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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, February 13, 2022, Vol. 26, No. 43

                            Headlines

ACC TRUST 2022-1: Moody's Rates $30.4MM Class D Notes 'B3'
ACRE COMMERCIAL 2021-FL4: DBRS Confirms B(low) Rating on G Notes
AMERICAN CREDIT 2022-1: DBRS Finalizes B Rating on Class F Notes
AMUR EQUIPMENT X: DBRS Finalizes B Rating on Class F Notes
AREIT 2022-CRE6: DBRS Finalizes B(low) Rating on Class G Notes

BBCMS MORTGAGE 2017-C1: DBRS Confirms B Rating on Class X-G Certs
BENCHMARK 2018-B5: DBRS Confirms B Rating on Class G-RR Certs
BIG COMMERCIAL 2022-BIG: Moody's Gives (P)B3 Rating to Cl. F Certs
BINOM SEC 2022-RPL1: Fitch Rates Class B2 Notes 'B-(EXP)'
BRAVO RESIDENTIAL 2022-RPL1: DBRS Gives Prov. B(high) on B2 Notes

BREAN ASSET 2022-RM3: DBRS Finalizes B Rating on Class M5 Notes
BWAY COMMERCIAL 2022-26BW: DBRS Gives Prov. BB(low) on E Certs
BX COMMERCIAL 2018-BIOA: Fitch Affirms B- Rating on 2 Certificates
BX COMMERCIAL 2022-AHP: DBRS Gives Prov. B(low) Rating on F Certs
BX COMMERCIAL 2022-LP2: Moody's Assigns (P)B3 Rating to Cl. F Certs

BX TRUST 2022-VAMF: Moody's Assigns B2 Rating to Cl. F Certificates
CHNGE MORTGAGE 2022-1: DBRS Finalizes B Rating on Class B-2 Certs
CITIGROUP COMMERCIAL 2017-B1: DBRS Confirms B Rating on X-F Certs
CITIGROUP MORTGAGE 2022-INV1: Moody's Rates Class B-5 Certs '(P)B3'
CITIGROUP MORTGAGE 2022-INV1: Moody's Rates Class B-5 Certs 'B3'

CITIGROUP MORTGAGE 2022-J1: DBRS Gives Prov. B Rating on B5 Certs
CITIGROUP MORTGAGE 2022-J1: Fitch Rates B-5 Tranche 'B+'
COMM 2012-CCRE4: Moody's Downgrades Rating on Cl. B Certs to B1
COMM 2022-HC: DBRS Finalizes BB Rating on Class HRR Certs
CONNECTICUT AVE 2022-R02: Fitch Gives B+ Rating to 4 Tranches

CROSSROADS ASSET 2021-A: DBRS Confirms BB Rating on Class E Notes
CSAIL 2019-C16: DBRS Confirms BB Rating on Class F-RR Certs
DEEPHAVEN RESIDENTIAL 2022-1: DBRS Finalizes B Rating on B2 Notes
DENALI CAPITAL XI: Moody's Hikes Rating on $16.4MM D-R Notes to Ba3
ELLINGTON CLO II: Moody's Hikes Rating on $37.5MM D Notes From Ba1

ELLINGTON CLO III: Moody's Ups Rating on $40MM Class E Notes to B3
FLAGSHIP 2022-1: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
FREDDIE MAC 2022-DNA2: S&P Assigns Prelim 'B+' Rating on B-1I Note
GAM RE-REMIC 2022-FRR3: DBRS Gives Prov. B(low) Rating on 7 Classes
GS MORTGAGE 2013-G1: Fitch Affirms B Rating on Class DM Tranche

GS MORTGAGE 2022-LTV1: Moody's Gives (P)B3 Rating to Cl. B-5 Certs
GS MORTGAGE 2022-MM1: Moody's Assigns B3 Rating to Cl. B-5 Certs
HALCYON LOAN 2014-3: Moody's Cuts Ratings on CLO Notes to 'C'
HALCYON LOAN 2015-3: Moody's Cuts $27.5MM D Notes Rating to Caa2
IMPERIAL FUND 2022-NQM1: DBRS Gives Prov. B Rating on B-2 Certs

IVY HILL IX: Fitch Raises Class E-R Notes to 'BB+'
JP MORGAN 2011-C5: Moody's Downgrades Rating on Cl. X-B Certs to C
JP MORGAN 2014-C22: Fitch Lowers Rating on 2 Tranches to 'CC'
JP MORGAN 2021-1440: DBRS Confirms B(low) Rating on Class F Certs
JP MORGAN 2022-1: Fitch Assigns Final B Rating on Cl. B-5 Tranche

JPMBB COMMERCIAL 2014-C25: DBRS Cuts F Cert Rating to CCC
JPMBB COMMERCIAL 2015-C31: DBRS Confirms B Rating on Class E Certs
JPMCC COMM 2017-JP5: Fitch Cuts Rating of Class E-RR Notes to 'CCC'
KKR CLO 27: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
KREF 2022-FL3: DBRS Gives Prov. B(low) Rating on 3 Classes

MELLO MORTGAGE 2022-INV1: DBRS Finalizes B Rating on Cl. B5 Certs
MORGAN STANLEY 2006-TOP23: S&P Lowers Cl. E Notes Rating to D (sf)
MORGAN STANLEY 2022-16: Moody's Gives (P)Ba3 Rating to Cl. E Notes
MRU STUDENT 2008-A: S&P Assigns B- (sf) Rating on Cl. B Notes
NEW RESIDENTIAL 2022-SFR1: DBRS Finalizes B(low) Rating on G Certs

OBX 2022-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes
RATE MORTGAGE 2022-J1: Moody's Assigns B3 Rating to Cl. B-5 Certs
RMF PROPRIETARY 2022-1: DBRS Finalizes BB(low) Rating on M-3 Notes
RR 7: S&P Assigns Preliminary BB- (sf) Rating on Class D-1-B Notes
SCF EQUIPMENT 2022-1: Moody's Assigns (P)B2 Rating to Cl. F Notes

SMRT COMMERCIAL 2022-MINI: Moody's Gives B2 Rating to Cl. F Certs
SOURCE ENERGY: DBRS Confirms CCC Issuer Rating, Trend Stable
SPGN 2022-TFLM: Moody's Assigns (P)Ba1 Rating to Cl. HRR Certs
SUMIT 2022-BVUE: DBRS Finalizes BB(low) Rating on Class F Certs
TRK 2022-INV1: S&P Assigns B (sf) Rating on Class B-2 Certificates

TROPIC CDO II: Fitch Affirms C Rating on 3 Note Classes
UNITED AUTO 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
VERUS 2022-1: S&P Assigns B- (sf) Rating on Class B-2 Notes
WELLS FARGO 2014-LC18: DBRS Confirms B Rating on Class X-F Certs
WELLS FARGO 2015-C28: DBRS Confirms B Rating on Class E Certs

WELLS FARGO 2015-LC20: DBRS Confirms B Rating on Class X-F Certs
WELLS FARGO 2016-LC25: DBRS Confirms B(low) Rating on Cl. G Certs
WELLS FARGO 2017-RB1: Fitch Rates Class F Tranche 'B-'
WFRBS COMERCIAL 2014-LC14: DBRS Confirms B Rating on Class F Certs
WFRBS COMM 2013-C11: Fitch Affirms B- Rating on Class F Certs

WFRBS COMMERCIAL 2012-C10: DBRS Lowers Rating of 3 Classes to CCC
WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on X-C Certs
WIND RIVER 2015-2: Moody's Hikes Rating on $20.5MM E-R Notes to Ba1
[*] Moody's Hikes Ratings on $182.2MM of US RMBS Issued 2005-2006
[*] Moody's Hikes Ratings on $30.6MM of US RMBS Issued 1998-2004

[*] Moody's Takes Actions on $156MM of US RMBS Issued 2003-2007
[*] S&P Places 226 Ratings from 57 US CMBS Deals on Watch Positive
[*] S&P Takes Various Actions on 78 Classes from 13 US RMBS Deals

                            *********

ACC TRUST 2022-1: Moody's Rates $30.4MM Class D Notes 'B3'
----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by ACC Trust 2022-1 (ACC 2022-1). This is the first
auto lease transaction of the year and the sixth overall for RAC
King, LLC (not rated). The notes are backed by a pool of closed-end
retail automobile leases originated by RAC King, LLC. RAC Servicer,
LLC is the servicer and administrator for this transaction.

The complete rating actions are as follows:

Issuer: ACC Trust 2022-1

$110,989,000, 1.19%, Class A Notes, Definitive Rating Assigned A3
(sf)

$28,207,000, 2.55%, Class B Notes, Definitive Rating Assigned Baa1
(sf)

$37,914,000, 3.24%, Class C Notes, Definitive Rating Assigned Ba1
(sf)

$30,437,000, 6.65%, Class D Notes, Definitive Rating Assigned B3
(sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of RAC Servicer, LLC as the
servicer and administrator, and the presence of Computershare Trust
Company, N.A (not rated) as the named backup servicer.

Moody's median cumulative net credit loss expectation is 36%, same
as previous transaction. Moody's based its cumulative net credit
loss expectation on an analysis of the quality of the underlying
collateral; managed portfolio performance; the historical credit
loss of similar collateral; the ability of RAC Servicer, LLC to
perform the servicing functions; and current expectations for the
macroeconomic environment during the life of the transaction.

Moody's also analyzed the residual risk of the pool based on the
exposure to residual value risk; the historical turn-in rate; and
the historical residual value performance.

At closing, the Class A notes, the Class B notes, Class C notes and
the Class D notes benefit from 59.70%, 48.95%, 34.50% and 22.90% of
hard credit enhancement, respectively. Hard credit enhancement for
the notes consists of a combination of overcollateralization, a
non-declining reserve account and subordination, except for the
Class D notes, which do not benefit from subordination. The notes
may also benefit from excess spread.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
September 2021.

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

Up

Moody's could upgrade the subordinate notes if levels of credit
enhancement are higher than necessary to protect investors against
current expectations of portfolio losses. 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 vehicles
securing an obligor's promise of payment. Portfolio losses also
depend greatly on the US job market and the market for used
vehicles. Other reasons for better-than-expected performance
include changes to servicing practices that enhance collections or
refinancing opportunities that result in prepayments.

Down

Moody's could downgrade the notes if levels of credit enhancement
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Portfolio losses also depend greatly on the US
job market and the market for used vehicles. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.


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

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS Morningstar's
expectations since issuance. In conjunction with this press
release, DBRS Morningstar has published a Surveillance Performance
Update report with in-depth analysis and credit metrics for the
transaction and with business plan updates on select loans. To
access this report, please click on the link under Related
Documents below or contact us at info@dbrsmorningstar.com.

The transaction closed in January 2021 with an initial collateral
pool of 23 floating-rate mortgage loans secured by 34 mostly
transitional real estate properties with a cut-off-date pool
balance of approximately $667.2 million, excluding $77.1 million of
future funding commitments. Most loans are in a period of
transition with plans to stabilize and improve asset value. The
transaction is structured with a Permitted Funded Companion
Participation Acquisition Period through the April 2024 Payment
Date whereby the Issuer may acquire Funded Companion Participations
into the trust.

As of the January 2022 remittance, the pool comprises 17 loans
secured by 29 properties with a cumulative trust balance of $522.8
million. Since issuance, six loans have successfully repaid from
the pool, resulting in bond amortization of 18.1%. The Permitted
Funded Companion Participation Acquisition Account has a current
balance of $23.2 million. A total of $52.5 million of loan future
funding remains available to the eight borrowers behind the 17
loans currently in the pool. Prior to the subject transaction's
close, the lender had advanced $63.6 million of future funding to
nine borrowers and, since closing in January 2021, the issuer has
advanced $20.5 million in future funding allowances to those same
borrowers.

In general, borrowers are progressing in their stated business
plans as they are accessing future funding dollars to complete
property capital improvements and fund accretive leasing costs. Of
the remaining $52.5 million, $20.0 million is allocated to the
Exchange loan, which is secured by a 14-building office property in
suburban Charlotte, North Carolina. To date, the borrower has
completed a $31.1 million capital improvement plan with the
remaining loan future funding expected to be primarily used to fund
leasing costs as the property was 66.0% occupied as of October
2021. An additional $18.9 million of future funding is allocated to
the RealOp Southeast Portfolio, which is secured by 23 office
properties throughout four states in the southeastern United
States. Loan future funding continues to be strategically employed
to fund capital improvement and leasing costs across the portfolio
with additional funds available as a potential earnout to the
borrower if debt yield and loan-to-value ratio benchmarks are
achieved.

The transaction is currently concentrated with loans secured by
office properties, totaling four loans and 49.9% of the outstanding
trust balance, including the three largest loans in the
transaction. Additionally, the fourth-largest loan, Promenade on
the Peninsula, representing 8.6% of the current trust balance, is
secured by a mixed-use property with retail and office components.
The transaction does benefit from a concentration of nine loans,
totaling 23.8% of the current trust balance, being secured by
multifamily and self-storage properties, which have generally
reported stable cash flows throughout the pandemic.

As of the January 2021 reporting, four loans, representing 25.5% of
the pool balance, are on the servicer's watchlist. Each loan has
been flagged for a low debt service coverage ratio (DSCR); however,
as these loans are secured by non-stabilized properties, low
in-place DSCRs are sometimes expected and not necessarily
suggestive of increased risks from issuance. The Exchange and
Homewood Suites Redondo Beach loans also have upcoming loan
maturities in Q1 2022 and DBRS Morningstar expects both borrowers
will exercise their remaining extension options.

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



AMERICAN CREDIT 2022-1: DBRS Finalizes B Rating on Class F Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by American Credit Acceptance Receivables
Trust 2022-1 (ACAR 2022-1 or the Issuer):

-- $253,000,000 Class A Notes at AAA (sf)
-- $71,870,000 Class B Notes at AA (sf)
-- $74,180,000 Class C Notes at A (sf)
-- $68,420,000 Class D Notes at BBB (sf)
-- $53,760,000 Class E Notes at BB (sf)
-- $22,140,000 Class F Notes at B (sf)

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

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

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

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

(2) ACAR 2022-1 provides for Class A, B, C, D, and E coverage
multiples slightly below the DBRS Morningstar range of multiples
set forth in the criteria for this asset class. DBRS Morningstar
believes that this is warranted, given the magnitude of expected
loss and structural features of the transaction.

(3) The DBRS Morningstar CNL assumption is 29.00% based on the
expected cut-off date pool composition.

(4) 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 pandemic scenarios, which were
first published in April 2020. The baseline macroeconomic scenarios
reflect the view that recent pandemic-related 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.

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

-- The ACA senior management team has considerable experience,
with an approximate average of 17 years in banking, finance, and
auto finance companies as well as an average of approximately nine
years of company tenure.

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

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

-- ACA has completed 37 securitizations since 2011, including four
transactions in 2020 and four in 2021.

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

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

-- Availability of considerable historical performance data and a
history of consistent performance on the ACA portfolio.

-- The statistical pool characteristics include the following: the
pool is seasoned by approximately one month and contains ACA
originations from Q3 2016 through Q4 2021, the weighted-average
(WA) remaining term of the collateral pool is approximately 70
months, and the WA FICO score of the pool is 547.

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

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

(10) ACAR 2022-1 provides for the Class F Notes with an assigned
rating of B (sf). While the DBRS Morningstar "Rating U.S. Retail
Auto Loan Securitizations" methodology does not set forth a range
of multiples for this asset class for the B (sf) level, the
analytical approach for this rating level is consistent with that
contemplated by the methodology. The typical range of multiples
applied in the DBRS Morningstar stress analysis for a B (sf) rating
is 1.00 times (x) to 1.25x.

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

The ACAR 2022-1 transaction represents the 38th securitization
completed by ACA since 2011 and offers both senior and subordinate
rated securities. The receivables securitized in ACAR 2022-1 are
subprime automobile loan contracts secured primarily by used
automobiles, light-duty trucks, vans, motorcycles, and minivans.

The rating on the Class A Notes reflects 57.00% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the reserve fund (1.00% as a percentage of the initial collateral
balance), and OC (5.50% of the total pool balance). The ratings on
the Class B, Class C, Class D, Class E, and Class F Notes reflect
44.50%, 31.60%, 19.70%, 10.35%, and 6.50% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.

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



AMUR EQUIPMENT X: DBRS Finalizes B Rating on Class F Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of equipment contract backed notes issued by Amur Equipment
Finance Receivables X LLC (the Issuer):

-- $61,537,000 Series 2022-1, Class A-1 Notes at R-1 (high) (sf)
-- $330,235,000 Series 2022-1, Class A-2 Notes at AAA (sf)
-- $23,847,000 Series 2022-1, Class B Notes at AA (sf)
-- $16,797,000 Series 2022-1, Class C Notes at A (sf)
-- $25,092,000 Series 2022-1, Class D Notes at BBB (sf)
-- $15,656,000 Series 2022-1, Class E Notes at BB (sf)
-- $10,524,000 Series 2022-1, Class F Notes at B (sf)

The ratings are based on DBRS Morningstar's review of 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.

-- Expected cumulative net loss (CNL) of 4.85% used by DBRS
Morningstar in its cash flow scenarios was estimated using Amur
Equipment Finance's (Amur) actual performance data and accounting
for the expected Asset Pool's equipment mix. DBRS Morningstar's CNL
assumption does not incorporate additional stress for potential
negative impact resulting from the coronavirus pandemic.

-- Transaction capital structure, ratings, and sufficiency of
available credit enhancement, which includes overcollateralization
(OC), subordination, and amounts held in the Reserve Account to
support the CNL assumption projected by DBRS Morningstar under
various stressed cash flow scenarios.

-- The rating on the Class A-1 Notes reflects 89.3% of initial
hard credit enhancement (as a percentage of the collateral balance)
provided by the subordinated notes (81.4%), the Reserve Account
(1.2%), and OC (6.7%). The rating on the Class A-2 Notes reflects
25.6% of initial hard credit enhancement provided by the
subordinated notes (17.7%), the Reserve Account, and OC. The
ratings on the Class B, Class C, Class D, Class E, and Class F
Notes reflect 21.0%, 17.8%, 12.9%, 9.9%, and 7.9% of initial hard
credit enhancement, respectively.

-- The concentration limits mitigating the risk of material
migration in the collateral pool's composition during the
three-month prefunding period.

-- The capabilities of Amur, a commercial finance company
providing equipment financing solutions to a broad range of small
to medium-size businesses across all 50 U.S. states with regard to
originations, underwriting, and servicing. DBRS Morningstar
performed an operational review of Amur and continues to deem the
company an acceptable originator and servicer of equipment lease
and loan financing contracts. In addition, UMB Bank, N.A, will be
the backup servicer for the transaction.

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

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



AREIT 2022-CRE6: DBRS Finalizes B(low) Rating on Class G Notes
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by AREIT 2022-CRE6 Ltd:

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

All trends are Stable.

The collateral consists of 34 floating-rate mortgage loans secured
by 37 real estate properties with a cut-off balance totalling
$893.1 million, excluding approximately $116 million in remaining
future funding commitments, which the Issuer may acquire in the
future. The transaction is a static vehicle, with no delayed-close
assets or reinvestment period (with no right to acquire
unidentified assets other than the funded future funding companion
participations). The loans are mostly secured by cash-flowing
assets, many of which are in a period of transition with plans to
stabilize and improve the asset value. In total, 28 loans,
representing 81.6% of the pool, have remaining future funding
participations.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is NCF, 30
loans, representing 87.5% of the initial pool balance, had a DBRS
Morningstar As-Is DSCR of 1.0x or below, a threshold indicative of
default risk. By contrast, 13 loans had a DBRS Morningstar
Stabilized DSCR below 1.0x. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other loan structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets to
stabilize above market levels.

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



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

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

All trends are Stable.

The confirmations reflect the overall stable performance of the
transaction since the last rating action. At issuance, the trust
comprised 58 fixed-rate loans secured by 75 commercial and
multifamily properties with an original balance of $855.7 million.
As of the January 2022 remittance report, there are 54 loans in the
pool collateralized by 68 properties, with a collateral reduction
of 5.7% as a result of scheduled amortization and payoffs. Two
loans, consisting of 0.9% of the outstanding pool balance, are
defeased. There is notable concentration by property type in this
transaction as nine loans, comprising 41.0% of the outstanding
pool, are collateralized by office properties while 24.0% of the
pool is backed by retail properties and 15.2% is backed by
hospitality properties.

There are three loans in special servicing (4.8% of the current
pool balance). The largest loan in special servicing, Anaheim
Marriott Suites loan (Prospectus ID#9, 3.2% of the pool), is
secured by a hotel located near Disneyland and has been in default
since Q2 2020. The servicer's updates regarding the status of the
loan workout have been minimal, but it appears discussions
surrounding a loan modification stalled sometime in early 2021 and
the servicer is dual-tracking foreclosure options while continuing
discussions with the borrower and a third-party consultant engaged
by the borrower. Updated appraisals were obtained in both 2020 and
2021; both showed value just below the whole loan balance, and
approximately 70% of the issuance valuation. Given the extended
delinquency and value decline from issuance, DBRS Morningstar
believes a relatively moderate loss could be realized at
resolution. In addition, since DBRS Morningstar's last review of
this transaction, two specially serviced loans, Wolfchase Galleria
(Prospectus ID#28) and Franklin Village Shopping Center (Prospectus
ID#29), returned to the master servicer.

There are 16 loans (32.5% of the current pool balance) on the
servicer's watchlist. These loans are being monitored for a variety
of reasons, including debt coverage and performance declines as a
result of ongoing difficulties caused by the Coronavirus Disease
(COVID-19) pandemic.

The largest loan on the servicer's watchlist, 1000 Denny Way
(Prospectus ID#3, 6.9% of the pool), is secured by a Class B office
building totaling 262,565 square feet (sf) in Seattle. The loan is
being monitored on the servicer's watchlist after the property's
former largest tenant, The Seattle Times (59.7% of the net rentable
area (NRA)), downsized its space by 108,561 sf as part of its
January 2021 renewal, decreasing occupancy to 63% as of the June
2021 rent roll. The tenant now leases 47,424 sf (18.1% of NRA)
through 2026. A portion of the space was backfilled by Best Buy,
which previously subleased 32,500 sf (12.4% of NRA) of space. Best
Buy executed a direct lease through 2026. Mitigating these concerns
is the potential for increases in revenue as The Seattle Times's
base rent of $19.71/per (psf) is well below the current asking
rents of $44.15/psf, per Reis.

While not on the servicer's watchlist, DBRS Morningstar is
monitoring the pool's largest loan, Alhambra Towers (Prospectus
ID#1, 7.5% of the pool). The loan is secured by a 174,250-sf office
property within the central business district (CBD) of Coral
Gables, Florida. The property's occupancy decreased to 74.3% after
its former largest tenant, AerSale (15.7% of NRA), vacated upon its
November 2021 lease expiration. However, according to the borrower
a former subtenant of AerSale, which was subleasing 3.2% of the
NRA, executed a direct lease through 2026. In addition, the
borrower is negotiating with a potential tenant to backfill the
remaining space. Furthermore, there is potential for an uptick in
cash flow as AerSale's base rent of $40.57/psf was slightly lower
current asking rents of $43.65/psf, per Reis.

At issuance, an investment-grade shadow rating was assigned to two
loans in Prospectus ID#5, Merrill Lynch Drive (5.1% of the current
trust balance) and Prospectus ID#11, State Farm Data Center (3.1%
of the current trust balance). With this review, DBRS Morningstar
confirmed that the performance of these loans remains consistent
with the characteristics of an investment-grade loan.

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



BENCHMARK 2018-B5: DBRS Confirms B Rating on Class G-RR Certs
-------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-B5 issued by Benchmark
2018-B5 Mortgage Trust as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since last review, despite more recent challenges
that have generally been driven by the effects of the Coronavirus
Disease (COVID-19) pandemic. At issuance, the transaction consisted
of 55 fixed-rate loans secured by 219 commercial and multifamily
properties, with a trust balance of $1.04 billion. According to the
December 2021 remittance report, all 55 loans remain within the
transaction, with no losses to date. Collateral reduction as a
result of scheduled amortization has been minimal with a 1.3%
decrease since issuance, lowering the trust balance to $1.03
billion.

The transaction is concentrated with loans backed by retail,
office, and lodging property types, representing 33.9%, 26.0%, and
16.2% of the current trust balance, respectively. According to the
December 2021 remittance report, three loans are in special
servicing. There are 16 loans, representing 22.3% of the current
trust balance, on the servicer's watchlist. These loans are on the
watchlist for a variety of reasons, including low debt service
coverage ratios (DSCRs), low occupancy, and tenant rollover
concerns. However, the primary drivers are lodging and retail
properties, which continue to suffer from sustained downward
pressure on operational performance as a result of ongoing
disruptions related to the pandemic. Where applicable, DBRS
Morningstar applied probability of default adjustments to reflect
the individual risk profile of underlying loans.

The largest loan on the servicer's watchlist, Renaissance Tampa
International Plaza Hotel (Prospectus ID#5; 4.3% of the pool), is
secured by the borrower's leasehold interest in a 293-key
full-service hotel in Tampa. A ground lease extends through 2080.
The loan was added to the servicer's watchlist in December 2020 as
a result of declining performance, caused primarily by
coronavirus-related restrictions. The financials for the trailing
12 months ended September 30, 2021, indicate a marginal improvement
in occupancy and DSCR to 49.80% and 0.91 times (x), as compared
with YE2020 figures of 40.2% and 0.08x, respectively. In addition,
the servicer noted that the borrower would begin remitting deferred
furniture, fixtures, and equipment reserve payments over a period
of 12 months beginning in January 2022. Although the subject
benefits from its location and proximity to two major demand
drivers in the Tampa International Airport and the 1.2
million-square-foot (sf) International Plaza shopping Centre, DBRS
Morningstar expects performance to remain subdued over the near to
moderate term because of uncertainty surrounding the resumption of
corporate and leisure travel. Moreover, the loan's weak sponsorship
is a concern. Should cash flow remain depressed, the sponsor's
commitment to the asset could be challenged.

The largest specially serviced loan, NY & CT NNN Portfolio
(Prospectus ID#2; 5.6% of the pool), is secured by a
cross-collateralized portfolio of nine retail properties totalling
70,333 sf across the greater New York metro area. The loan has been
delinquent several times since October 2019, most recently
transferring to the special servicer in August 2020 for payment
default and failure to abide by cash management provisions. The
lender and borrower subsequently met for two settlement conferences
with a magistrate judge in September 2021 and October 2021, but no
settlement was reached at either meeting. March 2021 financials
indicate a portfolio occupancy of 100% with a DSCR of 1.08x, a
reduction from the YE2020 DSCR of 1.18x. As of the December 2021
remittance, the loan remained current. Although historical payment
defaults and delinquency are indicative of increased risks for this
loan, DBRS Morningstar notes a primary mitigating factor in the
roughly 83.5% of the portfolio's total net rentable area that is
leased to investment-grade-rated tenants including Bank of America,
TD Bank, JPMorgan Chase, Walgreens, and CVS. As such, recent
payment defaults appear to be sponsor-related, rather than a
performance-driven issue.

The second-largest specially serviced loan, Valley Mack Plaza
(Prospectus ID#25; 1.3% of the pool), is secured by a 126,493-sf
shopping center in Sacramento, California. The loan transferred to
the special servicer in June 2020 with the borrower negotiating a
potential loan modification, but the special servicer notes that
all other remedies will be tracked as well. According to the June
2021 financial reporting, the property is operating at capacity
with 100% occupancy. Nonetheless, the DSCR is depressed at 0.93x,
lower than both YE2019 and YE2020 figures of 1.53x and 1.02x,
respectively. There is minimal tenant rollover in the next year,
suggesting that the occupancy rate should remain stable through the
near term. Despite the high occupancy rate, the loan has remained
delinquent and in special servicing for an extended period of time.
In addition, a November 2020 appraisal obtained by the special
servicer showed an as-is value of $11.0 million, down from $19.0
million at issuance and below the trust exposure for this loan.
Given these increased risks, DBRS Morningstar assumed a liquidation
scenario for the loan based on a haircut to the most recent
appraised value, which resulted in a loss severity of approximately
42%.

At issuance, DBRS Morningstar shadow-rated five loans—Aventura
Mall (Prospectus ID#1; 10.0% of the pool), eBay North First Commons
(Prospectus ID#3; 5.0% of the pool), Workspace (Prospectus ID#4;
4.9% of the pool), Aon Center (Prospectus ID#7; 4.2% of the pool),
and 181 Fremont Street (Prospectus ID#8; 3.9% of the pool)—as
investment grade, supported by the loans' strong credit metrics,
strong sponsorship strength, and historically stable collateral
performance. With this review, DBRS Morningstar confirms that the
characteristics of these loans remain consistent with the
investment-grade shadow ratings.

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



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

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 interests
in 39 primarily industrial properties located across 18 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 7,593,169 SF of aggregate net
rentable area (NRA) across the following six property subtypes -
Warehouse/Distribution (20 properties; 70.1% of NRA), Light
Manufacturing (12; 22.2%), Manufacturing (2; 4.4%), Flex/Office (2;
1.3%), General Industrial (2; 1.5%) and R&D/Flex (1; 0.5%). The
portfolio is geographically diverse as the properties are located
across 18 states and 27 markets. The top five market concentrations
by net rentable area are Minneapolis (1 property, 15.7% of NRA),
Chicago (4, 14.3%), Roanoke (2; 9.2%), Jacksonville (2, 8.6%) and
Cleveland (3; 4.7%). Only 22.2% of the properties are located in
global gateway markets, generally situated within close proximity
to major transportation arteries and population density.

Construction dates for properties in the portfolio range between
1948 and 2016, with a weighted average year built of 1983 (average
age of 39 years). Property sizes for assets range between 32,688 SF
and 1,190,400 SF, with an average size of approximately 115,348 SF.
Clear heights for properties range between 12 feet and 38 feet,
with a weighted average maximum clear height for the portfolio of
approximately 27.2 feet. As of January 1, 2022, the portfolio was
approximately 97.4% leased to 28 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 2.34x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.68x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 138.4% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 120.0% 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: the geographic
diversity, strong occupancy, long term tenancy and recapitalization
financing

Notable concerns of the transaction include: the asset quality and
functionality, lack of historical operating performance, low
population demos, floating-rate/interest-only mortgage loan profile
and certain credit negative legal features.

The principal methodology used in these ratings 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
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

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

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


BINOM SEC 2022-RPL1: Fitch Rates Class B2 Notes 'B-(EXP)'
---------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by BINOM Securitization Trust 2022-RPL1 (BINOM
2022-RPL1).

DEBT               RATING
----               ------
BINOM 2022-RPL1

A1     LT AAA(EXP)sf   Expected Rating
M1     LT AA-(EXP)sf   Expected Rating
M2     LT A-(EXP)sf    Expected Rating
M3     LT BBB(EXP)sf   Expected Rating
B1     LT BB(EXP)sf    Expected Rating
B2     LT B-(EXP)sf    Expected Rating
B3     LT NR(EXP)sf    Expected Rating
X      LT NR(EXP)sf    Expected Rating
XS1    LT NR(EXP)sf    Expected Rating
XS2    LT NR(EXP)sf    Expected Rating
AIOS   LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The transaction is expected to close on Feb. 11, 2022. The notes
are supported by one collateral group that consists of 1,887
seasoned performing loans (SPLs) and re-performing loans (RPLs)
with a total balance of approximately $310 million, including
roughly $41 million in deferred balances.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The 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 10.7% 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 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.

RPL Credit Quality and Distressed Performance History (Negative):
The pool is 94.0% current and 6.0% DQ as of the cut-off date. Over
the past two years 4.9% of loans have been clean current for at
least two years. Of the dirty current portion (delinquency within
the past two years) more than 75% have paid on time for more than
12 months. Additionally, 94.8% of loans have a prior modification.
The borrowers have a weak credit profile (661 Fitch Model FICO and
45% Fitch Model DTI) and low leverage (61% sLTV). The pool consists
of 91.4% of loans where the borrower maintains a primary residence,
while roughly 8.6% are investment properties or second home (or an
unknown occupancy treated as investor).

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

No Servicer P&I Advances (Mixed): The servicers 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 'AA-sf' rated classes.

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 MSA 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 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.

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 classes excluding
    those being assigned ratings of 'AAAsf'.

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

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. The third-party due diligence described in
Form 15E focused on a regulatory compliance review that covered
applicable federal, state and local high-cost loan and/or
anti-predatory laws, as well as the Truth In Lending Act (TILA) and
Real Estate Settlement Procedures Act (RESPA). The scope was
consistent with published Fitch criteria for due diligence on RPL
RMBS.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustment(s) to its analysis:

162 of reviewed loans, or approximately 8.6% of the review sample,
received a final compliance grade of 'C'-'D' as the loan file did
not have a final HUD-1. The absence of a final HUD-1 file does not
allow the TPR firm to properly test for compliance surrounding
predatory lending in which statute of limitations does not apply.
These regulations may expose the trust to potential assignee
liability in the future and create added risk for bond investors.
26 of these loans were able to be tested based on an estimated
HUD-1 and found to be in compliance with all applicable laws. For
the 136 that were not able to be tested, these loans received
either a 5% loss severity increase or 100% loss severity depending
on whether or not the loan was located in a state on Freddie Mac's
'Do Not Purchase' list.

Fitch also applied an adjustment on nine loans that had missing
modification agreements. Each loan received a three month
foreclosure timeline extension to represent a delay in the event of
liquidation as a result of these files not being present.

Fitch adjusted its loss expectation at the 'AAAsf' by less than 50
bps to reflect both missing final HUD-1 files and modification
agreements.

Further, Fitch added the aggregate amount of unpaid taxes or
outstanding liens to its projected loss severity which was equal to
about 65bps at the 'AAAsf' rating stress.

ESG CONSIDERATIONS

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


BRAVO RESIDENTIAL 2022-RPL1: DBRS Gives Prov. B(high) on B2 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2022-RPL1 (the Notes) to be issued by
BRAVO Residential Funding Trust 2022-RPL1 (the Trust):

-- $272.3 million Class A-1 at AAA (sf)
-- $27.8 million Class A-2 at AA (high) (sf)
-- $300.1 million Class A-3 at AA (high) (sf)
-- $322.5 million Class A-4 at A (high) (sf)
-- $342.8 million Class A-5 at BBB (sf)
-- $22.4 million Class M-1 at A (high) (sf)
-- $20.3 million Class M-2 at BBB (sf)
-- $15.3 million Class B-1 at BB (high) (sf)
-- $12.0 million Class B-2 at B (high) (sf)

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

The AAA (sf) rating on the Class A-1 Notes reflects 34.25% of
credit enhancement provided by subordinated notes. The AA (high)
(sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (high) (sf)
ratings reflect 27.55%, 22.15%, 17.25%, 13.55%, and 10.65% of
credit enhancement, respectively.

This transaction is a securitization of a portfolio of seasoned
reperforming, first-lien, residential mortgages funded by the
issuance of the Notes. The Notes are backed by 2,233 loans with a
total principal balance of $414,216,726 as of the Cut-Off Date
(December 31, 2021).

The portfolio is approximately 187 months seasoned on a
weighted-average basis and contains 93.1% modified loans. The
modifications happened more than two years ago for 92.1% of the
modified loans. Within the pool, 1,356 mortgages have
non-interest-bearing deferred amounts, which equate to
approximately 10.7% of the total principal balance.

As of the Cut-Off Date, 90.0% of the pool is current, including 63
or 2.3% active bankruptcy loans, and 10.0% is 30 days delinquent,
including 14 or 0.5% active bankruptcy loans under the Mortgage
Bankers Association (MBA) delinquency method. Approximately 37.1%,
59.2%, and 78.4% of the mortgage loans by balance have been current
for the past 24, 12, and six months, respectively, under the MBA
delinquency method.

The majority of the pool (99.9%) is not subject to the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. The remaining 0.1% of the pool may be subject
to the ATR rules, but a designation was not provided. As such, DBRS
Morningstar assumed these loans to be non-QM in its analysis.

PIF Residential Funding II Ltd (the Depositor), an affiliate of
Loan Funding Structure III LLC (the Sponsor), will acquire the
loans and will contribute them to the Trust. The Sponsor or one of
its majority-owned affiliates will acquire and retain a 5% eligible
vertical interest in the offered Notes, consisting of 5% of each
class to satisfy the credit risk retention requirements.

Rushmore Loan Management Services LLC will service the mortgage
loans. For this transaction, the aggregate servicing fee paid from
the Trust will be 0.25%.

There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances in
respect of homeowner's association fees, taxes, and insurance as
well as reasonable costs and expenses incurred in the course of
servicing and disposing of properties.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-Off Date, the holder of the Trust
certificates may purchase all of the mortgage loans and real estate
owned (REO) properties from the Issuer at a price equal to the sum
of principal balance of the mortgage loans; accrued and unpaid
interest thereon; the fair market value of REO properties net of
liquidation expenses; unpaid servicing advances; and any fees,
expenses, or other amounts owed to the transaction parties
(optional termination).

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M-1
and more subordinate bonds will not be paid from principal proceeds
until the Class A-1 and A-2 Notes are retired.

Coronavirus Pandemic and Forbearance

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an 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, 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.



BREAN ASSET 2022-RM3: DBRS Finalizes B Rating on Class M5 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2022-RM3, issued by Brean Asset-Backed
Securities Trust 2022-RM3:

-- $206.6 million Class A at AAA (sf)
-- $4.7 million Class M1 at AA (sf)
-- $4.9 million Class M2 at A (sf)
-- $3.8 million Class M3 at BBB (sf)
-- $3.9 million Class M4 at BB (sf)
-- $4.0 million Class M5 at B (sf)

The AAA (sf) rating reflects 110.6% of cumulative advance rate. The
AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
113.2%, 115.8%, 117.8%, 119.9%, and 122.1% of cumulative advance
rates, respectively.

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

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

As of the January 1, 2022, cut-off date, the collateral has
approximately $186.7 million in current unpaid principal balance
from 178 active and one called due, nonrecourse, fixed-rate jumbo
reverse mortgage loans secured by first liens on single-family
residential properties, condominiums, townhomes, and multifamily
(two- to four-family) properties. The loans were originated in
2021. All loans in this pool have a fixed interest rate with a
6.402% weighted average coupon.

The transaction uses a structure in which cash distributions are
made sequentially to each rated note until the rated amounts with
respect to such notes are paid off. No subordinate note shall
receive any payments until the balance of senior notes has been
reduced to zero. Interest is capitalized to the note, and the
senior notes will accrue cap carryover for any interest
shortfalls.

The note rate for the Class A Notes will reduce to 0.25% if the
Home Price Percentage (as measured using the S&P CoreLogic
Case-Shiller National Index) declines by 30% or more compared with
the value on the cut-off date.

If the notes are not paid in full or redeemed by the Issuer on
January 2028, the Expected Repayment Date, the Issuer will be
required to conduct an auction within 180 calendar days of the
Expected Repayment Date to offer all the mortgage assets and use
the proceeds, net of fees and expenses because of auctions, to be
applied to payments to all amounts owed. If the proceeds of the
auction are not sufficient to cover all the amounts owed, the
Issuer will be required to conduct an auction within six months of
the previous auction.

If, during any six-month period, the average one-month conditional
prepayment rate is equal to or greater than 25%, then on such date,
50% of available funds remaining after payment of fees and expenses
and interest to the Class A Notes will be deposited into the
Refunding Account, which may be used to purchase additional
mortgage loans.

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



BWAY COMMERCIAL 2022-26BW: DBRS Gives Prov. BB(low) on E Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-26BW to
be issued by BWAY Commercial Mortgage Trust 2022-26BW:

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

All trends are Stable.

The collateral for the BWAY Commercial Mortgage Trust 2022-26BW
transaction consists of a 29-story, 839,712-square-foot (sf) office
building in the Financial District of Manhattan, New York. It is
located on Broadway Avenue across from Bowling Green and the
well-known Charging Bull statue. The property has good access to
transit with the 1, 2, 3, 4, 5, J, and Z subway lines in close
proximity; the PATH station at World Trade Center and ferry stops
at Battery Park are also nearby. The property includes 18,960 sf of
street-level retail space. The property was built in 1885 for
Standard Oil of New York with the tower added in 1926; it is now
leased to 44 tenants.

The property is a generally stable asset that is 82.2% leased with
credit tenants accounting for more than 40.0% of the rentable
square footage. The New York City Department of Education occupies
288,090 sf (34.3% of the net rentable area) and was granted
long-term credit tenant treatment in the DBRS Morningstar Net Cash
Flow (NCF) for its leases that expire in 2039 and 2041. Other
tenants with investment-grade credit include the New York State
Court of Claims (the Court of Claims), HSBC Bank, and Cornell
University. No other tenant accounts for more than 9.0% of the
space at the property. The remaining tenants include law, media,
education, and technology firms. The rollover for only one year,
2027, accounts for more than 10% of lease rollover in any single
year, and only 46.8% of the space expires during the loan term.

DBRS Morningstar expresses some concern related to a coworking
tenant, Live Primary LLC (Live Primary). The company is a small
operator in New York with limited scale and it filed for federal
bankruptcy protection in 2020, although it is not in bankruptcy
anymore. The tenant remains at the property under reduced rent
through 2023. The coworking environment continues to be competitive
with major players consolidating and aligning with brokerage firms
to improve tenancy, which may pressure smaller operators. At the
same time, the uncertainty of return to office plans following the
Coronavirus Disease (COVID-19) pandemic complicates the future
prospects for the coworking industry in general as contracts come
up for renewal. Finally, DBRS Morningstar views coworking space
with concern because the customized build-outs that were common
prior to the pandemic may require additional cost to tear down in
order to backfill spaces with conventional office tenants. To
account for these risks, the DBRS Morningstar NCF includes elevated
tenant improvement (TI) assumptions of $100.00 per sf (psf) for new
space and $50.00 psf for renewal space versus $60.00 psf and $30.00
psf for conventional tenants. DBRS Morningstar also employed a
renewal probability of 50% against the more standard assumption of
65%. The loan is structured with a Live Primary Rent Replication
Reserve of $1.15 million to the difference between the reduced Live
Primary rent through March 31, 2023, and the rent payable after
April 1, 2023.

The long-term effects of the coronavirus pandemic on office
buildings remain unclear; however, DBRS Morningstar believes that
CBD office markets may experience a flight to quality as the dust
settles on the disruption of the past two years. The ability of
older buildings to retain tenants may be limited to those seeking
the lowest cost of occupancy in the market. At the same time,
operating expenses continue to increase and environmental
regulations may put additional margin pressure on older assets. The
loan was structured with a $1.5 million capital expenditure (capex)
reserve to address the physical needs of the property.

The Court of Claims is on a month-to-month lease pending renewal of
its long-term lease, which is expected to have an expiration date
in September 2031, just prior to loan maturity. Should this tenant
vacate at expiration, the borrower could face hurdles to a
cash-neutral refinancing. The loan is structured with a $31.0
million upfront reserve for the Court of Claims lease to be
released upon its lease renewal, or leasing of the space to an
acceptable replacement tenant(s). After 60 days, the release of
funds from the reserve will be subject to a 6.7% debt yield test.
If the space is not leased after five years, then the remaining
balance of the reserve would be used to pay down the mortgage loan
balance. The loan is also structured with a cash flow sweep in the
event that the tenant goes dark or fails to execute a lease
renewal.

Overall, the cash flow over the loan term is expected to be stable
given the good in-place tenancy. While the vacancy is elevated,
DBRS Morningstar concluded to the in-place occupancy with no upside
in cash flow. There are risks related to the coworking tenant and
surrounding the lease of the Court of Claims; however, DBRS
Morningstar believes that adjustments to cash flow and the upfront
reserves are partially mitigating factors.

The Financial District in Manhattan is accessible to major transit
nodes and continues to draw interest from tenants. The Federal
Courthouse and the New York courts are less than a mile away and
act as a demand driver for law firms seeking proximity to the
courthouses. The vacancy rate in the Reis Downtown submarket was
modest at 10.8% and was stable through the coronavirus pandemic.

More than 51% of the space is leased to tenants with
investment-grade characteristics, including the New York City
Department of Education, which occupies 34.3% of the space under
two leases that will expire in 2039 and 2041, although the tenant
has termination rights in 2029 and 2031. Less than half of the
space will roll during the loan term and the roll is well dispersed
with only one year having more than 10% roll.

Chetrit Group is a New York-based real estate investment company
that operates more than 14 million sf of office space, the majority
of which is in New York City. Since acquiring the property in 2007,
the sponsor has spent $54.7 million in capex and TIs at the
property.

The second-largest tenant is a coworking operator with a prior
bankruptcy filing. The future of coworking operators (in
particular, smaller locally based operators) remains risky over the
near term. The Court of Claims has a lease the expires shortly
before the loan maturity date. It is likely that the borrower will
need to secure a renewal of this tenant as it seeks to refinance
the loan. DBRS Morningstar reduced the renewal probability and
increased the concluded TI assumption for the coworking tenant,
which has the effect of reducing the DBRS Morningstar NCF. The loan
is also structured with a rent replication reserve for the Live
Primary lease. With regard to the Court of Claims, the loan is
structured with an upfront reserve and cash flow sweeps that will
hold cash which may be used to renew or replace the tenant.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types,
creating an element of uncertainty around future demand for office
space.

The DBRS Morningstar LTV on the $290.0 million first mortgage is
high at 124.5%. In addition, the property is encumbered by a $40.0
million mezzanine loan, which increases the DBRS Morningstar total
debt-to-LTV to 141.7%. In order to account for the high leverage
and additional financing, DBRS Morningstar programmatically reduced
its LTV benchmark targets for the transaction by 3.0% across the
capital structure.

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



BX COMMERCIAL 2018-BIOA: Fitch Affirms B- Rating on 2 Certificates
------------------------------------------------------------------
Fitch Ratings has affirmed BX Commercial Mortgage Trust 2018-BIOA
Commercial Mortgage Pass-Through Certificates, Series 2018-BIOA.
The Rating Outlooks on four classes have been revised to Positive
from Stable.

   DEBT              RATING            PRIOR
   ----              ------            -----
BX Commercial Mortgage Trust 2018-BIOA

A 056057AA0     LT AAAsf   Affirmed    AAAsf
B 056057AG7     LT AA-sf   Affirmed    AA-sf
C 056057AJ1     LT A-sf    Affirmed    A-sf
D 056057AL6     LT BBB-sf  Affirmed    BBB-sf
E 056057AN2     LT BB-sf   Affirmed    BB-sf
F 056057AQ5     LT B-sf    Affirmed    B-sf
HRR 056057AS1   LT B-sf    Affirmed    B-sf

KEY RATING DRIVERS

Improved Performance: The affirmations and Positive Outlooks
reflect the improved performance of the underlying pool and
potential for upgrades with sustained current performance. Both net
cash flow (NCF) and occupancy have improved since the last rating
action and from issuance.

The TTM September 2021 servicer reported NCF increased 18% above
the issuer's NCF at issuance due to increased rents, free rent
periods expiring, and increased occupancy. As of September 2021,
occupancy was 97.8% compared with 95% at the last rating action and
94% at issuance. Approximately 7.2% of the NRA is scheduled to roll
in 2022. Per the servicer, the TTM Sept. 2021 trust NCF debt
service coverage ratio was 9.43x.

In December 2021, four office properties were released from the
collateral which resulted in 3.2% pro rata paydown of the bonds.
The Fitch NCF of $136.0 million is based on the rental income
reported on the September 2021 rent roll and the TTM ended
September 2021 servicer reported expenses net of the four released
properties.

Stable Credit Enhancement: Based on the transaction's payment
structure, property releases result in pure pro rata paydown of the
bonds up to 25% of the original transaction balance. Four
properties (3.2% of the original pool balance) were released at
105% of the properties' allocated loan balance.

High-Quality Assets in Strong Locations: The portfolio at issuance
was collateralized by 26 lab office properties and one multifamily
property located in highly desirable and in-fill life science
submarkets with a total of approximately 4.1 million sf, which now
totals 3.9 million sf after the releases. The portfolio properties
are located in three different states and four distinct markets.
The largest individual state concentration is California with 56.9%
by allocated loan amount net of the releases.

The California exposure is split between the San Diego (23%) and
San Francisco (34%) markets. Additionally, 39% of allocated loan
amount is derived from properties located in the Cambridge area of
Boston. The portfolio received a weighted average (WA) Fitch
property quality grade of 'A−'/'B+' and 91% (as a percentage of
original allocated loan amount) of the properties were built or
renovated since 2000.

Limited Structural Features and Interest Only: Ongoing reserves for
taxes, insurance, ground rent and leasing costs will only be
collected during a cash sweep period triggered by an event of
default, a bankruptcy of the borrower or the debt yield falling
below 6.5% (6.75% during the fourth extension option and 7.00%
during the fifth extension option). In addition, the loan was
structured as interest only during its entire term.

The loan is currently in its second extension period, which will
mature in March 2022 and the borrower is expected to extend
maturity for another year. The excess cash flow sweep may be
substituted by a guaranty from the guarantor (BRE Edison Holdings,
L.P.).

Institutional Sponsorship: The loan is sponsored by Blackstone Real
Estate Partners VIII L.P., which is owned by affiliates of the
Blackstone Group, L.P. Blackstone is a global leader in real estate
investing with approximately $731 billion in assets under
management, as of Oct. 30, 2021, including more than 14 million sf
of life science properties.

Cap on Recourse Carveout Provisions: The carveout guarantors'
liability on the nonrecourse bankruptcy carveouts is limited to 10%
of the then-outstanding loan balance.

RATING SENSITIVITIES

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

-- A significant decline in portfolio occupancy.

-- A significant and sustainable deterioration in Fitch net cash
    flow.

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

-- Significant and sustainable improvement in Fitch net cash flow
    and stable or improved occupancy.

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.

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.


BX COMMERCIAL 2022-AHP: DBRS Gives Prov. B(low) Rating on F Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-AHP to
be issued by BX Commercial Mortgage Trust 2022-AHP (BX 2022-AHP):

-- 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 (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

All trends are Stable.

The collateral for BX 2022-AHP includes the borrowers' fee-simple
interest in 43 affordable housing multifamily properties totaling
10,965 units throughout eight Florida markets, including Miami,
Fort Lauderdale, Tampa, and Palm Beach. The transaction sponsor,
BREIT Operating Partnership L.P., acquired the portfolio from
Cornerstone Group in December 2021 and January 2022 for a total of
$2.7 billion ($246,848 per unit). The properties were built between
1983 and 2011, with a weighted-average year built of 2002. Based on
the sponsor's estimated purchase price and the subject portfolio
aggregate as-is appraised value of $2.9 billion, the loan sponsor's
implied equity in the transaction is $1.2 billion.

There are 10,544 (96.2% of total) affordable units (income
restricted and rent restricted) across the portfolio, which DBRS
Morningstar generally views as favorable because the increasing
cost of rental housing has created elevated demand for affordable
housing, which lends enhanced cash flow stability to the assets.
This stability is demonstrated by the portfolio's average occupancy
of 98.9% from December 2017 through June 2021. As of the December
2021 rent roll, the occupancy rate was 98.5%, despite the
disruptions resulting from the Coronavirus Disease (COVID-19)
pandemic. Many of the units in the portfolio have below-markets
rents, and DBRS Morningstar views the limited risk of rental rate
declines to be an added cash flow stabilizer. Ultimately, DBRS
Morningstar's outlook on the stability of multifamily assets in and
around the Florida affordable housing market has historically been
positive.

Because of the Land Use Restrictions that limit rent and income
levels, the State of Florida has granted the properties various
property tax exemptions and abatements. While these improve the
level of cash flow, they can pose moderate risk should any change
in the laws in Florida or any violation of the affordable housing
covenants could result in higher future tax rates that may reduce
the cash flow and diminish the value of the underlying collateral.
However, tax exemption benefits throughout the portfolio are
generally correlated with the provision of affordable housing
units. Such affordable units are generally considered to be leased
at below-market rates to make them affordable to tenants at lower
income levels, and loss of tax exemptions or abatements might also
result in the ability to lease such affordable units at market
rents, potentially offsetting reductions in net cash flow incurred
from a loss of the property tax benefit. The portfolio's favorable
locations and strong fundamentals of the surrounding multifamily
markets as well as the sponsor's evidenced experience in the
ownership of affordable housing in the U.S. reinforce DBRS
Morningstar's comfort in the portfolio's ability to maintain cash
flow stability.

As a portfolio, the loan is structured to allow for partial
releases of collateral, which can increase the risk of adverse
selection. Typically, DBRS Morningstar views the inclusion of
release premiums of 115% of the allocated loans amounts (ALAs) or
higher as a mitigating factor to this risk. The loan documents
provide for a premium of 105% of the ALA for the first 30% and 110%
thereafter, which is viewed more negatively. Therefore DBRS
Morningstar assessed a penalty in its loan-to-value thresholds,
resulting in lower proceeds at each rating category.

In addition, the loan provides for pro rata principal paydowns
rather than a sequential-pay structure. This can negatively affect
the senior bonds in the transaction as they will not deleverage as
quickly under this structure. DBRS Morningstar included a penalty
for all rated classes above A (high) to account for this potential
risk.

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



BX COMMERCIAL 2022-LP2: Moody's Assigns (P)B3 Rating to Cl. F Certs
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CMBS securities, issued by BX Commercial Mortgage Trust
2022-LP2, Commercial Mortgage Pass-Through Certificates, Series
2022-LP2:

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

Cl. B, Assigned (P)Aa2 (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 interests
in 166 primarily industrial properties located across 16 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
Commercial Mortgage-Backed Securitization 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 24,335,484 SF of aggregate net
rentable area ("NRA") across the following four property subtypes -
warehouse (66.5% of NRA), light industrial (11.8% of NRA),
manufacturing (10.7% of NRA), and bulk warehouse (11.0% of NRA).
The portfolio is geographically diverse as the properties are
located across 16 states and 19 markets. The top five market
concentrations by NRA are Atlanta (38 properties; 19.5% of NRA),
Dallas-Fort Worth (25 properties; 16.8% of NRA), Orlando (15
properties; 10.9% of NRA), Las Vegas (11 properties; 7.0% of NRA)
and Seattle (8 properties; 6.7% of NRA). The portfolio properties
are primarily located in global gateway markets and generally
situated within close proximity to major transportation arteries.

Construction dates for properties in the portfolio range between
1965 and 2019, with a weighted average year built of 1998. Property
sizes for assets range between 20,972 SF and 455,870 SF, with an
average size of approximately 146,599 SF. Clear heights for
properties range between 16 feet and 36 feet, with a weighted
average maximum clear height for the portfolio of approximately
27.1 feet. As of December 16, 2021, the portfolio was approximately
94.5% leased to over 400 individual 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 2.20x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.54x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 159.5% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 138.3% 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 1.00.

Notable strengths of the transaction include: the proximity to
global gateway markets, infill locations, geographic diversity,
tenant granularity, low percentage of flex industrial and
experienced sponsorship.

Notable concerns of the transaction include: the high Moody's LTV
ratio, tenant rollover, floating-rate/interest-only mortgage loan
profile and certain credit negative legal features.

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 these ratings 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.

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.


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

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. F, Definitive Rating Assigned B2 (sf)

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

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

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by the borrower's fee interests
in three multifamily properties located in Fairfax County,
Virginia. 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, VA. 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 2017 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
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.


CHNGE MORTGAGE 2022-1: DBRS Finalizes B Rating on Class B-2 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2022-1 issued by CHNGE
Mortgage Trust 2022-1 (CHNGE 2022-1 or the Trust):

-- $238.3 million Class A-1 at A (sf)
-- $16.5 million Class M-1 at BBB (sf)
-- $15.3 million Class B-1 at BB (sf)
-- $12.9 million Class B-2 at B (sf)

The A (sf) rating on the Class A-1 Certificates reflects 19.85% of
credit enhancement provided by subordinated Certificates. The BBB
(sf), BB (sf), and B (sf) ratings reflect 14.30%, 9.15%, and 4.80%
of credit enhancement, respectively.

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

This is a securitization of a portfolio of fixed- and
adjustable-rate expanded prime first-lien residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 530 mortgage loans with a total principal balance of
$297,255,384 as of the Cut-Off Date (January 1, 2022).

CHNGE 2022-1 represents the first securitization issued by the
Sponsor, Change Lending, LLC (Change). All the loans in the pool
were originated by Change, which is certified by the U.S.
Department of the Treasury as a Community Development Financial
Institution (CDFI). As a CDFI, Change is required to lend at least
60% of its production to certain target markets, which include
low-income borrowers or other underserved communities.

While loans originated by a CDFI are not required to comply with
the Consumer Financial Protection Bureau's Qualified Mortgage and
Ability-to-Repay rules, the mortgages included in this pool were
made to generally creditworthy borrowers with near-prime credit
scores, low loan-to-value ratios (LTVs), and robust reserves.

The loans in the pool were underwritten through Change's Community
Mortgage (92.6%) and E-Z Prime (7.4%) programs, both of which are
considered weaker than other origination programs because income
documentation verification is not required. Generally, underwriting
practices of these programs focus on borrower credit, borrower
equity contribution, housing payment history, and liquid reserves
relative to monthly mortgage payments. Because post-2008 crisis
historical performance is limited on these products, DBRS
Morningstar applied additional assumptions to increase the expected
losses for the loans in its analysis.

On or after the earlier of (1) the distribution date occurring in
January 2025 and (2) the date on which the aggregate stated
principal balance of the loans falls to 30% or less of the Cut-Off
Date balance, at its option, the Depositor may redeem all of the
outstanding certificates at the redemption price (par plus
interest). Such optional redemption may be followed by a qualified
liquidation, which requires (1) a complete liquidation of assets
within the Trust and (2) proceeds to be distributed to the
appropriate holders of regular or residual interests.

The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 or more days
delinquent (not related to a Coronavirus Disease (COVID-19)
forbearance) under the Mortgage Bankers Association method at par
plus interest, provided that such purchases in aggregate do not
exceed 7.5% of the total principal balance as of the Cut-Off Date.

Change serves as the Servicer for the transaction, and LoanCare,
LLC is the Subservicer. The Servicer will fund advances of
delinquent principal and interest (P&I) on any mortgage until such
loan becomes 90 days delinquent, contingent upon recoverability
determination. The Servicer is also obligated to make advances in
respect of taxes, insurance premiums, and reasonable costs incurred
in the course of servicing and disposing of properties.

This transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on
certificates, but such shortfalls on the Class M-1 Certificates and
more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired. Furthermore, excess
spread can be used to cover realized losses and prior period bond
writedown amounts first before being allocated to unpaid cap
carryover amounts to Class A-1 down to Class M-1.

Under the U.S. Risk Retention Rules, CDFI loans fall within the
definition of community-focused residential mortgages. A
securitization transaction containing only community-focused
residential mortgages is exempt under the U.S. Risk Retention Rules
and, accordingly, the Sponsor will not be required to retain any
credit risk under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder. Notwithstanding
the exemption, Change has elected to retain the Class B-3, A-IO-S,
and XS Certificates.

Coronavirus Pandemic Impact

The coronavirus 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 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.



CITIGROUP COMMERCIAL 2017-B1: DBRS Confirms B Rating on X-F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the following ratings of the Commercial
Mortgage Pass-Through Certificates, Series 2017-B1 issued by
Citigroup Commercial Mortgage Trust 2017-B1:

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

All trends are Stable. With this action, DBRS Morningstar removed
the Interest in Arrears designation for Class G.

The rating confirmations reflect the overall stable performance of
the transaction. As of the January 2021 remittance, all 48 of the
original loans remain in the pool, with an aggregate trust balance
of $917.3 million, representing a collateral reduction of
approximately 2.6% since issuance as a result of scheduled loan
amortization. During the next 12 months, two loans, representing
5.9% of the pool, are scheduled to mature. Both loans benefit from
strong credit metrics and are expected to successfully repay. Two
loans, representing 1.7% of the pool, have been fully defeased.
There are two loans, representing 2.0% of the pool, that are in
special servicing, while nine loans, representing 18.2% of the
pool, are being monitored on the servicer's watchlist.

The largest loan on the servicer's watchlist is the Old Town San
Diego Hotel Portfolio loan (Prospectus ID#4, 5.6% of the pool),
which is secured by two cross-collateralized and cross-defaulted,
limited-service hotels within San Diego's historic Old Town
neighborhood. The loan was previously transferred to special
servicing in August 2020 for monetary default due to effects of the
Coronavirus Disease (COVID-19) pandemic and was later returned to
the master servicer in May 2021 after a loan modification was
approved. The loan is now being monitored for a low debt service
coverage ratio (DSCR) stemming from a decline in occupancy. While
coverage remains below breakeven, cash flow and occupancy have
recently improved, with the servicer reporting respective figures
of $2.6 million (resulting in a DSCR of 0.72 times (x)) and 49.6%
as of Q2 2021. Comparatively, the YE2020 figures were $150,000
(with a DSCR of 0.04x) and 33.0%, respectively. As of June 2021,
occupancy, average daily rate (ADR), and revenue per available room
(RevPAR) were reported at 50.0%, $120.62, and $59.94, respectively,
compared to YE2020 occupancy, ADR, and RevPAR of 33.2%, $122.63,
and $40.70, respectively.

The transaction benefits from four loans that are shadow-rated
investment grade: General Motors Building (Prospectus ID#1, 10.1%
of the pool), Lakeside Shopping Center (Prospectus ID#2, 6.4% of
the pool), Two Fordham Square (Prospectus ID#5, 5.7% of the pool),
and Del Amo Fashion Center (Prospectus ID#18, 2.2% of the pool).
With this review, DBRS Morningstar confirms that the performance of
these four loans are consistent with the investment-grade shadow
ratings.

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



CITIGROUP MORTGAGE 2022-INV1: Moody's Rates Class B-5 Certs '(P)B3'
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 96
classes of residential mortgage-backed securities (RMBS) issued by
Citigroup Mortgage Loan Trust (CMLTI) 2022-INV1. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).

CMLTI 2022-INV1 securitization is backed by a pool of prime
conforming, investment property mortgage loans acquired by
Citigroup Global Markets Realty Corp. (CGMRC), the sponsor of this
transaction. CGMRC acquired the loans in the pool from two initial
sellers. 100.0% of the mortgage loans (by UPB) were acquired by the
mortgage loan seller from PennyMac Corp. (PMC) and PennyMac Loan
Services, LLC (PMLS and together referred to as PennyMac). This
deal represents the second CMLTI securitization of prime jumbo or
conforming residential mortgage loans in 2022 and the eleventh
rated issue from the shelf since its inception in 2019. 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 were run through one of the
government sponsored enterprises' (GSE) automated underwriting
systems (AUS) and received an "Approve" or "Accept" recommendation.
Each mortgage loan is either 1) an extension of credit primarily
for a business purpose and is not a "covered transaction" as
defined in Section 1026.43(b)(1) of Regulation Z, or 2) for
purposes of the ATR Rules, relies on the exception for eligible
loan contained in 12 C.F.R. 1026.43(e)(4) (ie, the "QM patch"). As
of the closing date, the sponsor or a majority- owned affiliate of
the sponsor will retain at least 5% of the initial certificate
principal balance or notional amount of each class of certificates
issued by the trust to satisfy U.S. risk retention rules.

PennyMac Corp. (PMC) and PennyMac Loan Services (PMLS) will be the
primary servicers on the deal, servicing 100% of the loans. There
is no master servicer in this transaction. PMC and PMLS will be
responsible for making P&I advances. U.S. Bank National Association
(U.S. Bank, long term senior unsecured 'A1') will be the trust
administrator and U.S. Bank Trust National Association will be the
trustee, and will act as the backup advancing party.

One third-party review (TPR) firm, AMC Diligence, LLC, verified the
accuracy of the loan level information that Moody's received from
the sponsor. The firm conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool. The TPR results indicate
that there are no material compliance, credit, or data issues and
no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.

In this transaction, the Class A-11 and A-11IO coupons are indexed
to 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.

The complete rating action are as follows.

Issuer: Citigroup Mortgage Loan Trust 2022-INV1

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

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

Cl. A-1-IO1*, Assigned (P)Aaa (sf)

Cl. A-1-IO1W*, Assigned (P)Aaa (sf)

Cl. A-1-IO2*, Assigned (P)Aaa (sf)

Cl. A-1-IO2W*, Assigned (P)Aaa (sf)

Cl. A-1-IO3*, Assigned (P)Aaa (sf)

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

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

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

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

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

Cl. A-2-IO1*, Assigned (P)Aaa (sf)

Cl. A-2-IO1W*, Assigned (P)Aaa (sf)

Cl. A-2-IO2*, Assigned (P)Aaa (sf)

Cl. A-2-IO2W*, Assigned (P)Aaa (sf)

Cl. A-2-IO3*, Assigned (P)Aaa (sf)

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

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

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

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

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

Cl. A-3-IO1*, Assigned (P)Aaa (sf)

Cl. A-3-IO1W*, Assigned (P)Aaa (sf)

Cl. A-3-IO2*, Assigned (P)Aaa (sf)

Cl. A-3-IO2W*, Assigned (P)Aaa (sf)

Cl. A-3-IO3*, Assigned (P)Aaa (sf)

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

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

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

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

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

Cl. A-4-IO1*, Assigned (P)Aa1 (sf)

Cl. A-4-IO1W*, Assigned (P)Aa1 (sf)

Cl. A-4-IO2*, Assigned (P)Aa1 (sf)

Cl. A-4-IO2W*, Assigned (P)Aa1 (sf)

Cl. A-4-IO3*, Assigned (P)Aa1 (sf)

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

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

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

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

Cl. A-5-IO1*, Assigned (P)Aa1 (sf)

Cl. A-5-IO1W*, Assigned (P)Aa1 (sf)

Cl. A-5-IO2*, Assigned (P)Aa1 (sf)

Cl. A-5-IO2W*, Assigned (P)Aa1 (sf)

Cl. A-5-IO3*, Assigned (P)Aa1 (sf)

Cl. A-5-IOX*, Assigned (P)Aa1 (sf)

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

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

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

Cl. A-6-IO1*, Assigned (P)Aaa (sf)

Cl. A-6-IO1W*, Assigned (P)Aaa (sf)

Cl. A-6-IO2*, Assigned (P)Aaa (sf)

Cl. A-6-IO2W*, Assigned (P)Aaa (sf)

Cl. A-6-IO3*, Assigned (P)Aaa (sf)

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

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

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

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

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

Cl. A-7-IO1*, Assigned (P)Aaa (sf)

Cl. A-7-IO1W*, Assigned (P)Aaa (sf)

Cl. A-7-IO2*, Assigned (P)Aaa (sf)

Cl. A-7-IO2W*, Assigned (P)Aaa (sf)

Cl. A-7-IO3*, Assigned (P)Aaa (sf)

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

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

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

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

Cl. A-8-IO1*, Assigned (P)Aaa (sf)

Cl. A-8-IO1W*, Assigned (P)Aaa (sf)

Cl. A-8-IO2*, Assigned (P)Aaa (sf)

Cl. A-8-IO2W*, Assigned (P)Aaa (sf)

Cl. A-8-IO3*, Assigned (P)Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. B-3W, 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-mean is
0.80%, in a baseline scenario-median is 0.57%, and reaches 4.92% 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 TPR and the R&W framework of the
transaction.

Collateral Description

As of the cut-off date, the mortgage loans will consist of 1,210
conforming mortgage loans with an aggregate stated principal
balance of approximately $385,517,415. The mortgage loans will
consist of conventional, fixed-rate, fully amortizing mortgage
loans, which will have original terms to maturity of up to 30
years. All of the mortgage loans will be secured by first liens on
single-or two-to-four family residential properties, planned unit
developments, Multi-Family, condominiums, or townhouse. All loans
are current as of the cut-off date. Overall, the credit quality of
the mortgage loans backing this transaction is in-line with
recently issued prime jumbo transactions Moody's have rated, with
average length of employment of 8.4 years, average monthly primary
and all borrower wage income of $9,546 and $11,764, respectively.
Furthermore, the average liquid/cash reserves is $260,641 with
approximately 79.9% of borrowers by UPB have more than 24 months of
liquid/cash reserves. The average monthly residual income is
approximately $12,371.

The pool has clean pay history and weighted average (WA) seasoning
of approximately 5 months. No borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. All mortgage loans are current as of the cut-off date.
The weighted average (WA) FICO for the aggregate pool is 772 with a
WA original LTV of 64.0% and WA original CLTV of 64.0%.

Approximately 3.9% 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.

Aggregation and Origination Quality

Citigroup Global Markets Realty Corp. (CGMRC) aggregated 100% of
the pool. Based on the available information related to CGMRC's
valuation and risk management practices, the 100% TPR, and the
transparent R&W framework in this transaction, Moody's did not make
any adjustments to Moody's losses based on Moody's review of
CGMRC's aggregation quality.

The mortgage loan seller acquired 100% of the loans from PMC and
PLS (the initial sellers). Moody's consider PennyMac to have an
adequate origination quality of conforming mortgages. As a result,
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions based on Moody's review of PennyMac's loan
performance and origination practices.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool as
adequate, and as a result Moody's did not make any adjustments to
Moody's base case and Aaa stress loss assumptions. Moody's did not
apply any adjustment to Moody's expected losses for the lack of
master servicer due to the following: (i) PMC and PLS were founded
in 2009 and 2008 respectively and are experienced servicers of
residential mortgage loans. PennyMac is an approved servicer for
both Fannie Mae and Freddie Mac; (ii) PennyMac had no instances of
non-compliance for its 2020 Regulation AB or Uniformed Single Audit
Program (USAP) independent servicer reviews; (iii) Although not
directly related to this transaction, there is still third party
oversight of PennyMac from the GSEs, the CFPB, the accounting firms
and state regulators; (iv) The complexity of the loan product is
relatively low, reducing the complexity of servicing and reporting;
and (v) U.S. Bank, as the trust administrator, will not only be
responsible for aggregating the reports from the servicers and
reporting to investors, but also for acting as the backup advancing
party, and appointing a replacement servicer at the direction of
the controlling holder.

Third-Party Review

The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the applicable
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues. The loans that had exceptions to the
applicable underwriting guidelines had significant compensating
factors that were documented.

Representations & Warranties

An effective R&W framework protects a transaction against the risk
of loss from fraudulent or defective loans. Moody's assessed CMLTI
2022-INV1's R&W framework for this transaction as adequate,
consistent with that of other private label transactions for which
the breach review process is thorough, transparent and objective,
and the costs and manner of review are clearly outlined at
issuance.

The transaction requires mandatory independent reviews of loans
that become 120 days delinquent (other than certain loans in FEMA
disaster areas and those in forbearance as a result of a pandemic
or national disaster) and those that liquidate at a loss to
determine if any of the R&Ws are breached. The R&Ws are
comprehensive and the R&W provider is CGMRC, an affiliate of
Citigroup, Inc. (rated A3). The R&W provider will be obligated to
cure or repurchase loans found to have material breaches of R&Ws,
or pay for any loss if that loan was liquidated.

Transaction Structure

CMLTI 2022-INV1 has one pool with a shifting interest structure
that benefits from a subordination 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.

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
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.80% of the cut-off date pool
balance, and as subordination lock-out amount of 0.80% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


CITIGROUP MORTGAGE 2022-INV1: Moody's Rates Class B-5 Certs 'B3'
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 96
classes of residential mortgage-backed securities (RMBS) issued by
Citigroup Mortgage Loan Trust (CMLTI) 2022-INV1. The ratings range
from Aaa (sf) to B3 (sf).

CMLTI 2022-INV1 securitization is backed by a pool of prime
conforming, investment property mortgage loans acquired by
Citigroup Global Markets Realty Corp. (CGMRC), the sponsor of this
transaction. CGMRC acquired the loans in the pool from two initial
sellers. 100.0% of the mortgage loans (by UPB) were acquired by the
mortgage loan seller from PennyMac Corp. (PMC) and PennyMac Loan
Services, LLC (PMLS and together referred to as PennyMac). This
deal represents the second CMLTI securitization of prime jumbo or
conforming residential mortgage loans in 2022 and the eleventh
rated issue from the shelf since its inception in 2019. 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 were run through one of the
government sponsored enterprises' (GSE) automated underwriting
systems (AUS) and received an "Approve" or "Accept" recommendation.
Each mortgage loan is either 1) an extension of credit primarily
for a business purpose and is not a "covered transaction" as
defined in Section 1026.43(b)(1) of Regulation Z, or 2) for
purposes of the ATR Rules, relies on the exception for eligible
loan contained in 12 C.F.R. 1026.43(e)(4) (ie, the "QM patch"). As
of the closing date, the sponsor or a majority- owned affiliate of
the sponsor will retain at least 5% of the initial certificate
principal balance or notional amount of each class of certificates
issued by the trust to satisfy U.S. risk retention rules.

PennyMac Corp. (PMC) and PennyMac Loan Services, LLC (PMLS) will be
the primary servicers on the deal, servicing 100% of the loans.
There is no master servicer in this transaction. PMC and PMLS will
be responsible for making P&I advances. U.S. Bank National
Association (U.S. Bank, long term senior unsecured 'A1') will be
the trust administrator and U.S. Bank Trust National Association
will be the trustee, and will act as the backup advancing party.

One third-party review (TPR) firm, AMC Diligence, LLC, verified the
accuracy of the loan level information that Moody's received from
the sponsor. The firm conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool. The TPR results indicate
that there are no material compliance, credit, or data issues and
no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.

In this transaction, the Class A-11 and A-11-IO coupons are indexed
to 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.

The complete rating action are as follows.

Issuer: Citigroup Mortgage Loan Trust 2022-INV1

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

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

Cl. A-1-IO1*, Definitive Rating Assigned Aaa (sf)

Cl. A-1-IO1W*, Definitive Rating Assigned Aaa (sf)

Cl. A-1-IO2*, Definitive Rating Assigned Aaa (sf)

Cl. A-1-IO2W*, Definitive Rating Assigned Aaa (sf)

Cl. A-1-IO3*, Definitive Rating Assigned Aaa (sf)

Cl. A-1-IOX*, Definitive Rating Assigned Aaa (sf)

Cl. A-1W, Definitive Rating Assigned Aaa (sf)

Cl. A-2, Definitive Rating Assigned Aaa (sf)

Cl. A-2A, Definitive Rating Assigned Aaa (sf)

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

Cl. A-2-IO1*, Definitive Rating Assigned Aaa (sf)

Cl. A-2-IO1W*, Definitive Rating Assigned Aaa (sf)

Cl. A-2-IO2*, Definitive Rating Assigned Aaa (sf)

Cl. A-2-IO2W*, Definitive Rating Assigned Aaa (sf)

Cl. A-2-IO3*, Definitive Rating Assigned Aaa (sf)

Cl. A-2-IOX*, Definitive Rating Assigned Aaa (sf)

Cl. A-2W, Definitive Rating Assigned Aaa (sf)

Cl. A-3, Definitive Rating Assigned Aaa (sf)

Cl. A-3A, Definitive Rating Assigned Aaa (sf)

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

Cl. A-3-IO1*, Definitive Rating Assigned Aaa (sf)

Cl. A-3-IO1W*, Definitive Rating Assigned Aaa (sf)

Cl. A-3-IO2*, Definitive Rating Assigned Aaa (sf)

Cl. A-3-IO2W*, Definitive Rating Assigned Aaa (sf)

Cl. A-3-IO3*, Definitive Rating Assigned Aaa (sf)

Cl. A-3-IOX*, Definitive Rating Assigned Aaa (sf)

Cl. A-3W, Definitive Rating Assigned Aaa (sf)

Cl. A-4, Definitive Rating Assigned Aa1 (sf)

Cl. A-4A, Definitive Rating Assigned Aa1 (sf)

Cl. A-4B, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO1*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO1W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO2*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO2W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO3*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IOX*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4W, Definitive Rating Assigned Aa1 (sf)

Cl. A-5, Definitive Rating Assigned Aaa (sf)

Cl. A-5A, Definitive Rating Assigned Aaa (sf)

Cl. A-5-IO1*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO1W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO2*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO2W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO3*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IOX*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5W, Definitive Rating Assigned Aaa (sf)

Cl. A-6, Definitive Rating Assigned Aaa (sf)

Cl. A-6A, Definitive Rating Assigned Aaa (sf)

Cl. A-6-IO1*, Definitive Rating Assigned Aaa (sf)

Cl. A-6-IO1W*, Definitive Rating Assigned Aaa (sf)

Cl. A-6-IO2*, Definitive Rating Assigned Aaa (sf)

Cl. A-6-IO2W*, Definitive Rating Assigned Aaa (sf)

Cl. A-6-IO3*, Definitive Rating Assigned Aaa (sf)

Cl. A-6-IOX*, Definitive Rating Assigned Aaa (sf)

Cl. A-6W, Definitive Rating Assigned Aaa (sf)

Cl. A-7, Definitive Rating Assigned Aaa (sf)

Cl. A-7A, Definitive Rating Assigned Aaa (sf)

Cl. A-7B, Definitive Rating Assigned Aaa (sf)

Cl. A-7-IO1*, Definitive Rating Assigned Aaa (sf)

Cl. A-7-IO1W*, Definitive Rating Assigned Aaa (sf)

Cl. A-7-IO2*, Definitive Rating Assigned Aaa (sf)

Cl. A-7-IO2W*, Definitive Rating Assigned Aaa (sf)

Cl. A-7-IO3*, Definitive Rating Assigned Aaa (sf)

Cl. A-7-IOX*, Definitive Rating Assigned Aaa (sf)

Cl. A-7W, Definitive Rating Assigned Aaa (sf)

Cl. A-8, Definitive Rating Assigned Aaa (sf)

Cl. A-8A, Definitive Rating Assigned Aaa (sf)

Cl. A-8-IO1*, Definitive Rating Assigned Aaa (sf)

Cl. A-8-IO1W*, Definitive Rating Assigned Aaa (sf)

Cl. A-8-IO2*, Definitive Rating Assigned Aaa (sf)

Cl. A-8-IO2W*, Definitive Rating Assigned Aaa (sf)

Cl. A-8-IO3*, Definitive Rating Assigned Aaa (sf)

Cl. A-8-IOX*, Definitive Rating Assigned Aaa (sf)

Cl. A-8W, Definitive Rating Assigned Aaa (sf)

Cl. A-11, Definitive Rating Assigned Aaa (sf)

Cl. A-11-IO*, Definitive Rating Assigned Aaa (sf)

Cl. A-12, Definitive Rating Assigned Aaa (sf)

Cl. B-1, Definitive Rating Assigned Aa3 (sf)

Cl. B-1-IO*, Definitive Rating Assigned Aa3 (sf)

Cl. B-1-IOW*, Definitive Rating Assigned Aa3 (sf)

Cl. B-1-IOX*, Definitive Rating Assigned Aa3 (sf)

Cl. B-1W, Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Definitive Rating Assigned A3 (sf)

Cl. B-2-IO*, Definitive Rating Assigned A3 (sf)

Cl. B-2-IOW*, Definitive Rating Assigned A3 (sf)

Cl. B-2-IOX*, Definitive Rating Assigned A3 (sf)

Cl. B-2W, Definitive Rating Assigned A3 (sf)

Cl. B-3, Definitive Rating Assigned Baa3 (sf)

Cl. B-3-IO*, Definitive Rating Assigned Baa3 (sf)

Cl. B-3-IOW*, Definitive Rating Assigned Baa3 (sf)

Cl. B-3-IOX*, Definitive Rating Assigned Baa3 (sf)

Cl. B-3W, Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Definitive Rating Assigned 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-mean is
0.80%, in a baseline scenario-median is 0.57%, and reaches 4.92% 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 TPR and the R&W framework of the
transaction.

Collateral Description

As of the cut-off date, the mortgage loans will consist of 1,210
conforming mortgage loans with an aggregate stated principal
balance of approximately $385,517,415. The mortgage loans will
consist of conventional, fixed-rate, fully amortizing mortgage
loans, which will have original terms to maturity of up to 30
years. All of the mortgage loans will be secured by first liens on
single-or two-to-four family residential properties, planned unit
developments, Multi-Family, condominiums, or townhouse. All loans
are current as of the cut-off date. Overall, the credit quality of
the mortgage loans backing this transaction is in-line with
recently issued prime jumbo transactions Moody's have rated, with
average length of employment of 8.4 years, average monthly primary
and all borrower wage income of $9,546 and $11,764, respectively.
Furthermore, the average liquid/cash reserves is $260,641 with
approximately 79.9% of borrowers by UPB have more than 24 months of
liquid/cash reserves. The average monthly residual income is
approximately $12,371.

The pool has clean pay history and weighted average (WA) seasoning
of approximately 5 months. No borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. All mortgage loans are current as of the cut-off date.
The weighted average (WA) FICO for the aggregate pool is 772 with a
WA original LTV of 64.0% and WA original CLTV of 64.0%.

Approximately 3.9% 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.

Aggregation and Origination Quality

Citigroup Global Markets Realty Corp. (CGMRC) aggregated 100% of
the pool. Based on the available information related to CGMRC's
valuation and risk management practices, the 100% TPR, and the
transparent R&W framework in this transaction, Moody's did not make
any adjustments to Moody's losses based on Moody's review of
CGMRC's aggregation quality.

The mortgage loan seller acquired 100% of the loans from PMC and
PMLS (the initial sellers). Moody's consider PennyMac to have an
adequate origination quality of conforming mortgages. As a result,
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions based on Moody's review of PennyMac's loan
performance and origination practices.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool as
adequate, and as a result Moody's did not make any adjustments to
Moody's base case and Aaa stress loss assumptions. Moody's did not
apply any adjustment to Moody's expected losses for the lack of
master servicer due to the following: (i) PMC and PMLS were founded
in 2009 and 2008 respectively and are experienced servicers of
residential mortgage loans. PennyMac is an approved servicer for
both Fannie Mae and Freddie Mac; (ii) PennyMac had no instances of
non-compliance for its 2020 Regulation AB or Uniformed Single Audit
Program (USAP) independent servicer reviews; (iii) Although not
directly related to this transaction, there is still third party
oversight of PennyMac from the GSEs, the CFPB, the accounting firms
and state regulators; (iv) The complexity of the loan product is
relatively low, reducing the complexity of servicing and reporting;
and (v) U.S. Bank, as the trust administrator, will not only be
responsible for aggregating the reports from the servicers and
reporting to investors, but also for acting as the backup advancing
party, and appointing a replacement servicer at the direction of
the controlling holder.

Third-Party Review

The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the applicable
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues. The loans that had exceptions to the
applicable underwriting guidelines had significant compensating
factors that were documented.

Representations & Warranties

An effective R&W framework protects a transaction against the risk
of loss from fraudulent or defective loans. Moody's assessed CMLTI
2022-INV1's R&W framework for this transaction as adequate,
consistent with that of other private label transactions for which
the breach review process is thorough, transparent and objective,
and the costs and manner of review are clearly outlined at
issuance.

The transaction requires mandatory independent reviews of loans
that become 120 days delinquent (other than certain loans in FEMA
disaster areas and those in forbearance as a result of a pandemic
or national disaster) and those that liquidate at a loss to
determine if any of the R&Ws are breached. The R&Ws are
comprehensive and the R&W provider is CGMRC, an affiliate of
Citigroup Inc. (rated A3). The R&W provider will be obligated to
cure or repurchase loans found to have material breaches of R&Ws,
or pay for any loss if that loan was liquidated.

Transaction Structure

CMLTI 2022-INV1 has one pool with a shifting interest structure
that benefits from a subordination 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.

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
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.80% of the cut-off date pool
balance, and as subordination lock-out amount of 0.80% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


CITIGROUP MORTGAGE 2022-J1: DBRS Gives Prov. B Rating on B5 Certs
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DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2022-J1 to be issued by
Citigroup Mortgage Loan Trust 2022-J1 (CMLTI 2022-J1):

-- $179.0 million Class A-1 at AAA (sf)
-- $179.0 million Class A-1-IO at AAA (sf)
-- $179.0 million Class A-1-IOX at AAA (sf)
-- $89.5 million Class A-1A at AAA (sf)
-- $179.0 million Class A-1-IOW at AAA (sf)
-- $179.0 million Class A-1W at AAA (sf)
-- $74.6 million Class A-2 at AAA (sf)
-- $74.6 million Class A-2-IO at AAA (sf)
-- $74.6 million Class A-2-IOX at AAA (sf)
-- $37.3 million Class A-2A at AAA (sf)
-- $74.6 million Class A-2-IOW at AAA (sf)
-- $74.6 million Class A-2W at AAA (sf)
-- $298.4 million Class A-3 at AAA (sf)
-- $298.4 million Class A-3-IO at AAA (sf)
-- $298.4 million Class A-3-IOX at AAA (sf)
-- $149.2 million Class A-3A at AAA (sf)
-- $298.4 million Class A-3-IOW at AAA (sf)
-- $298.4 million Class A-3W at AAA (sf)
-- $36.7 million Class A-4 at AAA (sf)
-- $36.7 million Class A-4-IO at AAA (sf)
-- $36.7 million Class A-4-IOX at AAA (sf)
-- $18.3 million Class A-4A at AAA (sf)
-- $36.7 million Class A-4-IOW at AAA (sf)
-- $36.7 million Class A-4W at AAA (sf)
-- $335.1 million Class A-5 at AAA (sf)
-- $335.1 million Class A-5-IO at AAA (sf)
-- $335.1 million Class A-5-IOX at AAA (sf)
-- $167.5 million Class A-5A at AAA (sf)
-- $335.1 million Class A-5-IOW at AAA (sf)
-- $335.1 million Class A-5W at AAA (sf)
-- $44.8 million Class A-6 at AAA (sf)
-- $44.8 million Class A-6-IO at AAA (sf)
-- $44.8 million Class A-6-IOX at AAA (sf)
-- $22.4 million Class A-6A at AAA (sf)
-- $44.8 million Class A-6-IOW at AAA (sf)
-- $44.8 million Class A-6W at AAA (sf)
-- $223.8 million Class A-7 at AAA (sf)
-- $223.8 million Class A-7-IO at AAA (sf)
-- $223.8 million Class A-7-IOX at AAA (sf)
-- $111.9 million Class A-7A at AAA (sf)
-- $223.8 million Class A-7-IOW at AAA (sf)
-- $223.8 million Class A-7W at AAA (sf)
-- $119.4 million Class A-8 at AAA (sf)
-- $119.4 million Class A-8-IO at AAA (sf)
-- $119.4 million Class A-8-IOX at AAA (sf)
-- $59.7 million Class A-8A at AAA (sf)
-- $119.4 million Class A-8-IOW at AAA (sf)
-- $119.4 million Class A-8W at AAA (sf)
-- $29.8 million Class A-11 at AAA (sf)
-- $29.8 million Class A-11-IO at AAA (sf)
-- $29.8 million Class A-12 at AAA (sf)
-- $7.7 million Class B-1 at AA (sf)
-- $7.7 million Class B-1-IO at AA (sf)
-- $7.7 million Class B-1-IOX at AA (sf)
-- $7.7 million Class B-1-IOW at AA (sf)
-- $7.7 million Class B-1W at AA (sf)
-- $4.0 million Class B-2 at A (low) (sf)
-- $4.0 million Class B-2-IO at A (low) (sf)
-- $4.0 million Class B-2-IOX at A (low) (sf)
-- $4.0 million Class B-2-IOW at A (low) (sf)
-- $4.0 million Class B-2W at A (low) (sf)
-- $1.6 million Class B-3 at BBB (sf)
-- $1.6 million Class B-3-IO at BBB (sf)
-- $1.6 million Class B-3-IOX at BBB (sf)
-- $1.6 million Class B-3-IOW at BBB (sf)
-- $1.6 million Class B-3W at BBB (sf)
-- $702,000 Class B-4 at BB (high) (sf)
-- $527,000 Class B-5 at B (high) (sf)

Classes A-1-IO, A-1-IOX, A-1-IOW, A-2-IO, A-2-IOX, A-2-IOW, A-3-IO,
A-3-IOX, A-3-IOW, A-4-IO, A-4-IOX, A-4-IOW, A-5-IO, A-5-IOX,
A-5-IOW, A-6-IO, A-6-IOX, A-6-IOW, A-7-IO, A-7-IOX, A-7-IOW,
A-8-IO, A-8-IOX, A-8-IOW, A-11-IO, B-1-IO, B-1-IOX, B-1-IOW,
B-2-IO, B-2-IOX, B-2-IOW, B-3-IO, B-3-IOX, and B-3-IOW are
interest-only certificates. The class balances represent notional
amounts.

Classes A-1A, A-1-IOW, A-1W, A-2A, A-2-IOW, A-2W, A-3, A-3-IO,
A-3-IOX, A-3A, A-3-IOW, A-3W, A-4A, A-4-IOW, A-4W, A-5, A-5-IO,
A-5-IOX, A-5A, A-5-IOW, A-5W, A-6A, A-6-IOW, A-6W, A-7, A-7-IO,
A-7-IOX, A-7A, A-7-IOW, A-7W, A-8, A-8-IO, A-8-IOX, A-8A, A-8-IOW,
A-8W, A-11, A-11-IO, A-12, B-1-IOW, B-1W, B-2-IOW, B-2W, B-3-IOW,
and B-3W are exchangeable certificates. These classes can be
exchanged for combinations of exchange certificates as specified in
the offering documents.

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

The AAA (sf) ratings on the Certificates reflect 4.55% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(low) (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings
reflect 2.35%, 1.20%, 0.75%, 0.55%, and 0.40% of credit
enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 402 loans with a total principal
balance of $351,050,735 as of the Cut-Off Date (January 1, 2022).

This transaction is CMLTI's first in 2022 from this shelf. The pool
consists of fully amortizing fixed-rate mortgages with original
terms to maturity of 30 years and a weighted-average loan age of
five months. The pool is composed of nonagency, prime jumbo
mortgage loans, of which 59.7% were underwritten using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac,
but were ineligible for purchase by such agency due to loan size.

The remaining 40.3% of the mortgage loans were underwritten through
verification of at least 24 months of the borrower's income using
Form W-2, pay stubs, bank statements and or tax returns plus a CPA
certification of the tax returns, if the borrower is self-employed
or were underwritten using W-2s from the prior calendar year or the
prior year's tax return (2 years tax return for self-employed
borrowers), and at least one month of pay stubs for salaried
borrower.

Fay Servicing, LLC (Fay) is the servicer of the mortgage loans. For
this transaction, the servicing fee payable for the mortgage loans
is composed of three separate components: the aggregate base
servicing fee, the aggregate variable servicing fee and any
variable servicing fee shortfall. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Citigroup Global Markets Realty Corp. (CGMRC) is the Mortgage Loan
Seller and Sponsor of the transaction. Citigroup Mortgage Loan
Trust Inc. will act as Depositor of the transaction. U.S. Bank
National Association (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Trust Administrator. U.S. Bank Trust
National Association will serve as Trustee, and Computershare Trust
Company, N.A. will serve as Custodian.

CGMRC will also act as the Advancing Party who will be responsible
for advancing delinquent monthly scheduled payments of interest and
principal, to the extent such payments are recoverable by the
related Servicer. Fay, as Servicer, will be required to make all
customary, reasonable and necessary servicing advances with respect
to preservation, inspection, restoration, protection and repair of
a mortgaged property.

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

Coronavirus Impact

The Coronavirus Disease (COVID-19) pandemic and the resulting
mitigation measures 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 the 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 forebear
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, and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months, delinquencies have
been gradually trending downward as forbearance periods come to an
end for many borrowers.

As of the Cut-Off Date, no borrower within the pool has been
subject to a coronavirus-related forbearance plan with the
Servicer.

The ratings reflect transactional strengths that include a strong
representations and warranties framework, high-quality credit
attributes, well-qualified borrowers, structural enhancements,
satisfactory third-party due-diligence review, and 100% current
loans.

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



CITIGROUP MORTGAGE 2022-J1: Fitch Rates B-5 Tranche 'B+'
--------------------------------------------------------
Fitch Ratings has assigned ratings to Citigroup Mortgage Loan Trust
2022-J1 (CMLTI 2022-J1).

DEBT            RATING              PRIOR
----            ------              -----
CMLTI 2022-J1

A-1       LT AAAsf   New Rating    AAA(EXP)sf
A-1-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-1-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-1-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-11      LT AAAsf   New Rating    AAA(EXP)sf
A-11-IO   LT AAAsf   New Rating    AAA(EXP)sf
A-12      LT AAAsf   New Rating    AAA(EXP)sf
A-1A      LT AAAsf   New Rating    AAA(EXP)sf
A-1W      LT AAAsf   New Rating    AAA(EXP)sf
A-2       LT AAAsf   New Rating    AAA(EXP)sf
A-2-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-2-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-2-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-2A      LT AAAsf   New Rating    AAA(EXP)sf
A-2W      LT AAAsf   New Rating    AAA(EXP)sf
A-3       LT AAAsf   New Rating    AAA(EXP)sf
A-3-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-3-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-3-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-3A      LT AAAsf   New Rating    AAA(EXP)sf
A-3W      LT AAAsf   New Rating    AAA(EXP)sf
A-4       LT AAAsf   New Rating    AAA(EXP)sf
A-4-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-4-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-4-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-4A      LT AAAsf   New Rating    AAA(EXP)sf
A-4W      LT AAAsf   New Rating    AAA(EXP)sf
A-5       LT AAAsf   New Rating    AAA(EXP)sf
A-5-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-5-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-5-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-5A      LT AAAsf   New Rating    AAA(EXP)sf
A-5W      LT AAAsf   New Rating    AAA(EXP)sf
A-6       LT AAAsf   New Rating    AAA(EXP)sf
A-6-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-6-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-6-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-6A      LT AAAsf   New Rating    AAA(EXP)sf
A-6W      LT AAAsf   New Rating    AAA(EXP)sf
A-7       LT AAAsf   New Rating    AAA(EXP)sf
A-7-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-7-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-7-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-7A      LT AAAsf   New Rating    AAA(EXP)sf
A-7W      LT AAAsf   New Rating    AAA(EXP)sf
A-8       LT AAAsf   New Rating    AAA(EXP)sf
A-8-IO    LT AAAsf   New Rating    AAA(EXP)sf
A-8-IOW   LT AAAsf   New Rating    AAA(EXP)sf
A-8-IOX   LT AAAsf   New Rating    AAA(EXP)sf
A-8A      LT AAAsf   New Rating    AAA(EXP)sf
A-8W      LT AAAsf   New Rating    AAA(EXP)sf
A-IO-S    LT NRsf    New Rating    NR(EXP)sf
B-1       LT AA-sf   New Rating    AA-(EXP)sf
B-1-IO    LT AA-sf   New Rating    AA-(EXP)sf
B-1-IOW   LT AA-sf   New Rating    AA-(EXP)sf
B-1-IOX   LT AA-sf   New Rating    AA-(EXP)sf
B-1W      LT AA-sf   New Rating    AA-(EXP)sf
B-2       LT A-sf    New Rating    A-(EXP)sf
B-2-IO    LT A-sf    New Rating    A-(EXP)sf
B-2-IOW   LT A-sf    New Rating    A-(EXP)sf
B-2-IOX   LT A-sf    New Rating    A-(EXP)sf
B-2W      LT A-sf    New Rating    A-(EXP)sf
B-3       LT BBB-sf  New Rating    BBB-(EXP)sf
B-3-IO    LT BBB-sf  New Rating    BBB-(EXP)sf
B-3-IOW   LT BBB-sf  New Rating    BBB-(EXP)sf
B-3-IOX   LT BBB-sf  New Rating    BBB-(EXP)sf
B-3W      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
R         LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch Ratings has rated the residential mortgage-backed
certificates issued by Citigroup Mortgage Loan Trust 2022-J1 (CMLTI
2022-J1) as indicated. The certificates are supported by 402
fixed-rate mortgages (FRMs) with a total balance of approximately
$351.0 million as of the cutoff date. The loans were originated by
various mortgage originators, and Fay Servicing, LLC (Fay) will be
the servicer. Distributions of principal and interest (P&I) and
loss allocations are based on a traditional senior-subordinate,
shifting-interest structure.

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 11.2% 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 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 pool consists of very
high-quality, 30-year fixed-rate, fully amortizing safe-harbor
qualified mortgage (SHQM) loans to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves. Per
Fitch's calculation methodology, the loans are seasoned an average
of 7.1 months. The pool has a weighted average (WA) original FICO
score of 775, which is indicative of very high credit-quality
borrowers. Approximately 84.6% of the loans have an original FICO
score of 750 or above. In addition, the original WA combined loan
to value ratio (CLTV) of 67.7% represents substantial borrower
equity in the property and reduced default risk.

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

Full Advancing (Mixed): Citigroup Global Markets Realty Corp.
(CGMRC) will provide full advancing for the life of the
transaction. To the extent CGMRC fails to make an advance, U.S.
Bank, as Trust Administrator, will be obligated to advance such
amounts to the trust. While this helps the liquidity of the
structure, it also increases the expected loss due to unpaid
servicer advances.

Subordination Floor (Positive): A CE or senior subordination floor
of 1.10% has been considered to mitigate potential tail-end risk
and loss exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, the stepdown tests do
not allow principal prepayments to subordinate bondholders in the
first five years following deal closing.

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 42.4% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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 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.

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 2012-CCRE4: Moody's Downgrades Rating on Cl. B Certs to B1
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
and downgraded the ratings on four classes in COMM 2012-CCRE4
Mortgage Trust, Commercial Pass-Through Certificates, Series
2012-CCRE4 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Feb 17, 2021 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Feb 17, 2021 Affirmed
Aaa (sf)

Cl. A-M, Downgraded to A1 (sf); previously on Feb 17, 2021
Downgraded to Aa2 (sf)

Cl. B, Downgraded to B1 (sf); previously on Feb 17, 2021 Downgraded
to Ba2 (sf)

Cl. C, Downgraded to Caa3 (sf); previously on Feb 17, 2021
Downgraded to Caa1 (sf)

Cl. D, Affirmed C (sf); previously on Feb 17, 2021 Downgraded to C
(sf)

Cl. X-A*, Affirmed Aa1 (sf); previously on Feb 17, 2021 Downgraded
to Aa1 (sf)

Cl. X-B*, Downgraded to Caa1 (sf); previously on Feb 17, 2021
Downgraded to B2 (sf)

*Reflects interest-only classes

RATINGS RATIONALE

The ratings on three P&I classes, Cl. A-M, Cl. B and Cl. C, were
downgraded due to higher anticipated losses and increased interest
shortfall concerns due to the exposure to specially serviced and
troubled loans secured by regional malls with continued declines in
performance. As of the January 2022 remittance report, the
specially serviced loan, Emerald Square Mall (4.3% of the pool), is
last paid through March 2021 and an appraisal reduction of
approximately 64% of its outstanding loan balance has been
recognized. The pool also includes Eastview Mall and Commons
(15.4%), which has also experienced annual declines in NOI since
2018 and was identified as a troubled loan. Furthermore, the pool
faces increased refinance risk as all the remaining loans mature by
November 2022.

The ratings on two P&I classes, Cl. A-SB and A-3, were affirmed
because of their significant credit support in connection with the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR).

The rating on Cl. D was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Class D has
already experienced a 4% loss from previously liquidated loans.

The rating on one Interest-Only (IO) class, Cl. X-A, was affirmed
based on the credit quality of its referenced classes.

The rating on Cl. X-B was downgraded due to a decline in the credit
quality of its referenced classes.

The action has considered how the coronavirus pandemic has reshaped
the US economic environment and the way its aftershocks will
continue to reverberate and influence the performance of commercial
real estate. Moody's expect 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 regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Moody's rating action reflects a base expected loss of 11.1% of the
current pooled balance, compared to 18.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 14.5% of the
original pooled balance, compared to 14.0% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except the
interest-only classes were "US and Canadian Conduit/Fusion
Commercial Mortgage-Backed Securitizations Methodology" published
in November 2021.

DEAL PERFORMANCE

As of the January 18, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 30% to $778.6
million from $1.11 billion at securitization. The certificates are
collateralized by 36 mortgage loans ranging in size from less than
1% to 16% of the pool, with the top ten loans (excluding
defeasance) constituting 61% of the pool. Thirteen loans,
constituting 24% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of nine, compared to 11 at Moody's last review.

As of the January 2021 remittance report, loans representing 96%
were current or within their grace period on their debt service
payments and 4% were greater than 90 days delinquent. All of the
remaining loans in the pool have a maturity date on or prior to
November 2022.

Six loans, constituting 29% of the pool, are on the master
servicer's watchlist, of which two loans, representing 20% of the
pool, indicate the borrower has received loan modifications in
relation to the coronavirus impact on the property. The watchlist
includes loans that meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, the agency reviews the watchlist to assess which loans
have material issues that could affect performance.

Four loans have been liquidated from the pool, resulting in an
aggregate realized loss of $74.2 million (for an average loss
severity of 91%). This includes the Fashion Outlets of Las Vegas
loan which liquidated with a 100% loss severity based on the
balance at disposition.

One loan, the Emerald Square Mall Loan ($33.1 million -- 4.3% of
the pool), is currently in special servicing and represents a pari
passu portion of a $95.2 million mortgage loan. The loan is secured
by a 564,501 SF portion of a 1,022,923 SF enclosed super-regional
mall in North Attleboro, Massachusetts. The mall is anchored by a
Macy's, Macy's Home and J.C. Penney, of which only J.C. Penney is
collateral for the loan. There was also a non-collateral Sears
which closed in 2021. The property's performance has declined
annually since securitization due to lower rental revenues and the
2019 NOI was 26% lower than in 2012. Furthermore, the loan's DSCR
was below 1.00X in 2020 and for the first three months of 2021. As
of December 2021, collateral and inline occupancy were 73% and 59%,
respectively, compared to 75% and 63%, respectively, in September
2020. The mall temporarily closed due to the coronavirus outbreak
and re-opened in June 2020. The loan has been in special servicing
since June 2020 due to imminent monetary default and the loan is
last paid through its March 2021 payment date. A receiver was
appointed in late 2020 and a full cash sweep remains in place. The
special servicer indicated they are evaluating all resolution
options. The loan has amortized by over 17% since securitization,
however, the property's value has significantly declined from
securitization and based on an August 2021 appraisal value, the
loan has recognized a 64% appraisal reduction as of the January
2022 remittance statement. Moody's expects a significant loss on
this loan.

Moody's has also assumed a high default probability for one poorly
performing loan, the Eastview Mall and Commons loan (15% of the
pool), which is further discussed below. Moody's has estimated an
aggregate loss of $75.2 million (a 49% expected loss on average)
from these specially serviced and troubled loans.

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

Moody's received full year 2020 operating results for 100% of the
pool, and full or partial year 2021 operating results for 98% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 98%, unchanged from Moody's last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 12% to the most recently available net operating
income (NOI), excluding hotel properties that had significantly
depressed NOI in 2020. Moody's value reflects a weighted average
capitalization rate of 10.1%.

Moody's actual and stressed conduit DSCRs are 1.80X and 1.20X,
respectively, compared to 1.81X and 1.20X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three performing loans represent 33% of the pool balance.
The largest loan is The Prince Building Loan ($125.0 million --
16.1% of the pool), which represents a pari-passu portion of a
$200.0 million mortgage loan. The loan is secured by the fee
interest in a 12-story retail and office building, totaling 355,000
SF and located in the SoHo neighborhood of Manhattan. The property
contains 69,346 SF of retail space and 285,257 SF of office space.
The property's NOI has generally declined since securitization due
to slightly lower rental revenues and significant increases in
operating expenses. However, the property has benefited from recent
leasing and was 92% leased as of September 2021, compared to 91% in
December 2019. The property's revenues in 2020 and 2021 were
impacted by rent abatement periods of several new tenants as well
as rent deferral agreements due to the pandemic. The loan is
interest only throughout its entire term and matures in October
2022. Moody's LTV and stressed DSCR are 120% and 0.81X,
respectively, unchanged from the last review.

The second largest loan is the Eastview Mall and Commons Loan
($120.0 million -- 15.4% of the pool), which represents a
pari-passu portion of a $210.0 million mortgage loan. The loan is
secured by a 725,000 SF portion of a 1.4 million super-regional
mall and an 86,000 SF portion of a 341,000 SF adjacent retail power
center. The property is located in Victor, New York, approximately
15 miles southeast of Rochester. The Eastview Commons portion is a
power center with major tenants including Best Buy, Staples and Old
Navy with non-collateral anchors of Target & Home Depot. The
Eastview Mall's non-collateral anchors include Macy's, Von Maur,
and JC Penney. Non-collateral anchor tenant, Sears, vacated in 2018
but was reported to be backfilled by a Dicks Sporting Goods during
2021. Another non-collateral anchor tenant, Lord & Taylor, declared
bankruptcy and closed their store in early 2021. The total mall,
including the non-collateral anchors, was approximately 89% leased
as of September 2021, compared to 93% in June 2020. The property's
net operating income (NOI) has declined annually since 2018 due
primarily to the lower rental revenues, and the annualized NOI as
of September 2021 was 33% lower than in 2012. The mall is
considered to be the dominant mall in the area; however, property
performance has further declined with a September 2021 NOI DSCR of
1.37X compared to 1.81X in 2019 and 2.01X in 2018. The loan
previously transferred to special servicing in June 2020 but was
ultimately brought current and returned to the master servicer as a
corrected loan in July 2020. The loan is interest only for its
entire term and matures in September 2022. Due to the property's
decline in performance, current market conditions for regional
malls and the loan's upcoming maturity date in September 2022,
Moody's has identified this as a troubled loan.

The third largest loan is the TMI Hospitality Portfolio Loan ($35.4
million -- 4.5% of the pool), which is secured by a portfolio of
five limited service and five extended stay hotels located across
six states (Texas, Illinois, Michigan, South Dakota, Iowa, and
Minnesota). The portfolio is represented by Residence Inn by
Marriott, Fairfield Inn, Fairfield Inn & Suites, Courtyard by
Marriott, and TownePlace Suites. Through year-end 2019 the
property's performance had improved since securitization due to the
increased revenue per available room (RevPAR) outpacing increased
operating expenses. However, the property's operations were
impacted by the coronavirus pandemic. In 2020 the special servicer
consented to the use of reserves to make debt service payments from
June through August and to temporarily defer the funding of such
reserves. The portfolio performance began to rebound in 2021 and
for the trailing twelve-month period ending September 2021 the
portfolio's NOI DSCR was 1.12X, compared to 0.61X in 2020 and 2.35X
in 2019. The loan has amortized by 23% since securitization and
remained current on its debt service payments subsequent to the
payment relief described above. The loan matures in October 2022
and Moody's LTV and stressed DSCR are 100% and 1.26X, respectively.



COMM 2022-HC: DBRS Finalizes BB Rating on Class HRR Certs
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the classes of
Commercial Mortgage-Pass Through Certificates to be issued by COMM
2022-HC Mortgage Trust as follows:

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

All trends are Stable. Class X is an interest-only (IO) class whose
balance is notional.

The COMM 2022-HC Mortgage Trust transaction is secured by the
fee-simple interest in Hudson Commons, a 26-story,
697,960-square-foot (sf) LEED Platinum office tower. The building
is on Ninth Avenue between West 34th Street and West 35th Street in
the Penn Station submarket of Manhattan, New York. The property was
built in 1962 and was renovated from 2018 to 2012 by the seller, a
joint venture of Cove Property Group LLC and The Baupost Group LLC.
Renovations of more than $800 million consisted of upgrading and
reinforcing the existing structure, in addition to constructing an
additional 17-story, 304,301-sf glass tower of office space
directly above the existing structure. The property is split into
two condominium units that both serve as collateral for the loan:
the original nine-story podium base and the additional 17-story
glass tower. Following a competitive bidding process with numerous
institutional offers, a joint venture between CommonWealth Partners
LLC (CWP) and the California Public Employees' Retirement System
(CalPERS) purchased Hudson Commons for approximately $1.03 billion
($1,480 per sf (psf)). The sponsor's business plan is to lease-up
the remaining vacant space and stabilize the property.

Hudson Commons is currently 72.7% leased to six tenants: Peloton
(48.1% net rentable area (NRA)/66.7% gross rent/lease expiration
date (LXD): December 2035), Lyft (14.4% NRA/19.8% gross rent/LXD:
November 2029), Ovid Therapeutics (2.7% NRA/4.9% gross rent/LXD:
September 2032), True Talent Advisory (2.5% NRA/4.3% gross
rent/LXD: December 2032), Brevet Capital (2.3% NRA/4.2% gross
rent/LXD: August 2030), and In Common Coffee (0.2% NRA/0.1% gross
rent/LXD: October 2036). Peloton and Lyft have committed to
significant out-of-pocket investment in their spaces, investing
$500 psf ($167.9 million) and $175 psf ($17.6 million),
respectively. These amounts are in addition to the tenant
improvement (TI) packages received from landlord, demonstrating a
long-term commitment to the property. Hudson Commons is situated at
the focal point of current development in Manhattan, standing
between Hudson Yards, Manhattan West, and the redeveloped Moynihan
Train Hall/Penn Station. The location provides exceptional access
to transit, situated one block from the 34th Street-Hudson Yards
subway entrance, and steps away from six subway lines (A, C, E, 1,
2, and 3), commuter rail (NJ Transit and LIRR), and Amtrak service
at Moynihan Train Hall/Penn Station. The property is a three-minute
walk to the High Line; a 10-minute walk to the Whitney Museum of
American Art; and one block away from the amenities, retail, and
restaurants at Brookfield's 7 million-sf Manhattan West
development.

While DBRS Morningstar has historically taken a favorable view on
assets in desirable Midtown Manhattan locations such as the
collateral's, weakened tenant demand throughout the Midtown
Manhattan office market in the wake of the Coronavirus Disease
(COVID-19) pandemic reflects a degree of uncertainty related to
post-pandemic office work trends. Fortunately, Class A vacancy
rates have remained relatively low throughout the subsection of the
submarket in which the collateral resides, showing the area's
strength and resilience relative to even the historically top-tier
Midtown Manhattan office market. Tenant demand in the submarket
around the property has been exceptionally strong, even after the
onset of the pandemic. The top tenants in the submarket include
BlackRock, Pfizer, and TimeWarner. In August 2020, Facebook
committed to a 730,000-sf lease at the Farley Post Office
redevelopment, just one block from the property. Additional notable
tenants in the area include AmLaw 100 firms (Skadden Arps and
Cravath), Amazon, Dentsu, the National Hockey League, and KKR,
among many others.

At loan closing, approximately $33.5 million of cash equity ($176
psf on the currently vacant square footage) will be placed into an
upfront reserve account to be used for accretive TI and leasing
commissions (LC) along with approximately $1.97 million allocated
to existing leases. In addition the excess cash flow, up to $100
per rentable square foot will be swept for the two largest tenants
(Peloton and Lyft) upon the earlier of (1) the date 12 months prior
to the lease expiration date; (2) the date each tenant is required
to give notice of its exercise of a renewal option; (3) the early
termination, early cancellation, or early surrender of a major
tenant lease; (4) a major tenant goes dark; (5) default of the
lease; or (6) bankruptcy of a major tenant or its parent company.
Given the superior quality of the property, strong institutional
sponsorship, its location in a premier New York office market, lack
of any rollover during the five-year loan term along with the
substantial loan structure including upfront reserves for future
accretive leasing, DBRS Morningstar concluded to a stabilized
economic occupancy of 92.5% for the property. As of Q3 2021,
Cushman & Wakefield reported a Class A office vacancy rate in the
Penn Station submarket of 4.7% with asking rents of approximately
$112.50 psf.

There is a possibility that the sponsor will not execute its
business plan to lease-up vacant space and that the stabilized cash
flow will not be realized during the loan term. Failure to execute
the business plan could result in a term default or, more likely,
the inability to refinance the loan balance at maturity. To achieve
the DBRS Morningstar stabilized occupancy, management needs to
lease-up approximately 146,002 sf at a total cost of approximately
$24.3 million ($166.30 psf) based on DBRS Morningstar's TI/LC
assumptions, which is below the $33.5 million of upfront reserves
dedicated to accretive leasing costs. In addition, the DBRS
Morningstar stabilized value of $886 psf is significantly lower
than the appraiser's comparable office sales, which averaged $1,207
psf across eight transactions since June 2019. It is also
approximately 29.4% below the $1,146 psf invested by the seller to
gut renovate the property.

The transaction sponsorship is a joint venture of CWP and CalPERS.
CWP is a privately held, vertically integrated real estate
investment, development, and management firm based in Los Angeles,
with offices across the United States. CWP has executed more than
$13 billion of transactions in partnerships with CalPERS, beginning
in 1998, and will be an active investor on behalf of the pension
fund with a significant capital allocation for investment across
the United States. Currently, CWP manages a portfolio valued in
excess of $8 billion and is CalPERS' exclusive partner for
domestic, core office investment and has been designated as one of
only five strategic partners for CalPERS' overall real estate
program. CalPERS is the largest public pension fund in the United
States and manages pension and health benefits for more than 1.6
million California public employees, retirees, and their families.
As of December 15, 2021, CalPERS reported over $495 billion in
assets under management and $49 billion of investments in real
assets.

DBR Investments Co. Limited originated the five-year loan that pays
fixed-rate interest of 3.5125% on an IO basis through the entire
term. The $507 million whole loan is composed of seven promissory
notes: six senior A notes totaling $305 million and one junior B
note of $202 million. The COMM 2022-HC transaction will total $467
million and consist of five senior A notes with an aggregate
principal balance of $265 million and the $202 million junior B
note. The remaining senior A note will be held by the originator
and may be included in a future securitization. The senior notes
are pari passu in right of payment with respect to each other. The
senior notes are generally senior in right of payment to the junior
notes.

The whole loan proceeds, together with an equity contribution of
approximately $588.0 million (53.7% of cost) from the sponsor, were
used to facilitate the acquisition of the property. DBRS
Morningstar typically views cash-in acquisition financings more
favorably, given the stronger alignment of borrower incentives
compared with situations in which a sponsor is refinancing and
cashing out of its equity position.

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



CONNECTICUT AVE 2022-R02: Fitch Gives B+ Rating to 4 Tranches
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Fannie
Mae's risk transfer transaction, Connecticut Avenue Securities
Trust, series 2022-R02 (CAS 2022-R02).

DEBT          RATING             PRIOR
----          ------             -----
CAS 2022-R02

2A-H    LT NRsf    New Rating    NR(EXP)sf
2M-1    LT BBBsf   New Rating    BBB(EXP)sf
2M-1H   LT NRsf    New Rating    NR(EXP)sf
2M-2A   LT BBB-sf  New Rating    BBB-(EXP)sf
2M-AH   LT NRsf    New Rating    NR(EXP)sf
2M-2B   LT BB+sf   New Rating    BB+(EXP)sf
2M-BH   LT NRsf    New Rating    NR(EXP)sf
2M-2C   LT BBsf    New Rating    BB(EXP)sf
2M-CH   LT NRsf    New Rating    NR(EXP)sf
2B-1A   LT BBsf    New Rating    BB(EXP)sf
2B-AH   LT NRsf    New Rating    NR(EXP)sf
2B-1B   LT B+sf    New Rating    B+(EXP)sf
2B-BH   LT NRsf    New Rating    NR(EXP)sf
2B-2    LT NRsf    New Rating    NR(EXP)sf
2B-2H   LT NRsf    New Rating    NR(EXP)sf
2B-3H   LT NRsf    New Rating    NR(EXP)sf
2M-2    LT BBsf    New Rating    BB(EXP)sf
2A-I1   LT BBB-sf  New Rating    BBB-(EXP)sf
2A-I2   LT BBB-sf  New Rating    BBB-(EXP)sf
2A-I3   LT BBB-sf  New Rating    BBB-(EXP)sf
2A-I4   LT BBB-sf  New Rating    BBB-(EXP)sf
2E-A1   LT BBB-sf  New Rating    BBB-(EXP)sf
2E-A2   LT BBB-sf  New Rating    BBB-(EXP)sf
2E-A3   LT BBB-sf  New Rating    BBB-(EXP)sf
2E-A4   LT BBB-sf  New Rating    BBB-(EXP)sf

2B-I1   LT BB+sf   New Rating    BB+(EXP)sf
2B-I2   LT BB+sf   New Rating    BB+(EXP)sf
2B-I3   LT BB+sf   New Rating    BB+(EXP)sf
2B-I4   LT BB+sf   New Rating    BB+(EXP)sf
2E-B1   LT BB+sf   New Rating    BB+(EXP)sf
2E-B2   LT BB+sf   New Rating    BB+(EXP)sf
2E-B3   LT BB+sf   New Rating    BB+(EXP)sf
2E-B4   LT BB+sf   New Rating    BB+(EXP)sf
2C-I1   LT BBsf    New Rating    BB(EXP)sf
2C-I2   LT BBsf    New Rating    BB(EXP)sf
2C-I3   LT BBsf    New Rating    BB(EXP)sf
2C-I4   LT BBsf    New Rating    BB(EXP)sf
2E-C1   LT BBsf    New Rating    BB(EXP)sf
2E-C2   LT BBsf    New Rating    BB(EXP)sf
2E-C3   LT BBsf    New Rating    BB(EXP)sf
2E-C4   LT BBsf    New Rating    BB(EXP)sf
2E-D1   LT BB+sf   New Rating    BB+(EXP)sf
2E-D2   LT BB+sf   New Rating    BB+(EXP)sf
2E-D3   LT BB+sf   New Rating    BB+(EXP)sf
2E-D4   LT BB+sf   New Rating    BB+(EXP)sf
2E-D5   LT BB+sf   New Rating    BB+(EXP)sf
2E-F1   LT BBsf    New Rating    BB(EXP)sf
2E-F2   LT BBsf    New Rating    BB(EXP)sf
2E-F3   LT BBsf    New Rating    BB(EXP)sf
2E-F4   LT BBsf    New Rating    BB(EXP)sf
2E-F5   LT BBsf    New Rating    BB(EXP)sf
2-J1    LT BBsf    New Rating    BB(EXP)sf
2-J2    LT BBsf    New Rating    BB(EXP)sf
2-J3    LT BBsf    New Rating    BB(EXP)sf
2-J4    LT BBsf    New Rating    BB(EXP)sf
2-K1    LT BBsf    New Rating    BB(EXP)sf
2-K2    LT BBsf    New Rating    BB(EXP)sf
2-K3    LT BBsf    New Rating    BB(EXP)sf
2-K4    LT BBsf    New Rating    BB(EXP)sf
2-X1    LT BB+sf   New Rating    BB+(EXP)sf
2-X2    LT BB+sf   New Rating    BB+(EXP)sf
2-X3    LT BB+sf   New Rating    BB+(EXP)sf
2-X4    LT BB+sf   New Rating    BB+(EXP)sf
2-Y1    LT BBsf    New Rating    BB(EXP)sf
2-Y2    LT BBsf    New Rating    BB(EXP)sf
2-Y3    LT BBsf    New Rating    BB(EXP)sf
2-Y4    LT BBsf    New Rating    BB(EXP)sf
2M-2Y   LT BBsf    New Rating    BB(EXP)sf
2M-2X   LT BBsf    New Rating    BB(EXP)sf
2B-1    LT B+sf    New Rating    B+(EXP)sf
2B-1Y   LT B+sf    New Rating    B+(EXP)sf
2B-1X   LT B+sf    New Rating    B+(EXP)sf
2B-2Y   LT NRsf    New Rating    NR(EXP)sf
2B-2X   LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned ratings to the 2M-1, 2M-2A, 2M-2B, 2M-2C, 2M-2,
2B-1A, 2B-1B and 2B-1 notes, and certain combinable notes, on
Fannie Mae's risk transfer transaction, Connecticut Avenue
Securities Trust 2022-R02 (CAS 2022-R02). Fannie Mae is issuing a
credit-risk transfer (CRT) transaction as a REMIC from a
bankruptcy-remote trust. The notes are subject to the credit and
principal payment risk of a pool of certain residential mortgage
loans (the reference pool) held in various Fannie Mae-guaranteed
MBS.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, the home price values of this pool
are seen as 10.9% 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 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
19.7% yoy nationally as of September 2021.

Strong Credit Quality (Positive): The reference pool consists of
149,393 loans, totaling $44,278 million, and seasoned approximately
eight months in aggregate. The borrowers have a strong credit
profile (748 FICO and 36% debt to income [DTI] ratio) with high
leverage (91% sustainable loan to value [sLTV]). The pool consists
of 96.9% of loans where the borrower maintains a primary residence,
while 3.1% is an investor property or second home. Additionally,
62.4% of the loans were originated through a retail channel. The
loans were acquired by Fannie Mae between Jan. 1, 2021 and April
30, 2021, and have original LTV ratios of over 80% to up to 97%.

Advantageous Payment Priority and Cash Flow Structure (Positive):
Generally, principal will be allocated pro rata between the senior
2A-H tranche and the subordinated classes. If the minimum credit
enhancement (CE) test and the delinquency test are both satisfied,
total principal will be allocated pro rata between the senior and
subordinate tranches (paid sequentially within the subordinate
tranches). Otherwise, if either the minimum CE test or the
delinquency test is not satisfied, 100% of the scheduled and
unscheduled principal will be allocated to the senior tranche and
then to the subordinate tranches.

The payment priority of class 2M-1 notes will result in a shorter
life and more stable CE than the mezzanine classes in private-label
(PL) RMBS, providing a relative credit advantage. Unlike PL
mezzanine RMBS, which often do not receive a full pro-rata share of
the pool's unscheduled principal payment until year 10, the 2M-1
notes can receive a full pro-rata share of principal as long as a
minimum CE is met and the delinquency test is satisfied.

CAS 2022-R02 has an ESG Relevance Score of '4+' for Human Rights,
Community Relations and Access and Affordability, as CAS is a GSE
program that addresses access and affordability while driving
strong performance, which has a positive impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

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 42.8% 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.

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. 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.

ESG CONSIDERATIONS

CAS 2022-R02 has a Social Relevance Score of '4+' for Human Rights,
Community Relations, Access & Affordability due to CAS is a GSE
program that addresses access and affordability while driving
strong performance, 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.


CROSSROADS ASSET 2021-A: DBRS Confirms BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. confirmed three ratings and upgraded two ratings on the
following classes issued by Crossroads Asset Trust 2021-A:

-- Class A-2 Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) from AA (sf)
-- Class C Notes upgraded to A (high) from A (sf)
-- Class D Notes confirmed at BBB (sf)
-- Class E Notes confirmed at BB (sf)

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 Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020. The
baseline macroeconomic scenarios reflect the view that recent
coronavirus 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 currently available hard credit enhancement in the form of
overcollateralization, subordination (as applicable), and amounts
of deposit in the cash reserve account, as well as the change in
the level of protection afforded by each form of credit enhancement
since the closing of each transaction.

-- The collateral performance of the transactions, with
performance metrics within the expected range.

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

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



CSAIL 2019-C16: DBRS Confirms BB Rating on Class F-RR Certs
-----------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-C16 issued by CSAIL 2019-C16
Commercial Mortgage Trust as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since last review, despite some recent challenges
that have generally been driven by the effects of the Coronavirus
Disease (COVID-19) pandemic, particularly as lodging and retail
property types account for over half of the pool balance. At
issuance, the transaction consisted of 47 fixed-rate loans secured
by 96 commercial and multifamily properties, with a trust balance
of $787.5 million. According to the January 2022 remittance report,
all 47 loans remain within the transaction, with no losses to date.
Collateral reduction as a result of scheduled amortization has been
negligible since issuance. Defeasance has been nominal as well,
with two small loans, representing 1.6% of the pool, defeased since
issuance.

According to the January 2022 remittance report, three loans are in
special servicing and there are 16 loans, representing 43.6% of the
current trust balance, on the servicer's watchlist. These loans are
on the watchlist for a variety of reasons, including low debt
service coverage ratios (DSCRs), low occupancy, and tenant rollover
concerns. However, the primary drivers are cash flow declines for
retail and hospitality properties, generally related to the effects
of the pandemic.

The largest loan on the servicer's watchlist, GNL Portfolio
(Prospectus ID#2; 6.3% of the pool), is secured by the borrower's
fee (15) and leasehold (one) interests in a 2.4 million-square-foot
(sf) industrial portfolio. The properties are located in 14 unique
markets across the United States and were constructed between 1953
and 2018. The loan was added to servicer's watchlist in October
2021 due to the activation of a cash trap, triggered by a lease
termination option exercised by Diebold in October 2021, which
occupied 100% of the net rentable area (NRA; 158,338 sf) at one of
the properties in the portfolio. Given the tenant in question
represented just 7% of the total portfolio NRA, DBRS Morningstar
does not view this as an indicator of increased risk. The loan has
a history of strong performance with a year-end 2020 DSCR of 1.95
times (x). According to the September 2021 financial reporting, the
consolidated DSCR remained healthy at 1.68x, with occupancy
reported at 100% for the period.

The largest specially serviced loan, Santa Fe Portfolio (Prospectus
ID#6; 4.4% of the pool), is secured by an 11-property mixed-use
portfolio totaling approximately 218,000 sf, located primarily in
Downtown Santa Fe, New Mexico. The portfolio has a high
concentration of art gallery tenants, many of which are affiliates
of the sponsor. The loan transferred to special servicing in June
2020 for monetary default, with payments after March 2020
outstanding as of the January 2022 remittance. A loan modification
was granted allowing the deferral of leasing reserve payments for a
period of nine months, with remittance resuming April 2021 and
spread over a 12-month period. The loan remains in cash management
and the special servicer noted accrued interest and late fees will
be conditionally waived, subject to full compliance with the
proposed modification. The portfolio was performing below issuance
expectations prior to the onset of the pandemic, compounding the
risks of an extended delinquency. In addition, an updated August
2020 appraisal showed a value decline to $44.5 million, a variance
of -15.4% from the issuance figure. The loan is full recourse to
the sponsor, however, and the most recent value suggests a loss in
the event of a liquidation would be relatively small.

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



DEEPHAVEN RESIDENTIAL 2022-1: DBRS Finalizes B Rating on B2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2022-1 issued by Deephaven
Residential Mortgage Trust 2022-1 (DRMT 2022-1 or the Issuer):

-- $262.5 million Class A-1 at AAA (sf)
-- $17.8 million Class A-2 at AA (sf)
-- $27.4 million Class A-3 at A (sf)
-- $20.8 million Class M-1 at BBB (sf)
-- $16.3 million Class B-1 at BB (sf)
-- $16.1 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 29.20%
of credit enhancement provided by subordinated Notes. The AA (sf),
A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 24.40%,
17.00%, 11.40%, 7.00%, and 2.65% of credit enhancement,
respectively.

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

The DRMT 2022-1 securitization is backed by a securitization of a
portfolio of fixed and adjustable rate prime and nonprime
first-lien residential mortgages funded by the issuance of the
Notes. The Notes are backed by 752 loans with a total principal
balance of approximately $370,765,188 as of the Cut-Off Date
(January 1, 2022).

The originators for the mortgage pool are All Credit Considered
Mortgage, Inc. (ACC; 27.0%), Deephaven Mortgage LLC (Deephaven;
22.6%), and others (50.4%). Deephaven acquired loans originated
predominantly under the following underwriting guidelines:

-- Deephaven extended prime
-- Deephaven nonprime
-- Deephaven debt service coverage ratio
-- ACC prime plus

DBRS Morningstar performed a telephone operational risk review of
Deephaven's aggregation and mortgage loan origination practices and
believes the company is an acceptable mortgage loan aggregator and
originator.

Selene Finance LP (88.1%) and NewRez LLC, doing business as
Shellpoint Mortgage Servicing (11.9%), are the Servicers for all
loans. RCF II Loan Acquisition, LP will act as the Sponsor and
Advance Reimbursement Party. Computershare Trust Company, N.A.
(rated BBB with a Stable trend by DBRS Morningstar) will act as the
Master Servicer, Paying Agent, Note Registrar, Certificate
Registrar, and REMIC Administrator. U.S. Bank National Association
will serve as the Custodian; Wilmington Savings Fund Society, FSB
will act as the Owner Trustee; and Wilmington Trust National
Association (rated AA (low) with a Negative trend by DBRS
Morningstar) will act as the Indenture Trustee.

The proposed pool is about three months seasoned on a
weighted-average basis, although seasoning spans from zero to 21
months.

In accordance with U.S. credit risk retention requirements, RCF II
Loan Acquisition, LP as the Sponsor, either directly or through a
Majority-Owned Affiliate, will retain an eligible horizontal
residual interest consisting of the Class B-3 Notes and the Class
XS Notes representing not less than 5% economic interest in the
transaction, to satisfy the requirements under Section 15G of the
Securities and Exchange Act of 1934 and the regulations promulgated
thereunder. Such retention aligns Sponsor and investor interest in
the capital structure.

Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
products for various reasons described above. In accordance with
the CFPB Qualified Mortgage (QM)/ATR rules, 68.6% of the loans are
designated as non-QM. Approximately 31.4% of the loans are made to
investors for business purposes and are thus not subject to the
QM/ATR rules.

The Servicers will generally fund advances of delinquent principal
and interest (P&I) on any mortgage until such loan becomes 180 days
delinquent, contingent upon recoverability determination. The
Servicer is also obligated to make advances in respect of taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing of properties (Servicing Advances). The
Servicers will not advance P&I for the payments forborne on the
loans where the borrower has been granted forbearance or similar
loss mitigation in response to the Coronavirus Disease (COVID-19)
pandemic or otherwise. However, the Servicers will be required to
make P&I advances for any delinquent payments due after the end of
the related forbearance period. If the applicable Servicer fails to
make a required P&I advance, the Master Servicer will fund such P&I
advance until it is deemed unrecoverable.

The Sponsor will have the option, but not the obligation, to
repurchase any nonliquidated mortgage loan that is 90 or more days
delinquent under the Mortgage Bankers Association method at the
Repurchase Price, provided that such repurchases in aggregate do
not exceed 10% of the total principal balance as of the Cut-Off
Date.

RCF II Master Depositor, LLC, as the Administrator, on behalf of
the Issuer may, at its option, on any date on or after the earlier
of (1) the three-year anniversary of the Closing Date or (2) the
date on which the loan balance is reduced to less than or equal to
30% of the balance as of the Cut-Off date, redeem the Notes at a
redemption price equal to the greater of the (a) outstanding Notes
balance plus accrued and unpaid interest and or (b) the sum of the
loan balance, real-estate-owned property value less expected
liquidation expense, advances, and unpaid fees and expenses, as
discussed in the transaction documents (Optional Redemption).

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class A-3 and more subordinate bonds
will not be paid from principal proceeds until the more senior
classes are retired. Principal proceeds can be used to cover
interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP)
before being applied sequentially to amortize the balances of the
Notes. Furthermore, the excess spread can be used to cover realized
losses and prior period bond writedown amounts first before being
allocated to unpaid cap carryover amounts to Class A-1 down to
Class M-1.

CORONAVIRUS 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, 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.



DENALI CAPITAL XI: Moody's Hikes Rating on $16.4MM D-R Notes to Ba3
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Denali Capital CLO XI, Ltd.:

US$14,800,000 Class B-RR Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class B-RR Notes"), Upgraded to Aa1 (sf);
previously on July 16, 2021 Upgraded to Aa3 (sf)

US$19,740,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-R Notes"), Upgraded to Baa1 (sf);
previously on July 16, 2021 Upgraded to Baa3 (sf)

US$16,400,000 Class D-R Secured Deferrable Floating Rate Notes due
2028 (the "Class D-R Notes"), Upgraded to Ba3 (sf); previously on
June 19, 2020 Downgraded to B1 (sf)

Denali Capital CLO XI, Ltd. is a managed cashflow CLO. It was
originally issued in March 2015, partially refinanced in July 2017,
and refinanced again in October 2018. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
October 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2021. The Class
A-1-RR notes have been paid down by approximately 54.1% or $84.3
million since then. Based on the trustee's January 2022 report[1],
the OC ratios for the Class A, Class B, Class C, and Class D notes
are reported at 147.32%, 133.13%, 117.97%, and 107.78%,
respectively, versus July 2021 levels of 133.05%, 123.68%, 113.06%
and 105.53%, respectively. The trustee's January 2022 OC ratios do
not account for the principal payment of approximately $27.9
million made to the Class A-1-RR notes on the January 2022 payment
date.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, 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: $175,572,533

Defaulted par: $2,248,777

Diversity Score: 56

Weighted Average Rating Factor (WARF): 3149

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.38%

Weighted Average Recovery Rate (WARR): 48.56%

Weighted Average Life (WAL): 3.4 years

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

Methodology Used for the Rating Action

The principal methodology used in these ratings 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 Ratings:

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


ELLINGTON CLO II: Moody's Hikes Rating on $37.5MM D Notes From Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Ellington CLO II, Ltd.:

US$35,200,000 Class B Senior Secured Floating Rate Notes Due
February 2029 (the "Class B Notes"), Upgraded to Aaa (sf);
previously on January 30, 2018 Assigned Aa2 (sf)

US$31,500,000 Class C Secured Deferrable Floating Rate Notes Due
February 2029 (the "Class C Notes"), Upgraded to Aa2 (sf);
previously on January 30, 2018 Assigned A2 (sf)

US$37,500,000 Class D Secured Deferrable Floating Rate Notes Due
February 2029 (the "Class D Notes"), Upgraded to Baa3 (sf);
previously on November 10, 2020 Downgraded to Ba1 (sf)

Ellington CLO II, Ltd., originally issued in January 2018, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in February 2021.

RATINGS RATIONALE

These rating actions are primarily a result of a significant
increase in the transaction's over-collateralization (OC) ratios
since February 2021. Based on the trustee's January 5, 2022
report[1], the OC ratios for the Class A/B, Class C, Class D and
Class E notes are reported at 176.02%, 152.78%, 132.03%, and
113.53%, respectively, versus February 2021 levels[2] of 153.25%,
135.88%, 119.69%, and 104.33%, respectively. Additionally, the deal
has benefited from an improvement in the credit quality of the
portfolio. Based on the trustee's January 2022[3] report, the
weighted average rating factor is currently 5003 compared to 5488
in February 2021[4].

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: $364,269,898

Defaulted par: $19,591,199

Diversity Score: 31

Weighted Average Rating Factor (WARF): 4665

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
4.93%

Weighted Average Coupon (WAC): 7.88%

Weighted Average Recovery Rate (WARR): 47.25%

Weighted Average Life (WAL): 3.3 years

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

Methodology Used for the Rating Action

The principal methodology used in these ratings 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 Ratings:

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


ELLINGTON CLO III: Moody's Ups Rating on $40MM Class E Notes to B3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Ellington CLO III, Ltd.:

US$28,000,000 Class B Senior Secured Floating Rate Notes Due July
2030 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on
July 8, 2018 Assigned Aa2 (sf)

US$28,500,000 Class C Secured Deferrable Floating Rate Notes Due
July 2030 (the "Class C Notes"), Upgraded to Aa3 (sf); previously
on July 8, 2018 Assigned A2 (sf)

US$35,500,000 Class D Secured Deferrable Floating Rate Notes Due
July 2030 (the "Class D Notes"), Upgraded to Baa3 (sf); previously
on August 14, 2020 Downgraded to Ba2 (sf)

US$40,000,000 Class E Secured Deferrable Floating Rate Notes Due
July 2030 (the "Class E Notes"), Upgraded to B3 (sf); previously on
August 14, 2020 Downgraded to Caa3 (sf)

US$11,000,000 Class F Secured Deferrable Floating Rate Notes Due
July 2030 (the "Class F Notes"), Upgraded to Caa3 (sf); previously
on August 14, 2020 Downgraded to Ca (sf)

Ellington CLO III, Ltd., originally issued in July 2018 and
partially refinanced in April 2021, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in July 2022.

RATINGS RATIONALE

These rating actions are primarily a result of a significant
increase in the transaction's over-collateralization (OC) ratios
since February 2021. Based on the trustee's January 7, 2022
report[1], the OC ratios for the Class A/B, Class C, Class D and
Class E notes are reported at 164.92%, 146.12%, 127.96%, and
112.24%, respectively, versus February 2021 levels[2] of 153.85%,
136.17%, 118.95%, and 103.81%, respectively. Additionally, the deal
has benefited from an improvement in the credit quality of the
portfolio. Based on the trustee's January 2022[3] report, the
weighted average rating factor is currently 4949 compared to 5823
in February 2021[4].

These rating actions also reflect the benefit of the short period
of time remaining before the end of the deal's reinvestment period
in July 2022, after which reinvestment is prohibited.

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: $374,144,310

Defaulted par: $14,036,823

Diversity Score: 42

Weighted Average Rating Factor (WARF): 4622

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
5.16%

Weighted Average Coupon (WAC): 8.42%

Weighted Average Recovery Rate (WARR): 45.6%

Weighted Average Life (WAL): 4 years

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

Methodology Used for the Rating Action

The principal methodology used in these ratings 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 Ratings:

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


FLAGSHIP 2022-1: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto Trust 2022-1's automobile receivables-backed notes.

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

The preliminary ratings are based on information as of Feb. 9,
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 41.39%, 35.77%, 27.90%,
21.83%, and 17.89% credit support (including excess spread) for the
class A, B, C, D, and E notes, respectively, based on stressed cash
flow scenarios. These credit support levels provide coverage of
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x of S&P's
11.25%-11.75% expected cumulative net loss range for the class A,
B, C, D, and E notes, respectively. These break-even scenarios
cover total cumulative gross defaults (using a recovery assumption
of 40.00%) of approximately 68.98%, 59.62%, 46.50%, 36.39%, and
29.81%, respectively.

-- The hard credit enhancement in the form of subordination,
overcollateralization, and a reserve account in addition to excess
spread.

-- The expectation that under a moderate ('BBB') stress scenario
(1.75x S&P's expected loss level), all else being equal, its
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 timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate for the assigned
preliminary ratings.

-- The characteristics of the collateral pool being securitized.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  Flagship Credit Auto Trust 2022-1

  Class A, $243.13 million: AAA (sf)
  Class B, $27.77 million: AA (sf)
  Class C, $37.09 million: A (sf)
  Class D, $26.72 million: BBB (sf)
  Class E, $15.12 million: BB- (sf)



FREDDIE MAC 2022-DNA2: S&P Assigns Prelim 'B+' Rating on B-1I Note
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2022-DNA2's residential mortgage-backed notes.

The note issuance is an RMBS securitization backed by residential
mortgage loans, deeds of trust, or similar security instruments
encumbering mortgaged properties acquired by Freddie Mac.

The preliminary ratings are based on information as of Feb 3, 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 real estate mortgage investment conduit (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
processes Freddie Mac uses in conjunction with the underlying
representations and warranties 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-DNA2

  Class A-H(i), $42,826,127,100: NR
  Class M-1A, $576,000,000: A (sf)
  Class M-1AH(i), $30,984,479: NR
  Class M-1B, $597,000,000: BBB (sf)
  Class M-1BH(i), $32,465,385: NR
  Class M-2, $320,000,000: BB (sf)
  Class M-2A, $160,000,000: BB+ (sf)
  Class M-2AH(i), $8,606,800: NR
  Class M-2B, $160,000,000: BB (sf)
  Class M-2BH(i), $8,606,800: NR
  Class M-2R, $320,000,000: BB (sf)
  Class M-2S, $320,000,000: BB (sf)
  Class M-2T, $320,000,000: BB (sf)
  Class M-2U, $320,000,000: BB (sf)
  Class M-2I, $320,000,000: BB (sf)
  Class M-2AR, $160,000,000: BB+ (sf)
  Class M-2AS, $160,000,000: BB+ (sf)
  Class M-2AT, $160,000,000: BB+ (sf)
  Class M-2AU, $160,000,000: BB+ (sf)
  Class M-2AI, $160,000,000: BB+ (sf)
  Class M-2BR, $160,000,000: BB (sf)
  Class M-2BS, $160,000,000: BB (sf)
  Class M-2BT, $160,000,000: BB (sf)
  Class M-2BU, $160,000,000: BB (sf)
  Class M-2BI, $160,000,000: BB (sf)
  Class M-2RB, $160,000,000: BB (sf)
  Class M-2SB, $160,000,000: BB (sf)
  Class M-2TB, $160,000,000: BB (sf)
  Class M-2UB, $160,000,000: BB (sf)
  Class B-1, $213,000,000: B+ (sf)
  Class B-1A, $106,500,000: B+ (sf)
  Class B-1AR, $106,500,000: B+ (sf)
  Class B-1AI, $106,500,000: B+ (sf)
  Class B-1AH(i), $5,904,533: NR
  Class B-1B, $106,500,000: B+ (sf)
  Class B-1BH(i), $5,904,533: NR
  Class B-1R, $213,000,000: B+ (sf)
  Class B-1S, $213,000,000: B+ (sf)
  Class B-1T, $213,000,000: B+ (sf)
  Class B-1U, $213,000,000: B+ (sf)
  Class B-1I, $213,000,000: B+ (sf)
  Class B-2, $213,000,000: NR
  Class B-2A, $106,500,000: NR
  Class B-2AR, $106,500,000: NR
  Class B-2AI, $106,500,000: NR
  Class B-2AH(i), $5,904,533: NR
  Class B-2B, $106,500,000: NR
  Class B-2BH(i), $5,904,533: NR
  Class B-2R, $213,000,000: NR
  Class B-2S, $213,000,000: NR
  Class B-2T, $213,000,000: NR
  Class B-2U, $213,000,000: NR
  Class B-2I, $213,000,000: NR
  Class B-3H(i), $112,404,533: NR

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



GAM RE-REMIC 2022-FRR3: DBRS Gives Prov. B(low) Rating on 7 Classes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Multifamily Mortgage-Backed Certificates, Series 2022-FRR3 to be
issued by GAM RE-REMIC TRUST 2022-FRR3:

-- Class AK27 at AA (low) (sf)
-- Class BK27 at A (low) (sf)
-- Class CK27 at BBB (low) (sf)
-- Class DK27 at BB (low) (sf)
-- Class EK27 at B (low) (sf)
-- Class AK61 at BBB (low) (sf)
-- Class BK61 at BB (low) (sf)
-- Class CK61 at B (low) (sf)
-- Class AK41 at AA (low) (sf)
-- Class BK41 at A (low) (sf)
-- Class CK41 at BBB (low) (sf)
-- Class DK41 at BB (low) (sf)
-- Class EK41 at B (low) (sf)
-- Class AK47 at A (low) (sf)
-- Class BK47 at BBB (low) (sf)
-- Class CK47 at BB (low) (sf)
-- Class DK47 at B (low) (sf)
-- Class AK71 at BBB (low) (sf)
-- Class BK71 at BB (low) (sf)
-- Class CK71 at B (low) (sf)
-- Class AK89 at BBB (low) (sf)
-- Class BK89 at BB (low) (sf)
-- Class CK89 at B (low) (sf)
-- Class A728 at A (low) (sf)
-- Class B728 at BBB (low) (sf)
-- Class C728 at BB (low) (sf)
-- Class D728 at B (low) (sf)

All trends are Stable.

This transaction is a resecuritization collateralized by the
beneficial interests in five commercial mortgage-backed
pass-through certificates from seven underlying transactions: FREMF
2013-K27 Mortgage Trust, Multifamily Mortgage Pass-Through
Certificates, Series 2013-K27; FREMF 2017-K61 Mortgage Trust,
Multifamily Mortgage Pass-Through Certificates, Series 2017-K61;
FREMF 2014-K41 Mortgage Trust, Multifamily Mortgage Pass-Through
Certificates, Series 2014-K41; FREMF 2015-K47 Mortgage Trust,
Multifamily Mortgage Pass-Through Certificates, Series 2015-K47;
FREMF 2017-K71 Mortgage Trust, Multifamily Mortgage Pass-Through
Certificates, Series 2017-K71; FREMF 2019-K89 Mortgage Trust,
Multifamily Mortgage Pass-Through Certificates, Series 2019-K89;
and FREMF 2017-K728 Mortgage Trust, Multifamily Mortgage
Pass-Through Certificates, Series 2017-K728. The ratings are
dependent on the performance of the underlying transactions.

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



GS MORTGAGE 2013-G1: Fitch Affirms B Rating on Class DM Tranche
---------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed six classes of
GS Mortgage Securities Trust (GSMS) 2013-G1.

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

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

Class X-A is interest only.

KEY RATING DRIVERS

Secular Shift Related to Malls: The downgrade to class D reflects
its junior position in the capital stack and the likelihood that
all of the malls do not fully recover to pre-pandemic performance
levels at their upcoming maturities. A Stable Rating Outlook on the
class has been assigned.

Stabilizing Performance: Performance at the malls has suffered over
the last two years due to the ongoing pandemic; however, they
continue to move towards pre-pandemic stabilized levels, per the
YTD September 2021 financial information. All three malls were
temporarily closed in March through May 2020 due to the COVID
restrictions, after which they began to reopen at limited
capacities. The servicer reported weighted average NCF debt service
coverage ratio (DSCR) was 2.92x for YTD September 2021 compared to
2.74x at YE 2020. Fitch will continue to monitor the loans going
forward and expects to review the YE 2021 financials when
available.

Regional Mall Concentration: The transaction collateral consists of
three mortgage loans secured by the Great Lakes Crossing Outlets
(Great Lakes), located in Auburn Hills, MI, Deptford Mall in
Deptford, NJ, and Katy Mills Mall (Katy Mills), in Katy, TX. The
loans are not cross-collateralized or cross defaulted.

The largest loan, Great Lakes (38.9% of the pooled loans), is
secured by a 1.1 million-sf portion of a 1.4-million-sf
super-regional mall/outlet center located in Auburn Hills, MI,
approximately 30 miles north of Detroit. Non-collateral anchors
include Bass Pro Shops/Outdoor World and AMC Theatres. Large
collateral tenants include Burlington Coat Factory, Round 1
Bowling, Forever 21, Bed Bath & Beyond, Nordstrom Rack, Marshalls,
H&M, Planet Fitness, and T.J. Maxx. The loan is sponsored by Simon
Property Group through its acquisition, in 2020, of Taubman
Centers, Inc.

Recent collateral occupancy was relatively flat, at 94% per the
September 2021 rent roll, compared to 93.7% at Sept. 2020, 93% at
YE2019 and 94.1% at issuance. Approximately 14.1% of the NRA was
month to month or scheduled to roll over the next 12 months,
including temporary tenant Spirit Halloween (3.8% of NRA) and
Forever 21 (4.2% of NRA), which was previously on the retailer's
store closure list in October 2019, but had its lease extended to
January 2023 after Simon acquired Forever 21 in early 2020.

No recent tenant sales were provided by the servicer for this
property. Comparable in-line sales were $251 psf as of September
2020, and include the period from March through May 2020 when the
mall was closed, compared to $504psf as of June 2019, $505psf at YE
2018, $510psf at YE 2017, $526 at YE 2016 and $454 at issuance (YE
2012). The loan, which continues to amortize, is scheduled to
mature in early 2023. The debt is currently $162psf.

The Deptford Mall loan (31.2%) is secured by a 343,910-sf portion
of a 1.04-million-sf regional mall located in Deptford, NJ,
approximately 12 miles southeast of downtown Philadelphia, PA.
There are four non-collateral anchor tenants, Macy's, JC Penney,
Boscov's, and Dick's Sporting Goods, which opened in 2020 after
taking over the former Sears space; Sears terminated its ground
lease in January 2019, prior to its 2026 lease expiration.
Additionally, a Crunch Fitness recently opened in late October 2021
in the former Sear's Auto outparcel space; the building and
surrounding parking lot were completely renovated.

Collateral tenants include H&M, Forever 21, Express, Victoria's
Secret, and Finish Line. Collateral occupancy was 89% as of
September 2021 compared to 85.2% at September 2020, 98% at YE 2019,
and 96.8% at issuance. Approximately 30% of the collateral rolls
over the next 12 months, including Forever 21 (5.9% of NRA, expiry
January 2023). Although this location was previously on Forever
21's store closure list, the lease expiration was extended from
January 2021 to January 2023 following Simon's acquisition of the
retailer in early 2021. Forever 21 reported TTM September 2021
sales at $175 psf.

Comparable in-line sales were reported at a healthy $636psf as of
TTM September 2021 compared to $403 psf as of September 2020, which
includes a pandemic closure period; $518psf as of June 2019, and
$496 psf at issuance (YE 2012). The property has limited direct
competition in the region. The nearest mall is Cherry Hill Mall
about nine miles to the north, which serves a different trade area
and market segment.

The loan is sponsored by The Macerich Partnership, LP, one of the
largest owner/operators of shopping centers in the U.S. On its
website, Macerich reports that the subject attracts the highest
foot traffic in its portfolio. The loan, which continues to
amortize, is scheduled to mature in early 2023. The pooled debt per
square foot is $425 psf. The subordinate $20.4 million class DM
rake bond is also secured by the mall. The bonds rating is affirmed
at 'Bsf'/Negative.

The Katy Mills loan (29.9%) is secured by a 1.2 million sf portion
of a 1.55-million-sf regional, mall/outlet shopping center located
in Katy, TX, approximately 30 miles west of downtown Houston. A
Wal-Mart Supercenter and several outparcels are not included in the
loan collateral.

Collateral anchor tenants include Bass Pro Shops, Burlington Coat
Factory, AMC Theatres and Marshalls. Other tenants include Ross
Dress for Less, Forever 21, Old Navy Outlet, and Saks Fifth Avenue
Off Fifth. Collateral occupancy was 82% as of September 2021, down
from 88.1% in June 2020, 87.6% in September 2019. and 88.9% at
issuance.

The loan is sponsored by a joint venture between Simon Property
Group and KAM Am USA. The sponsors reportedly invested $15 million
to renovate the property in 2018 and 2019. Further, adjacent to the
mall is the new home of Dig World-Texas' first all-ages
construction-themed adventure park, which is scheduled to open in
March 2022, and is expected to host a projected 100,000 visitors in
its first year.

The Katy Mills loan is interest only and matures in December 2022.
The debt is $117psf.

Deal Metrics: The pooled total loan amount of $468.2 million has a
Fitch weighted-average DSCR and loan-to-value ratio of 1.21x and
73%, respectively.

RATING SENSITIVITIES

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

-- Class A-1 is expected to pay off in the next several months
    from scheduled amortization;

-- Factors that could lead to downgrades for classes A-2, X-A, B,
    C, D and DM include a failure of the malls to continue to
    stabilize or should they see further deterioration of property
    performance. Downgrades to classes A-2, X-A B, C and D-M could
    be a full category or more.

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

-- Upgrades are currently not expected given the pools
    concentration and upcoming maturities. Factors that lead to
    upgrades would include significant improvement to cash flow
    and tenant sales, paydown from the release of properties or
    defeasance;

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

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


GS MORTGAGE 2022-LTV1: Moody's Gives (P)B3 Rating to Cl. B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2022-LTV1. The ratings range
from (P) Aaa (sf) to (P) B3 (sf).

GS Mortgage-Backed Securities Trust 2022-LTV1 (GSMBS 2022-LTV1) is
the fourth prime jumbo transaction in 2022 issued by Goldman Sachs
Mortgage Company (GSMC), the sponsor and the primary mortgage loan
seller. Overall, pool strengths include the high credit quality of
the underlying borrowers, indicated by high FICO scores, strong
reserves for prime jumbo borrowers, mortgage loans with fixed
interest rates and no interest-only loans. As of the cut-off date,
none of the mortgage loans are subject to a COVID-19 related
forbearance plan.

GSMC's general partner is Goldman Sachs Real Estate Funding Corp.
and its limited partner is Goldman Sachs Bank USA. The mortgage
loans for this transaction were acquired by GSMC, the sponsor and
the mortgage loan seller (100.0% by UPB), from certain of the
originators or the aggregator, MaxEx Clearing LLC (which aggregated
7.3% of the mortgage loans by UPB).

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service 68.6% (by loan balance) and United Wholesale Mortgage, LLC
(UWM) will service 31.4% (by loan balance) of the mortgage loans on
behalf of the issuing entity which will be subserviced by Cenlar
FSB (Cenlar), as subservicer. Computershare Trust Company, N.A.
(Computershare) will be the master servicer for this transaction.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its losses based on qualitative attributes, including
origination quality, the strength of the R&W framework and
third-party review (TPR) results.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2022-LTV1

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

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

Cl. A-3, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-15-X*, Assigned (P)Aaa (sf)

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

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

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

Cl. A-18, Assigned (P)Aaa (sf)

Cl. A-18-X*, Assigned (P)Aaa (sf)

Cl. A-19, Assigned (P)Aaa (sf)

Cl. A-20, Assigned (P)Aaa (sf)

Cl. A-21, Assigned (P)Aa1 (sf)

Cl. A-X-1*, Assigned (P)Aa1 (sf)

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

Cl. A-X-3*, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

Cl. B-3, Assigned (P)Baa3 (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-mean is
1.48% in a baseline scenario-median is 1.11% and reaches 9.64% at
stress level consistent with Moody's Aaa rating.

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, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

As of the February 1, 2022 cut-off date, the aggregate collateral
pool comprises 343 prime jumbo (non-conforming), 30-year loan-term,
fully-amortizing fixed-rate mortgage loans, with an aggregate
stated principal balance (UPB) $317,653,412 and a weighted average
(WA) mortgage rate of 3.5%. Top 10 MSAs comprise 56.2% of the pool,
by UPB. The high geographic concentration in high cost MSAs is
reflected in the high average balance of the pool ($926,103).

GSMBS 2022-LTV1 is the first GSMBS transaction with the LTV
designation. The WA loan-to-value (LTV) ratio of the mortgage pool
is 89.5%, which is higher than that of previous GSMBS transactions
which had WA LTVs of about 71% on average. All the loans have LTVs
greater than 80%, and about 91% of the loans by balance have LTVs
greater than 85%. Only one loan in the pool has mortgage insurance.
Consistent with previous GSMBS transactions, the borrowers in the
pool have a WA FICO score of 774 and a WA debt-to-income ratio of
36.9%.

All the mortgage loans in the aggregate pool are qualified
mortgages (QM) meeting the requirements of the QM-Safe Harbor rule
(Appendix Q) or the new General QM rule.

A portion of the loans purchased from various sellers into the pool
were originated pursuant to the new general QM rule (92.9% of the
pool by loan balance). The third-party review verified that the
loans' APRs met the QM rule's thresholds. Furthermore, these loans
were underwritten and documented pursuant to the QM rule's
verification safe harbor via a mix of the Fannie Mae Single Family
Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide,
and applicable program overlays. As part of the origination quality
review and in consideration of the detailed loan-level third-party
diligence reports, which included supplemental information with the
specific documentation received for each loan, Moody's concluded
that these loans were fully documented loans, and that the
underwriting of the loans is acceptable. Therefore, Moody's ran
these loans as "full documentation" loans in Moody's MILAN model,
but increased Moody's Aaa and expected loss assumptions due to the
lack of performance, track records and substantial overlays of the
AUS-underwritten loans.

Aggregator/Origination Quality

GSMC is the loan aggregator and the mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the mortgage loan seller (100.0% by UPB), from certain
of the originators or the aggregator, MaxEx Clearing LLC (which
aggregated 7.3% of the mortgage loans by UPB). The mortgage loans
in the pool are underwritten to either GSMC's underwriting
guidelines, or seller's applicable guidelines. The mortgage loan
sellers do not originate any mortgage loans, including the mortgage
loans included in the mortgage pool. Instead, the mortgage loan
sellers acquired the mortgage loans pursuant to contracts with the
originators or the aggregator.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of each of the originators which
contributed at least approximately 10% of the mortgage loans (by
UPB) to the transaction. For these originators, Moody's reviewed
their underwriting guidelines, performance history, and quality
control and audit processes and procedures (to the extent
available, respectively). Approximately 31.4%, 12.4% and 10.7% of
the mortgage loans, by UPB as of the cut-off date, were originated
by UWM, Fairway Independent Mortgage Corp and Guaranteed Rate
affiliates (including Guaranteed Rate, Inc. (GRI), Guaranteed Rate
Affinity, LLC (GRA) and Proper Rate, LLC) respectively. No other
originator or group of affiliated originators originated more than
approximately 10% of the mortgage loans in the aggregate.

Moody's increased its base case and Aaa loss expectations for
certain originators of non-conforming loans where Moody's do not
have clear insight into the underwriting practices, quality control
and credit risk management [except being neutral for Guaranteed
Rate, Inc. (including Guaranteed Rate Affinity, LLC and Proper
Rate, LLC), Caliber Home Loans, Inc. and NewRez LLC under the old
QM guidelines].

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to Moody's base case and Aaa stress loss assumptions based on the
servicing arrangement.

Shellpoint and UWM will act as the servicers for this transaction.
Shellpoint will service 68.6% of the pool by balance and UWM will
service 31.4% of the pool by balance. Cenlar will act as the
subservicer for UWM. Furthermore, Computershare will act as the
master servicer.

Computershare is a national banking association and a wholly-owned
subsidiary of Computershare Ltd. (Baa2, long term rating), an
Australian financial services company with over $5 billion (USD) in
assets as of June 30, 2021. Computershare Ltd. and its affiliates
have been engaging in financial service activities, including stock
transfer related services since 1997, and corporate trust related
services since 2000.

Third-party Review

The transaction benefits from TPR on 100% of the mortgage loans for
regulatory compliance, credit and property valuation. The TPR
results confirm compliance with the originator's underwriting
guidelines for the vast majority of loans, no material regulatory
compliance issues, and no material property valuation exceptions.
The loans that had exceptions to the originator's underwriting
guidelines had significant compensating factors that were
documented. However, weaknesses exist in the property valuation
review, where 169 non-conforming loans had a property valuation
review consisting of Fannie Mae's Collateral Underwriter score
and/or no other third-party valuation product such as a Collateral
Desktop Analysis (CDA) and field review or second full appraisal.
As a result, Moody's applied an adjustment to the collateral loss
to these 169 loans since the sample size of loans in the pool that
were reviewed using a third-party valuation product such as a CDA
was insufficient.

Representations & Warranties

GSMBS 2022-LTV1's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because most of the R&W providers are unrated
and/or exhibit limited financial flexibility, Moody's applied an
adjustment to the mortgage loans for which these entities provided
R&Ws. In addition, a R&W breach will be deemed not to have occurred
if it arose as a result of a TPR exception disclosed in Appendix I
of the Private Placement Memorandum. There were a relatively high
number of B-grade exceptions in the TPR review, the disclosure of
which weakens the R&W framework.

Tail Risk and Locked Out Percentage

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
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.25% of the cut-off date pool
balance, and as subordination lock-out amount of 1.25% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


GS MORTGAGE 2022-MM1: Moody's Assigns B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2022-MM1. The ratings range
from Aaa (sf) to B3 (sf).

GS Mortgage-Backed Securities Trust 2022-MM1 (GSMBS 2022-MM1) is
the second prime jumbo transaction in 2022 issued by Goldman Sachs
Mortgage Company (GSMC), the sponsor and the primary mortgage loan
seller. Overall, pool strengths include the high credit quality of
the underlying borrowers, indicated by high FICO scores, strong
reserves for prime jumbo borrowers, mortgage loans with fixed
interest rates and no interest-only loans. As of the cut-off date,
none of the mortgage loans are subject to a COVID-19 related
forbearance plan.

GSMC's general partner is Goldman Sachs Real Estate Funding Corp.
and its limited partner is Goldman Sachs Bank USA. The mortgage
loans for this transaction were acquired by GSMC, the sponsor and
the primary mortgage loan seller (100% by UPB). All the loans in
the pool are originated by Movement Mortgage, LLC (Movement
Mortgage).

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a
Shellpoint Mortgage Servicing (Shellpoint) will service all of the
loans in the pool. Computershare Trust Company, N.A. (CTCNA) will
be the master servicer and securities administrator. U.S. Bank
Trust National Association will be the trustee. Pentalpha
Surveillance LLC will be the representations and warranties (R&W)
breach reviewer.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its losses based on qualitative attributes, including
origination quality, the strength of the R&W framework and
third-party review (TPR) results.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2022-MM1

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aa1 (sf)

Cl. A-4, Assigned Aa1 (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

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

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

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

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-15-X*, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

Cl. A-17-X*, Assigned Aaa (sf)

Cl. A-18, Assigned Aaa (sf)

Cl. A-18-X*, Assigned Aaa (sf)

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. A-21, Assigned Aa1 (sf)

Cl. A-X-1*, Assigned Aa1 (sf)

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

Cl. A-X-3*, Assigned Aa1 (sf)

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

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

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

Cl. A-X-13*, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned 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-mean is
0.57%, in a baseline scenario-median is 0.38% and reaches 4.15% at
stress level consistent with Moody's Aaa rating.

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, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

As of the January 1, 2022 cut-off date, the aggregate collateral
pool comprises 359 prime jumbo (non-conforming), 30-year loan-term,
fully-amortizing fixed-rate mortgage loans, none of which have the
benefit of primary mortgage guaranty insurance, with an aggregate
stated principal balance (UPB) $375,841,374 and a weighted average
(WA) mortgage rate of 3.0%. The WA current FICO score of the
borrowers in the pool is 769 and the WA original LTV ratio of the
mortgage pool is 74.0%. Top 10 MSAs comprise 57.2% of the pool by
UPB. The high geographic concentration in high cost MSAs is
reflected in the high average loan balance of the pool
($1,046,912). The characteristics of the mortgage loans in the pool
are generally comparable to that of recent prime jumbo transactions
rated by us.

All the mortgage loans in the aggregate pool are qualified
mortgages (QMs) meeting the requirements of the new General QM
rule. The third-party reviewer verified that the loans' APRs met
the QM rule's thresholds. Furthermore, these loans were
underwritten and documented pursuant to the QM rule's verification
safe harbor via a mix of the Fannie Mae Single Family Selling
Guide, the Freddie Mac Single-Family Seller/Servicer Guide, and
applicable program overlays. As part of the origination quality
review and in consideration of the detailed loan-level third-party
diligence reports, which included supplemental information with the
specific documentation received for each loan, Moody's concluded
that these loans were fully documented loans, and that the
underwriting of the loans is acceptable. Therefore, Moody's ran
these loans as "full documentation" loans in Moody's MILAN model,
but increased Moody's Aaa and expected loss assumptions due to the
lack of performance, track record and substantial overlays of the
AUS-underwritten loans.

Aggregator/Origination Quality

GSMC is the loan aggregator and the primary mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the primary mortgage loan seller (100.0% by UPB). All
the loans in the pool are originated by Movement Mortgage. The
mortgage loan seller does not originate any mortgage loans,
including the mortgage loans included in the mortgage pool.
Instead, the mortgage loan seller acquired the mortgage loans
pursuant to contracts with the originator.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of Movement Mortgage which
originated 100% of the mortgage loans to the transaction. We
reviewed their underwriting guideline, performance history, and
quality control and audit processes and procedures (to the extent
available, respectively). Moody's applied an adjustment for
Movement Mortgage loans originated under the new QM rules as more
time is needed to fully evaluate this origination program and due
to limited performance history of these type of loans and prime
jumbo loans in general.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to its base case and Aaa stress loss assumptions based on the
servicing arrangement.

Shellpoint will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. CTCNA will act as master servicer.

Third-party Review

The transaction benefits from TPR on 100% of the mortgage loans for
regulatory compliance, credit and property valuation. The TPR
results confirm compliance with the originator's underwriting
guidelines for the vast majority of loans, no material regulatory
compliance issues, and no material property valuation issues. The
loans that had exceptions to the originator's underwriting
guidelines had significant compensating factors that were
documented.

Representations & Warranties

GSMBS 2022-MM1's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because the R&W provider is unrated and/or
exhibits limited financial flexibility, Moody's applied an
adjustment to the mortgage loans.

Tail Risk and Locked Out Percentage

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
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.45% of the cut-off date pool
balance, and as subordination lock-out amount of 1.45% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


HALCYON LOAN 2014-3: Moody's Cuts Ratings on CLO Notes to 'C'
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Halcyon Loan Advisors Funding 2014-3
Ltd.:

US$22,500,000 Class E-1 Junior Secured Deferrable Floating Rate
Notes Due October 2025 (current outstanding balance of
$25,223,995.24), Downgraded to C (sf); previously on July 16, 2021
Downgraded to Ca (sf)

US$6,000,000 Class E-2 Junior Secured Deferrable Floating Rate
Notes Due October 2025 (current outstanding balance of
$6,773,799.49), Downgraded to C (sf); previously on July 16, 2021
Downgraded to Ca (sf)

Halcyon Loan Advisors Funding 2014-3 Ltd., originally issued in
September 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 October 2018.

RATINGS RATIONALE

The downgrade rating actions on the Class E-1 and Class E-2 notes
reflect the specific risks posed by par loss observed in the
underlying CLO portfolio. Based on the trustee's January 2022
report[1], the Class E Over-Collateralization (OC) ratio is
reported at 82.52% versus June 2021 level[2] of 88.18%.
Additionally, the Class E-1 and Class E-2 notes is currently
deferring interest payments, and carry deferred interest balances
of $2,381,081.75 and $675,693.59, respectively.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and 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: $95,369,195

Defaulted par: $9,691,784

Diversity Score: 26

Weighted Average Rating Factor (WARF): 3410

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.55%

Weighted Average Recovery Rate (WARR): 48.23%

Weighted Average Life (WAL): 2.6 years

Par haircut in OC tests and interest diversion test: 5.1%

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
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 these ratings 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 Ratings:

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


HALCYON LOAN 2015-3: Moody's Cuts $27.5MM D Notes Rating to Caa2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Halcyon Loan Advisors Funding 2015-3 Ltd.:

US$27,300,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2027, Upgraded to Aaa (sf); previously on April 9, 2021
Upgraded to Aa1 (sf)

US$34,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2027, Upgraded to Baa1 (sf); previously on August 1, 2019
Upgraded to Baa2 (sf)

Moody's has also downgraded the rating on the following notes:

US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2027, Downgraded to Caa2 (sf); previously on April 9, 2021
Downgraded to Caa1 (sf)

Halcyon Loan Advisors Funding 2015-3 Ltd., originally issued in
September 2015 and partially refinanced in December 2017, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in October 2019.

RATINGS RATIONALE

The upgrade actions on Class B-R and Class C notes are primarily a
result of deleveraging of the senior notes and an increase in the
transaction's over-collateralization (OC) ratios since April 2021.
The Class A-1-R notes have been paid down by approximately 90% or
$136.4 million since then. Based on Moody's calculation, the OC
ratios for the Class A, Class B, and Class C notes are currently
244.28%, 171.63%, and 125.24%, respectively, versus April levels of
146.39%, 128.87%, and 112.16%, respectively.

The downgrade rating action on the Class D notes reflects the
specific risks to the junior notes posed by par loss and lack of
granularity observed in the underlying CLO portfolio. Based on the
trustee's January 2022[1] report, the OC ratio for the Class D
notes is reported at 100.45% and is failing the trigger of 103.9%.
Furthermore, based on Moody's calculation, the largest asset in the
portfolio currently takes up 3.81% of the performing assets. Also,
the current proportion of obligors in the portfolio with Moody's
corporate family or other equivalent ratings of Caa or lower (after
any adjusmtnets for negative outlook) is currently approximately
11.4% of the CLO par.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and 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: $156,530,104

Defaulted par: $8,775,286

Diversity Score: 44

Weighted Average Rating Factor (WARF): 3110

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.65%

Weighted Average Recovery Rate (WARR): 46.88%

Weighted Average Life (WAL): 3.03 years

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

Methodology Used for the Rating Action

The principal methodology used in these ratings 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 Ratings:

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


IMPERIAL FUND 2022-NQM1: DBRS Gives Prov. B Rating on B-2 Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2022-NQM1 to be issued by
Imperial Fund Mortgage Trust 2022-NQM1 (the Trust):

-- $302.2 million Class A-1 at AAA (sf)
-- $33.6 million Class A-2 at AA (low) (sf)
-- $22.2 million Class A-3 at A (low) (sf)
-- $16.8 million Class M-1 at BBB (low) (sf)
-- $20.8 million Class B-1 at BB (low) (sf)
-- $12.5 million Class B-2 at B (low) (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 27.20%
of credit enhancement provided by subordinated Certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) ratings reflect 19.10%, 13.75%, 9.70%, 4.70%, and 1.70%
of credit enhancement, respectively.

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

This a securitization of a portfolio of fixed-rate and
adjustable-rate prime and non-prime first-lien residential
mortgages funded by the issuance of the Certificates. The
Certificates are backed by 912 loans with a total principal balance
of approximately $415,064,721 as of the Cut-Off Date (January 1,
2022).

The originators for the mortgage pool are A&D Mortgage LLC (ADM;
99.1%) and others (0.9%). ADM originated the mortgages primarily
under the following five programs:

-- Super Prime
-- Prime
-- DSCR
-- Foreign National – Full Doc
-- Foreign National – DSCR

ADM is the Servicer for all loans. Unlike its prior securitizations
where the loans were subserviced by another servicer, this is the
first transaction in which ADM will service the loans on its own.
BSI Financial Services (BSI) will act as a Backup Servicer for all
mortgage loans in this transaction. BSI will become the Servicer
after the servicing is transferred from ADM to BSI. The servicing
transfer will occur within 30 days of termination of ADM if ADM
fails to deposit the required payment amounts, fund the delinquent
principal and interest (P&I) advances, observe or perform the
Servicer's duties, or experiences other unremedied events of
default described in detail in the transaction documents.

Imperial Fund II, LLC (Imperial Fund) will act as the Sponsor and
Servicing Administrator and Nationstar Mortgage LLC (Nationstar)
will act as the Master Servicer. Citibank, N.A. (rated AA (low)
with a Stable trend by DBRS Morningstar) will act as the Securities
Administrator and Certificate Registrar. Wilmington Trust National
Association (rated AA (low) with a Negative trend by DBRS
Morningstar) will serve as the Custodian and Wilmington Savings
Fund Society, FSB will act as the Trustee.

In accordance with U.S. credit risk retention requirements,
Imperial Fund as the Sponsor, either directly or through a
Majority-Owned Affiliate, will retain an eligible horizontal
residual interest consisting of the Class B-3 and Class X
Certificates and the requisite amount of the Class B-2
Certificates, representing not less than 5% economic interest in
the transaction, to satisfy the requirements under Section 15G of
the Securities and Exchange Act of 1934 and the regulations
promulgated thereunder. Such retention aligns Sponsor and investor
interest in the capital structure.

Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
products for various reasons described above. In accordance with
the CFPB Qualified Mortgage (QM)/ATR rules, 60.0% of the loans are
designated as non-QM. Approximately 40.0% of the loans are made to
investors for business purposes and are thus not subject to the
QM/ATR rules.

The Servicer will generally fund advances of delinquent P&I on any
mortgage until such loan becomes 90 days delinquent, contingent
upon recoverability determination. The Servicer is also obligated
to make advances in respect of taxes, insurance premiums, and
reasonable costs incurred in the course of servicing and disposing
of properties. If the Servicer fails in its obligation to make P&I
advances, Nationstar, as the Master Servicer, will be obligated to
fund such advances. In addition, if the Master Servicer fails in
its obligation to make P&I advances, Citibank, N.A., as the
Securities Administrator, will be obligated to fund such advances.

ADM will have the option, but not the obligation, to repurchase any
nonliquidated mortgage loan that is 90 or more days delinquent
under the Mortgage Bankers Association (MBA) method (or, in the
case of any Coronavirus Disease (COVID-19) forbearance loan, such
mortgage loan becomes 90 or more days MBA Delinquent after the
related forbearance period ends) at the Repurchase Price, provided
that such repurchases in aggregate do not exceed 7.5% of the total
principal balance as of the Cut-Off Date.

On or after the payment date in January 2025, Imperial Fund II
Mortgage Depositor LLC (the Depositor) has the option to purchase
all outstanding certificates at a price equal to the outstanding
class balance plus accrued and unpaid interest, including any cap
carryover amounts. After such a purchase, the Depositor then has
the option to complete a qualified liquidation, which requires a
complete liquidation of assets within the Trust and the
distribution of proceeds to the appropriate holders of regular or
residual interests.

On any date following the date on which the collateral pool balance
is less than or equal to 10% of the Cut-Off Date balance, the
Servicing Administrator and the Servicer will have the option to
terminate the transaction by purchasing all of the mortgage loans
and any real estate owned (REO) property at a price equal to the
sum of the aggregate stated principal balance of the mortgage loans
(other than any REO property) plus applicable accrued interest
thereon, the lesser of the fair market value of any REO property
and the stated principal balance of the related loan, and any
outstanding and unreimbursed advances, accrued and unpaid fees, and
expenses that are payable or reimbursable to the transaction
parties (Optional Termination). An Optional Termination is
conducted as a qualified liquidation.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class A-3 and more subordinate bonds
will not be paid from principal proceeds until the more senior
classes are retired. Principal proceeds can be used to cover
interest shortfalls on the Class A-1 and Class A-2 Notes before
being applied sequentially to amortize the balances of the Notes.
Furthermore, the excess spread can be used to cover realized losses
and prior period bond writedown amounts first before being
allocated to unpaid cap carryover amounts to Class A-1 down to
Class B-2.

Coronavirus Impact

The coronavirus pandemic and the resulting isolation measures
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
forbearances, which are generally short-term payment reliefs that
may perform very differently from traditional delinquencies.
Because the option to forbear mortgage payments was so widely
available at the onset of the pandemic, it drove forbearances to a
very high level. When the dust settled, coronavirus-induced
forbearances in 2020 performed better than expected, thanks to
government aid, low loan-to-value ratios, 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 the forbearance period comes to an end for many
borrowers.

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



IVY HILL IX: Fitch Raises Class E-R Notes to 'BB+'
--------------------------------------------------
Fitch Ratings has upgraded the class B-R, C-R, D-R and E-R notes in
Ivy Hill Middle Market Credit Fund IX, Ltd. (Ivy Hill IX) and
removed the notes from Under Criteria Observation. Fitch also
affirmed the class A-R notes at their current ratings. Fitch has
also assigned a Positive Rating Outlook to the notes notes rated
below 'AAAsf', while the Outlooks remains Stable for both tranches
rated 'AAAsf'.

    DEBT            RATING             PRIOR
    ----            ------             -----
Ivy Hill Middle Market Credit Fund IX, Ltd.

A-R 46603BAN9   LT AAAsf   Affirmed    AAAsf
B-R 46603BAQ2   LT AAAsf   Upgrade     AAsf
C-R 46603BAS8   LT A+sf    Upgrade     BBB+sf
D-R 46603BAU3   LT BBB+sf  Upgrade     BB+sf
E-R 46603GAE8   LT BB+sf   Upgrade     B+sf

TRANSACTION SUMMARY

Ivy Hill IX is a middle market collateralized loan obligation (CLO)
that is managed by Ivy Hill Asset Management, L.P. The CLO closed
in 2017 and exited its reinvestment period in January 2022, with
amortization of the capital structure expected to begin on the next
payment date in April 2022. The notes are secured primarily by
first-lien, senior secured loans.

KEY RATING DRIVERS

CLO Criteria Update and Portfolio Management

The analysis was based on the current portfolio and evaluated the
impact of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria (including, among others, a change in the underlying
default assumptions). The assigned rating is in line with the
model-implied rating (MIR) produced in a scenario that assumes a
one-notch downgrade on the Fitch IDR Equivalency Rating for assets
with a Negative Outlook on the driving rating of the obligor.

Credit Quality, Asset Security, and Portfolio Composition

As of the January 2022 trustee report, the aggregate portfolio par
amount, when adjusted for trustee-reported recovery amounts on
defaulted assets, was approximately 0.62% above the original target
par amount. The Fitch weighted average rating factor (WARF) of the
portfolio is 33.5, equivalent to the 'B-'/'CCC+' rating category,
after applying the updated CLO Criteria. Senior secured loans
comprised 98.9% of the portfolio and consisted of 142 obligors,
with the top 10 obligors comprising 17.9% of the portfolio.

Fitch considered 0.5% of the portfolio to be defaulted.
Additionally, all coverage tests, concentration limitations and
CQTs are in compliance, except for the Fitch Rating Factor Test
(43.69 trustee-reported WARF versus 41.00 covenant), WAL test (4.26
trustee-reported versus 4.13 maximum level) and the Fitch 'CCC+' or
below (18.31% trustee-reported versus 17.5% covenant).

The Positive Outlooks on the C-R, D-R and E-R notes reflect
amortization of the capital structure expected to begin on the next
payment date in April 2022, which will increase credit enhancement
(CE) levels.

The Stable Outlook on the class A-R and B-R reflects Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolio in stress scenarios commensurate with the
class's rating.

RATING SENSITIVITIES

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

-- A 25% increase of the mean default rate across all ratings,
    along with a 25% decrease of the recovery rate at all rating
    levels, would lead to no rating impact for the class A-R notes
    and a downgrade of up to five notches for the remaining notes
    (based on MIRs).

-- Downgrades may occur if realized and projected losses of the
    portfolio are higher than what was assumed at closing and the
    notes' CE do not compensate for the higher loss expectation
    than initially anticipated.

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

-- A 25% reduction of the mean default rate across all ratings,
    along with a 25% increase of the recovery rate at all rating
    levels, would lead to an upgrade of up to two notches for the
    class C-R notes and up to three notches for the class D-R and
    E-R notes (based on MIRs). Upgrade scenarios would not apply
    to the class A-R and B-R notes as the tranches are already at
    the highest rating level.

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.

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.


JP MORGAN 2011-C5: Moody's Downgrades Rating on Cl. X-B Certs to C
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
and downgraded the rating on one interest only class in J.P. Morgan
Chase Commercial Mortgage Securities Trust 2011-C5, Commercial
Mortgage Pass-Through Certificates, Series 2011-C5 as follows:

Cl. D, Affirmed Caa1 (sf); previously on Apr 23, 2021 Downgraded to
Caa1 (sf)

Cl. E, Affirmed Caa3 (sf); previously on Apr 23, 2021 Downgraded to
Caa3 (sf)

Cl. F, Affirmed C (sf); previously on Apr 23, 2021 Downgraded to C
(sf)

Cl. G, Affirmed C (sf); previously on Jun 9, 2020 Downgraded to C
(sf)

Cl. X-B*, Downgraded to C (sf); previously on Apr 23, 2021
Downgraded to Caa2 (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The ratings on four P&I classes were affirmed due to the interest
shortfall and principal loss risk stemming from the one remaining
loan in special servicing. The sole remaining loan in the pool has
been in special servicing since June 2020 and the special servicer
is pursuing foreclosure.

The rating on the IO Class (Class X-B) was downgraded due to the
decline in the credit quality of its reference classes resulting
from principal paydowns of higher quality reference classes.

The action has considered how the coronavirus pandemic has reshaped
the United States' economic environment and the way its aftershocks
will continue to reverberate and influence the performance of CMBS.
Moody's expect 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 regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Moody's rating action reflects a base expected loss of 58.2% of the
current pooled balance, compared to 17.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.6% of the
original pooled balance, compared to 6.7% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include an
improvement in loan performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the remaining loan, an increase in
realized and expected losses from specially serviced and troubled
loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

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 November 2021.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since the one remaining loan in
the pool is in special servicing. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced to the most junior class(es)
and the recovery as a pay down of principal to the most senior
class(es).

DEAL PERFORMANCE

As of the January 18, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $59 million
from $1.03 billion at securitization. The certificates are
collateralized by one mortgage loan in special servicing.

Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $13.4 million (for an average loss
severity of 20%).

The specially serviced loan is the Asheville Mall Loan ($59.2
million -- 100% of the pool), which is secured by a 324,000 SF
component of a larger regional mall located in Asheville, North
Carolina. The mall anchors include Dillard's (non-collateral), JC
Penney (non-collateral), Belk (non-collateral) and a former Sears.
Sears closed its store at the mall in summer 2018. The property's
revenue and NOI began declining annually in 2018 and the loan has
been in special servicing since June 2020. A receiver has been
appointed for the property in connection with the foreclosure
process. The Borrower has turned over cashflow from operations
sufficient to make regular P&I payments through December and the
loan is last paid through its December 2021 payment date. The
property's value has significantly declined from securitization and
as of the January 2022 remittance statement the loan has recognized
a 64% appraisal reduction based on its outstanding loan balance.


JP MORGAN 2014-C22: Fitch Lowers Rating on 2 Tranches to 'CC'
-------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed nine classes of
J.P. Morgan Chase Commercial Mortgage Securities Trust, series
2014-C22 (JPMBB 2014-C22). In addition, the Rating Outlooks on
three classes were revised to Stable from Negative.

     DEBT              RATING            PRIOR
     ----              ------            -----
JPMBB 2014-C22

A-3A1 46642NBC9   LT AAAsf  Affirmed     AAAsf
A-3A2 46642NAA4   LT AAAsf  Affirmed     AAAsf
A-4 46642NBD7     LT AAAsf  Affirmed     AAAsf
A-S 46642NBH8     LT AA-sf  Affirmed     AA-sf
A-SB 46642NBE5    LT AAAsf  Affirmed     AAAsf
B 46642NBJ4       LT A-sf   Affirmed     A-sf
C 46642NBK1       LT BBBsf  Affirmed     BBBsf
D 46642NAJ5       LT CCCsf  Downgrade    B-sf
E 46642NAL0       LT CCsf   Downgrade    CCCsf
EC 46642NBL9      LT BBBsf  Affirmed     BBBsf
X-A 46642NBF2     LT AA-sf  Affirmed     AA-sf
X-C 46642NAC0     LT CCsf   Downgrade    CCCsf

KEY RATING DRIVERS

Greater Certainty of Losses: The downgrades and revised Outlooks
reflect a greater certainty of loss expectations associated with
the larger Fitch Loans of Concern (FLOCs) and specially serviced
loans/assets. Eighteen loans (37.5%) are designated as FLOCs,
including five loans (7%) in special servicing.

Fitch's ratings are based on base case loss expectations of 11.20%.
Losses could reach as high as 11.60% when factoring in additional
stresses applied to two hotel loans to account for the ongoing
business disruption as a result of the pandemic, as well as the
potential for outsized losses on 200 Newport Avenue (1.5% of pool)
given the property is vacant after losing its single tenant.

FLOCs/Specially Serviced Loans: The largest contributor to losses,
is Las Catalinas Mall (7.8% of pool). The loan is secured by a
355,385-sf regional mall located in Caguas, Puerto Rico. The loan
had previously been in special servicing in June 2020 after the
closure of Kmart (34.5% of the NRA).

The loan was returned to the master servicer in March 2021 as a
modified loan, which included an extension of the maturity date by
18 months through February 2026, loan forgiveness and rate relief.
After August 2023, the borrower can pay off the whole loan amount,
which has a current balance of $127.1 million, for $72.5 million
without any fees or prepayments.

The modification also deferred all note rate interest accrued
between April 2020 and December 2020 until the extended maturity
date and converted the loan to interest-only payments through
maturity. The borrower contributed $8.5 million at closing to pay
for leasing related expenses and closing/transaction costs. As part
of the return to the master servicer and loan modification, a
workout delayed reimbursement amount (WODRA) totaling $1.23 million
was applied.

Additionally, per the master servicer, the borrower has leased the
former Kmart space to Sector Sixty6, an indoor arcade concept that
is primarily located in Puerto Rico. The tenant is expected to pay
a base rent of $7.34 psf with a ten year lease. As a result,
occupancy is expected to increase to 83% from 48.5% as of September
2021 and NOI is expected to increase by nearly 10%. Fitch's base
case loss of 44% reflects the permissible potential discounted
payoff (DPO) of $72.5 million across the entire loan amount and
assumes near-term stabilization of the asset.

The next largest driver of losses, 10333 Richmond (3.5%), is
secured by a 218,689 sf, 11-story suburban office building located
in Houston, TX. The loan transferred to special servicing in May
2017 for imminent default. Occupancy has continued to decline to
49.4% as of September 2021 from 51.8% at YE 2020, 58.6% at YE 2018
and 63.2% at YE 2017. The declines in occupancy are driven by
multiple tenants vacating upon lease expiration, including former
top tenants Williams Morgan, P.C. (9.2% of NRA), Pape Dawson
Consulting (5.3%), and RDM Inc. (4.9%). Additionally, the majority
of the tenants are heavily reliant on the energy sector. Fitch's
loss expectation of 66% reflects a stress to the November 2021
appraisal, which equates to a stressed value of $55 psf.

The third largest driver of losses, Charlottesville Fashion Center
(1.9%), is secured by a 362,332-sf portion of a 576,749-sf regional
mall located in Charlottesville, VA. The loan, which is sponsored
by Washington Prime Group, transferred to special servicing in
October 2019 due to imminent default following the closure of the
Sears (28.7% of NRA) in March 2019. As of January 2022, the asset
is REO.

The property is anchored by a Belk's Men (16.8% of the NRA) and a
dark Sears. The collateral also previously included a former
JCPenney, which closed at this location. As a result of both the
closure of JCPenney and co-tenancy triggers upon the Sears closure,
collateral occupancy fell to 49.8% as of the September 2020 rent
roll from 58.9% at YE 2019 and 93.4% at YE 2018. Fitch's loss
expectation of 100% reflects a stress to the most recent appraised
value, which is significantly below issuance.

The last largest driver to loss expectations, Laurel Place (2.5%),
is secured by a 352,579-sf mixed-use property located in Livonia,
MI, approximately 25 miles northwest of downtown Detroit, MI. The
declines in performance are primarily driven by the departure of
the former second largest tenant, Tower International (previously
21.8% of the NRA), which vacated upon lease expiration in December
2020. The tenant previously accounted for approximately 29% of the
GPR. Occupancy declined to 61.9% as of September 2021 from 83.6% at
YE 2020 and 88.5% at YE 2019.

Additionally, the property's expenses, namely Utilities and G&A,
have also increased 22% since 2019. The NOI debt service coverage
ratio (DSCR) declined to 1.44x in YE 2020 from 2.19x at YE 2019.
Fitch requested an update from the master servicer on the
borrower's plans for the vacant space and improving performance,
but did not receive a response. Fitch's loss expectation of 38% is
based on a 50% stress to the YE 2020 NOI to account for the
departure of Tower International.

Improving Credit Enhancement: Since Fitch's last rating action, two
loans (previously 2% of the pool) paid off in full prior to
maturity. As of the January 2022 remittance, the transaction's
balance has been reduced by 15% to $949 million to $1.12 billion at
issuance. Six loans (15%) have IO payments the full loan term.
Thirty-three loans (59.7%) have partial IO payments; all of which
are now amortizing.

Additional Loss Consideration: Fitch performed a sensitivity
scenario which applied an additional stress to the pre-pandemic
cash flow for two hotel loans given significant pandemic-related
2020 NOI declines as well as the potential for outsized losses on
200 Newport Avenue (1.5%). Fitch modeled an additional 25% loss
severity on 200 Newport Avenue (1.5% of pool) to reflect the
potential for outsized losses given the departure of the former
single tenant, State Street, which vacated the building in 2021.
Fitch's base case loss of 4% reflects a stressed value of $91 psf.
Under the sensitivity analysis, Fitch's stressed value would equate
to a $66 psf.

Undercollateralized: The transaction is slightly
undercollateralized by approximately $1,230,000 due to a WODRA on
the Las Catalinas Mall loan, which was first reflected in the March
2021 remittance.

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 super
    senior 'AAAsf' rated classes are not likely due to the
    continued amortization and position in the capital structure,
    but may occur should interest shortfalls affect these classes.
    Downgrades to the junior 'AAAsf' and 'AA-sf' rated classes are
    possible should expected losses for the pool increase
    significantly, all of the FLOCs and loans susceptible to the
    pandemic suffer losses and/or interest shortfalls occur.

-- Downgrades to the 'A-sf' and 'BBBsf' rated classes are
    possible should loss expectations increase due to continued
    performance declines and/or lack of stabilization on the
    larger FLOCs or additional loans default and transfer to
    special servicing. Further downgrades to the distressed rated
    classes D and E will occur should the specially serviced loans
    experience higher than expected losses upon resolution.

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

-- Stable to improved asset performance, particularly on the
    larger FLOCs, coupled with paydown and/or defeasance. Upgrades
    of the 'AA-sf' and 'A-sf' categories would only occur with
    significant improvement in CE and/or defeasance and
    stabilization of performance on the FLOCs; however, adverse
    selection, increased concentrations and further
    underperformance of the larger FLOCs or loans affected by the
    pandemic could cause this trend to reverse.

-- Upgrades to the 'BBBsf' categories are not likely until the
    later years in a transaction and only if the performance of
    the remaining pool is stable and/or properties vulnerable to
    the pandemic return to pre-pandemic levels, and there is
    sufficient CE to the classes. Classes would not be upgraded
    above 'Asf' if there is a likelihood of interest shortfalls.

-- Upgrades to classes D and E are unlikely unless there is
    significant performance improvement on the FLOCs and
    recoveries on the specially serviced loans are substantially
    higher than expected, especially the larger regional malls and
    REO asset.

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.

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 2021-1440: DBRS Confirms B(low) Rating on Class F Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates issued by J.P. Morgan Chase
Commercial Mortgage Securities Trust 2021-1440 as follows:

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

All trends are Stable.

The rating confirmations reflect the transaction's stable
performance as the loan has been performing in line with DBRS
Morningstar's expectations since the transaction closed in March
2021. The $399.0 million loan is secured by the borrower's
fee-simple interest in a 740,387-square-foot central business
district (CBD) office property in the Midtown submarket of New
York. The three-year loan pays full-term interest-only and features
two one-year extension options. Loan proceeds were used to
refinance existing debt, cover closing costs, and to fund upfront
reserves. The loan is sponsored by CIM Group, a fully integrated
real estate private equity firm, and QSuper Board, Australia's
oldest and largest super fund with approximately $117.0 billion in
funds under management.

The loan has been on the servicer's watchlist since issuance
because of the full cash sweep and will be removed once $20.0
million is collected in its excess cash reserve. The servicer has
confirmed that $7.4 million has been reserved to date. DBRS
Morningstar requested an updated balance for the excess cash
reserve, but the servicer has not provided the figure. The loan was
structured with $30.0 million upfront reserves, $27.3 million of
which will be allocated toward future leasing costs, and the
remaining amount toward future capital expenditure work. The
sponsor will also be required to provide $20.6 million in new
equity, supported by an equity contribution guarantee, of which
$15.3 million will be allocated toward accretive tenant improvement
and leasing costs. A $16.8 million portion of the equity
contribution is required to be funded on a pro rata basis with the
disbursement of the $30.0 million upfront reserve.

As of the provided September 2021 rent roll, the property is 93.0%
occupied, with the office portion 96.7% occupied while the retail
portion is 49.3% occupied. The largest tenants include WeWork
(40.5% of the net rentable area (NRA); lease expiry June 2035),
Macy's (26.6% of the NRA; lease expiry January 2024), and Kate
Spade & Company (9.1% of the NRA). Kate Spade & Company fully
sublets its space to two tenants, Land'N Sea (lease expiry January
2027) and CNY Group (lease expiry April 2033). It is also
noteworthy that at issuance, Macy's decided to prepay all remaining
rent obligations at the subject property, and as of the December
2021 loan level reserve report there was $24.2 million in Macy's
rent reserve account. No updated financials were made available as
of this review.

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



JP MORGAN 2022-1: Fitch Assigns Final B Rating on Cl. B-5 Tranche
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2022-1.

DEBT            RATING              PRIOR
----            ------              -----
JPMMT 2022-1

A-1       LT AA+sf   New Rating    AA+(EXP)sf
A-1-A     LT AA+sf   New Rating    AA+(EXP)sf
A-10      LT AAAsf   New Rating    AAA(EXP)sf
A-10-A    LT AAAsf   New Rating    AAA(EXP)sf
A-10-X    LT AAAsf   New Rating    AAA(EXP)sf
A-11      LT AAAsf   New Rating    AAA(EXP)sf
A-11-A    LT AAAsf   New Rating    AAA(EXP)sf
A-11-AI   LT AAAsf   New Rating    AAA(EXP)sf
A-11-B    LT AAAsf   New Rating    AAA(EXP)sf
A-11-BI   LT AAAsf   New Rating    AAA(EXP)sf
A-11-X    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-13-A    LT AAAsf   New Rating    AAA(EXP)sf
A-14      LT AA+sf   New Rating    AA+(EXP)sf
A-15      LT AA+sf   New Rating    AA+(EXP)sf
A-15-A    LT AA+sf   New Rating    AA+(EXP)sf
A-15-B    LT AA+sf   New Rating    AA+(EXP)sf
A-15-C    LT AA+sf   New Rating    AA+(EXP)sf
A-16      LT AA+sf   New Rating    AA+(EXP)sf
A-17      LT AA+sf   New Rating    AA+(EXP)sf
A-2       LT AAAsf   New Rating    AAA(EXP)sf
A-2-A     LT AAAsf   New Rating    AAA(EXP)sf
A-3       LT AAAsf   New Rating    AAA(EXP)sf
A-3-A     LT AAAsf   New Rating    AAA(EXP)sf
A-3-X     LT AAAsf   New Rating    AAA(EXP)sf
A-4       LT AAAsf   New Rating    AAA(EXP)sf
A-4-A     LT AAAsf   New Rating    AAA(EXP)sf
A-4-X     LT AAAsf   New Rating    AAA(EXP)sf
A-5       LT AAAsf   New Rating    AAA(EXP)sf
A-5-A     LT AAAsf   New Rating    AAA(EXP)sf
A-5-B     LT AAAsf   New Rating    AAA(EXP)sf
A-5-X     LT AAAsf   New Rating    AAA(EXP)sf
A-6       LT AAAsf   New Rating    AAA(EXP)sf
A-6-A     LT AAAsf   New Rating    AAA(EXP)sf
A-6-X     LT AAAsf   New Rating    AAA(EXP)sf
A-7       LT AAAsf   New Rating    AAA(EXP)sf
A-7-A     LT AAAsf   New Rating    AAA(EXP)sf
A-7-B     LT AAAsf   New Rating    AAA(EXP)sf
A-7-X     LT AAAsf   New Rating    AAA(EXP)sf
A-8       LT AAAsf   New Rating    AAA(EXP)sf
A-8-A     LT AAAsf   New Rating    AAA(EXP)sf
A-8-X     LT AAAsf   New Rating    AAA(EXP)sf
A-9       LT AAAsf   New Rating    AAA(EXP)sf
A-9-A     LT AAAsf   New Rating    AAA(EXP)sf
A-9-X     LT AAAsf   New Rating    AAA(EXP)sf
A-X-1     LT AA+sf   New Rating    AA+(EXP)sf
A-X-2     LT AA+sf   New Rating    AA+(EXP)sf
A-X-3     LT AAAsf   New Rating    AAA(EXP)sf
A-X-3-A   LT AAAsf   New Rating    AAA(EXP)sf
A-X-4     LT AA+sf   New Rating    AA+(EXP)sf
B-1       LT AA-sf   New Rating    AA-(EXP)sf
B-1-A     LT AA-sf   New Rating    AA-(EXP)sf
B-1-X     LT AA-sf   New Rating    AA-(EXP)sf
B-2       LT A-sf    New Rating    A-(EXP)sf
B-2-A     LT A-sf    New Rating    A-(EXP)sf
B-2-X     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 Bsf     New Rating    B(EXP)sf
B-6       LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed certificates issued
by J.P. Morgan Mortgage Trust 2022-1 (JPMMT 2022-1), as indicated.
The certificates are supported by 2,214 loans with a total balance
of approximately $2,013 billion as of the cutoff date. The pool
consists of prime quality fixed-rate mortgages from various
mortgage originators. The servicers in the transaction consist of
United Wholesale Mortgage, LLC, J.P. Morgan, loandepot.com, LLC and
various other servicers. Nationstar Mortgage LLC will be the master
servicer.

All of the loans qualify as either Safe Harbor Qualified Mortgages
(SHQM), Agency SHQM loans or QM Safe Harbor Average Prime Offer
Rate (APOR) loans.

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

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 11.1% 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 Prime Mortgage Pool (Positive):

The pool consists of very high quality, fixed-rate fully amortizing
loans with maturities of up to 30 years. All of the loans qualify
as SHQM, Agency SHQM or QM Safe Harbor (APOR) loans. The loans were
made to borrowers with strong credit profiles, relatively low
leverage and large liquid reserves. The loans are seasoned at an
average of five months, according to Fitch (three months per the
transaction documents).

The pool has a WA original FICO score of 763 (as determined by
Fitch), which is indicative of very high credit quality borrowers.
Approximately 68.3% (as determined by Fitch) of the loans have a
borrower with an original FICO score equal to or above 750. In
addition, the original WA combined loan-to-value ratio (LTV) of
70.6%, translating to a sustainable LTV of 78.0%, represents
substantial borrower equity in the property and reduced default
risk.

A 80.6% portion of the pool comprises nonconforming loans, while
the remaining 19.4% represents conforming loans. All of the loans
are designated as QM loans, with 44.3% of the pool being originated
by a retail and correspondent channel.

The pool consists of 82.6% of loans where the borrower maintains a
primary residence, while 17.4% comprises second homes.
Single-family homes and Planned Unit Developments (PUDs) comprise
91.9% of the pool, and condominiums make up 6.7%. Cash-out
refinances comprise 36.2% of the pool, purchases comprise 47.6% of
the pool and rate-term refinances comprise 16.2% of the pool.

A total of 827 loans in the pool are over $1 million, and the
largest loan is $3.00 million.

Fitch determined that 19 of the loans were made to nonpermanent
residents.

Approximately 48.6% of the pool is concentrated in California. The
largest MSA concentration is in the Los Angeles-Long Beach-Santa
Ana, CA MSA (17.2%), followed by the San Francisco-Oakland-Fremont,
CA MSA (8.9%) and the San Diego-Carlsbad-San Marcos, CA MSA (6.5%).
The top three MSAs account for 33% of the pool. As a result, there
was no PD penalty for geographic concentration.

Shifting-Interest Structure (Mixed):

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

CE Floor (Positive):

A CE or senior subordination floor of 0.55% has been considered to
mitigate potential tail-end risk and loss exposure for senior
tranches as the pool size declines and performance volatility
increases due to adverse loan selection and small loan count
concentration. Additionally, a junior subordination floor of 0.40%
has been considered to mitigate potential tail-end risk and loss
exposure for subordinate tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration.

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 42.2% 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.

DATA ADEQUACY

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

Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.

ESG Considerations

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


JPMBB COMMERCIAL 2014-C25: DBRS Cuts F Cert Rating to CCC
---------------------------------------------------------
DBRS Limited downgraded its ratings on three classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-C25
issued by JPMBB Commercial Mortgage Securities Trust 2014-C25 as
follows:

-- Class E to B (low) (sf) from B (sf)
-- Class F to CCC (sf) from B (low) (sf)
-- Class X-E to B (sf) from B (high) (sf)

In addition, DBRS Morningstar confirmed its ratings on the
remaining classes as follows:

-- Class A-4A1 at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-C at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class EC at A (high) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)

Classes D, E, X-D, and X-E have Negative trends. Class F has a
rating that does not carry a trend. All other trends are Stable. In
addition, DBRS Morningstar discontinued the rating on Class X-F as
it references a class that is now rated CCC (sf). DBRS Morningstar
also removed the Interest in Arrears designation for Classes E and
F.

The rating downgrades reflect DBRS Morningstar's loss projections
for the largest specially serviced loan, Hilton Houston Post Oak
(Prospectus ID#6, 4.4% of the current pool balance), and the
Negative trends reflect DBRS Morningstar's continued concerns
surrounding other specially serviced loans and select loans on the
servicer's watchlist, including Mall at Barnes Crossing and Market
Center Tupelo (Prospectus ID#4, 6.6% of the current pool balance).
As of the January 2022 remittance, 54 of the original 65 loans
remain in the pool, representing a collateral reduction of 22.1%
since issuance, with a current trust balance of $922.6 million. The
pool benefits from eight loans that are fully defeased,
representing 11.9% of the current pool balance, including two of
the top 10 loans. There are 10 loans on the servicer's watchlist,
representing 18.0% of the current pool balance, six of which have
been flagged for low debt service coverage ratios (DSCRs). There
are currently five loans in special servicing, two of which are
delinquent on debt service payments.

The Hilton Houston Post Oak loan is secured by a full-service hotel
in Houston. The loan transferred to special servicing in May 2020
and, as of the December 2021 remittance, was last paid in April
2020. According to the servicer, the borrower has filed Chapter 11
bankruptcy, and although a workout strategy is yet to be
determined, the servicer expects the likely outcome to be a deed in
lieu of a foreclosure. The most recent appraisal reported by the
servicer, dated June 2021, valued the property at $65.3 million.
This figure is down 48% from the appraised value of $126.2 million
at issuance but a modest increase from the September 2020 valuation
of $57.5 million. Although the loan's transfer to special servicing
came with the onset of the Coronavirus Disease (COVID-19) pandemic,
the loan was significantly underperforming issuance expectations
for several years prior to the 2020 default. Based on the sharp
value decline from issuance, continued delinquencies, and
lackluster performance since issuance, DBRS Morningstar assumed a
loss severity in excess of 50.0% with this review.

The most noteworthy of the watchlisted loans is a Brookfield
sponsored loan, Mall at Barnes Crossing and Market Center Tupelo.
The loan is secured by a regional mall and an adjacent retail
center in Tupelo, Mississippi. The loan was added to the servicer's
watchlist in August 2021 because of a low DSCR. The loan had
previously transferred to special servicing in January 2021 because
of delinquent debt service payments but was brought current in May
2021 and transferred back to the master servicer in August 2021
with no loan modifications. As per the most recent financials, the
loan reported a trailing nine months ended September 30, 2021, DSCR
of 1.26 times, with occupancy reported at 82.0%. The property's
remote location and occupancy declines from issuance, partially
driven by the closure of a collateral Sears anchor at the mall
property, are noteworthy risks. However, DBRS Morningstar also
notes the sponsor appears committed to the loan and property as the
previous delinquency was cured, and no pandemic-related relief was
granted. Given the increased vacancy and challenges of re-leasing
in a lower-tier secondary market, the loan remains on the DBRS
Morningstar Hotlist.

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



JPMBB COMMERCIAL 2015-C31: DBRS Confirms B Rating on Class E Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on all the classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-C31 issued by JPMBB
Commercial Mortgage Securities Trust 2015-C31 as follows:

-- Class A-3 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class X-D at BB (sf)
-- Class D at BB (low) (sf)
-- Class E at B (sf)
-- Class F at CCC (sf)

The trends for Classes D, E, and X-D remain Negative, reflective of
concerns surrounding the largest loan in the pool, Civic Opera
Building (Prospectus ID#1, 9.4% of the pool) and its ultimate
resolution. The trends on Classes A-S, B, C, EC, X-A, X-B, and X-C
were changed to Stable from Negative, reflecting the positive
developments for large loans previously on the servicers' watchlist
and the additional $110.0 million in defeasance collateral from
DBRS Morningstar's last review of the transaction in March 2021.
All other trends remain Stable, with an exception of Class F, which
has a rating that does not carry a trend.

The rating confirmations reflect the overall stable performance of
the transaction. According to the January 2022 remittance, 54 of
the original 58 loans remain in the trust, representing a
collateral reduction of 13.9% since issuance with a current trust
balance of $889.1 million. The pool benefits from 11 defeased
loans, representing 18.9% of the current pool balance. Six loans,
representing 13.4% of the current pool balance, are in special
servicing, with three of those loans representing 11.0% of the
current pool balance, currently delinquent on debt-service
payments. There are 14 loans, representing 22.3% of the current
pool balance, on the servicer's watchlist, including 11 that have
been flagged for low debt service coverage ratios (DSCR).

The largest loan in special servicing, Civic Opera Building
(Prospectus ID#1, 9.4% of the pool), is secured by the borrower's
fee-simple interest in a 915,162-square-foot office property in
Chicago's West Loop District. The loan transferred to special
servicing in June 2020 due to imminent monetary default as a result
of the Coronavirus Disease (COVID-19). As of December 2021, the
loan was 121+ days delinquent with the servicer reporting it is
pursuing multiple workout strategies including ongoing forbearance
negotiations with the borrower and foreclosure, as a consensual
receivership was also awarded by the courts, according to a
November 2021 servicer commentary. The most recent appraisal
reported by the servicer, dated February 2021, valued the property
at $165.0 million, down 25% from the appraised value of $220.0
million at issuance, equating to a current whole-loan loan-to-value
ratio of 94.2%. As of March 2021, the property reported an
occupancy rate of 75.0% and a DSCR of 0.73 times (x), compared with
the YE2020 figures of 75.0% and 0.80x, respectively. The cash flow
declines have been the result of lower occupancy rates in the last
few years, as well as significant increases in payroll and real
estate tax expenses. Given the sustained low DSCRs, the 25%
decrease in value, and the leasing challenges, the loan exhibits
elevated credit risk. As the servicer continues to evaluate the
workout strategies, a positive resolution remains unlikely at this
time.

The largest loan on the servicer's watchlist, The Roosevelt New
Orleans Waldorf Astoria (Prospectus ID#2, 8.3% of the pool), is
secured by the borrower's fee and leasehold interest in a 504-room
full-service hotel in New Orleans. The loan transferred to special
servicing in March 2020 for imminent monetary default at the
borrower's request because of the coronavirus pandemic; however,
the loan was returned to the Master Servicer in May 2020 when the
borrower received a public-private partnership loan in lieu of a
monetary loan modification. As of the December 2021 remittance, the
loan is being monitored due to a low DSCR; however, the loan
remains current. Historically, the property has performed in line
with or slightly above issuance expectations, and, although the
impact of the coronavirus pandemic has introduced increased risk
for this loan, mitigating factors include the loan's current status
and location within New Orleans, which is well positioned to
benefit from an increase in leisure travel as the hospitality
sector rebounds.

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



JPMCC COMM 2017-JP5: Fitch Cuts Rating of Class E-RR Notes to 'CCC'
-------------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 13 classes of JPMCC
Commercial Mortgage Securities Trust 2017-JP5. The Rating Outlook
remains Negative on one class of notes.

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

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

KEY RATING DRIVERS

Increased Loss Expectations: Overall loss expectations have
increased due to significant occupancy declines for several office
properties within the pool coupled with higher losses on REO assets
in special servicing. Fitch has identified 12 loans (31.9%) as
Fitch Loans of Concern (FLOCs), including seven loans (27.3%) in
the top 15 and three loans (2.5%) in special servicing.

Fitch's current ratings incorporate a base case loss of 7.50%. The
Negative Outlook on class D-RR reflects losses that could reach
8.30% when factoring in additional stresses to office properties
disproportionately affected by tenant vacancy.

Fitch Loans of Concern: The largest contributor to Fitch's
projected losses is the Marriott Galleria (3.1% of pool), which is
a 301-key full-service hotel located in Houston, TX. The asset is
REO as of June 2021 and is expected to be marketed for sale later
this year. As of YTD June 2021, occupancy, ADR and RevPAR for the
hotel was 29.5%, $111, and $33, respectively, which compares with
61.6%, $146, and $90 at YE 2019. The RevPAR penetration rate as of
YTD June 2021 was 52%. Fitch's loss expectation reflects a discount
to the August 2021 appraisal valuation reflecting a recovery of
$65,650 per key.

The second largest increase in loss is attributed to the Riverway
loan (6.2%), which is secured by a four-building property totaling
869,120-sf suburban office located in Rosemont, IL (1.5 miles from
O'Hare International Airport). The property consists of three
office buildings and one 10,409 sf daycare center. Largest tenants
include U.S. Foods, Inc. (33.7% of NRA; 14.5% expiring in September
2023 and 19.2% in February 2029), Culligan International Company
(6.1% of NRA; December 2026), Appleton GRP LLC (4.4%; December
2026) and First Union Rail Corporation (3.8%; January 2024).

The largest tenant, U.S. Foods, has recently relocated to another
building within the property and downsized by 6%. As of the
September 2021 rent roll, 4% of NRA was scheduled to expire by YE
2021, 6% in 2022, and 12% in 2023. Physical occupancy was 64% as of
September 2021 from 91.0% at YE 2019 after Central States Pension
Fund (21.9%) vacated the property upon lease expiration in December
2019. Additionally, The NPD Group Inc. (4.4%) also vacated the
property after its lease expired in early 2020. As a result, the
servicer-reported NOI debt service coverage ratio (DSCR) is 0.90x
as of June 2021 after falling to 0.65x as of YE 2020 from 1.60x at
YE 2019. Cash management is currently in place as Central States
Pension Fund's lease expiration triggered a major tenant cash flow
sweep. Fitch applied a 40% stress to YE 2019 NOI due to the decline
in occupancy resulting in a 20% loss severity.

The next largest contributor to loss is the Fresno Fashion Fair
loan (7.1% of the pool), which is secured by the 536,093-sf portion
of an 835,416-sf regional mall located in Fresno, CA. Collateral
tenants include JCPenney (28.7% of NRA, lease expiry in March
2023), Macy's Men & Children's (14.3%, April 2026), X Lanes (5.3%,
December 2035), H&M (3.4%, January 2027), Victoria's Secret (2.6%,
January 2027), Cheesecake Factory (1.8%, January 2026) and ULTA
Beauty (1.8%, August 2027). Non-collateral anchors include Macy's
Women & Home and Forever 21.

The mall is demonstrating a strong recovery from the effects of the
pandemic with occupancy climbing to 98% as of the 2Q21 from 91% at
YE 2020. Additionally, sales are approaching pre-pandemic levels
with inline sales of $721 psf ($633 psf excluding Apple) as of the
TTM June 2021. This compares to inline sales of $590 psf ($472 psf
excluding Apple) as of TTM September 2020, $765 psf ($617 psf
excluding Apple) as of TTM March 2019, and $737 psf ($613 psf
excluding Apple) as of TTM June 2018.

Fitch's loss expectation of 14% reflects a 9.5% cap rate applied to
YE 2020 NOI.

Change in Credit Enhancement (CE): As of the January 2022
remittance reporting, the pool's aggregate principal balance was
reduced by 11.1% to $971.9 million from $1.09 billion at issuance.
The pool has incurred $105,688 in realized losses to date from the
disposition of the St. Albans & Camino Commons loan in July 2020.
One loan (0.5%) is fully defeased. Seven loans (31.7%) are
full-term IO, one loan (0.9%) remains in its partial IO period and
the remaining 29 loans (67.3%) are amortizing.

Alternative Loss Consideration: Fitch applied additional
sensitivity scenarios that considered potential outsized losses on
the Reston Eastpointe and Bardmoor Palms loans due to significant
declines in occupancy caused by departures of the largest tenants
and the potential for sustained economic distress. The additional
sensitivity contributed to the Negative Rating Outlook on class
D-RR.

Credit Opinion Loan: At issuance, the two largest loans in the
pool, Hilton Hawaiian Village (8.2% of the pool) and Moffett
Gateway (8.2% of the pool), had investment-grade credit opinions of
'BBB-sf' on a stand-alone basis. Based on collateral quality and
continued stable performance, the loans remain consistent with a
credit opinion loan.

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 likely due to the
    position in the capital structure, but may occur should
    interest shortfalls affect the classes;

-- Downgrades to the 'BBBsf' and Asf' 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 'CCCsf' and 'BBBsf' categories would occur
    should loss expectations increase and if performance of the
    FLOCs 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 pay down
    and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf'
    categories would likely occur with significant improvement in
    CE and/or defeasance; however, adverse selection, increased
    concentrations and further underperformance of the FLOCs 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 above 'Asf' if
    there is likelihood for interest shortfalls. Upgrades to the
    'CCCsf' and 'BBBB-sf' categories are not likely until the
    later years in a transaction and only if the performance of
    the remaining pool is stable 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.

ESG CONSIDERATIONS

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


KKR CLO 27: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from KKR CLO 27
Ltd./KKR CLO 27 LLC, a CLO originally issued in October 2019 that
is managed by KKR Financial Advisors II LLC.

The preliminary ratings are based on information as of Feb. 4,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Feb. 16, 2022, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

The replacement notes will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:

-- The replacement class A-R, B-R, C-R, D-R, and E-R notes will be
issued at a spread over three-month Secured Overnight Financing
Rate (SOFR), which will replace the spread over three-month LIBOR
on the original notes.

-- The current class B-1 and B-2 notes will be replaced with the
class B-R notes.

-- The replacement class B-R notes will be issued at a floating
spread, replacing the current floating spread and fixed coupon on
the class B-1 and B-2 notes, respectively.

-- The stated maturity and reinvestment period will remain the
same.

-- The non-call period will be extended by approximately 16
months.

-- No additional collateral will be purchased in connection with
this refinancing, and the target initial par amount will remain at
$450.00 million. The first payment date following the first
refinancing date will be April 15, 2022.

-- No additional subordinated notes will be issued in connection
with this refinancing.

-- The transaction is amending the required minimums on the
overcollateralization tests.

-- Of the identified underlying collateral obligations, 99.72%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

-- Of the identified underlying collateral obligations, 95.97%
have recovery ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

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

  Preliminary Ratings Assigned

  KKR CLO 27 Ltd./KKR CLO 27 LLC

  Class A-R $288.00 million: AAA (sf)
  Class B-R $54.00 million: AA (sf)
  Class C-R (deferrable) $27.00 million: A (sf)
  Class D-R (deferrable) $27.00 million: BBB- (sf)
  Class E-R (deferrable) $18.00 million: BB- (sf)
  Subordinated notes $37.40 million: Not rated



KREF 2022-FL3: DBRS Gives Prov. B(low) Rating on 3 Classes
----------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by KREF 2022-FL3 Ltd:

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

All trends are Stable.

The initial collateral consists of 16 floating-rate mortgage loans
secured by 18 mostly transitional properties with a cut-off balance
totaling $1.0 billion, excluding approximately $79.0 million of
remaining future funding commitments and $981,993,471 of funded
companion participations. The transaction is a managed
collateralized loan obligation and is structured with a 24-month
Reinvestment Period whereby the Issuer may acquire Companion
Participations in either the form of a mortgage loan, a combination
of a mortgage loan and a related mezzanine loan, or a fully funded
pari passu participation. In addition, the transaction is
structured with a Replenishment Period, which begins on the first
day after the Reinvestment Period and ends on the earlier of the
date the Issuer acquired 10% of the cut-off balance after the
Reinvestment Period and the sixth payment date after the
Reinvestment Period. One loan, The Harland, representing
approximately 4.0% of the Aggregate Collateral Interest Cut-Off
Date Balance, has not yet closed. The Delayed Close Collateral
Interest is expected to close on or prior to the Closing Date or
within 90 days after the Closing Date. If the fund for the
acquisition of such Delayed Close Collateral Interest was unused
within such time frame, it will be transferred and to be used
during the Reinvestment Period. Any Companion Participation
acquired during either the Reinvestment Period or Replenishment
Period is subject to Eligibility Criteria that, among other
criteria, includes a no downgrade rating agency confirmation (RAC)
by DBRS Morningstar for all new mortgage assets and funded
Companion Participations. There are no B notes or mezzanine loans
initially being held outside the trust for this transaction.

The loans are mostly secured by cash flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, eight loans, representing 62.9% of the
pool, have remaining future funding participations totaling
approximately $79.0 million, which the Issuer may acquire in the
future subject to stated criteria. For the floating-rate loans,
DBRS Morningstar used the one-month Libor index, which is based on
the lower of a DBRS Morningstar stressed rate that corresponded to
the remaining fully extended term of the loans or the strike price
of the interest rate cap with the respective contractual loan
spread added to determine a stressed interest rate over the loan
term. When the debt service payments were measured against the DBRS
Morningstar As-Is Net Cash Flow (NCF), 11 loans, comprising 59.7%
of the pool, had a DBRS Morningstar As-Is Debt Service Coverage
Ratio (DSCR) below 1.00 times (x), a threshold indicative of
elevated default risk. However, the DBRS Morningstar Stabilized
DSCRs for only seven loans, representing 38.9% of the initial pool
balance, are below 1.00x. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets to
stabilize above market levels.

The transaction sponsor is KKR Real Estate Finance Trust (KREF),
which is externally managed by KKR Real Estate Finance Manager LLC,
a subsidiary of KKR & Co. KREF is a publicly traded commercial
mortgage real estate investment trust focused primarily on
originating and acquiring senior loans secured by institutional
quality commercial real estate properties that are owned and
operated by experienced and well-capitalized sponsors. Since its
initial public offering in May 2017, KREF has originated $10.8
billion of loans and as of September 2021 had a portfolio balance
of $5.8 billion.

The Class F, Class G, and Preferred Shares (collectively, the
Retained Securities; representing 15.25% of the initial pool
balance) will be purchased and retained by KREF 2022-FL3 Holdings
LLC, a majority-owned affiliate of KKR Real Estate Finance Holdings
L.P.

Four loans, representing 31.9% of the pool, feature sponsors that
DBRS Morningstar has deemed Strong. Strong sponsorship correlates
with more sophisticated borrowers, and loans with strong
sponsorship generally exhibit lower rates of delinquency or default
over the course of their loan terms.

The loan collateral was generally in very good physical condition.
Eleven loans, representing 75.4% of the initial pool balance, were
deemed Above Average (three loans, 23.0%) and Average + (eight
loans, 52.4%) in quality, while the remaining 24.6% of the pool was
deemed Average. No loans in the pool are backed by a property that
DBRS Morningstar considered to be of Average –, Below Average, or
Poor quality. More than 50% of the properties were recently built
within the past five years.

The ongoing Coronavirus Disease (COVID-19) pandemic continues to
pose challenges and risks to the commercial real estate sector, and
the long-term effects on the general economy and consumer sentiment
are still unclear. Fourteen loans (91.8% of pool) were originated
in 2021 and one loan (4.0% of pool) was originated in 2022. The
loan files are recent, including third-party reports that consider
impacts from the coronavirus pandemic. Only one loan, The Kendrick,
representing 4.2% of the initial pool balance, was originated prior
to the onset of the pandemic.

All loans in the pool are secured by multifamily properties and all
loans that may be acquired during the reinvestment period must also
be secured by multifamily properties (including a maximum of 15% of
the aggregate outstanding portfolio balance on student housing
properties). Multifamily properties have historically seen lower
probabilities of default (PODs) and typically see lower expected
losses within the DBRS Morningstar model. Multifamily properties
benefit from staggered lease rollover and generally low expense
ratios compared with other property types. While revenue is quick
to decline in a downturn because of the short-term nature of the
leases, it is also quick to respond when the market improves.
Additionally, most loans in the initial pool are secured by
traditional multifamily properties, such as garden-style
communities or mid-rise/high-rise buildings, with no independent
living/assisted-living/memory care facilities or student housing
properties included in this pool.

Eleven loans, composing of 62.8% of the initial trust balance,
represent acquisition financing. Acquisition loans are considered
more favorable because the sponsor is usually required to
contribute a significant amount of cash equity as part of the
transaction, and it is also generally based on actual transaction
values rather than an appraiser's estimate of market value.

The DBRS Morningstar Business Plan Score (BPS) for loans DBRS
Morningstar analyzed was between 1.4 and 2.5, with an average of
1.8. On a scale of 1 to 5, a higher DBRS Morningstar BPS indicates
more risk in the sponsor's business plan. DBRS Morningstar
considers the anticipated lift at the property from current
performance, planned property improvements, sponsor experience,
projected time horizon, and overall complexity. Compared with
similar transactions, this pool has a lower average DBRS
Morningstar BPS, which is indicative of lower risk.

Three loans, representing 28.0% of the pool balance, have
collateral in DBRS Morningstar Metropolitan Statistical Area (MSA)
Group 3, which is the best-performing group in terms of historical
commercial mortgage-backed securities (CMBS) default rates among
the top 25 MSAs. DBRS Morningstar MSA Group 3 has a historical
default rate of 17.2%, which is nearly 10.8 percentage points lower
than the overall CMBS historical default rate of 28.0%.

The transaction is managed and includes one delayed-close loan, a
reinvestment period, and a replenishment period, which could result
in negative credit migration and/or an increased concentration
profile over the life of the transaction. Eligibility criteria for
reinvestment assets partially offsets the risk of negative credit
migration. The criteria outlines DSCR, loan-to-value (LTV),
Herfindahl, and property type limitations.

A no downgrade confirmation RAC is required from DBRS Morningstar
for reinvestment loans and companion participations, allowing DBRS
Morningstar the ability to analyze them for any potential ratings
impact.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the future funding amounts to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes loss severity given default (LGD) based on the as-is
credit metrics, assuming the loan was fully funded with no NCF or
value upside.

All 16 loans in the pool have floating interest rates and are
interest only during the initial and extended loan term, creating
interest rate risk and a lack of principal amortization. DBRS
Morningstar stresses interest rates based on the loan terms and
applicable floors or caps. The DBRS Morningstar Adjusted DSCR is a
model input and drives loan-level PODs and LGDs. All loans except
for one, Crystal Towers and Flats (12% of pool), have extension
options, and, to qualify for these options, the loans must meet
minimum DSCR and LTV requirements. All loans are short term and,
even with extension options, have a fully extended loan term of
five years maximum, which based on historical data, the DBRS
Morningstar model treats more punitively. The borrowers for 11
loans, totaling 68.7% of the trust balance, have purchased Libor
rate caps that range between 0.5% and 4.00% to protect against
rising interest rates over the term of the loan.

Based on the initial pool balances, the overall DBRS Morningstar
Weighted-Average (WA) As-Is DSCR of 0.95x and DBRS Morningstar WA
As-Is LTV of 77.3% generally reflect high-leverage financing. Most
of the assets are generally well positioned to stabilize, and any
realized cash flow growth would help to offset a rise in interest
rates and improve the overall debt yield of the loans. DBRS
Morningstar associates its LGD based on the assets' as-is LTV,
which does not assume that the stabilization plan and cash flow
growth will ever materialize. The DBRS Morningstar As-Is DSCR at
issuance does not consider the sponsor's business plan, as the DBRS
Morningstar As-Is NCF was generally based on the most recent
annualized period. The sponsor's business plan could have an
immediate impact on the underlying asset performance that the DBRS
Morningstar As-Is NCF does not account for. When measured against
the DBRS Morningstar Stabilized NCF, the DBRS Morningstar WA DSCR
is estimated to improve to 1.06x, suggesting that the properties
are likely to have improved NCFs once the sponsor's business plan
has been implemented. The DBRS Morningstar WA Stabilized LTV is
estimated to improve to 74.2%.

Two of the collateral interests, Aven and Portofino Place,
representing 23.5% of the pool, are subject to an existing
participation agreement entered in connection with the KREF
2021-FL2 offering, which sets forth the respective rights and
obligations of the holders created under such KREF 2021-FL2
participation agreement and are nonserviced loans. In connection
with the servicing of each such nonserviced loan, any special
servicer under the lead servicing agreement (which, as of the
Closing Date, will be the related special servicer under the KREF
2021-FL2 servicing agreement or participation agreement,
intercreditor agreement, or co-lender agreement, as applicable) may
take actions with respect to such loan that could adversely affect
the holders of some or all of the classes of notes. The rights of
the holders of the nonserviced loans are each governed by a
co-lender and agency agreement, which provides the other noteholder
with control, subject to certain consent rights, and appoints that
party as administrative agent subject to a gross negligence
standard for liability and indemnification in dealing with
noteholders. The in-place servicing agreement follows
securitization standards.

Because of health and safety constraints associated with the
ongoing coronavirus pandemic, DBRS Morningstar was unable to
perform in-person site inspections on any of the properties in the
pool. As a result, DBRS Morningstar relied more heavily on
third-party reports, online data sources, and information provided
by the Issuer to determine the overall DBRS Morningstar property
quality of each loan. The Issuer provided recent third-party
reports for all loans that contained property quality commentary
and photos except for the property condition report and Phase I
reports for The Kendrick, which was prepared more than 12 months
ago.

One loan, secured by The Kendrick, representing 4.2% of the pool
balance, has an open environmental issue, first identified after
the loan's origination, involving levels of trichloroethylene
(TCE), a potentially carcinogenic substance, in indoor air and soil
gas exceeding regulatory limits. The matter is subject to a
mandated in process (early stage) regulatory order by the
Massachusetts Department of Environmental Protection (MassDEP) to
investigate and remediate the identified contamination until fully
resolved potentially over an estimated five-year timeline. DBRS
Morningstar was advised that MassDEP's immediate response required
an assessment of the subslab depressurization system at the
property (SSDS), temporary installation of air purifying units in
certain units, and a design (and installation) of a new SSDS. The
sponsor also advised that it would be required to obtain a revised
Phase I assessment by June 2022, a Phase II assessment by June
2025, and depending on the results, the implementation of a Phase
IV remedy plan by June 2026, with the potential finalization of a
solution by June 2027. Currently, 18 of the units identified as
affected are considered down units and are concluded as vacant by
DBRS Morningstar.

DBRS Morningstar was further advised that the sponsor's compliance
with the MassDEP remediation steps is under way and approximately
$1.5 million has been spent to date as part of that investigation
and remediation, with the new SSDS expected to be installed by
March 2022. In addition, an investigation of the surrounding area
is planned to determine whether other parties responsible for
offsite sources or environmental releases could be causing or
contributing to these issues and whether they should share in the
investigation and remediation costs.

The uncertainty of the source of the TCE, unknown scope of its
physical and intangible impact, and extended timeline for
investigating, remediating, and monitoring (in accordance with a
regulatory order) create a potential credit risk not only as to the
anticipated hard cost expense to investigate and remediate, which
the sponsor's environmental consultant estimated at $14.5 million
in a worst-case scenario, but also as to the potential risk of
diminution in value created by such cost and the possible stigma
and potential liability associated with the presence of a known
environmental hazard at the property. In any event, this ongoing
unresolved issue could adversely affect occupancy and cash flow and
result in a term default, or the potential inability to refinance
the fully funded loan or to sell the property in a situation where
the trust may not be able to enforce remedies against the property
because of an unresolved environmental issue.

The borrower sponsors provided an environmental indemnity in
connection with the loan and are required to take action should an
environmental event occur per the Loan Document. The borrower
sponsors have reportedly spent $1.5 million to date and have
provided a joint and several environmental indemnity in connection
with the related mortgage loan and are motivated to fully remediate
the property. DBRS Morningstar NCF analysis excluded the 18 down
units. In addition, DBRS Morningstar adjusted the As-Is and
As-Stabilized appraised values downward and increased the LGD on
this loan given the amount of potential risks involved and the
open-ended nature of this environmental issue. As a result of these
adjustments, the loan's expected loss increased to be over the pool
WA. The sponsors on this loan, Toll Brothers and Ares Management,
are publicly traded companies and institutional sponsors. Both Toll
Brothers and Ares US Real Estate Development and redevelopment Fund
II, LP, are the nonrecourse carveout guarantors on this loan.

As the deadline for the elimination of Libor approaches, the
interest rate on the Notes will initially be based on the floating
rate benchmark, Term Secured Overnight Financing Rate (SOFR)
(defined as the one-month forward-looking term rate, as obtained by
the Calculation Agent, identified as 1 Month CME Term SOFR).
However, because Term SOFR is a relatively new index and different
kinds of SOFR-based rates exist, mismatches between SOFR-based
rates and other benchmark-based rates may cause economic
inefficiencies and cause the Notes to experience significant
volatility and fluctuations. Also, Term SOFR may not become
unavailable and may change upon the occurrence of a benchmark
transition event and its related benchmark replacement date.

In addition, all of the Cut-Off Date Real Estate Loans will
initially bear (or are expected to bear) interest at adjustable
rates based on Libor for one-month Eurodollar deposits. To the
extent the Issuer acquires Collateral Interests in the future,
including potentially the Delayed Closed Loan, it is expected that
such Collateral Interests will bear interest at adjustable rates
based on Term SOFR, Libor for one-month Eurodollar deposits, or
other SOFR benchmark. Several potential mismatches including (i)
basis mismatch between the Notes and the Collateral Interests as a
result of interest rates that are based on different accrual
periods; (ii) timing mismatch between the Notes and the Collateral
Interests as a result of the benchmark on such Collateral Interests
adjusting on different dates than the benchmark on the Notes; (iii)
mismatch that results from some or all of the Collateral Interests
converting (a) to an alternative rate to Term SOFR that is
different from the Benchmark Replacement determined in accordance
with the terms of the Indenture, (b) at a different time than when
the Notes convert to any Benchmark Replacement, or (c) with a
different spread adjustment than the applicable benchmark
replacement adjustment; or (iv) mismatch between the Benchmark
and/or benchmark replacement adjustment on the Notes and the
benchmark and/or the benchmark replacement adjustment (if any)
applicable to the Collateral Interests could result in the Issuer
not collecting sufficient interest proceeds to make interest
payments on the Notes.

To compensate for differences between the successor Benchmark and
then-current Benchmark, a benchmark replacement adjustment will be
included in any benchmark replacement other than Term SOFR.
However, any benchmark replacement adjustment may not be sufficient
to produce the economic equivalent of the then-current Benchmark,
either at the benchmark replacement date or over the life of the
Notes. Currently, the Designated Transaction Representative, the
Collateral Manager, will have sole discretion in all elements of
the benchmark replacement process. Noteholders will not have any
right to approve or disapprove of any changes as a result of any
benchmark transition event and/or its related benchmark replacement
date, the selection of a benchmark replacement or benchmark
replacement adjustment, or the implementation of any benchmark
replacement conforming changes to the Loans. In the discharge of
any Special Servicer Alternative Rate Activities (which includes
(i) any action taken or omitted to be taken by the Special Servicer
with respect to the implementation of any loan-level benchmark
replacement and loan-level benchmark replacement conforming
changes, (ii) updating Special Servicer's servicing system for the
related loan-level benchmark replacement, and (iii) following the
direction of the Collateral Manager regarding such loan-level
benchmark replacement and loan-level benchmark replacement
conforming changes) the Special Servicer will be held to a gross
negligence standard only with regard to any liability for its
actions.

Three loans, each having a loan balance greater than $20 million
(Aven, The Kendrick, and Alvista Durham), combined representing
20.2% of the initial pool balance, were not required to obtain a
nonconsolidation opinion as part of their loan agreement. As a
result, there is no opinion provided as to the separateness of the
borrower to the overarching sponsorship that could otherwise be
looked to as an opinion of separateness during a bankruptcy
proceeding. DBRS Morningstar applied a POD adjustment to these
loans to account for the lack of a consolidation opinion.

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



MELLO MORTGAGE 2022-INV1: DBRS Finalizes B Rating on Cl. B5 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2022-INV1 issued by
Mello Mortgage Capital Acceptance 2022-INV1 (MELLO 2022-INV1):

-- $550.8 million Class A-1 at AAA (sf)
-- $550.8 million Class A-1-A at AAA (sf)
-- $507.5 million Class A-2 at AAA (sf)
-- $507.5 million Class A-2-A at AAA (sf)
-- $507.5 million Class A-2-B at AAA (sf)
-- $406.0 million Class A-3 at AAA (sf)
-- $406.0 million Class A-3-A at AAA (sf)
-- $406.0 million Class A-3-B at AAA (sf)
-- $406.0 million Class A-3-X at AAA (sf)
-- $304.5 million Class A-4 at AAA (sf)
-- $304.5 million Class A-4-A at AAA (sf)
-- $304.5 million Class A-4-B at AAA (sf)
-- $304.5 million Class A-4-X at AAA (sf)
-- $101.5 million Class A-5 at AAA (sf)
-- $101.5 million Class A-5-A at AAA (sf)
-- $101.5 million Class A-5-X at AAA (sf)
-- $247.0 million Class A-6 at AAA (sf)
-- $247.0 million Class A-6-A at AAA (sf)
-- $247.0 million Class A-6-B at AAA (sf)
-- $247.0 million Class A-6-X at AAA (sf)
-- $159.0 million Class A-7 at AAA (sf)
-- $159.0 million Class A-7-A at AAA (sf)
-- $159.0 million Class A-7-X at AAA (sf)
-- $57.5 million Class A-8 at AAA (sf)
-- $57.5 million Class A-8-A at AAA (sf)
-- $57.5 million Class A-8-X at AAA (sf)
-- $26.3 million Class A-9 at AAA (sf)
-- $26.3 million Class A-9-A at AAA (sf)
-- $26.3 million Class A-9-X at AAA (sf)
-- $75.2 million Class A-10 at AAA (sf)
-- $75.2 million Class A-10-A at AAA (sf)
-- $75.2 million Class A-10-X at AAA (sf)
-- $101.5 million Class A-11 at AAA (sf)
-- $101.5 million Class A-11-X at AAA (sf)
-- $101.5 million Class A-11-A at AAA (sf)
-- $101.5 million Class A-11-AI at AAA (sf)
-- $101.5 million Class A-11-B at AAA (sf)
-- $101.5 million Class A-11-BI at AAA (sf)
-- $101.5 million Class A-11-C at AAA (sf)
-- $101.5 million Class A-12 at AAA (sf)
-- $101.5 million Class A-13 at AAA (sf)
-- $43.3 million Class A-14 at AAA (sf)
-- $43.3 million Class A-15 at AAA (sf)
-- $440.6 million Class A-16 at AAA (sf)
-- $110.2 million Class A-17 at AAA (sf)
-- $550.8 million Class A-X-1 at AAA (sf)
-- $550.8 million Class A-X-2 at AAA (sf)
-- $101.5 million Class A-X-3 at AAA (sf)
-- $43.3 million Class A-X-4 at AAA (sf)
-- $6.0 million Class B-1 at AA (sf)
-- $17.3 million Class B-2 at A (low) (sf)
-- $7.8 million Class B-3 at BBB (sf)
-- $6.3 million Class B-4 at BB (sf)
-- $1.5 million Class B-5 at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-X-1 A-X-2, A-X-3, and A-X-4 are
interest-only certificates. The class balances represent notional
amounts.

Classes A-1, A-1-A, A-2, A-2-A, A-2-B, A-3, A-3-A, A-3-B, A-3-X,
A-4, A-4-A, A-4-B, A-4-X, A-5, A-5-A, A-5-X, A-6, A-6-B, A-7,
A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI, A-11-B, A-11-BI,
A-11-C, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates.

Classes A-2, A-2-A, A-2-B, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B,
A-5, A-5-A, A-6, A-6-A, A-6-B, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A,
A-10, A-10-A, A-11, A-11-A, A-11-B, A-11-C, A-12, and A-13 are
super-senior certificates. These classes benefit from additional
protection from the senior support certificates (Classes A-14 and
A-15) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 7.75% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 6.75%,
3.85%, 2.55%, 1.50%, and 1.25% of credit enhancement,
respectively.

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

This is a securitization of a portfolio of first-lien, fixed-rate
prime conventional investment-property residential mortgages funded
by the issuance of the Certificates. The Certificates are backed by
1,442 loans with a total principal balance of $597,079,019 as of
the Cut-Off Date (January 1, 2022).

In contrast to loanDepot.com, LLC's (loanDepot) prime MELLO MTG
series, MELLO 2022-INV1 is its fifth prime securitization composed
of fully amortizing fixed-rate mortgages on non-owner-occupied
residential investment properties. The portfolio consists of
conforming mortgages with original terms to maturity of primarily
30 years, which were underwritten by loanDepot using an automated
underwriting system designated by Fannie Mae or Freddie Mac and
were eligible for purchase by such agencies. In its analysis, DBRS
Morningstar applied property value haircuts to such loans, which
increased the expected losses on the collateral. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section of the presale report.

LoanDepot is the Originator, Seller, and Servicing Administrator of
the mortgage loans. Mello Credit Strategies LLC is the Sponsor of
the transaction. LD Holdings Group LLC will serve as the Guarantor
with respect to the remedy obligations of the Seller. Mello
Securitization Depositor LLC, a subsidiary of the Sponsor and an
affiliate of the Seller, will act as Depositor of the transaction.

Cenlar FSB will act as the Servicer. Computershare Trust Company,
N.A. will act as the Master Servicer and Securities Administrator.
Wilmington Savings Fund Society, FSB will serve as the Trustee, and
Deutsche Bank National Trust Company will serve as the Custodian.

For this transaction, the servicing fee comprises 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.

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

Coronavirus Disease (COVID-19) Pandemic Impact

The coronavirus pandemic and the resulting isolation measures
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
forbearances, which are generally short-term payment reliefs that
may perform very differently from traditional delinquencies. At the
onset of the pandemic, the option to forebear mortgage payments was
widely available and it drove forbearances to a very high level.
When the dust settled, coronavirus-induced forbearances in 2020
performed better than expected, thanks to government aid, low
loan-to-value ratios, 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 the
forbearance period comes to an end for many borrowers.

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



MORGAN STANLEY 2006-TOP23: S&P Lowers Cl. E Notes Rating to D (sf)
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on four classes of
commercial mortgage pass-through certificates from three U.S. CMBS
transactions.

S&P said, "We lowered our ratings on three classes to 'D (sf)' from
three CMBS transactions due to accumulated interest shortfalls that
we expect to remain outstanding for the foreseeable future. At the
same time, we also lowered our rating on class E to 'CCC (sf)'from
GS Mortgage Securities Trust 2013-GC10. Based on our analysis of
the potential modification of the largest loan in the pool, the
Empire Hotel & Retail loan (15.9% of the pooled trust balance), we
believe that this class is more susceptible to reduced liquidity
support and the risk of default and loss have increased due to
uncertain market conditions."

The recurring interest shortfalls for the certificates are
primarily due to one or more of the following factors:

-- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;

-- Interest rate modifications or deferrals, or both, related to
corrected mortgage loans;

-- The recovery of prior servicing advances; or

-- Special servicing fees.

S&P sai,d "Our analysis primarily considered the ASER amounts based
on appraisal reduction amounts (ARAs) calculated using recent
Member of the Appraisal Institute (MAI) appraisals. We also
considered servicer-nonrecoverable advance declarations and special
servicing fees that are likely, in our view, to cause recurring
interest shortfalls."

The servicer implements ARAs and resulting ASER amounts according
to each transaction's terms. Typically, these terms call for an ARA
equal to 25% of the loan's stated principal balance to be
implemented when it is 60 days past due and an appraisal or other
valuation is not available within a specified time frame. S&P
primarily considered ASER amounts based on ARAs calculated from MAI
appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change, or
even reversal, once the special servicer obtains the MAI
appraisals.

Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.

Morgan Stanley Capital I Trust 2006-TOP23

S&P said, "We lowered our rating to 'D (sf)' on the class E
commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to be outstanding
for the foreseeable future until the eventual resolution of the
sole remaining specially serviced 150 Hillside Avenue loan (100% of
pooled trust balance)." The class E certificates currently have
accumulated interest shortfalls outstanding for seven consecutive
months.

According to the Jan. 12, 2022, trustee remittance report, the
current monthly interest shortfalls totaled $103,737 and resulted
primarily from interest not advanced due to nonrecoverable
determination on the specially serviced loan.

The current reported interest shortfalls have affected all classes
subordinate to and including class E.

JPMorgan Chase Commercial Mortgage Securities Corp. Series
2005-CIBC11

S&P lowered its rating to 'D (sf)' on the class H commercial
mortgage pass-through certificates to reflect accumulated interest
shortfalls that it expects to be outstanding for the foreseeable
future until the eventual resolution of the sole specially serviced
Shoppes at IV real estate owned asset (76.0% of the pooled trust
balance). The class H certificates currently have accumulated
interest shortfalls outstanding for four consecutive months.

According to the Jan. 12, 2022, trustee remittance report, the
current monthly interest shortfalls from the collateral totaled
$67,912 and resulted primarily from interest not advanced due to
nonrecoverable determination on the specially serviced asset.

The current reported interest shortfalls have affected all classes
subordinate to and including class H.

GS Mortgage Securities Trust 2013-GC10

S&P said, "We lowered our rating to 'D (sf)' on the class F
commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to be outstanding
for the foreseeable future until the eventual resolutions of the
specially serviced Empire Hotel & Retail (15.9% of pooled trust
balance) and One Technology Plaza (2.0%) loans. The class F
certificates currently have accumulated interest shortfalls
outstanding for five consecutive months.

"We have also lowered our rating to 'CCC (sf)' on the class E
commercial mortgage pass-through certificates. Based on our
analysis of the potential modification of the largest loan in the
pool, the Empire Hotel & Retail loan, we believe that this class is
more susceptible to reduced liquidity support and the risk of
default and loss have increased due to uncertain market conditions.
Based on the special servicer comments, the borrower and special
servicer have finalized loan modification terms which among other
items include reducing the interest rate. We expect the loan
modification to result in liquidity interruptions and further
credit deterioration to class E."

According to the Jan. 12, 2022, trustee remittance report, the
current monthly interest shortfalls from the collateral totaled
$145,469 and resulted primarily due to ASERs and special servicing
fees on the aforementioned specially serviced loans.

The current reported interest shortfalls have affected all classes
subordinate to and including class F.

  Ratings Lowered

  Morgan Stanley Capital I Trust 2006-TOP23

  Commercial mortgage pass-through certificates series 2006-TOP23

   Class E to D (sf) from CCC (sf)

  JPMorgan Chase Commercial Mortgage Securities Corp.

  Commercial mortgage pass-through certificates series 2005-CIBC11

   Class H to D (sf) from CCC (sf)

  GS Mortgage Securities Trust 2013-GC10

  Commercial mortgage pass-through certificates series 2013-GC10

   Class E to CCC (sf) from B- (sf)
   Class F to D (sf) from CCC (sf)



MORGAN STANLEY 2022-16: Moody's Gives (P)Ba3 Rating to Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of notes to be issued by Morgan Stanley Eaton Vance CLO
2022-16, Ltd (the "Issuer" or "MSEV 2022-16").

Moody's rating action is as follows:

US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned (P)Aaa (sf)

US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned (P)Ba3 (sf)

The notes listed are referred to herein, collectively, as the
"Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

MSEV 2022-16 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans and bonds. Moody's expect the portfolio to be
approximately 95% ramped as of the closing date.

Morgan Stanley Eaton Vance CLO Manager LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the Rated Notes, the Issuer will issue four other
classes of secured notes and one class of subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.

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

Par amount: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2910

Weighted Average Spread (WAS): 3mS + 3.3%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 45.0%

Weighted Average Life (WAL): 8 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings 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 Ratings:

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


MRU STUDENT 2008-A: S&P Assigns B- (sf) Rating on Cl. B Notes
-------------------------------------------------------------
S&P Global Ratings raised its ratings on three classes of 2008-A
from MRU Student Loan Trust 2008-A. At the same time, S&P removed
the ratings from CreditWatch positive, where it had placed them on
Nov. 10, 2021.

S&P said, "The rating actions reflect our views regarding
collateral performance and associated credit enhancement levels.
The rate at which cumulative defaults are increasing continues to
decline, and the percentage of loans that that have a current
repayment status has increased. Additionally, cumulative recoveries
continue to increase. The combination of a declining pace in
defaults and an increasing percentage of cumulative recoveries has
led to a decline in cumulative net losses. As a result, credit
enhancement levels for the class A-1A and A-1B (collectively, class
A) notes have experienced a material increase, while also
increasing for the class B notes. The rating actions also reflect
the trust's relevant structural features--in particular, cost of
funds, capital structure, and payment waterfalls."


RATIONALE

S&P raised the ratings on the class A notes to 'AAA (sf)' from 'B-
(sf)' because, based on the principal payment rate observed in
recent periods, it expects the class A notes to be paid in full by
the January 2023 distribution date. The current class A balance is
approximately $4.16 million, and the average quarterly principal
payment over the last year is approximately $1.34 million.

While the trust is impaired by substantial under-collateralization
levels, the class A notes are benefitting from their current-paying
position in the waterfall, the interest reprioritization triggers,
and the cumulative recoveries on the defaulted loans. Credit
enhancement for class A has significantly improved, with a large
contributing factor being the significant increase in cumulative
recoveries. As of January 2022, credit enhancement, as measured by
calculating parity as the sum of the current loan pool balance and
accrued interest that is expected to be capitalized divided by the
class A note balance, has increased to approximately 232% from
approximately 175% in July 2021.

S&P raised the rating on the class B notes to 'B- (sf)' from 'CC
(sf)' to reflect the class' increasing level of credit enhancement,
which is primarily due to the declining net losses. Although the
class B notes remain under-collateralized, credit enhancement has
improved, with parity increasing to approximately 94% as of January
2022 from approximately 91% as of July 2021. Cumulative recoveries
are approximately 30% of the defaulted balance as of the January
2022 distribution date compared to approximately 11% of the
defaulted balance in March 2016. The periodic recoveries continue
to exceed the periodic defaults, causing a decline in cumulative
net losses. For example, the reported cumulative defaults increased
in the last period by approximately $63,000, while the current
period's reported recoveries were approximately $429,000.

Since the class A notes are expected to be repaid within the next
year, the class B notes will soon become the current paying class
and will be the primary beneficiary of future recoveries. S&P's
raised the rating to'B- (sf)' from ' CC (sf)' to reflect that,
under the current steady state with cumulative recoveries remaining
at levels similar to those observed over the last several years,
this class will be repaid by its legal final maturity date.
Repayment of this class is dependent upon the ability of the trust
to continue to collect on previously defaulted loans.

S&P previously lowered its ratings on the class C and D notes to 'D
(sf)' because these classes stopped receiving interest payments
after the senior interest triggers were breached, which generally
occurs when the class senior in the capital structure becomes
under-collateralized. As the interest shortfalls on these classes
are continuing and the classes remain substantially
under-collateralized, we do not expect these classes to receive
full interest and principal by their legal final maturity dates
and, accordingly, are not raising the ratings on these classes from
'D (sf).'

STRUCTURAL FEATURES

The historical impact of poor collateral performance and the high
cost of funds on the notes has led to significant
under-collateralization for the trust. At issuance, the trust was
structured to provide excess spread over the transaction's life as
additional credit enhancement. However, the interest on the notes
is currently in excess of the interest being received on the
collateral, resulting in negative excess spread. As of the January
2022 distribution date, the weighted average coupon (WAC) on the
notes is 5.04% while the WAC on the collateral is 4.94%. Based on
the information in the latest servicer report, the total pool
balance is approximately 9.66 million and the total note balance is
approximately $23.85 million, resulting in total parity of
approximately 40%.

The following table shows the capital structure of the MRU Student
Loan Trust 2008-A transaction as of January 2022:

       Current balance  Note factor   Parity              Coupon
  Class       (mil. $)       (%)(i)  (%)(ii)                 (%)
  A-1A            1.03         4.15   231.88                7.40
  A-1B            3.13         4.15   231.88    1 mo. LIBOR+3.00
  B               6.06        81.03    94.45    1 mo. LIBOR+5.50
  C               7.32        81.03    55.03    1 mo. LIBOR+7.50
  D               6.31        81.03    40.47   1 mo. LIBOR+10.00

(i)Calculated using the current note balance divided by original
note balance.

(ii)Parity is calculated using the sum of the current loan pool
balance and accrued interest that is expected to be capitalized
over the respective class balance plus the balance of all classes
senior to the respective class (i.e., the denominator for class C
parity is equal to the sum of the class A-1A, A-1B, B, and C note
balances).

In addition to the lower classes of notes' subordination, the trust
is supported by principal and interest reprioritization triggers,
which are based on cumulative default and parity thresholds,
respectively. The principal reprioritization trigger occurs when a
cumulative default threshold has been met and shifts the payment
structure from pro-rata to sequential principal payments. This
trigger has been breached and cannot be cured. Generally, an
interest reprioritization trigger occurs when a class' parity falls
below a specific threshold. When a class' interest reprioritization
trigger is breached, the principal payments to that class will
become senior to interest payments of subordinated classes until
targeted parity levels are reached. The class B interest trigger is
currently in effect, causing the class B principal payments to be
senior to interest payments on the class C and D notes. This has
resulted in missed interest payments on the class C and D notes, in
addition to their significant under-collateralization levels.

The reserve account for the trust is currently depleted as a result
of the continued interest shortfall on certain notes.

CASH FLOW MODELING SUMMARY

S&P ran 'B' cash flow credit scenarios to determine the rating on
the class B notes. Some of the major assumptions we modeled
include:

-- A straight-line, five-year default curve, and a back-ended,
eight-year default curve;

-- Recovery rates of 30.0% over 10 years;

-- Voluntary prepayment speed starting at a 0.00% constant
prepayment rate (CPR), ramping up 1.00% per year to a 5.00% CPR,
then remaining constant thereafter for transaction's life;

-- Forbearance rates of 2.00% of all loans in repayment for the
maximum period permitted by the lender's loan policies (interest
capitalized);

-- Stressed one-month LIBOR interest rate paths (up/down and
down/up) based on the Cox-Ingersoll-Ross framework.

Based on S&P's analysis of the cash flows, the repayment of the
class B notes is dependent on cumulative recoveries continuing at
recent levels.

S&P will continue to monitor the ongoing performance of this trust.
In particular, S&P will continue to review available credit
enhancement, which is primarily a function of the pace of defaults,
principal amortization, excess spread, and recoveries.

  RATINGS RAISED

  MRU Student Loan Trust 2008-A

                 Rating
  Class     To           From
  A-1A      AAA (sf)'    B- (sf)/CreditWatch Positive
  A-1B      AAA (sf)'    B- (sf)/CreditWatch Positive
  B         B- (sf) '    CC (sf)/CreditWatch Positive



NEW RESIDENTIAL 2022-SFR1: DBRS Finalizes B(low) Rating on G Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Single-Family Rental Pass-Through Certificates (the Certificates)
issued by New Residential Mortgage Loan Trust 2022-SFR1 (NRMLT
2022-SFR1):

-- $75.4 million Class A at AAA (sf)
-- $28.2 million Class B at AAA (sf)
-- $9.2 million Class C at AAA (sf)
-- $13.4 million Class D at AAA (sf)
-- $62.7 million Class E-1 at BBB (sf)
-- $11.8 million Class E-2 at BBB (low) (sf)
-- $27.6 million Class F at BB (low) (sf)
-- $19.7 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A, B, C, and D certificates
reflects 71.84%, 61.32%, 57.89%, and 52.89% of credit enhancement,
respectively, provided by the subordinated notes in the pool. The
BBB (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings
reflect 29.47%, 25.05%, 14.74%, and 7.37% of credit enhancement,
respectively.

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

NRMLT 2022-SFR1's 1,200 properties are in 11 states, with the
largest concentration by broker price opinion value in Georgia
(34.8%). The largest metropolitan statistical area (MSA) by value
is Atlanta (34.5%), followed by Houston (11.3%). The geographic
concentration dictates the home-price stresses applied to the
portfolio and the resulting market value decline (MVD). The MVD at
the AAA (sf) rating level for this deal is 53.2%. NRMLT 2022-SFR1
has properties from 26 MSAs, many of which experienced dramatic
home price index declines in the housing crisis of 2008.

DBRS Morningstar assigned the provisional ratings for each class of
certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. DBRS Morningstar
developed property-level stresses for the analysis of single-family
rental assets. DBRS Morningstar will finalize the provisional
ratings on each class based on the level of stresses each class can
withstand and whether such stresses are commensurate with the
applicable rating level. DBRS Morningstar's analysis includes
estimated base-case net cash flows (NCFs) by evaluating the gross
rent, concession, vacancy, operating expenses, and capital
expenditure data. The DBRS Morningstar NCF analysis resulted in a
minimum debt service coverage ratio of higher than 1.0 times.

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



OBX 2022-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 35
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2022-INV2 Trust (OBX 2022-INV2). The ratings range from (P)Aaa
(sf) to (P)B3 (sf).

OBX 2022-INV2, the second rated issue from Onslow Bay Financial LLC
(Onslow Bay) in 2022, is a prime RMBS securitization of 10 to
30-year fixed-rate, agency-eligible mortgage loans secured by first
liens on non-owner occupied residential properties (designated for
investment purposes by the borrower). All the loans were
underwritten using one of the government-sponsored enterprises'
(GSE) automated underwriting systems (AUS) and 100.0% by unpaid
principal balance (UPB) received an "Approve" or "Accept"
recommendation. As of the cut-off date, no borrower under any
mortgage loan is currently in an active Covid-19 related
forbearance plan with the related servicer.

The mortgage loans for this transaction have been acquired by the
sponsor and the seller, Onslow Bay Financial LLC, from Bank of
America, National Association (BANA). BANA acquired the mortgage
loans through its whole loan purchase program from various
originators. The largest originators in the pool with more than
7.0% by loan balance are Movement Mortgage, LLC (20.6%), Fairway
Independent Mortgage Corporation (20.6%), Cardinal Financial
Company LP (15.3%), HomeBridge Financial Services, Inc (11.1%), and
Rocket Mortgage, LLC (8.2%). All other originators represent less
than 7.0% by loan balance.

NewRez LLC d/b/a Shellpoint Mortgage Servicing will service 100.0%
(by UPB) of the mortgage loans respectively on behalf of the
issuing entity. Computershare Trust Company, N.A. (Computershare)
will act as master servicer. Certain servicing advances and
advances for delinquent scheduled interest and principal payments
will be funded unless the related mortgage loan is 120 days or more
delinquent or the servicer determines that such delinquency
advances would not be recoverable. The master servicer is obligated
to fund any required monthly advances if the servicer fails in its
obligation to do so. The master servicer and servicer will be
entitled to reimbursements for any such monthly advances from
future payments and collections with respect to those mortgage
loans.

The sponsor, directly or through a majority-owned affiliate,
intends to retain an eligible horizontal residual interest with a
fair value of at least 5% of the aggregate fair value of the notes
issued by the trust.

OBX 2022-INV2 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordination floor. In Moody's analysis of tail risk, Moody's
considered the increased risk from borrowers with more than one
mortgage in the pool.

The complete rating actions are as follows:

Issuer: OBX 2022-INV2 Trust

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-13, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

Cl. A-IO14*, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

Cl. B-3, Assigned (P)Baa2 (sf)

Cl. B-3A, Assigned (P)Baa2 (sf)

Cl. B-IO3*, Assigned (P)Baa2 (sf)

Cl. B-4, Assigned (P)Ba2 (sf)

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected losses in a base case scenario are 1.00% and reach
5.81% at a stress level consistent with Moody's Aaa rating
scenario.

Moody's base its ratings on the notes 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

The OBX 2022-INV2 transaction is a securitization of 1,583
agency-eligible mortgage loans, secured by 10 to 30-year
fixed-rate, non-owner occupied first liens on one-to four-family
residential properties, planned unit developments, condominiums and
townhouses with an unpaid principal balance of approximately
$466,686,480. The notes are backed by 100.0% investment property
mortgage loans. The mortgage pool has a WA seasoning of about 6
months. The loans in this transaction have strong borrower credit
characteristics with a weighted average current FICO score of 773
and a weighted-average original combined loan-to-value ratio (CLTV)
of 66.3%. In addition, 23.5% of the borrowers are self-employed and
refinance loans comprise about 51.4% of the aggregate pool. The
pool has a high geographic concentration with 29.3% of the
aggregate pool located in California, with 9.9% located in the Los
Angeles-Long Beach-Anaheim MSA and 8.5% located in the New
York-Newark-Jersey City MSA. The characteristics of the loans
underlying the pool are generally comparable to other recent prime
RMBS transactions backed by investment property mortgage loans that
Moody's have rated.

As of the cut-off date, no borrower under any mortgage loan is
currently in an active Covid-19 related forbearance plan with the
related servicer. However, there was one loan that was previously
in a Covid-19 forbearance plan (0.1% by UPB) from April 2020 to
June 2021, but it is current on payment status. In the event that,
after cut-off date, a borrower enters into or requests an active
Covid-19 related forbearance plan, such mortgage loan will remain
in the mortgage pool.

Appraisal Waiver (AW) loans, all of which are agency-eligible
loans, which constitute approximately 2.3% of the mortgage loans by
aggregate cut-off date balance, may present a greater risk as the
value of the related mortgaged properties may be less than the
value ascribed to such mortgaged properties. Moody's made an
adjustment in Moody's analysis to account for the increased risk
associated with such loans. However, Moody's have tempered this
adjustment by taking into account the GSEs' robust risk modeling,
which helps minimize collateral valuation risk, as well as the
GSEs' conservative eligibility requirements for AW loans which
helps to support deal collateral quality.

Origination Quality

Majority of the mortgage loans in the pool were originated by
Movement Mortgage, LLC, Fairway Independent Mortgage Corporation,
Cardinal Financial Company LP, HomeBridge Financial Services, Inc.,
and Rocket Mortgage, LLC. All other originators represent less than
7.0% by loan balance. All the mortgage loans comply with Freddie
Mac and Fannie Mae underwriting guidelines, with 100.0% receiving
an "Approve" or "Accept" recommendation, which take into
consideration, among other factors, the income, assets, employment
and credit score of the borrower.

With exception for loans originated by Rocket Mortgage
(approximately 8.2% by UPB) and Home Point Financial Corporation
(approximately 4.7% by UPB), Moody's did not make any adjustments
to Moody's base case and Aaa stress loss assumptions, regardless of
the originator, since the loans were all underwritten in accordance
with GSE guidelines.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to Moody's base case and Aaa stress loss assumptions based on the
servicing arrangement.

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will be
the named primary servicer for this transaction and will service
100.0% of the pool. Computershare will act as master servicer and
as custodian under the custodial agreement. Computershare is a
national banking association and a wholly-owned subsidiary of
Computershare Ltd (Baa2, long term rating), an Australian financial
services company with over $5 billion (USD) in assets as of June
30, 2021. Computershare Ltd and its affiliates have been engaging
in financial service activities, including stock transfer related
services since 1997, and corporate trust related services since
2000.

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
make principal and interest advances (subject to a determination of
recoverability) for the mortgage loans that it services. The master
servicer is obligated to fund any required monthly advances if a
servicer or any other party obligated to advance fails in its
obligation to do so. The master servicer and servicer will be
entitled to be reimbursed for any such monthly advances from future
payments and collections (including insurance and liquidation
proceeds) with respect to those mortgage loans.

Similarly to the OBX 2022-INV1 transaction Moody's have rated, and
in contrast to the OBX 2021-J shelf, no advances of delinquent
principal or interest will be made for mortgage loans that become
120 days or more delinquent under the MBA method. Subsequently, if
there are mortgage loans that are 120 days or more delinquent on
any payment date, there will be a reduction in amounts available to
pay principal and interest otherwise payable to note holders.
Moody's did not make an adjustment for the stop advance feature due
to the strong reimbursement mechanism for liquidated mortgage
loans. Proceeds from liquidated mortgage loans are included in the
available distribution amount and are paid according to the
waterfall.

Third Party Review (TPR)

Three independent TPR firms, Consolidated Analytics, Inc., Clayton
and Wipro Opus Risk Solutions LLC were engaged to conduct due
diligence for the credit, compliance, property valuation and data
integrity for approximately 98.2% of the final mortgage pool (by
loan count). The original population included 1,734 loans in the
initial securitized pool. During the course of the review, 180
loans were removed for various reasons. The final population of the
review consisted of 1,554 loans in the final securitized pool. The
TPR results indicated compliance with the originators' underwriting
guidelines for most of the loans without any material compliance
issues or appraisal defects. 100.0% of the loans reviewed in the
final population received a grade B or higher with 90.2% of loans
receiving an A grade.

Representations & Warranties (R&W)

Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the seller, who will in turn assign to the
depositor, which will assign to the trust. Onslow Bay Financial LLC
will provide the gap reps. Moody's considered the R&W framework in
Moody's analysis and found it to be adequate. However, Moody's have
increased Moody's loss levels to account for the risk that the R&W
providers may not have financial wherewithal to purchase defective
loans.

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

In a continued effort to focus breach reviews on loans that are
more likely to contain origination defects that led to or
contributed to the delinquency of the loan, an additional carve out
has been in recent transactions Moody's have rated from other
issuers relating to the delinquency review trigger. Similarly, in
this transaction, exceptions exist for certain excluded disaster
mortgage loans that trip the delinquency trigger. These excluded
disaster loans include COVID-19 forbearance loans.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility, as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.80% of the closing pool balance,
and a subordination lock-out amount equal to 0.80% of the closing
pool balance. The floors are consistent with the credit neutral
floors for the assigned ratings according to Moody's methodology.

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.


RATE MORTGAGE 2022-J1: Moody's Assigns B3 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 31
classes of residential mortgage-backed securities (RMBS) issued by
RATE Mortgage Trust (RATE) 2022-J1. The ratings range from Aaa (sf)
to B3 (sf).

RATE 2022-J1 is the first issue in 2022 from Guaranteed Rate, Inc.
(Guaranteed Rate or GRI), the sponsor of the transaction. RATE
2022-J1 is a securitization of first-lien prime jumbo mortgage
loans.

The transaction is backed by 660 non-agency eligible mortgage loans
with 30-year fixed rate and an aggregate stated principal balance
of $632,108,723. All the loans in the pool are originated by
Guaranteed Rate and are designated as Qualified Mortgages (QM)
under the QM safe harbor. Borrowers of the mortgage loans backing
this transaction have strong credit profiles demonstrated by strong
credit scores and low loan-to-value (LTV) ratios. No borrower under
any mortgage loan is currently in an active COVID-19 related
forbearance plan with the servicer. All mortgage loans are current
as of the cut-off date.

Similar to RATE 2021-J3 transaction, RATE 2022-J1 contains a
structural deal mechanism according to which the servicing
administrator will not advance principal and interest (P&I) to
mortgage loans that are 120 days or more delinquent. Here, the
servicing administrator will be responsible for funding any advance
of delinquent monthly payments of principal and interest due but
not received by the servicer on the mortgage loans. The sponsor and
the servicing administrator are the same party, GRI.

One TPR firm verified the accuracy of the loan level information
that Moody's received from the sponsor. This firm conducted
detailed credit, property valuation, data accuracy and compliance
reviews on all of the 660 mortgage loans in the collateral pool.
ServiceMac, LLC (ServiceMac) will service all the mortgage loans as
of the cut-off date. Computershare Trust Company, N.A.
(Computershare) will be the master servicer. Moody's consider the
presence of a strong master servicer to be a mitigant against the
risk of any servicing disruptions.

The transaction has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow for each of the
certificate classes using Moody's proprietary cash flow tool.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.

The complete rating actions are as follows:

Issuer: RATE Mortgage Trust 2022-J1

CI. A-1, Definitive Rating Assigned Aa1 (sf)

CI. A-2, Definitive Rating Assigned Aa1 (sf)

CI. A-3, Definitive Rating Assigned Aa1 (sf)

CI. A-4, Definitive Rating Assigned Aaa (sf)

CI. A-5, Definitive Rating Assigned Aaa (sf)

CI. A-6, Definitive Rating Assigned Aaa (sf)

CI. A-7, Definitive Rating Assigned Aaa (sf)

CI. A-7-A, Definitive Rating Assigned Aaa (sf)

CI. A-8, Definitive Rating Assigned Aaa (sf)

CI. A-9, Definitive Rating Assigned Aaa (sf)

CI. A-10, Definitive Rating Assigned Aaa (sf)

CI. A-11, Definitive Rating Assigned Aaa (sf)

CI. A-12, Definitive Rating Assigned Aaa (sf)

CI. A-13, Definitive Rating Assigned Aaa (sf)

CI. A-14, Definitive Rating Assigned Aaa (sf)

CI. A-15, Definitive Rating Assigned Aaa (sf)

CI. A-16, Definitive Rating Assigned Aaa (sf)

CI. A-17, Definitive Rating Assigned Aa1 (sf)

CI. A-18, Definitive Rating Assigned Aa1 (sf)

CI. A-19, Definitive Rating Assigned Aa1 (sf)

CI. A-20, Definitive Rating Assigned Aa1 (sf)

CI. A-X-1*, Definitive Rating Assigned Aa1 (sf)

CI. B-1, Definitive Rating Assigned Aa3 (sf)

CI. B-1A, Definitive Rating Assigned Aa3 (sf)

CI. B-X-1*, Definitive Rating Assigned Aa3 (sf)

CI. B-2, Definitive Rating Assigned A2 (sf)

CI. B-2A, Definitive Rating Assigned A2 (sf)

CI. B-X-2*, Definitive Rating Assigned A2 (sf)

CI. B-3, Definitive Rating Assigned Baa2 (sf)

CI. B-4, Definitive Rating Assigned Ba3 (sf)

CI. B-5, Definitive Rating Assigned 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-mean is
0.30%, in a baseline scenario-median is 0.16%, and reaches 2.87% 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 TPR and the representations and
warranties (R&W) framework, and the transaction's legal structure
and documentation.

Collateral Description

In general, the borrowers have high FICO scores, high income,
significant liquid assets and a stable employment history, all of
which have been verified as part of the underwriting process and
reviewed by the TPR firm. Most of the loans were originated through
the retail channel. The borrowers have a high weighted average
total monthly income of $27,277, significant weighted average
liquid cash reserves of approximately $480,509 (approximately 84.7%
of the pool has more than 24 months of mortgage payments in
reserve), and sizeable equity in their properties (weighted average
LTV of 73.4%, CLTV of 73.6%). The pool has approximately 2 months
of seasoning as of January 1, 2022, and all loans have been current
since origination. All the mortgage loans in RATE 2022-J1 are
qualified mortgages (QM) meeting the requirements of the safe
harbor provision under the QM safe harbor (per the original (old)
QM rule).

Origination Quality

Guaranteed Rate has originated 100% of the loan pool. Moody's
consider Guaranteed Rate to be an acceptable originator of agency
eligible and prime jumbo loans following a detailed review of its
underwriting guidelines, quality control processes, policies and
procedures, technology infrastructure, disaster recovery plan, and
historical performance information relative to its peers.
Therefore, Moody's did not apply a separate adjustment for
origination quality.

Founded in 2000 by Victor Ciardelli, Guaranteed Rate is the largest
non-bank jumbo mortgage originator in the U.S. and 3rd largest
retail originator overall (as of Q1 2021). Headquartered in
Chicago, the company has approximately 350+ branch offices across
the U.S. and is licensed in all 50 states and Washington, D.C. The
company employs over 6,500 employees nationwide. In 2020 Guaranteed
Rate funded nearly $74B in total loan volume ($9B from jumbo
loans), up 100% from 2019. The company invests heavily in
technology. Guaranteed Rate originates primarily through its retail
channels and focuses primarily on purchase, agency eligible loans.
The company is an approved Ginnie Mae, Fannie Mae, and Freddie Mac
lender.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate. ServiceMac has the necessary processes, staff,
technology and overall infrastructure in place to effectively
service a transaction. Computershare is responsible for servicer
oversight, the termination of servicers and the appointment of
successor servicers. Moody's consider the presence of an
experienced master servicer such as Computershare to be a mitigant
for any servicing disruptions. As a result, Moody's did not make
any adjustments to Moody's base case and Aaa stress loss
assumptions based on the servicing arrangement.

Third-Party Review

The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions to the originator's
underwriting guidelines had significant compensating factors that
were documented. The TPR identified 47 level B grades in its review
of the original 660 loans, no level C grades and no level D
grades.

Representations & Warranties

Moody's evaluate the R&W framework based on three factors: (a) the
financial strength of the remedy provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. Moody's evaluated the impact of
these factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others. Moody's also
considered the R&W framework in conjunction with other transaction
features, such as the independent due diligence, custodial receipt,
and property valuations, as well as any sponsor alignment of
interest, to evaluate the overall exposure to loan defects and
inaccurate information. Overall, Moody's consider the R&W framework
for this transaction to be adequate, generally consistent with that
of other prime jumbo transactions which Moody's rated. However,
Moody's applied an adjustment to Moody's losses to account for the
risk that the R&W provider (unrated) may be unable to repurchase
defective loans in a stressed economic environment.

Transaction Structure

RATE 2022-J1 has one pool with a shifting interest structure that
benefits from a subordination 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.

Similar to the recently rated RATE 2021-J3 transaction, RATE
2022-J1 contains a structural deal mechanism according to which the
servicing administrator will not advance principal and interest to
loans that are 120 days or more delinquent. Although this feature
lowers the risk of high advances that may negatively affect the
recoveries on liquidated loans, the reduction in interest
distribution amount is credit negative to the subordinate
certificates.

The balance and the interest accrued on these "Stop Advance
Mortgage Loans (SAML)" will be removed from the calculation of the
principal and interest distribution amounts with respect to the
seniors and subordinate bonds. The interest distribution amount
will be reduced by the interest accrued on the SAML loans. This
reduction will be allocated first to the subordinate certificates
and then to the senior certificates in the reverse order of payment
priority. In the case of the senior certificates, such reduction in
distribution amounts, are allocated (i) first to the senior support
(including the linked interest-only classes) and (ii) then to the
super senior classes (including the linked interest-only classes),
on a pro rata basis.

Once a SAML is liquidated, the net recovery from that loan's
liquidation is included in available funds and thus follows the
transaction's priority of payment. However, the reimbursement of
stop advance shortfalls happens only after liquidation or curing of
SAML. As a result, higher delinquencies could lead to higher
shortfalls especially for the subordinate bonds as compared to a
transaction without the stop advance feature.

While the transaction is backed by collateral with strong credit
characteristics, Moody's considered scenarios in which the
delinquency pipeline rises, especially due to the current
coronavirus environment, and results in higher shortfalls for the
certificates outstanding. In Moody's analysis, Moody's have
considered the additional interest shortfall that the certificates
may incur due to the transaction's stop-advance feature.

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
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the cut-off date pool
balance, and as subordination lockout amount of 1.00% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


RMF PROPRIETARY 2022-1: DBRS Finalizes BB(low) Rating on M-3 Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2022-1 issued by RMF Proprietary
Issuance Trust 2022-1:

-- $258.3 million Class A at AAA (sf)
-- $13.6 million Class M-1 at AA (sf)
-- $17.2 million Class M-2 at A (low) (sf)
-- $18.4 million Class M-3 at BB (low) (sf)

The AAA (sf) rating reflects 100.4% of cumulative advance rate. The
AA (sf), A (low) (sf), and BB (low) (sf) ratings reflect 105.7%,
112.4%, and 119.5% of cumulative advance rates, respectively.

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

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

As of the November 30, 2021, cut-off date, the collateral had
approximately $257.2 million in unpaid principal balance from 377
performing and two called due/death, nonrecourse, fixed-rate, and
adjustable-rate jumbo reverse mortgage loans secured by first liens
on single-family residential properties, condominiums, multifamily
(two- to four-family) properties, and planned-unit developments.
The loans were originated in 2021.

The transaction uses a structure in which free cash distributions
are made sequentially to each rated note until the rated amounts
with respect to such notes are paid off. No subordinate note shall
receive any principal payments until the balance of senior notes
has been reduced to zero, and the subordinate notes will not be
eligible for principal payments even if Class A pays off prior to
the expected redemption date. As a result, the subordinate classes
are initially locked out of cash distribution except as used to pay
interest. Classes A, M-1, and M-2 receive current interest
payments, whereas Class M-3 accrues interest until all more senior
tranches are paid in full. In the event of available cash being
insufficient to pay current interest due on any of the Class A,
M-1, or M-2 notes, these notes will accrue cap carryover for
interest shortfalls.

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



RR 7: S&P Assigns Preliminary BB- (sf) Rating on Class D-1-B Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1a-B, A-2-B, B-1-B, C-1-B, and D-1-B replacement notes from RR 7
Ltd., a CLO originally issued in January 2020 that is managed by
Redding Ridge Asset Management LLC.

The preliminary ratings are based on information as of Feb. 4,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Feb. 14, 2022, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

The replacement notes will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:

-- The stated maturity will be extended by four years, and the
reinvestment and non-call periods will be extended two years.

-- The replacement notes are expected to be issued at a lower
weighted average cost of debt than the original notes.

-- The target initial par amount will be upsized to $800 million.


-- There will be no additional effective date or ramp-up period,
and the first payment date following the refinancing is July 15,
2022.

-- Workout loan-related concepts and the ability to purchase bonds
and notes were added.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

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

  Preliminary Ratings Assigned

  RR 7 Ltd./RR 7 LLC

  Class A-1a-B, $504.00 million: AAA (sf)
  Class A-2-B, $104.00 million: AA (sf)
  Class B-1-B (deferrable), $48.00 million: A (sf)
  Class C-1-B (deferrable), $48.00 million: BBB- (sf)
  Class D-1-B (deferrable), $32.00 million: BB- (sf)
  Subordinated notes, $103.46 million: Not rated



SCF EQUIPMENT 2022-1: Moody's Assigns (P)B2 Rating to Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
Equipment Contract Backed Notes, Series 2022-1, Class A-1, Class
A-2, Class A-3, Class B, Class C, Class D, Class E, and Class F
(Series 2022-1 notes or the notes) to be issued by SCF Equipment
Leasing 2022-1 LLC and SCF Equipment Leasing Canada 2022-1 Limited
Partnership. Stonebriar Commercial Finance LLC (Stonebriar) along
with its Canadian counterpart - Stonebriar Commercial Finance
Canada Inc. (Stonebriar Canada) are the originators and Stonebriar
alone will be the servicer of the assets backing this transaction.
The issuers are wholly-owned, limited purpose subsidiaries of
Stonebriar and Stonebriar Canada. The assets in the pool will
consist of loan and lease contracts, secured primarily by marine
vessels, railcars, and manufacturing equipment. Stonebriar was
founded in 2015 and is led by a management team with an average of
over 25 years of experience in equipment financing.

The complete rating actions are as follows:

Issuer: SCF Equipment Leasing 2022-1 LLC/SCF Equipment Leasing
Canada 2022-1 Limited Partnership

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

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

Class A-3 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa2 (sf)

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

Class D Notes, Assigned (P)Baa3 (sf)

Class E Notes, Assigned (P)Ba2 (sf)

Class F Notes, Assigned (P)B2 (sf)

RATINGS RATIONALE

The provisional ratings are based on; (1) the experience of
Stonebriar's management team and the company as servicer; (2) U.S.
Bank National Association (long-term deposits Aa2/ long-term CR
assessment Aa3(cr), short-term deposits P-1, BCA a1) as backup
servicer for the contracts; (3) the weak credit quality and
concentration of the obligors backing the loans and leases in the
pool; (4) the assessed value of the collateral backing the loans
and leases in the pool; (5) the credit enhancement, including
overcollateralization, excess spread and reserve account and (6)
the sequential pay structure. Moody's also considered sensitivities
to various factors such as default rates and recovery rates in
Moody's analysis.

Additionally, Moody's base its (P)P-1 (sf) rating of the Class A-1
notes on the cash flows that Moody's expect the underlying
receivables to generate during the collection periods prior to the
Class A-1 notes' legal final maturity date on March 13, 2023.

At closing the Class A, Class B, Class C, Class D, Class E and
Class F notes benefit from 30.0%, 21.0%, 17.3%, 11.3%, 9.5% and
6.5% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of initial
overcollateralization of 4.00% which will build to a target of
8.00% of the outstanding pool balance with a floor of 5.00% of the
initial pool balance, a 1.00% fully funded reserve account with a
floor of 1.00%, and subordination. The notes will also benefit from
excess spread.

The equipment loans and leases that will back the notes were
extended primarily to middle market obligors and are secured by
various types of equipment including marine vessels, railcars,
manufacturing and assembly equipment, and corporate aircraft.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations Methodology" published in August
2021.

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

Up

Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or lower than
expected depreciation in the value of the equipment that secure the
obligor's promise of payment. As the primary drivers of
performance, positive changes in the US macro economy and the
performance of various sectors where the obligors operate could
also affect the ratings.

Down

Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy. Other
reasons for worse-than-expected performance include poor servicing,
error on the part of transaction parties, inadequate transaction
governance and fraud. Additionally, Moody's could downgrade the
Class A-1 short term rating following a significant slowdown in
principal collections that could result from, among other reasons,
high delinquencies or a servicer disruption that impacts obligor's
payments.


SMRT COMMERCIAL 2022-MINI: Moody's Gives B2 Rating to Cl. F Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of CMBS securities, issued by SMRT Commercial Mortgage
Trust 2022-MINI, Commercial Mortgage Pass-Through Certificates,
Series 2022-MINI:

Cl. A, Definitive Rating Assigned Aaa (sf)

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

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. F, Definitive Rating Assigned B2 (sf)

* Reflects interest-only classes

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 117.3%, compared to 117.5% issued at Moody's provisional
ratings, 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.


SOURCE ENERGY: DBRS Confirms CCC Issuer Rating, Trend Stable
------------------------------------------------------------
DBRS Limited confirmed the Issuer Rating and the Senior Secured
First Lien Notes Due 2025 (the Senior Notes) rating of Source
Energy Services Canada LP and Source Energy Services Canada
Holdings Ltd. at CCC. Both trends are Stable. The Recovery Rating
on the Senior Notes remains unchanged at RR4. DBRS Morningstar has
based its analysis on the consolidated financial statements of the
ultimate holding company, Source Energy Services Limited. The
ratings are underpinned by Source's integrated operations, storage,
and logistics infrastructure that provide the Company with a
competitive advantage in the Western Canadian Sedimentary Basin
(WCSB). However, the ratings are constrained by the Company's weak
financial risk profile due to its high financial leverage. The
Stable trends reflect DBRS Morningstar's expectation that Source's
earnings and cash flow will increase in 2022 as stronger oil and
gas (O&G) prices are likely to spur higher drilling and completion
activity.

Source's sand sales volumes improved materially in the first nine
months of 2021 (9M 2021) as activity levels in the WCSB recovered
after the pandemic-induced collapse in 2020. Source maintained its
position as the leading supplier of northern white sand in the
basin and added three new customers and secured contract extensions
with two major customers. Source continued to benefit from cost
reduction measures implemented in 2020; however, the Company also
started to experience inflationary pressures on labor and fuel
costs in 2021. Improved earnings along with a reduction in ongoing
lease payments and the ability to Pay Interest-in-Kind (PIK) on the
Senior Notes enabled the Company to generate a free cash flow (FCF;
cash flow after capital expenditure, dividends, and lease payments)
surplus during 9M 2021 that was used to reduce borrowings under its
asset-backed credit facility (the Credit Facility). Nonetheless,
overall debt levels at September 30, 2021, remained relatively
unchanged compared with year-end 2020 as the reduction in the debt
drawn on the Credit Facility was offset by an increase in Senior
Notes due to the exercise of the PIK option.

DBRS Morningstar expects activity levels in the WCSB to improve
modestly in 2022 despite strong commodity prices as O&G producers
continue to focus on maintaining capital discipline, deleveraging,
and returning capital to shareholders. DBRS Morningstar also
expects the Company's earnings and cash flow to improve in 2022 and
the Company to generate adequate FCF surplus to meet its scheduled
debt repayment obligations ($7.5 million) despite the resumption of
cash interest payments on the Senior Notes. While it is improving,
Source's overall financial risk profile is anticipated to remain
weak with lease-adjusted debt-to-cash flow ratio above 6.0 times
(x) in 2022.

Source remains dependent on activity levels improving in the WCSB
and has limited flexibility to withstand market volatility given
its high leverage. The primary source of the Company's liquidity is
its Credit Facility and there is limited headroom under some of the
Credit Facility covenants. If earnings and cash flow do not improve
in line with DBRS Morningstar's base-case assumptions or the
Company's liquidity profile deteriorates materially and/or
financial covenants are breached, a negative rating action is
possible. Alternatively, DBRS Morningstar may consider a positive
rating action if the Company maintains satisfactory liquidity and
the lease-adjusted debt-to-cash flow ratio improves sustainably to
6.0x or less.

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



SPGN 2022-TFLM: Moody's Assigns (P)Ba1 Rating to Cl. HRR Certs
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of CMBS securities to be issued by SPGN 2022-TFLM Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2022-TFLM:

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. HRR, Assigned (P)Ba1 (sf)

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

*Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by the borrower's fee simple
interest in The Florida Mall, a regional shopping center located in
Orlando FL. The collateral consists of a 110 million square foot
("SF") component of a 1.72 million SF one-story mall built on a
159.2-acre parcel of land. 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 Florida Mall is located approximately eight miles south of the
Orlando, Florida central business district. Orlando's tourist
destinations. It is 11 miles northeast of Disney World, six miles
southwest of Universal Studios, and seven miles northeast of Sea
World, and is a leading retail destination for Orlando's leading
tourist destinations. The Mall also serves the Orlando MSA, a
densely-populated metropolitan area (1,511,811 people in a 15-mile
radius) that is ranked by Moody's Analytics within the top quintile
for job growth going forward.

The property was built in 1986. Since 2010, the sponsor has
invested approximately $105.2 million in capital improvements, most
recently including $18.0 million ($16 PSF across the collateral
area) in a general renovation. Previously, the borrower had
invested funds in successful re-purposing of space formerly
occupied by vacating anchor tenants and adding outdoor lifestyle
and dining components and new tenants to adapt to shifting trends
in retail demand.

The Florida Mall's non-collateral anchors include Dillard's
(252,300 SF), Macy's (200,200 SF), and Sears (169,926 SF).
Collateral anchors include JC Penny (196,931 SF, 11.4% of NRA, 1.1%
of base rent), Crayola Experience (79,089 SF, 4.6% of NRA, 1.7% of
base rent), and Dick's Sporting Goods (63,150 SF, 3.7% of NRA, 2.0%
of base rent).

Tenants at the property greater than 10,000 SF include XXI Forever,
Zara, H&M, Old Navy, American Girl, Victoria' Secret, Apple, JD
Sports, Steps New York, Uniqlo, Footaction USA, and Gap/Gap Kids.
The property also includes over 180 in-line retailers. Some notable
in-line tenants include Banana Republic (9,965 SF, 0.6% of total
NRA, 1.7% of base rent), Foot Locker (9,425 SF, 0.5% of total NRA,
1.9% of base rent), Champs Sports (9,210 SF, 0.5%of total NRA, 1.3%
of base rent); ), Hollister (8,322 SF, 0.5% of total NRA, 2.1% of
base rent); Pink (6,864 SF, 0.4% of total NRA, 1.1% of base rent);
Sephora (6,207 SF, 0.4% of total NRA, 1.0% of base rent); Addidas
(5,549 SF, 0.3% of total NRA, 1.0% of base rent); and Tesla (2,997
SF, 0.2% of total NRA, 0.5% of base rent). The Florida Mall
reported relatively strong average in-line sales pre-pandemic, with
sales from in-line retailers (ex. Apple, Tesla, jewelry, food court
and kiosk) of $656PSF as of year-end 2019.

As of December 9, 2021, the collateral was 98.0% occupied. The
property maintained average collateral occupancy of 98.0% during
the five-year period before the onset of the pandemic.

The coronavirus pandemic dramatically reduced property tenant
traffic and revenues. The mall was closed from March 18, 2020
through May 14,2020 under State-mandated closures. Approximately 30
tenants (9.7% of net rentable area, 15.7% of base rent) were
granted rental relief. Average in-line tenant sales (ex. Apple,
Tesla, jewelry, food court and kiosk) declined from $656PSF as of
year-end 2019 to $422 PSF for 2020. However, the property rebounded
strongly during 2021, with comparable in line sales recovering to
$628 PSF.

The property also has increased the amount of space leased to
temporary tenants (tenants with lease terms below one year) from
84,114 SF as of year end 2019 to132,984 Sf as of TTM November 2021.
Available data suggests that temporary tenants pay rents below
those achieved with long-term tenants.

The Mall has traditionally had strong traffic from tourists,
benefitting from the unique strength of the Orlando market.
Pre-pandemic, an estimated 60-70% of sales were to tourists, with a
significant share of foreign visitors, many of whom reportedly
choose Orlando as a shopping destination. With the closing of
borders, foreign tourism declined sharply. Now that borders are
reopening, tourist traffic is expected to rebound; however, foreign
arrivals at Orlando International Airport continue to be
approximately 70% below 2019 levels according to airport authority
data.

The property is owned by a joint venture between Simon Property
Group, L.P. (SPG, A3 senior unsecured) and Teachers Insurance and
Annuity Association of America (TIAA, Aa1, IFS). SPG is one of the
leading owners and operators of retail and entertainment assets in
the world, owning 234 properties across North America and others
through ownership interests in other entities., and thus bring
significant market strength and expertise to property management.
TIAA is a dominant provider of retirement benefits to academic and
non-profit institutions with assets of approximately $341.25
billion at year-end 2020.

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

The Moody's first-mortgage DSCR is 4.02x and Moody's first-mortgage
stressed DSCR at a 9.25% constant is 1.06x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance of $600.0 MM is
86.5%. Moody's LTV Ratio is based on Moody's Value. Moody's did not
adjust Moody's value to reflect the current interest rate
environment as part of Moody's analysis for this transaction.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's quality
grade is 1.75.

Notable strengths of the transaction include: the property's
position as dominant mall in a major tourist destination combined
with a strong, high-density local trade area; strong accessibility
to Orlando's world-renowned theme parks; a high level of capital
investment and success in repurposing vacant anchor spaces to meet
the demands of the evolving retail landscape; strong pre-pandemic
occupancy and sales; and investment-grade sponsorship with very
high expertise in owning and operating retail properties.

Notable concerns of the transaction include: the effects of the
coronavirus pandemic and the resulting decline in revenues and
sales in 2020, mitigated by a partial recovery in 2021; high
occupancy cost ratios; increased reliance on temporary tenants;
uncertain pace of rebound in foreign tourist traffic; tenant
rollover, lack of asset diversification and floating-rate 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.


SUMIT 2022-BVUE: DBRS Finalizes BB(low) Rating on Class F Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the classes of
SUMIT 2022-BVUE Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2022-BVUE:

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

All trends are Stable. Class X-A is an interest-only (IO) class
whose balance is notional.

The SUMIT 2022-BVUE transaction is secured by the fee-simple
interest in The Summit, a 907,306-sf, LEED Gold and Platinum, Class
A three-property office campus in the Bellevue, Washington, CBD.
The property is situated on an 3.5-acre site, offering a unique
urban campus environment that has helped attract and retain some of
the region's most prominent tenants. The Summit is strategically
located two blocks from I-405, the Eastside's primary interstate,
and one block from both the Bellevue Transit Center and the
Bellevue Downtown Light Rail Station (scheduled to open in 2023).
The property also offers a subterranean interconnected parking
garage with 2,194 stalls. The sponsor acquired The Summit in
December 2019 from Hines Global REIT as the non-traded real estate
investment trust was working to liquidate assets and distribute the
sales proceeds to equityholders. At the time of the acquisition,
the complex was 99.0% leased and comprised two existing office
buildings with a third building (Summit 3) under construction,
which was expected to be completed in Q3 2020 but was ultimately
delayed until 2021 because of the Coronavirus Disease (COVID-19)
pandemic.

The Summit campus is anchored by Amazon (AA/A1/AA), which occupies
374,220 sf and makes up 41.3% of NRA on a lease through August
2036. Overall, the property's tenant roster comprises approximately
78.5% investment-grade tenancy by square footage including Puget
Sound Energy Inc. (Puget Sound Energy) (223,820 sf; 24.7% of NRA;
lease expiry October 2028; BBB/Baa3/BBB) and First Republic Bank
(73,910 sf; 8.2% of NRA; lease expiry March 2032; A-/Baa1/A-). An
additional 133,059 sf/14.7% of NRA is leased to WeWork and is 100%
subleased by Amazon. Including the Amazon enterprise sublease from
WeWork, approximately 93% of the property's gross rents are derived
from investment grade-rated tenants. As of January, 1 2022, the
property was 98.2% leased with a WA remaining lease term of 10.7
years.

The transaction sponsorship is a 99%/1% joint venture between KKR
Property Partners Americas (KPPA) and Urban Renaissance Group
(URG). KPPA is indirectly controlled by KKR & Co. Inc., a leading
global investment firm with $459 billion in assets under management
as of September 30, 2021. KKR manages multiple alternative asset
classes, including private equity, energy, infrastructure, real
estate, and credit, with strategic manager partnerships that manage
hedge funds. KKR Real Estate is a global provider of equity and
debt capital across real estate investment strategies. As of
September 31, 2021, KKR's team consisted of more than 135 dedicated
investment and asset management professionals across nine
countries, with more than $36 billion of assets under management.
In 2019, KKR launched the firm's first perpetual-life, open-ended
core plus real estate fund, KPPA, which targets
institutional-quality, stabilized real estate assets across the
U.S. As of September 31, 2021, KPPA had $1.9 billion in net asset
value across a diversified portfolio of industrial, multifamily,
life sciences, and traditional office. URG was founded in 2006 and
is a Seattle-based full-service commercial real estate company that
is recognized as the top manager and operator of trophy commercial
properties throughout the Bellevue, Seattle, Denver, and Portland
markets. URG has been actively involved since the 2019 acquisition
of the Summit campus and oversees all property and asset management
responsibilities, including day-to-day operations of the Summit 3
construction process.

Barclays Capital Real Estate Inc. and Goldman Sachs Bank USA
originated the seven-year loan that pays fixed-rate interest of
2.952% on an IO basis through the entire term. The $525 million
whole loan is composed of 10 promissory notes: eight senior A notes
totaling $327 million and two junior B notes totaling $198 million.
The SUMIT 2022-BVUE mortgage trust will total $305 million and
consist of two senior A notes with an aggregate principal balance
of $107.0 million and the two junior B notes totaling $198.0
million. The remaining senior A notes will be held by the
originator and may be included in a future securitization. The
senior notes are pari passu in right of payment with respect to
each other. The senior notes are generally senior in right of
payment to the junior notes.

The sponsor for the transaction is partially using proceeds from
the whole loan to repatriate approximately $129.3 million of
equity. DBRS Morningstar views cash-out refinancing transactions as
less favorable than acquisition financings as sponsors typically
have less incentive to support a property through times of economic
stress if less of their own cash equity is at risk. Based on the
appraiser's as-is valuation of $895.5 million, the sponsor will
have approximately $370.5 million of cash and unencumbered market
equity remaining in the transaction.

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


TRK 2022-INV1: S&P Assigns B (sf) Rating on Class B-2 Certificates
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to TRK 2022-INV1 Trust's
mortgage pass-through certificates series 2022-INV1.

The certificate issuance is an RMBS transaction backed by
first-lien, fixed-rate, adjustable-rate, fully amortizing, and
interest-only residential mortgage loans secured by single-family
residences, planned unit developments, two- to four-family homes,
condominiums, townhouses, and five- to 10-unit residential
properties to both prime and nonprime borrowers. The pool consists
of 1,254 business-purpose investor loans (including 109
cross-collateralized loans) backed by 1,722 properties that are
exempt from qualified mortgage and ability-to-repay rules.

S&P said, "Since we assigned preliminary ratings and published our
presale report on Jan. 25, 2022, the issuer changed distributions
to the class P certificates to take place on the first distribution
date, rather than the earlier of the final distribution date or
latest expiring prepayment premium term. As a result, we analyzed
an updated structure on the pool, and credit support remained
sufficient on all classes for us to assign final ratings that are
unchanged from preliminary ratings."

The ratings reflect:

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;

-- The mortgage aggregator and mortgage originators; and

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

  Ratings Assigned

  TRK 2022-INV1 Trust

  Class A-1, $237,085,000: AAA (sf)
  Class A-2, $27,615,000: AA (sf)
  Class A-3, $32,701,000: A (sf)
  Class M-1, $20,711,000: BBB (sf)
  Class B-1, $17,441,000: BB (sf)
  Class B-2, $13,444,000: B (sf)
  Class B-3, $14,352,510: NR
  Class A-IO-S, Notional(i): NR
  Class XS, Notional(i): NR
  Class P, $100: NR
  Class R, Not applicable: NR

(i)The notional amount equals the loans' aggregate unpaid principal
balance.
NR--Not rated.



TROPIC CDO II: Fitch Affirms C Rating on 3 Note Classes
-------------------------------------------------------
Fitch Ratings has downgraded the ratings on Tropic CDO II
Ltd./Corp.'s (Tropic II) class A-1L notes, affirmed the ratings on
five classes of notes and revised the Rating Outlook on one class.
Fitch has also removed three classes of notes from Under Criteria
Observation.

       DEBT                 RATING            PRIOR
       ----                 ------            -----
Tropic CDO II Ltd./Corp.

Class A-1L 89707UAA0   LT AA+sf  Downgrade    AAAsf
Class A-2L 89707UAB8   LT Asf    Affirmed     Asf
Class A-3L 89707UAC6   LT BBsf   Affirmed     BBsf
Class A-4 89707UAL6    LT Csf    Affirmed     Csf
Class A-4L 89707UAD4   LT Csf    Affirmed     Csf
Class B-1L 89707UAF9   LT Csf    Affirmed     Csf

TRANSACTION SUMMARY

The collateralized debt obligation (CDO) is collateralized
primarily by trust preferred securities (TruPS) issued by banks. A
small portion of the portfolio is issued by mortgage REITs.

KEY RATING DRIVERS

Fitch downgraded the class A-1L notes to 'AA+sf' due to the risk of
interest shortfall at the rating commensurate level of stress
evaluated under Fitch's updated "U.S. Trust Preferred CDOs
Surveillance Rating Criteria" (TruPS CDO Criteria). While the note
balance is only 1.3% of the performing collateral balance, there
have been no principal collections available to deleverage the A-1L
notes since April 2020. Unpaid interest on the class B-1L notes has
also been accumulating since April 2020 while the class A-4L and
A-4 notes have been accruing unpaid interest since October 2020. In
addition, the out-of-the money swap, with a notional balance
representing close to 20% of the performing collateral balance,
remains outstanding until October 2028 and has diverted on average
37% of the interest collections over the last four payments.

Per the priority of payments set by the CDO indenture, principal
proceeds may be used to pay interest, including cumulative deferred
interest on all notes, before redeeming senior most class.

The credit quality of Tropic II's collateral portfolio, as measured
by a combination of Fitch's bank scores and public ratings,
improved since last review.

The rating for the class A-2L notes is one rating category lower
than its model-implied rating (MIR), which was driven by the
outcome of the interest shortfall risk analysis. The rating for the
class A-3L notes is two rating categories lower than its MIR, which
was driven by the outcome of the sector-wide sensitivity scenario.
In deviating from MIR for both classes, Fitch considered the
outcome of the additional sensitivity scenario that was applied, as
referenced in the TruPS CDO Criteria, due to the presence of the
swap, to evaluate sensitivity of interest payments to
non-deferrable classes (A-1L, A-2L, and A-3L) to potential
prepayments from largest issuers.

The Stable Outlooks on three tranches in this review reflect
Fitch's expectation that the classes have sufficient levels of
credit protection to withstand potential deterioration in the
credit quality of the portfolios in stress scenarios commensurate
with the classes' ratings.

RATING SENSITIVITIES

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

-- Downgrades of the rated notes may occur if a significant share
    of the portfolio issuers default and/or experience negative
    credit migration, which would cause a deterioration in rating
    default rates.

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

-- Future upgrades of the rated notes may occur if a transaction
    experiences improvement in credit enhancement through
    deleveraging from collateral redemptions and/or interest
    proceeds being used for principal repayment.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

The class A-3L notes' two rating category deviation from its MIR
does not conform to the TruPS CDO Criteria, which only allows for a
deviation up to one rating category from the MIR in certain
situations.

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


UNITED AUTO 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings y assigned its preliminary ratings to United
Auto Credit Securitization Trust 2022-1's automobile
receivables-backed notes series 2022-1.

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

The preliminary ratings are based on information as of Feb. 4,
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 availability of approximately 60.03%, 52.35%, 43.43%,
33.62%, and 26.71%, credit support for the class A, B, C, D, and E
notes, respectively, based on stressed break-even cash flow
scenarios (including excess spread). These credit support levels
provide coverage of approximately 2.90x, 2.50x, 2.05x, 1.55x, and
1.21x our expected net loss range of 20.00%-21.00% for the class A,
B, C, D, and E notes, respectively.

-- The likelihood of timely interest and principal payments by the
assumed legal final maturity dates under stressed cash flow
modeling scenarios that are appropriate for the assigned
preliminary ratings.

-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings will be within the
limits specified by section A.4 of the Appendix contained in our
article, "S&P Global Ratings Definitions," published Nov. 10,
2021.

-- Credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.

-- The collateral characteristics of the subprime pool being
securitized. It is approximately seven months seasoned, with a
weighted-average original term of approximately 54 months and an
average remaining term of about 47 months. As a result, S&P expects
that the pool will pay down more quickly than many other subprime
pools that are usually characterized by longer weighted-average
original and remaining terms.

-- S&P's analysis of 10 years of static pool data following the
credit crisis and after United Auto Credit Corp. (UACC) centralized
its operations and shifted toward shorter loan terms.

-- S&P also reviewed the performance of UACC's three outstanding
securitizations, as well as its paid-off securitizations.

-- UACC's more than 20-year history of originating, underwriting,
and servicing subprime auto loans.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  United Auto Credit Securitization Trust 2022-1

  Class A, $144.90: AAA (sf)
  Class B, $38.22: AA (sf)
  Class C, $37.42: A (sf)
  Class D, $41.40: BBB (sf)
  Class E, $34.23: BB- (sf)



VERUS 2022-1: S&P Assigns B- (sf) Rating on Class B-2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2022-1's mortgage-backed notes.

The note issuance is an RMBS transaction backed by U.S. residential
mortgage loans.

S&P said, "After we assigned preliminary ratings on Jan. 28, 2022,
one loan was removed from the collateral pool, which now has a
current pool balance of $561,252,829. In addition, the bond sizes
were adjusted, which reflects higher credit enhancement and coupons
for classes A-1, A-2, A-3, and M-1. Class B-1's credit enhancement
also increased, but the class' coupon was unchanged. The loss
coverage estimates and final ratings assigned are unchanged from
the preliminary ratings we assigned for all classes."

The ratings reflect:

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, and geographic
concentration;

-- The mortgage aggregator, Invictus Capital Partners; and

-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool.

  Ratings Assigned

  Verus Securitization Trust 2022-1

  Class A-1, $379,406,000: AAA (sf)
  Class A-2, $37,323,000: AA (sf)
  Class A-3, $61,177,000: A (sf)
  Class M-1, $31,711,000: BBB- (sf)
  Class B-1, $15,435,000: BB (sf)
  Class B-2, $21,047,000: B- (sf)
  Class B-3, $15,153,829: Not rated
  Class A-IO-S, $561,252,829(i): Not rated
  Class XS, $561,252,829(i): Not rated
  Class DA, $193,389: Not rated
  Class R, not applicable: Not rated

(i)The notional amount equals the aggregate stated principal
balance of loans in the pool as of the cut-off date.



WELLS FARGO 2014-LC18: DBRS Confirms B Rating on Class X-F Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-LC18 issued by
Wells Fargo Commercial Mortgage Trust 2014-LC18 as follows:

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

All trends are Stable, with the exception of Classes F and X-F,
which continue to carry Negative trends.

The rating confirmations reflect the overall stable performance of
the transaction since issuance As of the January 2022 remittance,
87 of the original 99 loans remain in the pool, representing a
collateral reduction of 18.2% since issuance with a current trust
balance of $931.2 million. Twelve loans, representing 9.3% of the
current pool balance, are fully defeased.

The negative trends on classes F and X-F reflect DBRS Morningstar's
ongoing concerns with two of the larger loans in special servicing,
specifically Marriot Kansas City Country Club Plaza (Prospectus
ID#5; 4.0% of the current pool balance) and New Town Shops on Main
(Prospectus ID#9; 2.6% of the current pool balance). In total,
eight loans are in special servicing, representing 16.5% of the
current pool balance, inclusive of three loans in the top 10. Six
loans, representing 12.0% of the current pool balance, are
delinquent on debt service payments, while one loan, Sand Creek
Estates (Prospectus ID#27,;0.9% of the current pool) is real estate
owned.

The largest loan in special servicing, Marriott Kansas City Country
Club Plaza, is secured by the borrower's fee simple interest in a
295-room full-service hotel property in Kansas City, Missouri. The
loan transferred to special servicing in October 2021 at the
borrower's request and ultimately defaulted due to its failure to
repay ahead of the scheduled December 2021 maturity. As of the
January 2022 remittance, the reported workout strategy is a loan
modification. The borrower has executed a pre-negotiation letter
and discussions with the special servicer remain ongoing.

DBRS Morningstar recognizes an increased risk profile for this loan
following its recent transfer and maturity default. Although the
debt service coverage ratio remains depressed at 0.02 times as of
the June 2021 financials, the property's key performance metrics
show movement in the right direction over the past year. The
property is well located in the market near a variety of demand
drivers and it experienced healthy demand prior to the pandemic. A
modification or resolution of the loan is likely to hinge on
continued restabilization of property operations.

The third-largest loan in special servicing, New Town Shops on
Main, is secured by the borrower's fee-simple interest in a
48,176-squarefoot anchored retail property in Williamsburg,
Virginia. The loan transferred to special servicing after failing
to repay at its December 2021 maturity date. According to the
servicer, the property was severely affected by the pandemic,
resulting in store closures and declines in rental income; however,
the borrower did not submit any relief request during 2020 or in
2021 prior to the loan's transfer. The special servicer is
currently reviewing the borrower's relief proposal.

Although occupancy has remained stable at 82%, net operating income
declined over the past year because of disruptions in rental
revenue. This decline, combined with the upcoming lease expiration
of the second-largest tenant (10.6% of net rentable area), will
pose challenges to ongoing refinance efforts. The loan resolution
is likely to hinge on the borrower's ability to renew expiring
leases and improve rental revenues. DBRS Morningstar will continue
to monitor the loan for updates to the special servicer's workout
strategy.

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



WELLS FARGO 2015-C28: DBRS Confirms B Rating on Class E Certs
-------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-C28 issued by Wells
Fargo Commercial Mortgage Trust 2015-C28 as follows:

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

The trend on Class D was changed to Stable from Negative and Class
E continues to carry a Negative trend. All other trends are Stable,
with the exception of Class F, which carries a rating with no
trends.

The Negative trends on Classes E and X-E are reflective of the
concerns regarding a loan in the top 15, 3 Beaver Valley Road
(Prospectus ID#6; 4.3% of the pool) as well as the loans in special
servicing, which are discussed in greater detail below. The rating
confirmations reflect the overall stable performance of the pool
since issuance. Since the last review, the Courtyard Marriott
Harrisburg loan was liquidated from the trust in December 2021 via
a Note Sale, which resulted in a loss of $2.2 million, a
better-than-expected outcome considering no updated value was
available at the last review. As of the January 2022 remittance, 85
of the original 99 loans remain in the pool, representing a
collateral reduction of 14.9% since issuance. The pool benefits
from three defeased loans, representing 2.3% of the pool. Seventeen
loans are on the servicer's watchlist and three loans are in
special servicing, representing 19.4% and 2.5% of the pool balance,
respectively.

The 3 Beaver Valley Road loan is secured by a suburban office
property in Wilmington, Delaware, which has been on the DBRS
Morningstar Hotlist since March 2020 following the early
termination of the former second-largest tenant, Solenis LLC
(Solenis), which previously occupied 14.8% of the net rentable area
(NRA). In addition, the remaining tenant at the subject, Farmers
Insurance Exchange (Farmers) (80.1% of NRA), exercised its option
to reduce its space by approximately 53,000 square feet (sf; 20% of
NRA), which occurred in January 2022. Farmers paid a $1.4 million
fee in May 2021 to reduce its footprint at the property. Based on
an online posting, approximately 223,000 sf (85.0% of NRA) was
listed as available for lease, which suggests that Farmers may
continue to downsize or vacate the subject. The loan has $8.0
million of funds currently held across all reserves, including
$576,408 held in tenant reserves and $7.1 million held in other
reserves, which likely includes the lease termination fee paid by
Farmers. The property is well located with excellent frontage on
Beaver Valley Road but the softening of the submarket was present
prior to the pandemic. DBRS Morningstar will continue to monitor
this loan and additional details on the loan can be found on the
DBRS Viewpoint platform.

The largest specially serviced loan, Washington Square (Prospectus
ID#22; 1.3% of the pool), is secured by a student housing property
whose performance had been declining prior to the pandemic as a
result of a drop in enrollment at Schenectady County Community
College. The loan failed to repay at its February 2020 maturity but
a loan modification was executed to extend the maturity to April
2023 after an equity contribution was made by the borrower to bring
the loan current, pay lender expenses, and fund a newly formed
operational shortfall reserve. The terms of the loan modification
include a conversion to interest-only (IO) payments for the
remaining term and, upon loan maturity, a minimum of $9.6 million
payment must be made by the borrower to repay the loan, which is
below the current outstanding loan balance of $12.7 million but
slightly above the December 2020 appraisal value of $9.4 million.
Additional details on the loan can be found on the DBRS Viewpoint
platform.

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



WELLS FARGO 2015-LC20: DBRS Confirms B Rating on Class X-F Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-LC20 issued by Wells Fargo
Commercial Mortgage Trust 2015-LC20 as follows:

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

Classes E, F, X-E, and X-F have Negative trends. All other trends
are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which remains in line with DBRS Morningstar
expectations. At issuance, the transaction comprised 68 fixed-rate
loans secured by 122 commercial properties with a trust balance of
$829.6 million. Per the January 2022 remittance, 62 loans secured
by 116 commercial properties remain in the pool with a trust
balance of $721.7 million, representing a collateral reduction of
13.0% since issuance. As of the January 2022 remittance report, 11
loans, representing 26.6% of the trust balance are fully defeased,
including the largest loan in the pool, 3 Columbus Circle
(Prospectus ID#1, 10.4% of the trust balance).

The Negative trends primarily reflect DBRS Morningstar's ongoing
concerns regarding the eight loans in special servicing,
representing 18.4% of the pool. Additionally, the pool is somewhat
concentrated by property type, specifically types that have been
sensitive to effects of the pandemic, as retail properties and
hospitality properties represent 25.0% and 18.6% of the pool
balance, respectively.

The largest specially serviced loan, One Monument Place (Prospectus
ID#3, 4.5% of the trust balance), is secured by the fee interest in
a 222,500-square-foot Class A office property in Fairfax, Virginia.
The loan transferred to special servicing after failure to repay by
the April 2020 maturity date. A forbearance agreement was executed
in September 2021, the terms of which included a $5.0 million
principal paydown, a loan extension to April 2023, and a conversion
to interest-only (IO) payments. An additional $600,000 principal
payment is due in May 2022. According to the November 2021 rent
roll, the property was 38.5% occupied, down from 53% at year-end
(YE) 2020, 67% at YE2019, 80% at YE2018, and 93.2% at issuance. The
collateral was reappraised in July 2021 at a value of $29.2
million, which is below the senior debt amount. As of October 2021,
$4.3 million of principal remained outstanding on the mezzanine
debt.

The second-largest specially serviced loan, University of Delaware
Hotel Portfolio (Prospectus ID#4, 4.4% of the trust balance), is
secured by the fee interest in two adjacent hotels totaling 245
keys in close proximity to the main campus of the University of
Delaware in Newark, New Jersey. Demand is largely reliant on campus
events held at the athletic facilities, which are directly across
the street from the collateral properties. The loan transferred to
the special servicer in April 2020 at the borrower's request as a
result of the Coronavirus Disease (COVID-19) pandemic. A relief
agreement has been executed, and a cash management account is being
set up. The loan, which is current as of the January 2022
remittance, is expected to return to the master servicer in the
near term. The borrower appears to be committed to the collateral
properties, and DBRS Morningstar will continue to monitor the
loan's ongoing performance.

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



WELLS FARGO 2016-LC25: DBRS Confirms B(low) Rating on Cl. G Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2016-LC25 issued by Wells Fargo
Commercial Mortgage Trust 2016-LC25 as follows:

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

Classes E, F, and G continue to carry Negative trends, which is
largely reflective of the continuing performance issues with the
two loans in special servicing, representing a combined 4.5% of the
current pool balance. All other trends remain Stable.

The confirmations reflect overall stable performance since the last
rating action. As of the January 2022 remittance, 77 of the
original 80 loans remain in the pool, with an aggregate principal
balance of $838.3 million, representing a collateral reduction of
12.2% since issuance. An additional four loans, representing 6.3%
of the current pool balance, are fully defeased. Loans secured by
retail properties represent the greatest property type
concentration with 29.1% of the pool followed closely by office
properties at 26.0% and lodging properties a distant third at 14.8%
of the pool balance.

There were also 22 loans being monitored on the servicer's
watchlist, representing 24.4% of the pool balance.

The largest loan in special servicing, The Shops at Somerset Square
(Prospectus ID#7, 3.6% of the pool), is secured by an unanchored
retail property in Glastonbury, Connecticut, sponsored by
Brookfield Property Partners. It transferred to special servicing
in August 2020 for payment default caused by operating shortfalls
stemming from the Coronavirus Disease (COVID-19) pandemic. The
special servicer is dual-tracking a deed-in-lieu of foreclosure and
loan assumption and modification as potential workout strategies.

According to the June 2021 rent roll, the property was 72.8%
occupied, down from 82.6% at YE2019. The five largest tenants,
representing 25.5% of the net rentable area (NRA) combined,
including Talbots (7.4% of the NRA) and Jos. A. Bank (4.4% of the
NRA), all have near-term lease expirations. Overall, 11% of leases
are scheduled to roll in 2022, and an additional 28% will roll by
YE2023. The special servicer has not provided an updated operating
statement analysis report; however, an operating statement dated
June 2021 indicated that the trailing 12-month net operating income
was down over 30% from YE2019. Following the recent conversion from
interest-only (IO) to amortizing payments, DBRS Morningstar expects
ongoing debt service coverage ratio to fall below breakeven. The
property was reappraised in August 2021, reflecting a 51% value
reduction since issuance and a current loan-to-value ratio of
146.8%. Given the increasing exposure relative to value, low
occupancy, and concentrated near-term rollover risk, DBRS
Morningstar liquidated this loan in its analysis, resulting in an
implied loss severity of over 50%, which is confined to the
nonrated class.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to the largest loan in the pool, 9 West 57th Street
(Prospectus ID#1, 6.0% of the pool), which is secured by an office
tower in Midtown Manhattan. With this review, DBRS Morningstar
maintains that the performance of this loan remains consistent with
investment-grade loan characteristics.

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



WELLS FARGO 2017-RB1: Fitch Rates Class F Tranche 'B-'
------------------------------------------------------
Fitch Ratings has affirmed Wells Fargo Commercial Mortgage Trust
2017-RB1. The Rating Outlooks on three classes have been revised to
Stable from Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
WFCM 2017-RB1

A-4 95000TBR6    LT AAAsf   Affirmed    AAAsf
A-5 95000TBS4    LT AAAsf   Affirmed    AAAsf
A-S 95000TBU9    LT AAAsf   Affirmed    AAAsf
A-SB 95000TBT2   LT AAAsf   Affirmed    AAAsf
B 95000TBX3      LT AA-sf   Affirmed    AA-sf
C 95000TBY1      LT A-sf    Affirmed    A-sf
D 95000TAC0      LT BBB-sf  Affirmed    BBB-sf
E 95000TBA3      LT BB-sf   Affirmed    BB-sf
E-1 95000TAE6    LT BB+sf   Affirmed    BB+sf
E-2 95000TAG1    LT BB-sf   Affirmed    BB-sf
EF 95000TBE5     LT B-sf    Affirmed    B-sf
F 95000TBC9      LT B-sf    Affirmed    B-sf
X-A 95000TBV7    LT AAAsf   Affirmed    AAAsf
X-B 95000TBW5    LT A-sf    Affirmed    A-sf
X-D 95000TAA4    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Improved Loss Expectations: As the majority of the pool continues
to exhibit stable performance, loss expectations have also
decreased, primarily due to the reduced number of Fitch Loans of
Concern (FLOCs) that have been affected by the slowdown in economic
activity attributed to the coronavirus pandemic. Six loans (20.5%
of pool) are designated as FLOCs, including one loans (4.2%) in
special servicing. Fitch's current ratings incorporate a base case
loss of 4.4%. The Negative Outlooks on classes F and EF reflect
losses that could reach 4.8% when factoring in additional stresses
related to the Hotel Wilshire loan.

Fitch Loans of Concern: The largest decrease in loss since the
prior review is the Anaheim Marriott Suites loan (4.2%), which is
secured by a 371-key full-service hotel located in Garden Grove,
CA. The property was built in 2002, later renovated in 2016, and is
located within three miles of Disneyland and 1.5 miles of Anaheim
Convention Center. The loan transferred to special servicing in
June 2020 due to imminent default as a result of the coronavirus
pandemic. The special servicer is dual tracking settlement
discussions with enforcement of lender's rights. As of TTM
September 2021, the occupancy, ADR and RevPAR were 39.9%, $107.71
and $43, respectively. The improved loss expectations reflect an
increase in a recent appraisal value coupled with an expectation
for continued recovery.

The second largest decrease in loss since the prior review is the
Hotel Wilshire loan (4.5%), which is secured by a 74-room, boutique
full-service hotel located in Los Angeles, CA. The property was
originally developed as a medical office property in 1950. The
building was completely gutted in 2009 and reopened as a hotel in
2011. The property underwent an extensive $1.9 million renovation
between October 2018 and August 2019, which required entire floors
to be taken offline resulting in decreased cash flow. As of TTM
December 2021, occupancy, ADR and RevPAR were 62.8%, $202.47 and
$130.33, compared to 55.5%, $203 and $112, respectively as of TTM
October 2020.

The third largest decrease since the prior review and the second
largest contributor to loss is The Summit Birmingham loan (4.0%),
which is secured by a 688,852-sf lifestyle center located in
Birmingham, AL. The largest tenants are Belk (23.8% of NRA; lease
expiry in January 2023), RSM US (5.2%; May 2023) and Barnes & Noble
(3.7%; February 2023). Belk emerged from Chapter 11 bankruptcy in
February 2021, although no store closure announcement has been
made. Occupancy increased to 94.3% as of YE 2021 from 91% at YE
2020. As of TTM November 2021, the total inline sales were
$495.7/sf compared to $334.7/sf as of TTM November 2020.

Increased Credit Enhancement (CE): As of the December 2021
remittance reporting, the pool's aggregate balance has paid down by
10.4% to $571.1 million from $637.6 million at issuance. Three loan
(3.4% of pool) are fully defeased. Thirteen loans (58.4%) are full
term interest only, and the remaining 23 loans (41.6%) are
amortizing. Loan maturities include one loan (3.6%) in 2022, seven
loans (20.0%) in 2026 and 26 loans (76.4%) in 2027.

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

-- Downgrades to classes C, D and X-D are possible should
    expected losses for the pool increase significantly and/or one
    or more large loans incur an outsized loss, which would erode
    CE.

-- Downgrades to classes E, F, E-1, E-2 and EF are possible if
    performance of the FLOCs, including the sole specially
    serviced loan, or loans susceptible to the coronavirus
    pandemic not stabilize and/or additional loans default or
    transfer to special servicing.

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 B, C, X-B and X-D would occur with
    significant improvement in CE and/or defeasance and with the
    stabilization of performance on the FLOCs and/or the
    properties affected by the coronavirus pandemic; however,
    adverse selection and increased concentrations could cause
    this trend to reverse.

-- An upgrade to class D would also take into account these
    factors but would be limited based on sensitivity to
    concentrations or the potential for future concentration.
    Classes would not be upgraded above 'Asf' if interest
    shortfalls are likely.

-- Upgrades to classes E, F, E-1, E-2 and EF 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 if there
    is sufficient CE.

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.

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.


WFRBS COMERCIAL 2014-LC14: DBRS Confirms B Rating on Class F Certs
------------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-LC14 issued by
WFRBS Commercial Mortgage Trust 2014-LC14 as follows:

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

The rating confirmations reflect the overall stable performance of
the transaction, which continues to perform within DBRS
Morningstar's expectations. At issuance, the trust comprised 71
fixed-rate loans secured by 144 commercial and multifamily
properties with a trust balance of $1.26 billion. Per the January
2022 remittance, 60 loans secured by 125 properties remain in the
trust with a total trust balance of $849.6 million, representing a
32.3% collateral reduction since issuance.

In conjunction with the rating confirmations, the trends on Classes
D and X-B were changed to Stable from Negative as loan performance
continues to destabilize toward pre-pandemic levels. Three of the
five specially serviced loans, totaling 2.2% of the trust balance,
are secured by hospitality assets. In general, this property type
has experienced a faster rebound as pandemic mitigation efforts
have eased and travel has resumed. Forbearance agreements were
recently executed for these loans and the special servicer
anticipates they will be brought current and transferred back to
the master servicer in the near term. Since the last rating action,
there has also been an increase in defeased collateral, which now
represents 19.2% of the pool.

DBRS Morningstar maintained the Negative trends on Classes E, F,
and X-C given ongoing concerns for the Williams Center Tower
(Prospectus ID#6; 5.0% of the trust balance), Canadian Pacific
Plaza (Prospectus ID#8; 5.0% of the trust balance), and West Side
Mall (Prospectus ID#14; 2.8% of the trust balance) loans. All other
trends remain Stable.

The largest specially serviced loan is Williams Center Towers,
which is secured by a Class A high-rise office property in the
central business district (CBD) of Tulsa, Oklahoma. The loan
transferred to special servicing in April 2018 shortly after the
property's second-largest tenant vacated after filing bankruptcy,
which caused occupancy to decline to 78.0%. Occupancy further
declined to its current level of 67.1% following the departure of
Bank of Oklahoma in December 2019. Despite its prolonged time in
special servicing, the loan remains current and in cash management.
DBRS Morningstar anticipates the loan will remain with the special
servicer until there is material leasing activity.

The second-largest specially serviced loan, West Side Mall, is
secured by an anchored community shopping center in Edwardsville,
Pennsylvania. The loan has historically experienced fluctuations in
occupancy and transferred to the special servicer in June 2021 at
the borrower's request as a result of the coronavirus pandemic. The
August 2021 servicer site inspection noted significant deferred
maintenance. No new major leases have been executed since 2018 and
the collateral is in need of considerable capital improvements.
Despite this, the annualized Q2 2021 net cash flow is up 29% over
the YE2019 figure because of increased reimbursements. DBRS
Morningstar remains concerned about the property's condition and
lack of clear leasing strategy.

Canadian Pacific Plaza is secured by a 28-story, Class B building
in the CBD of Minneapolis, and has been on the servicer's watchlist
since June 2020 following the departure of the property's
second-largest tenant at lease expiration in February 2020, causing
a drop in occupancy. As of November 2021, the property remains
63.1% occupied. Additionally, Soo Line Railroad Company, the
largest tenant and currently occupying 23.4% of the net rentable
area, announced it will be moving its headquarters to Kansas City
following the parent company's merger with Kansas City Southern.
The lease extends three years beyond the loan term and is
guaranteed by an investment-grade entity, Canadian Pacific Railway.
Near-term cash flow is expected to remain stable; however,
refinance risk is elevated.

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



WFRBS COMM 2013-C11: Fitch Affirms B- Rating on Class F Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 10 classes of WFRBS Commercial Mortgage
Trust 2013-C11 certificates. In addition, the Rating Outlook for
one class was revised to Stable from Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
WFRBS 2013-C11

A-5 92937EAZ7    LT AAAsf   Affirmed    AAAsf
A-S 92937EAF1    LT AAAsf   Affirmed    AAAsf
A-SB 92937EAE4   LT AAAsf   Affirmed    AAAsf
B 92937EAG9      LT AAsf    Affirmed    AAsf
C 92937EAH7      LT Asf     Affirmed    Asf
D 92937EAJ3      LT BBB-sf  Affirmed    BBB-sf
E 92937EAL8      LT BBsf    Affirmed    BBsf
F 92937EAN4      LT B-sf    Affirmed    B-sf
X-A 92937EAS3    LT AAAsf   Affirmed    AAAsf
X-B 92937EAU8    LT Asf     Affirmed    Asf

KEY RATING DRIVERS

Improved Loss Expectations: Overall pool performance and base case
loss expectations have improved slightly since Fitch's last rating
action. The Rating Outlook revision to Stable from Negative on
class E reflects lower expected losses as performance stabilizes on
some of the larger Fitch Loans of Concern (FLOCs) impacted by the
pandemic.

Fitch's current ratings reflect a base case loss of 4.60%. Losses
are marginally higher after factoring additional stresses on two
hotel loans to account for the ongoing declines in performance due
to the pandemic. Eighteen loans (51.7% of pool) are considered
FLOCs, including two specially serviced loans (1.3%), due to
performance declines resulting from the pandemic, occupancy
declines and/or upcoming lease rollover.

Fitch Loans of Concern: The largest increase in loss since the last
rating action and largest contributor to overall loss expectations
is the Encana Oil and Gas loan (7.7% of pool), which is secured by
a 318,582-sf, 12-story office building within the Legacy Business
Park in Plano, TX, approximately 20 miles north of the Dallas CBD.
This FLOC was flagged due to upcoming refinance concerns as the
loan matures in January 2023.

The property is 100% master leased to Ovinitiv USA Inc. (formerly
Encana Oil & Gas (USA) Inc.) through June 30, 2027. The single
tenant had consolidated its business operations in 2014, vacating
and subleasing all of its space. The largest sub-tenants include
Legacy Texas, Aimbridge Hospitality, US Renal Care and Ally
Financial. Fitch's expected loss of 26% is based on a 9.25% cap
rate and a 15% stress to the YE 2020 NOI to address subleasing and
refinance concerns.

The second largest increase in loss and next largest contributor to
overall loss expectations is the Republic Plaza loan (16.1% of
pool), which is secured by a 56-story, 1.3 million-sf office tower
and separate 12-story parking garage (1,275 stalls) located in the
CBD of Denver, CO. The largest tenants include Ovinitiv Inc.
(formerly Encana; 24% of NRA), DCP Midstream (11%), Guild Education
Inc (8%), Wheeler Trigg O'Donnell (8%) and Bank of America (5%).
Tenants in the energy sector comprise approximately 46% of the
NRA.

This FLOC was flagged for declining occupancy to 79.5% as of
September 2021 from 82.4% in December 2020, as well as above market
in-place rents. Upcoming rollover includes 4.6% of the NRA in 2022
and 19.8% in 2023. The loan has an upcoming maturity in December
2022. Fitch's expected loss of 5% is based on an 8.75% cap rate,
reflecting the property's high quality and LEED certification, and
a 15% stress to the YE 2020 NOI to account for upcoming rollover,
energy-related tenant concentrations and refinance risk.

Improved Credit Enhancement and Increased Defeasance: The increased
credit enhancement since Fitch's last rating action is due to two
loan prepayments with yield maintenance (RHP Portfolio (previously
11%) and Town and Country Self Storage (previously 0.2%)),
continued amortization and additional defeasance. In total, 22
loans (17% of pool) are fully defeased, including three loans
(8.5%) since the last rating action.

As of the January 2022 remittance report, the pool's aggregate
principal balance has been reduced by 40.5% to $854.6 million from
$1.44 billion at issuance. Two loans (22% of pool) are full-term
interest-only and the remaining loans are amortizing.

Coronavirus Exposure: Ten loans (10.8% of pool) are secured by
hotel properties and 24 loans (32.8%) are secured by retail
properties. Fitch applied additional stresses to the pre-pandemic
cash flows for two hotel loans to account for performance declines
due to the pandemic, which contributed to the Outlook on class F
remaining Negative.

Maturity Concentration: Nineteen loans (44% of pool) mature in
November and December of 2022 and 48 loans (56%) mature in 2023.

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-3
    through A-SB, A-S, B and X-A are not likely due to the
    position in the capital structure and expected continued
    scheduled amortization and paydowns, but may occur should
    interest shortfalls affect these classes.

-- Downgrades to classes C, D and X-B are possible should
    expected losses for the pool increase significantly and/or all
    of the FLOCs and loans susceptible to the pandemic suffer
    losses.

-- Downgrades to classes E and F are possible with an increased
    certainty of loss or should loss expectations increase due to
    a continued performance decline of the FLOCs, loans with
    upcoming maturities fail to payoff and/or additional loans
    default. The Negative Outlook on class F may be revised back
    to Stable if performance of the larger FLOCs improves and/or
    properties vulnerable to the coronavirus pandemic stabilize.

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 class B would only occur with significant
    improvement in CE and/or defeasance, and with the
    stabilization of performance on the larger FLOCs and/or the
    properties affected by the coronavirus pandemic. Classes would
    not be upgraded above 'Asf' if there were a likelihood of
    interest shortfalls.

-- Upgrades to classes C and D are not likely until the later
    years in the transaction and only if the performance of the
    remaining pool is stable and/or properties vulnerable to the
    coronavirus return to pre-pandemic levels, and there is
    sufficient CE to the class. Classes E and F are unlikely to be
    upgraded absent significant performance improvement on the
    FLOCs and substantially higher recoveries than expected on the
    specially serviced loans/assets.

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.

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.


WFRBS COMMERCIAL 2012-C10: DBRS Lowers Rating of 3 Classes to CCC
-----------------------------------------------------------------
DBRS Limited downgraded its ratings on five classes of Commercial
Mortgage Pass-Through Certificates, Series 2012-C10 issued by WFRBS
Commercial Mortgage Trust 2012-C10 as follows:

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

In addition, DBRS Morningstar confirmed its ratings on the
remaining classes as follows:

-- Class A-3 at AAA (sf)
-- Class A-FL at AAA (sf)
-- Class A-FX at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)

The trends on all classes are Stable, with the exception of Classes
D, E, and F, which carry no trend because of the distressed
ratings. The rating downgrades reflect significant binary risk
presented by the regional mall exposure and DBRS Morningstar's
stressed value estimates relative to the overall recovery
expectations for the pool's remaining loans. All loans are
scheduled to mature in 2022, and DBRS Morningstar expects that some
loans may default at maturity.

As of the January 2022 remittance, 68 of the original 85 loans
remain in the pool, with an aggregate principal balance of $964.8
million, representing a collateral reduction of 26.1% since
issuance. There are 21 loans, representing 15.8% of the current
trust balance, that are fully defeased. The transaction is
concentrated by property type as 18 loans, representing more than
40.0% of the current trust balance, are secured by retail
properties. Five of these loans, representing 30.8% of the pool,
are secured by regional malls. There is one loan, representing 7.9%
of the current trust balance, in special servicing and 15 loans,
representing 27.3% of the pool, are being monitored on the
servicer's watchlist.

The transaction's only specially serviced loan, Dayton Mall
(Prospectus ID#3, 7.9% of the pool), is secured by 778,487 square
feet (sf) of a 1.4 million-sf regional mall in Dayton, Ohio. The
loan transferred to special servicing in July 2021 after Washington
Prime Group filed for bankruptcy. The sponsor has deemed the mall a
noncore asset and has indicated that it does not intend to retain
ownership of the property, and a receivership order was entered at
the beginning of December 2021. The mall lost both its
noncollateral anchor tenants in 2018, and both of those spaces
remain vacant. The mall's in-line space was approximately 92%
occupied based on the September 2021 rent roll, with leases
representing 14.2% of the net rentable area (NRA) scheduled to roll
in the next 12 months. The loan reported a Q1 2021 debt service
coverage ratio (DSCR) of 0.58 times (x), down from 0.90x at YE2020
and 0.99x at YE2019. The property has experienced a 69.1% decline
in net cash flow since issuance. DBRS Morningstar expects a delayed
disposition process given the challenges in backfilling two empty
anchor boxes, nearby market competition, and the loan's declining
performance metrics as its September 2022 maturity approaches. DBRS
Morningstar's analysis included a liquidation scenario that assumed
a loss severity in excess of 50.0%.

The Towne Mall loan (Prospectus ID#12, 2.0% of the pool) is secured
by a Macerich-operated regional mall in Elizabethtown, Kentucky, 45
miles south of Louisville. This loan was added to the servicer's
watchlist in January 2020 for low occupancy and DSCR. The mall's
collateral Sears tenant (19.6% of NRA) vacated in 2018 and, outside
of a seasonal Halloween tenant, the space has remained vacant. Cash
flow has decreased year over year since issuance and as of Q3 2021,
the DSCR was reported at 0.48x with an occupancy rate of 68.5%. The
majority of the mall's vacancies are concentrated in the former
Sears wing of the mall, posing challenges to re-leasing efforts.
Although the subject lacks direct competition in the immediate
market, the loan faces increased refinance risk given the
property's tertiary market location, continued occupancy declines,
and upcoming rollover, in addition to the current lack of liquidity
for regional malls. DBRS Morningstar analyzed this loan with an
elevated probability of default.

DBRS Morningstar materially deviated from its North American CMBS
Insight Model when determining the rating assigned to Class D as
the quantitative results suggested a higher rating. The material
deviation is warranted given the uncertain loan-level event risk
related to the loans secured by regional mall collateral, most of
which have struggled amid the pandemic and may face difficulties
refinancing at their respective maturity dates in 2022.

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



WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on X-C Certs
--------------------------------------------------------------
DBRS, Inc. confirmed the ratings on classes of Commercial Mortgage
Pass-Through Certificates, Series 2014-C21 issued by WFRBS
Commercial Mortgage Trust 2014-C21 as follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-SBFL at AAA (sf)
-- Class A-SBFX at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-B at BBB (low) (sf)
-- Class D at BB (high) (sf)
-- Class X-C at B (sf)
-- Class E at B (low) (sf)
-- Class F at CCC (sf)

Negative trends were maintained for Classes D, E, X-B, and X-C,
while all other trends are Stable, except for Class F, which has a
rating that does not carry a trend. Interest in Arrears was also
removed for Class F, as the previously outstanding interest
shortfalls have been repaid.

The rating confirmations reflect the transaction's recent
performance, which has been stable since February 2021, when DBRS
Morningstar downgraded six classes. Montgomery Mall (Prospectus
ID#9) was liquidated from the trust and the $21.8 million loss was
realized in the December 2021 remittance report. The loss is
slightly below the loss of $25.0 million assumed as part of the
review for the February 2021 rating action. One other loan, Fitch
Apartments (Prospectus ID#52), liquidated from the trust in April
2019 with a realized loss of $1.6 million. All to date have been
contained in the unrated Class G, but the projected and now
realized reduced credit support for the lowest rated bonds was a
driver for the downgrades in February 2021.

At issuance, the trust comprised 121 fixed-rate loans secured by
145 commercial and multifamily properties with a trust balance of
$1.43 billion. As of the January 2022 remittance, 102 of the
original 121 loans remained in the pool with a trust balance of
$1.07 billion, representing a collateral reduction of approximately
25% since issuance. The trust benefits from its high concentration
of loans secured by multifamily properties, representing just under
20% of the trust balance, and its relatively low concentration of
loans secured by retail properties, representing just under 15% of
the trust balance. The pool is relatively granular by loan size as
the largest 15 loans comprise just over half of the trust balance.
There are 21 loans, representing 15% of the trust balance, that
have fully defeased.

Four loans, representing 8.1% of the pool balance, are in special
servicing, including three loans in the top 15. The largest
specially serviced loan is Tryp by Wyndham Times Square (Prospectus
ID#8 – 3.8% of the trust balance), which is secured by a hotel in
the Theatre District of Midtown in New York. The property was
reappraised in October 2021 with an as-is value of $56.6 million,
up from the June 2020 appraised value of $40.3 million, but still
35% below the $87.2 million appraised value at issuance. The
special servicer reports a foreclosure is being pursued, but also
notes workout discussions with the borrower remain ongoing. The
loan was last paid in October 2020, as of the January 2022
remittance report. Although the severe delinquency, value declines
from issuance, and performance declines from issuance that preceded
the onset of the Coronavirus Disease (COVID-19) pandemic suggest
significantly increased risks from issuance, DBRS Morningstar notes
the most recent value does suggest cushion above the $45.0 million
trust exposure.

The second-largest specially serviced loan, The Bluffs (Prospectus
ID#10 – 2.3% of the trust balance), is secured by a multifamily
complex in Junction City, Kansas. The property primarily serves as
military housing for Fort Riley soldiers and civilian staff. The
loan transferred to the special servicer in May 2020 and the
collateral became real estate owned as of November 2021. The
special servicer plans to continue stabilizing the asset before
disposing in late 2022. The collateral was reappraised in May 2021
for a value of $29.8 million, up from the September 2020 value of
$27.3 million, but still down 38.3% from the appraised value of
$48.3 million at issuance. The May 2021 appraised value indicates
an implied loan-to-value (LTV) ratio of 94.5% based on the trust
exposure of $28.2 million, suggesting a moderate loss could be
realized at disposition.

The third-largest loan in special servicing, Oak Court Mall
(Prospectus ID#15 – 1.9% of the trust balance), is a pari passu
participation in a whole loan secured by a portion of a
super-regional mall in Memphis, Tennessee. The loan transferred to
the special servicer in May 2020 and the loan sponsor, Washington
Prime Group, ultimately notified the servicer of its desire to
transfer title to the trust. The collateral was reappraised in
April 2021 for a value of $15.5 million, slightly up from the $15.0
million appraised value in July 2020, but considerably below the
$61.0 million appraised value at issuance. The implied LTV ratio
for the whole loan increased to well over 200%, compared with 65.3%
at issuance. Based on this value, DBRS Morningstar believes a loss
severity in excess of 70.0% will be realized, supporting the CCC
(sf) rating for Class F and a contributor to the Negative trends
for the four classes as outlined above.

There is also a high concentration of loans on the servicer's
watchlist, with 31 loans representing 43.9% of the pool as of the
January 2022 remittance. The largest watchlisted loan, Fairview
Park Drive (Prospectus ID#1 – 8.4% of the trust balance), is
being monitored for a low debt service coverage ratio; however, the
property's occupancy rate has recently rebounded and concessions
driving low base rent collections expired in July 2021, suggesting
2022 cash flows should improve significantly. Seven loans,
representing approximately 14% of the trust balance, are on the
servicer's watchlist for nonperformance issues related to deferred
maintenance.

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



WIND RIVER 2015-2: Moody's Hikes Rating on $20.5MM E-R Notes to Ba1
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Wind River 2015-2 CLO Ltd.:

US$23,000,000 Class D-R Secured Deferrable Floating Rate Notes due
2027 (the " Class D-R Notes"), Upgraded to Aa2 (sf); previously on
August 4, 2021 Upgraded to A2 (sf)

US$20,500,000 Class E-R Secured Deferrable Floating Rate Notes due
2027 (the "Class E-R Notes"), Upgraded to Ba1 (sf); previously on
August 4, 2021 Upgraded to Ba2 (sf)

US$8,500,000 Class F Secured Deferrable Floating Rate Notes due
2027 (the "Class F Notes"), Upgraded to Caa1 (sf); previously on
September 1, 2020 Downgraded to Caa3 (sf)

Wind River 2015-2 CLO Ltd., originally issued in October 2015 and
partially refinanced in October 2017, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in October 2019.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since August 2021. The Class
A-1-R and Class A-2-R notes have been fully paid down and the Class
B-R notes have been paid down by approximately 23.8% or $12.4
million since August 2021. Based on Moody's calculation, the OC
ratios for the Class D-R and Class E-R notes are 144.76% and
117.80%, respectively, versus 129.96% and 112.75%, in August 2021,
respectively.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and 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: $129,669,939

Defaulted par: $0

Diversity Score: 34

Weighted Average Rating Factor (WARF): 3284

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.42%

Weighted Average Recovery Rate (WARR): 47.46%

Weighted Average Life (WAL): 3.0 years

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

Methodology Used for the Rating Action

The principal methodology used in these ratings 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 Ratings:

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


[*] Moody's Hikes Ratings on $182.2MM of US RMBS Issued 2005-2006
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven bonds
from four US residential mortgage backed transactions (RMBS),
backed by subprime mortgages issued by multiple issuers.

A List of Affected Credit Ratings is available at
https://bit.ly/3uDqDkq

Issuer: First Franklin Mortgage Loan Trust 2006-FF18

Cl. A-1, Upgraded to Caa2 (sf); previously on Nov 6, 2012
Downgraded to Ca (sf)

Issuer: GSAMP Trust 2005-AHL2

Cl. A-1B, Upgraded to A3 (sf); previously on Jul 11, 2018 Upgraded
to Baa2 (sf)

Cl. A-2D, Upgraded to A3 (sf); previously on Jul 11, 2018 Upgraded
to Baa2 (sf)

Issuer: GSAMP Trust 2006-HE5

Cl. A-1, Upgraded to Ba2 (sf); previously on Feb 1, 2017 Upgraded
to B1 (sf)

Cl. A-2C, Upgraded to Ba2 (sf); previously on Feb 1, 2017 Upgraded
to B1 (sf)

Issuer: Fremont Home Loan Trust 2006-2

Cl. II-A-3, Upgraded to Ba1 (sf); previously on Jun 7, 2018
Upgraded to Ba3 (sf)

Cl. II-A-4, Upgraded to Ba2 (sf); previously on Jun 7, 2018
Upgraded to B1 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's 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 Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 12% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

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

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 expect 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 regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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.


[*] Moody's Hikes Ratings on $30.6MM of US RMBS Issued 1998-2004
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five bonds
from three US residential mortgage backed transactions (RMBS),
backed by subprime mortgages issued by multiple issuers.

A List of Affected Credit Ratings is available at
https://bit.ly/3gt7k4X

Complete rating actions are as follows:

Issuer: Aegis Asset Backed Securities Trust 2004-4

Cl. M1, Upgraded to Aaa (sf); previously on Jun 8, 2018 Upgraded to
Aa3 (sf)

Cl. M2, Upgraded to Baa2 (sf); previously on Jun 8, 2018 Upgraded
to Ba1 (sf)

Issuer: AMRESCO Residential Mortgage Loan Trust 1998-3

A-7, Upgraded to Aaa (sf); previously on May 28, 2021 Confirmed at
Aa2 (sf)

Issuer: RASC Series 2003-KS4 Trust

Cl. A-I-5, Upgraded to Aaa (sf); previously on May 28, 2021
Confirmed at Aa1 (sf)

Cl. M-I-1, Upgraded to Ba2 (sf); previously on May 28, 2021
Confirmed at B1 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's 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. In cases where loan level data is not available, Moody's
assumed that the proportion of borrowers enrolled in payment relief
programs would be equal to levels observed in transactions of
comparable asset quality. Based on Moody's analysis, the proportion
of borrowers that are currently enrolled in payment relief plans
varied greatly, ranging between approximately 2% and 12% among RMBS
transactions issued before 2009. In Moody's analysis, Moody's
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

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

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 expect 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 regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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.


[*] Moody's Takes Actions on $156MM of US RMBS Issued 2003-2007
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of ten bonds and
downgraded the rating of one bond from seven US residential
mortgage backed transactions (RMBS), backed by subprime mortgages
issued by multiple issuers.

A List of Affected Credit Ratings is available at
https://bit.ly/3rEJCZI

Complete rating actions are as follows:

Issuer: HSI Asset Securitization Corporation Trust 2006-OPT3

Cl. III-A-4, Upgraded to Aa1 (sf); previously on Jun 25, 2018
Upgraded to A1 (sf)

Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH1,
Asset-Backed Pass-Through Certificates, Series 2007-CH1

Cl. AF-5, Upgraded to Ba1 (sf); previously on Nov 22, 2019 Upgraded
to Ba3 (sf)

Cl. AF-6, Upgraded to Baa3 (sf); previously on Nov 22, 2019
Upgraded to Ba2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC10

Cl. B-1, Upgraded to B3 (sf); previously on Dec 20, 2018 Upgraded
to Caa1 (sf)

Cl. B-2, Upgraded to Caa3 (sf); previously on Feb 11, 2009
Downgraded to C (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE2

Cl. M-4, Upgraded to B2 (sf); previously on Jun 21, 2019 Upgraded
to Caa2 (sf)

Cl. M-5, Upgraded to Caa2 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-NC1

Cl. B-1, Upgraded to Caa1 (sf); previously on Jan 25, 2017 Upgraded
to Caa3 (sf)

Cl. M-6, Upgraded to B2 (sf); previously on Jan 25, 2017 Upgraded
to Caa1 (sf)

Issuer: New Century Home Equity Loan Trust, Series 2003-A

Cl. A, Downgraded to Aa1 (sf); previously on May 15, 2012 Confirmed
at Aaa (sf)

Issuer: Nomura Home Equity Loan Trust 2006-HE2

Cl. M-1, Upgraded to A3 (sf); previously on Dec 16, 2016 Upgraded
to Baa3 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bonds. The rating downgrade of Class A from New Century Home
Equity Loan Trust, Series 2003-A is primarily due to the
amortization of the mezzanine tranches. Classes M-1 and M-2, which
provide credit support to the affected tranche, have paid down from
approximately $1.2 million to $997,000 over the past year resulting
from the deal passing performance triggers.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's 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. In cases where loan level data is not available, Moody's
assumed that the proportion of borrowers enrolled in payment relief
programs would be equal to levels observed in transactions of
comparable asset quality. Based on Moody's analysis, the proportion
of borrowers that are currently enrolled in payment relief plans
varied greatly, ranging between approximately 2% and 12% among RMBS
transactions issued before 2009. In Moody's analysis, Moody's
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

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

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 expect 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 regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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.


[*] S&P Places 226 Ratings from 57 US CMBS Deals on Watch Positive
------------------------------------------------------------------
S&P Global Ratings placed its ratings on 114 classes from 27 U.S.
stand-alone single-borrower and large loan CMBS deals and 112
classes from 30 U.S. conduit CMBS deals on CreditWatch with
positive implications.

A list of Affected Ratings can be viewed at:

            https://bit.ly/34wQyzg

S&P said, "The CreditWatch positive placements follow the revision
of our baseline capitalization rate assumptions for multifamily,
industrial, and self-storage assets as detailed in the recently
updated criteria guidance article "Guidance: CMBS Global Property
Evaluation Methodology," originally published March 13, 2019. As
detailed in the related press release, "Guidance On Global CMBS
Property Evaluation Methodology Updated," published Jan. 28, 2022,
market capitalization rates for the aforementioned asset types have
compressed for years, widening the spread between them and our
published baseline capitalization rates (which were initially
established in 2012). As such, we lowered our baseline
capitalization rate assumptions related to multifamily, industrial,
and self-storage assets by 50, 75, and 100 basis points,
respectively, to better align with market conditions.

"In determining the classes to place on CreditWatch positive, we
started by isolating transactions in our rated book with material
exposure to the affected asset types. We defined this as all
stand-alone single-borrower and large loan deals having any degree
of exposure to and any conduit deals having 15% or more of pooled
collateral balance represented by the affected asset types. We also
included conduit transactions with raked bond ratings secured by
mortgage debt on the affected asset types.

"We further refined this population by considering the likelihood
of positive rating change among the deals' bonds. This led to the
exclusion of any deals with a minimum bond rating in the 'AA'
category, where we view upgrades as unlikely given ratings
differentiation considerations. Vintage conduit deals with high
specially serviced asset exposures were excluded too given their
adverse selection, which we also view as rendering upgrades
unlikely. Finally, we excluded any non-agency conduit transactions
where our preliminary rating impact analysis indicated strictly
single-notch upgrades within the capital stack, since we view
actions as unlikely in these cases given idiosyncratic risk."



[*] S&P Takes Various Actions on 78 Classes from 13 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 78 classes from 13 U.S.
RMBS non-qualified mortgage (QM) transactions. The review yielded
33 upgrades, 33 affirmations, and 12 discontinuances.

A list of Affected Ratings can be viewed at:

             https://bit.ly/3uEVCN4

S&P said, "For all transactions, we performed credit analysis using
updated loan-level information from which we determined foreclosure
frequency, loss severity, and loss coverage amounts commensurate
for each rating level. In addition, we used the same mortgage
operational assessment, representation and warranty, and due
diligence factors that were applied at issuance. Our geographic
concentration and prior-credit-event adjustment factors were based
on the transactions' current pool composition."

The upgrades primarily reflect deleveraging because each respective
transaction benefits from low or zero accumulated losses to date,
high prepayment speeds, a growing percentage of credit support to
the rated classes, and, for the non-QM transactions,
senior-sequential payment priority.

Since the onset of the COVID-19 pandemic, delinquencies have
generally been declining in the reviewed transactions in part due
to borrowers exiting forbearance plans via deferrals and/or loan
modifications, or upon the completion of repayment plans. However,
delinquencies can remain relatively elevated in some transactions
as borrowers who remain delinquent represent a higher proportion of
the pool as it pays down.

The affirmations reflect S&P's view that the projected collateral
performance relative to its projected credit support on these
classes remains relatively consistent with its prior projections.

Analytical Considerations

S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by the application of our criteria. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes." Some of these considerations include:

-- Factors related to the COVID-19 pandemic;

-- Collateral performance or delinquency trends;

-- Priority of principal payments;

-- Priority of loss allocation;

-- Expected short duration;

-- Available subordination and/or credit enhancement floors; and

-- Potential excess spread.



                            *********

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

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

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

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

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

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

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

                            *********

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

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.

Copyright 2022.  All rights reserved.  ISSN: 1520-9474.

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

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

                   *** End of Transmission ***