue Securities 2017-C04: Customer Welfare - Fair
Messaging, Privacy & Data Security: '4'

Connecticut Avenue Securities 2017-C04: Human Rights, Community
Relations, Access & Affordability: '4'

Connecticut Avenue Securities Trust 2018-R07: Customer Welfare -
Fair Messaging, Privacy & Data Security: '4'

Connecticut Avenue Securities Trust 2018-R07: Human Rights,
Community Relations, Access & Affordability: '4'

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


[*] Moody's Hikes 87 Bonds of Prime Jumbo RMBS Issued 2017-2020
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 87 tranches
from 19 RMBS transactions backed by private label prime and
government-sponsored enterprise (GSE) eligible first-lien mortgage
loans issued between 2017 and 2020 by multiple issuers.

Complete rating actions are as follows:

Issuer: Chase Home Lending Mortgage Trust 2019-ATR1

Cl. B-2, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa2 (sf)

Issuer: CIM Trust 2020-INV1

Cl. B-2A, Upgraded to Aa3 (sf); previously on Jun 30, 2021 Upgraded
to A1 (sf)

Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Jun 30, 2021
Upgraded to A1 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 30, 2021 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Jun 30, 2021 Upgraded
to A3 (sf)

Cl. B-4, Upgraded to Baa2 (sf); previously on Jun 30, 2021 Upgraded
to Baa3 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Jun 30, 2021 Upgraded
to B1 (sf)

Issuer: Citigroup Mortgage Loan Trust Inc. 2020-EXP1

Cl. A-2, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. A-3, Upgraded to Aa1 (sf); previously on Aug 3, 2021 Upgraded
to Aa3 (sf)

Cl. M-1, Upgraded to A2 (sf); previously on Aug 3, 2021 Upgraded to
A3 (sf)

Issuer: GS MORTGAGE-BACKED SECURITIES TRUST 2020-PJ4

Cl. B, Upgraded to A1 (sf); previously on Jun 29, 2021 Upgraded to
A2 (sf)

Cl. B-1, Upgraded to Aaa (sf); previously on Jun 29, 2021 Upgraded
to Aa1 (sf)

Cl. B-1-A, Upgraded to Aaa (sf); previously on Jun 29, 2021
Upgraded to Aa1 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 29, 2021 Upgraded
to A1 (sf)

Cl. B-2-A, Upgraded to Aa2 (sf); previously on Jun 29, 2021
Upgraded to A1 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Jun 29, 2021 Upgraded
to Baa1 (sf)

Cl. B-3-A, Upgraded to A3 (sf); previously on Jun 29, 2021 Upgraded
to Baa1 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 29, 2021 Upgraded
to Ba1 (sf)

Issuer: J.P. Morgan Mortgage Trust 2019-INV3

Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 26, 2021 Upgraded
to Aa3 (sf)

Cl. B-2-A, Upgraded to Aa2 (sf); previously on Jul 26, 2021
Upgraded to Aa3 (sf)

Cl. B-3, Upgraded to A1 (sf); previously on Jul 26, 2021 Upgraded
to A3 (sf)

Cl. B-3-A, Upgraded to A1 (sf); previously on Jul 26, 2021 Upgraded
to A3 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 26, 2021 Upgraded
to Ba1 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Jul 26, 2021 Upgraded
to B1 (sf)

Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Jul 26, 2021
Upgraded to B1 (sf)

Issuer: J.P. Morgan Mortgage Trust 2020-INV1

Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 3, 2021 Upgraded
to Aa3 (sf)

Cl. B-2-A, Upgraded to Aa2 (sf); previously on Aug 3, 2021 Upgraded
to Aa3 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Aug 3, 2021 Upgraded to
Baa1 (sf)

Cl. B-3-A, Upgraded to A3 (sf); previously on Aug 3, 2021 Upgraded
to Baa1 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 3, 2021 Upgraded
to Ba1 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 3, 2021 Upgraded
to B1 (sf)

Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Aug 3, 2021 Upgraded
to B1 (sf)

Issuer: J.P. Morgan Mortgage Trust 2020-LTV1

Cl. B-2, Upgraded to Aa1 (sf); previously on Aug 3, 2021 Upgraded
to Aa3 (sf)

Cl. B-2-A, Upgraded to Aa1 (sf); previously on Aug 3, 2021 Upgraded
to Aa3 (sf)

Cl. B-3, Upgraded to A1 (sf); previously on Aug 3, 2021 Upgraded to
A3 (sf)

Cl. B-3-A, Upgraded to A1 (sf); previously on Aug 3, 2021 Upgraded
to A3 (sf)

Cl. B-4, Upgraded to Baa2 (sf); previously on Aug 3, 2021 Upgraded
to Baa3 (sf)

Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 3, 2021 Upgraded
to Ba3 (sf)

Cl. B-5-Y, Upgraded to Ba2 (sf); previously on Aug 3, 2021 Upgraded
to Ba3 (sf)

Issuer: J.P. Morgan Mortgage Trust 2020-LTV2

Cl. A-14, Upgraded to Aaa (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-2*, Upgraded to Aaa (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-4*, Upgraded to Aaa (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-A, Upgraded to Aa1 (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Sep 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 30, 2020
Definitive Rating Assigned A2 (sf)

Cl. B-2-A, Upgraded to Aa2 (sf); previously on Sep 30, 2020
Definitive Rating Assigned A2 (sf)

Cl. B-2-X*, Upgraded to Aa2 (sf); previously on Sep 30, 2020
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Sep 30, 2020 Definitive
Rating Assigned Baa3 (sf)

Cl. B-3-A, Upgraded to A3 (sf); previously on Sep 30, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-3-X*, Upgraded to A3 (sf); previously on Sep 30, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 30, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Sep 30, 2020
Definitive Rating Assigned B3 (sf)

Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Sep 30, 2020
Definitive Rating Assigned B3 (sf)

Cl. B-X*, Upgraded to A1 (sf); previously on Sep 30, 2020
Definitive Rating Assigned Baa1 (sf)

Issuer: Sequoia Mortgage Trust 2017-CH1

Cl. B-3, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-4, Upgraded to Aa3 (sf); previously on Aug 3, 2021 Upgraded
to A1 (sf)

Issuer: Sequoia Mortgage Trust 2017-CH2

Cl. B-3, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH1

Cl. B-2A, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-2B, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-3, Upgraded to Aa1 (sf); previously on Aug 3, 2021 Upgraded
to Aa2 (sf)

Cl. B-4, Upgraded to A1 (sf); previously on Aug 3, 2021 Upgraded to
A2 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH2

Cl. B-2A, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-2B, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-3, Upgraded to Aa1 (sf); previously on Aug 3, 2021 Upgraded
to Aa2 (sf)

Cl. B-4, Upgraded to A1 (sf); previously on Aug 3, 2021 Upgraded to
A3 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH3

Cl. B-3, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-4, Upgraded to A1 (sf); previously on Aug 3, 2021 Upgraded to
A2 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH4

Cl. B-2A, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-2B, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-3, Upgraded to A1 (sf); previously on Aug 3, 2021 Upgraded to
A2 (sf)

Issuer: Sequoia Mortgage Trust 2019-CH1

Cl. B-2A, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-2B, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Aug 3, 2021 Upgraded to
A3 (sf)

Issuer: Sequoia Mortgage Trust 2019-CH2

Cl. B-2A, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa2 (sf)

Cl. B-2B, Upgraded to Aaa (sf); previously on Aug 3, 2021 Upgraded
to Aa2 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Aug 3, 2021 Upgraded to
Baa1 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 3, 2021 Upgraded
to Ba2 (sf)

Issuer: Sequoia Mortgage Trust 2019-CH3

Cl. B-2A, Upgraded to Aa1 (sf); previously on Aug 3, 2021 Upgraded
to Aa2 (sf)

Cl. B-2B, Upgraded to Aa1 (sf); previously on Aug 3, 2021 Upgraded
to Aa2 (sf)

Issuer: Wells Fargo Mortgage Backed Securities 2020-4 Trust

Cl. B-1, Upgraded to Aaa (sf); previously on Jun 30, 2021 Upgraded
to Aa1 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 30, 2021 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Jun 30, 2021 Upgraded
to Baa1 (sf)

Issuer: Wells Fargo Mortgage Backed Securities 2020-RR1 Trust

Cl. B-1, Upgraded to Aaa (sf); previously on Jul 26, 2021 Upgraded
to Aa1 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 26, 2021 Upgraded
to A1 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. In this
transaction, high prepayment rates averaging 35%-65% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

In its analysis, Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. "We increased our
MILAN model-derived median expected losses by 15% and our Aaa
losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak," Moody's said.

Moody's stated, "For transactions where more than 4% of the loans
in pool have been enrolled in payment relief programs for more than
3 months, we further increased the expected loss to account for the
rising risk of potential deferral losses to the subordinate bonds.
We also considered higher adjustments for transactions where more
than 10% of the pool is either currently enrolled or was previously
enrolled in a payment relief program. Specifically, we account for
the marginally increased probability of default for borrowers that
have either been enrolled in a payment relief program for more than
3 months or have already received a loan modification, including a
deferral, since the start of the pandemic.

"We reduced the adjustment to pool losses in instances where the
collateral has demonstrated strong performance since the start of
the pandemic. For transactions where (1) the current proportion of
loans enrolled in payment relief programs is lower than 2.5%, and
(2) the proportion of loans that are cash flowing today but were
previously enrolled in a payment relief program since the start of
the pandemic is lower than 5%, we increase the median expected loss
by 10% and Moody's Aaa loss by 2.5%. The reduced adjustment
reflects the assumption that pools with a higher proportion of
borrowers that continued to make payments throughout the pandemic
are likely to have lower default rates as COVID-19 continues to
decline.

"We estimated the proportion of loans granted payment relief in a
pool based on a review of loan level cashflows. In our analysis, we
considered a loan to be enrolled in a payment relief program if (1)
the loan was not liquidated but took a loss in the reporting period
(to account for loans with monthly deferrals that were reported as
current), or (2) the actual balance of the loan increased in the
reporting period, or (3) the actual balance of the loan remained
unchanged in the last and current reporting period, excluding
interest-only loans and pay ahead loans. Based on our analysis, the
proportion of borrowers that are enrolled in payment relief plans
in the underlying pool ranged between 0.6%-9.7% over the last six
months.

"Given the pervasive financial strains tied to the pandemic,
servicers have been making advances on increased amount of
non-cash-flowing loans, sometimes resulting in interest shortfalls
due to insufficient funds in subsequent periods when such advances
are recouped. We expect such interest shortfalls to be reimbursed
over the next several months.

"All the Sequoia Mortgage Trust transactions feature a structural
deal mechanism that the servicer and the securities administrator
will not advance principal and interest to loans that are 120 days
or more delinquent. The interest distribution amount will be
reduced by the interest accrued on the stop advance mortgage loans
(SAML) and this interest reduction will be allocated reverse
sequentially first to the subordinate bonds, then to the senior
support bond, and then pro-rata among senior bonds. Once a SAML is
liquidated, the net recovery from that loan's liquidation is
allocated first to pay down the loan's outstanding principal amount
and then to repay its accrued interest. The recovered accrued
interest on the loan is used to repay the interest reduction
incurred by the bonds that resulted from that SAML. The elevated
delinquency levels during the coronavirus pandemic has increased
the risk of interest shortfalls due to stop advancing.

"Our updated loss expectations on the pools incorporate, amongst
other factors, our assessment of the representations and warranties
frameworks of the transactions, the due diligence findings of the
third-party reviews received at the time of issuance, and the
strength of the transaction's originators and servicer."

The action has considered how the coronavirus pandemic has reshaped
US economic environment and the way its aftershocks will continue
to reverberate and influence the performance of residential
mortgage loans. Moody's expects the public health situation to
improve as vaccinations against COVID-19 increase and societies
continue to adapt to new protocols. Still, the exit from the
pandemic will likely be bumpy and unpredictable and economic
prospects will vary.

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:

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.

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


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
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then-ending.

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                            *********

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Troubled Company Reporter is a daily newsletter co-published
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Peter A. Chapman, Editors.

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