/raid1/www/Hosts/bankrupt/TCR_Public/220220.mbx          T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, February 20, 2022, Vol. 26, No. 50

                            Headlines

ALLEGANY PARK: Moody's Assigns Ba3 Rating to $20MM Class E-R Notes
ANGEL OAK 2022-1: Fitch Rates Class B-2 Tranche Final 'B'
ARES CLO LVIII: Moody's Assigns Ba3 Rating to $16MM Cl. E-R Notes
ARROYO MORTGAGE 2022-1: S&P Assigns B (sf) Rating on Cl. B-2 Notes
BANK 2022-BNK39: Fitch Assigns Final B- Rating on 2 Certificates

BENCHMARK 2022-B32: Fitch Assigns Final B- Rating on 2 Tranches
BENCHMARK 2022-B33: Fitch Assigns B- Rating on 2 Tranches
BINOM SECURITIZATION 2022-RPL1: Fitch Rates Class B2 Notes 'B-'
BLUEMOUNTAIN CLO XXX: Moody's Rates $16MM Class E-R Notes 'Ba3'
BNPP IP CLO 2014-1: S&P Lowers Class E Notes Rating to D (sf)

BRAVO RESIDENTIAL 2022-RPL1: DBRS Finalizes B(high) on B2 Notes
BWAY COMMERCIAL 2022-26BW: Moody's Gives B3 Rating to Cl. F Certs
CANTOR COMMERCIAL 2012-CCRE3: Fitch Affirms C Rating on 2 Certs
CARLYLE US 2019-4: Moody's Rates of $22MM Class D-R Notes 'Ba3'
CEDR COMMERCIAL 2022-SNAI: Moody's Assigns (P)B2 Rating to F Certs

CFCRE COMMERCIAL 2011-C2: Moody's Cuts Rating on Cl. F Certs to C
CIM TRUST 2022-R1: Fitch Gives 'B(EXP)' Rating to Class B2 Debt
COLONY MULTIFAMILY 2014-1: Moody's Affirms Caa1 on Class X Certs
COLT 2022-2: Fitch Gives 'B(EXP)' Rating to Class B2 Certs
CROWN CITY II: S&P Assigns Prelim BB- (sf) Rating on Cl. D-R Notes

DRYDEN 80: S&P Assigns BB- (sf) Rating on $8MM Class E-R Notes
EXETER 2022-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes
FREDDIE MAC 2022-DNA2: S&P Assigns 'B+' Rating on Cl. B-1 Notes
GCAT TRUST 2022-HX1: Fitch Assigns Final B- Rating on B-2A Certs
GOLDENTREE LOAN 6: S&P Assigns Prelim B- (sf) Rating on F-R Notes

GOODLEAP SUSTAINABLE 2022-1: Fitch Gives Final BB Rating on C Notes
GS MORTGAGE 2014-GC20: Fitch Lowers Rating on 2 Tranches to 'D'
GS MORTGAGE 2015-GC32: Fitch Affirms B Rating on Class F Certs
GS MORTGAGE 2022-PJ2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
JP MORGAN 2012-CIBX: Moody's Cuts Rating on 2 Classes to Caa3

JP MORGAN 2022-INV2: Fitch Gives 'B-(EXP)' Rating to B-5 Debt
KKR CLO 27: S&P Assigns BB- (sf) Rating on $18MM Class E Notes
LABRADOR AVIATION 2016: S&P Cuts Class B Notes Rating to 'B (sf)'
MCA FUND III: Fitch Affirms BB Rating on Class C Notes
MORGAN STANLEY 2014-C16: Fitch Affirms CC Rating on Cl. E Tranche

MORGAN STANLEY I: Fitch Affirms 'B-' Rating on G-RR Certs
NASSAU 2019 CFO: Fitch Affirms BB Rating on Class B Notes
NEUBERGER BERMAN 48: Moody's Assigns (P)Ba3 to $24MM Class E Notes
OBX 2022-NQM2: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
OBX TRUST 2022-INV2: Moody's Assigns B3 Rating to Cl. B-5 Notes

PREFERRED TERM XXVII: Moody's Upgrades 2 Classes of Notes to B3
RCKT MORTGAGE 2022-2: Fitch Rates Class B-5 Certs 'B-(EXP)'
REGIONAL 2022-1: S&P Assigns Prelim BB(sf) Rating on Cl. D Notes
RR 7 LTD: S&P Assigns BB- (sf) Rating on Class D-1-B Notes
SG COMMERCIAL 2016-C5: Fitch Affirms CCC Rating on 2 Certificates

SLM STUDENT 2008-3: S&P Raises Class B Notes Rating to 'BB (sf)'
SMR MORTGAGE 2022-IND: Moody's Assigns B3 Rating to Cl. F Certs
SOUND POINT XXXIII: Moody's Assigns (P)Ba3 Rating to $20MM E Notes
UBS COMMERCIAL 2018-C15: Fitch Affirms B- Rating on G-RR Certs
UNITED AUTO 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes

VERTICAL BRIDGE 2022-1: Fitch Rates Class F Notes 'BB-'
VOYA CLO 2014-3: Moody's Ups Rating on $23MM Class D Notes to Ba2
WELLS FARGO 2015-C29: Fitch Affirms B- Rating on Class F Certs
WELLS FARGO 2018-C43: Fitch Affirms B- Rating on Class F Tranche
WFRBS 2012-C7: Fitch Lowers Rating on 2 Tranches to 'C'

WIND RIVER 2019-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
WOODMONT 2018-4: S&P Assigns Prelim BB- (sf) Rating Cl. E-R Notes
ZAIS CLO 18: Moody's Assigns Ba3 Rating to $16MM Class E Notes
[*] Fitch Affirms 'C' Ratings on 19 Tranches From 6 CDO Deals
[*] Moody's Takes Action on $83.2MM of US RMBS Issued 2004-2006

[*] S&P Takes Various Actions on 165 Classes from Six US RMBS Deals
[*] S&P Takes Various Actions on 65 Classes from 10 U.S. RMBS Deals
[*] S&P Takes Various Actions on 76 Classes From 22 US RMBS Deals

                            *********

ALLEGANY PARK: Moody's Assigns Ba3 Rating to $20MM Class E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
CLO refinancing notes issued by Allegany Park CLO, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$320,000,000 Class A-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2035, Assigned Ba3 (sf)

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.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien loans, cash, and
eligible investments, and up to 10.0% of the portfolio may consist
of second lien loans, first lien last out loans, unsecured loans,
and senior secured bonds, provided that up to 5.0% of the portfolio
may consist of senior secured bonds.

Blackstone CLO Management LLC (the "Manager") will continue to
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 extended 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 issuance of the Refinancing Notes and the other
classes of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels; the inclusion of benchmark replacement provisions; and
changes to the base matrix and modifiers.

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.

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:

Portfolio par: $500,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 3180

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 Refinancing Notes.


ANGEL OAK 2022-1: Fitch Rates Class B-2 Tranche Final 'B'
---------------------------------------------------------
Fitch Ratings has assigned final ratings to Angel Oak Mortgage
Trust 2022-1 (AOMT 2022-1).

DEBT           RATING              PRIOR
----           ------              -----
AOMT 2022-1

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

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates to be issued by Angel Oak Mortgage Trust 2022-1,
Mortgage-Backed Certificates, Series 2022-1 (AOMT 2022-1), as
indicated above. The certificates are supported by 1,138 loans with
a balance of $537.57 million as of the cutoff date. This represents
the 21st Fitch-rated AOMT transaction and the first Fitch-rated
AOMT transaction in 2022.

The certificates are secured by mortgage loans originated by Angel
Oak Home Loans LLC, Angel Oak Mortgage Solutions LLC, Impac
Mortgage Holdings, Inc., Homebridge Financial Services, Inc. and
Luxury Mortgage Corp., as well as various third-party originators,
with each contributing less than 10% to the pool. Of the loans,
64.3% are designated as non-qualified mortgage (non-QM) and 35.7%
are investment properties not subject to the Ability to Repay
Rule.

There is Libor exposure in this transaction. Of the pool, 15 loans
represent adjustable-rate mortgage loans that reference one-year
Libor. The offered certificates are fixed rate and capped at the
net weighted average coupon.

The transaction priced on Feb. 9, 2022. As a result of the pricing
and investor demand, the coupons changed and the structure changed
from sequential to modified sequential. Due to these changes Fitch
analyzed a revised structure. The losses remain unchanged from the
presale report that was published, but the transaction's credit
enhancement (CE) increased. Fitch ran the revised structure and
found that the revised CE provided was sufficient to pass the
assigned rating stresses. Fitch's losses and revised transaction CE
are listed below along with the assigned final rating for each
class.

-- A-1 rated 'AAAsf'; Fitch expected loss 15.25%; transaction CE
    22.55%;

-- A-2 rated 'AAsf'; Fitch expected loss 11.25%; transaction CE
    15.00%;

-- A-3 rated 'Asf'; Fitch expected loss 7.75%; transaction CE
    9.20%;

-- M-1 rated 'BBB-sf'; Fitch expected loss 4.50%; transaction CE
    5.15%;

-- B-1 rated 'BBsf'; Fitch expected loss 3.50%; transaction CE
    3.95%;

-- B-2 rated 'Bsf'; Fitch expected loss 2.25%; transaction CE
    2.55%;

-- B-3 not rated by Fitch; transaction CE 0.00%.

The final ratings assigned remain unchanged from the expected
ratings.

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 10.3% 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.

Non-QM Credit Quality (Mixed): The collateral consists of 1,138
loans, totaling $537.57 million and seasoned approximately eight
months in aggregate, according to Fitch and six months per the
transaction documents. The borrowers have a strong credit profile
(744 FICO and 37.5% debt-to-income [DTI] ratio, as determined by
Fitch), and relatively moderate leverage with an original combined
loan-to-value ratio (LTV) of 70.6%, as determined by Fitch, that
translates to a Fitch-calculated sustainable LTV of 76.1%.

Of the pool, 60.5% represent loans where the borrower maintains a
primary residence, while 39.5% comprise an investor property or
second home based on Fitch's analysis. Fitch determined that 24.3%
of the loans originated through a retail channel while the
transaction documents state 24.4% are retail loans.

Additionally, 64.3% are designated as non-QM, while the remaining
35.7% are exempt from QM status since they are investor loans.

The pool contains 103 loans over $1 million, with the largest
amounting to $3.0 million.

Loans on investor properties (21.8% underwritten to the borrowers'
credit profile and 13.9% comprising investor cash flow loans)
represent 35.7% of the pool. There are no second lien loans, and
1.9% of borrowers were viewed by Fitch as having a prior credit
event in the past seven years. Per the transaction documents, 0.0%
of the loans have subordinate financing; however, in Fitch's
analysis, Fitch considers the 10 loans with deferred balances to
have subordinate financing.

Two of the loans in the pool are to non-permanent residents, and
none of the loans in the pool are to foreign nationals. Fitch
treats foreign nationals as investor occupied codes, as ASF1 (no
documentation) for employment and income documentation; if a credit
score is not available, Fitch uses a credit score of 650 for these
borrowers and removes the liquid reserves.

Of the loans in the pool, 310 are agency-eligible loans
underwritten to DU/LP with an "Approved/Eligible" status.

The largest concentration of loans is in California (41.3%),
followed by Florida and New York. The largest MSA is Los Angeles
(21.0%), followed by Miami (8.3%) and New York (7.4%). The top
three MSAs account for 36.7% of the pool. As a result, a 1.01x
probability of default (PD) penalty for geographic concentration
was applied.

Although the credit quality of the borrowers is higher than that of
the AOMT transactions securitized in 2021 and 2020, the pool
characteristics resemble non-prime collateral, and therefore, the
pool was analyzed using Fitch's non-prime model.

Loan Documentation (Negative): Fitch determined that 71.3% of loans
in the pool were underwritten to borrowers with less than full
documentation. Of this amount, 52.9% were underwritten to a 12- or
24-month bank statement program for verifying income, which is not
consistent with Appendix Q standards and Fitch's view of a full
documentation program.

To reflect the additional risk, Fitch increases the PD by 1.5x on
the bank statement loans. Besides loans underwritten to a bank
statement program, 3.0% are an asset depletion product and 13.9%
comprise a debt service coverage ratio product. The pool does not
have any loans underwritten to a CPA or PnL product, which Fitch
viewed as a positive.

None of the loans were made to foreign nationals, which Fitch
viewed positively.

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

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while excluding the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
the class A-1, A-2 and A-3 bonds until they are reduced to zero.

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 41.7% 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 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 positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth of
    10% with no assumed overvaluation. Excluding the senior class,
    which is already rated 'AAAsf', the analysis indicates there
    is potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, Inc., Consolidated Analytics, Inc.,
Covius Real Estate Services, LLC, Infinity IPS, Inc., Selene
Diligence LLC, Clayton Services, LLC, Inglet Blair, LLC, and
Recovco Mortgage Management, LLC. The third-party due diligence
described in Form 15E focused on three areas: compliance review,
credit review, and valuation review. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustments to its analysis due to the due diligence findings.
Based on the results of the 100% due diligence performed on the
pool, the overall expected loss was reduced by 0.41%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor
engaged AMC Diligence, Inc., Consolidated Analytics, Inc., Covius
Real Estate Services, LLC, Infinity IPS, Inc., Selene Diligence
LLC, Clayton Services, LLC, Inglet Blair, LLC, and Recovco Mortgage
Management, LLC to perform the review. Loans reviewed under these
engagements were given compliance, credit and valuation grades and
assigned initial grades for each subcategory.

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format.

The ASF data tape layout was established with input from various
industry participants, including rating agencies, issuers,
originators, investors and others, to produce an industry standard
for the pool-level data in support of the U.S. RMBS securitization
market. The data contained in the data tape layout were populated
by the due diligence company and no material discrepancies were
noted.

ESG CONSIDERATIONS

AOMT 2022-1 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to strong due diligence results on
100% of the pool and a 'RPS1-' Fitch-rated servicer, which has a
positive impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

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


ARES CLO LVIII: Moody's Assigns Ba3 Rating to $16MM Cl. E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
CLO refinancing notes issued by Ares LVIII CLO Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$256,000,000 Class A-R Senior Floating Rate Notes due 2035 (the
"Class A-R Notes"), Assigned Aaa (sf)

US$16,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes
due 2035 (the "Class E-R Notes"), Assigned Ba3 (sf)

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.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of
non-senior secured loans.

Ares CLO Management 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 issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity; changes to certain
collateral quality tests; and changes to the overcollateralization
test levels; additions to the CLO's ability to hold workout and
restructured assets; changes to the base matrix and modifiers.

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.

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:

Portfolio par: $400,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 3107

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 46.5%

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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 Refinancing Notes.


ARROYO MORTGAGE 2022-1: S&P Assigns B (sf) Rating on Cl. B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Arroyo Mortgage Trust
2022-1's mortgage-backed notes.

The note issuance is an RMBS securitization backed by seasoned and
unseasoned first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and nonprime borrowers. The
pool has 759 loans, which are non-QM (non-QM/ATR) and ATR-exempt
loans. The loans are secured by single-family residential
properties, townhouses, planned-unit developments, condominiums,
and two- to four-family residential properties.

S&P said, "After we assigned our preliminary ratings on Feb. 2,
2022, class A-1A and A-1B notes were introduced to replace the
class A-1 notes. The new class A-1A and A-1B notes receive interest
pro rata. The class A-1A and A-1B notes are entitled to receive a
step-up interest rate of 1.00% beginning February 2026, in addition
to the applicable fixed coupon. Principal is paid sequentially to
class A-1A and A-1B notes in the principal distribution waterfall,
as well as in the monthly excess cash flow waterfall, except in the
case of the monthly excess cash flow waterfall, where principal is
paid to reduce under-collateralization to the senior and mezzanine
classes, in which case class A-1A and A-1B notes are paid pro rata.
The interest and principal distributions for the other classes
remain unchanged."

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty (R&W) framework;

-- The pool's geographic concentration;

-- The mortgage aggregator, Western Asset Management Co. LLC
(Western Asset) as investment manager for Western Asset Mortgage
Capital Corp., and the originator, AmWest Funding Corp.; and

-- The impact that the economic stress brought on by the COVID-19
virus is likely to have on the performance of the mortgage
borrowers in the pool, as well as the liquidity available in the
transaction.

  Ratings Assigned

  Arroyo Mortgage Trust 2022-1

  Class A-1A, $248,825,000: AAA (sf)
  Class A-1B, $82,942,000: AAA (sf)
  Class A-2, $21,168,000: AA (sf)
  Class A-3, $28,079,000: A (sf)
  Class M-1, $17,928,000: BBB (sf)
  Class B-1, $12,528,000: BB (sf)
  Class B-2, $9,935,000: B (sf)
  Class B-3, $10,584,498: Not rated
  Class A-IO-S, Notional(i): Not rated
  XS, Notional(i): Not rated
  Owner trust certificate, N/A: Not rated

(i)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
N/A--Not applicable.



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

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

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

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

-- $200,638,000ab class A-3 'AAAsf'; Outlook Stable;

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

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

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

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

-- $558,347,000ab class A-4 'AAAsf'; Outlook Stable;

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(c) Notional amount and interest only;

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

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

Since Fitch published its expected ratings on Jan. 18, 2022, the
balances for classes A-4 were finalized. At the time the expected
ratings were published, the initial certificate balances of classes
A-4 and A-5 were expected to be $758,985,000 in the aggregate,
subject to a 5% variance. The final class balances for classes A-4
and A-5 are $200,638,000 and $558,347,000, respectively.

TRANSACTION SUMMARY

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

Fitch reviewed a comprehensive sampled of the transaction's
collateral, including site inspections on 30.5% if the loans by
balance, cash flow analysis of 81.6% of the pool and asset summary
reviews on100% of the pool.

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

KEY RATING DRIVERS

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

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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.


BENCHMARK 2022-B32: Fitch Assigns Final B- Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2022-B32 Mortgage Trust commercial mortgage pass-through
certificates series 2022-B32 as follows:

-- $6,410,000 class A-1 'AAAsf'; Outlook Stable;

-- $162,053,000 class A-2 'AAAsf'; Outlook Stable;

-- $253,574,000 class A-3 'AAAsf'; Outlook Stable;

-- $92,000,000 (a) class A-4 'AAAsf'; Outlook Stable;

-- $383,182,000 (a) class A-5 'AAAsf'; Outlook Stable;

-- $18,046,000 class A-SB 'AAAsf'; Outlook Stable;

-- $1,359,412,000 (b) class X-A 'AAAsf'; Outlook Stable;

-- $151,748,000 (b) class X-B 'A-sf'; Outlook Stable;

-- $179,147,000 class A-S 'AAAsf'; Outlook Stable;

-- $82,197,000 class B 'AA-sf'; Outlook Stable;

-- $69,551,000 class C 'A-sf'; Outlook Stable;

-- $265,000,000 (c) class A-2A1 'AAAsf'; Outlook Stable;

-- $65,336,000 (b, c) class X-D; 'BBB-sf'; Outlook Stable;

-- $37,937,000 (b, c) class X-FG; 'BB-sf'; Outlook Stable;

-- $16,861,000 (b, c) class X-H; 'B-sf'; Outlook Stable;

-- $44,260,000 (c) class D; 'BBBsf'; Outlook Stable;

-- $21,076,000 (c) class E; 'BBB-sf'; Outlook Stable;

-- $18,969,000 (c) class F; 'BB+sf'; Outlook Stable;

-- $18,968,000 (c) class G; 'BB-sf'; Outlook Stable;

-- $16,861,000 (c) class H; 'B-sf'; Outlook Stable.

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

-- $54,798,940 (b, c) class X-NR;

-- $16,861,000 (c) class J;

-- $37,937,940 (c) class K;

-- $37,252,097 (c, d) class RR;

-- $51,489,637 (c, d) RR Interest.

(a) Since Fitch published its expected ratings on Jan. 22, 2022,
the balances for classes A-4 and A-5 were finalized. At the time
the expected ratings were published, the initial certificate
balances of classes A-4 and A-5 were expected to be $475,182,000 in
the aggregate, subject to a 5% variance. The final class balances
for classes A-4 and A-5 are $92,000,000 and $383,182,000,
respectively. The classes above reflect the final ratings and deal
structure;

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

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

(d) Vertical risk retention interest.

The expected ratings are based on information provided by the
issuer as of Feb. 16, 2021.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 47 loans secured by 171
commercial properties having an aggregate principal balance of
$1,774,834,674 as of the cut-off date. The loans were contributed
to the trust by JPMorgan Chase Bank, National Association, Citi
Real Estate Funding Inc., German American Capital Corporation and
Goldman Sachs Mortgage Company. The Master Servicer is expected to
be Midland Loan Services, a Division of PNC Bank, National
Association and the Special Servicer is expected to be KeyBank
National Association.

KEY RATING DRIVERS

Lower Fitch Leverage: The pool's Fitch stressed loan-to-value (LTV)
of 98.9% is better than the 2021 average of 103.3% and
approximately in line with 2020 average of 99.6% for Fitch-rated
U.S. Private Label Multiborrower transactions. Fitch's stressed
debt service coverage ratio (DSCR) of 1.36x is slightly worse than
the 2021 average of 1.38x but better than the 2020 average of
1.32x. The pool's Fitch LTV and DSCR, net of credit opinion loans,
are 1.39x and 105.3%, respectively. This compares favorably with
the 2021 averages of 1.30x and 110.5% as well as the 2020 averages
of 1.24x and 111.3%, respectively.

Concentration of Investment Grade Credit Opinion Loans: Four loans
totaling 17.8% of the pool received investment grade credit
opinions on a stand-alone basis. This is above the 2021 average of
13.34%. Old Chicago Post Office (7.0% of the pool) received a
credit opinion of 'BBB-sf', CX - 350 & 450 Water Street (5.7% of
the pool) received a credit opinion of 'BBB-sf', The Summit (3.7%
of the pool) received a credit opinion of 'BBBsf' and 601 Lexington
(1.4% of the pool) received a credit opinion of 'BBB-sf'.

Low Exposure to Higher Loss Loans: Just 12.1% of the pool had Fitch
loan level expected losses exceeding 5.0% and only one loan had a
loan level expected loss exceeding 6.0%. The largest expected loss
for any single loan is the Moonwater Office Portfolio (3.5% of the
pool), which had a loan level expected loss of 8.4%. The compares
favorably to the majority of 2021 conduit transactions, which
typically have a more bimodal (barbelled) dispersion of expected
losses.

Very Low Amortization: The pool contains 38 loans totaling 88.2% of
the cut-off balance, which are full IO for the entirety of their
respective loan terms. This concentration of full-term IO loans is
much higher than the 2021 average of 70.5% and 2020 average of
67.7%. Additionally, there are four loans totaling 8.2% of the pool
that have a partial interest only period. This results in a very
low scheduled principal paydown of just 1.51% of the pool balance
by maturity, compared with average paydowns of 4.8% for 2021 and
5.3% for 2020.

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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.


BENCHMARK 2022-B33: Fitch Assigns B- Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Benchmark 2022-B33 Mortgage Trust commercial mortgage pass-through
certificates, series 2022-B33, as follows:

-- $2,830,000 class A-1 'AAAsf'; Outlook Stable;

-- $210,203,000 class A-2 'AAAsf'; Outlook Stable;

-- $48,924,000 class A-3-1 'AAAsf'; Outlook Stable;

-- $48,925,000 class A-3-2 'AAAsf'; Outlook Stable;

-- $51,000,000 (a) class A-4 'AAAsf'; Outlook Stable;

-- $351,444,000 (a) class A-5 'AAAsf'; Outlook Stable;

-- $8,707,000 class A-SB 'AAAsf'; Outlook Stable;

-- $836,784,000 (b) class X-A 'AAAsf'; Outlook Stable;

-- $88,965,000 (b) class X-B 'A-sf'; Outlook Stable;

-- $114,751,000 class A-S 'AAAsf'; Outlook Stable;

-- $50,285,000 class B 'AA-sf'; Outlook Stable;

-- $38,680,000 class C 'A-sf'; Outlook Stable;

-- $43,838,000 (b) class X-D; 'BBB-sf'; Outlook Stable;

-- $19,340,000 (b) class X-F; 'BB-sf'; Outlook Stable;

-- $10,315,000 (b) class X-G; 'B-sf'; Outlook Stable;

-- $25,787,000 class D; 'BBBsf'; Outlook Stable;

-- $18,051,000 class E; 'BBB-sf'; Outlook Stable;

-- $19,340,000 class F; 'BB-sf'; Outlook Stable;

-- $10,315,000 class G; 'B-sf'; Outlook Stable.

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

-- $32,233,853 (b) class X-H;

-- $32,233,853 class H;

-- $32,401,022 (c) RR Interest.

-- $21,887,181 (c) RR Certificates

(a) The initial certificate balances of class A-4 and A-5 are not
yet known but are expected to be $402,444,000 in aggregate, subject
to a 5% variance. The certificate balances will be determined based
on the final pricing of those classes of certificates. The expected
class A-4 balance range is $0 to $102,000,000, and the expected
class A-5 balance range is $300,444,000 to $402,444,000. The
balances for classes A-4 and A-5 reflect the midpoint of each
range.

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

(c) Vertical risk retention interest.

The expected ratings are based on information provided by the
issuer as of Feb. 16, 2022.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 44 loans secured by 116
commercial properties having an aggregate principal balance of
$1,085,764,056 as of the cut-off date. The loans were contributed
to the trust by Citi Real Estate Funding Inc., Goldman Sachs
Mortgage Company, JPMorgan Chase Bank, N.A. and German American
Capital Corporation. The Master and Special Servicer is expected to
be Midland Loan Services.

KEY RATING DRIVERS

Lower Fitch Leverage: The pool's Fitch stressed loan-to-value ratio
(LTV) of 100.0% is better than the 2021 average of 103.3% and in
line with the 2020 average of 99.6% for Fitch-rated U.S. private
label multiborrower transactions. Fitch's stressed debt service
coverage ratio (DSCR) of 1.40x is better than the 2021 and 2020
averages of 1.38x and 1.32x, respectively. Excluding credit opinion
loans, the pool's Fitch LTV and DSCR, are 103.0% and 1.41x,
respectively. This compares favorably with the 2021 averages of
110.5% and 1.30x, respectively, and the 2020 averages of 111.3% and
1.24x, respectively.

Investment-Grade Credit Opinion Loans: Two loans, 601 Lexington
(7.4 %) and The Summit (2.1%) received investment grade credit
opinions of 'BBB-sf*'. This total credit opinion percentage of 9.5%
is lower than the 13.3% average in 2021 and 24.5% average in 2020.

Pool Concentration: The pool's 10 largest loans comprise 54.3% of
the pool's cutoff balance, which is a higher concentration than the
2021 average of 51.2% and slightly below the 2020 average of 56.8%.
The Loan Concentration Index (LCI) of 404 is higher than the 2021
average of 381 and is lower than the 2020 average of 440. The
Sponsor Concentration Index (SCI) of 438 is higher than the 2021
average of 407 and is lower than the 2020 average of 474.

Very Low Amortization: Based on the scheduled balances at maturity,
the pool will only pay down by 1.2%, which is below the 2020 and
2021averages of 5.3% and 4.8%, respectively. Thirty-nine loans
(91.0% of the pool) are full interest-only loans, which is above
the 2020 and 2021 averages of 67.7% and 70.5%, respectively. Three
loans (5.5%) are partial interest-only loans, which is below the
2020 and 2021 averages of 20.0% and 16.8%.

RATING SENSITIVITIES

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

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

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

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

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

-- 30% NCF Decline: 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf' /
    'CCCsf' / 'CCCsf'/ 'CCCsf'.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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.


BINOM SECURITIZATION 2022-RPL1: Fitch Rates Class B2 Notes 'B-'
---------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed notes issued by
BINOM Securitization Trust 2022-RPL1 (BINOM 2022-RPL1).

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

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

TRANSACTION SUMMARY

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 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.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis:

162 of the 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. Twenty-six 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.

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.


BLUEMOUNTAIN CLO XXX: Moody's Rates $16MM Class E-R Notes 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CLO refinancing notes issued by BlueMountain CLO XXX Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$3,400,000 Class X-R Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)

US$248,000,000 Class A-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$16,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned Ba3 (sf)

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.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of senior secured loans and
eligible investments, and up to 7.5% of the portfolio may consist
of second lien loans, senior unsecured loans and bonds.

Assured Investment Management LLC (the "Manager") will continue to
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 extended 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 issuance of the Refinancing Notes, the other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: reinstatement and
extension of the reinvestment period; extensions of the stated
maturity and non-call period; changes to certain collateral quality
tests; and changes to the overcollateralization test levels;
changes to the definition of "Adjusted Weighted Average Rating
Factor" and changes to the base matrix and modifiers.

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.

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:

Portfolio par: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2858

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 46.5%

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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 Refinancing Notes.


BNPP IP CLO 2014-1: S&P Lowers Class E Notes Rating to D (sf)
-------------------------------------------------------------
S&P Global Ratings lowered the ratings on U.S. cash flow CLO
transaction BNPP IP CLO 2014-1 Ltd.'s class D and E notes to 'D
(sf)', from 'CCC- (sf)' and 'CC (sf)', respectively. In addition,
S&P discontinued its 'BB+ (sf)' rating on the class C notes.

The rating actions follow its review of the transaction's
redemption, which occurred on Jan. 27, 2022.

According to the notices provided by the trustee, the class D and E
noteholders agreed to receive a lower amount than the redemption
price, which permitted the redemption to proceed. Following this,
the transaction liquidated all collateral obligations from its
portfolio and used the principal proceeds to pay down the rated
notes on Jan. 27, 2022.

Class C was paid down completely and, as a result, S&P discontinued
its rating on these notes. The amount of principal proceeds
received from the liquidation, however, were inadequate to pay in
full the rated balance of the interest due (including deferred) and
principal of both the class D and E notes.

S&P said, "Though the class D and E noteholders agreed to receive a
lower amount, our ratings address the likelihood that securities
receive their timely interest and full principal by their legal
final maturity date. We lowered the ratings of the class D and E
notes to 'D (sf)' as a reflection of these rated balances not being
fully repaid."

  Ratings Lowered

  BNPP IP CLO 2014-1 Ltd.

  Class D: to D (sf) from CCC- (sf)
  Class E: to D (sf) from CC (sf)

  Ratings Discontinued

  BNPP IP CLO 2014-1 Ltd.

  Class C: to NR from 'BB+ (sf)'

  NR—not rated.



BRAVO RESIDENTIAL 2022-RPL1: DBRS Finalizes B(high) on B2 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2022-RPL1 (the Notes) 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.



BWAY COMMERCIAL 2022-26BW: Moody's Gives B3 Rating to Cl. F Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of CMBS securities, issued by BWAY Commercial Mortgage
Trust 2022-26BW, Commercial Mortgage Pass-Through Certificates,
Series 2022-26BW:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa2 (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 B3 (sf)

Cl. X*, Definitive Rating Assigned A3 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single fixed-rate loan
backed by a first-lien mortgage on the borrower's fee simple
interest in 26 Broadway, a 29-story, 839,712 SF, Class A-/B+ office
building located in the Financial District submarket of New York,
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 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 securitization consists of a $222,200,000 portion of a
ten-year, interest-only, first lien mortgage loan with an
outstanding principal balance of $290,000,000.

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

The Moody's first mortgage DSCR is 1.20x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.59x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 160.9% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 139.5% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's quality
grade is 1.25.

Notable strengths of the transaction include: Location and
accessibility, tenant strength, rollover profile, and sponsorship.

Notable concerns of the transaction include: Moody's LTV,
additional debt, full-term interest only loan, and recent softness
in the office submarket.

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.


CANTOR COMMERCIAL 2012-CCRE3: Fitch Affirms C Rating on 2 Certs
---------------------------------------------------------------
Fitch Ratings has downgraded seven classes of Cantor Commercial
Real Estate's COMM 2012-CCRE3 commercial mortgage pass-through
certificates, series 2012-CCRE3. Fitch has also revised the Rating
Outlook on five classes to Stable from Negative.

    DEBT               RATING           PRIOR
    ----               ------           -----
COMM 2012-CCRE3

A-3 12624PAE5    LT AAAsf  Affirmed     AAAsf
A-M 12624PAJ4    LT Asf    Downgrade    AAsf
A-SB 12624PAD7   LT AAAsf  Affirmed     AAAsf
B 12624PAL9      LT BBBsf  Downgrade    Asf
C 12624PAQ8      LT BBsf   Downgrade    BBBsf
D 12624PAS4      LT Bsf    Downgrade    BBsf
E 12624PAU9      LT CCsf   Downgrade    CCCsf
F 12624PAW5      LT Csf    Affirmed     Csf
G 12624PAY1      LT Csf    Affirmed     Csf
PEZ 12624PAN5    LT BBsf   Downgrade    BBBsf
X-A 12624PAF2    LT Asf    Downgrade    AAsf

KEY RATING DRIVERS

Regional Mall Concentration: Despite improving loan performance for
the majority of the pool exposure to regional malls remains a
rating concern. Fitch performed a paydown scenario assuming that
the three non-defeased regional malls are the last remaining assets
in the pool. This scenario, along with further certainty of losses,
contributed to the downgrades and Negative Outlooks. Class A-M
would be the most senior class reliant on these malls; this class
was capped at 'Asf'.

Lowered Loss Expectations; Expected Paydown: Fitch's loss
expectations for the pool have improved since the prior rating
action due to generally stable to improved performance as loans
affected by the pandemic exhibit recovering cashflow. The majority
of the pool (92.3%) matures in 2022 and the remainder of the pool
(7.7%) matures in the first half of 2023. The Stable Outlooks on
classes A-3 and A-SB reflect increasing defeasance as well as
expected paydown from upcoming maturities.

Fitch's current ratings incorporate a base case loss of 11.7%. An
additional stress that factored in potential outsized losses of 50%
on Solano Mall & Crossgates Mall as well as a potential outsized
loss of 100% loss on Emerald Square Mall, drove the Negative
Outlooks. There are 26 remaining non-defeased loans (73.4%); 12
(38.2% of the pool) are Fitch Loans of Concern, including two
specially serviced regional mall loans/assets (17.7%) and two
non-specially serviced regional mall loans (9.6%).

Solano Mall (11.1% of the pool), the largest FLOC, is
collateralized by the inline space of a 1.0 million-sf regional
mall located in Fairfield, CA. The property is anchored by
non-collateral JCPenney, Macy's and a vacant former Sears. The loan
is sponsored by a joint venture between Starwood Capital Group
Global, L.P. and the Westfield Group. The loan is a FLOC due to
declining sales and occupancy. Although inline sales prior to the
pandemic had been steady since issuance, anchor tenant sales
declined. Additionally, occupancy has declined to 77% as of YE
2020, from 94% at YE2019 and 100% at YE2018. The former Sears store
was closed in 2018. Forever 21 (previously 8.1% NRA) moved out
following its December 2019 lease expiration.

The loan transferred to the special servicer in June 2020 after
falling 60 days delinquent, and the workout strategy is listed as
foreclosure. Spinoso is the appointed receiver. The subject is
located in a secondary location, and the primary economic driver
for the area is Travis Airforce Base. The closest competing mall is
located 25 miles away. The Fitch projected base case loss of 25% is
based on a stressed value which implies a cap rate of 9.75%. An
additional sensitivity scenario implies a cap rate of approximately
20%.

The largest contributor to expected losses is the Emerald Square
Mall asset (6.6% of the pool). The asset is an enclosed regional
mall located in North Attleboro, MA and anchored by JCPenney,
Macy's, Macy's Men's and Home Store and Sears. The collateral for
this loan consists of the JCPenney anchor (188,950 sf, 33.5% NRA
through August 2024) and the in-line retail space (375,551 sf).

Occupancy was 82% as of March 2021, down from 85% at YE 2020 and
90% at YE 2019. JCPenney recently exercised a five-year extension
option. Macy's is not on any of the retailer's store closure lists,
but the non-collateral Sears anchor closed in April 2021 according
to media sources. Despite being a non-collateral tenant, the
closing of Sears triggers co-tenancy clauses, further stressing
revenues following a difficult year marked by the pandemic.
According to the September 2020 rent roll, leases representing
19.6% of the NRA were scheduled to roll by YE2021 and 4.5% in 2022.
Prior to the onset of the pandemic, inline sales were $325 psf as
of YE2019, down from $331 psf the year prior.

The loan, which is sponsored by Simon Property Group, transferred
to the special servicer in June 2020 for payment default and the
special servicer is evaluating all enforcement and disposition
options. JLL is the appointed receiver. The Fitch projected base
case loss is based on a haircut to the most recent appraisal to
reflect upcoming rollover and potential for an extended disposition
timeline.

Improved Credit Enhancement: Credit enhancement has improved since
Fitch's last rating action due to continued scheduled amortization
and increased defeasance. As of January 2022, the pool's aggregate
principal balance has been reduced by 24.3% to $947.7 million from
$1.251 billion at issuance. There have been no realized losses to
date. Fourteen loans (26.6% of the pool) are defeased, including
two loans (9.6%) which have defeased since the last rating action.

RATING SENSITIVITIES

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

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

-- Downgrades to the classes rated 'AAAsf' are not expected as
    credit enhancement remains high and the classes are expected
    to payoff as loans reach maturity. Downgrades to classes A-M
    and B are not expected unless the mall loans significantly
    deteriorate. Downgrades to classes C, D, and PEZ are possible
    should FLOCs fail to stabilize and performance continues to
    decline, including if the regional mall values decline
    further. Downgrades to the distressed classes are expected as
    losses are realized.

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

-- Upgrades are not currently expected given the pool's exposure
    to regional malls and the outlook for retail performance.
    Factors that lead to upgrades would include significantly
    improved performance coupled with pay down and/or defeasance.

-- An upgrade to class A-M is not possible as the rating is
    capped due to the regional mall exposure. Classes B, C, D, and
    PEZ should only be upgraded should one or more of the regional
    malls dispose at greater than expected recoveries. Upgrades to
    the distressed classes are not likely.

BEST/WORST CASE RATING SCENARIO

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

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.


CARLYLE US 2019-4: Moody's Rates of $22MM Class D-R Notes 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Carlyle US CLO 2019-4, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$3,000,000 Class X Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)

US$341,000,000 Class A-1-1-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$11,000,000 Class A-1-2-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$66,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)

US$33,000,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)

US$33,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)

US$22,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Ba3 (sf)

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.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of
second-lien loans, unsecured loans and permitted non-loan assets.

Carlyle CLO Management L.L.C. (the "Manager") will continue to
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 issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels; the modification of Libor replacement provisions; additions
to the CLO's ability to hold workout and restructured assets;
changes to the definition of "Adjusted Weighted Average Moody's
Rating Factor" and changes to the base matrix and modifiers.

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.

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:

Portfolio par: $550,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2842

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.00%

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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 Refinancing Notes.


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

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

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

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

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

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

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

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

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

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single loan backed by a
first lien mortgage on the borrower's fee simple interest in two,
Class-A medical office buildings (8631 and 8635 West 3rd Street),
totaling 330,892 SF, located in the West Hollywood submarket of Los
Angeles, CA (the "collateral"). Moody's ratings are based on the
credit quality of the loan and the strength of the securitization
structure.

8631 and 8635 West 3rd Street are two 11-story medical office
buildings developed upon a single 3.75-acre parcel in Los Angeles,
CA. The two structures were built in 1979 and were most recently
renovated between 2016 to 2020 for $19.2 million ($58 PSF). The
scope of the work consisted of lobby and common area renovations,
elevator modernization, parking garage renovations, and pedestrian
bridge modernization. The properties feature several amenities
including building concierge, on-site banking (Wells Fargo), a
sit-down deli, multiple pharmacies within walking distance, a
coffee bar, cleaners and a car wash/detail service. Collateral for
the loan also includes two parking structures with a total of 1,602
spaces (4.8 spaces/1,000 SF of NRA).

The medical office buildings are part of the larger Cedars-Sinai
campus. Cedars-Sinai Medical Center is an 886-bed multi-specialty
hospital ranked by U.S. News & World Report as the #6 hospital in
the United States, and the #2 hospital in California for 2021-2022.
Cedars-Sinai Medical Center is one of the largest non-profit
academic medical centers in the United States. The Cedars-Sinai
Medical Center sits directly north of the subject site and is
connected to the two medical buildings via bridge. As a cohesive
extension of the hospital, each medical tower also features a
helicopter landing pad for emergency use only.

The property is currently 89.4% occupied by approximately 68
primarily medical office tenants. Tenancy is anchored by the
Cedars-Sinai Medical Center tenant and Cedars-Sinai Medical Care
Foundation tenant (together "Cedars-Sinai"; Aa3, seniormost revenue
backed, 45.0% NRA, 50.3% base rent). Cedars-Sinai is the largest
tenant in the office complex occupying 149,063 SF of NRA. Aside
from anchor tenant Cedars-Sinai, no tenant accounts for more than
3.1% of NRA or base rent. Leases representing 40.7% of NRA (45.7%
of base rent) roll over the 5-year loan term.

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 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 3.21x 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 125.9% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 109.2% 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 property's
weighted average property quality grade is 0.50.

Notable strengths of the transaction include: property quality,
location, investment grade tenancy, stable occupancy history,
capital investment, and rollover profile.

Notable concerns of the transaction include: high leverage,
full-term interest-only loan profile, tenant concentration,
property age and credit negative legal considerations.

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.


CFCRE COMMERCIAL 2011-C2: Moody's Cuts Rating on Cl. F Certs to C
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the ratings on three classes in CFCRE Commercial
Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through
Certificates Series 2011-C2, as follows:

Cl. C, Affirmed Aa2 (sf); previously on Oct 26, 2021 Affirmed Aa2
(sf)

Cl. D, Downgraded to Ba3 (sf); previously on Oct 26, 2021
Downgraded to Ba1 (sf)

Cl. E, Downgraded to Caa2 (sf); previously on Oct 26, 2021
Downgraded to B3 (sf)

Cl. F, Downgraded to C (sf); previously on Oct 26, 2021 Downgraded
to Caa3 (sf)

Cl. G, Affirmed C (sf); previously on Oct 26, 2021 Downgraded to C
(sf)

Cl. X-B*, Affirmed Ca (sf); previously on Oct 26, 2021 Downgraded
to Ca (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The rating on one P&I class was affirmed because of its credit
support and the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) are within acceptable ranges.

The ratings on three P&I classes were downgraded due to increased
risk of losses and interest shortfalls driven primarily by the
significant exposure to the RiverTown Crossings Mall (90% of the
pool). The loan is in special servicing and has passed its original
maturity date in June 2020. While the asset maintains a positive
NOI DSCR, the rating action reflects the increased risk of interest
shortfalls and potential losses if the loan continues to be
delinquent on debt service payments.

The rating on one P&I class was affirmed because it is consistent
with Moody's expected loss plus realized losses.

The rating on the IO class X-B was affirmed based on the credit
quality of its referenced classes. The IO Class references all P&I
classes including Class NR, which is not rated by Moody's.

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 51.4% of the
current pooled balance, compared to 40.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.4% of the
original pooled balance, compared to 5.0% 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, 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 in November 2021.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 90% of 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 loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.

DEAL PERFORMANCE

As of the January 18, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $92.6 million
from $774.1 million at securitization. The certificates are
collateralized by two mortgage loans representing 10% and 90% of
the pool, respectively.

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 one, the same as at Moody's last review.

As of the January 2022 remittance report, loans representing 100%
of the pool were past their maturity dates.

One loan, constituting 10% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.

One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $2 million (for an average loss severity
of 29%). One loan is currently in special servicing. The specially
serviced loan is the RiverTown Crossings Mall Loan ($83.6 million
-- 90.3% of the pool), which represents a pari-passu portion of a
$129.7 million mortgage loan. The loan is secured by an
approximately 635,800 square feet (SF) portion of a 1.2 million SF
regional mall located in Grandville, Michigan. The property was
built in 2000 and is anchored by Macy's, Kohl's, J.C. Penney,
Dick's Sporting Goods and Celebration Cinemas. The sponsor
purchased a vacant, former non-collateral Younkers (closed 2018)
anchor box (150,081 SF) in 2019 for $4.4 million. There was also a
former non-collateral Sears which closed in January 2021. The only
collateral anchors are Dick's Sporting Goods and Celebration
Cinemas, and both tenants have renewed their leases in early 2020
for an additional five years. As of September 2021, the collateral
and inline occupancy were 80% and 79%, respectively, compared to an
in-line occupancy of 86% in June 2021 and 88% in March 2020. As of
year-end 2020, comparable in-line sales (less than 10,000 SF) were
$309 PSF, compared to $382 PSF for the year ending December 2019.
While property performance generally improved through 2016, it has
since declined primarily due to lower rental revenues. The year-end
2019 NOI was 12% lower than in 2018 but remained 3% higher than
underwritten levels. The mall re-opened in June 2020 after a
temporary closure as a result of the coronavirus outbreak. The loan
transferred to special servicing in October 2020 due to imminent
monetary default and failed to pay off at its maturity date in June
2021. Cash management is in place and the borrower and special
servicer are discussing a potential loan modification or
deed-in-lieu of foreclosure. The loan has amortized 16% since
securitization and is last paid through its November 2021 payment
date.

The remaining non-specially serviced loan represents 10% of the
pool balance. The loan is the Fairfax Ridge Loan ($9.0 million --
9.7% of the pool), which is secured by four-story, Class B+, 66,812
SF office building, located in Fairfax, Virginia, approximately 15
miles from downtown Washington, D.C. The property was 100% leased
to two tenants as of September 2021. The borrower was not able to
payoff the loan at maturity and requested a short term extension.


CIM TRUST 2022-R1: Fitch Gives 'B(EXP)' Rating to Class B2 Debt
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings to CIM Trust 2022-R1
(CIM 2022-R1).

DEBT                RATING
----                ------
CIM 2022-R1

A1       LT AAA(EXP)sf  Expected Rating
A1-A     LT AAA(EXP)sf  Expected Rating
A1-B     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
A-IO-S   LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed notes to be
issued by CIM Trust 2022-R1 (CIM 2022-R1) as indicated above. The
transaction is expected to close on Feb. 25, 2022. The notes are
supported by one collateral group that consists of 1,803 seasoned
performing loans (SPLs) and re-performing loans (RPLs) with a total
balance of approximately $328.2 million, which includes $20.5
million, or 6.3% of the aggregate pool balance, in
non-interest-bearing deferred principal amounts as of the cutoff
date.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The 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 10.6% 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.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, seasoned performing and RPLs.
Of the pool, 4.1% of loans were 30 days delinquent as of the cutoff
date and 34.9% are current but have had recent delinquencies or
incomplete pay strings. Approximately 54.3% of the loans have been
paying on time for at least the most recent 24 months. Roughly
61.2% have been modified.

Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original CLTV of 76.2%. All loans received an updated
broker price opinion (BPO) valuation, which translates to a WA
sustainable LTV (sLTV) of 56.4% at the base case. This reflects low
leverage borrowers and is stronger than recently rated RPL
transactions.

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

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

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 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 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.

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 review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for RPL
collateral and also included a property valuation review in
addition to the regulatory compliance and pay history review. All
loans also received an updated tax and title search and review of
servicing comments.

Fitch considered this information in its analysis and, as a result,
made the following adjustments to its analysis: increased the loss
severity due to HUD-1 issues, increased liquidation timelines for
loans missing modification agreements, and increased the loss
severity due to outstanding delinquent property taxes or liens.
These adjustments resulted in an increase in the 'AAAsf' expected
loss of approximately 0.25%.

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.


COLONY MULTIFAMILY 2014-1: Moody's Affirms Caa1 on Class X Certs
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the rating on one class in Colony Multifamily Mortgage
Trust 2014-1, Commercial Pass-Through Certificates, Series 2014-1
as follows:

Cl. E, Upgraded to Aa2 (sf); previously on Feb 10, 2021 Upgraded to
A1 (sf)

Cl. F, Upgraded to Baa3 (sf); previously on Feb 10, 2021 Upgraded
to Ba1 (sf)

Cl. X*, Affirmed Caa1 (sf); previously on Feb 10, 2021 Downgraded
to Caa1 (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The ratings on the two P&I classes were upgraded primarily due to
an increase in credit support resulting from loan paydowns and
amortization. The pool has paid down 20% since Moody's last review
and 86% since securitization. In addition, the entire pool is
secured by either multifamily or manufactured housing properties
and the remaining loans have amortized 21% since securitization.

The rating on the IO Class, Cl. X, was affirmed due to the credit
quality of its referced classes. The IO Class references all P&I
classes including Class G, which is not rated by Moody's.

Moody's rating action reflects a base expected loss of 6.4% of the
current pooled balance, compared to 9.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.8% of the
original pooled balance, compared to 3.5% 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 principal methodology used in rating all classes except
interest-only classes was "US and Canadian Conduit/Fusion
Commercial Mortgage-Backed Securitizations Methodology" published
in November 2021.

DEAL PERFORMANCE

As of the January 21, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $44.7 million
from $315.9 million at securitization. The certificates are
collateralized by sixty-seven mortgage loans ranging in size from
less than 1% to 4% of the pool, with the top ten loans (excluding
defeasance) constituting 34% of the pool.

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 46, down from a Herf of 54 at Moody's last
review.

Thirty-six loans, constituting 55% of the pool, are on the master
servicer's watchlist. 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.

Forteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $6.1 million (for an average loss
severity of 40%).

One loan, the Quiet Harbor Estates Loan ($0.9 million -- 1.9% of
the pool), is currently in special servicing. The loan is secured
by a 70 unit multi family property located in Creston, IA. The
property was 69% occupied as of year-end 2015 and the borrower has
not provided more recent financial statements. The loan transferred
to special servicing in February 2021 and is more than 90 days
delinquent. The loan has amortized 15% since securitization, but as
of the January 2022 remittance statement the loan was last paid
through its March 2021

Moody's has also assumed a high default probability for three
poorly performing loans, constituting 3.5% of the pool). The loans
have failed to report financials and had previously exhibited
declines in performance. Moody's has estimated an aggregate loss of
$0.9 million (a 37% expected loss on average) from these troubled
and specially serviced 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 50% of the
pool, and partial year 2021 operating results for 40% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 92%, compared to 96% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 32% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.4%.

Moody's actual and stressed conduit DSCRs are 1.38X and 1.38X,
respectively, compared to 1.37X and 1.35X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 13% of the pool balance. The
largest loan is the Park Villa Apartments Loan ($1.9 million --
4.3% of the pool), which is secured by 96-unit, Class B,
garden-style multifamily property located in San Bernardino, CA.
The loan is on the servicer's watchlist and being monitored for
failure to submit financials since 2019. The property last reported
94% occupancy as of year-end 2019. The loan has amortized 24% since
securitization and had an NOI DSCR of over 3.00X in 2019. The loan
is fully amortizing and matures in June 2035. Moody's LTV and
stressed DSCR are 53% and 2.37X, respectively.

The second largest loan is the 1533 Boston Avenue Loan ($1.9
million -- 4.3% of the pool), which is secured by 55-unit, Class B,
garden-style multifamily property located in Bridgeport, CT. The
property was 98% occupied as of June 2021 compared to 100% as of
year-end 2019 and 96% at securitization. The property's performance
has improved since securitization due to higher revenues and as of
June 2021 the NOI DSCR was 2.51X. The loan is fully amortizing, has
amortized 21% since securitization and matures in May 2037. The
loan is full recourse to the borrower and Moody's LTV and stressed
DSCR are 70% and 1.42X, respectively.

The third largest loan is the Laramie Apartments Loan ($1.9 million
-- 4.2% of the pool), which is secured by 48-unit, Class B,
garden-style multifamily property located in Laramie, WY. The
property has been 100% occupied since securitization with stable
performance and had a NOI DSCR of 1.32X as of September 2021. The
loan is fully amortizing, has amortized 19% since securitization
and matures in July 2037. Moody's LTV and stressed DSCR are 81% and
1.33X, respectively.


COLT 2022-2: Fitch Gives 'B(EXP)' Rating to Class B2 Certs
----------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2022-2 Mortgage Loan Trust (COLT
2022-2).

DEBT             RATING
----             ------
COLT 2022-2

A1     LT AAA(EXP)sf  Expected Rating
A2     LT AA(EXP)sf   Expected Rating
A3     LT A(EXP)sf    Expected Rating
M1     LT BBB(EXP)sf  Expected Rating
B1     LT BB(EXP)sf   Expected Rating
B2     LT B(EXP)sf    Expected Rating
B3A    LT NR(EXP)sf   Expected Rating
B3B    LT NR(EXP)sf   Expected Rating
AIOS   LT NR(EXP)sf   Expected Rating
X      LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 590 loans with a total balance of
approximately $411 million as of the cutoff date. Loans in the pool
were originated by multiple originators and aggregated by Hudson
Americas L.P. All loans are currently, or will be, serviced by
Select Portfolio Servicing, Inc. (SPS).

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 10.1% 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.

Non-QM Credit Quality (Negative): The collateral consists of 590
loans, totaling $411 million, and seasoned approximately five
months in aggregate (as calculated as the difference between
origination date and cutoff date). Borrowers have a moderate credit
profile (739 model FICO and 42% model debt to income ratio [DTI])
and leverage (79% sustainable loan to value ratio [sLTV] and 71%
combined LTV [cLTV]). The pool consists of 55.7% of loans where the
borrower maintains a primary residence, while 44.3% comprise an
investor property or second home. Additionally, 60.9% are
non-qualified mortgage (non-QM) and less than 1% are qualified
mortgage; for the remainder, the QM rule does not apply.

Loan Documentation (Negative): Approximately 89.4% of the pool were
underwritten to less than full documentation, and 52% were
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
Consumer Financial Protections Bureau's (CFPB) Ability to Repay
(ATR) Rule (ATR Rule, or the Rule), which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ATR.

Additionally, 33% are a debt service coverage ratio (DSCR) product
which is available to real estate investors that are qualified on a
cash flow or "no-ratio" basis, rather than DTI, and borrower income
and employment are not verified. For DSCR loans, Fitch converts the
DSCR values to a DTI and treats as low documentation.

Fitch's treatment of alternative loan documentation increased the
'AAAsf' expected loss by 594bps relative to a fully documented loan
in line with Appendix Q. This is mostly driven by the higher
percentage of DSCR loans.

Geographic Concentration (Negative): The collateral is heavily
geographically concentrated. Approximately 58.1% of the loans in
the pool are concentrated in California. The largest MSA
concentration is in the Los Angeles MSA (34.1%), followed by the
San Diego MSA (7.2%). As a result of the geographic concentration,
Fitch increased its loss expectations by 125bps at the 'AAAsf'
rating stress.

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

Advances of delinquent principal and interest (P&I) will be made on
the mortgage loans for the first 180 days of delinquency, to the
extent such advances are deemed recoverable. If the P&I advancing
party fails to make a required advance, the master servicer, then
securities administrator will be obligated to make such advance.

The limited advancing reduces loss severities, as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. The downside to this is the additional stress
on the structure, as there is limited liquidity in the event of
large and extended delinquencies.

New for COLT 2022-2 is a step-up coupon for class A-1. Beginning
March 2026, the A-1 class is contractually due the lower of the
fixed rate for the class plus 1.0% or the net weighted average
coupon (WAC) rate. This increases the P&I allocation for the A-1
class, and decreases the amount of excess spread available in the
transaction.

Excess Cash Flow (Positive): Although lower than prior transactions
due to the higher bond coupons, the transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated certificates before being paid out to class X certificates.

The excess is available to pay timely interest and protect against
realized losses. To the extent the collateral weighted average
coupon (WAC) and corresponding excess are reduced through a rate
modification, Fitch would view the impact as credit-neutral, as the
modification would reduce the borrower's probability of default,
resulting in a lower loss expectation.

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

Fitch viewed the WAC deterioration as more of a pre-emptive cut
given the ongoing macroeconomic and regulatory environment. A
portion of borrowers will likely be impaired but will not
ultimately default due to modifications and reduced P&I.
Furthermore, this approach had the largest impact on the
back-loaded benchmark scenario.

RATING SENSITIVITIES

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

-- Fitch's incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper market value declines
    (MVDs) than assumed at the metropolitan statistical area (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 41.6% 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's incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper market value declines
    (MVDs) than assumed at the metropolitan statistical area (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 positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth of
    10% with no assumed overvaluation. Excluding the senior class,
    which is already rated 'AAAsf', the analysis indicates there
    is potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's data layout format.

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.


CROWN CITY II: S&P Assigns Prelim BB- (sf) Rating on Cl. D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1A-R, A-1B-R, A-2-R, B-R, C-R, and D-R replacement notes from
Crown City CLO II/Crown City CLO II LLC, a CLO originally issued in
December 2020 that is managed by Western Asset Management Company
LLC.

The preliminary ratings are based on information as of Feb. 10,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

S&P said, "On the Feb. 15, 2022, refinancing date, the proceeds
from the replacement notes will be used to redeem the original
notes. At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm 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-1A-R, A-1B-R, A-2-R, B-R, C-R, and D-R
notes are expected to be issued at a lower spread than the original
notes.

-- The replacement class A-1A-R, A-1B-R, A-2-R, B-R, C-R, and D-R
notes are expected to be issued at a floating spread, replacing the
current fixed coupon and floating spread.

-- The stated maturity/reinvestment period will be extended by
five years, and the non-call period will be extended by two years.

-- All of the identified underlying collateral obligations have
credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 93.63%
have recovery ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1A-R, $213.50 million: Three-month SOFR + 1.34%
  Class A-1B-R, $7.00 million: Three-month SOFR + 1.60%
  Class A-2-R, $45.50 million: Three-month SOFR + 1.87%
  Class B-R (deferrable), $21.00 million: Three-month SOFR + 2.15%
  Class C-R (deferrable), $21.00 million: Three-month SOFR + 3.35%
  Class D-R (deferrable), $14.00 million: Three-month SOFR + 7.11%
  Subordinated notes, $35.00 million: Not rated

  Original notes

  Class X, $2.00 million: Three-month LIBOR + 0.75%
  Class A-1a, $210.00 million: Three-month LIBOR + 1.38%
  Class A-1b, $17.50 million: Three-month LIBOR + 1.60%
  Class A-2, $38.50 million: Three-month LIBOR + 1.75%
  Class B-1 (deferrable), $10.00 million: Three-month LIBOR +
2.50%
  Class B-2 (deferrable), $11.00 million: 3.177%
  Class C (deferrable), $21.00 million: Three-month LIBOR + 3.82%
  Class D (deferrable), $10.50 million: Three-month LIBOR + 7.17%
  Subordinated notes, $34.55 million: Not rated

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
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.

"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

  Crown City CLO II/Crown City CLO II LLC

  Class A-1A-R, $213.5 million: AAA (sf)
  Class A-1B-R, $7.0 million: AAA (sf)
  Class A-2-R, $45.5 million: AA (sf)
  Class B-R, $21.0 million: A (sf)
  Class C-R (deferrable), $21.0 million: BBB- (sf)
  Class D-R (deferrable), $14.0 million: BB- (sf)
  Subordinated notes, $35.0 million: Not rated



DRYDEN 80: S&P Assigns BB- (sf) Rating on $8MM Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned ratings to the replacement class X-R,
A-R, B-R, C-R, D-R, and E-R notes from Dryden 80 CLO Ltd./Dryden 80
CLO LLC, a CLO originally issued in 2019 that is managed by PGIM
Inc. At the same time, S&P withdrew its ratings on the original
class X, A-1, A-2, B, C, D-1, D-2, and E notes following payment in
full on the Feb. 16, 2022, refinancing date.

The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:

-- All replacement classes were issued with lower spreads (based
on three-month secured overnight financing rate [SOFR]) than the
original floating-rate classes, which were based on three-month
LIBOR.

-- The floating-rate class A-1 and fixed-rate class A-2 pro rata
tranches were combined into the single floating-rate class A-R
notes following the refinancing.

-- The floating-rate class D-1 and D-2 sequential tranches were
combined into the single floating-rate class D-R notes.

-- The non-call period was extended by one year, while the legal
final maturity, reinvestment period end date, and weighted average
life test remained unchanged.

-- LIBOR replacement language was added.

  Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $1.00 million: Three-month SOFR + 0.85%
  Class A-R, $260.00 million: Three-month SOFR + 1.25%
  Class B-R, $44.00 million: Three-month SOFR + 1.75%
  Class C-R, $24.00 million: Three-month SOFR + 2.15%
  Class D-R, $28.00 million: Three-month SOFR + 3.10%
  Class E-R, $8.00 million: Three-month SOFR + 6.40%

  Original notes

  Class X, $1.50 million: Three-month LIBOR + 0.90%
  Class A-1, $246.25 million: Three-month LIBOR + 1.33%
  Class A-2, $13.75 million: 2.88%
  Class B, $44.00 million: Three-month LIBOR + 1.90%
  Class C, $24.00 million: Three-month LIBOR + 2.50%
  Class D-1, $20.00 million: Three-month LIBOR + 4.10%
  Class D-2, $8.00 million: Three-month LIBOR + 5.50%
  Class E, $8.00 million: Three-month LIBOR + 8.50%

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 will take rating actions as we deem
necessary."

  Ratings Assigned

  Dryden 80 CLO Ltd./Dryden 80 CLO LLC

  Class X-R, $1.00 million: AAA (sf)
  Class A-R, $260.00 million: AAA (sf)
  Class B-R, $44.00 million: AA (sf)
  Class C-R, $24.00 million: A (sf)
  Class D-R, $28.00 million: BBB- (sf)
  Class E-R, $8.00 million: BB- (sf)
  Subordinated notes, $44.90 million: NR

  Ratings Withdrawn

  Dryden 80 CLO Ltd./Dryden 80 CLO LLC

  Class X: to NR from 'AAA (sf)'
  Class A-1: to NR from 'AAA (sf)'
  Class A-2: to NR from 'AAA (sf)'
  Class B: to NR from 'AA (sf)'
  Class C: to NR from 'A (sf)'
  Class D-1: to NR from 'BBB- (sf)'
  Class D-2: to NR from 'BBB- (sf)'
  Class E: to NR from 'BB- (sf)'

  NR--Not rated.



EXETER 2022-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables 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. 10,
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 58.34%, 50.42%, 41.39%,
32.15%, and 26.78% credit support for the class A (classes A-1,
A-2, and A-3), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios (including excess spread). This credit
support provides coverage of approximately 3.05x, 2.60x, 2.10x,
1.60x, and 1.30x S&P's 18.50%-19.50% expected cumulative net loss
range. These break-even scenarios withstand cumulative gross losses
of approximately 89.75%, 77.57%, 66.23%, 51.44%, and 42.84%,
respectively.

-- S&P's expectation for timely interest and principal payments on
the notes, based on stressed cash flow modeling scenarios, which,
in its view, are appropriate for the assigned preliminary ratings.

-- S&P's expectation that under a moderate ('BBB') stress scenario
(1.60x its expected loss level), all else being equal, its
preliminary ratings will be within the credit stability limits
specified by section A.4 of the Appendix in "S&P Global Ratings
Definitions," published Nov. 9, 2021.

-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.

-- The transaction's payment, credit enhancement, and legal
structures.

  Preliminary Ratings Assigned

  Exeter Automobile Receivables Trust 2022-1

  Class A-1, $98.00 million ($133.30 million if upsized): A-1+
(sf)
  Class A-2, $202.32 million ($275.19 million if upsized): AAA
(sf)
  Class A-3, $110.29 million ($150.01 million if upsized): AAA
(sf)
  Class B, $127.29 million ($173.14 million if upsized): AA (sf)
  Class C, $117.69 million ($160.08 million if upsized): A (sf)
  Class D, $114.21 million ($155.34 million if upsized): BBB (sf)
  Class E, $80.20 million ($109.08 million if upsized): BB (sf)


FREDDIE MAC 2022-DNA2: S&P Assigns 'B+' Rating on Cl. B-1 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its 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 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 our 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.

  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; does not not have corresponding notes.
Freddie Mac retains the risk of these tranches.
NR--Not rated.



GCAT TRUST 2022-HX1: Fitch Assigns Final B- Rating on B-2A Certs
----------------------------------------------------------------
Fitch Ratings assigns final ratings to the residential
mortgage-backed certificates to be issued by GCAT 2022-HX1 Trust
(GCAT 2022-HX1).

DEBT         RATING              PRIOR
----         ------              -----
GCAT 2022-HX1

A-1     LT AAAsf  New Rating    AAA(EXP)sf
A-1X    LT AAAsf  New Rating    AAA(EXP)sf
A-2     LT AAsf   New Rating    AA(EXP)sf
A-3     LT Asf    New Rating    A(EXP)sf
M-1     LT BBBsf  New Rating    BBB(EXP)sf
B-1     LT BBsf   New Rating    BB(EXP)sf
B-2A    LT B-sf   New Rating    B-(EXP)sf
B-2B    LT NRsf   New Rating    NR(EXP)sf
B-3A    LT NRsf   New Rating    NR(EXP)sf
B-3B    LT NRsf   New Rating    NR(EXP)sf
A-IOS   LT NRsf   New Rating    NR(EXP)sf
X       LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 612 loans with a total balance of
approximately $295 million as of the cutoff date. In the pool, 100%
of the residential loans were originated by HomeXpress Mortgage
Corp. (HomeXpress) and aggregated by Blue River Mortgage III LLC
(BRM). BRM is wholly owned by AG Mortgage Investment Trust. All
loans are currently or will be serviced by NewRez LLC, d/b/a
Shellpoint Mortgage Servicing (SMS). Since the publication of
Fitch's presale, the issuer increased the size of the bond credit
enhancement's to take into account higher than expected bond
coupons. There was no impact on the previously published expected
ratings.

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 10.6% above a long-term sustainable level (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
18.8% yoy nationally as of November 2021.

Non-QM Credit Quality (Mixed): The collateral consists of 612
loans, totaling $295 million and seasoned approximately three
months in aggregate. The borrowers have a strong credit profile
—729 model FICO, a 41.4% debt-to-income (DTI) ratio, which
includes mapping for debt service coverage ratio (DSCR) loans, and
moderate leverage — and a 77.9% sustainable loan-to-value ratio
(sLTV). The pool consists of 58.8% of loans treated as
owner-occupied, while 41.8% were treated as an investor property
(39.5%) or second home (1.7%). Additionally, 60.5% are
non-qualified mortgage (non-QM), and the Ability to Repay (ATR)
Rule does not apply for the remainder.

Loan Documentation (Negative): Approximately 91.2% of the pool was
underwritten to less than full documentation, and 51.5% was
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
CFPB's ATR Rule, which reduces the risk of borrower default arising
from lack of affordability, misrepresentation or other operational
quality risks due to rigor of the Rule's mandates with respect to
the underwriting and documentation of a borrower's ability to
repay.

Additionally, 38.5% comprises a DSCR or no ratio product, 0.6% is
an asset depletion product and the remaining is a mixture of other
alternative documentation products. Separately, close to 2.1% of
the loans were originated to foreign nationals or are unknown.

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

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

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

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

RATING SENSITIVITIES

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.

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

-- Fitch's incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper MVDs than assumed at 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 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 also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's data layout format.

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.


GOLDENTREE LOAN 6: S&P Assigns Prelim B- (sf) Rating on F-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-R, B-R, C-R, D-R, E-R, and F-R replacement notes from
GoldenTree Loan Management US CLO 6 Ltd./GoldenTree Loan Management
US CLO 6 LLC, a CLO originally issued in December 2019 that is
managed by GoldenTree Loan Management L.P., an affiliate of
GoldenTree Asset Management.

The preliminary ratings are based on information as of Feb. 15,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Feb. 24, 2022, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. At
that time, S&P expects to withdraw our ratings on the original
notes and assign ratings to the replacement notes. However, if the
refinancing doesn't occur, S&P may affirm its ratings on the
original notes and withdraw its 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 non-call period will be extended by approximately two
years;

-- The reinvestment period will be by extended approximately 2.25
years;

-- The stated maturity date (for the replacement notes and the
existing subordinated notes) will be extended by approximately 2.25
years;

-- The required minimum overcollateralization and interest
coverage ratios will be amended;

-- No additional subordinated notes will be issued on the
refinancing date; and

-- The transaction has adopted benchmark replacement language and
made updates to conform to current rating agency methodology.

  Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $2.75 million: Three-month SOFR + 0.60%
  Class A-R, $352.00 million: Three-month SOFR + 1.32%
  Class B-R, $66.00 million: Three-month SOFR + 1.80%
  Class C-R, $33.00 million: Three-month SOFR + 2.10%
  Class D-R, $33.00 million: Three-month SOFR + 3.10%
  Class E-R, $22.00 million: Three-month SOFR + 6.70%
  Class F-R, $11.00 million: Three-month SOFR + 8.44%
  Subordinated notes, $32.85 million: Residual

  Original notes

  Class X, $3.70 million: Three-month LIBOR + 0.60%
  Class A, $352.00 million: Three-month LIBOR + 1.34%
  Class B-1, $52.25 million: Three-month LIBOR + 1.90%
  Class B-2, $13.75 million: 3.38%
  Class C (deferrable), $33.00 million: Three-month LIBOR + 2.60%
  Class D (deferrable), $30.25 million: Three-month LIBOR + 3.85%
  Class E (deferrable), $26.00 million: Three-month LIBOR + 5.22%
  Class F (deferrable), $9.75 million: Three-month LIBOR + 7.55%
  Subordinated notes, $32.85 million: Residual

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

  GoldenTree Loan Management US CLO 6 Ltd./
  GoldenTree Loan Management US CLO 6 LLC

  Class X-R, $2.75 million: AAA (sf)
  Class A-R, $352.00 million: AAA (sf)
  Class B-R, $66.00 million: AA (sf)
  Class C-R, $33.00 million: A+ (sf)
  Class D-R, $33.00 million: BBB (sf)
  Class E-R, $22.00 million: BB- (sf)
  Class F-R, $11.00 million: B- (sf)
  Subordinated notes, $32.85 million: Not rated



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

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

A    LT Asf    New Rating    A(EXP)sf
B    LT BBBsf  New Rating    BBB(EXP)sf
C    LT BBsf   New Rating    BB(EXP)sf
R    LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

LIMITED PERFORMANCE HISTORY DETERMINES 'Asf' CAP

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

EXTRAPOLATED ASSET ASSUMPTIONS

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

TRIGGER BREACH MATERIAL TO CASH FLOW ANALYSIS

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

STANDARD, REPUTABLE COUNTERPARTIES; NO SWAP

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

ESTABLISHED LENDER, BUT NEW ASSETS

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

RATING SENSITIVITIES

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

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

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

Increase of defaults (Class A / B / C):

-- +10%: 'A-sf' / 'BB+sf' / 'BB-sf'
-- +25%: 'BBB+sf' / 'BB+sf' / 'B+sf'
-- +50%: 'BBB-sf' / 'BB-sf' / 'B-sf'

Decrease of recoveries (Class A / B / C):

-- -10%: 'A-sf' / 'BBB-sf' / 'BB-sf'
-- -25%: 'A-sf' / 'BBB-sf' / 'BB-sf'
-- -50%: 'BBB+sf' / 'BB+sf' / 'B+sf'

Increase of defaults/decrease of recoveries (Class A / B / C):

-- +10% / -10%: 'BBB+sf' / 'BB+sf' / 'B+sf'
-- +25% / -25%: 'BBBsf' / 'BBsf' / 'Bsf'
-- +50% / -50%: 'BB+sf' / 'B+sf' / 'CCCsf'

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

-- Fitch currently caps ratings in the 'Asf' category due to
    limited data history. As a result, a positive rating action
    would follow a substantially greater amount of performance
    data, for example with regard to the levels of default after
    the time at which the investment tax credit related to the
    solar system should be applied to voluntarily prepay the loan,
    more data on recoveries, and the performance of IO loans and
    non-solar loans.

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

Decrease of defaults (Class A / B / C):

-- -10%: 'Asf' / 'BBBsf' / 'BBsf'
-- -25%: 'A+sf' / 'BBB+sf' / 'BBB-sf'
-- -50%: 'A+sf' / 'A+sf' / 'BBB+sf'

Increase of recoveries (Class A / B / C):

-- +10%: 'Asf' / 'BBBsf' / 'BBsf'
-- +25%: 'Asf' / 'BBBsf' / 'BBsf'
-- +50%: 'Asf' / 'BBBsf' / 'BB+sf'

Decrease of defaults/increase of recoveries (Class A / B / C):

-- -10% / +10%: 'Asf' / 'BBBsf' / 'BBsf'
-- -25% / +25%: 'A+sf' / 'A-sf' / 'BBB-sf'
-- -50% / +50%: 'A+sf' / 'A+sf' / 'A-sf'

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

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


GS MORTGAGE 2014-GC20: Fitch Lowers Rating on 2 Tranches to 'D'
---------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed 10 classes of
GS Mortgage Securities Trust Series 2014-GC20 commercial mortgage
pass-through certificates. The Rating Outlooks for classes A-S, B,
C, X-A, X-B and PEZ have been revised to Stable from Negative.

    DEBT              RATING             PRIOR
    ----              ------             -----
GSMS 2014-GC20

A-4 36252WAW8    LT AAAsf   Affirmed     AAAsf
A-5 36252WAX6    LT AAAsf   Affirmed     AAAsf
A-AB 36252WAY4   LT AAAsf   Affirmed     AAAsf
A-S 36252WBB3    LT AAsf    Affirmed     AAsf
B 36252WBC1      LT A-sf    Affirmed     A-sf
C 36252WBE7      LT BBB-sf  Affirmed     BBB-sf
D 36252WAE8      LT CCCsf   Affirmed     CCCsf
E 36252WAG3      LT Dsf     Downgrade    Csf
PEZ 36252WBD9    LT BBB-sf  Affirmed     BBB-sf
X-A 36252WAZ1    LT AAsf    Affirmed     AAsf
X-B 36252WBA5    LT A-sf    Affirmed     A-sf
X-C 36252WAA6    LT Dsf     Downgrade    Csf

KEY RATING DRIVERS

Realized Losses/Three Westlake Park: The downgrade of class E
reflects realized losses stemming from the recent liquidation of
the Three Westlake Park asset. However, the affirmations and
Outlook revisions for classes A-S, B and C reflect slightly better
than expected recoveries from the disposition, and stable to
improving performance and loss expectations for the remaining loans
within the pool. Fitch's current ratings incorporated a base case
loss of 7.9%.

Three Westlake Park, a vacant 19-story office building located in
Houston's Energy Corridor, was liquidated in February 2022,
resulting in a $67.4 million loss, which was slightly better than
Fitch's expectations despite the high loss amount. The primary
driver for Fitch's prior downgrades was based on the agency's
expectation of minimal recovery on the asset, due to weak market
conditions and increasing exposure from fees and advances.

Fitch Loans of Concern (FLOC): Fitch has designated eight loans
(30.1%) as FLOCs. The largest is the Greene Town Center (10.6%),
which is an open-air, mixed-use lifestyle center located in
Beavercreek, OH. The collateral consists of retail (566,634 sf),
office (143,343 sf) and residential space (206 units totaling
199,248 sf). The property is anchored by Von Maur (ground lease;
130,000 sf), Esporta Fitness (7.2%) and a non-collateral 14-screen
Cinemark movie theater.

In May 2020, the borrower requested forbearance, but an agreement
was never reached. The loan is current after being delinquent for
February and March 2021 payments. Property occupancy has remained
stable with tenants Books & Co (4.8% of NRA) and Old Navy (2.5%)
recently extending their respective leases for an additional five
years. As of TTM period ending September 2021, the debt service
coverage ratio (DSCR) and occupancy were reported at 1.26x and 90%,
respectively, compared to 1.61x and 93% in September 2019. Fitch's
expected loss of approximately 10% reflects a total 20% stress to
the YE 2020 NOI to reflect fitness club exposure and potential
upcoming lease rollover.

The second largest FLOC is the Sheraton Suites Houston loan (4.7%).
It is secured by a 283-key, full-service hotel located near the
Houston Galleria. The loan transferred to the special servicer in
May 2020, and the property became REO in February 2021 after the
lender and borrower executed a deed in lieu of foreclosure. A new
franchise agreement has been executed and a rebranding effort is
underway. The servicer is halfway through a $12.2 million property
improvement plan (PIP) in order to complete the transition to a
Hilton branded hotel, which is expected to be completed in summer
2022.

A disposition is planned following the completion of the
conversion. The ongoing improvements have impacted the hotel's
performance. Reported occupancy as of the TTM period ending
September 2021 was 35%, and reported RevPar was $34.92. Fitch's
loss expectations of 45% reflects a value of $105,000/key; the loss
amount reflects significant trust expenses due to the PIP and an
uncertainty when the property will be stabilized.

The Oklahoma Hotel Portfolio (3.2) loan is the third largest FLOC;
it is secured by two full service hotels and one limited service
hotel totaling 320 keys. The loan transferred to special servicing
in October 2019 due to franchise defaults at two of the hotels. The
servicer reports that the borrower has executed new franchise
agreements for two of the hotels and PIP are being completed. A
loan modification has been finalized and the loan is expected to
return to the master servicer. Fitch's loss expectations reflect a
value of $36,250/key.

Continued Paydown/Increased Credit Enhancement: Credit enhancement
has increased since issuance due to loan payoffs, scheduled
amortization and defeasance. As of the February 2022 distribution
date, the pool's aggregate principal balance has been paid down by
44.4% to $656.9 million from $1.18 billion at issuance. Fourteen
loans (22.6% of pool) are fully defeased, including four loans in
the top 15.

Maturity Concentration: The Green Town Center loan (10.6%) matures
in December 2023, and the remainder of the loans in the pool mature
between January and April 2024.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans. Downgrades to classes A-4, A-5 and
    A-AB are not likely due to the position in the capital
    structure, but may occur should interest shortfalls affect
    these classes.

-- Downgrades to classes A-S and interest only class X-A could
    occur should expected losses for the pool increase
    significantly, and/or one or more of the larger FLOCs and/or
    loans susceptible to the pandemic experience outsized losses.
    Downgrades to classes B, C, PEZ and interest only class X-B
    could occur should loss expectations increase, due to a
    continued performance decline of the FLOCs, and/or additional
    loans transfer to special servicing and/or default. A
    downgrade to distressed class D would occur as losses are
    realized.

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

-- An upgrade to classes A-S and interest-only X-A could occur
    with stable to improved asset performance, particularly on the
    Sheraton Suites Houston asset, coupled with additional paydown
    and/or defeasance, but may be limited due to concentration
    and adverse selection concerns.

-- Upgrades to classes B, C, PEZ and interest only class X-B
    would only occur with significant improvement in CE,
    defeasance and/or performance stabilization of FLOCs and other
    properties affected by the pandemic. Classes would not be
    upgraded above 'Asf' if there were likelihood of interest
    shortfalls.

BEST/WORST CASE RATING SCENARIO

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

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 2015-GC32: Fitch Affirms B Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of GS Mortgage Securities
Trust 2015-GC32 commercial mortgage pass-through certificates. The
Rating Outlooks for four classes have been revised to Stable from
Negative.

    DEBT               RATING           PRIOR
    ----               ------           -----
GSMS 2015-GC32

A-2 36250PAB1    LT AAAsf   Affirmed    AAAsf
A-3 36250PAC9    LT AAAsf   Affirmed    AAAsf
A-4 36250PAD7    LT AAAsf   Affirmed    AAAsf
A-AB 36250PAE5   LT AAAsf   Affirmed    AAAsf
A-S 36250PAH8    LT AAAsf   Affirmed    AAAsf
B 36250PAJ4      LT AA-sf   Affirmed    AA-sf
C 36250PAL9      LT A-sf    Affirmed    A-sf
D 36250PAM7      LT BBB-sf  Affirmed    BBB-sf
E 36250PAP0      LT BBsf    Affirmed    BBsf
F 36250PAR6      LT Bsf     Affirmed    Bsf
PEZ 36250PAK1    LT A-sf    Affirmed    A-sf
X-A 36250PAF2    LT AAAsf   Affirmed    AAAsf
X-B 36250PAG0    LT AA-sf   Affirmed    AA-sf
X-D 36250PAN5    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Improved Loss Expectations: Overall performance and base case loss
expectations for the pool have improved slightly since the last
rating action. The Rating Outlook revisions to Stable reflect lower
expected losses, as performance stabilizes on properties impacted
by the pandemic. There are 14 Fitch Loans of Concern (FLOCs; 26% of
pool). Two loans (3.5%) are currently in special servicing.

Fitch's current ratings reflect a base case loss of 5.2%.

Largest Contributor to Loss: The largest contributor to loss is the
Cypress Retail Center loan (2.2%), which is secured by a 74,289-sf
neighborhood retail center located in Cypress, CA. The loan has
been designated a FLOC due to a low DSCR and occupancy decline. As
of YE 2020, the NOI DSCR was 0.86x, compared with 1.44x at YE 2019
and 2018. The largest tenant is 24 Hour Fitness (50% NRA). Per the
September 2021 rent roll, occupancy was 76% which is a decline from
100% at YE 2020. The decline is attributed to Office Depot vacating
at lease expiration at YE 2020.

Fitch modelled a loss of approximately 37% which reflects a cap
rate of 9% to the YE 2020 NOI.

The next largest contributor to loss is the Hilton Garden Inn
Pittsburgh/Southpointe loan (3.2%), which is secured by a 175-key
limited-service hotel located in Canonberg, PA. The loan has been
designated at a FLOC due to a Low DSCR. The servicer reported NOI
DSCR was 0.60x at YE 2020 compared with 1.31x at YE 2019. The loan
transferred to special servicing in in June 2020 for payment
default. A modification of the loan closed in July 2021 and the
loan was returned to the master servicer. Performance was declining
prior to the pandemic due to the slowdown in the local fracking
industry.

Fitch modelled a loss of approximately 15% which reflects a value
of $139,000 per key.

The third largest contributor to loss is the Fig Garden Village
Loan (8.2%), which is secured by a 301,671-sf, grocery-anchored
open-aired lifestyle center located in Fresno, CA. The property is
anchored by Whole Foods (10.2% of NRA, recently extended through
2025). There are approximately 50 other tenants at the property,
including CVS, Pottery Barn, Banana Republic, Starbucks and
Chipotle. Per the December 2021 rent roll, occupancy was 89%, which
is in line with prior years. Upcoming rollover at the property
includes 12.4% of the NRA in 2022, followed by 14% in 2023 and
17.6% in 2024.

The servicer reported NOI DSCR was 1.60x at YE 2020, compared with
2.20 at YE 2019. The loan began amortizing in June 2020.

Minimal Change to Credit Enhancement: As of the January 2022
distribution date, the pool's aggregate principal balance was
reduced by 12% to $879.1 million from $1 billion at issuance. Five
loans (18%) are defeased. There have been no realized losses to
date, and interest shortfalls are currently affecting the non-rated
class. Six loans (7.1%) are full-term interest-only (IO), and no
loans remain in its partial IO period. One loan (1%) is scheduled
to mature in July 2022 with the remainder of the pool maturing
between April 2025 and July 2025.

RATING SENSITIVITIES

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

-- Downgrades to classes A-2 through A-S are not likely due to
    their position in the capital structure and the high CE;
    however, downgrades to these classes may occur should interest
    shortfalls occur. Downgrades to class B and C would occur if
    loss expectations increase significantly and/or should CE be
    eroded.

-- Downgrades to the classes D, E and F would occur if the
    performance of the FLOCs continues to decline and/or fail to
    stabilize, or should losses from specially serviced
    loans/assets be larger than expected.

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

-- Upgrades to classes B and C would likely occur with
    significant improvement in CE and/or defeasance; however,
    adverse selection and increased concentrations, or the
    underperformance of the FLOCs, could reverse this trend. An
    upgrade to class D is considered unlikely and would be limited
    based on sensitivity to concentrations or further adverse
    selection.

-- Classes would not be upgraded above 'Asf' if there were
    likelihood for interest shortfalls. An upgrade to classes E,
    and F are considered unlikely without stabilization of the
    FLOCs.

BEST/WORST CASE RATING SCENARIO

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

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-PJ2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 57
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2022-PJ2. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).

GS Mortgage-Backed Securities Trust 2022-PJ2 (GSMBS 2022-PJ2) is
the third 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 is a wholly owned subsidiary of Goldman Sachs Bank USA and
Goldman Sachs. The mortgage loans for this transaction were
acquired by GSMC, the sponsor and the primary mortgage loan seller
(approximately 99.4% by UPB), and MCLP Asset Company, Inc. (MCLP)
(approximately 0.6% by UPB), the mortgage loan sellers, from
certain of the originators or the aggregator, MAXEX Clearing LLC
(which aggregated 3.9% of the mortgage loans by UPB).

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service all of the mortgage loans in the pool. Computershare Trust
Company, N.A. (Computershare) will be the master servicer,
securities administrator and the custodian 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 such as the
origination quality and the strength of the R&W framework.

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-PJ2

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

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

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

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

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

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

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

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

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

Cl. A-6A, 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-10-X*, Assigned (P)Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-22, Assigned (P)Aaa (sf)

Cl. A-22-X*, Assigned (P)Aaa (sf)

Cl. A-23, Assigned (P)Aaa (sf)

Cl. A-24, Assigned (P)Aaa (sf)

Cl. A-25, Assigned (P)Aaa (sf)

Cl. A-25-X*, Assigned (P)Aaa (sf)

Cl. A-26, Assigned (P)Aaa (sf)

Cl. A-27, Assigned (P)Aaa (sf)

Cl. A-28, Assigned (P)Aaa (sf)

Cl. A-28-X*, Assigned (P)Aaa (sf)

Cl. A-29, Assigned (P)Aaa (sf)

Cl. A-30, Assigned (P)Aaa (sf)

Cl. A-31, Assigned (P)Aaa (sf)

Cl. A-31-X*, Assigned (P)Aaa (sf)

Cl. A-32, Assigned (P)Aaa (sf)

Cl. A-33, Assigned (P)Aaa (sf)

Cl. A-34, Assigned (P)Aa1 (sf)

Cl. A-34-X*, Assigned (P)Aa1 (sf)

Cl. A-35, Assigned (P)Aa1 (sf)

Cl. A-36, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

Cl. PT, Assigned (P)Aaa (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
0.50%, in a baseline scenario-median is 0.32% and reaches 3.91% 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 third-party review (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 622 (97.6% by UPB) prime jumbo (non-conforming) and
51 (2.4% by UPB) 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) of approximately $703,669,816 and a
weighted average (WA) mortgage rate of 3.1%. The WA current FICO
score of the borrowers in the pool is 771. The WA Original LTV
ratio of the mortgage pool is 70.9%, which is in line with GSMBS
2022-PJ1 and also with other prime jumbo transactions. Top 10 MSAs
comprise 58.7% of the pool, by UPB. The high geographic
concentration in high cost MSAs is reflected in the high average
balance of the pool ($1,045,572).

All the mortgage loans in the aggregate pool are QM, with the prime
jumbo non-conforming mortgage loans meeting the requirements of the
QM-Safe Harbor rule (Appendix Q) or the new General QM rule, and
the GSE eligible mortgage loans meeting the temporary QM criteria
applicable to loans underwritten in accordance with GSE guidelines.
The other characteristics of the mortgage loans in the pool are
generally comparable to that of GSMBS 2022-PJ1 and recent prime
jumbo transactions.

A portion of the loans purchased from various sellers into the pool
were originated pursuant to the new general QM rule (89.8% by UPB).
The majority of these loans are UWM loans underwritten to GS AUS
underwriting guidelines. 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
specific documentation received, 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 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 (99.4% by UPB), and
MCLP (0.6% by UPB), the mortgage loan sellers, from certain of the
originators or the aggregator, MAXEX Clearing LLC (which aggregated
3.9% 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 such originators, Moody's reviewed
their underwriting guidelines, performance history, and quality
control and audit processes and procedures (to the extent
available, respectively). Approximately 49.4% of the mortgage
loans, by UPB as of the cut-off date, were originated by United
Wholesale Mortgage, LLC (UWM). No other originator or group of
affiliated originators originated more than 10% of the mortgage
loans. 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 (neutral for CrossCountry
Mortgage, Guaranteed Rate, loanDepot.com, LLC, NewRez LLC, Caliber
Homes and Proper Rate under the old QM guidelines). Moody's did not
make an adjustment for GSE-eligible loans, regardless of the
originator, since those loans were underwritten in accordance with
GSE guidelines. Moody's made an adjustment to Moody's losses for
loans originated by UWM primarily due to the fact that underwriting
prime jumbo loans mainly through DU is fairly new and no
performance history has been provided to Moody's on these types of
loans. More time is needed to assess UWM's ability to consistently
produce high-quality prime jumbo residential mortgage loans under
this program. Also, Moody's applied an adjustment for loanDepot
loans originated under the new QM rules as more time is needed to
fully evaluate this origination program.

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 will act as the servicer for this transaction and will
service all the loans in the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is located in
Greenville, South Carolina. Shellpoint services residential
mortgage assets for investors that include banks, financial
services companies, GSEs and government agencies. Furthermore,
Computershare will be the master servicer, securities administrator
and the custodian.

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 issues. The
loans that had exceptions to the originator's underwriting
guidelines had significant compensating factors that were
documented.

Similar to GSMBS 2022-PJ1, a relatively high number of the B graded
exceptions were related to title insurance, compared to those in
prime transactions Moody's recently rated. While many of these may
be rectified in the future by the servicer or by subsequent
documentation, there is a risk that these exceptions could impair
the deal's insurance coverage if not rectified and because the R&Ws
specifically exclude these exceptions. Moody's have considered this
risk in Moody's analysis.

Representations & Warranties

GSMBS 2022-PJ2'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 0.90% of the cut-off date pool
balance, and as subordination lock-out amount of 0.90% 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.


JP MORGAN 2012-CIBX: Moody's Cuts Rating on 2 Classes to Caa3
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on four classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2012-CIBX, Commercial Mortgage
Pass-Through Certificates, Series 2012-CIBX, as follows:

Cl. A-4, Affirmed Aaa (sf); previously on Apr 1, 2021 Affirmed Aaa
(sf)

Cl. A-4FL, Affirmed Aaa (sf); previously on Apr 1, 2021 Affirmed
Aaa (sf)

Cl. A-4FX, Affirmed Aaa (sf); previously on Apr 1, 2021 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Apr 1, 2021 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa2 (sf); previously on Apr 1, 2021 Affirmed Aa2
(sf)

Cl. C, Affirmed Baa1 (sf); previously on Apr 1, 2021 Downgraded to
Baa1 (sf)

Cl. D, Downgraded to Ba3 (sf); previously on Apr 1, 2021 Downgraded
to Ba2 (sf)

Cl. E, Downgraded to Caa3 (sf); previously on Apr 1, 2021
Downgraded to Caa1 (sf)

Cl. F, Downgraded to C (sf); previously on Apr 1, 2021 Downgraded
to Ca (sf)

Cl. G, Affirmed C (sf); previously on Apr 1, 2021 Downgraded to C
(sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Apr 1, 2021 Affirmed Aaa
(sf)

Cl. X-B*, Downgraded to Caa3 (sf); previously on Apr 1, 2021
Downgraded to Caa2 (sf)

* Reflects interest only classes

RATINGS RATIONALE

The ratings on six P&I class were affirmed because of their credit
support and the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.

The ratings on three P&I classes, Cl. D, Cl. E and Cl. F were
downgraded due to a decline in pool performance and higher
anticipated losses, driven primarily by exposure to loans secured
by regional malls and hotels which have been impacted by business
disruptions stemming from the pandemic. Two regional malls,
Jefferson Mall (13.5% of the pool) and Southpark Mall (12.8%) are
in special servicing; and the largest loan, theWit Hotel (17.1%),
has suffered from declining net operating income (NOI) since
securitization. There is one additional hotel property in special
servicing.

The rating on one P&I class was affirmed because it is consistent
with Moody's expected loss plus realized losses.

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

The rating on the IO class X-B was downgraded due a decline in the
credit quality of its referenced classes. Class X-B references P&I
classes Cl. B through Cl. NR (Cl. NR is not rated by Moody's).

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
Moody's ESG framework, given the substantial implications for
public health and safety.

Moody's rating action reflects a base expected loss of 23.0% of the
current pooled balance, compared to 15.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.2% of the
original pooled balance, compared to 8.6% 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 "Large Loan and Single Asset/Single
Borrower 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 66% to $434.6
million from $1.29 billion at securitization. The certificates are
collateralized by 19 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans (excluding
defeasance) constituting 72% of the pool. Three loans, constituting
21% of the pool, have defeased and are secured by US government
securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of seven, compared to 13 at Moody's last review.

As of the January 2022 remittance report, loans representing 98%
were current or within their grace period on their debt service
payments and 2% were greater than 90 days delinquent.

Four loans, constituting 22% of the pool, are on the master
servicer's watchlist. 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.

Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $18.2 million (for an average loss
severity of 28%). Three loans, constituting 28% of the pool, are
currently in special servicing. All of the specially serviced loans
have transferred to special servicing since February 2020.

The largest specially serviced loan is the Jefferson Mall Loan
($58.5 million -- 13.5% of the pool), which is secured by a 281,000
square feet (SF) portion of a 957,000 SF regional mall located in
Louisville, Kentucky. The mall's current non-collateral anchors
include Dillard's and J.C. Penney. Macy's (152,000 SF) closed their
store at this location before the end of 2017 and the sponsor, CBL
& Associates Properties (CBL) purchased the Macy's parcel. A
portion of the former Macy's space has been partially backfilled by
Round One Entertainment (50,000 SF) which features bowling,
billiards, arcade games, karaoke, darts, ping pong and a kid's
zone. Sears (164,000) sold their parcel to CBL in 2017 and leased
it back from CBL on a 10-year lease with termination options with a
6-month advance notice. Sears ultimately vacated during 2019. A
portion of the former Sears space has been recently backfilled by
Overstock Furniture and Mattress (82,000 SF). The final
non-collateral anchor is Bob's Discount Furniture (45,883 SF) which
backfilled the former Toys R Us space. The collateral portion of
the mall was 88% leased as of December 2020 compared to 94% as of
December 2019, 96% in 2018 and 2017. The sponsor reported 2019 mall
store sales of $397 per square foot (PSF) compared to $382 PSF in
2018. The loan transferred to special servicing in February 2020
due to imminent default as the borrower indicated they would not be
able to pay off the loan at its June 2022 maturity date. The loan
was modified during August 2020 (maturity date and IO period
extension) and was returned to the master servicer in November
2020. However, the loan transferred back to special servicing
during January 2021 due to imminent non-monetary default. The
sponsor, CBL, filed for chapter 11 bankruptcy during November 2020.
The special servicer and borrower are negotiating a second loan
modification, DPO or deed in lieu. The mall faces competition
within the Louisville area from two Brookfield-owned malls, Oxmoor
Center and Mall St. Matthews, both located approximately eight
miles northeast of the subject property. The loan has amortized by
approximately 17.8% since securitization and remains current on
debt service payments as of January 2022. Moody's analysis
accounted for the higher cash flow volatility and loss severity
associated with Class B malls.

The second largest specially serviced loan is the Southpark Mall
Loan ($55.4 million -- 12.8% of the pool), which is secured by a
390,000 SF portion of a 590,000 SF regional mall located in
Colonial Heights, Virginia. The mall is located approximately 22
miles south of Richmond, Virginia, along Interstate-95. The current
anchors include a 16-screen Regal Cinema (collateral) and two
non-collateral tenants, JC Penney and Macy's. A former
non-collateral Dillard's was backfilled by a Dick's Sporting Goods
(85,000 SF). A former Sears (114,000 SF), one of the original
anchors, closed its store at this location in 2018. As a result,
total mall occupancy declined to 68% as of December 2018, compared
to 99% in 2017 and 98% at securitization. As of September 2020,
inline occupancy was 95%, unchanged from 2019 and compared to 84%
in 2018 and 85% in 2017. The increase in occupancy in 2019 can be
partly attributed to a new lease with H&M for approximately 21,000
SF. As of September 2020, the total occupancy included a temporary
tenant, Spirit Halloween (in the former Sears space) and was
reported at 96%, however, excluding Spirit Halloween the occupancy
would be reduced to 79%. The sponsor reported 2019 mall store sales
of $388 PSF compared to $387 PSF in 2018. The loan transferred to
special servicing in March 2020 due to imminent default as the
borrower indicated they would not be able to pay off the loan at
its June 2022 maturity date. The loan was modified during July 2020
and was returned to the master servicer in October 2020. However,
the loan transferred back to special servicing during February 2021
due to imminent non-monetary default. The sponsor, CBL, filed for
chapter 11 bankruptcy during November 2020. The special servicer
and borrower are negotiating a second loan modification, DPO or
deed in lieu. The property benefits from being the only mall
situated in the southern portion of the Richmond, VA MSA and is the
only enclosed regional mall within a 25-mile radius. The loan has
amortized by approximately 17.2% since securitization and remains
current on debt service payments as of January 2022. Moody's
analysis accounted for the higher cash flow volatility and loss
severity associated with Class B malls.

The third largest specially serviced loan is the Holiday Inn
Metairie New Orleans Airport Loan ($9.1 million -- 2.1% of the
pool), which is secured by a 205 room full-service hotel located in
Metairie, Louisiana, nine miles northwest of the French Quarter.
The property sustained damage from Hurricane Delta during October
2020 and recently transferred to special servicing in January 2022
due to payment default as a result of the pandemic and is last paid
through September 2021.

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 2.8% of the pool, and has estimated
an aggregate loss of $77.2 million (a 57% 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 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 122%, compared to 110% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 13% to the most recently
available net operating income (NOI), excluding hotel properties
that had significantly depressed NOI in 2020 / 2021. Moody's value
reflects a weighted average capitalization rate of 10.7%.

Moody's actual and stressed conduit DSCRs are 1.19X and 0.99X,
respectively, compared to 1.26X and 1.07X 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 35.3% of the pool balance.
The largest loan is the theWit Hotel Loan ($74.5 million -- 17.1%
of the pool), which is secured by a 310-room full-service hotel
located in Chicago, Illinois. The property is a boutique hotel
product in the Hilton Doubletree brand. The September 2021 trailing
twelve month (TTM) occupancy and revenue per available room
(RevPAR) figures were 30% and $56, respectively, compared to 81%
and $181 for TTM September 2019. Property performance has declined
significantly since securitization due to a decrease in room and
F&B revenue as well as an increase in expenses. The decrease in
revenues can be partially attributed to new inventory of rooms in
the area and fewer citywide conventions in 2019 along with the roof
patio being under renovation during the first half of 2019. The
loan has amortized by approximately 14.9% since securitization,
however, the 2019 reported NOI was more than 20% below the
underwritten levels. The property was also impacted by business
disruptions stemming from the pandemic as well as civil unrest
during May 2020 and insurance proceeds were received as a result.
The loan remained current as of the January 2022 remittance
statement. The loan matures in June 2022. Moody's LTV and stressed
DSCR are 137% and 0.94X, respectively, compared to 140% and 0.93X
at the last review.

The second largest loan is the 100 West Putnam Loan ($66.4 million
-- 15.3% of the pool), which is secured by a 156,000 SF class A
suburban three building office complex located in Greenwich,
Connecticut. The property is also encumbered by a $16 million
B-Note. As of September 2021, the property was 68% leased,
unchanged since the prior review and compared to 97% at
securitization. The decrease in occupancy from securitization was
driven partly by the departure of two tenants during the first half
of 2016. Additionally, two other tenants downsized their spaces
upon lease renewal. There is minimal lease rollover for the current
tenants through 2022 and the loan has amortized by 17% since
securitization. Due to lower rental revenues and higher expenses,
the property's NOI has been below underwritten levels since 2015.
The loan matures in June 2022. Moody's LTV and stressed DSCR are
126% and 0.84X, respectively, compared to 128% and 0.82X at the
last review.

The third largest loan is the 20 & 25 Waterway Loan ($12.5 million
-- 2.9% of the pool), which is secured by a 50,062 SF shopping
center in The Woodlands, Texas, approximately 32 miles north of
Houston. Lease rollover is high in the medium term as approximately
40% of the NRA are scheduled to expire over the next two years.
Based on the September 2021 rent roll, the properties were
collectively 76% occupied (100% leased). The loan matures in May
2022. Moody's LTV and stressed DSCR are 116% and 0.89X,
respectively, compared to 118% and 0.87X at the last review.


JP MORGAN 2022-INV2: Fitch Gives 'B-(EXP)' Rating to B-5 Debt
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage
Trust 2022-INV2 (JPMMT 2022-INV2).

DEBT               RATING
----               ------
JPMMT 2022-INV2

A-1     LT AA+(EXP)sf   Expected Rating
A-1-A   LT AA+(EXP)sf   Expected Rating
A-1-X   LT AA+(EXP)sf   Expected Rating
A-2     LT AAA(EXP)sf   Expected Rating
A-2-A   LT AAA(EXP)sf   Expected Rating
A-2-X   LT AAA(EXP)sf   Expected Rating
A-3     LT AAA(EXP)sf   Expected Rating
A-3-A   LT AAA(EXP)sf   Expected Rating
A-3-X   LT AAA(EXP)sf   Expected Rating
A-4     LT AAA(EXP)sf   Expected Rating
A-4-A   LT AAA(EXP)sf   Expected Rating
A-4-X   LT AAA(EXP)sf   Expected Rating
A-5     LT AA+(EXP)sf   Expected Rating
A-5-A   LT AA+(EXP)sf   Expected Rating
A-5-X   LT AA+(EXP)sf   Expected Rating
A-X-1   LT AA+(EXP)sf   Expected Rating
B-1     LT AA-(EXP)sf   Expected Rating
B-2     LT A-(EXP)sf    Expected Rating
B-3     LT BBB-(EXP)sf  Expected Rating
B-4     LT BB-(EXP)sf   Expected Rating
B-5     LT B-(EXP)sf    Expected Rating
B-6     LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by J.P. Morgan Mortgage Trust 2022-INV2 (JPMMT
2022-INV2) as indicated. The certificates are supported by 456
loans with a total balance of approximately $371.2 million as of
the cutoff date. The pool consists of prime-quality fixed-rate
mortgages (FRMs) on investor properties that were originated by
various mortgage originators.

NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint) will act as interim servicer for
approximately 52.1% of the pool from the closing date until the
servicing transfer date, which is expected to occur on or about
April 1, 2022. After the servicing transfer date, these Mortgage
Loans will be serviced by JPMorgan Chase Bank, National Association
(JPMCB). Since JPMCB will be servicing these loans after the
transfer date, Fitch performed its analysis assuming JPMCB as the
servicer for these loans. Other servicers in the transaction
include loanDepot.com, LLC and United Wholesale Mortgage, LLC.
Nationstar Mortgage LLC (Nationstar) will be the master servicer.

The majority of the loans (85.0%) are exempt from the qualified
mortgage (QM) rule standards as they are investment property
mortgage loans that are for business purposes. The remaining 15.0%
are able to qualify as safe-harbor qualified mortgage (SHQM),
agency SHQM, Qualified Mortgage - Agency Rebuttable Presumption, or
QM safe-harbor (Average Prime Offer Rate [APOR]) loans.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100.0% fixed-rate loans, and the certificates are either
fixed rate or based off the net weighted average coupon (WAC).

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.8% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is the result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

High-Quality Mortgage Pool (Positive): The pool consists of
high-quality, fixed-rate fully amortizing loans with maturities of
up to 30 years. All (100%) of the loans are on non-owner-occupied
properties. 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 six months, according to Fitch
(four months per the transaction documents).

The pool has a weighted average (WA) original FICO score of 768 (as
determined by Fitch), which is indicative of very high
credit-quality borrowers. Approximately 74.4% (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 (CLTV) ratio of approximately 65.7%, translating to a
sustainable loan to value (sLTV) ratio of 73.3%, represents
substantial borrower equity in the property and reduced default
risk.

An 81.3% portion of the pool comprises non-conforming loans, while
the remaining 18.7% represents conforming loans. The majority of
the loans (85.0%) are exempt from the QM rule standards as they are
investment property mortgage loans that are for business purposes.
The remaining 15.0% are able to qualify as SHQM, agency SHQM,
Qualified Mortgage - Agency Rebuttable Presumption, or QM
safe-harbor (APOR) loans. The majority of the loans, 64.0% of the
pool were originated by a retail and correspondent channel.

The pool consists of 100% investor properties. Single-family homes
and planned unit developments (PUDs) constitute 76.2% of the pool,
condominiums make up 9.7%, and multifamily homes make up 13.9% of
the pool. The pool consists of purchase loans (53.4%), cash-out
refinance loans (27.4%) and rate-term refinance loans (19.2%).

A total of 120 loans in the pool are over $1 million, and the
largest loan is $2.24 million. Fitch determined that nine of the
loans were made to nonpermanent residents.

Non-Owner-Occupied Loans (Negative): All (100%) of the loans in the
pool are investment property mortgage loans and 18.7% of the loans
in the pool are conforming loans, that were underwritten to Fannie
Mae's and Freddie Mac's guidelines and were approved per Desktop
Underwriter (DU) or Loan Product Advisor (LPA), Fannie Mae's and
Freddie Mac's automated underwriting systems, respectively.

The remaining 81.3% of the loans were underwritten to the
underlying sellers' guidelines and were full documentation loans.
All loans were underwritten to the borrower's credit risk, unlike
investor cash flow loans, which are underwritten to the property's
income. Additionally, eight borrowers in the pool have multiple
loans in the pool. Fitch applies a 1.25x PD hit for agency investor
loans and a 1.60x pd hit for investor loans underwritten to the
borrower's credit risk.

Multifamily Loans (Negative): Approximately 24.8% of the loans in
the pool are multifamily homes, which Fitch views as riskier than
single-family homes, since the borrower may be relying on the
rental income to cover the mortgage payment on the property. To
account for this risk, Fitch adjusts the PD upwards by 25% from the
baseline for multifamily homes.

Geographic Concentration (Negative): Roughly 51.1% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles-Long Beach-Santa Ana, CA MSA (16.8%), followed by the
San Francisco-Oakland-Fremont, CA MSA (10.6%) and the San
Jose-Sunnyvale-Santa Clara, CA MSA (10.6%). The top three MSAs
account for 38% of the pool. As a result, there was a 1.01x PD
penalty for geographic concentration which resulted in the 'AAAsf'
being increased by 0.09%.

Shifting-Interest Structure with Full Advancing (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. Due to the
leakage to the subordinate bonds, the shifting interest structure
requires more CE.

The servicers will provide full advancing for the life of the
transaction. While this helps the liquidity of the structure, it
also increases the expected loss due to unpaid servicer advances.
If the servicers are unable to advance, the master servicer will
provide advancing. If the master servicer is unable to advance, the
securities administrator will ultimately be responsible for
advancing.

CE Floor (Positive): A CE or senior subordination floor of 2.10%
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, a junior
subordination floor of 1.45% 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.

For the loss analysis of this pool, Fitch used a customized version
of the U.S. RMBS Loan Loss model that has a 1.25x PD penalty for
agency investor loans and a 1.60x PD penalty for investor loans
underwritten to the borrower's credit risk. The 1.25x PD penalty
was used only for the agency eligible loans (18.7%) with the
remaining loans receiving a 1.60x PD penalty for being investor
occupied.

Post-crisis performance indicates that loans underwritten to DU/LP
guidelines have relatively lower default rates compared with normal
investor loans used in regression data with all other attributes
controlled. The implied penalty has been reduced to approximately
25% for investor agency loans in the customized model from
approximately 60% for regular investor loans in production model.

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 42.7% 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, and Opus were engaged to perform
the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory. Minimal exceptions and waivers were noted in
the due diligence reports. Refer to the "Third-Party Due Diligence"
section for more detail.

Fitch also utilized data files 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.


KKR CLO 27: S&P Assigns BB- (sf) Rating on $18MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A, B, C, D,
and E 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 replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:

-- The replacement class A, B, C, D, and E notes were issued at a
spread over three-month Secured Overnight Financing Rate (SOFR),
which replaced the spread over three-month LIBOR on the original
notes.

-- The current class B-1 and B-2 notes were replaced with the
class B notes.

-- The replacement class B notes were issued at a floating spread,
replacing the current floating spread and fixed coupon on the class
B-1 and B-2 notes, respectively.

-- The combinations on the original class B-1 notes were redeemed
and not replaced.

-- The stated maturity and reinvestment period remained the same.

-- The non-call period was extended by approximately 16 months.

-- No additional collateral was purchased in connection with this
refinancing, and the target initial par amount remained at $450.00
million. The first payment date following the first refinancing
date will be April 15, 2022.

-- No additional subordinated notes were issued in connection with
this refinancing.

-- The transaction amended the required minimums on the
overcollateralization tests.

-- Of the identified underlying collateral obligations, 99.61%
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, 95.59%
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."

  Ratings Assigned

  KKR CLO 27 Ltd./KKR CLO 27 LLC

  Class A, $288.00 million: AAA (sf)
  Class B, $54.00 million: AA (sf)
  Class C (deferrable), $27.00 million: A (sf)
  Class D (deferrable), $27.00 million: BBB- (sf)
  Class E (deferrable), $18.00 million: BB- (sf)

  Ratings Withdrawn

  KKR CLO 27 Ltd./KKR CLO 27 LLC

  Class A: to NR from AAA (sf)
  Class B-1(i): to NR from AA (sf)
  Class B-2: to NR from AA (sf)
  Class C (deferrable): to NR from A (sf)
  Class D (deferrable): to NR from BBB- (sf)
  Class E (deferrable): to NR from BB- (sf)

  Exchangeable note combinations(i)

  Combination 1(iv)

  Class B-1A(ii): to NR from AA (sf)
  Class B-1AX(iii): to NR from AA (sf)

  Combination 2(iv)

  Class B-1B(ii): to NR from AA (sf)
  Class B-1BX(iii): to NR from AA (sf)

  Combination 3(iv)

  Class B-1C(ii): to NR from AA (sf)
  Class B-1CX(iii): to NR from AA (sf)

  Combination 4(iv)

  Class B-1D(ii): to NR from AA (sf)
  Class B-1DX(iii): to NR from AA (sf)

(i)The class B-1 notes will be exchangeable for proportionate
interest in combinations of principal notes and interest-only notes
of the same class, called modifiable and splittable/combinable
tranche (MASCOT) P&I notes. In aggregate, the cost of debt,
outstanding balance, stated maturity, subordination levels, and
payment priority following such an exchange would remain the same.


(ii)MASCOT P&I notes will have the same principal balance as the
class B-1 notes, as applicable, surrendered in such exchange.

(iii)Interest-only notes earn a fixed interest rate on the notional
balance, and are not entitled to any principal payments. The
notional balance will equal the principal balance of the
corresponding MASCOT P&I note of such combination.

NR--Not rated.
P&I--Principal and interest.



LABRADOR AVIATION 2016: S&P Cuts Class B Notes Rating to 'B (sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes from three
aircraft and aircraft engine ABS transactions.

Rationale

The downgrades primarily reflect the respective notes' insufficient
credit enhancement at their respective previous rating levels based
on our assumptions, the number of off-lease aircraft and aircraft
engines, and the continued pressure on lease collections due to the
COVID-19 pandemic, among other factors.

Some general trends (deal-specific details are described later in
the report) S&P observed include:

-- The COVID-19 pandemic's prolonged negative impact on world
travel and the resulting stress on airlines' liquidity and their
ability to make timely lease payments;

-- The declining debt service coverage ratio (DSCR) due to lower
collections, which are driven by lease restructurings and
power-by-the-hour (PBH) arrangements, and the resulting delay in
repayment of scheduled principal payment amounts;

-- Limited demand on the part of aircraft operators, as indicated
by the high number of off-lease aircraft, and the pricing achieved
for both lease transactions (with lease rates for
renewals/extensions generally lower than existing leases) and
sales/part-outs (with proceeds generally lower than depreciated
base values);

-- Minimal principal repayments on the notes since our last review
in September 2020;

-- Accumulation of unpaid scheduled principal payment amounts on
the notes and the accrued and unpaid interest on the class C notes,
if any; and

-- For some deals, the diversion of a portion of their collections
toward topping up the maintenance reserve account. While these
amounts can be used in the future to complete shop visits on the
aircraft, they currently delay the repayment of the class A
scheduled principal given their priority in the payment waterfall.

The recent rapid spread of the COVID-19 Omicron variant highlights
the inherent uncertainties of the pandemic but also the importance
and benefits of vaccines. S&P said, "While the risk of new, more
severe variants displacing Omicron and evading existing immunity
cannot be ruled out, our current base case assumes that existing
vaccines can continue to provide significant protection against
severe illness. Furthermore, many governments, businesses and
households around the world are tailoring policies to limit the
adverse economic impact of recurring COVID-19 waves. Consequently,
we do not expect a repeat of the sharp global economic contraction
of second quarter 2020. Meanwhile, we continue to assess how well
individual issuers adapt to new waves in their geography or
industry."

Assumptions For The Review

Similarly to S&P's last review in September 2020, S&P's analysis
included additional stresses on time-to-re-lease and retirement age
due to the impact of the COVID-19 pandemic.

Collateral value

S&P said, "We typically use the lower of the mean and median value
(LMM value) of the half-life base and market values from three
appraisers as the starting point in our analysis. Using this LMM
value, we applied our aircraft-specific depreciation assumptions
from the date of the appraisal to the first payment date."

Aircraft-on-ground (AOG) times

S&P made a criteria exception, extending the AOG downtime during
the first modeled recession and differentiating the downtime for
wide-bodies and narrow-bodies because it believes that wide-bodies
will be more vulnerable to lower demand.

  Table 1

  Aircraft On Ground

  IN MONTHS
           BEFORE         
           APPLICATION   AFTER APPLICATION OF CRITERIA EXCEPTION
           OF CRITERIA     
           EXCEPTION    
  STRESS   ALL AOG RECESSION 1  RECESSION 1  RECESSIONS 2 & 3
                          NB AOG       WB AOG       ALL AOG
  A        10               12           15            10
  BBB       9               11           14             9
  BB        8               10           13             8
  B         7                9           12             7

  AOG--Aircraft on ground.
  NB--Narrow-body.
  WB--Wide-body.


Default pattern

S&P said, "During our prior review in September 2020, we applied a
front-loaded default pattern (55%/45%) for our first modeled
recession. For this review, we applied defaults evenly over a
four-year period during the first recession in recognition of the
financial support many governments provided to airlines and efforts
to rollout the vaccines, which have helped stem airline defaults.
In the second recession, we assume defaults to occur over a
30%/40%/20%/10% pattern."

Useful life

S&P said, "We assumed a 22-year useful life for most aircraft in
the portfolios given the continued uncertainty around fleet plans.
For some of the older aircraft, we assumed they will be sold at the
end of their current contractual lease."

Transaction Summary

S&P reviewed the January 2022 payment report to run our cash flow
analysis for this review and for reporting the key portfolio and
liability statistics.

Table 2

Portfolio
                       LABRADOR       THUNDERBOLT       ROTOR
                    20-SEP  22-JAN  20-AUG  22-JAN  20-SEP  22-JAN

Aircraft/engines     20      20      15      15      16      16
    (no.)

Current off-lease     3       8       1       0       9      10
    (no.)(i)

Off-lease + near-term
lease expirations     4       9       1       2      14      14
    (no.)(i)(ii)

LMM at appraisal   675.478 507.193 299.318 222.082 106.034 96.649
     (mil. $)  

LMM as modeled     600.645 494.291 259.232 208.572 106.034 96.649
  (mil. $)(iii)(iv)  

DSCR (x)             0.82    0.74    1.24    0.8     N/A     N/A

(i)Includes aircraft that are specifically off-lease or had their
lease expired prior to Sept 2021.
(ii)Near-term expirations are leases that are scheduled to expire
on or before January 2023.
(iii)In September 2020, values were calculated as LMM minus S&P
Global Ratings' starting value haircut (depreciation + 50% of 'B'
lease rate decline stress).
(iv)In January 2022, values are calculated as LMM reduced further
by an aircraft-specific depreciation rate (excluding appraisals
that are 25% above the average of other valuations).
Labrador--Labrador Aviation Finance Ltd.
Thunderbolt--Thunderbolt Aircraft Lease Ltd.
Rotor--Rotor Engines Securitization Ltd.
LMM--lower of mean and median.
DSCR--debt service coverage ratio.
N/A--Not applicable.

  Table 3

  Liabilities
              LABRADOR            THUNDERBOLT           ROTOR
              A        B      A        B       C       A      B

Sep. 2020  465.434  83.917  161.114  45.135  10.717  72.775 7.923
  
balance
(mil. $)

Jan. 2022  422.808  81.759  145.243  44.825  10.717  72.547 7.923
balance
(mil. $)

Paydowns    42.626   2.158   15.871  0.310   0.000   0.229  0.000

(mil. $)(i)

Sep. 2020   77.489  91.460   62.151  79.561  83.696  65.00  73.00
LTV ratio
(%)(ii)

Jan. 2022   85.538 102.079   69.637  91.128  96.266  75.06  83.26
LTV ratio
(%)(ii)

Unpaid       8.246   8.884    8.258   7.362   4.772   N/A   N/A  
scheduled
principal
amount (mil. $)

(i)Negative paydown value indicates unpaid interest on the C
notes.
(ii)Calculated as note balance divided by value in "LMM as
modeled" row in table 2 above.
Labrador--Labrador Aviation Finance Ltd.
Thunderbolt--Thunderbolt Aircraft Lease Ltd.
Rotor--Rotor Engines Securitization Ltd.
LTV—loan-to-value.
N/A--Not applicable.

Deal-Specific Details

Labrador Aviation Finance Ltd.

S&P Global Ratings lowered its ratings on Labrador Aviation Finance
Ltd.'s series 2016 class A and B notes.

The downgrades mainly reflect the current number of off-lease
aircraft in the portfolio (eight out of 20), the complete depletion
of its maintenance support account, the accumulated unpaid
scheduled principal amounts on the class A and B notes, and
insufficient credit enhancement at the class A and B notes'
respective previous rating levels, driven primarily by the fact
that the aircraft portfolio has depreciated at a faster pace, as
per the most recent appraisals we received as of December 2021,
than the redemption of the notes since September 2020.

The transaction's maintenance support account was fully depleted on
the November 2021 payment date. As per the payment structure, for
the first seven years of the transaction, the maintenance support
account is topped-up after scheduled principal payments to the
class A and B notes. Thus, any maintenance expenses that come due
between now and December 2023 will need to be covered by rental
payments, disposition proceeds, or the liquidity facility, prior to
the payment of note interest and principal. After the seventh
anniversary, the maintenance support account will be replenished to
its required level before any scheduled principal repayments on the
notes. The transaction continues to be in early amortization phase,
as the DSCR remained below 1.15x.

S&P said, "We believe the overall performance of the portfolio has
deteriorated since our last review given the increase in off-lease
aircraft to eight and the continued accumulation of unpaid
principal on the notes. In our analysis we subjected all aircraft
currently off-lease to the AOG stress assumptions and did not give
credit to a letter of intent, because the timing of the leases
remained uncertain. Although the LTV ratio for the class B notes is
more than 100%, interest on the notes is deferrable while the class
A notes are outstanding, and it also benefits from a liquidity
facility with an available amount of nine months' interest on the
class A and B notes. Therefore, we believe it is unlikely that the
class B notes will experience any near-term payment default."

Thunderbolt Aircraft Lease Ltd.

S&P Global Ratings lowered its ratings on Thunderbolt Aircraft
Lease Ltd.'s class A, B, and C notes.

The downgrades primarily reflect the increase in LTV ratio driven
by the aircraft portfolio's faster depreciation, as per the most
recent appraisals S&P received as of December 2021, than the
redemption of the notes since August 2020 and, therefore,
insufficient credit enhancement at the notes' respective previous
rating levels.

The portfolio has remained relatively stable with all aircraft
currently on lease, with two leases expiring this year, one of
which is an approximately 20-year widebody.

The transaction entered early amortization in October 2020 when the
DSCR dropped below 1.15x. Following an early amortization event,
the classes do not receive any scheduled principal payment amounts
and the principal payments are subordinated to the replenishment of
the maintenance reserve account. This has contributed to the
accumulation of the unpaid scheduled principal payment amounts on
the class A and B notes.

The weighted average age of the portfolio is 17.5 years, and the
weighted average remaining lease term is 3.08 years. There may be
potential challenges to re-market or re-lease the aircraft given
the portfolio's age, which may result in the need to sell or
part-out multiple aircraft in the near term when values are under
significant pressure from the impact of the COVID-19 pandemic. The
pace and economics of any potential execution (re-lease or
part-out) may vary under the current market conditions, which puts
additional stress on the liabilities.

S&P said, "Although the results of our cash flow analysis indicated
that the class A notes can withstand our 'A' stress, we considered
the increase in the LTV ratio and the fact that they are $8 million
behind their targeted balance, despite the notes' payment priority
in the waterfall during early amortization. We also believe that,
given the relatively older age of the portfolio, the notes may have
to rely on aircraft sales, which may be subject to some volatility
in the current environment.

"Additionally, our cashflow results indicated lower ratings for the
class B and C notes.

"For the class B notes, we considered the fact that all the
aircraft are currently on lease, and we believe the shortfall at
the assigned rating level was minimal. The class B notes can defer
interest while the class A notes are outstanding and benefit from a
liquidity facility that covers 17 months of interest on the class A
and B notes. We also considered the results of additional cash flow
runs where we include appraised values that would typically be
excluded from our base runs as they are significantly higher than
the average of the other two appraised values provided.

"For the class C notes, we considered the deferrable nature of the
class, that the LTV ratio is below 100%, and the results of the
additional cash flow runs as stated above."

Rotor Engines Securitization Ltd.

S&P Global Ratings lowered its ratings on Rotor Engines
Securitization Ltd.'s series 2011-1 class A and B notes.

The downgrades reflect the continued deterioration in the
portfolio's performance, with 10 of 16 engines currently off-lease
and another four engines with scheduled lease expirations in 2022.
The notes have received only approximately $228,000 of collection
in the last 15 months since our last review. As a result, the LTV
ratios for both classes of notes has increased. The class A notes
benefit from a senior cash account for interest payments that can
currently cover approximately six months' interest on the class A
notes. There is a separate junior cash account for the class B
notes. Amounts on deposit in this account are sufficient to cover
approximately 66 months of interest. The note has relied on this
account to pay interest on all the payment dates since last review.
A failure to pay interest on the class A notes is an event of
default (EOD). Upon an EOD, available funds in both the cash
accounts will be deposited into the collections account and there
will be no further replenishment of these accounts under the EOD
waterfall.

Given the high number of off-lease engines and the subsequent
reduction in collections, the minimal principal repayment, and the
resultant increase in LTV ratios, we believe that a default is
likely to occur if the portfolio performance does not improve.
Therefore, S&P applied its "Criteria For Assigning 'CCC+', 'CCC',
'CCC-', And 'CC' Ratings," published Oct. 1, 2012, to arrive at the
'CCC+ (sf)' and 'CCC (sf)' rating for the class A and B notes,
respectively.

Environmental, Social, And Governance (ESG)

ESG factor relevant to the rating action:

-- Health and safety

In S&P's view, the transaction has material exposure to
environmental and social credit factors.

S&P said, "Under the environmental credit factors, we consider the
additional costs airlines that lease the aircraft may face, or
reduced aircraft values and lease rates, due to increasing
regulation of greenhouse gas emissions. Although aviation produces
a small portion (less than 3% currently) of global transport
emissions, they are increasing and are difficult to reduce.

"Under the social credit factors, we believe that planes are a high
profile target for terrorism and that international routes can be
disrupted by war. Health concerns, such as the COVID-19 pandemic,
have dramatically reduced air traffic, revenue, and earnings.
Airlines carry insurance for potential liabilities, though
particularly catastrophic attacks may exhaust their coverage and
require a government backstop. Human capital management represents
another exposure because many airlines are heavily unionized and
strikes can be very costly and disruptive. Safety is also a risk
because airplane accidents are highly visible and deadly (albeit
rare statistically, and aircraft value is typically covered by
insurance).

"We have generally accounted for this risk by applying stresses to
the re-lease rates and residual values upon sale of the aircraft.
We assign aircraft-specific depreciation rates along with
aircraft-specific technological and liquidity scores that determine
the stress to re-lease rates and residual values. Our modelled
recessionary periods and the default rates applied during such
periods generally capture the impact on an airline's credit
quality."

The structural features, such as the deleveraging of notes under
events of stress determined through trigger events and the
availability of a liquidity facility that typically covers nine
months' interest on the senior notes, could generally protect the
notes from an unexpected reduction in lease income and liquidation
value due to the environmental and social credit factors.

S&P will continue to review whether the ratings assigned are
consistent with the credit enhancement available to support the
notes.

  Ratings Lowered

  Labrador Aviation Finance Ltd., series 2016

  Class A to 'BB+ (sf)' from 'BBB+ (sf)'
  Class B to 'B (sf)' from 'BB+ (sf)'

  Thunderbolt Aircraft Lease Ltd.

  Class A to 'A- (sf)' from 'A (sf')
  Class B to 'BB- (sf)' from 'BBB- (sf)'
  Class C to 'B (sf)' from 'BB (sf)'

  Rotor Engines Securitization Ltd., series 2011-1

  Class A to 'CCC+ (sf)' from 'B+ (sf)'
  Class B to 'CCC (sf)' from 'B- (sf)'



MCA FUND III: Fitch Affirms BB Rating on Class C Notes
------------------------------------------------------
Fitch Ratings has upgraded the MCA Fund III Holding, LLC (MCA Fund
III) class B notes to 'Asf' from 'BBBsf'. The class A notes were
affirmed at 'Asf' and the class C notes were affirmed at 'BBsf'.
The Rating Outlook for class C was revised to Positive from Stable.
The Rating Outlooks for class A and class B remain Stable.

      DEBT               RATING          PRIOR
      ----               ------          -----
MCA Fund III Holding, LLC

Class A 55283AAA7   LT Asf   Affirmed    Asf
Class B 55283AAB5   LT Asf   Upgrade     BBBsf
Class C 55283AAC3   LT BBsf  Affirmed    BBsf

TRANSACTION SUMMARY

MCA Fund III is a private equity collateralized fund obligation (PE
CFO) managed by MEMBERS Capital Advisors, Inc., an affiliate of
CMFG Life Insurance Company (CMFG). MCA Fund III owns interests in
a globally diversified pool of alternative investment funds. The
notes issued by MCA Fund III are backed by the cash flows generated
by the funds.

The transaction consisted of approximately $653 million net asset
value (NAV) of funded commitments and $156 million of unfunded
capital commitments across 65 funds and three co-investments, as of
the Oct. 31, 2021 valuation date.

KEY RATING DRIVERS

The affirmations of the class A and C notes reflects their
loan-to-value (LTV) detachment points of approximately 33% and 58%,
respectively, of NAV, as of the Nov. 15, 2021 distribution date.
The Positive Outlook of the class C notes reflects Fitch's
expectation that the LTV will decrease below the investment-grade
ratings limit of 50% over the two-year rating outlook horizon.

The upgrade of the class B notes to 'Asf' from 'BBBsf' reflects the
decline in the notes' LTV to approximately 47% of NAV as of the
same date. All of the rating actions also reflect Fitch's
expectation that the notes will continue to pass Fitch's scenarios
at the current rating levels with sufficient cushion. At these
levels of LTV the class A, B and C notes can withstand a very large
decline in transaction NAV before they would breach Fitch's
relevant sensitivity scenarios at their respective rating levels.

Fitch measured the ability of the structure to withstand weak
performance in its underlying funds in combination with adverse
market cycles. Class A, B, and C notes were able to withstand
fourth-quartile level performance in the underlying funds,
indicating 'Asf' model implied ratings under Fitch's scenario
analysis. While the class C notes passed Fitch's 'Asf' stress
scenarios, they are notched down to 'BBsf' as their LTV detachment
point is above the 50% limit Fitch's criteria indicates for
investment grade PE CFO ratings.

The NAV as of Oct. 31, 2021 was based on valuations of the
underlying funds primarily as of June 30, 2021 or Sept. 30, 2021,
and adjusted for subsequent capital calls and distributions.

Fitch believes MCA III's liquidity position is very strong, as CMFG
will continue to fund capital calls, one distribution's period's
interest for the class A and B notes will be reserved, and interest
payments on the notes are deferrable if cash flow is insufficient.
Remaining liquidity needs within the structure are relatively small
and expected to be covered by distributions from the underlying
funds, particularly the transaction's income producing funds, even
in a weak market environment.

In the one year through Nov. 15, 2021, MCA Fund III's pro forma
liquidity needs were estimated to include approximately $2 million
in expenses and $16 million in aggregate note interest, for a total
of $18 million. Over the same period liquidity sources included
$203 million of cash from distributions. Based on these figures
Fitch estimates the transaction's base case liquidity coverage
ratio for a one-year period at 11.2x. Capital calls for the period
were $56 million.

Key structural features for MCA Fund III include quarterly,
step-down amortization triggers tied to LTV levels, interest
reserve account, CMFG's obligation to cover capital calls, and long
final maturities on the notes to allow the structure additional
time to potentially weather a down market.

Certain structural features of the transaction involve reliance on
counterparties, such as the sponsor and account banks. The ratings
of the notes could be negatively affected in the event that key
counterparties fail to perform their duties. While CMFG's credit
profile is currently not acting as a constraint on MCA Fund III's
ratings, a deterioration in Fitch's assessment of the credit
quality of CMFG may lead to a downgrade of the notes, absent other
mitigants. In the case of the account banks, Fitch believes this
risk is mitigated by counterparty rating requirements and
replacement provisions in the transaction documents that align with
Fitch's criteria.

Fitch believes the transaction manager (MEMBERS Capital) has the
capabilities and resources required to manage this transaction. MCA
Fund III is the third in a series of similar transactions launched
by the sponsor.

The sponsor's and noteholders' interests are strongly aligned, as
the sponsor holds the equity stake in MCA Fund III, as well as the
class C notes, and part of the class A and B notes.

Fitch has a rating cap at 'A+sf' for PE CFO transactions to reflect
the less proven nature of the PE CFO asset class relative to other
structured finance asset classes, uncertainty related to investment
performance and timing of cash flows, variability of asset
valuations and lags in performance reporting. An additional rating
cap at 'A+sf' applies to the notes as their interest payments are
deferrable.

TRANSACTION PERFORMANCE

Thus far MCA Fund III's underlying fund investments have performed
well, and better than the stress scenarios run by Fitch in the
rating analysis. Since inception through Nov. 15, 2021, MCA Fund
III received distributions of $214 million and capital calls of $64
million. As of Nov. 16, 2021, the LTV detachment point for the
class A notes was 33% of current NAV, compared to 40% at launch;
the LTV detachment for the class B notes was 47% of current NAV,
compared to 58% at launch; and the LTV detachment for the class C
notes was 58%, compared to 70% at launch.

Due to CMFG's obligation to fund capital calls, Fitch estimates
that LTV detachment points for the notes, pro-forma to the expected
capital calls over the transaction's life, are a few percentage
points lower than indicated above.

MCA III has had sufficient cash distributions to cover expenses and
interest payments thus far. As a result, no interest payments have
been deferred on the notes.

RATING SENSITIVITIES

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

-- The class A are likely to be downgraded to 'A-sf' if cushions
    to Fitch's stress scenarios are expected to sustain at low
    single digits for a prolonged period. The class A notes are
    likely to be downgraded to 'BBBsf' if Fitch's 'Asf' stress
    scenarios are expected to be breached for a sustained period,
    or if liquidity deteriorates materially;

-- The class B notes are likely to be downgraded to 'A-sf' if
    cushions to Fitch's stress scenarios are expected to sustain
    at low single digits for a prolonged period. The class B notes
    are likely to be downgraded to 'BBBsf' if Fitch's 'Asf' stress
    scenarios are expected to be breached for a sustained period,
    or if liquidity deteriorates materially;

-- The class C notes are likely to be downgraded to 'BB-sf' if
    cushions to Fitch's stress scenarios are expected to sustain
    at low single digits for a prolonged period. The class C notes
    are likely to be downgraded to 'Bsf' if Fitch's 'BBsf' stress
    scenarios are expected to be breached for a sustained period,
    or if liquidity deteriorates materially;

-- The ratings assigned to the notes may be sensitive to cash
    flows coming in lower than model projections, creating an
    increased risk that the funds will not generate enough overall
    cash to repay the noteholders, or pay for capital calls,
    expenses, and interest on time;

-- A material decline in NAV that, in Fitch's view, would
    indicate insufficient forthcoming cash distributions to
    support the notes at the assigned rating level stress;

-- A ratings downgrade of a counterparty may also materially
    affect the ratings of the notes, given the reliance of the
    issuer on counterparties to provide functions, including any
    provider of the bank accounts, as discussed above. A
    deterioration in Fitch's assessment of the credit quality of
    CMFG could lead to a downgrade of the class A or B notes,
    absent other mitigants as described above. If CMFG is replaced
    as the counterparty responsible for funding capital calls, the
    credit quality of the replacement counterparty could serve as
    a constraint on the ratings of the MCA Fund III notes.

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

-- The ratings of the class A, B, and C notes may be upgraded if
    the notes' LTVs decrease further sufficiently, absent
    counterparty rating constraints, and subject to the 'A+sf'
    rating cap.

-- PE CFOs have many inherent risks that the ratings may be
    sensitive to, including the uncertainty of distributions, less
    liquid nature of the underlying investments, the degree of
    transaction leverage and the subjective nature of NAV
    valuations.

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

As the timing and size of the cash flows is uncertain, Fitch used
historical private equity fund performance data from a well-known
third-party data provider, which covers all performance quartiles
of the various fund strategies and vintages ranging from 1990 to
2019, to model expected distributions, capital calls and NAVs of
the private equity funds.


MORGAN STANLEY 2014-C16: Fitch Affirms CC Rating on Cl. E Tranche
-----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Morgan Stanley Bank of
America Merrill Lynch Trust 2014-C16. The Rating Outlooks for eight
classes have been revised to Stable from Negative.

    DEBT              RATING           PRIOR
    ----              ------           -----
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16

A-4 61763MAE0    LT AAAsf  Affirmed    AAAsf
A-5 61763MAF7    LT AAAsf  Affirmed    AAAsf
A-S 61763MAH3    LT AAAsf  Affirmed    AAAsf
A-SB 61763MAC4   LT AAAsf  Affirmed    AAAsf
B 61763MAJ9      LT Asf    Affirmed    Asf
C 61763MAL4      LT BBBsf  Affirmed    BBBsf
D 61763MAR1      LT CCCsf  Affirmed    CCCsf
E 61763MAT7      LT CCsf   Affirmed    CCsf
PST 61763MAK6    LT BBBsf  Affirmed    BBBsf
X-A 61763MAG5    LT AAAsf  Affirmed    AAAsf
X-B 61763MAM2    LT Asf    Affirmed    Asf

KEY RATING DRIVERS

Improved Loss Expectations: Overall performance and base case loss
expectations for the pool have improved since the last rating
action. Performance on many of the properties affected by the
pandemic have stabilized.

The Rating Outlook revisions to Stable reflect lower expected base
case losses, specifically on the Arundel Mills & Marketplace and a
better than expected contract price on the specially serviced Aspen
Heights-Stillwater. 15 loans (51.0%), including the three specially
serviced loans, have been designated as Fitch Loans of Concern
(FLOCs). The Outlets of Mississippi (6.3%), has returned to the
master servicer since the prior rating action. Four loans (2.1% at
the prior review) have paid in full since the prior review.

Fitch's ratings incorporate a base case loss of 10.5%. A
sensitivity scenario reflects that losses could reach 12% with a
25% potential outsized loss on the State Farm Portfolio due to
refinance concerns given tenant expirations prior to the loan
maturity.

FLOCs: The largest contributor to expected loss, Outlets of
Mississippi (6.3%), is a 300,156-sf outlet mall located in Pearl,
MS, which was constructed in 2013. The loan transferred to the
special servicer in November 2018 due to imminent monetary default
when the borrower indicated they had insufficient funds to cover
operating expenses and debt service. The property was temporarily
closed due to the pandemic, but reopened at the end of April 2020.
Per the September 2021 rent roll, occupancy is 88.6% but many
tenants are paying percentage rent which has contributed to the
declining NOI debt service coverage ratio (DSCR) of -0.35x at June
2020 compared with 0.27x at YE 2020, 0.59x at YE 2019, 1.08x at YE
2018 and 1.42x at YE 2017.

The loan was returned to the master servicer in April 2021 as a
modified loan, which included the loan being bifurcated into a $28
million A-Note and $34 million B-Note, the maturity date extended
from June 2024 to June 2026, the conversion of the loan to interest
only through maturity and the borrower's $5 million contribution in
new equity. Fitch's loss expectation of approximately 85% is based
on a 100% loss on the B-Note and 62% loss on the A-Note. The loss
expectation was derived from a 15% cap rate and a 5% stress to YE
2019 NOI on the A-Note. As part of the return to the master
servicer and loan modification, a workout delayed reimbursement
amount (WODRA) totaling $1.16 million was applied.

The second largest contributor to expected loss, The State Farm
Portfolio (10.2%) is secured by 14 single-tenant office properties.
Various media reports have confirmed that State Farm has vacated
some of the properties and it is expected that they will be
vacating all 14 of the subject loan's collateral properties by the
lease expirations in 2023 (3.1%) and the majority in November 2028.
The loan has an anticipated repayment date (ARD) in 2024 with a
final maturity date of April 2029.

Given the extended lease expirations, there is not significant term
risk; however, the prospect of a vacant portfolio of office
properties in secondary markets elevates the risk of maturity
default. Fitch's analysis included a 10.0% stress to YE 2020 NOI
and a 10.5% cap rate which resulted in an expected loss of
approximately 10%; Fitch also ran an additional sensitivity
scenario that applied a 25% loss.

Improved Credit Enhancement (CE): CE has increased since issuance
due to loan payoffs, defeasance and scheduled amortization. As of
the January 2022 distribution date, the pool's aggregate principal
balance has been reduced by 22.6% to $979.5 billion from $1.267
billion at issuance. Thirteen loans have paid off since issuance,
including the fourth largest loan, Green Hills Corporate Center,
formerly $59.7 million. Ten loans, approximately 38.1% of the pool,
are full-term, IO, including the two largest loans in the pool
Arundel Mills & Marketplace and State Farm Portfolio.

All of the partial-term, IO loans (32.7%) are now amortizing except
two loans that were modified and the interest only periods were
extended. Nine loans (8.2%) are fully defeased, and increase from
seven loans (8.2%) at the prior review. All loans have a maturity
date or ARD in 2024 with the exception of the extended Outlets of
Mississippi loan in 2026 and one loan in 2029 (0.7%).

Alternative Loss Consideration: Fitch performed an additional
sensitivity scenario that assumed a potential outsized loss of 25%
on the maturity balance of State Farm Portfolio due to refinance
concerns given the lease expirations prior to the loan's final
maturity and potential for the tenant to vacate the properties. The
additional sensitivity losses did not impact the ratings or
outlooks.

Certificates Undercollateralized: The transaction is slightly
undercollateralized by approximately $1.16 million due to a WODRA
on the Outlets of Mississippi loan, which was first reflected in
the May 2021 remittance.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool level losses
    from underperforming or specially serviced loans. Downgrades
    of classes A-4, A-5, A-SB, A-S and X-A are not likely due to
    their payment priority and continued amortization, but could
    occur if interest shortfalls affect the class, additional
    loans transfer to the special servicer, if additional loans
    become FLOCs, or if losses on the loans expected to be
    impacted by the coronavirus pandemic do not stabilize.

-- Classes B, C, PST and X-B would be downgraded further if
    performance of the FLOCs declines further or as losses are
    realized. Classes D and E would be downgraded further as
    losses are realized.

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

-- Upgrades would occur with stable to improved asset
    performance, particularly on the FLOCs, coupled with pay down
    and/or defeasance. Upgrade of Class B would only occur with
    significant improvement in CE and/or defeasance and with the
    stabilization of performance on the FLOCs, particularly
    Outlets of Mississippi.

-- An upgrade to class C and PST also would consider 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 there were
    likelihood of interest shortfalls.

-- An upgrade to classes D and E is unlikely absent significant
    performance improvement on the FLOCs.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


MORGAN STANLEY I: Fitch Affirms 'B-' Rating on G-RR Certs
---------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital I
Trust 2019-L2 commercial mortgage pass-through certificates, series
2019-L2. The Rating Outlooks remain Negative on classes F-RR and
G-RR.

    DEBT              RATING            PRIOR
    ----              ------            -----
MSC 2019-L2

A-1 61768HAS5    LT AAAsf   Affirmed    AAAsf
A-2 61768HAT3    LT AAAsf   Affirmed    AAAsf
A-3 61768HAV8    LT AAAsf   Affirmed    AAAsf
A-4 61768HAW6    LT AAAsf   Affirmed    AAAsf
A-S 61768HAZ9    LT AAAsf   Affirmed    AAAsf
A-SB 61768HAU0   LT AAAsf   Affirmed    AAAsf
B 61768HBA3      LT AA-sf   Affirmed    AA-sf
C 61768HBB1      LT A-sf    Affirmed    A-sf
D 61768HAC0      LT BBBsf   Affirmed    BBBsf
E 61768HAE6      LT BBB-sf  Affirmed    BBB-sf
F-RR 61768HAG1   LT BB-sf   Affirmed    BB-sf
G-RR 61768HAJ5   LT B-sf    Affirmed    B-sf
X-A 61768HAX4    LT AAAsf   Affirmed    AAAsf
X-B 61768HAY2    LT AA-sf   Affirmed    AA-sf
X-D 61768HAA4    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's loss expectations have remained
relatively stable since Fitch's prior review. Outside of the Fitch
Loans of Concern (FLOCs), the majority of the pool has had stable
performance, in-line with issuance expectations. Fourteen loans
(26.7% of pool), including four (10.1%) in special servicing, were
designated FLOCs. Fitch's current ratings reflect a base case loss
of 4.20%. The Negative Outlooks on classes F-RR and G-RR reflect
performance concerns with the FLOCs.

Fitch Loans of Concern: The largest FLOC, Ohana Waikiki Malia Hotel
& Shops (6.8%), is secured by a 327-key limited service hotel in
Honolulu, HI. The property also features 8,948 sf of high-street
retail space and a parking garage with capacity for 113 vehicles.
The loan was designated a FLOC due to performance declines as a
result of the coronavirus pandemic. The YTD June 2021 NOI and YE
2020 NOI were negative for this IO loan. The YE 2019 NOI was 5%
above the issuer's underwritten NOI at issuance. As of the TTM
ended November 2021, the hotel was significantly underperforming
its competitive set with a RevPAR penetration rate of 56.2%.
Fitch's base case loss of approximately 6% reflects a 10.75% cap
rate and 26% total haircut to the YE 2019 NOI.

The second largest FLOC, Le Meridien Hotel Dallas (4.4%), is
secured by a 258-key full service hotel in Dallas, TX. The loan
transferred to special servicing in June 2020 for Monetary Default
at the borrower's request as a result of the coronavirus pandemic.
Forbearance discussion are ongoing. Occupancy and servicer-reported
NOI DSCR for this amortizing loan were 79% and 1.54x as of the TTM
ended March 2020 compared with 82% and 1.72x at issuance. As of the
TTM ended September 2020, the hotel was outperforming its
competitive set with a RevPAR penetration rate of 133.2%. Fitch's
base case loss of approximately 9% is based on a discount to the
recent servicer provided valuation and reflects a 10.50% cap rate
on the TTM ended March 2020 NOI.

Minimal Change to Credit Enhancement (CE): As of the January 2022
distribution date, the pool's aggregate balance has been paid down
by 0.7% to $928.3 million from $934.9 million at issuance. Ten
loans (15.0%) are amortizing balloon, 26 (61.0%) are full-term IO
and 14 (24.0%) were structured with a partial-term IO component at
issuance. No loans are defeased. Cumulative interest shortfalls of
$473,447 are currently affecting the non-rated classes H-RR and
VRR.

Pool Concentration: The top 10 loans comprise 44.6% of the pool.
Loan maturities are concentrated in 2029 (90.4%), with one loan
(1.9%) maturing in 2024 and four (7.7%) in 2028. Based on property
type, the largest concentrations are office at 39.1%, retail at
17.8% and hotel at 17.3%. Three loans received stand-alone,
investment grade credit opinions at issuance: Serenity Apartments
(4.0%; 'BBB-sf'), Fairfax Multifamily Portfolio (3.8%; 'BBB-sf')
and University Towers (2.5%; 'AAAsf').

RATING SENSITIVITIES

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

-- Downgrades of the 'AAAsf' classes are not likely due to
    sufficient CE and the expected receipt of continued
    amortization but could occur if interest shortfalls affect the
    class. Classes B, X-B, C, D, E and X-D would be downgraded if
    interest shortfalls affect the class, additional loans become
    FLOCs or if performance of the FLOCs deteriorates further.

-- Classes F-RR and G-RR would be downgraded if loss expectations
    increase or additional loans transfer to special servicing.

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

-- Upgrades of classes B, X-B, C, D, E and X-D may occur with
    significant improvement in CE and/or defeasance, but would be
    limited based on sensitivity to concentrations or the
    potential for future concentration. Classes would not be
    upgraded above 'Asf' if there is a likelihood for interest
    shortfalls.

-- Upgrades of classes F-RR and G-RR could occur if performance
    of the FLOCs improves significantly and/or if there is
    sufficient CE, which would likely occur if the non-rated class
    is not eroded and the senior classes pay-off.

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.


NASSAU 2019 CFO: Fitch Affirms BB Rating on Class B Notes
---------------------------------------------------------
Fitch Ratings has affirmed the Nassau 2019 CFO LLC (Nassau 2019
CFO) class A notes at 'Asf', the class B notes at 'BBsf', and the
liquidity facility at 'A+sf'. The Rating Outlook is Stable.

     DEBT               RATING           PRIOR
     ----               ------           -----
Nassau 2019 CFO LLC

Class A 63172DAA9   LT Asf   Affirmed    Asf
Class B 63172DAB7   LT BBsf  Affirmed    BBsf
Liquidity Loans     LT A+sf  Affirmed    A+sf

TRANSACTION SUMMARY

Nassau 2019 CFO is a private equity collateralized fund obligation
(PE CFO) managed by Nassau Alternative Investments (NAI), an
affiliate of Nassau Financial Group. Nassau 2019 CFO owns interests
in a diversified pool of alternative investment funds. The notes
issued by Nassau 2019 CFO are backed by the cash flows generated by
the funds.

The transaction consisted of approximately $308 million net asset
value (NAV) of funded commitments and $59 million of unfunded
capital commitments across 103 funds, as of the Oct. 31, 2021
valuation date.

KEY RATING DRIVERS

The rating affirmation of the undrawn liquidity facility reflects
its senior position in the capital structure and low LTV of
approximately 10% if fully drawn.

The rating affirmations of the class A and B notes reflect their
loan-to-value (LTV) detachment points of approximately 50% and 69%
of NAV, respectively, as of the Nov. 15, 2021 distribution date.
The affirmations also reflect Fitch's expectation that the notes
will continue to pass Fitch's stress scenarios at the current
rating levels with sufficient cushion. At these LTV levels the
class A and B notes could both withstand approximately a 20%
decline in transaction NAV before breaching Fitch's relevant stress
scenario at the current rating levels.

The NAV as of Oct. 31, 2021 was based on valuations of the
underlying private equity funds primarily as of Jun. 30, 2021, and
adjusted for subsequent capital calls and distributions. While the
class B notes passed Fitch's 'Asf' stress scenarios, they are
notched down to 'BBsf' as the current LTV detachment point is
substantially above the 50% limit Fitch's criteria indicates for
investment grade PE CFO ratings.

Fitch believes Nassau 2019 CFO's liquidity position is very strong,
which should allow it to continue meeting capital calls, expenses,
and interest, even if distributions were to decline, for example,
due an economic downturn. In the one-year period through Nov. 15,
2021, Nassau 2019 CFO's liquidity needs included approximately $11
million in capital calls, $3 million in expenses, $11 million in
note interest, for a total of $25 million. Over the same period
liquidity sources included $30 million of capacity available on the
liquidity facility, and $177 million of cash from distributions.
Based on these figures, Fitch estimates the transaction's liquidity
coverage ratio for a one-year period at 8.3x.

Fitch measured the ability of the structure to withstand weak
performance in its underlying funds in combination with adverse
market cycles. The class A class B notes both passed Fitch's
fourth-quartile-scenario analysis, indicating 'Asf' model implied
ratings.

Certain structural features of the transaction involve reliance on
counterparties, such as the liquidity lender and account banks. The
ratings of the notes could be negatively affected in the event that
key counterparties fail to perform their duties. Fitch believes
this risk is mitigated by counterparty rating requirements and
replacement provisions in the transaction documents that align with
Fitch's criteria.

Fitch believes the manager (NAI) has the capabilities and resources
required to manage this transaction. NAI's management team has
extensive experience, although the team is comparably smaller than
at other Fitch-rated PE CFOs.

The sponsor and noteholders' interests are sufficiently aligned, as
the sponsor and its affiliates hold the equity stake and a portion
of the class B notes in Nassau 2019 CFO.

Fitch has a rating cap at the 'Asf' category for PE CFO
transactions to reflect the less proven nature of the PE CFO asset
class relative to other structured finance asset classes,
uncertainty related to investment performance and timing of cash
flows, variability of asset valuations, and lags in performance
reporting. An additional rating cap at the 'Asf' category applies
to class B notes as their interest payment is deferrable.

TRANSACTION PERFORMANCE

Thus far Nassau 2019 CFO's underlying fund investments have
performed well and better than the stress scenarios run by Fitch in
the rating analysis. Nassau 2019 CFO received distributions of $296
million and capital calls of $43 million since inception as of Oct.
31, 2021.

Nassau 2019 CFO has had sufficient cash distributions to cover
expenses, interest payments, and capital calls thus far. As a
result, there have been no draws on the transaction's liquidity
facility.

RATING SENSITIVITIES

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

-- The class A notes are likely to be downgraded to 'A-sf' if NAV
    decline cushions to Fitch's stress scenarios are expected to
    sustain at low single digits for a prolonged period. The class
    A notes are likely to be downgraded to 'BBBsf' if Fitch's
    'Asf' stress scenarios are expected to be breached for a
    sustained period, or if liquidity deteriorates materially.

-- The class B notes are likely to be downgraded to 'BB-sf' if
    cushions to Fitch's 'BBsf' stress scenarios are expected to
    sustain at low single digits for a prolonged period. The class
    B notes are likely to be downgraded to 'Bsf' if Fitch's 'BBsf'
    stress scenarios are expected to be breached for a sustained
    period, or if liquidity deteriorates materially.

-- The liquidity facility rating is likely to be downgraded if it
    is drawn and the transaction's liquidity position deteriorates
    materially.

-- The ratings assigned to the notes may be sensitive to cash
    flows coming in lower than model projections, creating an
    increased risk that the funds will not generate enough overall
    cash to repay the noteholders, or pay for capital calls,
    expenses, and interest on time.

-- A material decline in NAV that in Fitch's view would indicate
    insufficient forthcoming cash distributions to support the
    notes at the assigned rating level stress.

-- The ratings are sensitive to the financial health of the
    transaction's counterparties. A rating downgrade of a
    counterparty may be linked to and materially affect the
    ratings on the notes, given the reliance of the issuer on
    counterparties to provide functions, including providers of
    the liquidity facility and bank accounts.

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

-- The class A and B notes could be upgraded if the notes' LTV
    detachment points decrease significantly, although this is
    unlikely in the short term given the amortization structure.

-- Fitch has an 'Asf' category rating cap for PE CFOs. Therefore,
    positive rating sensitivities are not applicable for the
    undrawn liquidity facility.

-- PE CFOs have many inherent risks that the ratings may be
    sensitive to, including the uncertainty of distributions, less
    liquid nature of the underlying investments, the degree of
    transaction leverage and the subjective nature of NAV
    valuations.

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

As the timing and size of the cash flows is uncertain, Fitch used
historical private equity fund performance data from a well-known
third-party data provider, which covers all performance quartiles
of the various fund strategies and vintages ranging from 1990 to
2018, to model expected distributions, capital calls and NAVs of
the underlying funds.


NEUBERGER BERMAN 48: Moody's Assigns (P)Ba3 to $24MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of notes to be issued by Neuberger Berman Loan Advisers CLO
48, Ltd. (the "Issuer" or "Neuberger Berman 48").

Moody's rating action is as follows:

US$372,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034 [1], Assigned (P)Aaa (sf)

US$24,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2036, 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.

Neuberger Berman 48 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 senior secured loans, cash, and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. Moody's expect the portfolio to be approximately 95% ramped
as of the closing date.

Neuberger Berman Loan Advisers II 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 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: $600,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2915

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 45.00%

Weighted Average Life (WAL): 8.07 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.


OBX 2022-NQM2: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OBX
2022-NQM2 Trust's mortgage-backed notes.

The note issuance is an RMBS transaction backed by newly originated
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans to prime and nonprime borrowers, including mortgage loans
with initial interest-only periods. The loans are primarily secured
by single-family residential properties, planned-unit developments,
condominiums, townhouses, and two- to four-family residential
properties. The pool has 649 loans, which are primarily
nonqualified mortgage/ability-to-repay (ATR)-compliant and
ATR-exempt loans.

The preliminary ratings are based on information as of Feb. 15,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;

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

-- The impact that the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool.

  Preliminary Ratings Assigned(i)

  OBX 2022-NQM2 Trust

  Class A-1A, $270,408,000.00: AAA (sf)
  Class A-1B, $90,136,000.00: AAA (sf)
  Class A-1, $360,544,000.00: AAA (sf)
  Class A-2, $18,896,000.00: AA (sf)
  Class A-3, $19,114,000.00: A (sf)
  Class M-1, $13,403,000.00: BBB (sf)
  Class B-1, $7,909,000.00: BB+ (sf)
  Class B-2, $11,425,000.00: B (sf)
  Class B-3, $8,130,072.00: NR
  Class A-IO-S, notional(ii): NR
  Class XS, notional(iii): NR
  Class R: NR

(i)The preliminary ratings address the ultimate payment of interest
and principal.
(ii)For the class A-IO-S notes, the notional amount equals the
loans' stated principal balance for loans serviced by SPS and SLS.

(iii)The notional amount equals the loans' stated principal
balance. SPS--Select Portfolio Servicing Inc. NR--Not rated.



OBX TRUST 2022-INV2: Moody's Assigns B3 Rating to Cl. B-5 Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 35
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2022-INV2 Trust (OBX 2022-INV2). The ratings range from Aaa
(sf) to 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, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

Cl. A-9, Definitive Rating Assigned Aaa (sf)

Cl. A-10, Definitive Rating Assigned Aaa (sf)

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

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

Cl. A-13, Definitive Rating Assigned Aa1 (sf)

Cl. A-14, Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Definitive Rating Assigned Aaa (sf)

Cl. A-16, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

Cl. A-IO14*, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

Cl. B-2, Definitive Rating Assigned A2 (sf)

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

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

Cl. B-3, Definitive Rating Assigned Baa2 (sf)

Cl. B-3A, Definitive Rating Assigned Baa2 (sf)

Cl. B-IO3*, Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Definitive Rating Assigned 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.


PREFERRED TERM XXVII: Moody's Upgrades 2 Classes of Notes to B3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXVII, Ltd.:

US$171,000,000 Floating Rate Class A-1 Senior Notes Due December
22, 2037 (current balance of $69,781,111), Upgraded to Aa1 (sf);
previously on March 22, 2019 Upgraded to Aa2 (sf)

US$40,000,000 Floating Rate Class A-2 Senior Notes Due December 22,
2037 (current balance of $35,293,041), Upgraded to Aa3 (sf);
previously on March 22, 2019 Upgraded to A2 (sf)

US$40,500,000 Floating Rate Class B Mezzanine Notes Due December
22, 2037 (current balance of $35,734,204), Upgraded to Baa2 (sf);
previously on March 22, 2019 Upgraded to Ba1 (sf)

US$24,000,000 Floating Rate Class C-1 Mezzanine Notes Due December
22, 2037 (current balance of $22,685,060), Upgraded to B3 (sf);
previously on March 22, 2019 Upgraded to Caa2 (sf)

US$18,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due
December 22, 2037 (current balance of $17,013,795), Upgraded to B3
(sf); previously on March 22, 2019 Upgraded to Caa2 (sf)

Preferred Term Securities XXVII, Ltd., issued in September 2007, is
a collateralized debt obligation (CDO) backed mainly by a portfolio
of bank trust preferred securities (TruPS).

RATINGS RATIONALE

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

The Class A-1 notes have paid down by approximately 16.5% or $13.8
million since February 2021, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2, Class B, and Class C notes have improved
to 276.3%, 183.5%, 136.9%, and 106.8%, respectively, from February
2021 levels of 245.0%, 171.8%, 131.9%, and 104.8%, respectively.
The Class A-1 notes will continue to benefit from the diversion of
excess interest and the use of proceeds from redemptions of any
assets in the collateral pool.

The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 769 from 1066 in
February 2021.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $192.8 million, defaulted par of $47 million, a weighted average
default probability of 7.7% (implying a WARF of 769), and a
weighted average recovery rate upon default of 10.0%.

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios include, among others, deteriorating credit
quality of the portfolio, and certain TruPS assets becoming fixed
upon LIBOR cessation.

Methodology Used for the Rating Action

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

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

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


RCKT MORTGAGE 2022-2: Fitch Rates Class B-5 Certs 'B-(EXP)'
-----------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by RCKT Mortgage Trust 2022-2 (RCKT 2022-2).

DEBT                 RATING
----                 ------
RCKT Mortgage Trust 2022-2

A-1      LT AAA(EXP)sf   Expected Rating
A-10     LT AAA(EXP)sf   Expected Rating
A-11     LT AAA(EXP)sf   Expected Rating
A-12     LT AAA(EXP)sf   Expected Rating
A-13     LT AAA(EXP)sf   Expected Rating
A-14     LT AAA(EXP)sf   Expected Rating
A-15     LT AAA(EXP)sf   Expected Rating
A-16     LT AAA(EXP)sf   Expected Rating
A-17     LT AAA(EXP)sf   Expected Rating
A-18     LT AAA(EXP)sf   Expected Rating
A-19     LT AAA(EXP)sf   Expected Rating
A-2      LT AAA(EXP)sf   Expected Rating
A-20     LT AAA(EXP)sf   Expected Rating
A-21     LT AAA(EXP)sf   Expected Rating
A-22     LT AAA(EXP)sf   Expected Rating
A-23     LT AAA(EXP)sf   Expected Rating
A-24     LT AAA(EXP)sf   Expected Rating
A-3      LT AAA(EXP)sf   Expected Rating
A-4      LT AAA(EXP)sf   Expected Rating
A-5      LT AAA(EXP)sf   Expected Rating
A-6      LT AAA(EXP)sf   Expected Rating
A-7      LT AAA(EXP)sf   Expected Rating
A-8      LT AAA(EXP)sf   Expected Rating
A-9      LT AAA(EXP)sf   Expected Rating
A-X-1    LT AAA(EXP)sf   Expected Rating
A-X-10   LT AAA(EXP)sf   Expected Rating
A-X-11   LT AAA(EXP)sf   Expected Rating
A-X-12   LT AAA(EXP)sf   Expected Rating
A-X-13   LT AAA(EXP)sf   Expected Rating
A-X-2    LT AAA(EXP)sf   Expected Rating
A-X-3    LT AAA(EXP)sf   Expected Rating
A-X-4    LT AAA(EXP)sf   Expected Rating
A-X-5    LT AAA(EXP)sf   Expected Rating
A-X-6    LT AAA(EXP)sf   Expected Rating
A-X-7    LT AAA(EXP)sf   Expected Rating
A-X-8    LT AAA(EXP)sf   Expected Rating
A-X-9    LT AAA(EXP)sf   Expected Rating
B-1      LT AA-(EXP)sf   Expected Rating
B-2      LT A-(EXP)sf    Expected Rating
B-2A     LT A-(EXP)sf    Expected Rating
B-3      LT BBB-(EXP)sf  Expected Rating
B-4      LT BB-(EXP)sf   Expected Rating
B-5      LT B-(EXP)sf    Expected Rating
B-6      LT NR(EXP)sf    Expected Rating
B-X-1    LT AA-(EXP)sf   Expected Rating
B-X-2    LT A-(EXP)sf    Expected Rating
B1A      LT AA-(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 778 loans with a total balance of
approximately $759 million as of the cutoff date. The pool consists
of prime fixed-rate mortgages acquired by Woodward Capital
Management LLC (Woodward) from Rocket Mortgage, LLC (Rocket
Mortgage), formerly known as Quicken Loans, LLC. Distributions of
principal and interest and loss allocations are based on a
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 11.0% above a long-term sustainable level (vs.
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

High-Quality Mortgage Pool (Positive): The collateral consists of
778 loans, totaling $759 million, and seasoned approximately two
months in the aggregate (calculated as the difference between
origination date and first pay date) The borrowers have a strong
credit profile (761 Fitch model FICO and 34% DTI) and moderate
leverage (80% sustained loan-to-value). The pool consists of 94.7%
of loans where the borrower maintains a primary residence, while
5.3% comprise a second home. Additionally, 53.6% of the loans were
originated through a retail channel and 100% are designated as Safe
Harbor (APOR) qualified mortgage.

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. While this feature helps limit cash flow
leakage to subordinate bonds, it can result in interest reductions
to rated bonds in high-stress scenarios.

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

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

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.00% will be available for the senior bonds
and a subordinate floor of 0.65% of the original balance will be
maintained for the subordinate classes. The floor is sufficient to
protect against the 100 average-sized loans incurring Fitch's
'AAAsf' expected loss.

RATING SENSITIVITIES

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

-- Fitch 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 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.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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.


REGIONAL 2022-1: S&P Assigns Prelim BB(sf) Rating on Cl. D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Regional
Management Issuance Trust 2022-1's personal consumer loan-backed
notes.

The note issuance is an ABS securitization backed by personal
consumer loan receivables.

The preliminary ratings are based on information as of Feb. 11,
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 58.52%, 46.44%, 39.84% and
33.06% credit support to the class A, B, C, and D notes,
respectively, in the form of subordination, overcollateralization,
a reserve account, and excess spread. These credit support levels
are sufficient to withstand stresses commensurate with the
preliminary ratings on the notes based on S&P's stressed cash flow
scenarios.

-- S&P said, "Our worst-case weighted average base-case loss
assumption for this transaction of 15.24%, which is a function of
the transaction-specific reinvestment criteria, historical Regional
Management Corp. (Regional) loan performance data, and our view of
the residual effects of COVID-19 pandemic on the macroeconomic
environment facing obligors. Our base-case loss assumption also
accounts for historical volatility observed in Regional's annual
loan vintages over time."

-- To date, Regional's central facilities and local branches
remain open and operational through the COVID-19 pandemic. Regional
has the capacity to shift branch employees to other branches as
needed, and since May has offered the option to close loan
originations remotely, as opposed to within branches.

-- In response to the COVID-19 pandemic, Regional tightened
underwriting and enhanced servicing procedures for its portfolio.

-- Regional selectively eliminated loans to lower-credit grade
borrowers, reduced advances to lower-credit grade existing
borrowers, and lowered lending limits to new borrowers across all
risk levels. Since the third quarter of 2020, Regional has
gradually begun to reverse these policies.

-- Regional introduced new payment deferral options to borrowers
negatively impacted by the COVID-19 pandemic. While deferment
levels rose in March and peaked in April, they decreased through
July to historic trend levels. Transaction documents dictate that a
reinvestment criteria event will occur if loans subject to
deferment during the previous collection period exceed 10.0% of the
aggregate principal balance.

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

-- The timely interest and full principal payments expected to be
made under stressed cash flow modeling scenarios appropriate to the
assigned preliminary ratings.

-- The characteristics of the pool being securitized and
receivables expected to be purchased during the revolving period.

-- The operational risks associated with Regional's decentralized
business model.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  Regional Management Issuance Trust 2022-1

  Class A, $170.630: AA (sf)
  Class B, $37.040: A- (sf)
  Class C, $21.160: BBB- (sf)
  Class D, $21.170: BB (sf)

(i)The actual size of the tranches and the respective interest
rates will be determined on the pricing date.



RR 7 LTD: S&P Assigns BB- (sf) Rating on Class D-1-B Notes
----------------------------------------------------------
S&P Global Ratings assigned 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. At the same time, S&P withdrew its ratings on
the original class A-1a, A-2, B, C-1, C-2, and D notes following
payment in full on the Feb. 14, 2022, refinancing date.

The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
indenture:

-- The stated maturity was extended by four years, and the
reinvestment and non-call periods were extended by two years.

-- The replacement notes were issued at a lower weighted average
cost of debt than the original notes.

-- The target initial par amount was upsized to $800 million.

-- There was 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.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1a-B, $504.00 million: Three-month SOFR + 1.34%
  Class A-2-B, $104.00 million: Three-month SOFR + 1.85%
  Class B-1-B (deferrable), $48.00 million: Three-month SOFR +
2.10%
  Class C-1-B (deferrable), $48.00 million: Three-month SOFR +
3.10%
  Class D-1-B (deferrable), $32.00 million: Three-month SOFR +
6.50%

  Original notes

  Class A-1a, $320.00 million: Three-month LIBOR + 1.35%
  Class A-1b, $10.00 million: Three-month LIBOR + 1.65%
  Class A-2 (deferrable), $50.00 million: Three-month LIBOR +
2.00%
  Class B (deferrable), $30.00 million: Three-month LIBOR + 2.60%
  Class C-1 (deferrable), $27.50 million: Three-month LIBOR +
3.75%
  Class C-2 (deferrable), $6.25 million: Three-month LIBOR + 5.00%
  Class D (deferrable), $16.25 million: Three-month LIBOR + 8.00%

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 the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and take rating actions as we deem necessary."

  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

  Ratings Withdrawn

  RR 7 Ltd./RR 7 LLC

  Class A-1a, to NR from 'AAA (sf)'
  Class A-2, to NR from 'AA (sf)'
  Class B (deferrable), to NR from 'A (sf)'
  Class C-1 (deferrable), to NR from 'BBB (sf)'
  Class C-2 (deferrable), to NR from 'BBB- (sf)'
  Class D (deferrable), to NR from 'BB- (sf)'

  NR--Not rated.



SG COMMERCIAL 2016-C5: Fitch Affirms CCC Rating on 2 Certificates
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of SG Commercial Mortgage
Securities Trust, commercial mortgage pass-through certificates,
series 2016-C5 (SGCMS 2016-C5). The Rating Outlooks have been
revised to Stable from Negative on five classes and remain Negative
on three classes.

    DEBT              RATING            PRIOR
    ----              ------            -----
SGCMS 2016-C5

A-2 78419CAB0    LT AAAsf   Affirmed    AAAsf
A-3 78419CAC8    LT AAAsf   Affirmed    AAAsf
A-4 78419CAD6    LT AAAsf   Affirmed    AAAsf
A-M 78419CAF1    LT AAAsf   Affirmed    AAAsf
A-SB 78419CAE4   LT AAAsf   Affirmed    AAAsf
B 78419CAK0      LT AA-sf   Affirmed    AA-sf
C 78419CAL8      LT A-sf    Affirmed    A-sf
D 78419CAV6      LT BBB-sf  Affirmed    BBB-sf
E 78419CAX2      LT B-sf    Affirmed    B-sf
F 78419CAZ7      LT CCCsf   Affirmed    CCCsf
X-A 78419CAG9    LT AAAsf   Affirmed    AAAsf
X-B 78419CAH7    LT AA-sf   Affirmed    AA-sf
X-E 78419CAP9    LT B-sf    Affirmed    B-sf
X-F 78419CAR5    LT CCCsf   Affirmed    CCCsf

KEY RATING DRIVERS

Stable Loss Expectations: While Fitch's base case loss expectations
have remained relatively stable since Fitch's prior rating action,
the Outlook revisions to Stable from Negative reflect the better
than expected performance of loans expected to be affected by the
coronavirus pandemic. Fifteen loans (41.6% of pool), including
eight (19.3%) in special servicing, were designated Fitch Loans of
Concern (FLOCs).

Fitch's current ratings reflect a base case loss of 6.90%. The
Negative Outlooks reflect losses that could reach 7.50% after
factoring in an additional sensitivity on one retail loan (4.4%)
and one hotel loan (2.1%) to reflect vulnerability to the ongoing
pandemic.

The largest contributor to Fitch's loss expectations, TEK Park
(3.2%), is secured by a 514,033 sf office and technology park in
Breinigsville, PA. The loan, which is sponsored by Eli Sternbuch,
recently transferred to special servicing in January 2022 for
imminent monetary default. The property faces vacancy and near-term
rollover risks including Buckeye Partners (15.5% NRA) whose lease
expired in October 2021 and the largest tenant, CyOptics (26.4%
NRA), whose lease expires in October 2023. Occupancy and servicer
reported NOI debt service coverage ratio (DSCR) for this amortizing
loan were 61% and 1.55x as of the YTD September 2021 compared with
79% and 1.32x at YE 2020. Fitch's base case loss of approximately
25% reflects a 10.50% cap rate and 15% total haircut to the YE 2020
NOI.

Regional Mall FLOCs: The largest loan in the pool, The Mall at
Rockingham Park (6.0%), is secured by 540,867 sf of an approximate
one million sf regional mall in Salem, NH. The loan was designated
a FLOC due to low occupancy after departure of collateral anchor,
Lord and Taylor (29.3% NRA and 2.7% of base rents), which closed
this location in December 2020 after filing for Chapter 11
Bankruptcy. As a result, collateral occupancy declined to 55% as of
June 2021 from 89% as of September 2020. Servicer-reported NOI DSCR
for this full-term IO loan was 1.89x as of the YTD June 2021
compared with 1.98x at YE 2020, 2.11x at YE 2019 and 2.31x at
issuance.

Per the September 2021 rent roll, near-term rollover includes 13.7%
NRA by 2022 spread across 34 tenants. In-line tenant sales continue
to remain strong at $1,361 psf ($518 psf excluding Apple) as of the
TTM ended November 2021 compared with $816 psf ($413 psf excluding
Apple) as of the TTM ended November 2020 and $1,020 psf at YE 2019
($542 psf excluding Apple) at YE 2019.

The loan is sponsored by Mayflower Realty (joint venture of Simon
Property Group and the Canadian Pension Plan Investment Board) and
Institutional Mall Investors. The remaining anchors are Macy's and
JCPenney, which are both non-collateral. Dicks Sporting Goods
subleases a portion of a non-collateral (Seritage owned) former
Sears space. A 12-screen Cinemark theater opened on the Seritage
parcel in December 2019. Fitch's base case loss of approximately 8%
reflects a 15% cap rate and 15% total haircut to the YE 2020 NOI.

Peachtree Mall (3.0%) is secured by 621,367 sf of an 822,443 sf
regional mall located in Columbus, GA and sponsored by Brookfield
Properties Retail Group. The loan was designated a FLOC due to
declining occupancy and cash flow/DSCR given the secular consumer
shift away from traditional regional mall retail. The mall is
anchored by a non-collateral Dillard's and collateral tenants that
include JCPenney, At Home and Macy's. Per the June 2021 rent roll,
the collateral was 87% occupied, which is down from 93% in 2020 and
from its previous high of 98% in 2018. Servicer-reported NOI DSCR
for this amortizing loan was 1.49x as of the YTD September 2021
compared with 1.56x at YE 2020 and 1.69x at YE 2019.

Comparable in-line tenant sales were $435 psf for the TTM ended
September 2021, up from $334 psf at YE 2020, $383 psf at YE 2019
and $409 psf at issuance. Tenants comprising approximately 10.3% of
the NRA have leases scheduled to expire by YE 2022 with another
22.8% scheduled to expire in 2023, including At Home (13.8% NRA).
Fitch's base case loss of approximately 23% reflects a 20% cap rate
and 5% total haircut to the YE 2020 NOI.

Alternative Loss Consideration: Fitch applied a sensitivity to AG
Lifetime Fitness Portfolio (4.4%) to reflect non-credit worthy
single tenant/binary risks and special use nature of the properties
and a pandemic related stress to Residence Inn by Marriott LAX
(2.1%) due to the hotel's vulnerability to the ongoing pandemic.
This sensitivity analysis contributed to the Negative Outlooks.

Increasing Credit Enhancement (CE): As of the January 2022
distribution date, the pool's aggregate balance has been reduced by
8.9% to $671.2 million from $736.8 million at issuance. Since
Fitch's prior rating action, three loans with a $14.7 million
combined balance paid in full. One specially serviced loan with a
$13.6 million balance was disposed with a $1.9 million loss to the
trust. Twenty-four loans (41.5%) are amortizing balloon, eight
(34.2%) are full-term IO and 11 (24.3%) that were structured with a
partial-term IO component at issuance are in their amortization
periods. One loan (2.2%) is fully defeased. Actual realized losses
of $1.9 million and cumulative interest shortfalls of $1.1 million
are currently affecting the non-rated class G.

Pool Concentration: The top 10 loans comprise 46.7% of the pool.
Loan maturities are concentrated in 2026 (66.9%), with three loans
(11.1%) maturing in 2022 and 10 (22.0%) in 2025. Based on property
type, the largest concentrations are retail at 33.3%, office at
32.6% and hotel at 18.9%.

RATING SENSITIVITIES

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

-- Downgrades of the 'AAAsf' classes are not likely due to
    sufficient CE and the expected receipt of continued
    amortization but could occur if interest shortfalls affect the
    class. Classes B, X-B, C and D would be downgraded if interest
    shortfalls affect the class, additional loans become FLOCs or
    if performance of the FLOCs deteriorates further.

-- Classes E, X-E, F and X-F would be downgraded if loss
    expectations increase, additional loans transfer to special
    servicing or losses are realized.

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

-- Upgrades of classes B, X-B, C and D may occur with significant
    improvement in CE and/or defeasance, but would be limited
    based on sensitivity to concentrations or the potential for
    future concentration. Classes would not be upgraded above
    'Asf' if there is a likelihood for interest shortfalls.

-- Upgrades of classes E, X-E, F and X-F could occur if
    performance of the FLOCs improves significantly and/or if
    there is sufficient CE, which would likely occur if the non-
    rated classes are not eroded and the senior classes pay-off.

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.


SLM STUDENT 2008-3: S&P Raises Class B Notes Rating to 'BB (sf)'
----------------------------------------------------------------
S&P Global Ratings raised its rating on the class B notes from SLM
Student Loan Trust 2008-3 (SLM 2008-3) to 'BB (sf)' from 'CC (sf)'.
At the same time, S&P removed the rating from CreditWatch, where
S&P placed it with developing implications on Oct. 8, 2021. SLM
2008-3 is an ABS transaction backed by student loans originated
through the U.S. Department of Education's (ED) Federal Family
Education Loan Program (FFELP).

The upgrade reflects the strength of the collateral, the current
overcollateralization that is expected to build over time, the
pay-in-kind (PIK) nature of the interest on the notes, and the
strong liquidity position due to a maturity date in 2083, which is
well after when the pool of loans is expected to be repaid.
However, S&P has limited the rating on the class B notes to a 'BB
(sf)' rating, which reflects uncertainties that exist due to an
ongoing event of default (EOD) on the notes, which is expected to
remain in place for approximately 10 years.

On Oct 26, 2021, we lowered our rating on SLM 2008-3's class A-3
notes to 'D (sf)' because class A-3 was not repaid by its legal
final maturity date, which triggered an EOD under the transaction
documents. As a result of the class A EOD, the waterfall changed
(principal payments to the class A-3 notes were reprioritized in
front of interest to the class B notes), triggering an additional
EOD under the transaction documents because the class B notes are
not receiving payments for their current interest.

Losses

ED reinsures at least 97% of the principal and interest on
defaulted loans serviced, according to the FFELP guidelines. Due to
the high level of recoveries from ED on defaulted loans, defaults
effectively function similarly to prepayments. Thus, S&P expect net
losses to be minimal.

Liquidity

The class A-3 default was primarily caused by a decline in the pace
of amortization of the loans due to an increase in borrowers that
have qualified for income-based repayment (IBR) plans. The IBR
plans allow a borrower's monthly payment to be lowered and can
allow the loan term to be extended by up to 25 years. Class B does
not face the same liquidity pressures because its legal final
maturity date is in 2083. The loans in the pool are expected to be
repaid through the guaranty recovery on default, borrower
repayment, or ED loan forgiveness well in advance of the class B
maturity date.

Class B Interest Payments

The transaction documents define the current interest payable to
the class B noteholders to include interest for the current
payment, as well as any cumulative interest shortfall, including
interest on the cumulative interest shortfall. As such, S&P views
the note as a PIK note.

S&P ran various cash flow runs that included additional scenarios
to stress for high levels of IBR. The class B notes received all
the interest (including interest on any shortfalls owed due to the
notes' PIK nature) and principal by their legal final maturity
date. The cash flow results show that class B was repaid all
interest and principal three to five years after class A was
repaid. The PIK feature had minimal impact on the cash flows,
primarily because:

-- The class B maturity date is well past the expected paydown of
the loan pool,

-- Net losses on the loan pool are expected to be minimal due to
the guarantee from the ED,

-- The size of class B, which is paying interest in kind, is small
relative to the size of the loan pool, and

-- Most nonpaying loans accrue interest that is capitalized at the
time it enters repayment, so the collateral pool grows until repaid
either by the borrower or the ED through loan forgiveness or
recovery of default.

While the cash flows can support a 'AA+' rating, they cannot
account for the various outcomes that could be exercised in the
future due to the ongoing EOD. Before an EOD, the transaction
documents define the payment priority, cap the fees and expenses,
and limit actions the trust can take that can result in losses to
the noteholders. After an EOD, numerous alternatives are available
to the trustee and noteholders that can result in actions such as
uncapping certain expenses paid before payments to the noteholders
and liquidating the collateral.

While the parties have not yet exercised their remedies under the
EOD provisions, they retain those rights until the class A-3 notes
are repaid and until the class B interest shortfalls, which include
the PIK interest, have been repaid. The transaction's
overcollateralization is expected to grow, as the trust is no
longer allowed to release amounts.

Based on the current pace of payments, the class A-3 notes are
expected to be repaid in approximately nine years, unless the notes
are repaid earlier through the sale of the collateral when the
collateral pool factor falls below 10% (estimated to occur in
approximately seven years). Noteholders may have competing
interests, which may change over time, as to how they would like
the EOD to be addressed. The ongoing EOD and the parties' ongoing
right to enact the post-EOD remedies introduce uncertainty relating
to the future course of action, which did not exist prior to the
EOD. The class B note is the most subordinate bond and, as such, it
would be the first class exposed to any losses if the parties took
a course of action with negative consequences to the timing or
amount of the cash flows. This ongoing uncertainty is reflected in
our rating.

Key cash flow assumptions include the following:

-- Remaining defaults in the 15%-65% range. Additionally, we ran
liquidity scenarios with no defaults.

-- Servicer rejects in the 1.75%-2.75% range.

-- A front-loaded four-year fast default curve and a seven-year
slow default curve.

-- Recovery rates reflecting the government guarantee provided for
on the loan-level collateral file.

-- Special allowance payments and interest rate subsidy delays of
two months.

-- A delay of ED claim reimbursement on defaulted loans of 630
days.

-- Prepayment speeds starting at approximately 20%-30% (depending
on rating scenario) constant prepayment rate (CPR; an annualized
prepayment speed stated as a percentage of the current loan
balance) and ramping down 5% per year to a rate of 10%-20%,
depending on the rating scenario. Additionally, S&P ran liquidity
scenarios with no prepayments.

-- Deferment: 9.00%-11.00% of the loans are in deferment for
36-120 months depending on the scenarios. Longer deferment periods
were run to stress the cash flows similar to how IBR stresses cash
flows.

-- Forbearance: 6.00%-26.00% of the loans are in forbearance for
48-240 months. Longer forbearance periods were run to stress the
cash flows similar to how IBR stresses cash flows.

-- Stressed one-month LIBOR interest rate paths (up/down and
down/up) based on the Cox-Ingersoll-Ross framework.



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

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 B3 (sf)

RATINGS RATIONALE

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

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

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

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

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

The Moody's first mortgage DSCR is 1.35x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.60x. Moody's DSCR is based
on Moody's stabilized net cash flow.

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

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 1.75.

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

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

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

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.


SOUND POINT XXXIII: Moody's Assigns (P)Ba3 Rating to $20MM E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Sound Point CLO XXXIII, Ltd. (the
"Issuer" or Sound Point CLO XXXIII).

Moody's rating action is as follows:

US$315,000,000 Class A Senior Secured Floating Rate Notes due 2035,
Assigned (P)Aaa (sf)

US$65,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned (P)Aa2 (sf)

US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned (P)A2 (sf)

US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned (P)Baa3 (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.

Sound Point CLO XXXIII is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 92.5% of the portfolio must
consist of first lien senior secured loans, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans, senior unsecured loans and bonds. Moody's expect the
portfolio to be fully ramped as of the closing date.

Sound Point Capital Management, LP (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 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: 80

Weighted Average Rating Factor (WARF): 2790

Weighted Average Spread (WAS): S+3.50%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 8.14 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.


UBS COMMERCIAL 2018-C15: Fitch Affirms B- Rating on G-RR Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of UBS Commercial Mortgage
Trust 2018-C15 commercial mortgage pass-through certificates series
2018-C15. Additionally, Fitch has revised classes A-S through E-RR
and X-B to Rating Outlook Stable from Outlook Negative. The
Outlooks on Classes F-RR and G-RR remain Negative.

    DEBT               RATING           PRIOR
    ----               ------           -----
UBS 2018-C15

A-2 90278LAV1    LT AAAsf   Affirmed    AAAsf
A-3 90278LAX7    LT AAAsf   Affirmed    AAAsf
A-4 90278LAY5    LT AAAsf   Affirmed    AAAsf  
A-S 90278LBB4    LT AAAsf   Affirmed    AAAsf
A-SB 90278LAW9   LT AAAsf   Affirmed    AAAsf
B 90278LBC2      LT AA-sf   Affirmed    AA-sf
C 90278LBD0      LT A-sf    Affirmed    A-sf
D 90278LAC3      LT BBB+sf  Affirmed    BBB+sf
D-RR 90278LAE9   LT BBB-sf  Affirmed    BBB-sf
E-RR 90278LAG4   LT BB+sf   Affirmed    BB+sf
F-RR 90278LAJ8   LT BB-sf   Affirmed    BB-sf
G-RR 90278LAL3   LT B-sf    Affirmed    B-sf
X-A 90278LAZ2    LT AAAsf   Affirmed    AAAsf
X-B 90278LBA6    LT AA-sf   Affirmed    AA-sf

KEY RATING DRIVERS

Improved Loss Expectations: The affirmations are driven by a
decline in loss expectations for the pool primarily due to improved
performance of Fitch Loans of Concern. Two hotel loans and one
retail loan (8.0%) remain in special servicing, and 12 loans
(38.2%) have been designated as Fitch Loans of Concern.

Fitch's current ratings incorporate a base case loss of 4.50%. The
revised Outlooks on Classes A-S through E-RR and X-B reflect
better-than-expected 2020 performance of the Saint Louis Galleria
and the expectation that the mall would not have an outsized loss
as the mall remains on the path of continued stabilization.

Fitch Loans of Concern: The largest contributor to Fitch's overall
loss expectations is the Saint Louis Galleria (7.7%), a
Brookfield-sponsored, super-regional mall located in St. Louis, MO.
The subject's three largest tenants include Galleria 6 Cinemas
(4.2% NRA), H&M (2.8% NRA) and Victoria's Secret (2.8% NRA), and
the subject's non-collateral anchors include Dillard's, Macy's and
Nordstrom. Inline sales excluding Apple improved to $468 psf as of
TTM June 2021 from $404 psf (TTM June 2020), $470 psf (2019) and
$561 psf (TTM August 2018). According to the subject's September
2021 rent roll, multiple leases comprising approximately 17% of NRA
were scheduled to expire in 2022. Fitch modeled a loss of 12.5%.

The second largest contributor to Fitch's overall loss expectations
is 16300 Roscoe Blvd (2.9%), a 154,033-sf office property located
in Van Nuys, CA, and built in 1956. The largest tenant, MGA
Entertainment (61.3% of NRA) has gone dark, reducing physical
occupancy at the property to 38%. MGA Entertainment is a
sponsor-affiliated tenant with a lease expiration in December
2033.

Per the servicer, the space is being marketed and negotiations are
ongoing with two tenants that would lease approximately 28.8% of
NRA. The loan is currently not cash managed as MGA Entertainment
guarantees their lease. The borrower also reported that the second
largest tenant Alfred Publishing (17.3% of NRA) would not be
renewing their lease upon the December 2021 lease expiration.

If MGA Entertainment were to terminate the lease, cash management
would be triggered. MGA Entertainment has built a parking garage
and has plans to renovate the building's exterior to make the
property more appealing to potential tenants. Fitch's analysis
included a 50% stress to YE 2020 NOI to address the departure of
the two largest tenants, resulting in a loss of 26.3%.

Specially Serviced Loans: The largest specially serviced loan is
Great Value Storage Portfolio (9.4%), a 64-property, 4.1 million-sf
self-storage portfolio located across 10 states. The loan
transferred on June 2021 to special servicing as a result of the
Borrower, World Class Holding Company, filing bankruptcy on June
17, 2021. According to the special servicer, the resolution is
either through a property sale in May 2022 or potentially the
Mezzanine lenders buying the senior debt provided they have the
right and are not in default under the intercreditor agreement.

The second-largest specially serviced loan is the Princeton
Marriott at Forrestal (4.1%), a 302-key full-service hotel in
Princeton, NJ. The loan transferred to special servicing in
September 2020 for imminent default. Per the special servicer's
comment on January 27th, 2022, a forbearance agreement has closed
and the loan is anticipated to be returned to the master servicer
in the next 30 days. Per the October 2021 STR report, the property
had a TTM RevPAR of $38.96 compared with Fitch's expectations of
$108 at issuance. Fitch's analysis reflects a minimal loss to
account for special servicing fees and expenses.

Moderate Change to Credit Enhancement: As of the January 2022
distribution date, the pool's aggregate balance has been reduced by
9.4% to $586.0 million from $646.5 million at issuance. Two loans
(Feather River Crossing and Hilton Garden Inn - Killeen, TX), with
a combined balance of $17.4 million as of the prior review paid off
in full.

One loan (Hampton Inn - Derby) with a balance of $4.8 million as of
the prior review liquidated with a realized loss of $1.4 million.
Twelve full-term, interest-only loans account for 42.6% of the
pool, and eight loans representing 20.8% of the pool are partial
interest-only. The remainder of the pool consists of 17 balloon
loans representing 36.6% of the pool. Interest shortfalls are
currently affecting class NR-RR.

RATING SENSITIVITIES

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

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the senior classes, A-
    2, A-3, A-4, A-SB, X-A and A-S, are less likely due to the
    high credit enhancement, but may occur at 'AAAsf' or 'AAsf'
    should interest shortfalls occur. Downgrades to classes B, C,
    X-B, D and D-RR would occur should overall pool losses
    increase and/or should additional loans transfer to special
    servicing.

-- Downgrades to classes E-RR, F-RR and G-RR would occur should
    loss expectations increase due to an increase in specially
    serviced loans or an increase in the certainty of a high loss
    on a specially serviced loan. If any of the FLOCs were to
    transfer to special servicing or as expected losses increase,
    these classes could be downgraded.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of classes B, C and X-B would only
    occur with significant improvement in credit enhancement
    and/or defeasance, but would be limited should the deal become
    susceptible to concentration, whereby the underperformance of
    particular loans could cause this trend to reverse. An upgrade
    to classes D and D-RR would also consider 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 there were a
    likelihood for interest shortfalls. An upgrade to classes E
    RR, F-RR and G-RR are not likely until the later years in a
    transaction, and only if the performance of the remaining pool
    is stable and/or if there is sufficient credit enhancement,
    which would likely occur when the senior classes payoff, and
    if the non-rated classes are not eroded.

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.


UNITED AUTO 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect S&P's view of:

-- The availability of approximately 60.00%, 52.25%, 43.34%,
33.47%, and 26.59%, 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 ratings.

-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings will be within the
limits specified by section A.4 of the Appendix contained in its
article, "S&P Global Ratings Definitions," published Nov. 9, 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.

  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)



VERTICAL BRIDGE 2022-1: Fitch Rates Class F Notes 'BB-'
-------------------------------------------------------
Fitch Ratings has issued a presale report for VB-S1 Issuer, LLC's
Secured Tower Revenue Notes, Series 2022-1.

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

-- $80,000,000a series 2022-1, class C-1, 'Asf'; Outlook Stable;

-- $462,000,000b series 2022-1, class C-2-I, 'Asf'; Outlook
    Stable;

-- $462,000,000b series 2022-1, class C-2-II, 'Asf'; Outlook
    Stable;

-- $202,000,000 series 2022-1, class D, 'BBB-sf'; Outlook Stable;

-- $242,000,000 series 2022-1, class F, 'BB-sf'; Outlook Stable.

The following class is not expected to be rated:

-- $51,900,000 series 2022-1, class R (horizontal credit risk
    retention interest with a balance representing 5% of the fair
    value of the notes at the time of closing).

(a) This note has a maximum commitment of $80 million, contingent
on leverage consistent with the class C notes. This class will
reflect a zero balance at issuance.

(b) The total $924 million balance of the class C-2 will be split
between a C-2-I series of notes (5.5-year term) and a C-2-II
(10-year term). The final balances of the C-2-I and C-2-II notes
have yet to be determined but each subclass will have a balance of
no less than $250 million.

TRANSACTION SUMMARY

The transaction is an issuance of notes backed by mortgages
representing no less than 90.0% of the annualized run rate net cash
flow (ARRNCF) on the tower sites and guaranteed by the direct
parent of the borrower issuer. This guarantee is secured by a
pledge and first-priority-perfected security interest in 100% of
the equity interest of the issuer, direct subsidiaries of which own
or lease 3,526 wireless communication sites, which include 3,721
towers and other structures. The new notes will be issued pursuant
to a supplement to the third amended and restated indenture dated
as of the expected closing of the series 2022-1 transaction.

At closing, note proceeds will be used to fund upfront reserves,
refinance existing debt and for general corporate purposes.

The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in cellular sites, not an assessment of
the corporate default risk of the ultimate parent, Vertical Bridge
(VB).

KEY RATING DRIVERS

Trust Leverage: Fitch net cash flow (NCF) on the pool is $112.9
million, implying a Fitch stressed debt service coverage ratio
(DSCR) of 0.99x, and Fitch Leverage (expressed as the multiple of
rating specific debt to Fitch's NCF) of 12.6x. Based on the
outstanding balances at issuance, leverage on the senior notes is
8.2x and 12.1x on the rated notes, which excludes the non-offered
risk retention class R notes.

Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
30 years after closing, and the long-term tenor of the securities
increases the risk that an alternative technology (rendering
obsolete the current transmission of wireless signals through
cellular sites) will be developed. Wireless service providers
Wireless service providers (WSPs) currently depend on towers to
transmit their signals and continue to invest in this technology.

RATING SENSITIVITIES

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

-- Declining cash flow as a result of higher site expenses or
    lease churn, and the development of an alternative technology
    for the transmission of wireless signal could lead to
    downgrades.

-- Fitch's NCF was 2.3% below the issuer's underwritten cash
    flow. A further 10% decline in Fitch's NCF indicates the
    following model-implied rating sensitivities: Class C from
    'Asf' to 'BBBsf'; class D from 'BBB-sf' to 'BBsf'; class F
    from 'BB-sf' to 'Bsf'.

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

-- Increasing cash flow without an increase in corresponding
    debt, from contractual lease escalators, new tenant leases, or
    lease amendments could lead to upgrades.

-- A 10% increase in Fitch's NCF indicates the following model-
    implied rating sensitivities: Class C-1 from 'Asf' to 'Asf';
    class D from 'BBB-sf' to 'BBBsf'; class F from 'BB-sf' to
    'BB+sf'.

-- However, upgrades are unlikely for these transactions given
    the provision for the issuer to issue additional notes, which
    rank pari passu or subordinate to existing notes, without the
    benefit of additional collateral. In addition, the transaction
    is capped in the 'Asf' category, given the risk of
    technological obsolescence.

-- Upgrades are further constrained by the Variable Funding
    Notes, which will likely offset any improvements in cash flow
    with a corresponding increase in debt, keeping leverage levels
    relatively flat.

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

Vertical Bridge 2022-1 has an ESG Relevance Score of '4' for
Transaction & Collateral Structure due to several factors,
including the issuer's ability to issue additional notes, which has
a negative 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.



VOYA CLO 2014-3: Moody's Ups Rating on $23MM Class D Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Voya CLO 2014-3, Ltd.:

US$31,250,000 Class C-R Deferrable Floating Rate Notes due 2026
(the "Class C-R Notes"), Upgraded to Aa1 (sf); previously on August
20, 2021 Upgraded to Aa3 (sf)

US$23,000,000 Class D Deferrable Floating Rate Notes due 2026 (the
"Class D Notes"), Upgraded to Ba2 (sf); previously on August 20,
2021 Upgraded to Ba3 (sf)

Voya CLO 2014-3, Ltd., originally issued in July 2014 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 July 2018.

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-R
notes have been paid down in full and the Class A-2A and Class A-2B
notes have been paid down by approximately 53% or $20.9 million and
$4.9 million, respectively since July 2021. Based on the trustee's
January 2022 report [1], the OC ratios for the Class C and Class D
notes are reported at 138.36% and 109.72%, respectively, versus
July 2021 report [2] levels of 128.48% and 107.75%, 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, weighted average coupon, 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: $114,677,816

Defaulted par: $250,000

Diversity Score: 47

Weighted Average Rating Factor (WARF): 3258

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.35%

Weighted Average Coupon (WAC): 4.96%

Weighted Average Recovery Rate (WARR): 48.34%

Weighted Average Life (WAL): 2.85 years

Par haircut in OC tests and interest diversion test: 2.68%

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.

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.


WELLS FARGO 2015-C29: Fitch Affirms B- Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Wells Fargo Commercial
Mortgage (WFCM) Trust 2015-C29 commercial mortgage pass-through
certificates.

    DEBT               RATING           PRIOR
    ----               ------           -----
WFCM 2015-C29

A-3 94989KAU7    LT AAAsf   Affirmed    AAAsf
A-4 94989KAV5    LT AAAsf   Affirmed    AAAsf
A-S 94989KAX1    LT AAAsf   Affirmed    AAAsf
A-SB 94989KAW3   LT AAAsf   Affirmed    AAAsf
B 94989KBA0      LT AA-sf   Affirmed    AA-sf
C 94989KBB8      LT A-sf    Affirmed    A-sf
D 94989KBC6      LT BBB-sf  Affirmed    BBB-sf
E 94989KAE3      LT BBsf    Affirmed    BBsf
F 94989KAG8      LT B-sf    Affirmed    B-sf
PEX 94989KBD4    LT A-sf    Affirmed    A-sf
X-A 94989KAY9    LT AAAsf   Affirmed    AAAsf

KEY RATING DRIVERS

Stable Loss Expectations: The affirmations reflect stable loss
expectations for the pool since Fitch's prior rating action. There
are 24 Fitch Loans of Concern (FLOCs; 25.9%), including four
specially serviced loans (1.9%). Fitch's current ratings
incorporate a base case loss of 5.60%. The Negative Outlooks factor
in additional sensitivities on one hotel loan and one retail loan
to account for ongoing business disruption as a result of the
pandemic, reflecting that losses could reach 6.10%.

The largest increase in loss since the prior rating action is the
Hall Office Park loan (2.2%), which is secured by an office
property in Frisco, TX. YE 2020 NOI declined 21% from YE 2019 due
primarily to the former largest tenant, Fiserv (35% of NRA; 41% of
total base rents) vacating at lease expiration in April 2019. The
property was 80.3% occupied as of the September 2021 rent roll, up
from 68.1% in January 2021 and 60.6% in September 2020; however,
current occupancy is estimated to be approximately 75%, as per the
servicer, Exencial Wealth Advisors, LLC (5.1%) vacated at
expiration in December 2021.

Occupancy had improved in 2020 due to a new five-year lease
executed with Sofi Lending Corp (8.7% of NRA leased through May
2026) and existing tenant Premier Health Insurance expanding into
an additional 15,544 sf, increasing its footprint to 12% of NRA
from 5.4%. Current largest tenants include Levi Strauss & Company
(12.1%; July 2022), Premier Health Insurance (12%; January 2031),
Sofi Lending Corp (8.7%; May 2026) and 16 Capital Investments (5.8;
October 2023).

As of the September 2021 rent roll, upcoming lease rollover
includes 19.7% of the NRA in 2022, 14.2% in 2023 and 9% in 2024.
The 2022 rollover is mostly concentrated in the July 2022
expiration of largest tenant Levi Strauss & Company (18% of base
rents). Fitch's base case loss of 54% reflects a 9% cap rate on the
YE 2020 NOI.

The next largest increase in loss since the prior rating action is
the 150 Royall Street loan (3.6%), which is secured by a class A
office building located in Canton, MA, approximately 15 miles
southwest of the Boston CBD. Chicago Bridge & Iron (CB&I), which
leased 188,857 sf (72.8% of NRA; 69% of GPR) at issuance on a lease
scheduled through January 2023, has been vacating space and has
ceased operations at the property since issuance following a merger
with McDermott in 2018. CB&I vacated the remainder of its space
(43,212 sf; 16.6% of NRA; 24% of total base rents) in December
2020.

The property was 83.4% occupied as of September 2021, unchanged
from December 2020 but up from 70% physically occupied in December
2019. The borrower has been able to backfill portions of CB&I's old
space; APTIM Facilities Inc. leased 35,007 sf (13.5%) of the former
CB&I space starting in August 2020 through January 2023. The
property's average in-place rents have been above the submarket
average since issuance. Excess cash flow is being swept as a result
of CB&I ceasing to operate. Fitch's base case loss of 13% reflects
a 9% cap rate and 30% stress to the YE 2020 NOI to reflect the
above-market rents, increased vacancy and loss of rent from CB&I
and upcoming lease rollover risk.

Increased Credit Enhancement (CE): As of the January 2022
distribution date, the pool's principal balance has paid down by
12.7% to $1.03 billion from $1.18 billion at issuance. Since
Fitch's prior rating action, seven loans ($27.5 million) repaid
ahead of their scheduled 2025 maturity dates. Seventeen loans (16%)
are defeased, up from 12 loans (10.6%) at the prior rating action.
Fourteen loans (14%) are full-term interest-only, and the remainder
of the pool is now amortizing. One loan (Big Lots Plaza; 0.1%)
matures in May 2022 and the remaining 120 loans (99.9%) mature in
2025.

Coronavirus Exposure: Loans secured by retail and hotel properties
represent 23.9% (38 loans) and 4.9% (seven loans) of the pool,
respectively. Fitch applied an additional stress to the
pre-pandemic cash flows for one retail loan (Parkway Crossing East
Shopping Center; 2.2%) and one hotel loan (Rock Hill Hampton Inn;
1.4%) given significant pandemic-related 2020 NOI declines; these
additional stresses, along with the continued stabilization of the
FLOCs, contributed to the Negative Outlooks.

Co-Op Collateral: The pool contains 23 loans (5.1% of pool) secured
by multifamily co-operative properties, all of which are located in
New York, within the greater New York City Metro area.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans. Downgrades to classes A-3, A-4, A-
    SB, A-S, B and X-A 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 PEX may occur should expected
    losses for the pool increase significantly and/or one or more
    of the larger FLOCs and/or loans susceptible to the
    coronavirus pandemic or experience an outsized loss.
    Downgrades to classes E and F may occur should loss
    expectations increase due to a continued performance decline
    of the FLOCs and/or additional loans transfer to special
    servicing and/or default.

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 and PEX would only occur with
    significant improvement in CE, defeasance and/or performance
    stabilization of FLOCs and other properties affected by the
    coronavirus pandemic. Classes would not be upgraded above
    'Asf' if there were likelihood of interest shortfalls.

-- Upgrades to classes D, E and F may occur as the number of
    FLOCs are reduced, properties vulnerable to the pandemic
    return to pre-pandemic levels and/or 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.


WELLS FARGO 2018-C43: Fitch Affirms B- Rating on Class F Tranche
----------------------------------------------------------------
Fitch Ratings has affirmed Wells Fargo Commercial Mortgage Trust
2018-C43.

    DEBT               RATING           PRIOR
    ----               ------           -----
WFCM 2018-C43

A-2 95001LAR3    LT AAAsf   Affirmed    AAAsf
A-3 95001LAT9    LT AAAsf   Affirmed    AAAsf
A-4 95001LAU6    LT AAAsf   Affirmed    AAAsf
A-S 95001LAX0    LT AAAsf   Affirmed    AAAsf
A-SB 95001LAS1   LT AAAsf   Affirmed    AAAsf
B 95001LAY8      LT AA-sf   Affirmed    AA-sf
C 95001LAZ5      LT A-sf    Affirmed    A-sf
D 95001LAC6      LT BBB-sf  Affirmed    BBB-sf
E 95001LAE2      LT BB-sf   Affirmed    BB-sf
F 95001LAG7      LT B-sf    Affirmed    B-sf
X-A 95001LAV4    LT AAAsf   Affirmed    AAAsf
X-B 95001LAW2    LT A-sf    Affirmed    A-sf
X-D 95001LAA0    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations are in line with loss
expectations at issuance. Fitch's ratings assume a base case loss
is 3.7%. Fitch ran an additional stress scenario which assumed
higher losses on loans expected to be impacted by the coronavirus
pandemic; however, this stressed scenario did not impact the
ratings or Outlooks. Seven loans (15.4%) have been flagged as Fitch
Loans of Concern (FLOCs) including two loans that have transferred
to special servicing (3.2%). Five loans have been flagged as FLOCs
for high vacancy, upcoming lease expirations, low NOI debt service
coverage ratio (DSCR), and/or pandemic-related underperformance.

The largest contributor to modelled losses is Southpoint Office
Center (FLOC, 5.2%), which is secured by a suburban office property
located in the Bloomington, MN. The subject's largest tenant, Wells
Fargo (NRA 18.2%), vacated at lease expiration in October 2020.
September 2021 occupancy fell to 66% from 86% at YE 2019/2020 and
90% at YE 2018. YTD September 2021 NOI DSCR fell to 0.81x compared
to underwritten NOI DSCR of 2.09x. The borrower stated that they
have had discussions with interested tenants for the former Wells
Fargo space but that leasing interest is still recovering from
disruptions caused by the coronavirus pandemic. Fitch's loss
estimate of 12% reflects a 20% haircut and 10% cap rate on YE 2020
NOI.

The largest specially serviced loan is Galleria Oaks (FLOC, 2.2%),
which is secured by a neighborhood shopping center located in
Austin, TX. This loan transferred to special serving in April 2020
for non-monetary default due to three prohibited mechanic liens
against the collateral. The initial foreclosure filings were halted
due to the court's request that mediation be attempted first. The
mediation occurred in Q4 2021; however, the parties failed to come
to the agreement. The special servicer anticipates a foreclosure
sale in Q1 2022 pending another mediation attempt and court
approval. Fitch's loss estimate of 18.5% reflects a 9% cap rate and
a 15% haircut on YE 2018 NOI.

Minimal Change to Credit Enhancement: As of the January 2022
distribution date, the pool's aggregate principal balance has paid
down by .98% to $698.6 million from $722.4 million at issuance. Six
loans comprising 7.05% of pool balance have been fully defeased.
Eleven loans comprising 33.4% of the pool is classified as full
interest-only through the term of the loan.

Exposure to Coronavirus: There are seven loans (6.4% of pool)
secured by hotel properties. Thirteen loans (24.3%) are secured by
retail properties. Fitch's sensitivity analysis applied an
additional stress to the pre-pandemic cash flows to the Holiday Inn
Express Greenville Airport hotel loan (0.7%, FLOC), given
significant pandemic-related 2020 NOI declines.

ADDITIONAL CONSIDERATIONS

Investment-Grade Credit Opinion Loans: Two loans, representing
12.0% of the transaction, were credit assessed at issuance. The
largest loan, Moffett Towers II Building 2 (7.7%) was given a
standalone credit opinion at issuance of 'BBB-sf*'. The seventh
largest loan, Apple Campus 3 (4.3%) was given a standalone credit
opinion at issuance of 'BBB-sf*'.

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-1 through A-S and the interest-only
    classes X-A are not likely due to the position in the capital
    structure, but may occur should interest shortfalls occur.

-- Downgrades to classes B, C, D, E, X-B and X-D are possible
    should performance of the FLOCs continue to decline; should
    loans susceptible to the coronavirus pandemic not stabilize;
    and/or should further loans transfer to special servicing.

-- Class F could be downgraded should the specially serviced loan
    not return to the master servicer and/or as there is more
    certainty of loss expectations from other FLOCs.

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

-- Stable to improved asset performance, coupled with additional
    paydown and/or defeasance.

-- Upgrades to the 'A-sf' and 'AA-sf' rated classes are not
    expected but would likely occur with significant improvement
    in CE and/or defeasance and/or the stabilization to the
    properties impacted from the coronavirus pandemic.

-- An upgrade of the 'BBB-sf' class is unlikely and would be
    limited based on the sensitivity to concentrations or the
    potential for future concentrations.

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

-- An upgrade to the 'BB-sf' and 'B-sf' rated classes is not
    likely unless the performance of the remaining pool stabilizes
    and the senior classes pay off.

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 2012-C7: Fitch Lowers Rating on 2 Tranches to 'C'
-------------------------------------------------------
Fitch Ratings has downgraded four and affirmed five classes of
Wells Fargo Bank, N.A.'s WFRBS 2012-C7 commercial mortgage
pass-through certificates. Additionally, Fitch revised the Rating
Outlook on one class to Stable from Negative.

    DEBT            RATING             PRIOR
    ----            ------             -----
WFRBS 2012-C7

A-2 92936TAB8   LT Asf    Affirmed     Asf
A-S 92936TAC6   LT BBBsf  Affirmed     BBBsf
B 92936TAD4     LT Bsf    Downgrade    BBsf
C 92936TAE2     LT CCsf   Downgrade    B-sf
D 92936TAJ1     LT Csf    Downgrade    CCCsf
E 92936TAK8     LT Csf    Downgrade    CCsf
F 92936TAL6     LT Csf    Affirmed     Csf
G 92936TAM4     LT Csf    Affirmed     Csf
X-A 92936TAF9   LT BBBsf  Affirmed     BBBsf

KEY RATING DRIVERS

Greater Certainty of Losses; Regional Mall Concentration: Despite
improving loan performance for the majority of the pool, exposure
to regional malls (33.7% of pool) remains a rating concern. Two of
the malls are REO (29.1%) and one (4.6%) is in foreclosure. Fitch
performed a paydown scenario assuming the three malls are the last
remaining assets in the pool.

This scenario, along with a greater certainty of losses from higher
loss expectations and potential for exposure to increase on the
malls, contributed to the downgrades and Negative Outlook on class
B. All three malls have experienced further valuation declines
since the last rating action. Class B would be the most senior
class reliant on these malls; this class was capped at 'Bsf'.

Lower Loss Expectations: Expected Paydowns: Fitch's loss
expectations for the pool have improved since the prior rating
action due to better recoveries than expected on the Northridge
Fashion Center and Isola Bella loans, which were both paid in full.
Fitch's current ratings reflect a base case loss of 25.6%.

Excluding the REO assets, the entire pool matures in the first half
of 2022. The Outlook revision to Stable from Negative on class A-2
reflects increasing defeasance, as well as expected paydowns from
upcoming loan maturities. The Negative Outlook on class A-S and X-A
reflect their reliance on Fitch Loans of Concern (FLOCs) to repay.
Nine loans/assets (46.2%) are considered FLOCs, including five
(36.6%) in special servicing.

The largest loss contributor is the REO Town Center at Cobb asset
(16.1% of pool), a 559,940-sf portion of a 1.3 million-sf regional
mall located in Kennesaw, GA, approximately 22 miles northwest of
Atlanta. The collateral consists of a 128,819-sf Belk anchor box, a
31,026-sf portion of the JCPenney anchor box and 400,095-sf of
in-line space. Non-collateral anchors include Macy's, Macy's
Furniture and JCPenney. A non-collateral Sears closed its store in
2020. The loan transferred to special servicing in June 2020 for
payment default and the asset became REO in March 2021.

The special servicer is working to stabilize the asset prior to
marketing it for sale. Occupancy was 89.5% as of September 2021,
compared to 82% a year prior. Pre-pandemic in-line sales for
tenants less than 10,000 sf were $400 psf as of YE 2019. Updated
sales were requested, but not provided. Leases accounting for
approximately 50% of the collateral NRA are scheduled to expire
over the next 24 months, including Belk (23% of NRA) in August
2022. Belk emerged from Chapter 11 bankruptcy in February 2021.
Fitch's base case loss of 65% reflects a stress to a recent
appraisal, implying a cap rate of 23.2% on the YE 2020 NOI.

The second largest loss contributor is the REO Florence Mall asset
(10.1% of pool), a 384,111-sf portion of a 957,443-sf regional mall
located in Florence, KY. Non-collateral anchors include JCPenney
and Macy's. A non-collateral Sears closed in November 2018. The
largest collateral tenant is Cinemark (17.6% of NRA; through June
2028). The loan transferred to special servicing in July 2020 due
to imminent monetary default and was foreclosed in November 2020.

The asset became REO in April 2021. The collateral was 82% occupied
as of March 2020. Total in-line sales were $309 psf at YE 2019. Per
the special servicer, the property suffered collection issues in
2020 and as of September 2020 had only reached 73% of collected
rent. Updated occupancy and sales figures were requested but not
provided. Fitch's base case loss of 71% reflects a stress to a
recent appraisal, implying a cap rate of 31% on the YE 2019 NOI.

The third largest contributor to loss is the specially serviced
Fashion Square loan (3.7% of pool), which is secured by a
446,288-sf portion of a 711,114-sf regional mall in Saginaw, MI.
The loan transferred to special servicing in July 2020 for imminent
monetary default. The loan was foreclosed in October 2021; however,
the sponsor, Namdar, has a 'right of redemption', which allows the
borrower to reclaim the property if the outstanding debt is repaid.
The receiver will stay in place until the right of redemption
expires in April 2022, at which time the title will transfer to the
trust and receivership will be terminated.

The property is anchored by a non-collateral Macy's and a
collateral JCPenney. The non-collateral Sears closed in 2019; the
site has served as a COVID-19 vaccination and testing site.
Property has suffered declining occupancy since 2017 and inline
sales for tenants less than 10,000 sf were $206 psf as of TTM
September 2019. Updated performance information was requested but
no provided. Fitch's base case loss has increased to 93% based upon
a stress to a recent appraisal, which has further declined from
previous valuations.

Improved Credit Enhancement: As of the January 2022 remittance, the
pool's aggregate principal balance had been reduced by 37.6% to
$689 million from $1.1 billion at issuance. Since Fitch's last
rating action, five loans (previously 21.3% of the pool) were paid
in full at or prior to their scheduled maturity dates, including
the former largest loan Northridge Fashion Center (previously,
14.7%). Nineteen loans (23.2%) are defeased. Realized losses to
date total $5.1 million and are isolated to the non-rated class H
certificates. Interest shortfalls totaling $4.1 million are
impacting classes E through H.

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. A downgrade to class A-2 is
    not expected due to the senior position in the capital
    structure, and expected paydowns from defeased and maturing
    loans. Downgrades to classes A-S, X-A and B may occur should
    FLOCs fail to stabilize and performance continues to decline,
    including if the regional mall values decline further.

-- Further downgrades of classes C, D, E, F and G will occur as
    losses are realized or with greater certainty of losses.

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

-- Upgrades are not currently expected given the pool's exposure
    to regional malls and the outlook for retail performance.

Factor that lead to upgrades would include significantly improved
performance coupled with pay down and/or defeasance:

-- An upgrade to class B is not possible as the rating is capped
    due to the lower-tier regional mall exposure. Upgrades to the
    distressed-rated classes C through G are not likely, unless
    one or more of the malls dispose at greater than expected
    recoveries.

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.


WIND RIVER 2019-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-1R, B-R, C-R, D-R, and E-R replacement notes from Wind River
2019-2 CLO Ltd./Wind River 2019-2 CLO LLC, a CLO originally issued
in November 2019 that is managed by First Eagle Alternative Credit
EU LLC.

The preliminary ratings are based on information as of Feb. 15,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Feb. 18, 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 (we did not rate the class A-2 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 X-R, A-1R, B-R, C-R, D-R, and E-R notes
will be issued at a floating spread over the Secured Overnight
Financing Rate (SOFR).

-- The stated maturity will be extended to Jan. 15, 2035, the
reinvestment period will be extended to Jan. 15, 2027, the non-call
period will be extended to Jan. 15, 2024.

-- The class X-R notes issued in connection with this refinancing
will be paid down using interest proceeds over two payment dates
starting on the second payment date.

-- Of the identified underlying collateral obligations, 99.48%
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, 94.62%
have recovery ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $1.00 million: Three-month SOFR + 0.65%
  Class A-1R, $320.00 million: Three-month SOFR + 1.35%
  Class B-R, $60.00 million: Three-month SOFR + 1.95%
  Class C-R, $30.00 million: Three-month SOFR + 2.25%
  Class D-R, $30.00 million: Three-month SOFR + 3.30%
  Class E-R, $20.00 million: Three-month SOFR + 7.00%

  Refinanced notes

  Class A-1a, $273.70 million: Three-month LIBOR + 1.32%
  Class A-1b, $36.30 million: 2.89%
  Class A-2, $15.00 million: Three-month LIBOR + 1.65%
  Class B-1, $50.00 million: Three-month LIBOR + 1.75%
  Class B-2, $5.00 million: 3.36%
  Class C, $30.00 million: Three-month LIBOR + 2.65%
  Class D, $30.00 million: Three-month LIBOR + 3.95%
  Class E, $20.00 million: Three-month LIBOR + 7.25%

All or some of the notes issued by this CLO transaction contain
stated interest at SOFR plus a fixed margin. At this time, the vast
majority of the corporate loans are still paying a margin over
LIBOR. They are expected to transition to a new rate by June 2023
when LIBOR settings will no longer be published. S&P will continue
to monitor reference rate reform and take into account changes
specific to this transaction and its underlying assets when
appropriate.

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. These results incorporate a
10-basis-point adjustment to the spread of the LIBOR based assets.

"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

  Wind River 2019-2 CLO Ltd./Wind River 2019-2 CLO LLC

  Class X-R, $1.00 million: AAA (sf)
  Class A-1R, $320.00 million: AAA (sf)
  Class B-R, $60.00 million: AA (sf)
  Class C-R (deferrable), $30.00 million: A (sf)
  Class D-R (deferrable), $30.00 million: BBB- (sf)
  Class E-R (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $48.30 million: Not rated



WOODMONT 2018-4: S&P Assigns Prelim BB- (sf) Rating Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1A-R, A-1B-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes
from Woodmont 2018-4 Trust, a CLO originally issued in April 2018
that is managed by MidCap Financial Services Capital Management
LLC.

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

On the April 11, 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 deal is being upsized to $1 billion from $554 million.

-- The replacement classes are expected to be issued at a spread
over three-month Secured Overnight Financing Rate (SOFR), whereas
the original classes were based on three-month LIBOR.

-- The replacement classes are expected to be issued at a floating
spread, replacing the current floating-rate notes.

-- The stated maturity and reinvestment period will be extended
four years.

-- Of the identified underlying collateral obligations, 88.56%
have credit ratings or estimates assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 1.96% have
recovery ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1R, $580.00 million: Three-month SOFR + 1.64%
  Class A-2R, $25.00 million: Three-month SOFR + 1.90%
  Class B-R, $75.00 million: Three-month SOFR + 2.05%
  Class C-R (deferrable), $80.00 million: Three-month SOFR + 2.85%
  Class D-R (deferrable), $60.00 million: Three-month SOFR + 4.05%
  Class E-R (deferrable), $70.00 million: Three-month SOFR + 8.40%
  Certificates, $110.27 million: Not rated

  Original notes

  Class A-1, $316.25 million: Three month LIBOR + 1.26%
  Class A-2, $16.50 million: Three month LIBOR + 1.45%
  Class B, $46.75 million: Three month LIBOR + 1.70%
  Class C (deferrable), $41.25 million: Three month LIBOR + 2.20%
  Class D (deferrable), $35.75 million: Three month LIBOR + 3.40%
  Class E (deferrable), $33.00 million: Three month LIBOR + 7.20%
  Certificates, $64.90 million: Not rated

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

  Woodmont 2018-4 Trust

  Class A-1R, $580.00 million: AAA (sf)
  Class A-2R, $25.00 million: AAA (sf)
  Class B-R, $75.00 million: AA (sf)
  Class C-R (deferrable), $80.00 million: A (sf)
  Class D-R (deferrable), $60.00 million: BBB- (sf)
  Class E-R (deferrable), $70.00 million: BB- (sf)
  Certificates, $110.27 million: Not rated



ZAIS CLO 18: Moody's Assigns Ba3 Rating to $16MM Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by ZAIS CLO 18, Limited (the "Issuer" or "ZAIS 18").

Moody's rating action is as follows:

US$215,000,000 Class A-1-A Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$25,000,000 Class A-1-F Senior Secured Fixed Rate Notes due 2035,
Assigned Aaa (sf)

US$16,000,000 Class A-J Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$48,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)

US$20,000,000 Class C Deferrable Mezzanine Floating Rate Notes due
2035, Assigned A2 (sf)

US$19,000,000 Class D-1 Deferrable Mezzanine Floating Rate Notes
due 2035, Assigned Baa3 (sf)

US$5,000,000 Class D-F Deferrable Mezzanine Fixed Rate Notes due
2035, Assigned Baa3 (sf)

US$16,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2035, Assigned 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.

ZAIS 18 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans, cash and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 99% ramped as of
the closing date.

ZAIS Leveraged Loan Master 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 issued 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: $400,000,000

Diversity Score: 50

Weighted Average Rating Factor (WARF): 2535

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 46.0%

Weighted Average Life (WAL): 7.9 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.


[*] Fitch Affirms 'C' Ratings on 19 Tranches From 6 CDO Deals
-------------------------------------------------------------
Fitch Ratings, on Feb. 15, 2022, affirmed the ratings on 25
classes, upgraded 17 classes and assigned Rating Outlooks to four
classes from six collateralized debt obligations (CDOs). Fitch has
also removed 11 notes from Under Criteria Observation (UCO).

    DEBT                            RATING           PRIOR
    ----                            ------           -----
MMCapS Funding XVIII, Ltd./Corp

A-1 60688HAA3                  LT AAAsf  Upgrade     Asf
A-2 60688HAB1                  LT AAAsf  Upgrade     Asf
B 60688HAC9                    LT AA-sf  Upgrade     BBBsf
C-1 60688HAD7                  LT BBsf   Upgrade     CCCsf
C-2 60688HAE5                  LT BBsf   Upgrade     CCCsf
C-3 60688HAF2                  LT BBsf   Upgrade     CCCsf
D 60688HAG0                    LT Csf    Affirmed    Csf

Trapeza CDO X, Ltd/Inc.

A-1 89413CAA5                  LT AAsf   Affirmed    AAsf
A-2 89413CAC1                  LT Asf    Upgrade     BBBsf
B 89413CAE7                    LT BBB-sf Upgrade     BBsf
C-1 89413CAG2                  LT Csf    Affirmed    Csf
C-2 89413CAN7                  LT Csf    Affirmed    Csf
D-1 89413CAJ6                  LT Csf    Affirmed    Csf
D-2 89413CAL1                  LT Csf    Affirmed    Csf
Subordinated Notes 89413DAA3   LT Csf    Affirmed    Csf

U.S. Capital Funding V Ltd./Corp.

A-1 90342WAA5                  LT AAsf   Upgrade     Asf
A-2 90342WAC1                  LT A+sf   Upgrade     BBBsf
A-3 90342WAE7                  LT BBsf   Upgrade     Bsf
B-1 90342WAG2                  LT Csf    Affirmed    Csf
B-2 90342WAJ6                  LT Csf    Affirmed    Csf
C 90342WAL1                    LT Csf    Affirmed    Csf

Trapeza CDO XI, Ltd./Inc.

A-1 89412KAA8                  LT AAsf   Affirmed    AAsf
A-2 89412KAC4                  LT A+sf   Upgrade     Asf
A-3 89412KAE0                  LT BBB+sf Upgrade     BBBsf
B 89412KAG5                    LT BBsf   Affirmed    BBsf
C 89412KAJ9                    LT CCsf   Affirmed    CCsf
D-1 89412KAN0                  LT Csf    Affirmed    Csf
D-2 89412KAQ3                  LT Csf    Affirmed    Csf
E-1 89412KAS9                  LT Csf    Affirmed    Csf
E-2 89412KAU4                  LT Csf    Affirmed    Csf
F 89412JAA1                    LT Csf    Affirmed    Csf

U.S. Capital Funding VI, Ltd./Corp.

Class A-1 903428AA8            LT A-sf   Upgrade     BBBsf
Class A-2 903428AB6            LT BB-sf  Upgrade     Bsf
Class B-1 903428AD2            LT Csf    Affirmed    Csf
Class B-2 903428AE0            LT Csf    Affirmed    Csf
Class C-1 903428AF7            LT Csf    Affirmed    Csf
Class C-2 903428AC4            LT Csf    Affirmed    Csf

Trapeza CDO III, LLC

B 89412MAE6                    LT AAsf   Affirmed    AAsf
C-1 89412MAG1                  LT CCCsf  Upgrade     CCsf
C-2 89412MAJ5                  LT CCCsf  Upgrade     CCsf
D 89412MAL0                    LT Csf    Affirmed    Csf
E 89412MAN6                    LT Csf    Affirmed    Csf

TRANSACTION SUMMARY

The CDOs are collateralized primarily by trust preferred securities
(TruPS) issued by banks.

KEY RATING DRIVERS

All of the transactions experienced moderate deleveraging from
collateral redemptions and/or excess spread, which led to the
senior classes of notes receiving paydowns ranging from 4% to 53%
of their last review note balances. This deleveraging in
conjunction with the impact of Fitch's recently updated U.S. Trust
Preferred CDOs Surveillance Rating Criteria (TruPS CDO Criteria)
and CLOs and Corporate CDOs Rating Criteria led to the upgrades.

For all six transactions, the credit quality of the collateral
portfolios, as measured by a combination of Fitch's bank scores and
public ratings, improved. No new cures, deferrals or defaults have
been reported.

Upgrades were mainly limited by the outcome of the sector wide
migration sensitivity analysis described in the TruPS CDO Criteria
for most notes.

For the class C-1 and C-2 notes in Trapeza CDO III, LLC, the
ratings are one rating category lower than the model-implied rating
(MIR), based on the outcome of Weighted Average Number (WAN)
Overlay analysis.

The Stable Outlooks on 19 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
such classes' rating.

Fitch considered the rating of the issuer account bank in the
ratings for the class B notes in Trapeza CDO III, LLC., the class
A-1 notes in Trapeza CDO X, Ltd/Inc., the class A-1 notes in
Trapeza CDO XI, Ltd./Inc., and the class A-1 notes in U.S. Capital
Funding V, Ltd./Corp. due to the transaction documents not
conforming to Fitch's "Structured Finance and Covered Bonds
Counterparty Rating Criteria." These transactions are allowed to
hold cash, and their transaction account bank (TAB) does not
collateralize cash. Therefore, these classes of notes are capped at
the same rating as that of their TAB.

RATING SENSITIVITIES

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

-- Downgrades to the rated notes may occur if a significant share
    of the portfolio issuers 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 to 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.

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.


[*] Moody's Takes Action on $83.2MM of US RMBS Issued 2004-2006
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three bonds
and downgraded the ratings of two bonds from two 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/3sLigAA

Complete rating actions are as follows:

Issuer: CWABS Asset-Backed Certificates Trust 2006-11

Cl. 2-AV, Upgraded to Aaa (sf); previously on May 28, 2021
Confirmed at Aa3 (sf)

Cl. 3-AV-2, Upgraded to Ba1 (sf); previously on May 28, 2021
Upgraded to Ba3 (sf)

Cl. 3-AV-3, Upgraded to B2 (sf); previously on May 28, 2021
Confirmed at Caa1 (sf)

Issuer: Wells Fargo Home Equity Trust 2004-1

Cl. 2-A1, Downgraded to Baa1 (sf); previously on Mar 13, 2011
Downgraded to A2 (sf)

Cl. 2-A2, Downgraded to Baa1 (sf); previously on Mar 13, 2011
Downgraded to A2 (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 Classes 2-A1 and 2-A2 from Wells
Fargo Home Equity Trust 2004-1 is primarily due to the amortization
of the mezzanine tranches. Classes M-1, M-2, M-3 and M-4, which
provide credit support to the affected tranches, have paid down
from approximately $6.5 million to $3.4 million 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 Takes Various Actions on 165 Classes from Six US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 165 classes from six
U.S. RMBS prime jumbo transactions. The review yielded 27 upgrades
and 138 affirmations.

A list of Affected Ratings can be viewed at:

             https://bit.ly/3Ly9RsQ

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, and a growing percentage of credit support
to the rated classes. In addition, delinquency levels have
generally been declining in the reviewed transactions, in part due
to borrowers exiting COVID-19-related forbearance plans via
deferrals and/or loan modifications, or upon the completion of
repayment plans. However, delinquency levels 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 remain relatively consistent with our prior projections.

Analytical Considerations

S&P incorporates various considerations into its 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.



[*] S&P Takes Various Actions on 65 Classes from 10 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 65 ratings from 10 U.S.
RMBS transactions issued between 2003 and 2005. The review yielded
three downgrades, 59 affirmations, and three discontinuances.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3gTsx8h

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:

-- Factors related to the COVID-19 pandemic,
-- Collateral performance or delinquency trends,
-- An increase or decrease in available credit support,
-- Available subordination and/or overcollateralization,
-- Expected duration,
-- Historical and/or outstanding missed interest payments/interest
shortfalls,
-- Credit-related reductions in interest,
-- A small loan count, and
-- Payment priority.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
below for the specific rationales associated with each of the
classes with rating transitions.

"The ratings affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections."



[*] S&P Takes Various Actions on 76 Classes From 22 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 76 ratings from 22 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
16 upgrades, nine downgrades, 31 affirmations, one discontinuance,
and 19 withdrawals. Additionally, S&P subsequently discontinued one
of the lowered ratings.

A list of Affected Ratings can be viewed at:


             https://bit.ly/3HHWzHX

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- Increase or decrease in available credit support;
-- Expected duration;
-- Historical and/or outstanding missed interest payments/interest
shortfalls;
-- Principal write-downs;
-- Small loan count; and
-- Payment priority.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
below for the specific rationales associated with each of the
classes with rating transitions.

"The ratings affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections.

"We withdrew our rating on 19 classes from six transactions due to
the small number of loans remaining within the related group or
structure. Once a pool has declined to a de minimis amount, we
believe there is a high degree of credit instability that is
incompatible with any rating level."



                            *********

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