/raid1/www/Hosts/bankrupt/TCR_Public/220320.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, March 20, 2022, Vol. 26, No. 78

                            Headlines

ALESCO PREFERRED XVII: Moody's Hikes Rating on 2 Tranches to B1
AMERICREDIT AUTOMOBILE 2022-1: Fitch Assigns BB Rating on E Debt
AMERICREDIT AUTOMOBILE 2022-1: Moody's Gives Ba1 Rating to E Notes
AMSR 2022-SFR1: DBRS Gives Prov. B(low) Rating on Class G Certs
ANGEL OAK 2022-2: Fitch Gives Final B Rating to Class B-2 Debt

ARBOR REALTY 2022-FL1: DBRS Finalizes B(low) Rating on G Notes
ARROYO MORTGAGE 2022-1: DBRS Gives Prov. B Rating on Cl. B-2 Notes
BAIN CAPITAL 2022-1: Moody's Assigns Ba3 Rating to Class E Notes
BANK 2022-BNK39: DBRS Finalizes BB(low) Rating on Class G Certs
BBAM US I: S&P Assigns Preliminary BB- (sf) Rating on Cl. D Notes

BBCMS MORTGAGE 2020-C6: DBRS Confirms BB Rating on Cl. G-RR Certs
BBCMS MORTGAGE 2022-C15: Fitch Rates Class G-RR Debt 'B-'
BEAR STEARNS 2007-TOP26: DBRS Cuts Class C Certs Rating to D
BELLEMEADE RE 2022-1: DBRS Finalizes BB Rating on Class M-1C Notes
BENCHMARK 2019-B10: Fitch Affirms B- Rating to 2 Tranches

BENCHMARK 2019-B9: DBRS Confirms BB Rating on Class F Certs
BENCHMARK 2022-B33: Fitch Gives Final 'B-' Rating to 2 Certs
BINOM SECURITIZATION 2022-RPL1: DBRS Gives B Rating on B2 Notes
BIRCH GROVE 1: Moody's Gives Ba1 Rating to $248.7MM Secured Notes
BLUE RIDGE II: S&P Lowers Class E Notes Rating to 'D (sf)'

BMO 2022-C1: DBRS Gives Prov. B(low) Rating on Class 360E Certs
BOYCE PARK: S&P Assigns BB- (sf) Rating on $30MM Class E Notes
BRAVO RESIDENTIAL 2022-NQM1: Fitch Gives 'B-' Rating to B-2 Notes
BRAVO RESIDENTIAL 2022-NQM1: Fitch Gives 'B-(EXP)' on Cl. B-2 Notes
BSST 2022-1700: DBRS Gives Prov. B(low) Rating on Class G Certs

BX TRUST 2021-LBA: DBRS Confirms B(low) Rating on 2 Classes
BXMT 2020-FL2: DBRS Confirms B(low) Rating on Class G Notes
BXSC COMMERCIAL 2022-WSS: S&P Assigns Prelim 'B-' Rating on F Certs
CEDAR FUNDING XV: S&P Assigns BB- (sf) Rating on Class F Notes
CFMT 2022-AB2: DBRS Gives Prov. BB(low) Rating on Class M5 Notes

CHARTER MORTGAGE 2018-1: Fitch Affirms 'BB+' Rating on Cl. E Notes
CITIGROUP COMMERCIAL 2014-GC21: DBRS Confirms BB Rating on E Certs
CITIGROUP COMMERCIAL 2014-GC25: DBRS Confirms B Rating on F Certs
CITIGROUP COMMERCIAL 2015-GC27: DBRS Cuts Cl. G Certs Rating to C
CITIGROUP COMMERCIAL 2015-P1: Fitch Affirms 'B' Rating on F Certs

CITIGROUP COMMERCIAL 2020-555: DBRS Confirms B Rating on G Certs
CITIGROUP MORTGAGE 2018-RP2: Moody's Ups B-2 Debt Rating to Ba3
CITIGROUP MORTGAGE 2022-J1: DBRS Finalizes B(high) on B-5 Certs
COLONNADE 2018-5: DBRS Places Tranche K BB(high) Under Review
COLT 2022-3: Fitch Gives 'B(EXP)' Rating to Class B-2 Certs

COMM 2014-LC15: DBRS Confirms B Rating on Class E Certs
COMM 2014-UBS2: DBRS Cuts Class F Certs Rating to C
COMM 2015-CCRE26: Fitch Affirms B- Rating on Class F Certs
COMM 2015-PC1: DBRS Confirms CCC Rating on Class F Certs
COMM 2018-COR3: Fitch Affirms 'CCC' Rating on Class G-RR Certs

CPS AUTO 2022-A: DBRS Finalizes BB Rating on Class E Notes
CSAIL 2015-C2: DBRS Lowers Class F Certs Rating to CCC
ELMWOOD CLO 14: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes
EXETER AUTOMOBILE 2022-1: DBRS Gives Prov. BB Rating on E Notes
FLAGSHIP CREDIT 2022-1: DBRS Gives Prov. BB Rating on Cl. E Notes

FRANKLIN PARK I: Moody's Assigns Ba3 Rating to $20.02MM E Notes
FREDDIE MAC 2022-HQA1: S&P Assigns Prelim B- Rating on B-1I Notes
FREED ABS 2020-1: Moody's Raises Rating on Class C Notes From B1
GALAXY 30 CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
GAM RE-REMIC 2022-FRR3: DBRS Finalizes B(low) Rating on 7 Classes

GCAT 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
GLS AUTO 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
GOLUB CAPITAL 50(B)-R: Moody's Gives Ba3 Rating to $22MM E-R Notes
GS MORTGAGE 2013-GCJ14: DBRS Cuts Class G Certs Rating to CCC
GS MORTGAGE 2015-GC28: DBRS Lowers Class F Certs Rating to CCC

GS MORTGAGE 2019-GC42: DBRS Confirms BB Rating on Class F-RR Certs
GS MORTGAGE 2022-MM1: DBRS Finalizes B Rating on Class B-5 Certs
GS MORTGAGE 2022-NQM1: Fitch Assigns 'B' Rating to Class B-5 Certs
HERTZ VEHICLE 2021-2: DBRS Confirms BB Rating on Class D Notes
ILPT COMMERCIAL 2022-LPFX: Moody's Assigns Ba1 Rating to HRR Certs

IMPERIAL FUND 2022-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs
IMSCI 2012-2: Fitch Affirms CCC Rating on Class G Certs
IMSCI 2013-3: Fitch Lowers Rating on Class F Certs to CC
JPMBB COMMERCIAL 2015-C29: Fitch Affirms 'C' Rating on 2 Tranches
KEY COMMERCIAL 2018-S1: DBRS Confirms B Rating on Class F Certs

KREF 2022-FL3: DBRS Finalizes B(low) Rating on 3 Classes of Notes
LB-UBS 2006-C6: Moody's Lowers Rating on Cl. A-J Certs to Ca
LCCM 2017-LC26: Fitch Lowers Class F Certs to 'CCC'
LOANCORE 2022-CRE7: DBRS Gives Prov. B(low) Rating on Cl. G Notes
MADISON PARK XIX: Moody's Hikes Rating on Class E-R Notes to B2

MELLO MORTGAGE 2021-INV3: DBRS Gives B Rating on Class B-5 Certs
MELLO MORTGAGE 2021-INV4: DBRS Gives B Rating on Class B-5 Certs
MELLO MORTGAGE 2022-INV2: S&P Assigns (P) B- (sf) on B-5 Cert
MFA 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs
MILL CITY: Moody's Hikes 35 Tranches From 10 Deals Issued 2015-2019

MORGAN STANLEY 2005-HQ7: Moody's Lowers Rating on Cl. F Certs to C
MORGAN STANLEY 2007-TOP25: DBRS Confirms C Rating on 2 Classes
MORGAN STANLEY 2013-C9: DBRS Confirms B(high) Rating on H Certs
MORGAN STANLEY 2014-C17: DBRS Cuts Class E Certs Rating to B(low)
NEW RESIDENTIAL 2022-INV1: S&P Assigns B (sf) Rating on B5 Notes

OBX 2022-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes
OBX TRUST 2022-INV3: Moody's Assigns B3 Rating to Cl. B-5 Notes
OZLM LTD XII: Moody's Hikes Rating on Class E Notes to Caa1
POST CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
PRIMA CAPITAL 2021-X: Moody's Raises Rating on Cl. C Notes to B2

REALT 2016-1: Fitch Affirms 'B' Rating on Class G Certs
REGATTA XIX FUNDING: Moody's Assigns (P)B3 Rating to Class F Notes
REGIONAL MANAGEMENT 2021-1: DBRS Gives Prov. BB Rating on D Notes
SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs
SIERRA TIMESHARE 2022-1: Fitch Gives 'BB(EXP)' Rating to D Notes

SIERRA TIMESHARE 2022-1: S&P Assigns Prelim BB Rating on D Notes
SIERRA TIMESHARE: Fitch Affirms 31 Tranches From 8 Trusts
STWD 2022-FL3: DBRS Finalizes B(low) Rating on Class G Notes
SYMPHONY CLO XXXI: S&P Assigns Prelim BB- (sf) Rating on E Notes
TOWD POINT 2019-4: Moody's Hikes Ratings on 3 Tranches to Ba1

TOWD POINT 2022-SJ1: Fitch Gives 'B-(EXP)' Rating to 9 Tranches
TRTX 2022-FL5: DBRS Gives Prov. B(low) Rating on Class G Notes
UNITED AUTO 2021-1: S&P Raises Class F Notes Rating to BB+ (sf)
UNITED AUTO 2022-1: DBRS Gives Prov. BB Rating on Class E Notes
VELOCITY COMMERCIAL 2022-1: DBRS Gives (P) B(low) on 3 Classes

VERUS SECURITIZATION 2022-3: S&P Assigns (P) B- (sf) on B-2 Notes
VOYA CLO 2015-1: Moody's Ups Rating on Class C-R Notes From Ba1
WESTLAKE AUTOMOBILE 2022-1: S&P Assigns B (sf) Rating on F Notes
WFRBS COMMERCIAL 2013-C18: DBRS Cuts Rating on 2 Classes to C
WFRBS COMMERCIAL 2014-C20: DBRS Cuts C Certs Rating to B(low)

[*] DBRS Takes Rating Actions on 10 Classes from 2 US RMBS Deals
[*] Fitch Places 27 Classes of Aircraft ABS on Watch Negative
[*] S&P Takes Various Actions on 57 Classes From 7 US RMBS Deals

                            *********

ALESCO PREFERRED XVII: Moody's Hikes Rating on 2 Tranches to B1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by ALESCO Preferred Funding XVII, Ltd.:

US$16,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2038 (the "Class A-2 Notes"), Upgraded to Aa2 (sf);
previously on June 16, 2021 Upgraded to Aa3 (sf)

US$44,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes Due 2038 (the "Class B Notes"), Upgraded to Baa1 (sf);
previously on June 16, 2021 Upgraded to Baa2 (sf)

US$42,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2038 (the "Class C-1 Notes"),
Upgraded to B1 (sf); previously on June 16, 2021 Upgraded to B3
(sf)

US$500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured
Fixed/Floating Rate Notes Due 2038 (the "Class C-2 Notes"),
Upgraded to B1 (sf); previously on June 16, 2021 Upgraded to B3
(sf)

ALESCO Preferred Funding XVII, Ltd., issued in October 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 and an increase in the transaction's
over-collateralization (OC) ratios since June 2021.

The Class A-1 notes have been paid down in total by approximately
19.1% or $26.4 million since June 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-2, Class B, and Class C notes have improved
to 185.31%, 137.78%, and 110.42%, respectively, from June 2021
levels of 169.16%, 131.55%, and 108.29%, respectively. Since June
2021, two assets with a total par of $24.0 million have redeemed at
par. The Class A-1 notes will continue to benefit from 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 519 from 628 in
June 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 $236.4 million, defaulted/deferring par of $20.0 million, a
weighted average default probability of 5.19% (implying a WARF of
519), and a weighted average recovery rate upon default of 10%.

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenario includes deteriorating credit quality of the
portfolio.

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.


AMERICREDIT AUTOMOBILE 2022-1: Fitch Assigns BB Rating on E Debt
----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
AmeriCredit Automobile Receivables Trust (AMCAR) 2022-1.

DEBT        RATING             PRIOR
----        ------             -----
AmeriCredit Automobile Receivables Trust 2022-1

A-1   ST F1+sf  New Rating    F1+(EXP)sf
A-2   LT AAAsf  New Rating    AAA(EXP)sf
A-3   LT AAAsf  New Rating    AAA(EXP)sf
B     LT AAsf   New Rating    AA(EXP)sf
C     LT Asf    New Rating    A(EXP)sf
D     LT BBBsf  New Rating    BBB(EXP)sf
E     LT BBsf   New Rating    BB(EXP)sf

KEY RATING DRIVERS

Collateral and Concentration Risks -- Consistent Credit Quality:
The pool has consistent credit quality versus recent pools based on
the weighted average FICO score of 589 and internal credit scores.
Obligors with FICO scores of 600 and greater total 46.0%, up from
44.5% in 2021-3 and 40.9% in 2021-2. Extended-term (61+ month)
contracts total 93.8%, which is consistent with prior deals. The
73- to 75-month contracts total 16.2%, in line with the 2021-3
transaction.

However, 2022-1 is the sixth transaction to include 76- to 84-month
contracts, at 14.9% of the pool, up from 9.9% and 9.5% in 2021-3
and 2021-2, respectively. Performance data for these contracts are
limited due to lack of seasoning. However, these longer loans have
obligors with stronger credit metrics; given this and initial
performance observations, Fitch did not apply an additional stress
to these loans.

Forward-Looking Approach to Derive Base Case Loss Proxy: Fitch
considered economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions in deriving the
series loss proxy. Losses on GMF's managed portfolio and
securitizations have been normalizing in recent years, with
2015-2017 vintages tracking higher than the strong 2010-2014
vintages. However, overall performance continues to be within
Fitch's expectations. Fitch accounted for the weaker performance of
recent vintages when deriving the cumulative net loss (CNL) proxy
of 10.00%.

Payment Structure -- Sufficient Credit Enhancement: Initial hard
credit enhancement (CE) is consistent with 2021-3, totaling 33.10%,
26.61%, 17.61%, 10.60% and 7.75% for classes A, B, C, D and E,
respectively. Excess spread is expected to be 6.94% per annum. Loss
coverage for each class of notes is sufficient to cover the
respective multiples of Fitch's base case CNL proxy.

Seller/Servicer Operational Review -- Consistent
Origination/Underwriting/Servicing: Fitch rates GM and GMF
'BBB-'/'F3'/Stable. GMF demonstrates adequate abilities as
originator, underwriter and servicer, as evidenced by historical
portfolio and securitization performance. Fitch deems GMF capable
of adequately servicing this series.

RATING SENSITIVITIES

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

-- Unanticipated increases in the frequency of defaults could
    produce CNL levels higher than the base case, and would likely
    result in declines of CE and remaining net loss coverage
    levels available to the notes. Additionally, unanticipated
    declines in recoveries could also result in lower net loss
    coverage, which may make certain note ratings susceptible to
    potential negative rating actions depending on the extent of
    the decline in coverage.

-- Therefore, Fitch conducts sensitivity analyses by stressing
    both a transaction's initial base case CNL and recovery rate
    assumptions, as well as examining the rating implications on
    all classes of issued notes. The CNL sensitivity stresses the
    CNL proxy to the level necessary to reduce each rating by one
    full category, to non-investment grade (BBsf) and to 'CCCsf',
    based on the break-even loss coverage provided by the CE
    structure.

-- Additionally, Fitch conducts 1.5x and 2.0x increases to the
    CNL proxy, representing both moderate and severe stresses.
    Fitch also evaluates the impact of stressed recovery rates on
    an auto loan ABS structure and rating impact with a 50%
    haircut. These analyses are intended to provide an indication
    of the rating sensitivity of notes to unexpected deterioration
    of a trust's performance.

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

-- Stable-to-improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE levels
    and consideration for potential upgrades. If CNL is 20% less
    than the projected proxy, the expected ratings for the
    subordinate notes could be upgraded by up to two categories.

BEST/WORST CASE RATING SCENARIO

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

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.

The concentration of hybrid and electric vehicles of approximately
0.86% did not have an impact on Fitch's ratings analysis or
conclusion on this transaction and has no impact on Fitch's ESG
Relevance Score.


AMERICREDIT AUTOMOBILE 2022-1: Moody's Gives Ba1 Rating to E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by AmeriCredit Automobile Receivables Trust 2022-1
(AMCAR 2022-1). This is the first AMCAR auto loan transaction of
the year for AmeriCredit Financial Services, Inc. (AFS; unrated),
wholly owned subsidiary of General Motors Financial Company, Inc.
(Baa3, stable). The notes will be backed by a pool of retail
automobile loan contracts originated by AFS, who is also the
servicer and administrator for the transaction.

The complete rating actions are as follows:

Issuer: AmeriCredit Automobile Receivables Trust 2022-1

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

Class A-2 Notes, Definitive Rating Assigned Aaa (sf)

Class A-3 Notes, Definitive Rating Assigned Aaa (sf)

Class B Notes, Definitive Rating Assigned Aaa (sf)

Class C Notes, Definitive Rating Assigned Aa2 (sf)

Class D Notes, Definitive Rating Assigned Baa1 (sf)

Class E Notes, Definitive Rating Assigned Ba1 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of AFS as the servicer
and administrator.

Moody's median cumulative net loss expectation for the 2022-1 pool
is 9.0% and the loss at a Aaa stress is 33.0%. Moody's based its
cumulative net loss expectation and loss at a Aaa stress on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of AFS to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class
D, and Class E notes benefit from 33.10%, 26.61%, 17.61%, 10.60%,
and 7.75% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account, and
subordination, except for Class E notes which do not benefit from
subordination. The notes may also benefit from excess spread.

PRINCIPAL METHODOLOGY

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

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

Up

Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies or a servicer
disruption that impacts obligor's payments.


AMSR 2022-SFR1: DBRS Gives Prov. B(low) Rating on Class G Certs
---------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Single-Family Rental Pass-Through Certificates to be issued by AMSR
2022-SFR1 Trust (AMSR 2022-SFR1):

-- $143.2 million Class A at AAA (sf)
-- $53.7 million Class B at AAA (sf)
-- $17.9 million Class C at AA (high) (sf)
-- $23.9 million Class D at AA (low) (sf)
-- $62.0 million Class E-1 at BBB (high) (sf)
-- $29.8 million Class E-2 at BBB (low) (sf)
-- $48.9 million Class F at BB (low) (sf)
-- $26.2 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A and B Certificates reflect 69.7%
and 58.3%, respectively, of credit enhancement provided by
subordinated notes in the pool. The AA (high) (sf), AA (low) (sf),
BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf)
ratings reflect 54.6%, 49.5%, 36.4%, 30.1%, 19.7%, and 14.1% credit
enhancement, respectively.

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

The AMSR 2022-SFR1 certificates are supported by the income streams
and values from 1,720 rental properties. The properties are
distributed across 16 states and 42 metropolitan statistical area
(MSAs) in the United States. DBRS Morningstar maps an MSA based on
the ZIP code provided in the data tape, which may result in
different MSA stratifications than those provided in offering
documents. As measured by broker price opinion value, 55.4% of the
portfolio is concentrated in three states: Florida (30.1%), North
Carolina (15.6%), and Georgia (9.7%). The average value is
$277,441. The average age of the properties is roughly 31 years.
The majority of the properties have three or more bedrooms. The
certificates represent a beneficial ownership in an approximately
seven-year, fixed-rate, interest-only loan with an initial
aggregate principal balance of approximately $472.2 million.

DBRS Morningstar assigned the provisional ratings to each class of
certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. DBRS Morningstar
developed property-level stresses for the analysis of single-family
rental assets. DBRS Morningstar assigned the provisional ratings to
each class based on the level of stresses each class can withstand
and whether such stresses are commensurate with the applicable
rating level. DBRS Morningstar's analysis includes estimated
base-case net cash flow (NCF) by evaluating the gross rent,
concession, vacancy, operating expenses, and capital expenditure
data. The DBRS Morningstar NCF analysis resulted in a minimum debt
service coverage ratio of higher than 1.0 times.

Furthermore, DBRS Morningstar reviewed the third-party participants
in the transaction, including the property manager, servicer, and
special servicer. These transaction parties are acceptable to DBRS
Morningstar. DBRS Morningstar also conducted a legal review and
found no material rating concerns.

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



ANGEL OAK 2022-2: Fitch Gives Final B Rating to Class B-2 Debt
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to Angel Oak Mortgage
Trust 2022-2 (AOMT 2022-2).

DEBT           RATING              PRIOR
----           ------              -----
AOMT 2022-2

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 2022-2
Mortgage-Backed Certificates, Series 2022-2 (AOMT 2022-2), as
indicated above. The certificates are supported by 1,139 loans with
a balance of $578.35 million as of the cutoff date. This represents
the 22nd Fitch-rated AOMT transaction, and the second Fitch-rated
AOMT transaction in 2022.

The certificates are secured by mortgage loans originated by Angel
Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions LLC, Angel
Oak Prime Bridge LLC, and Finance of America Mortgage, LLC, as well
as various third-party originators, with each contributing less
than 10% to the pool. Of the loans, 73.6% are designated as
non-qualified mortgage (non-QM) loans, 0.4% are designated as
qualified mortgage (QM) loans, and 26.0% are investment properties
not subject to the Ability to Repay (ATR) Rule.

There is LIBOR exposure in this transaction. Of the pool, 36 loans
represent adjustable-rate mortgage loans that reference one-year
Libor. The class A-1, A-2, A-3, are fixed rate and capped at the
net weighted average coupon (WAC), while the M-1, B-1, B-2, and B-3
certificates are based off of the net WAC.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.5% 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 1,139
loans, totaling $578.35 million and seasoned approximately nine
months in aggregate, according to Fitch, and seven months per the
transaction documents. The borrowers have a strong credit profile
(741 FICO and 38.6% debt to income [DTI] ratio, as determined by
Fitch), and relatively moderate leverage with an original combined
loan to value ratio (LTV) of 70.8%, as determined by Fitch, that
translates to a Fitch-calculated sustainable LTV of 77.1%.

Of the pool, 69.0% represent loans where the borrower maintains a
primary residence, while 31.0% comprise an investor property or
second home based on Fitch's analysis. Per the transaction
documents, 69.3% represent loans where the borrower maintains a
primary residence, while 30.7% comprise an investor property or
second home. The discrepancy is due to Fitch's treatment of loans
to foreign nationals, which Fitch considers to be investor
occupied. Fitch determined that 14.1% of the loans were originated
through a retail channel.

Additionally, 73.6% are designated as non-QM and 0.4% are
designated as QM, while the remaining 26.0% are exempt from QM
status since they are investor loans.

The pool contains 114 loans over $1 million, with the largest
amounting to $4.2 million.

Loans on investor properties (7.1% underwritten to the borrowers'
credit profile and 19.2% comprising investor cash flow loans)
represent 26.3% of the pool, as determined by Fitch. There are no
second lien loans, and 1.4% of borrowers were viewed by Fitch as
having a prior credit event in the past seven years. Per the
transaction documents, 0.3% of the loans have subordinate
financing; however, in Fitch's analysis, Fitch considers the 10
loans with deferred balances to have subordinate financing for a
total of 1.0% of the pool. The deferred balances are not being
securitized.

Fourteen 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, none are agency-eligible loans
underwritten to DU/LP with an "Approved/Eligible" status.

The largest concentration of loans is in California (38.7%),
followed by Florida and Texas. The largest MSA is Los Angeles
(21.7%), followed by Miami (8.5%) and New York (4.7%). The top
three MSAs account for 34.9% of the pool. As a result, a 1.02x
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 90.3% of loans
in the pool were underwritten to borrowers with less than full
documentation. Per the transaction documents, 90.2% of the loans in
the pool were underwritten to borrowers with less than full
documentation. Fitch may consider a loan to be less than a full
documentation loan based on its review of the loan program and the
documentation details provided in the loan tape, which explains the
discrepancy between Fitch's percent and the transaction documents.

Of the loans underwritten to borrowers with less than full
documentation, 66.6% 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, 2.6% are an asset depletion product and
19.2% comprise a debt service coverage ratio product. The pool has
eight loans underwritten to a CPA or PnL product, which Fitch
viewed as a negative.

Eight loans to foreign nationals were underwritten to a full
documentation program; however, in Fitch's analysis, these loans
were treated as no documentation loans for income and employment.

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 A 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.

There is excess spread in the transaction that is available to
reimburse for losses or interest shortfalls should they occur.
However, excess spread will be reduced after March 2026, since the
class A-1 has a step up coupon feature where the A-1 coupon rate
will step up to the net WAC rate subject to a cap equal to the
initial fixed interest rate plus 1.0%.

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 41.8% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, Inc, Consolidated Analytics, Inc.,
Covius Real Estate Services, LLC, Infinity IPS, Inc., Selene
Diligence LLC, Inglet Blair,LLC, and Recovco Mortgage Management,
LLC, and Edge Mortgage Advisory Company, LLC. Clayton Services, LLC
is listed as a third-party review firm in the term sheet, however,
a 15E was not prepared or provided by Clayton. None of the loans
included in the final population were reviewed by Clayton Services,
LLC or Edge Mortgage Advisory Company, 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 0.44%.

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., Infinity
IPS, Inc., Selene Diligence LLC, Covius Real Estate Services, LLC,
Inglet Blair, LLC, Recovco Mortgage Management, LLC, and Edge
Mortgage Advisory Company, LLC to perform the review. Clayton
Services, LLC is listed as a third-party review firm in the term
sheet, however, a 15E was not provided by Clayton. None of the
loans included in the final population were reviewed by Clayton
Services, LLC or Edge Mortgage Advisory Company, LLC. 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 2022-2 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.


ARBOR REALTY 2022-FL1: DBRS Finalizes B(low) Rating on G Notes
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Arbor Realty Commercial Real Estate
Notes 2022-FL1, Ltd. (ARCREN 2022-FL1):

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

All trends are Stable.

The initial collateral consists of 44 floating-rate mortgage loans
and senior participations secured by 59 mostly transitional
properties, with an initial cut-off date balance totaling
approximately $1.61 billion. In addition, there are $96.5 million
of non-interest accruing reserves associated with 28 collateral
interests contributed to the trust, bringing the total reference
date portfolio balance to $1.70 billion. Each collateral interest
is secured by a mortgage on a multifamily property or a portfolio
of multifamily properties. The transaction is a managed vehicle,
which includes a 180-day ramp-up acquisition period and 30-month
reinvestment period. The ramp-up acquisition period will be used to
increase the trust balance to a total target collateral principal
balance of $2.05 billion. DBRS Morningstar assessed the ramp
component using a conservative pool construct although the ramp
loans have expected losses that are generally in line with the
pool's weighted-average (WA) expected loss. During the reinvestment
period, so long as the note protection tests are satisfied and no
event of default has occurred and is continuing, the collateral
manager may direct the reinvestment of principal proceeds to
acquire reinvestment collateral interest, including funded
companion participations, meeting the eligibility criteria. The
eligibility criteria, among other things, has minimum debt service
coverage ratio (DSCR), loan-to-value ratio (LTV), and loan size
limitations. In addition, mortgages exclusively secured by
multifamily properties and student housing properties (up to 5.0%
of the total pool balance) are allowed as ramp-up collateral
interests. Lastly, the eligibility criteria stipulates a rating
agency confirmation on ramp loans, reinvestment loans, and pari
passu participation acquisitions above $500,000 if a portion of the
underlying loan is already included in the pool, thereby allowing
DBRS Morningstar the ability to review the new collateral interest
and any potential impacts to the overall ratings. The transaction
has a sequential-pay structure.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow, 33 loans, representing 71.0% of the initial pool balance, had
a DBRS Morningstar As-Is DSCR of 1.00 times or below, a threshold
indicative of elevated default risk. The properties are often
transitional with potential upside in cash flow; however, DBRS
Morningstar does not typically give full credit to the
stabilization if there are no holdbacks, reserves or future
funding, or if other loan structural features in place are
insufficient to support such treatment. Furthermore, even with the
structure provided, DBRS Morningstar generally does not assume the
assets will stabilize to above-market levels.

The sponsor for the transaction, Arbor Realty SR, Inc., is a
majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; NYSE:
ABR) and an experienced commercial real estate (CRE) collateralized
loan obligation (CLO) issuer and collateral manager. The ARCREN
2022-FL1 transaction will be Arbor's 18th post-crisis CRE CLO
securitization, and the firm has seven outstanding transactions
representing approximately $5 billion in investment-grade proceeds.
In total, Arbor has been an issuer and manager of 17 CRE CLO
securitizations totaling roughly $10.6 billion. Additionally, Arbor
will purchase and retain 100.0% of the Class F Notes, the Class G
Notes, and the Preferred Shares, which total $397,188,000, or 19.4%
of the transaction total.

The transaction's initial collateral composition consists entirely
of multifamily properties, which benefit from staggered lease
rollover and generally low expense ratios compared with other
property types. While revenue is quick to decline in a downturn
because of the short-term nature of the leases, it is also quick to
respond when the market improves. The subject pool includes
garden-style communities and mid-/high-rise buildings. After
closing, as part of the ramp-up and reinvestment period, the
collateral manager may acquire loans secured by multifamily
properties and student housing properties as long as student
housing properties represent less than 5.0% of the total pool. The
prior ARCREN 2021-FL4 transaction allowed the collateral manager to
also acquire only multifamily properties, but the eligibility
criteria for this transaction is similar to that of the ARCREN
2021-FL3 transaction.

Forty loans, representing 89.2% of the pool balance, represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, which
results in a higher sponsor cost basis in the underlying collateral
and aligns the financial interests between the sponsor and lender.

The initial collateral pool is diversified across 20 states and has
a loan Herfindahl score of approximately 29.9. While the loan
Herfindahl score is lower than the ARCREN 2021-FL4 transaction, it
is higher than the average Herfindahl score of the average Arbor
CRE CLO transactions issued in 2021. Seven of the loans,
representing 18.6% of the initial pool balance, are portfolio loans
that benefit from multiple property pooling. Mortgages backed by
cross-collateralized cash flow streams from multiple properties
typically exhibit lower cash flow volatility.

The DBRS Morningstar Business Plan Score (BPS) for loans DBRS
Morningstar analyzed was between 1.40 and 3.13, with an average of
2.08. A higher DBRS Morningstar BPS indicates more execution risk
in the sponsor's business plan. DBRS Morningstar considers the
anticipated lift at the property from current performance, planned
property improvements, sponsor experience, projected time horizon,
and overall complexity of the business plan. Compared with past
Arbor transactions, the subject has a low average DBRS Morningstar
BPS, which is indicative of lower risk.

The loan collateral was generally found to be in good physical
condition as evidenced by the one loan, 30 Morningside Drive
(Prospectus ID#22; 2.2% of the trust balance), secured by a
property that DBRS Morningstar deemed to be Excellent in quality.
An additional two loans, representing 7.5% of the trust balance,
are secured by properties with Above Average quality and four
loans, representing 9.4% of the trust balance, are secured by
properties with Average + quality. Furthermore, only one loan is
backed by a property that DBRS Morningstar considered to be Average
– quality, representing just 4.4% of the trust balance, and no
collateral was classified as Below Average or Poor quality.

Only one loan, representing 2.2% of the current portfolio balance,
is secured by a property in an area characterized as having a DBRS
Morningstar Market Rank of 7 or 8, which are considered to be more
densely populated and urban in nature. Loans secured by properties
located in such areas have historically benefited from increased
liquidity and consistently strong investor demand, even during
times of economic distress. Consequently, loans in these dense,
urban locations often exhibit lower expected losses and the lack of
collateral in these areas can be a negative credit characteristic.
Conversely, 35 loans, representing 83.0% of the current portfolio
balance, are secured by properties in markets characterized as
having a DBRS Morningstar Market Rank of 3 or 4, which are
considered to be more suburban in nature. Loans secured by
properties located in such areas have historically exhibited
elevated probabilities of default (PODs) and often have higher
expected losses in the DBRS Morningstar approach. The DBRS
Morningstar WA Market Rank of 3.5 for this pool is generally
indicative of a higher concentration of properties being located in
less densely populated suburban areas. This WA market rank is lower
than all three ARCREN deals rated in 2021. DBRS Morningstar
concluded higher PODs and loss severity given default (LGDs) in
this transaction than in similar pools with more exposure to urban
markets.

DBRS Morningstar analyzed five loans, representing 15.3% of the
current portfolio balance, with Weak sponsorship strengths. These
loans include The Caden at East Mil (Prospectus ID#1; 5.9% of
initial pool), Shore House (Prospectus ID#7; 4.3% of the initial
pool), Boat House (Prospectus ID#11; 3.4% of the initial pool),
Autumn Chase (Prospectus ID#31; 0.9% of the initial pool), and The
Pines (Prospectus ID#32; 0.8% of the initial pool). DBRS
Morningstar applied a POD penalty to loans analyzed with Weak
sponsorship strength.

The transaction is managed and includes both a ramp-up and
reinvestment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. The deal's initial collateral composition is
100.0% multifamily. During the ramp-up period, only loans secured
by multifamily or student housing properties (up to 5.0% of the
pool) can be added. Future loans cannot be secured by office,
hospitality, industrial, retail, or healthcare facilities, such as
assisted living and memory care. The risk of negative credit
migration is also partially offset by eligibility criteria that
outline DSCR, LTV, property type, and loan size limitations for
ramp and reinvestment assets. Before ramp loans, reinvestment
loans, and companion participations above $500,000 can be acquired
by the Collateral Manager, a No Downgrade Confirmation is required
from DBRS Morningstar. DBRS Morningstar accounted for the
uncertainty introduced by the 180-day ramp-up period by running a
ramp scenario that simulates the potential negative credit
migration in the transaction based on the eligibility criteria.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
Coronavirus Disease (COVID-19) pandemic and its impact on the
overall economy. A sponsor's failure to execute the business plan
could result in a term default or the inability to refinance the
fully funded loan balance. DBRS Morningstar made relatively
conservative stabilization assumptions and, in each instance,
considered the business plan to be rational and the loan structure
to be sufficient to execute such plans. In addition, DBRS
Morningstar analyzes LGD based on its As-Is LTV, assuming the loan
is fully funded.

All loans in the pool have floating interest rates and are interest
only during the initial loan term, as well as during all extension
terms, creating interest rate risk and lack of principal
amortization. DBRS Morningstar stresses interest rates based on the
loan terms and applicable floors or caps. The DBRS Morningstar
adjusted DSCR is a model input and drives loan level PODs and LGDs.
All loans have extension options, and to qualify for these options,
the loans must meet minimum DSCR and LTV requirements.

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



ARROYO MORTGAGE 2022-1: DBRS Gives Prov. B Rating on Cl. B-2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2022-1 to be issued by Arroyo
Mortgage Trust 2022-1:

-- $333.3 million Class A-1 at AAA (sf)
-- $21.0 million Class A-2 at AA (sf)
-- $27.9 million Class A-3 at A (sf)
-- $17.9 million Class M-1 at BBB (sf)
-- $12.5 million Class B-1 at BB (sf)
-- $9.7 million Class B-2 at B (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 22.85% of
credit enhancement provided by subordinate notes. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 18.00%, 11.55%,
7.40%, 4.50%, and 2.25% of credit enhancement, respectively.

This is a securitization of a portfolio of fixed- and
adjustable-rate expanded prime first-lien residential mortgages
funded by the issuance of the Notes. The Notes are backed by 759
mortgage loans with a total principal balance of $431,989,498 as of
the Cut-Off Date (January 1, 2022).

This transaction represents the seventh securitization by the
Seller (Western Asset Mortgage Capital Corporation) or an affiliate
since 2018. The largest Originator and Servicer for the mortgage
pool is AmWest Funding Corp. (AmWest; 95.9%). The remaining
Originators and Servicers each comprise less than 10.0% of the
mortgage loans.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR) rules, they
were made to borrowers who generally do not qualify for agency,
government, or private-label nonagency prime jumbo products for
various reasons. In accordance with the Qualified Mortgage (QM)/ATR
rules, approximately 65.3% of the loans are designated as non-QM.
The remaining approximately 34.7% of the loans are made to
investors for business purposes and, hence, are not subject to the
QM/ATR rules.

For this transaction, each Servicer will fund advances of
delinquent principal and interest (P&I) until loans become 180 days
delinquent or are otherwise deemed unrecoverable. Additionally,
each Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing of properties.

The Sponsor, directly or through a wholly-owned affiliate, is
expected to retain an eligible horizontal residual interest
consisting of the Class B-1, B-2, B-3, A-IO-S, and XS Notes,
collectively representing at least 5% of the fair value of the
Notes, to satisfy the credit risk-retention requirements under
Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder.

On or after (1) the three-year anniversary of the Closing Date or
(2) the date when the aggregate stated principal balance of the
mortgage loans is reduced to less than or equal to 30% of the
Cut-Off Date balance, the Administrator, on behalf of the Issuer,
may redeem the Notes (Optional Redemption) at the redemption price
(par plus interest).

The Seller will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 or more days
delinquent under the Mortgage Bankers Association method at the
repurchase price (par plus interest), provided that such
repurchases in aggregate do not exceed 10% of the total principal
balance as of the Cut-Off Date.

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

The transaction employs a sequential-pay cash flow structure for
all classes with no performance-based triggers. Principal proceeds
can be used to cover interest shortfalls on the Class A-1 Notes
before being applied sequentially to amortize the balances of the
remaining notes. For the Class A-2 and more subordinate classes of
notes, principal proceeds can be used to cover interest shortfalls
after the Class A-1 Notes are paid in full. Also, excess spread can
be used to cover applied realized losses.

CORONAVIRUS IMPACT

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

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

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



BAIN CAPITAL 2022-1: Moody's Assigns Ba3 Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued by Bain Capital Credit CLO 2022-1, Limited (the
"Issuer" or "Bain Capital 2022-1").

Moody's rating action is as follows:

US$335,500,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$22,000,000 Class A-2 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$22,000,000 Class E Secured Deferrable 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.

Bain Capital 2022-1 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, up to 10% of the portfolio may consist of
second lien loans, senior unsecured loans, or permitted non-loan
assets, and up to 5% of the portfolio may consist of permitted
non-loan assets. The portfolio is approximately 95% ramped as of
the closing date.

Bain Capital Credit 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 issued three 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: $550,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2871

Weighted Average Spread (WAS): SOFR+3.27%

Weighted Average Recovery Rate (WARR): 46.0%

Weighted Average Life (WAL): 8.33 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.


BANK 2022-BNK39: DBRS Finalizes BB(low) Rating on Class G Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2022-BNK39 issued by BANK 2022-BNK39:

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

All trends are Stable.

Classes X-D, X-F, X-G, X-H, D, E, F, G, and H will be privately
placed. The RR Interest Certificates will not be offered.

Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A-4-1,
Class A-4-2, Class A-4-X1, Class A-4-X2, Class A-S-1, Class A-S-2,
Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class B-X1, Class
B-X2, Class C-1, Class C-2, Class C-X1, and Class C-X2 certificates
are also offered certificates and, together with the Class A-3,
Class A-4, Class A-S, Class B, and Class C Certificates, constitute
the "Exchangeable Certificates."

DBRS Morningstar analyzed the conduit pool to determine the
ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. The trust's
collateral consists of 66 fixed-rate loans secured by 96 commercial
and multifamily properties with an aggregate cutoff date balance of
$1.2 billion. Four loans, representing 22.7% of the pool, are
shadow-rated investment grade by DBRS Morningstar. Additionally, 15
loans in the pool, representing 6.9% of the pool, are backed by
residential co-operative loans, which typically have very low
expected losses. When the cutoff balances were measured against the
DBRS Morningstar Net Cash Flow and their respective actual
constants, the initial DBRS Morningstar Weighted-Average (WA) Debt
Service Coverage Ratio (DSCR) of the pool was 3.19 times (x). The
DBRS Morningstar WA Loan-to-Value (LTV) ratio of the pool at
issuance was 53.7%, and the pool is scheduled to amortize down to a
DBRS Morningstar WA LTV of 52.0% at maturity. These credit metrics
are based on the A-note balances. Excluding the shadow-rated loans,
the deal still exhibits a favorable DBRS Morningstar WA LTV of
57.5%. The pool additionally includes 10 loans, representing 21.4%
of the allocated pool balance, that exhibit a DBRS Morningstar LTV
in excess of 67.1%, a threshold generally indicative of
above-average default frequency.

The transaction has a sequential-pay pass-through structure.

Twenty-two loans, representing 36.5% of the pool, are in areas
identified as DBRS Morningstar Market Ranks 7 or 8, which are
generally characterized as highly dense urbanized areas that
benefit from increased liquidity driven by consistently strong
investor demand, even during times of economic stress. Furthermore,
29 loans, representing 40.7% of the pool balance, have collateral
in the DBRS Morningstar Metropolitan Statistical Area (MSA) Group
3, which represents the best-performing group in terms of
historical commercial mortgage-backed securities (CMBS) default
rates among the top 25 MSAs. Lastly, only 10.4% of the pool is
secured by collateral in MSA Group 1, which have historically shown
higher probabilities of default (PODs) resulting in greater loan
level expected losses.

Four of the loans (22.7% of the pool)—601 Lexington Avenue, 333
River Street, CX – 350 & 450 Water Street, and Park Avenue
Plaza—exhibited credit characteristics consistent with
investment-grade shadow ratings. 601 Lexington Avenue, 333 River
Street, and CX – 350 & 450 Water Street have credit
characteristics consistent with an A (high) shadow rating. Park
Avenue Plaza exhibits credit characteristics with a AAA shadow
rating.

21.1% of the pool is backed by multifamily loans, which is
considerably higher than recent conduit transactions rated by DBRS
Morningstar and the property type has historically had lower PODs
and loss severity given default (LGDs) when compared with most
other commercial property types. Multifamily properties benefit
from staggered lease rollover and generally low expense ratios
compared with other property types. While revenue is quick to
decline in a downturn because of the short-term nature of the
leases, it is also quick to respond when the market improves.

Thirty-four loans, representing a combined 42.0% of the pool by
allocated loan balance, exhibit issuance LTVs of less than 59.3%, a
threshold historically indicative of relatively low-leverage
financing and generally associated with below-average default
frequency. Even with the exclusion of the shadow-rated loans and
the loans secured by co-operative properties, collectively
representing 29.6% of the pool, the transaction exhibits a
favorable DBRS Morningstar WA Issuance LTV of 62.4%.

Term default risk is low, as indicated by a strong DBRS Morningstar
DSCR of 3.20x. Even with the exclusion of the shadow-rated loans
and the loans secured by the co-operative properties, the deal
exhibits a very favorable DBRS Morningstar DSCR of 2.02x.

Eleven loans, representing 49.1% of the pool balance, received a
property quality of Average + or better, including three loans,
representing 12.1% of the pool, deemed to have Above Average
quality and one loan, representing 4.4% of the pool, deemed to have
the highest property quality of Excellent. It is noted that no
loans had a property quality score below Average.

Six loans, representing 28.3% of the pool, were classified by DBRS
Morningstar as having Strong sponsorship strength. Furthermore,
DBRS Morningstar identified only four loans, representing 8.6% of
the pool, with Weak sponsorship strength.

The pool has a relatively high concentration of loans secured by
office and retail properties with 22 loans, representing 55.6% of
the pool balance. The ongoing Coronavirus Disease (COVID-19)
pandemic continues to pose challenges globally, and the future
demand for office and retail space is uncertain, with many store
closures, companies filing for bankruptcy or downsizing, and more
companies extending their remote-working strategy.

Three of the nine office loans, 601 Lexington Avenue, CX – 350 &
450 Water Street, and Park Avenue Plaza, representing 16.5% of the
total pool, are shadow-rated investment grade by DBRS Morningstar.
Furthermore, six of the office loans, representing 23.8% of the
total pool, are in DBRS Morningstar Market Ranks 7 and 8, which
represent the lowest historical CMBS PODs and LGDs.

The office and retail properties exhibit a favorable DBRS
Morningstar WA DSCR of 2.36x. Additionally, both property types
exhibit favorable DBRS Morningstar WA Issuance and Balloon LTVs of
58.1% and 55.8%, respectively.

Six office and retail properties in the transaction, representing
28.3% of the total pool balance, have a DBRS Morningstar
sponsorship strength of Strong.

Forty-four loans, representing 79.5% of the pool balance, are
structured with full-term interest only (IO) periods. An additional
10 loans, representing 13.2% of the pool balance, are structured
with partial-IO terms ranging from 24 months to 72 months. Loans
that are full-term IO or partial-IO do not benefit from
amortization.

Of the 44 loans structured with full-term IO periods, 21 loans,
representing 47.6% of the pool by allocated loan balance, are in
areas with a DBRS Morningstar MSA Group 2 or 3. These markets
benefit from increased liquidity even during times of economic
stress.

Four of the loans, representing 22.7% of the total pool balance,
are shadow-rated investment grade by DBRS Morningstar.

The full-term IO loans are effectively preamortized, as evidenced
by the very low DBRS Morningstar WA Issuance LTV of only 53.5% for
this concentration of loans.

Fifty-one loans, representing 71.7% of the total pool balance, are
refinancing existing debt. DBRS Morningstar views loans that
refinance existing debt as more credit negative compared with loans
that finance an acquisition as sponsors generally have more skin in
the game.

The loans that are refinancing existing debt exhibit relatively low
leverage. Specifically, the DBRS Morningstar WA Issuance LTV of the
loans refinancing existing debt is 50.0%.

The loans that are refinancing existing debt are generally in
stronger DBRS Morningstar Market Ranks than the broader pool of
assets in the transaction. The DBRS Morningstar WA Market Rank of
the loans refinancing existing debt is 5.14 while the DBRS
Morningstar WA Market Rank of the entire transaction is much lower
at 4.74.

DBRS Morningstar increased the implied cap rate for six refinance
loans (12.2% of the pool), which resulted in higher LTVs for these
loans.

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



BBAM US I: S&P Assigns Preliminary BB- (sf) Rating on Cl. D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BBAM US CLO
I Ltd./BBAM US CLO I LLC's floating-rate notes.

The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by RBC Global Asset Management (U.S.)
Inc., an affiliate of BlueBay Asset Management.

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

The preliminary ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  BBAM US CLO I Ltd./BBAM US CLO I LLC

  Class A-1, $252.00 million: AAA (sf)
  Class A-2, $46.00 million: AA (sf)
  Class B (deferrable), $30.00 million: A (sf)
  Class C (deferrable), $24.00 million: BBB- (sf)
  Class D (deferrable), $15.40 million: BB- (sf)
  Subordinated notes, $34.00 million: Not rated



BBCMS MORTGAGE 2020-C6: DBRS Confirms BB Rating on Cl. G-RR Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-C6 issued by BBCMS Mortgage
Trust 2020-C6 as follows:

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

DBRS Morningstar also confirmed its ratings on the loan-specific
certificates as follows:

-- Class F5T-A at A (low) (sf)
-- Class F5T-B at BBB (low) (sf)
-- Class F5T-C at BB (low) (sf)
-- Class F5T-D at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction since the last rating
action. At issuance, the trust consisted of 45 fixed-rate loans
secured by 118 commercial and multifamily properties with initial
trust balance of $1.02 billion. As of the January 2022 remittance
report, all loans remain in the pool and the trust has seen only
nominal collateral reduction of 0.4% since issuance. To date, no
loans have defeased. Amortization has been limited, as 25 of the
loans, representing 70.1% of the current pool balance, are
structured as interest only (IO) for their full term and an
additional six loans, representing another 14.4%, were structured
as partial IO and remain in their initial IO periods.

The pool's property type concentration is relatively diverse, with
the highest property type concentration by loan balance consisting
of office properties (six loans representing 28.9% of the current
pool balance). Mixed-use assets account for the second-highest
property type concentration, with seven loans that represent 20.9%
of the current pool balance. Multifamily assets account for the
third-largest property type concentration, with 10 loans
representing 15.2% of the current pool balance.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to five loans (all of which are included in the largest 10
loans): Prospectus ID#1 – Parkmerced (7.2% of the current pool);
Prospectus ID#2 – 650 Madison Avenue (6.7% of the current pool);
Prospectus ID#3 – Kings Plaza (6.7% of the current pool);
Prospectus ID#5 – F5 Tower (5.6% of the current pool); and
Prospectus ID#7 – Bellagio Hotel and Casino (4.9% of the current
pool). With this review, DBRS Morningstar confirmed that the
respective performance of each of these loans remains consistent
with the characteristics of an investment-grade loan.

As of the January 2022 remittance period, there were 10 loans on
the servicer's watchlist, representing 23.9% of the current pool
balance, including three loans in the top 15, totaling 14.0% of the
current pool balance. Generally speaking, most loans on the
watchlist were added for low debt service coverage ratios (DSCR)
compared with issuance, but only four loans, representing 5.0% of
the current pool balance, reported YE2020 DSCRs below 1.0 times.
There were no loans in special servicing.

The loan-specific Class F5T-A, F5T-B, F5T-C, and F5T-D certificates
are backed by the $112.6 million subordinate companion loan of the
$297.6 million F5 Tower whole loan, which is secured by 515,518
square feet of Class A office space and a 259-space underground
parking garage in Seattle. The office space is 100% occupied by F5
Networks, Inc., which uses the space as its headquarters, on a
lease through September 2033. The loan-specific certificates are
not pooled with the remainder of the trust loans. With this review,
DBRS Morningstar confirmed that the performance of the underlying
loan remains in line with the expectations at issuance, supporting
the rating confirmations for those classes.

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



BBCMS MORTGAGE 2022-C15: Fitch Rates Class G-RR Debt 'B-'
---------------------------------------------------------
Fitch expects to rate BBCMS Mortgage Trust 2022-C15 and assign
Rating Outlooks as follows:

BBCMS 2022-C15

-- $12,900,000 class A-1 'AAAsf'; Outlook Stable;

-- $75,600,000 class A-2 'AAAsf'; Outlook Stable;

-- $87,800,000 class A-3 'AAAsf'; Outlook Stable;

-- $110,000,000a class A-4 'AAAsf'; Outlook Stable;

-- $387,300,000a class A-5 'AAAsf'; Outlook Stable;

-- $23,405,000 class A-SB 'AAAsf'; Outlook Stable;

-- $697,005,000b class X-A 'AAAsf'; Outlook Stable;

-- $182,964,000b class X-B 'A-sf'; Outlook Stable;

-- $94,593,000 class A-S 'AAAsf'; Outlook Stable;

-- $46,053,000 class B 'AA-sf'; Outlook Stable;

-- $42,318,000 class C 'A-sf'; Outlook Stable;

-- $47,296,000bc class X-D 'BBB-sf'; Outlook Stable;

-- $22,404,000bc class X-F 'BB-sf'; Outlook Stable;

-- $27,382,000c class D 'BBBsf'; Outlook Stable;

-- $19,914,000c class E 'BBB-sf'; Outlook Stable;

-- $22,404,000c class F 'BB-sf'; Outlook Stable;

-- $9,957,000cd class G-RR 'B-sf'; Outlook Stable;

The following class is not expected to be rated by Fitch:

-- $36,095,861cd class H-RR

-- $27,124,997ce class RR

-- $8,454,915,000ce RR Interest

(a) The initial certificate balances of the class A-4 and A-5
certificates are unknown and expected to be $427,300,000 in the
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
$220,000,000, and the expected class A-5 balance range is
$277,300,000 to $497,300,000. The balance of each class displayed
above is the hypothetical midpoint of the class range.

(b) Notional amount and interest only.

(c) Privately-place and pursuant to Rule 144a.

(d) Represents the "eligible horizontal interest" estimate at 1.6%
of all amounts collected on the mortgage loans (net of all expenses
of the issuing entity) that are available for distribution to the
certificates and the RR interest on each distribution date.

(e) The class RR certificates and the RR interest collectively
comprise the "VRR interest". The VRR interest represents the right
to receive approximately 3.5% of all amounts collected on the
mortgage loans (net of all expenses of the issuing entity) that are
available for distribution to the certificates and the RR interest
on each distribution date.

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

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 49 loans secured by 154
commercial properties having an aggregate principal balance of
$1,031,301,773 as of the cut-off date. The loans were contributed
to the trust by Barclays Capital Real Estate Inc., KeyBank National
Association, Bank of Montreal, Starwood Mortgage Capital LLC and
Societe Generale Financial Corporation.

The Master Servicer is expected to be Midland Loan Services and the
Special Servicer is expected to be Rialto Capital Advisors, LLC.
Fitch reviewed a comprehensive sampled of the transaction's
collateral, including site inspections on 15.2% of the loans by
balance, cash flow analysis of 90.8% of the pool and asset summary
reviews on 100% of the pool.

KEY RATING DRIVERS

Leverage Slightly Higher than Recent Transactions: The pool has
slightly higher leverage compared to recent multiborrower
transactions rated by Fitch Ratings. The pool's Fitch loan-to-value
ratio (LTV) of 104.1% is higher than both the 2020 and 2021
averages of 99.6% and 103.3%, respectively. Additionally, the
pool's Fitch trust debt service coverage ratio (DSCR) of 1.21x is
lower than the 2020 and 2021 averages of 1.32x and 1.38x,
respectively. Excluding credit opinion loans, the pool's Fitch LTV
and DSCR are 114.0% and 1.19x, respectively. This is higher
leverage compared to the equivalent conduit 2021 LTV and DSCR
averages of 110.5% and 1.30x, respectively.

Investment-Grade Credit Opinion Loans: Three loans representing
22.0% of the pool received an investment-grade credit opinion. 1888
Century Park East (6.3%), The Summit (6.3%), and 26 Broadway
(3.3%), totaling 15.9% of the pool, each received a standalone
credit opinion of 'BBB-sf*'. Coleman Highline Phase IV,
representing 6.1% of the pool, received a standalone credit opinion
of 'BBBsf*'. The pool's total credit opinion percentage is below
the 2020 average of 24.5% and above the 2021 average of 13.3%.

Very Low Amortization: Based on the scheduled balances at maturity,
the pool will only pay down by 3.85%, which is below the 2020 and
2021 averages of 5.3% and 4.8%, respectively. Thirty-two loans
(72.7% of the pool) are full interest-only loans, which is above
the 2020 and 2021 averages of 67.7% and 70.5%, respectively. Eight
loans (16.4%) are partial interest-only loans, which is below the
2020 and 2021 averages of 20.0% and 16.8%, 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 in 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' /
    'B+sf' / 'CCCsf' / 'CCCsf';

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

-- 30% NCF Decline: 'BBB-sf' / 'BB+sf' / '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 to the same 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' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'.

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow (NCF) in up- and down-environments. The results below
should only be considered as one potential outcome, as the
transaction is exposed to multiple dynamic risk factors. It should
not be used as an indicator of possible future performance.

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.


BEAR STEARNS 2007-TOP26: DBRS Cuts Class C Certs Rating to D
------------------------------------------------------------
DBRS Limited downgraded one class of Commercial Mortgage
Pass-Through Certificates, Series 2007-TOP26 issued by Bear Stearns
Commercial Mortgage Securities Trust, Series 2007-TOP26 as
follows:

-- Class C to D (sf) from C (sf)

In addition, DBRS Morningstar confirmed its ratings on the
remaining classes as follows:

-- Class A-J at C (sf)
-- Class B at C (sf)

DBRS Morningstar maintained the Interest in Arrears designation on
Class B.

The downgrade on Class C was related to losses that affected the
trust as reported in the December 2021 and January 2022
remittances, which resulted in a full loss to the remaining balance
of the nonrated Class D and a minimal loss of $143,802 to Class C.
The losses were due to the clawback of nonrecoverable advances
related to the specially serviced loan, One AT&T Center (Prospectus
ID#2, 98.4% of the pool), totalling approximately $9.7 million, as
well as $4.1 million of principal losses that covered the interest
payment. The largest defeased loan, One Dag Hammarskjold Plaza,
repaid with the December 2021 remittance, resulting in the full
repayment of Class AM and the partial repayment of Class A-J. As of
the January 2022 remittance, four loans remain in the pool with a
trust balance of $108.9 million, representing a collateral
reduction of 94.8% since issuance.

The rating confirmations reflect DBRS Morningstar's continued
negative outlook for the largest loan remaining in the pool, One
AT&T Center, which is secured by an office building in downtown St.
Louis. The loan has been in default since May 2017, and the
building remains vacant and is real estate owned, with the special
servicer working to sell the property. The servicer noted that the
property is under contract to sell with an expected disposition in
Q2 2022. However, multiple property sales attempts have been
unsuccessful in the past few years, and the subject's value
continues to plummet. According to the August 2021 appraisal, the
property's value is $9.2 million, compared with the January 2021
value of $14.1 million and the issuance value of $207.3 million.
Given the drastic value decline from issuance, DBRS Morningstar
expects the loan loss severity to exceed 100.0%.

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



BELLEMEADE RE 2022-1: DBRS Finalizes BB Rating on Class M-1C Notes
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Insurance-Linked Notes, Series 2022-1 issued by Bellemeade
Re 2022-1 Ltd. (BMIR 2022-1 or the Issuer):

-- $63.4 million Class M-1A at BBB (high) (sf)
-- $58.3 million Class M-1B at BBB (sf)
-- $119.7 million Class M-1C at BB (sf)
-- $29.5 million Class M-2 at B (high) (sf)
-- $12.7 million Class B-1 at B (high) (sf)

The BBB (high) (sf), BBB (sf), BB (sf), and B (high) (sf) ratings
reflect 6.25%, 5.25%, 3.25%, and 2.50% of credit enhancement,
respectively.

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

BMIR 2022-1 is Arch Mortgage Insurance Company's (Arch MI) and
United Guaranty Residential Insurance Company's (UGRIC;
collectively the ceding insurers) 16th rated mortgage insurance
(MI)-linked note transaction. The Notes are backed by reinsurance
premiums, eligible investments, and related account investment
earnings, in each case relating to a pool of MI policies linked to
residential loans. The Notes are exposed to the risk arising from
losses the ceding insurer pays to settle claims on the underlying
MI policies. As of the cut-off date, the pool of insured mortgage
loans consists of 118,891 fully amortizing first-lien fixed- and
variable-rate mortgages. They all have been underwritten to a full
documentation standard, have original loan-to-value ratios (LTVs)
less than or equal to 100%, and have never been reported to the
ceding insurer as 60 or more days delinquent. As of the Cut-Off
Date, these loans have not been reported to be in payment
forbearance plan. The mortgage loans have MI policies effective on
or after January 2020 and on or before November 2021.

In this transaction, there could be loans located in counties
designated by the Federal Emergency Management Agency (FEMA) as
having been affected by a non-coronavirus-related natural disaster.
Mortgage insurance policies generally exclude physical damage in
excess of $5,000. None of the mortgage loans are likely to be
dropped from the transaction. Please reference the offering
circular for additional details.

On March 1, 2020, a new master policy was introduced to conform to
government-sponsored enterprises' revised rescission relief
principles under the Private Mortgage Insurer Eligibility
Requirements (PMIERs) guidelines (see the Representations and
Warranties section for more detail). Approximately 99.97% of the
mortgage loans (by Cut-Off Date) are insured under the new master
policy.

On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the ceding insurer. As per the agreement, the ceding
insurer will get protection for the funded portion of the MI
losses. In exchange for this protection, the ceding insurer will
make premium payments related to the underlying insured mortgage
loans to the Issuer.

The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to at least Aa-mf by Moody's rated U.S. Treasury
money-market funds and securities. Unlike other residential
mortgage-backed security (RMBS) transactions, cash flow from the
underlying loans will not be used to make any payments; rather, in
MI-linked Notes (MILN) transactions, a portion of the eligible
investments held in the reinsurance trust account will be
liquidated to make principal payments to the noteholders and to
make loss payments to the ceding insurer when claims are settled
with respect to the MI policy.

The Issuer will use the investment earnings on the eligible
investments, together with the ceding insurer's premium payments,
to pay interest to the noteholders.

The calculation of principal payments to the Notes will be based on
the reduction in aggregate exposed principal balance on the
underlying MI policy that is allocated to the Notes. The
subordinate Notes will receive their pro rata share of available
principal funds if the minimum credit enhancement test and the
delinquency test are satisfied. The minimum credit enhancement test
has been set to fail at the Closing Date, thus locking out the
rated classes from initially receiving any principal payments until
the subordinate percentage grows to 8.50% from 7.50%. The
delinquency test will be satisfied if the three-month average of
60+ days delinquency percentage is below 75% of the subordinate
percentage (see the Cash Flow Structure and Features section for
more detail).

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available; please see the Offering
Circular for more details. DBRS Morningstar did not run interest
rate stresses for this transaction, as the interest is not linked
to the performance of the underlying loans. Instead, interest
payments are funded via (1) premium payments that the ceding
insurer must make under the reinsurance agreement and (2) earnings
on eligible investments.

On the Closing Date, the ceding insurer will establish a cash and
securities account, the premium deposit account. In case of the
ceding insurer's default in paying coverage premium payments to the
Issuer, the amount available in this account will be used to make
interest payments to the noteholders. The premium deposit account
will not be funded at closing. The ceding insurer will make a
deposit into this account up to the applicable target balance only
when one of the Premium Deposit Events occur. Please refer to the
related report and/or offering circular for more details.

The Notes are scheduled to mature on January 26, 2032 but will be
subject to early redemption at the option of the ceding insurer (1)
for a 10% clean-up call or (2) on or following the payment date in
January 2027, among others. The Notes are also subject to mandatory
redemption before the scheduled maturity date upon the termination
of the Reinsurance Agreement. Additionally there is a provision for
the Ceding Insurer to issue a tender offer to reduce all or a
portion of the outstanding Notes.

Arch MI and UGRIC together act as the ceding insurers. The Bank of
New York Mellon (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Indenture Trustee, Paying Agent, Note
Registrar, and Reinsurance Trustee.

CORONAVIRUS DISEASE (COVID-19) IMPACT

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

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

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



BENCHMARK 2019-B10: Fitch Affirms B- Rating to 2 Tranches
---------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Benchmark 2019-B10
Mortgage Trust, commercial mortgage pass-through certificates,
series 2019-B10.

    DEBT               RATING           PRIOR
    ----               ------           -----
BMARK 2019-B10

A-1 08162VAA6    LT AAAsf   Affirmed    AAAsf
A-2 08162VAB4    LT AAAsf   Affirmed    AAAsf
A-3 08162VAD0    LT AAAsf   Affirmed    AAAsf
A-4 08162VAE8    LT AAAsf   Affirmed    AAAsf
A-M 08162VAG3    LT AAAsf   Affirmed    AAAsf
A-SB 08162VAC2   LT AAAsf   Affirmed    AAAsf
B 08162VAH1      LT AA-sf   Affirmed    AA-sf
C 08162VAJ7      LT A-sf    Affirmed    A-sf
D 08162VAV0      LT BBBsf   Affirmed    BBBsf
E 08162VAX6      LT BBB-sf  Affirmed    BBB-sf
F 08162VAZ1      LT BB-sf   Affirmed    BB-sf
G 08162VBB3      LT B-sf    Affirmed    B-sf
X-A 08162VAF5    LT AAAsf   Affirmed    AAAsf
X-B 08162VAK4    LT A-sf    Affirmed    A-sf
X-D 08162VAM0    LT BBB-sf  Affirmed    BBB-sf
X-F 08162VAP3    LT BB-sf   Affirmed    BB-sf
X-G 08162VAR9    LT B-sf    Affirmed    B-sf

KEY RATING DRIVERS

Increased Loss Expectations: Overall loss expectations for the pool
have increased since Fitch's last rating action driven by higher
losses from continued performance concerns on the larger Fitch
Loans of Concern (FLOCs). Fitch's current ratings reflect a base
case loss of 5.30%. The Negative Outlooks reflect losses that could
reach 5.90% after factoring additional stresses on five hotel loans
to account for ongoing business disruption as a result of the
pandemic.

Fitch Loans Concern: Eight loans (25% of pool) are considered
FLOCs, including two specially serviced loans (2.5%).

The largest FLOC and largest change to loss expectations since the
last rating action is the AT580 Multi loan (3.3% of pool), which is
secured by a 179-unit multifamily component of a larger 17 story
mixed-use tower located within the Cincinnati CBD in Ohio. YE 2021
NOI debt service coverage ratio (DSCR) fell to 0.93x from 1.19x at
YE 2020 and 1.21x at YE 2019; the loan converted to principal and
interest payments in January 2021.

While occupancy improved to 99.4% at YE 2021 from 77.8% at YE 2020
and 97.2% at YE 2019, 2021 NOI fell 6% from 2020, which already was
down 22.5% from Fitch's NOI at issuance. The NOI declines are
primarily due to increased operating expenses, up 108% since
issuance. Fitch requested an update from the master servicer on the
reason for the higher expenses, but has not received a response.
Per the master servicer, the borrower offered one month of free
rent on 13-month leases on all apartments to improve occupancy.
Fitch's base case loss of 21% reflects a cap rate of 8.75% applied
to the YE 2020 NOI.

The next largest change to overall losses is the St. Louis Galleria
loan (4.8% of pool), which is secured by a 465,695-sf portion of a
1.18 million-sf regional mall located in Saint Louis, MO.
Non-collateral anchors include Dillard's, Macy's and Nordstrom. The
collateral is anchored by Galleria 6 Cinemas (4.2% of NRA; lease
expiry in November 2029). Occupancy declined to 87% as of September
2021 from 95.7% at YE 2020 and 98.5% at YE 2019 driven by multiple
tenants vacating at or ahead of lease expirations. YTD September
2021 NOI DSCR declined to 1.52x from 1.79x at YE 2020 and 2.25x at
YE 2019. Inline tenant sales, excluding Apple, for TTM September
2021 improved to $401 psf from $294 psf at YE 2020, but remain
below pre-pandemic levels of $561 psf as of the TTM August 2018.
Including Apple, inline tenant sales were $523 psf as of TTM ended
September 2021 compared to $364 psf at YE 2020 and $576 psf for TTM
August 2018. Fitch's base case loss of 12% reflects a 11.50% cap
rate and a 5% stress to the YE 2020 NOI.

The next largest contributor to overall loss expectations, Tailor
Lofts (3.0% of pool), is secured by a student housing property
consisting of 441 beds located in Chicago, IL. The subject is
exclusively occupied by student housing tenants and is well located
in the West Loop neighborhood of Chicago within walking distance of
the University of Illinois Chicago and Rush University. All leases
are 12-months and require parental guarantees.

As of September 2021, occupancy had improved to 76.1% from 47.9% at
YE 2020, but remained well below 97.5% at YE 2019. NOI DSCR has
also fallen to 0.43x as of June 2021 from 1.30x at YE 2020 and
1.71x at YE 2019. Per the master servicer, the property has
suffered declining performance as a result of tenants not taking
occupancy as some students were unable to receive visas to attend
school. Fitch's base case loss of 14% reflects a 10% cap rate and a
15% stress to the YE 2020 NOI to reflect the declines in
performance and student housing exposure.

Minimal Change in Credit Enhancement (CE): As of the February 2022
remittance, the transaction's balance has been paid down by 0.6% to
$1.25 billion from $1.26 billion at issuance. Twenty-two loans
(59.3% of pool) have IO payments, including 10 loans (38.4%) in the
top 15. Fifteen loans (29.1%) have partial IO payments; 10 of these
loans (16.5%) have commenced amortization.

Alternative Loss Considerations: Fitch performed a sensitivity
scenario that applied an additional stress to the pre-pandemic cash
flow for five hotel loans given significant pandemic-related 2020
NOI declines, as well as the expected paydown of two loans, ARC
Apartments and Soho Beach House, maturing in 2024. This scenario,
as well as ongoing performance concerns as the FLOCs continue to
stabilize, contributed to maintaining the Negative Outlooks.

Investment Credit Opinion Loans: Three loans representing 15.3% of
the pool received investment-grade credit opinions at issuance. 3
Columbus Circle (6.6%) had an investment-grade credit opinion of
BBB-sf* on a standalone basis. ARC Apartments (5.3%) had an
investment-grade credit opinion of A-sf* on a standalone basis. 101
California (3.5%) had an investment-grade credit opinion of BBB-sf*
on a standalone basis.

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 as well as the larger FLOCs.

-- Downgrades to the super senior 'AAAsf' rated classes are not
    likely due to the position in the capital structure, but may
    occur should interest shortfalls affect these classes.

-- Downgrades to the junior 'AAAsf' and 'AA-sf' rated classes are
    possible should expected losses for the pool increase
    significantly and/or interest shortfalls occur.

-- Downgrades to the 'A-sf', 'BBBsf', and 'BBB-sf' rated classes
    are possible should loss expectations increase due to
    continued performance declines and/or lack of stabilization on
    the FLOCs, additional loans transfer to special servicing
    and/or the specially serviced loans experience higher than
    expected losses upon resolution.

-- Further downgrades to classes F and G will occur with further
    certainty of losses and/or actual losses are incurred.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with paydown and/or defeasance. Upgrades of the
    'A-sf' and 'AA-sf' categories would only occur with
    significant improvement in CE and/or defeasance and with the
    stabilization of performance on the larger FLOCs and
    additional paydown of near-term maturing loans.

-- Upgrades to the 'BB-sf' categories are not likely until the
    later years in a transaction and only if the performance of
    the remaining pool is stable and/or properties vulnerable to
    the coronavirus return to pre-pandemic levels, and there is
    sufficient CE to the classes. Classes would not be upgraded
    above 'Asf' if there is a likelihood of interest shortfalls.

-- Upgrades to classes E and F are unlikely unless there is
    significant performance improvement on the FLOCs and
    substantially higher recoveries than expected on the specially
    serviced loans and improved performance 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.


BENCHMARK 2019-B9: DBRS Confirms BB Rating on Class F Certs
-----------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-B9 issued by Benchmark
2019-B9 Mortgage Trust as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since last review, despite more recent challenges
that have generally been driven by the effects of the Coronavirus
Disease (COVID-19) pandemic. At issuance, the transaction consisted
of 50 fixed-rate loans secured by 88 commercial and multifamily
properties, with a trust balance of $883.5 million. As of the
January 2022 remittance report, all 50 loans remain in the
transaction, with no losses or defeasance to date.

There has been minimal amortization, with only 0.9% collateral
reduction since issuance. Nineteen loans, representing 53.8% of the
pool, are interest only (IO) for the full term, and an additional
18 loans, representing 33.4% of the pool, are structured with
partial IO periods. The pool is only scheduled to amortize by 6.1%
through maturity.

The transaction is concentrated with loans backed by office
properties, which represent 38.0% of the pool. The next largest
property types are retail and lodging, which represent 19.0% and
10.2% of the current trust balance, respectively. According to the
January 2022 remittance report, two loans are in special servicing
and 14 loans, representing 32.2 % of the current trust balance, are
on the servicer's watchlist. The primary performance drivers for
watchlisted loans are cash flow declines for retail and hospitality
properties, which continue to experience performance challenges
stemming from ongoing disruptions related to the pandemic.

The largest loan on the servicer's watchlist, 3 Park Avenue
(Prospectus ID#1; 10.0% of the pool), is secured by a mixed-use
office and retail building located on the corner of 34th Street and
Park Avenue in New York. The loan became delinquent in May 2020 and
has subsequently faced multiple short-term periods of delinquency
through November 2021, when the loan was brought current. Occupancy
at the property has declined to 60% as of June 2021 from 85.4% at
issuance following tenant departures and downsizing over the past
18 months. As a result, the debt-service coverage ratio fell to
0.71 times (x) as of June 2021 from 1.77x at YE2019. A loan
modification was granted in November 2021, terms of which included
the utilization of leasing reserves to pay debt service payments
and a deferral of reserve deposits between November 2021 and
October 2022. The one-year reserve replenishment period is
scheduled to begin in November 2022. Additional stresses on office
use caused by the coronavirus pandemic, combined with recent tenant
departures, suggest increased risks for the loan from issuance.

The largest loan in special servicing, La Quinta Inn Berkeley
(Prospectus ID#33; 1.2% of the pool), is secured by a 113-key
limited-service hotel in Berkeley, California. The loan transferred
to special servicing in September 2020 due to payment default,
triggered by a substantial decline in cash flow and operational
performance. The loan was brought current in October 2021; however,
a return to the master servicer has been delayed until cash
management provisions are set up. The property was re-appraised in
February 2021 with an as-is value of $15.4 million, a decline from
the issuance value of $21.8 million but indicative of an
above-water loan-to-value ratio of 68.4%. The property has
experienced performance declines largely attributed to the
pandemic. DBRS Morningstar expects the property will likely face
sustained downward pressure on operational performance in the near
to medium term given its segment and location relative to
competitors. DBRS Morningstar will continue to monitor the loan for
updates.

At issuance, DBRS Morningstar shadow-rated one loan—Aventura Mall
(Prospectus ID#22; 1.7% of the pool)—investment grade, supported
by the loans' strong credit metrics, strong sponsorship strength,
and historically stable collateral performance. With this review,
DBRS Morningstar confirms that the characteristics of the loan
remains consistent with the investment-grade shadow rating.

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



BENCHMARK 2022-B33: Fitch Gives Final 'B-' Rating to 2 Certs
------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2022-B33 Mortgage Trust commercial mortgage pass-through
certificates, series 2022-B33, as follows:

BMARK 2022-B33

-- $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;

-- $402,444,000 (a) (b) class A-5 'AAAsf'; Outlook Stable;

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

-- $722,033,000 (a) (b) class X-A 'AAAsf'; 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;

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

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

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

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

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

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

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

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

The following classes are not rated by Fitch:

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

-- $32,233,853 (c) class H;

-- $37,922,189 (c) (d) RR Interest;

-- $16,366,014 (c) (d) RR Certificates.

Fitch has withdrawn the expected ratings for classes A-4 and X-B
because the classes were removed from the final deal structure. The
classes above reflect the final ratings and deal structure.

(a) Since Fitch published its expected ratings on Feb. 16, 2022,
the balances for classes A-4, A-5 and X-A 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 $402,444,000 in
the aggregate, subject to a 5% variance. The final class balances
for classes A-4 and A-5 were combined into one class, class A-5,
which has a balance of $402,444,000. At the time the expected
ratings were published, the initial certificate balance of class
X-A was expected to be $836,784,000. The final class balance for
class X-A is $722,033,000. 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.

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.

Fitch has withdrawn the expected ratings for classes A-4 and X-B
because the classes were removed from the final deal structure. The
classes above reflect the final ratings and deal structure.

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%, 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' / '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.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.

ESG CONSIDERATIONS

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


BINOM SECURITIZATION 2022-RPL1: DBRS Gives B Rating on B2 Notes
---------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the BINOM
2022-RPL1 Mortgage-Backed Notes, Series 2022-RPL1 to be issued by
BINOM Securitization Trust 2022-RPL1 (BINOM 2022-RPL1 or the
Issuer):

-- $211.5 million Class A1 at AAA (sf)
-- $34.4 million Class M1 at AA (sf)
-- $16.6 million Class M2 at A (low) (sf)
-- $10.7 million Class M3 at BBB (low) (sf)
-- $10.9 million Class B1 at BB (low) (sf)
-- $7.4 million Class B2 at B (sf)

The AAA (sf) rating on the Notes reflects 31.80% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings
reflect 20.70%, 15.35%, 11.90%, 8.40%, and 6.00% of credit
enhancement, respectively.

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

The BINOM 2022-RPL1 securitization is backed by seasoned performing
and reperforming first-lien mortgages funded by the issuance of the
Notes. The Notes are backed by 1,887 loans with a total principal
balance of $310,070,311 as of the Cut-Off Date (January 1, 2022).

BINOM 2022-RPL1 represents the first rated seasoned performing and
reperforming loan securitization issued by the Sponsor, BREDS IV
Residential Holdco L.L.C., from the BINOM shelf. The Sponsor is a
special-purpose entity owned by the private equity fund Blackstone
Real Estate Debt Strategies IV L.P. and its managed accounts.

For this deal, the mortgage loans are approximately 176 months
seasoned. The portfolio contains approximately 94.8% modified
loans, and modifications happened more than two years ago for
approximately 84.9% of the modified loans. Within the pool, 1,075
mortgages, equating to approximately 13.1% of the total principal
balance, have non-interest-bearing deferred amounts. There are no
Home Affordable Modification Program and proprietary principal
forgiveness amounts included in the deferred amounts. The majority
of the pool (95.8%) is not subject to the Consumer Financial
Protection Bureau's Ability-to-Repay/Qualified Mortgage rules
because of seasoning.

As of the Cut-Off Date, 94.1% of the pool is current and 5.9% is 30
days delinquent under the Mortgage Bankers Association (MBA)
delinquency method. Approximately 4.9% of the mortgage loans have
been zero times 30 days delinquent (0 x 30) for at least the past
24 months under the MBA delinquency method. At the same time,
approximately 80.5% of the mortgage loans have been 0 x 30 for at
least the past 12 and six months.

The Sponsor, or an affiliate, acquired the loans directly or
indirectly from various originators or other secondary market
participants prior to the Closing Date. On the Closing Date, B4R
Depositor, LLC, the Depositor, will contribute the loans to the
Trust.

The Sponsor, or a majority-owned affiliate, will retain a 5%
eligible vertical residual interest consisting of at least 5% of
each class of Notes other than the Class R Notes to satisfy the
credit risk retention requirements promulgated under the Dodd-Frank
Act. Such retention aligns Sponsor and investor interest in the
capital structure.

As of the Cut-Off Date, the loans are serviced by Rushmore Loan
Management Services (64.3%) and NewRez LLC doing business as
Shellpoint Mortgage Servicing (35.7%). There will not be any
advancing of delinquent principal or interest on any mortgages by
the Servicers or any other party to the transaction; however, the
Servicers are obligated to certain make advances in respect of
homeowner's association fees, taxes, and insurance, and reasonable
costs and expenses incurred in the course of servicing and
disposing of properties.

On or after the earlier of (1) the payment date in January 2025 or
(2) the date on which the aggregate stated principal balance of the
loans falls to 10% or less of the Cut-Off Date balance, the Issuer
may, at its option, redeem the Notes at the optional termination
price (par plus interest, including interest and Net
Weighed-Average Coupon (WAC) shortfalls, fees, and post-closing
deferred amounts and servicing advances) described in the
transaction documents (Optional Redemption).

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M2
and more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired. In addition, within the
principal payment priority, the Class A1 Notes as well as the Class
M1 Notes all receive interest before principal gets paid to Class
A1 Notes (IIPP). This feature preserves interest payments to those
more senior classes.

Certain cash flow features in this transaction are less commonly
seen in DBRS Morningstar-rated seasoned securitizations, such as
the presence of the Credit Event tied to the early redemption of
the Notes, interest rates on the Notes, and repayment of Net WAC
shortfalls:

-- The transaction includes an Expected Redemption Date (ERD). ERD
is the payment date in January 2027 on which the Issuer is expected
to redeem the Notes. Failure to do so constitutes a Credit Event.

-- The interest rates on the Notes step up after a Credit Event,
as described in the transaction documents. The interest rates on
the Notes are set at fixed rates, which are capped by Net WAC on or
prior to a Credit Event and, after the Credit Event, adjusted Net
WAC (the Net WAC adjusted for the non-Principal Only balance that
excludes the Class B3 Note amount after the Class B3 coupon rate
resets to zero following a Credit Event).

-- Notwithstanding the Notes' interest rates caps mentioned above,
the Net WAC shortfall is defined only for Class A1 and M1 Notes
(before the Credit Event only) and not defined for the other
classes of Notes (either before or after the Credit Event). As
such, if the Net WAC or Adjusted Net WAC, as applicable, falls
below the fixed coupon rates (either initial or stepped up), the
difference will not be paid to Class A1 and M1 Notes after a Credit
Event, and to all other classes either before or after the Credit
Event.

-- That said, if the Net WAC shortfalls occur before a Credit
Event, then the interest amount may be used to repay such
shortfalls on the Class A1 and M1 Notes before making interest
payments on other Notes.

-- Also, the principal amount can be used to repay the Net WAC
shortfalls, first to Class A1 and then, after the Class A1 Notes
are paid off, to the Class M1 Notes, before being used to amortize
the Note balance amounts. This feature reduces the likelihood that
the Class A1 and M1 Note holders receive the coupon lower than the
fixed rate. However, at the same time, it also reduces the interest
and principal amount available to the more subordinate noteholders,
and, as such, causes the structure to need elevated credit
enhancement levels relative to a comparable structure where such
shortfalls are repaid from the excess cash flow to all classes of
Notes.

Such nuanced features were considered and taken into account in the
DBRS Morningstar cash flow analysis.

CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT

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

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

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



BIRCH GROVE 1: Moody's Gives Ba1 Rating to $248.7MM Secured Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned a
definitive Ba1(sf) rating to Floating Rate Secured Note Due 2024
issued by Birch Grove Funding 1 Ltd.

The complete rating action is as follows:

Issuer Name: Birch Grove Funding 1 Ltd

$248,700,000 Floating Rate Secured Note due 2024, Assigned Ba1
(sf)

RATINGS RATIONALE

Birch Grove Funding 1 Ltd (“Birch Grove Funding 1”) is a
special purpose vehicle in the Cayman Islands (“Issuer”). Birch
Grove Funding 1 issued the Notes in USD to buy a portfolio of USD
corporate loans and bonds. The interest and principal from the
collateral is used to pay the interest and principal under the
Notes.

Birch Grove Credit Strategies Master Fund LP (unrated) will act as
guarantor for the Issuer. In case there is a shortfall in any
payment due by Birch Grove Funding 1, the guarantor will cover it.

Birch Grove Funding 1 also entered into a swap with ABSA Bank
Limited (“ABSA”). ABSA as swap counterparty will pay any
shortfall of principal and interest payments due under the Notes,
after considering the payments from the guarantee, into the
Issuer.

The rating on the Notes is based mainly on ABSA Bank Limited's
counterparty risk assessment of Ba1(cr), and the strength of the
transaction structure.

Methodology Underlying the Rating Action:

The principal methodology used in this rating was "Moody's Approach
to Rating Repackaged Securities" published in June 2020.

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

Given the repack nature of the structure, noteholders are mainly
exposed to the credit risks of ABSA, as the party ultimately paying
the noteholders. Therefore a downgrade of ABSA's rating could
trigger a downgrade on the notes and conversely an upgrade of
ABSA's rating may lead to an upgrade of the notes.


BLUE RIDGE II: S&P Lowers Class E Notes Rating to 'D (sf)'
----------------------------------------------------------
S&P Global Ratings lowered the ratings on U.S. cash flow CLO
transaction Blue Ridge CLO Ltd. II's class E notes to 'D (sf)',
from 'CC (sf)'. In addition, S&P discontinued its ratings on the
class C and D notes.

The rating actions follow our review of the transaction's
redemption, which occurred on Feb. 23, 2022.

According to the notice and note payment reports provided by the
trustee, and feedback from the manager, the class E noteholders
agreed to receive a lower amount than the rated balance, 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 Feb. 23, 2022.

Both class C and D notes were paid down completely and, as a
result, we discontinued our 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 and
principal of the class E notes.

Failure to repay the rated principal promise when due (by legal
final maturity or sooner in case of an optional redemption or
liquidation due to an event of default) is a breach of the rated
promise. When an instrument breaches the rated promise the issue
credit rating falls to 'D' as it is a defaulted instrument per our
rating definitions.

S&P said, "Voluntary agreements by noteholders to receive less than
the outstanding amount due on their rated issuance do not affect
our rating definitions. Though the majority of CLOs provide
noteholders the ability when voting unanimously to accept less than
the outstanding amount due to them in case of an optional
redemption, and this need not trigger an event of default as
defined in the CLO's indenture, exercise of such an option does not
amend S&P Global Ratings' rated promise and our approach to such
situations.

"We lowered the ratings of the class E notes to 'D (sf)' as a
reflection of the rated balance not being fully repaid."

  Rating Lowered

  Blue Ridge CLO Ltd. II

  Class E: to 'D (sf)' from 'CC (sf)'

  Ratings Discontinued

  Blue Ridge CLO Ltd. II

  Class C: to NR from 'BBB (sf)'
  Class D: to NR from 'CCC+ (sf)'

  NR--not rated.



BMO 2022-C1: DBRS Gives Prov. B(low) Rating on Class 360E Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
360 Rosemary Loan-Specific Certificates to be issued by BMO 2022-C1
Mortgage Trust:

-- Class 360A at AA (low) (sf)
-- Class 360X at A (sf)
-- Class 360B at A (low) (sf)
-- Class 360C at BBB (low) (sf)
-- Class 360D at BB (low) (sf)
-- Class 360E at B (low) (sf)

All trends are Stable.

The 360 Rosemary Loan-Specific Certificates are secured by the
fee-simple interest in 360 Rosemary, a newly constructed,
313,002-square-foot (sf), Class A office building in the heart of
West Palm Beach, Florida. The building is composed of 291,298 sf of
office space and 21,704 sf of retail space along with a seven-story
garage with 606 parking spaces. Situated on the southeast corner of
South Rosemary Avenue and Fern Street, the subject is in an ideal
location in West Palm Beach. The property is located near I-95 and
Route 1, providing easy access to the coastal cities of Florida.
Four miles southwest is Palm Beach International Airport (PBI), the
primary airport for West Palm Beach, Boca Raton, Palm Beach, and
the surrounding area. It is also one of three major airports
serving the South Florida metro area.

The sponsor, Related Companies, built 360 Rosemary in 2021, and it
is currently 95.9% leased to primarily finance, real estate,
insurance, and legal tenants such as New Day USA, Goldman Sachs,
Comvest Partners, Elliott Management, Benefit Street Partners,
Point 72, and Maverick Capital. The three largest tenants (New Day
USA, Goldman Sachs, and Comvest Partners) represent a combined
43.1% of the total net rentable area (NRA) and each tenant has more
than 10 years remaining under their respective leases. The retail
space is fully leased by four tenants: Harry's/Adrienne's, Mount
Sinai, Regions Bank, and Felice Cafe. Tenants representing
approximately 21.0% of the total NRA have leases that commenced in
2021, and 70.7% have leases that commence in 2022.

New Day USA, a mortgage lender, moved its second headquarters to
the property occupying three suites leased with a weighted-average
(WA) lease term of 10.9 years. New Day USA's lease expires in
December 2032 and contains two consecutive renewal options of 60
months. Goldman Sachs, a multinational investment bank and
financial services company, occupies two suites with a lease term
of 10.5 years expiring in December 2032 with two consecutive
renewal options of 60 months each. Comvest Partners, a private
equity firm, occupies three suites with a lease term of 10.5 years
expiring in December 2033 with two consecutive renewal options of
60 months.

360 Rosemary was delivered in 2021 and offers superior amenities,
along with a LEED GOLD anticipated energy rating and Platinum
WiredScore. The property offers panoramic views of Palm Beach
Island, a rooftop deck, multiple green spaces, an Equinox-designed
fitness center, and bicycle racks and is near the neighborhood's
shopping and entertainment offerings.

The property is currently 95.9% leased to a mix of finance, real
estate, insurance, and legal tenants such as New Day USA, Goldman
Sachs, Comvest Partners, Elliott Management, Benefit Street
Partners, Point 72, and Maverick Capital. Goldman Sachs is
investment grade rated by DBRS Morningstar (A (high)) and
investment grade by Moody's, S&P, and Fitch.

The property is in one of the most desirable areas in West Palm
Beach, which has the metro's highest Class A asking rents in the
greater Palm Beach metro. The property is in downtown West Palm
Beach and benefits from its proximity to entertainment attractions
and outdoor recreation areas, including The Square and public
parks. 360 Rosemary is accessible from all major commuter
transportation hubs with nearby train stations including the West
Palm Beach Brightline Station and the West Palm Beach Amtrak Train
Station, both of which are less than a half mile from the
property.

None of the property's tenants roll through 2025, and during the
initial nine-year term of the loan, the property's rollover profile
is exposed to 9.9% of the NRA and 10.5% of base rent. The WA
remaining lease term at the property is 10.4 years, which results
in a stable, long-term cash flow stream.

The property has a blended in-place rent of $47.10 per square foot
(psf) net for office rents, which is approximately 16.8%–27.4%
below market, based on the appraisal's average comparable Class A
office rent of $55 psf–$60 psf net. The limited lease rollover
provides for minimal opportunity to capture the upside during the
loan term, but the property will likely benefit in the long run
from increased rental revenue as leases expire and roll to market.

The property is owned and controlled by The Related Companies,
L.P., a global real estate firm with approximately $60 billion in
assets under management as of December 31, 2021. Related has a
significant interest in West Palm Beach, owning more than 1.4
million sf of office, 550,000 sf of retail, and 400 hotel keys. The
company's pipeline in West Palm Beach includes more than $500
million in planned projects.

The ongoing Coronavirus Disease (COVID-19) pandemic continues to
pose challenges and risks to virtually all major commercial real
estate (CRE) property types and has created uncertainty about
future demand for office space, even in gateway markets that have
historically been highly liquid. Despite the disruptions and
uncertainty, the collateral has been largely unaffected and the
property leased up to 95.9% in a matter of months. As of December
1, 2021, the property is open and operating, and all tenants made
their November 2021 and December 2021 rental payments.

The sponsor for the transaction is partially using proceeds from
the whole loan to repatriate approximately $129.3 million of
equity. DBRS Morningstar views cash-out refinancing transactions as
less favorable than acquisition financings as sponsors typically
have less incentive to support a property through times of economic
stress if less of their own cash equity is at risk. Based on the
appraiser's as-is valuation of $895.5 million, the sponsor will
have approximately $370.5 million of cash and unencumbered market
equity remaining in the transaction.

One Flagler, a 25-story, 275,000-sf Class A office tower
approximately a half mile from 360 Rosemary, is under construction
and will be directly competitive with the subject property once it
completes in 2023. One Flagler recently signed its first leases
shortly after breaking ground. The property, which is also owned by
the sponsor (Related), will be similar to 360 Rosemary in quality
and type of amenities and will also extend the Flagler waterfront
greenbelt.

The DBRS Morningstar Loan-to-Value Ratio (LTV) is high at 114.3%
based on the $210 million in total mortgage debt. In order to
account for the high leverage, DBRS Morningstar programmatically
reduced its LTV benchmark targets for the transaction by 2.0%
across the capital structure. The debt yield and debt service
coverage ratio (DSCR) triggers for the cash flow sweep event are
low at less than a 5.0% debt yield on the initial term. The low
threshold increase the term and balloon default risks. The
nonrecourse carveout guarantor is The Related Companies, L.P.,
which is required to maintain a net worth of only at least $210
million, effectively limiting the recourse back to the sponsor for
bad act carveouts. "Bad boy" guarantees and consequent access to
the guarantor help mitigate the risk and increased loss severity of
bankruptcy, additional encumbrances, unapproved transfers, fraud,
misappropriation of rents, physical waste, and other potential bad
acts of the borrower or its sponsor.

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



BOYCE PARK: S&P Assigns BB- (sf) Rating on $30MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Boyce Park CLO
Ltd./Boyce Park CLO LLC's floating- and fixed-rate notes.

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

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

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

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

  Ratings Assigned

  Boyce Park CLO Ltd./Boyce Park CLO LLC

  Class A-1, $461.25 million: AAA (sf)
  Class A-2, $18.75 million: Not rated
  Class B-1, $63.00 million: AA (sf)
  Class B-2, $27.00 million: AA (sf)
  Class C (deferrable), $45.00 million: A (sf)
  Class D (deferrable), $45.00 million: BBB- (sf)
  Class E (deferrable), $30.00 million: BB- (sf)
  Subordinated notes, $72.30 million: Not rated



BRAVO RESIDENTIAL 2022-NQM1: Fitch Gives 'B-' Rating to B-2 Notes
-----------------------------------------------------------------
Fitch Ratings assigns ratings to the residential mortgage-backed
notes issued by BRAVO Residential Funding Trust 2022-NQM1 (BRAVO
2022-NQM1).

DEBT         RATING             PRIOR
----         ------             -----
BRAVO 2022-NQM1

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
AIOS   LT NRsf   New Rating    NR(EXP)sf
B-1    LT BB-sf  New Rating    BB-(EXP)sf
B-2    LT B-sf   New Rating    B-(EXP)sf
B-3    LT NRsf   New Rating    NR(EXP)sf
FB     LT NRsf   New Rating    NR(EXP)sf
M-1    LT BBBsf  New Rating    BBB(EXP)sf
R      LT NRsf   New Rating    NR(EXP)sf
SA     LT NRsf   New Rating    NR(EXP)sf
XS     LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 792 loans with a total interest-bearing
balance of approximately $370 million as of the cut-off date. There
is also an immaterial amount of non-interest-bearing deferred
amounts whose payments or losses will be used solely to pay down or
write off the class FB notes.

Loans in the pool were originated by multiple originators. The
loans are serviced by Citadel Servicing Corporation (Citadel, or
CSC), which, as of the closing date, is expected to be subserviced
by ServiceMac, LLC, and Rushmore Loan Management Services LLC
(Rushmore).

Since the presale was published, the issuer increased the credit
enhancement on the rated bonds due to higher coupons compared to
initial sizing. Given the higher credit enhancement, the higher
coupons and lower excess spread had no impact on 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 9.7% 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.

Non-QM Credit Quality (Negative): The collateral consists of 792
loans totaling $370 million and seasoned approximately 13 months in
aggregate, calculated as the difference between the origination
date and the cut-off date. The borrowers have a moderate credit
profile — a 728 model FICO and a 44% debt to income ratio (DTI),
which includes mapping for debt service coverage ratio (DSCR) loans
— and leverage, as evidenced by a 71.4% sustainable loan to value
ratio (sLTV).

The pool comprises 59.6% of loans treated as owner-occupied, while
40.4% were treated as an investor property (38.8%) or second home
(1.5%). Of the loans, 63.5% are designated as a non-qualified
mortgage (non-QM) loan; for the remainder, the Ability to Repay
Rule (ATR) does not apply. Lastly, 1.7% of the loans are 30 days'
delinquent as of the cutoff date, while 10.0% are current but have
experienced a prior delinquency.

Loan Documentation (Negative): Approximately 83% of the pool were
underwritten to less than full documentation, and 47% were
underwritten to a 12-month 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)
ATR, which reduces the risk of borrower default arising from lack
of affordability, misrepresentation or other operational quality
risks due to rigors of the ATR mandates regarding the underwriting
and documentation of the borrower's ability to repay.

Additionally, 32% comprise a DSCR or property cash flow-focused
product, 1% are an asset depletion product and the remaining is a
mix of other alternative documentation products. Separately, close
to 4% of the loans were originated to foreign nationals or
residency status unknowns.

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

No P&I Advancing (Mixed): The deal is structured without servicer
advances for delinquent P&I. The lack of advancing reduces loss
severities, as there is a lower amount repaid to the servicer when
a loan liquidates and liquidation proceeds are prioritized to cover
principal repayment over accrued but unpaid interest. The downside
to this is the additional stress on the structure side, as there is
limited liquidity in the event of large and extended
delinquencies.

Excess Cash Flow (Positive): The transaction benefits from excess
cash flow that provides benefit to the rated notes before being
paid out to class XS notes, although to a much smaller extent than
seen in prior vintages. 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.

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 41.3% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- The defined positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth o
    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.

CRITERIA VARIATION

The reviews of Loanstream and FGMC are seasoned 19 months versus
the 18 month window in which Fitch looks for reviews to be
completed within. Given the seasoning on the loans, the short
amount of time the reviews have been expired, and PIMCO's Above
Average assessment no adjustments are proposed and the impact is
viewed as immaterial to the rating.

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 multiple third-party review firms. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s):

A 5% PD credit was applied at the loan level for all loans graded
either 'A' or 'B'.

No credit was applied to 94 loans that had a secondary valuation
from a product Fitch has not reviewed. The property value used in
Fitch's analysis was set to the lower of the sales price or the
secondary value after the application of a haircut.

These adjustments resulted in lower loss expectations of
approximately 34bps as a result of the diligence review.

ESG CONSIDERATIONS

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


BRAVO RESIDENTIAL 2022-NQM1: Fitch Gives 'B-(EXP)' on Cl. B-2 Notes
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by BRAVO Residential Funding Trust 2022-NQM1 (BRAVO
2022-NQM1).

DEBT              RATING
----              ------
BRAVO 2022-NQM1

A-1    LT AAA(EXP)sf  Expected Rating
A-2    LT AA(EXP)sf   Expected Rating
A-3    LT A(EXP)sf    Expected Rating
M-1    LT BBB(EXP)sf  Expected Rating
B-1    LT BB-(EXP)sf  Expected Rating
B-2    LT B-(EXP)sf   Expected Rating
B-3    LT NR(EXP)sf   Expected Rating
XS     LT NR(EXP)sf   Expected Rating
FB     LT NR(EXP)sf   Expected Rating
SA     LT NR(EXP)sf   Expected Rating
AIOS   LT NR(EXP)sf   Expected Rating
R      LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The notes are supported by 792 loans with a total interest-bearing
balance of approximately $370 million as of the cut-off date. There
is also an immaterial amount of non-interest-bearing deferred
amounts whose payments or losses will be used solely to pay down or
write off the class FB notes.

Loans in the pool were originated by multiple originators. The
loans are serviced by Citadel Servicing Corporation (Citadel, or
CSC), which, as of the closing date, is expected to be subserviced
by ServiceMac, LLC, and Rushmore Loan Management Services LLC
(Rushmore).

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 9.7% 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.

Non-QM Credit Quality (Negative): The collateral consists of 792
loans totaling $370 million and seasoned approximately 13 months in
aggregate, calculated as the difference between the origination
date and the cut-off date. The borrowers have a moderate credit
profile — a 728 model FICO and a 44% debt to income ratio (DTI),
which includes mapping for debt service coverage ratio (DSCR) loans
— and leverage, as evidenced by a 71.4% sustainable loan to value
ratio (sLTV).

The pool comprises 59.6% of loans treated as owner-occupied, while
40.4% were treated as an investor property (38.8%) or second home
(1.5%). Of the loans, 63.5% are designated as a non-qualified
mortgage (non-QM) loan; for the remainder, the Ability to Repay
Rule (ATR) does not apply. Lastly, 1.7% of the loans are 30 days'
delinquent as of the cutoff date, while 10.0% are current but have
experienced a prior delinquency.

Loan Documentation (Negative): Approximately 83% of the pool were
underwritten to less than full documentation, and 47% were
underwritten to a 12-month 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)
ATR, which reduces the risk of borrower default arising from lack
of affordability, misrepresentation or other operational quality
risks due to rigors of the ATR mandates regarding the underwriting
and documentation of the borrower's ability to repay.

Additionally, 32% comprise a DSCR or property cash flow-focused
product, 1% are an asset depletion product and the remaining is a
mix of other alternative documentation products. Separately, close
to 4% of the loans were originated to foreign nationals or
residency status unknowns.

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

No P&I Advancing (Mixed): The deal is structured without servicer
advances for delinquent P&I. The lack of advancing reduces loss
severities, as there is a lower amount repaid to the servicer when
a loan liquidates and liquidation proceeds are prioritized to cover
principal repayment over accrued but unpaid interest. The downside
to this is the additional stress on the structure side, as there is
limited liquidity in the event of large and extended
delinquencies.

Excess Cash Flow (Positive): The transaction benefits from excess
cash flow that provides benefit to the rated notes before being
paid out to class XS notes, although to a much smaller extent than
seen in prior vintages. 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.

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 41.3% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

The reviews of Loanstream and FGMC are seasoned 19 months vs the 18
month window in which Fitch looks for reviews to be completed
within. Given the seasoning on the loans, the short amount of time
the reviews have been expired, and PIMCO's Above Average assessment
no adjustments are proposed and the impact is viewed as immaterial
to the rating.

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 multiple third party review firms. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s)
to its analysis:

A 5% PD credit was applied at the loan level for all loans graded
either 'A' or 'B'

No credit was applied to 94 loans that had a secondary valuation
from a product Fitch has not reviewed. The property value used in
Fitch's analysis was set to the lower of the sales price or the
secondary value after the application of a haircut

Fitch lowered its loss expectations by approximately 34bps as a
result of the diligence review.

[This/These adjustment(s) resulted in [lower loss expectations of
approximately 34bps as a result of the diligence review.].

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.


BSST 2022-1700: DBRS Gives Prov. B(low) Rating on Class G Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-1700 to
be issued by BSST 2022-1700 Mortgage Trust (BSST 2022-1700):

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

All trends are Stable.

The BSST 2022-1700 single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple interest in a 32-story,
850 209-square-foot (sf) Class A office building, 1700 Market
Street, in the Market Street West submarket of Philadelphia,
situated two blocks from City Hall and Rittenhouse Square. The
subject was constructed in 1968 and most recently renovated from
2017 to 2019 for $16.7 million. The transaction sponsor,
Shorenstein Realty Investors Eleven L.P., acquired the collateral
in January 2016 for $195.0 million. DBRS Morningstar takes a
generally positive view on the credit characteristics of the
collateral based on the property's desirable location, recent
capital improvements, solid historical operating performance, and
strong transaction sponsorship.

The property is in the Market Street West submarket of Center City,
Philadelphia. It has good highway access to I-676, I-76, and I-95,
and is near Dilworth Park, which offers commuter and subway access
to Center City. The Market Street West submarket remains one of the
most desirable office submarkets in Philadelphia thanks to its
high-quality office buildings and increasing demand with limited
new supply. According to CBRE Econometric Advisors, the Market
Street West submarket vacancy rate is about 1.0% lower than the
Philadelphia downtown vacancy rate, and the submarket will
outperform the broader metropolitan area over the next several
years.

The sponsor spent more than $16.7 million in capital expenditures,
tenant improvements, and leasing commissions since 2016. These
improvements included upgrades to the lobby and elevator, and a new
tenant-only fitness center and conference center, built in 2019 at
a cost of $3.6 million.

Since acquiring the property, the sponsor has increased occupancy
to 87.7% from 81.6%. Furthermore, the sponsor backfilled the
property's anchor tenant, Independence Blue Cross, prior to its
lease expiration in 2019, by executing a 10-year lease with
Reliance Standard Life Insurance Company to completely fill the
former tenant's 150,000-sf space.

The largest tenant at the property, Reliance Standard Life
Insurance Company (17.9% of net rentable area (NRA); 19.4% of base
rent), is investment grade, and the second-largest tenant, Deloitte
(10.9% of NRA; 12.5% of base rent), is one of the Big Four
accounting firms. Together, these tenants account for 29% of the
NRA and 31.5% of the base rent. Moreover, the property benefits
from having a low lease rollover during the loan term. During the
five-year fully extended loan term, the property will have a
cumulative rollover of 24.6% of the NRA and 30.0% of the base
rent.

The ongoing Coronavirus Disease (COVID-19) pandemic continues to
pose challenges and risks to virtually all major commercial real
estate property types and has created uncertainty about future
demand for office space, even in gateway markets that have
historically been highly liquid. Despite the disruptions and
uncertainty, the collateral has been largely unaffected.
Collections have averaged greater than 99% at the property since
April 2020, including drawdowns of the Common Grounds letter of
credit. Regardless, leasing velocity at the property and in the
broader submarket has slowed significantly since the onset of the
pandemic.

The sponsor is using loan proceeds to refinance existing debt and
is withdrawing approximately $7.4 million in equity as a part of
this transaction. DBRS Morningstar typically views cash-out
refinancing transactions less favorably given the reduced alignment
of the sponsor's and certificate holder's incentives.

The loan has a DBRS Morningstar loan-to-value ratio of 108.5% on
the mortgage loan, which is higher than other recently analyzed
transactions collateralized by office properties in primary
markets. The high leverage nature of the transaction, combined with
the lack of amortization, could result in elevated refinance risk
and/or loss severities in an event of default.

The transaction is one of a series of issuances based on a novel
transaction structure whereby the issuer may periodically offer
commercial mortgage pass-through certificates in separate series
under one master transaction servicing agreement (TSA) and offering
circular. Each series will have an offering circular supplement and
a series supplement to the TSA. Further, each series will be rated
independently of the others, each will have its own priority of
payments, and there will be no pooling of risk.

The underlying mortgage loan for the transaction will pay a
floating rate indexed to the Term Secured Overnight Financing Rate
(SOFR). However, upon the sunsetting of Libor, if Term SOFR does
not survive in its current form, or if a different benchmark
replacement is chosen, the loan could be subject to potential
benchmark transition risk. Given that Term SOFR is a relatively new
rate, it might be more volatile in the near term than other
indexes. If Term SOFR is no longer available as a benchmark, it
will be replaced with the Prime Rate.

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



BX TRUST 2021-LBA: DBRS Confirms B(low) Rating on 2 Classes
------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates issued by BX Trust
2021-LBA:

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

All trends remain Stable.

The rating confirmations reflect a deal that is very early in its
life cycle with limited reporting and no changes to the underlying
performance since issuance.

There are no changes to either leverage or credit support as the
underlying loans are not amortizing, and no change to DBRS
Morningstar's expectations for performance since issuance. The
transaction consists of two separate, uncrossed portfolios of
assets, Pool 1 (Fund V; 17 assets) and Pool 2 (Fund JV; 35 assets),
each of which supports the payments on its respective series of
certificates. Generally, each of the portfolios exhibits strong
functionality metrics and both are well-located in major industrial
markets. Each of the loans has a two-year initial term, with five
one-year extension options.

The deal closed in February 2021 and there has been little updated
financial reporting since then. DBRS Morningstar noted at issuance
that there was concentrated scheduled tenant rollover in 2021
(17.9% of net rentable area (NRA)) and 2022 (18.0% of NRA). As of
June 2021, the combined pool occupancy rate remained high at 99.4%.
The underlying properties consist mainly of warehouse and
distribution facilities with comparatively low proportions of
office square footage. This property type has continued to perform
well during the pandemic, given the continued dominance of
e-commerce and demand for industrial space. The pool is located
across several well-performing west coast markets, with a
geographic concentration in Southern California.

Both mortgage loans have a partial pro rata/sequential-pay
structure, which allows for pro rata paydowns for the first 30.0%
of the unpaid principal balance. DBRS Morningstar considers this
structure to be credit negative, particularly at the top of the
capital stack. Under a partial pro rata paydown structure,
deleveraging of the senior notes through the release of individual
properties occurs at a slower pace compared with a sequential-pay
structure. The borrower can also release individual properties
across both portfolios with customary requirements. However, in
both cases, the prepayment premium for the release of individual
assets is 105% of the allocated loan amount for the first 30% of
the original principal balance of the mortgage loan and 110%
thereafter. As of the January 2022 remittance, no properties have
been released and there has been no paydown to the trust
certificates.

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

The sponsors under the mortgage loans are joint venture (JV)
partnerships between BREIT and LBA Logistics. BREIT is an affiliate
of The Blackstone Group, Inc. (Blackstone), whose real estate group
was founded in 1991 and has nearly $175 billion in investor capital
under management. Blackstone is also one of the world's largest
industrial landlords. LBA Logistics is the industrial arm of LBA
Realty LLC, a full-service real estate investment and management
company with portfolio of logistics properties that totals over 61
million sf throughout the United States.

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



BXMT 2020-FL2: DBRS Confirms B(low) Rating on Class G Notes
-----------------------------------------------------------
DBRS, Inc. confirmed its ratings on all classes of notes issued by
BXMT 2020-FL2, Ltd., as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS Morningstar's
expectations since issuance. In conjunction with this press
release, DBRS Morningstar has published a Surveillance Performance
Update report with in-depth analysis and credit metrics for the
transaction and with business plan updates on select loans.

At issuance, the collateral consisted of 34 floating-rate mortgages
secured by 80 mostly transitional properties with a cut-off balance
totaling $1.5 billion, excluding approximately $1.2 billion of
participated loan future funding cut-off date commitment. Most
loans are in a period of transition with plans to stabilize and
improve asset value. The transaction is structured with a Permitted
Funded Companion Participation Acquisition Period through the
February 2022 Payment Date, whereby the Issuer may acquire Funded
Companion Participations into the trust.

As of the January 2022 remittance, a total of 21 loans secured by
23 properties remain in the trust with a total balance of $1.5
billion. Since issuance, 13 loans have been repaid in full with the
collateral manager using payoff proceeds to purchase loan
participation interests into the trust. Most borrowers are
progressing toward completion of the stated business plans, as
according to the collateral manager, a total of $209.1 million of
future funding across 15 loans has been advanced to individual
borrowers through YE2021 to aid in property stabilization. An
additional $315.0 million of loan future funding allocated to 17
individual borrowers remains outstanding to fund capital
expenditures and leasing costs.

The collateral is concentrated by property type as there are 11
loans (57.5% of the current pool balance) secured by office
properties, four secured by mixed-use properties (24.1% of the
current pool balance), and six (18.4% of the current pool balance)
secured by hospitality properties. The collateral is also primarily
located in core markets as 14 loans, representing 75.4% of the
current pool balance, are in urban markets with DBRS Morningstar
Market Ranks of 6, 7, and 8. These markets have historically shown
greater liquidity and demand.

As of January 2022 reporting, all loans remain current and there
are four loans on the servicer's watchlist, representing 20.4% of
the pool balance. Most of these loans were placed on the servicer's
watchlist because of upcoming initial loan maturity dates; however,
all loans feature extension options. While not on the servicer's
watchlist, the pool's third-largest loan, One South Wacker
(Prospectus ID#19, 8.1% of the pool), remains a concern. The $121.8
million trust loan is secured by a 1.2 million-sf, 43-story office
building within the Central Loop submarket of downtown Chicago. As
of the November 2021 rent roll, occupancy had decreased to 59.4%,
down from 75.8% at issuance. The decline in occupancy was expected
as the sponsor noted at issuance that the property's former largest
tenant, RSM (14.1% of the net rentable area (NRA), vacated at its
May 2021 lease expiration.

As a result of the Coronavirus Disease (COVID-19) pandemic, new and
renewal leasing has been minimal. While the T-12 ended June 30,
2021, cash flow was $13.8 million, equating to a debt service
coverage ratio (DSCR) of 1.10 times (x), the recent departure of
RSM will result in property operations not being able to cover
operating costs moving forward. The property is underperforming the
submarket in terms of both vacancy and rental rates, as according
to a Q3 2021 Reis report, office properties in West Loop submarket
reported an average vacancy rate of 12.3% and average asking rental
rate of $43.03 per square foot (psf). In comparison, the property
reported a vacancy rate of 40.6% and a weighted-average rental rate
of $25.51 psf. This risk is mitigated by the sponsor's experience
in the Chicago office market and the $41.2 million in outstanding
future funding dollars available to the borrower. Based on the
currently funded A note of $268.8 million, the loan has a
loan-to-value ratio (LTV) of 84.5% against the issuance appraised
value of $318.0 million. The appraiser projected a stabilized value
of $410.0 million, which would result in a moderated fully funded
LTV of 76.0%.

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



BXSC COMMERCIAL 2022-WSS: S&P Assigns Prelim 'B-' Rating on F Certs
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BXSC
Commercial Mortgage Trust 2022-WSS's commercial mortgage
pass-through certificates.

The certificate issuance is a CMBS transaction backed by the
borrowers' fee simple interests in 111 WoodSpring Suites
extended-stay hotels across 30 U.S. states and the operating
lessee's leasehold interests in the properties.

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

The preliminary ratings reflect S&P Global Ratings' view of the
collateral's historical and projected performance, the sponsor's
and manager's experience, the trustee-provided liquidity, the
loan's terms, and the transaction's structure. S&P determined that
the loan has a beginning and ending loan-to-value ratio of 122.8%,
based on our value of the properties backing the transaction.

The recent rapid spread of the omicron variant highlights the
inherent uncertainties of the pandemic, as well as 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
each issuer adapts to new waves in its geography or industry."

  Preliminary Ratings Assigned(i)

  BXSC Commercial Mortgage Trust 2022-WSS

  Class A, $389,100,000: AAA (sf)
  Class X-CP, $476,980,000(i): BBB- (sf)
  Class X-EXT, $681,400,000(i): BBB- (sf)
  Class B, $109,900,000: AA- (sf)
  Class C, $65,300,000: A- (sf)
  Class D, $117,100,000: BBB- (sf)
  Class E, $148,300,000: BB- (sf)
  Class F, $136,200,000: B- (sf)
  Class G, $169,100,000: NR
  Class HRR, $60,000,000: NR

(i)Notional balance. The class X-CP and class X-EXT certificates
will not have certificate balances and will not be entitled to
distributions of principal. The notional amount of the class X-CP
certificates will be equal to the aggregate portion balances of the
A-2 portion, B-2 portion, C-2 portion, and D-2 portion, and the
notional amount of the class X-EXT certificates will be equal to
the aggregate certificate balances of the class A, class B, class
C, and class D certificates.

NR--Not rated.



CEDAR FUNDING XV: S&P Assigns BB- (sf) Rating on Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Cedar
Funding XV CLO Ltd./Cedar Funding XV CLO LLC's floating-rate debt.

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

The preliminary ratings are based on information as of March 16,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC

  Class A, $206.00 million: AAA (sf)
  Class A loan, $50.00 million: AAA (sf)
  Class B, $48.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $41.65 million: Not rated



CFMT 2022-AB2: DBRS Gives Prov. BB(low) Rating on Class M5 Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Asset-Backed Notes, Series 2022-1 to be issued by CFMT 2022-AB2,
LLC:

-- $493.2 million Class A at AAA (sf)
-- $25.3 million Class M1 at AA (sf)
-- $12.3 million Class M2 at A (high) (sf)
-- $13.1 million Class M3 at A (sf)
-- $14.0 million Class M4 at BBB (sf)
-- $18.7 million Class M5 at BB (low) (sf)

The AAA (sf) rating reflects 94.8% of the cumulative advance rate.
The AA (sf), A (high) (sf), A (sf), BBB (sf), and BB (low) (sf)
ratings reflect 99.6%, 102.0%, 104.5%, 107.2%, and 110.8% of the
cumulative advance rates, respectively.

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

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

As of the December 31, 2021, initial cut-off date, the collateral
has approximately $340.3 million in unpaid principal balance from
1,077 active home equity conversion mortgage reverse mortgage loans
secured by first liens typically on single-family residential
properties, condominiums, multifamily (two- to four-family)
properties, manufactured homes, and planned unit developments. The
loans were originated between 2000 and 2019. Of the total loans,
680 have a fixed interest rate (70.8% of the balance), with a 5.27%
weighted-average coupon (WAC). The remaining 397 loans are
floating-rate interest (29.2% of the balance) with a 2.35% WAC,
bringing the entire collateral pool to a 4.42% WAC.

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of notes will receive regular
distributions of interest and/or principal. All note classes have
coupon caps at 2%.

The Class M1, M2, M3, M4, and M5 notes have principal lockout terms
insofar as they are not entitled to principal payments upon the
Issuer's failure to pay all interest (including any cap carryover
amount), principal, and fees due on the mandatory call date (such
period, the Class M Principal Lockout Period). Such Class M
Principal Lockout Period begins on the day following the mandatory
call date and ends on the earliest of (1) the occurrence of a
sufficient proceeds auction, (2) an acceleration event, and (3) the
ninth anniversary of the mandatory call date. If the Class M
Principal Lockout period ends before the occurrence of a sufficient
proceeds auction or an acceleration event, then amounts will be
paid in accordance with the priority of payments. Note that the
DBRS Morningstar cash flow as it pertains to each note models the
first payment being received after these dates for each of the
respective notes; hence at the time of issuance, DBRS Morningstar
does not expect these rules to affect the natural cash flow
waterfall.

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



CHARTER MORTGAGE 2018-1: Fitch Affirms 'BB+' Rating on Cl. E Notes
------------------------------------------------------------------
Fitch has upgraded Charter Mortgage Funding 2018-1 PLC's (CMF
2018-1) class C and D notes and CMF 2020-1 PLC's class B and C
notes. All other notes have been affirmed.

     DEBT              RATING           PRIOR
     ----              ------           -----
Charter Mortgage Funding 2018-1 PLC

A XS1821502405   LT AAAsf   Affirmed    AAAsf
B XS1821502744   LT AAAsf   Affirmed    AAAsf
C XS1821503049   LT AAAsf   Upgrade     AA+sf
D XS1821503478   LT A+sf    Upgrade     A-sf
E XS1821503635   LT BB+sf   Affirmed    BB+sf

CMF 2020-1 PLC

A XS2096745216   LT AAAsf   Affirmed    AAAsf
B XS2096745307   LT AAAsf   Upgrade     AA+sf
C XS2096745729   LT AAsf    Upgrade     A+sf
D XS2096745992   LT BBB+sf  Affirmed    BBB+sf
E XS2096749127   LT BBB-sf  Affirmed    BBB-sf

TRANSACTION SUMMARY

CMF 2018-1 and CMF 2020-1 securitise a pool of owner-occupied (OO)
mortgages, originated by Charter Court Financial Services (CCFS),
trading as Precise Mortgages in the UK excluding Northern Ireland.

KEY RATING DRIVERS

Stable Asset Performance: The overall pool composition of both
transactions has not significantly changed since the last annual
rating actions. Arrears have increased alongside a substantial
decrease in payment holidays. This, however, has not resulted in
losses, which remain muted. Cumulative repossessions in the
transaction are at 0.01% for CMF 2018-1 and zero for CMF 2020-1.

Credit Enhancement (CE) Accumulation: CE for both CMF 2018-1 and
CMF 2020-1 has increased as a result of their sequential
amortisation structure. Class A notes' CE has increased by 4.05% to
24.64% for CMF 2018-1, and by 4.21% to 16.08% for CMF 2020-1, since
the last rating actions. No pro-rata amortisation is allowed in the
documentation, and this has resulted in the notes being able to
withstand higher rating stresses, driving today's upgrades.

Liquidity Protection Mechanism: The transactions benefit from a
liquidity protection mechanism in the form of a reserve fund, sized
at closing at 1.5% of the collateralised notes balance. This
includes a liquidity reserve fund, sized at 1.5% of the outstanding
balance of the class A and Class B notes (prior to applying any
redemption priority of payment funds), which is entirely dedicated
to cover senior fees, and interest shortfalls on the class A and B
notes. These are both at their target levels, supporting the
ratings and Outlook. The remainder of the reserve fund is not
available to cover for losses on the asset pool, but instead acts
as a liquidity support for the class C notes and below.

Adjustment for Self-Employed Borrowers: CCFS may choose to lend to
self-employed individuals with only one year's income verification
completed, and income could be based only on the latest year of
earnings if these are increasing. Fitch believes that this practice
is less conservative than ones adopted by other prime lenders. As a
result, Fitch applied an increase of 30% to the foreclosure
frequency (FF) for self-employed borrowers with verified income
instead of the standard 20% increase, as per its UK RMBS Rating
Criteria.

No Turbo Benefit above 'BB+sf': On any payment date occurring on or
after the first optional redemption date, any excess spread
available will be diverted to principal available funds and used to
pay down the notes (turbo feature). However, any subordinated
hedging amount that could be payable (in the event of default of
the swap counterparty) is senior to this turbo feature item in the
revenue priority of payments. If the swap mark-to-market is in
favour of the swap counterparty, excess spread may not be available
to pay principal, and for this reason, Fitch has not given credit
to the turbo feature in scenarios above 'BB+sf'.

Libor Replacement Rate: CCFS has confirmed that all references to
3m Libor in the transactions have been replaced with SONIA. The
existing notes margin for CMF 2018-1 have been increased by a
0.1193% spread adjustment to account for the difference between the
two index rates. Term SONIA has also been chosen by CCFS as the
Libor replacement rate for the loans, adjusted by the same spread.
This has affected the collateral pool of CMF 2018-1 in its
entirety, and for CMF 2020-1, 83.9% of the collateral pool that is
currently referencing, or would have referenced to 3m Libor in the
future. The remainder of the pool of mortgages backing CMF 2020-1
consists of loans linked to Bank of England base rate, to which
Fitch has applied a haircut, in line with its UK RMBS Rating
Criteria.

Help-to-Buy Affects ESG: Nearly 27.4% and 34.7% of the pools
comprise loans in which the UK government has lent up to 40% inside
London and 20% outside London of the property purchase price in the
form of an equity loan. This allows borrowers to fund a 5% cash
deposit and mortgage the remaining balance.

Fitch has taken the balances of both the mortgage loan and equity
loan into account when calculating the borrower's FF, in line with
its UK RMBS Rating Criteria. Given this impact on the FF,
accessibility to affordable housing through the Help-to-Buy
Government Scheme is deemed a negative factor affecting Fitch's ESG
scores.

RATING SENSITIVITIES

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

-- The transactions' performance may be affected by changes in
    market conditions and economic environment. Weakening economic
    performance is strongly correlated to increasing levels of
    delinquencies and defaults that could reduce CE available to
    the notes.

-- Fitch conducted sensitivity analyses by stressing each
    transaction's base case FF and recovery rate (RR) assumptions,
    and examining the rating implications on all classes of issued
    notes. A 15% increase in weighted average (WA) FF and a 15%
    decrease in WARR indicate downgrades of no more than one notch
    for CMF 2018-1 and up to three notches for CMF 2020-1.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE and,
    potentially, upgrades. Fitch tested an additional rating
    sensitivity scenario by applying a decrease in the WAFF of 15%
    and an increase in the WARR of 15%. The results indicate
    upgrades of up to five notches for CMF 2018-1's class D notes,
    three notches each for CMF 2020-1's class C and D notes, and
    two notches for class E notes.

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 has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. Fitch has not reviewed the results of
any third- party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

Prior to the transactions' closing, Fitch reviewed the results of a
third-party assessment conducted on the asset portfolio information
and concluded that there were no findings that affected the rating
analysis.

Prior to the transactions' closing, Fitch conducted a review of a
small targeted sample of the originator's origination files and
found the information contained in the reviewed files to be
adequately consistent with the originator's policies and practices
and the other information provided to the agency about the asset
portfolio.

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

ESG CONSIDERATIONS

CMF 2018-1 and CMF 2020-1 have an ESG Relevance Score of '4' for
Exposure to Social Impacts, due to the significant proportion of
loans in the pool that accessed the Help-to-Buy government scheme,
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.


CITIGROUP COMMERCIAL 2014-GC21: DBRS Confirms BB Rating on E Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-GC21 issued by Citigroup
Commercial Mortgage Trust 2014-GC21 as follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class PEZ at A (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-D at B (sf)
-- Class F at B (low) (sf)

DBRS Morningstar changed the trends on Classes F and X-D to Stable
from Negative. All classes now carry a Stable trend.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. The trend changes are a result of
improvements in performance for the watchlisted loans as well as
the resolution of the loans that were in special servicing at last
review, specifically, Harbor Square (Prospectus ID#14) and 24 Hour
Fitness (Prospectus ID#25, 1.7% of the pool). As of the January
2022 remittance, 54 of the original 70 loans remain in the pool,
representing a collateral reduction of 32.2% since issuance with a
current trust balance of $705.5 million. Eight loans, representing
7.4% of the current pool balance, are fully defeased. There is one
loan in special servicing, Talbot Town Center & 32 North Washington
Street (Prospectus ID#42, 1.1% of the pool), which DBRS Morningstar
believes will ultimately be resolved with a loss to the trust at a
loss severity approaching 40.0%. As of the January 2022 remittance,
no loans in the pool were delinquent on debt service payments.

The largest loan on the servicer's watchlist, Maine Mall
(Prospectus ID#1, 17.7% of the pool), is secured by
730,444-square-foot (sf) portion of a 1.0 million-sf super-regional
mall located approximately six miles from the Portland, Maine, CBD.
The loan was added to the servicer's watchlist in April 2020 for a
declining debt service coverage ratio (DSCR) and the borrower's
Coronavirus Disease (COVID-19) relief request. The servicer and the
sponsor, Brookfield, executed a forebearance agreement in November
2020. Brookfield provided rent deferrals to multiple tenants in
2020 and it was able to avoid two simultaneous dark anchors, which
typically results in the triggering of co-tenancy clauses. The
decline in collateral performance was exacerbated during the
pandemic given the considerable rent deferrals offered to various
tenants; however, the sponsor was able to maintain occupancy and
the deferred amounts are expected to be repaid in the near term.
The sponsor and the tenants have shown commitment to the property
and the sponsor expects performance to rebound to pre-pandemic
levels in 2022.

The second-largest loan on the servicer's watchlist, Lanes Mill
Marketplace (Prospectus ID#9, 3.0% of the pool), is secured by a
145,370-sf portion of a 435,074-sf retail power center in Howell,
New Jersey. The loan was added to the servicer's watchlist in
November 2018 for a low DSCR. As of the most recent financial
reporting from September 2021, the year-to-date DSCR was 0.77 times
(x), while the effective occupancy rate of the collateral remained
at 78.0%. While grocery-anchored properties have generally shown
more resilience to the effects of the ongoing pandemic, the
declining sales figure prior to the outbreak of the pandemic is
troubling. The property does benefit from its location within an
established retail corridor, strong shadow-anchors and available
leasing and capital improvement reserves in excess of $1.0 million;
however, leasing momentum has been slow for several years and it
not expected to materially improve in the immediate future.

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



CITIGROUP COMMERCIAL 2014-GC25: DBRS Confirms B Rating on F Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-GC25 issued by Citigroup
Commercial Mortgage Trust 2014-GC25 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction since issuance. As of the
January 2022 remittance, 58 of the trust's original 62 loans
remained in the pool, with an outstanding principal balance of
$747.6 million, representing a collateral reduction of 11.2% since
issuance. There are 10 loans, representing 16.9% of the current
pool balance, that have been fully defeased, including three of the
15 largest loans.

There were 13 loans, representing 17.3% of the current pool
balance, on the servicer's watchlist, including two of the 10
largest loans, representing 7.8% of the current pool balance. The
majority of the loans on the watchlist are being monitored for
deferred maintenance or upcoming lease expirations where the latest
servicer commentary indicates that the tenants in question have
renewed. There were no loans in special servicing.

The largest loan on the servicer's watchlist, The Pinnacle at
Bishop's Woods (Prospectus ID#12, 3.9% of the current pool), is
secured by a portfolio of three adjacent Class A office buildings
in Brookfield, Wisconsin. The loan was added to the servicer's
watchlist in June 2021 for a low debt service coverage ratio
(DSCR), occupancy declines, and deferred maintenance. The loan
remains current, and there is no indication that the borrower has
requested relief, but DBRS Morningstar did note at issuance that
the sponsors have reported defaults, workouts, and foreclosures on
at least seven other commercial loans not related to the subject
property. A cash trap has been active for several years and the
reserve accounts showed a total balance of $500,000 as of January
2022. As of the trailing nine months ended September 30, 2021, the
servicer reported an occupancy rate of 66.7% and a DSCR of 1.09
times (x), down from 76.2% and 1.35x, respectively, as of YE2020.

The Stamford Plaza Portfolio loan (Prospectus ID#13, 3.9% of the
current pool), is secured by a portfolio of four connected Class A
office properties in Stamford, Connecticut. The trust debt is a
$30.0 million pari passu participation in a whole loan that totaled
$270.0 million at issuance. The loan has been on the watchlist
since 2018 because of occupancy and cash flow declines. A relief
request related to the Coronavirus Disease (COVID-19) pandemic was
granted, allowing for a deferral of reserves for 12 months, to be
repaid beginning in May 2022. The loan currently reports
approximately $5.0 million in replacement and repair reserves. The
portfolio's total occupancy rate was reported at 67.3% in June
2021, with approximately 20.5% of the portfolio's net rentable area
on leases that have expired or will expire in the next 12 months. A
Q3 2021 DSCR of 0.62x was most recently reported.

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



CITIGROUP COMMERCIAL 2015-GC27: DBRS Cuts Cl. G Certs Rating to C
-----------------------------------------------------------------
DBRS, Inc. downgraded its ratings on four classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-GC27 issued by
Citigroup Commercial Mortgage Trust 2015-GC27 as follows:

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

DBRS Morningstar also confirmed its ratings on the following
classes as follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class D at BBB (low) (sf)

The trend for Class D was changed to Negative from Stable and Class
F no longer carries a trend given the distressed rating. Negative
trends were maintained for Classes E and X-E. All other trends are
Stable.

DBRS Morningstar downgraded five classes of this transaction in
March 2021 based on loss projections for two specially serviced
loans. (For additional information on those rating actions, please
see the press release dated March 11, 2021.) The downgrades as of
this review and Negative trends are based on increased loss
projections for the pool, primarily driven by the Highland Square
(Prospectus ID#5 – 3.6% of the trust balance) and Centralia
Outlets (Prospectus ID#8 – 2.8% of the trust balance) loans. As
of the January 2022 remittance, four loans, totaling 12.0% of the
trust balance, are in special servicing.

Highland Square is the largest contributor to DBRS Morningstar's
expected losses for the pool and the second-largest specially
serviced loan. It is secured by a 753-bed student housing complex
in Oxford, Mississippi, located approximately two miles northeast
from the main campus of the University of Mississippi. Since
issuance, new competitive properties that are closer to campus have
been delivered, which significantly affected the subject's
performance. The property became real estate owned in October 2019.
A December 2021 rent roll noted the property was 54.3% occupied
with an average of $459 per bed, compared with the issuance figures
of 94.8% and $593 per bed, respectively. Special-servicer
commentary dated January 2022 noted the collateral was 12%
pre-leased for the upcoming 2022/2023 academic year. The asset is
being marketed for sale. DBRS Morningstar expects the resulting
loss severity will exceed 70.0% as the appraised value is well
below the loan exposure and buyer interest is likely to be
limited.

The second-largest contributor to expected pool losses and the
third-largest specially serviced loan is Centralia Outlets, which
is secured by the fee interest in an anchored outlet mall located
in Centralia, Washington, approximately 85 miles southwest of
Seattle. The loan transferred to the special servicer in July 2020
for monetary default as a result of cash flow disruptions resulting
from the Coronavirus Disease (COVID-19) pandemic. The property lost
its largest tenant, VF Outlet, in January 2021 at lease expiration,
and DBRS Morningstar expects that co-tenancy clauses were triggered
at that time. The July 2021 appraisal indicated a property value of
$20.3 million, well below the $47.0 million appraised value at
issuance. The sponsor has a history of loan defaults and
bankruptcy, including a voluntary bankruptcy filing in September
2010. DBRS Morningstar's analysis included a liquidation scenario
for this loan, resulting in an implied loss severity in excess of
50.0%.

At issuance, the pool comprised 100 fixed-rate loans secured by 116
commercial properties with a trust balance of $1.19 billion.
According to the January 2022 remittance, 92 loans secured by 101
commercial properties remain in the pool with a trust balance of
$1.03 billion, representing a 13.7% collateral reduction since
issuance. Since the last rating action, one loan was liquidated
from the trust with a better than expected recovery.

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



CITIGROUP COMMERCIAL 2015-P1: Fitch Affirms 'B' Rating on F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust commercial mortgage pass-through certificates,
series 2015-P1. The Rating Outlook for one class has been revised
to Stable from Negative.

    DEBT               RATING               PRIOR
    ----               ------               -----
CGCMT 2015-P1

A-2 17324DAR5    LT PIFsf   Paid In Full    AAAsf
A-3 17324DAS3    LT AAAsf   Affirmed        AAAsf
A-4 17324DAT1    LT AAAsf   Affirmed        AAAsf
A-5 17324DAU8    LT AAAsf   Affirmed        AAAsf
A-AB 17324DAV6   LT AAAsf   Affirmed        AAAsf
A-S 17324DAW4    LT AAAsf   Affirmed        AAAsf
B 17324DAX2      LT AA-sf   Affirmed        AA-sf
C 17324DAY0      LT A-sf    Affirmed        A-sf
D 17324DAA2      LT BBB-sf  Affirmed        BBB-sf
E 17324DAE4      LT BBsf    Affirmed        BBsf
F 17324DAG9      LT Bsf     Affirmed        Bsf
PEZ 17324DAZ7    LT A-sf    Affirmed        A-sf
X-A 17324DBA1    LT AAAsf   Affirmed        AAAsf
X-B 17324DBB9    LT AA-sf   Affirmed        AA-sf
X-D 17324DAL8    LT BBB-sf  Affirmed        BBB-sf

KEY RATING DRIVERS

Relatively Stable Performance: Overall pool performance and base
case loss expectations remained relatively stable since the prior
review and issuance. Fitch's current ratings incorporate a base
case loss of 4.60%. Fitch has identified six Fitch Loans of Concern
(FLOCs) (14.3% of the pool balance), including three which are in
the top 15.

Performance has stabilized for the majority of properties impacted
by the pandemic. FLOCs have declined from 39.1% of the pool at the
last rating action and no additional sensitivity scenarios were
applied. The revision of the Outlook from Negative to Stable
reflects the overall performance stabilization.

Largest Contributor to Base Case Loss: The largest contributor to
expected loss is The Decoration & Design Building loan (10%), which
is secured by the leasehold interest in an office/design center
property in Midtown Manhattan. The loan became 60 days delinquent
in June 2020 due to the borrower experiencing coronavirus-related
hardships, but was brought current by the sponsor in November 2020;
the loan remains current.

The YE 2020 NOI declined 9.2% from YE 2019 due primarily to lower
rental revenue from the decline in occupancy. The property was
81.1% occupied as of September 2021, down from 82.6% at December
2020, 87% in December 2019 and 92.9% in December 2018. Based on the
September 2021 rent roll, lease rollover includes 9.3% in 2022,
11.3% in 2023, and 19.3% in 2024.

The property is also subject to a ground lease that expires in
December 2023, with two extension options for 25 and then 15 years.
The ground rent resets in January 2024 to the greater of the prior
year's payment or 6% of the unencumbered land value. Based on the
appraiser's estimate of unencumbered land value at issuance, the
ground lease payment is expected to increase to $13.8 million upon
reset from its current amount of $3.825 million. Fitch applied a
11.5% cap rate to YE 2020 NOI to reflect the upcoming ground rent
reset, as well as to account for the recent occupancy decline and
upcoming lease rollover resulting in an approximate 8% loss.

The second largest contributor to expected loss is Weston Portfolio
loan (6%), which is secured by a portfolio of one retail and two
office properties in Weston, FL. The property was 85.6% occupied as
of September 2021, compared with 90.2% in December 2020 and 98.8%
in February 2019. Occupancy declined after Esslinger-Wooten-Maxwell
Realtors (4.8%) vacated at its September 2019 expiration, followed
by six tenants totaling 4.2% of NRA vacating at or ahead of lease
expiration in 2020 and additionally Ultimate Software (5.5%)
vacated the 1760 Bell Tower Lane office property in March 2021
leaving the office property 100% vacant. Grocery anchor, Publix
(19.9% of NRA; 7% of total base rents), extended their lease until
December 2026. Fitch's analysis included a 5% stress to YE 2020 NOI
and a 9.01% cap rate which resulted in an expected loss of
approximately 15%.

Increased Credit Enhancement (CE): As of the February 2022
distribution date, the pool's aggregate principal balance was paid
down by 10.3% to $983 million from $1.1 billion at issuance.
Defeasance increased to 19.2% of the pool (nine loans) as of
February 2022 from 16.9% (six loans) at the prior rating action.
Since issuance, two loans paid off including US StorageMart
Portfolio ($43.7 million) in January 2020 and Best Plaza ($9.1
million) in August 2020. Four loans (17.4%) are full-term
interest-only and two loans (10.2%) are partial interest-only and
have yet to begin amortizing. Scheduled loan maturities include one
loan (0.2%) in 2022, 41 loans (89.7%) in 2025 and one loan (10.1%)
in 2026.

Loan Concentration: The pool is concentrated with a total of 43
loans. The largest 10 loans comprise 64.1% of the pool. The largest
property-type concentration is retail at 29.3% of the pool,
followed by office at 24.7% and hotel at 22.4%.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool level losses
    from underperforming or specially serviced loans. Downgrades
    to classes A-2 through A-AB, A-S and X-A are not likely due to
    their high CE and continued amortization, but may occur should
    interest shortfalls occur;

-- Downgrades to classes B, X-B and C are possible should
    expected losses for the pool increase significantly,
    performance of the FLOCs further decline and/or loans
    susceptible to the pandemic not stabilize and incur outsized
    losses;

-- Downgrades to classes D and E would occur should loss
    expectations increase from continued performance decline of
    the FLOCs or loans default and/or transfer to the special
    servicer;

-- Downgrades to class F would occur as losses are realized
    and/or become more certain.

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
    additional paydown and/or defeasance.

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

-- An upgrade to class D is not likely until the later years in
    the transaction, and only if the performance of the remaining
    pool is stable and/or properties vulnerable to the pandemic
    return to pre-pandemic levels, and there is sufficient CE;

-- Classes E and F are unlikely to be upgraded absent significant
    performance improvement on the FLOCs;

Deutsche Bank is the trustee for the transaction and also serves as
the backup advancing agent. Fitch's Issuer Default Rating for
Deutsche Bank is currently 'BBB+'/'F2'/Positive. Fitch relies on
the Master Servicer, Wells Fargo Bank, N.A., a division of Wells
Fargo & Company (A+/F1/Negative), which is currently the primary
advancing agent, as a direct counterparty.

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.


CITIGROUP COMMERCIAL 2020-555: DBRS Confirms B Rating on G Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-555 issued by Citigroup
Commercial Mortgage Trust 2020-555 as follows:

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

All trends are Stable.

The rating confirmations reflect continued stable performance of
the collateral, which remains in line with DBRS Morningstar's
expectations.

The fixed-rate, full-term interest-only (IO) $400.0 million loan is
secured by a recently built Class A luxury high-rise apartment in
the Midtown West submarket of Manhattan, New York. The property
features a rooftop terrace, two fitness centers, a yoga studio, an
arcade and bowling alley, a dog grooming center, and indoor and
outdoor pools. Units feature high-end finishes, including oversized
windows, quartz countertops, stainless-steel appliances, in-unit
washers and dryers, and large bathrooms. The building sits just
north of the Hudson Yards development, with good proximity to the
Port Authority bus terminal and multiple subway lines. Times Square
is less than a half-mile to the east. Despite increased development
in the immediate area over the past few years, the submarket
multifamily vacancy rate remains low at 5% as of Q4 2021, according
to Reis. There was no new inventory added to the submarket in 2021.
As of December 2021, the subject's market-rent units were 95.8%
occupied, and the rent-stabilized units were 98.7% occupied.

The deal closed in March 2020, so the YE2021 statement marks the
first full year of servicer reporting since securitization. Despite
the strong occupancy figures noted above, net cash flow (NCF) has
declined slightly because of the rent abatement periods granted in
2020 and 2021, which are currently being repaid. DBRS Morningstar
determined that the NCF stresses to the property during the last
year have been primarily caused by the Coronavirus Disease
(COVID-19) pandemic and do not reflect a sustained decline in
value. DBRS Morningstar expects base rental income to rebound once
the abated rent is repaid.

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



CITIGROUP MORTGAGE 2018-RP2: Moody's Ups B-2 Debt Rating to Ba3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 10 tranches
from four transactions issued by Citigroup Mortgage Loan Trust
between 2015 and 2018.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL), serviced by Fay
Servicing LLC.

A List of Affected Credit Ratings is available at
https://bit.ly/3CObOxn

The complete rating actions are as follows:

Issuer: Citigroup Mortgage Loan Trust 2015-A

Cl. B-3, Upgraded to Aaa (sf); previously on Jun 17, 2021 Upgraded
to Aa2 (sf)

Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 28, 2020
Confirmed at Ba1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-PS1

Cl. B-3, Upgraded to A1 (sf); previously on Jun 17, 2021 Upgraded
to Baa1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-RP2

Cl. B-3, Upgraded to Aa1 (sf); previously on Jun 17, 2021 Upgraded
to Aa3 (sf)

Cl. B-4, Upgraded to A3 (sf); previously on Jun 17, 2021 Upgraded
to Baa3 (sf)

Issuer: Citigroup Mortgage Loan Trust 2018-RP2

Cl. B-1, Upgraded to Baa3 (sf); previously on Sep 28, 2020
Confirmed at Ba1 (sf)

Cl. B-2, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Confirmed
at B1 (sf)

Cl. M-1, Upgraded to Aaa (sf); previously on Apr 17, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. M-2, Upgraded to A1 (sf); previously on May 7, 2019 Upgraded to
A2 (sf)

Cl. M-3, Upgraded to Baa2 (sf); previously on Apr 17, 2018
Definitive Rating Assigned Baa3 (sf)

RATINGS RATIONALE

The rating upgrades reflect the increase in the level of credit
enhancement available to these bonds due to higher prepayment
rates, which have averaged between 14% and 26% approximately, in
the last 12 months. The rating action also reflects Moody's updated
loss expectations on the underlying pools.

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, but have declined from peak
levels observed in 2020. 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 3% and 9% among RMBS
RPL transactions. 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. Moody's also considered a
scenario where the population of non-cashflowing loans default with
higher roll rates.

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.

Given the lack of servicer advancing, an elevated percentage of
non-cash flowing loans related to borrowers enrolled in payment
relief programs can result in interest shortfalls, especially on
the junior bonds. However, the risk of incurring such interest
shortfalls has reduced since the proportion of non-cash flowing
loans has decreased from the June 2020 peak. Furthermore, based on
transaction documents, reimbursement of missed interest on the more
senior notes has a higher priority than even scheduled interest
payments on the more subordinate notes. Based on this interest
reimbursement feature, along with declining levels of borrowers
enrolled in payment relief plans, Moody's expect any such interest
shortfalls incurred to be temporary and fully reimbursed over the
subsequent months. None of the tranches in the rating action have
any interest shortfalls outstanding currently.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicers.

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 methodologies used in these ratings were "Non-Performing and
Re-Performing Loan Securitizations Methodology"published in April
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.


CITIGROUP MORTGAGE 2022-J1: DBRS Finalizes B(high) on B-5 Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2022-J1 issued by
Citigroup Mortgage Loan Trust 2022-J1 (CMLTI 2022-J1):

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

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

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

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

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

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

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

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

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

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

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

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

Coronavirus Impact

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

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

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



COLONNADE 2018-5: DBRS Places Tranche K BB(high) Under Review
-------------------------------------------------------------
DBRS Ratings GmbH and DBRS Rating Limited (together, DBRS
Morningstar) placed the following ratings on two structured credit
transactions Under Review with Positive Implications:

Colonnade Programme - Series Global 2018-5 (Colonnade 2018-5)
(provisional ratings)

-- Tranche B rated AA (high) (sf)
-- Tranche C rated AA (high) (sf)
-- Tranche D rated AA (sf)
-- Tranche E rated A (high) (sf)
-- Tranche F rated A (sf)
-- Tranche G rated A (sf)
-- Tranche H rated BBB (sf)
-- Tranche I rated BBB (sf)
-- Tranche J rated BBB (sf)
-- Tranche K rated BB (high) (sf)

DBRS Morningstar also rates the Tranche A issued by Colonnade
2018-5 at AAA (sf), but did not place this tranche Under Review
with Positive Implications.

The transaction is a synthetic balance-sheet collateralized loan
obligation (CLO) structured in the form of a guarantee. The
tranches are exposed to the credit risk of a portfolio of corporate
loans and credit facilities (the guaranteed portfolio) originated
by Barclays Bank PLC (Barclays or the beneficiary). The rated
tranches are unfunded and the senior guarantee remains unexecuted.
The junior guarantee was executed in December 2018 with an initial
balance of USD 55 million and has a duration of eight years.

The ratings address the likelihood of a loss under the guarantee on
the respective tranche resulting from borrower defaults at the
legal final maturity date in December 2026. Borrower default events
are limited to failure to pay, bankruptcy, and restructuring. The
ratings that DBRS Morningstar assigned to each tranche are expected
to remain provisional until the senior guarantee is executed. The
ratings do not address counterparty risk or the likelihood of any
event of default or termination events under the agreement
occurring.

Asti Group PMI S.r.l. (Asti Group PMI)

-- Class A Notes rated A (high) (sf)

Asti Group PMI is a securitization collateralized by a portfolio of
secured and unsecured loans to Italian small and medium-size
enterprises (SMEs), entrepreneurs, artisans, and producer families
granted by Cassa di Risparmio di Asti S.p.A. (CR Asti; 73.1% of the
portfolio as at the October 2021 payment date) and Cassa di
Risparmio di Biella e Vercelli S.p.A. (BiverBanca; 26.9% of the
portfolio).

CR Asti and BiverBanca (together, the Originators) also act as the
Servicers of their respective portfolios. BiverBanca has been part
of the CR Asti banking group since 2012 and was merged by CR Asti's
absorption of the entity on 6 November 2021. CR Asti assumed all
the rights and obligations held by BiverBanca, including the
ownership of the portfolios.

The rating on the Class A Notes addresses the timely payment of
interest and the ultimate repayment of principal payable on or
before the maturity date in October 2092.

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



COLT 2022-3: Fitch Gives 'B(EXP)' Rating to Class B-2 Certs
------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2022-3 Mortgage Loan Trust (COLT
2022-3).

DEBT                RATING
----                ------
COLT 2022-3

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

TRANSACTION SUMMARY

The certificates are supported by 884 loans with a total balance of
approximately $495 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.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Positive): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.9% 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 18.8% yoy nationally as of December 2021.

Non-QM Credit Quality (Negative): The collateral consists of 884
loans, totaling $495 million and seasoned approximately five months
in aggregate (calculated as the difference between origination date
and cutoff date). The borrowers have a moderate credit profile --
736 model FICO and 41% model debt to income ratio (DTI) -- and
leverage -- 80% sustainable loan to value ratio (LTV) and 72.2%
combined LTV. The pool consists of 52.3% of loans where the
borrower maintains a primary residence, while 43.0% comprise an
investor property. Additionally, 57% are non-qualified mortgage
(non-QM) and less than 1% are QM loans; for the remainder, the QM
rule does not apply.

Fitch's expected loss in the 'AAA' stress is 24%. This is mostly
driven by the non-QM collateral and the significant investor cash
flow product concentration.

Loan Documentation (Negative): Approximately 79.9% of the pool were
underwritten to less than full documentation, and 46% 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 Ability to Repay (ATR) Rule
(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.

Fitch's treatment of alternative loan documentation increased the
'AAAsf' expected loss by 547bps relative to a fully documented
loan.

High Percentage of DSCR and No Ratio Loans (Negative): There are
413 debt service coverage ratio (DSCR) and no ratio product loans
in the pool. These loans are 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 expected loss for these loans is 37% in the 'AAA' stress,
and this is driving the higher pool expected losses due to the 31%
concentration.

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 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.

COLT 2022-3 has a step-up coupon for class A-1 similar to COLT
2022-2. After April 2026, class A-1 is contractually due the net
WAC rate, but is subject to a 4.395% cap. 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 relative to prior
transactions due to the higher bond coupons and class A-1 step-up,
the transaction benefits from 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 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 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 positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth of
    10% with no assumed overvaluation. Excluding the senior class,
    which is already rated 'AAAsf', the analysis indicates there
    is potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

There was one variation to Fitch's "U.S. RMBS Rating Criteria".
Fitch's assessments of Loanstream & Sprout are seasoned more than
18 months. Given the short amount of time they have been expired
(< 2 months), the seasoning on the loans, and the aggregator's
track record & assessment, Fitch viewed the risk as relatively
immaterial.

However, to address the incremental risk associated, Fitch rounded
up on the losses where applicable, this essentially resulted in
25bps cushion to the expected losses at AAA, whereas running as a
Below Average Originator would've resulted in a 50bps pickup.

As an additional sensitivity, Fitch ran through pending April
Model, which will be first date of transaction, with the
Originators run as Below Average, and the AAA losses are still
125bps lower.

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 multiple third-party review firms. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s)
to its analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed. This adjustment(s)
resulted in a 44bps reduction to the AAAsf expected loss.

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.


COMM 2014-LC15: DBRS Confirms B Rating on Class E Certs
-------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-LC15 issued by COMM
2014-LC15 Mortgage Trust as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class PEZ at A (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at B (sf)
-- Class F at CCC (sf)

DBRS Morningstar maintained the Negative trend on Class E, while
Class F carries a rating with no trend. In addition, DBRS
Morningstar maintained the Interest in Arrears designation on Class
F. All remaining classes have Stable trends.

The rating confirmations reflect the overall stable performance of
the pool while the Negative trend on Class E is reflective of the
ongoing concern regarding the loans in special servicing. As of the
January 2022 remittance, 38 of the original 48 loans remain in the
pool. Four loans (representing 3.0% of the pool) are defeased. Ten
loans are on the servicer's watchlist and four loans are in special
servicing, representing 20.3% and 11.7% of the pool, respectively.
Since the last review, the McKinley Mall loan was liquidated from
the trust at a loss of $7.1 million, which was in line with the
DBRS Morningstar estimate of a $7.5 million loss. The loss was
contained to the non-rated Class G, which has now factored down by
44% because of losses.

The largest loan in special servicing is Marriott Downtown Hartford
(Prospectus ID#8; 6.4% of the pool), which is secured by a
full-service hotel in Hartford, Connecticut. The loan was
transferred to the special servicer in July 2020 and was last paid
through October 2020. The subject was affected by the pandemic and
the borrower has requested relief in the form of a forbearance,
which the special servicer is evaluating while dual-tracking other
remedies. Based on the March 2021 appraisal, the property was
valued at $59.9 million, which is an 11.5% decline from the
issuance value of $67.7 million but still above the outstanding
loan balance of $39.7 million. Pre-pandemic, the loan was
performing quite well with the YE2019 debt service coverage ratio
at 1.90 times. According to the financial statements for the
trailing six months ended June 30, 2021, the loan reported a
negative cash flow. The property reported an occupancy rate,
average daily rate, and revenue per available room (RevPAR) of
33.2%, $145.77, and $48.42, respectively, for the trailing three
months ended June 30, 2021. These figures lag those of the
competitive set as the property's RevPAR penetration was just
86.3%, albeit an improvement from the RevPAR of $27.27 for the
trailing 12 months ended June 30, 2021. The property's reliance on
the adjacent Connecticut Convention Center as a driver may result
in a longer recovery period as convention business is slow to
return, however, the most recent value likely gives the borrower an
incentive to find common ground on a forbearance.

The second-largest specially serviced asset is the Hilton Garden
Inn Houston (Prospectus ID#14; 2.9% of pool). The loan had been in
special servicing prior to the pandemic and became real estate
owned in June 2021. As of the June 2021 appraisal, the property, a
full-service hotel in Houston, was valued at $14.8 million, which
is an improvement from the September 2020 value of $12.5 million
but below the issuance value of $31.6 million and the outstanding
loan balance of $18.2 million. Considering the property was
struggling before the pandemic, DBRS Morningstar anticipates any
meaningful recovery in performance would be minimal and expects a
moderate loss to the trust upon resolution.

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



COMM 2014-UBS2: DBRS Cuts Class F Certs Rating to C
---------------------------------------------------
DBRS Limited downgraded the ratings on two classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2
issued by COMM 2014-UBS2 Mortgage Trust as follows:

-- Class E to B (low) (sf) from B (sf)
-- Class F to C (sf) from CCC (sf)

In addition, DBRS Morningstar confirmed the remaining ratings as
follows:

-- Class A-M at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)

With this review, DBRS Morningstar maintained the Negative trends
on Classes D, X-B, and E. Class F does not carry a trend but
continues to carry the Interest in Arrears designation. All other
trends are Stable.

According to the January 2021 remittance, 49 of the original 59
loans remain in the pool, with an aggregate principal balance of
$894.9 million, representing a collateral reduction of 27.6% since
issuance as a result of loan repayments, scheduled amortization,
and the liquidation of one loan. In addition, 13 loans (12.6% of
the pool) have been fully defeased. There are 12 loans (32.5% of
the pool) on the servicer's watchlist.

The downgrades and Negative trends primarily reflect the increased
credit risk and the likely negative outcome upon the resolution of
two assets in special servicing, Canyon Crossings (Prospectus ID#8,
4.7% of the pool) and Beltway 8 Corporate Center I (Prospectus
ID#19, 1.2% of the pool). Both assets are real estate owned and
have been reappraised since Q1 2021, reflecting value declines from
issuance of 27.0% and 64.9%, respectively, leaving both properties
significantly overleveraged. The trust had previously taken a
significant loss in June 2020 when the $25.3 million Creekside
Mixed Use Development loan was liquidated from the trust with a
$23.3 million loss, which resulted in the nonrated Class G being
written down by more than 60%. DBRS Morningstar expects both assets
to incur losses upon resolution, further eroding the transaction's
credit support, with projected losses reaching the first rated
Class F.

The largest loan in special servicing, Excelsior Crossings
(Prospectus ID#3, 8.9% of the pool), is secured by two Class A
office properties in Hopkins, Minnesota, approximately 10 miles
from the Minneapolis central business district. The loan was
originally added to servicer's watchlist in July 2017 when Cargill,
formerly occupying 100% of the collateral's net rentable area,
terminated its lease ahead of its September 2020 expiration date
and vacated both buildings in March 2018. Although the borrower was
able to collect funds from a cash flow sweep and termination fees
amounting to $9.5 million to help re-lease the property, the loan
transferred to special servicing in December 2020 for imminent
monetary default. A foreclosure complaint was filed in April 2021,
with a receiver appointed in June 2021. The borrower recently
entered into a purchase and sale agreement with Bridge Investment
Group, LLC, which includes a large equity infusion of roughly $19.0
million to bring the loan current and to fund an all-purpose
reserve and a debt service reserve. Upon the closing of the
proposed transaction (which was expected in January 2022), the loan
should be returned to the master servicer. An updated appraisal
dated March 2021 reported an as-is value of $90.4 million,
reflecting a 39.8% decline from the issuance value of $141.0
million and a resulting loan-to-value ratio of 87.8%; however, with
$4.8 million in tenant reserves and the potential of new equity
being injected via the assumption, the property should be able to
stabilize with occupancy already at 76.9% as of September 2021 with
a high concentration of long-term tenancy.

Clemson Student Housing (Prospectus ID#12, 3.3% of the pool), which
is secured by two student housing developments in Senecas, South
Carolina, was transferred to the special servicer in March 2020 for
payment default following the borrower's loss of its housing
contract with Clemson University combined with the downturn
resulting from the Coronavirus Disease (COVID-19) pandemic.
However, after a change in property management and improved
occupancy levels with the return of campus activity in early 2021,
the loan was returned to the master servicer in August 2021 as
corrected. Although the most recent net cash flow remained
depressed for the first nine months of 2021 at $1.3 million (a debt
service coverage ratio (DSCR) of 0.55 times (x)), well below the
issuer's figure of $2.4 million (a DSCR of 1.27x), occupancy
improved to 97% as of September 2021, well above the mid-80% range
from before the pandemic. Given the asset type and historical cash
flow volatility, DBRS Morningstar continues to monitor this loan.

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



COMM 2015-CCRE26: Fitch Affirms B- Rating on Class F Certs
----------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Deutsche Bank Securities,
Inc.'s COMM 2015-CCRE26 Mortgage Trust commercial mortgage
pass-through certificates. The Rating Outlooks on classes E and F
have been revised to Stable from Negative.

    DEBT               RATING           PRIOR
    ----               ------           -----
COMM 2015-CCRE26

A-3 12593QBD1    LT AAAsf   Affirmed    AAAsf
A-4 12593QBE9    LT AAAsf   Affirmed    AAAsf
A-M 12593QBG4    LT AAAsf   Affirmed    AAAsf
A-SB 12593QBC3   LT AAAsf   Affirmed    AAAsf
B 12593QBH2      LT AA-sf   Affirmed    AA-sf
C 12593QBJ8      LT A-sf    Affirmed    A-sf
D 12593QBK5      LT BBB-sf  Affirmed    BBB-sf
E 12593QAL4      LT BB+sf   Affirmed    BB+sf
F 12593QAN0      LT B-sf    Affirmed    B-sf
X-A 12593QBF6    LT AAAsf   Affirmed    AAAsf
X-C 12593QAC4    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's base case loss expectations have
remained relatively stable since Fitch's prior rating action. The
Outlook revisions to Stable from Negative on classes E and F
reflect the better than expected performance of loans expected to
be affected by the coronavirus pandemic. Thirteen loans (19.1% of
pool), including three (3.1%) in special servicing, were designated
Fitch Loans of Concern (FLOCs). Fitch's current ratings reflect a
base case loss of 5.40%.

Fitch Loans of Concern: The largest contributor to loss
expectations, Rosetree Corporate Center (4.3%), is secured by a
268,156 sf suburban office building located in Media, PA
(approximately 22 miles from Philadelphia, PA). The loan, which is
sponsored by PA Portfolio K3 Investments, transferred to special
servicing in June 2021 for imminent monetary default but returned
to the master servicer in December 2021 as a corrected mortgage.

FXI, Inc. (previously 15.9% NRA; 20.8% base rents) vacated at the
end of its lease term in September 2019. As a result, occupancy and
servicer-reported NOI DSCR have declined to 66% and 0.94x as of the
YTD September 2021 from 88% and 1.39x at issuance. The loan is
currently amortizing after the initial two-year IO period expired
in September 2017. Near-term rollover includes 11.5% NRA by 2022
spread across 13 tenants. Fitch's base case loss of approximately
41% reflects a 10.50% cap rate and 5% total haircut to the YE 2020
NOI.

The second largest contributor to loss expectations is the cross
collateralized Hotel Lucia and Hotel Max (6.1%). Hotel Lucia is
secured by a 127-key, full service unflagged boutique hotel located
in Portland, OR, and Hotel Max is secured by a 163-key, full
service unflagged boutique hotel located in downtown Seattle. The
loans, which are sponsored by Gordon Sondland, transferred to
special servicing in June 2020 for payment default. The loans were
subsequently modified and cross collateralized and returned to the
master servicer as corrected loans in November 2021.

Hotel Lucia had occupancy and servicer-reported NOI DSCR of 33% and
-0.54x at YE 2020 compared with 78% and 1.22x at YE 2019. Hotel
Lucia was outperforming its competitive set with a RevPAR
penetration rate of 129.7% as of the TTM ended June 2021. Hotel Max
had occupancy and servicer-reported NOI DSCR of 38% and -0.16x as
of the YTD June 2021 compared with 55% and -0.53x at YE 2020 and
86% and 1.88x at YE 2019. Hotel Max was underperforming its
competitive set with a RevPAR penetration rate of 94.0% at YE
2020.

Fitch's base case loss of approximately 8% reflects an 11.25% cap
rate and 10% total haircut to the YE 2019 NOI to account for
performance concerns but gives credit for the recent servicer
provided valuations. This translates to an approximate combined
stressed value of $172K per key.

Increasing Credit Enhancement (CE): As of the March 2022
distribution date, the pool's aggregate balance has been reduced by
9.8% to $983.7 million from $1.1 billion at issuance. Since Fitch's
prior rating action, one loan with a $4.2 million balance paid in
full with yield maintenance. Twenty-seven loans (24.1%) are
amortizing balloon, seven (17.4%) are full-term IO and 22 (58.5%)
were structured with a partial-term IO component at issuance.
Twenty-one are in their amortization periods. Five loans (3.7%) are
fully defeased. Cumulative interest shortfalls of $327,098 are
currently affecting the non-rated class H.

Pool Concentration: The top 10 loans comprise 54.5% of the pool.
Loan maturities are concentrated in 2025 (99.2%). Based on property
type, the largest concentrations are office at 39.0%, retail at
17.0% and hotel at 13.9%. 11 Madison Avenue (7.1%) received a
stand-alone, investment grade credit opinion of 'A-sf' at
issuance.

RATING SENSITIVITIES

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

-- Downgrades of the 'AAAsf' rated 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, C, D and X-C would be downgraded if interest
    shortfalls affect the class, additional loans become FLOCs or
    if performance of the FLOCs deteriorates further. Classes E
    and F would be downgraded if loss expectations increase or
    additional loans transfer to special servicing.

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

-- Upgrades of classes B, C, D and X-C 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 and 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.


COMM 2015-PC1: DBRS Confirms CCC Rating on Class F Certs
--------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-PC1 issued by COMM 2015-PC1
Mortgage Trust as follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-D at BB (sf)
-- Class E at BB (low) (sf)
-- Class F at CCC (sf)

All trends are Stable with the exception of Class F, which has a
rating that does not carry a trend. DBRS Morningstar also removed
the Interest in Arrears designation on Class F.

The rating confirmations reflect the overall stable performance of
the transaction since its last review. As of the January 2022
remittance, 71 of the original 80 loans remain in the pool,
representing a collateral reduction of 19.4% since issuance and a
current trust balance of $1.2 billion. Six loans, representing 4.3%
of the current pool balance, are fully defeased. There are seven
loans in special servicing, representing 12.6% of the current pool
balance, inclusive of three top 10 loans. There is an additional 16
loans on the servicer's watchlist, representing 21.5% of the
current pool balance.

The largest loan in special servicing, The Plaza at Harmon Meadow
(Prospectus ID#4, 4.1% of the current pool balance), is secured by
a 219,000-square-foot (sf) mixed-use building in Secaucus, New
Jersey. The loan transferred to special servicing in April 2020 as
a result of maturity default after the borrower was unable to
secure refinancing and resolve additional outstanding issues
including the death of the loan guarantor and subsequent inability
to find a suitable replacement. The borrower is unwilling to
contribute additional capital to the project and the servicer has
initiated foreclosure proceedings. The initial foreclosure sale was
set for August 2021, however it was postponed until January 2022.
As of the August 2021 rent roll, the collateral was 83.1% occupied,
although the June 2021 financial reporting showed that cash flow
had gone negative. The most recent appraisal reported by the
servicer valued the property at $68.1 million as of July 2021, up
4.0% from the appraised value of $65.5 million at issuance and
slightly higher than a post-transfer appraisal from October 2020.
The property is well-located in the Meadowlands submarket in
Northern New Jersey, with good access to I-95 and I-495, as well as
strong consumer demand from nearby neighborhoods, offices, and
hotels. DBRS Morningstar notes that the risk of loss to the trust
is currently small based on the most recent appraisal.

The second-largest loan in special servicing, Riverview Center
(Prospectus ID#6, 2.4% of the current pool balance), is secured by
a 977,000-sf mixed-use property in Menands, New York. The loan
transferred to the special servicer in December 2019 after the
borrower requested a short-term extension for the April 2020 loan
maturity date. The loan was ultimately not refinanced and attempts
to negotiate a forbearance agreement were unsuccessful. The
borrower agreed to a voluntary foreclosure and the loan became a
real estate owned asset in May 2021. The most recent appraisal,
dated June 2021, valued the property at $20.8 million, an 8.7%
improvement compared to the September 2020 appraisal value of $19.0
million, however still down 63.0% from the issuance appraised value
of $56.0 million. The subject is a unique asset in the market given
that is a mixed-use property with a variety of uses including
office, storage, warehouse, and retail and is primarily occupied by
State of New York entities. DBRS Morningstar liquidated this loan
from the pool in this analysis with a loss severity in excess of
50.0%.

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



COMM 2018-COR3: Fitch Affirms 'CCC' Rating on Class G-RR Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of COMM 2018-COR3 Mortgage
Trust, commercial mortgage pass-through certificates.

    DEBT               RATING           PRIOR
    ----               ------           -----
COMM 2018-COR3

A-1 12595VAA5    LT AAAsf   Affirmed    AAAsf
A-2 12595VAC1    LT AAAsf   Affirmed    AAAsf
A-3 12595VAD9    LT AAAsf   Affirmed    AAAsf
A-M 12595VAF4    LT AAAsf   Affirmed    AAAsf
A-SB 12595VAB3   LT AAAsf   Affirmed    AAAsf
B 12595VAG2      LT AA-sf   Affirmed    AA-sf
C 12595VAH0      LT A-sf    Affirmed    A-sf
D 12595VAN7      LT BBB-sf  Affirmed    BBB-sf
E-RR 12595VAQ0   LT BBsf    Affirmed    BBsf
F-RR 12595VAS6   LT B-sf    Affirmed    B-sf
G-RR 12595VAU1   LT CCCsf   Affirmed    CCCsf
X-A 12595VAE7    LT AAAsf   Affirmed    AAAsf
X-B 12595VAJ6    LT AA-sf   Affirmed    AA-sf
X-D 12595VAL1    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's loss expectations for the overall
pool have remained relatively stable since the prior rating action.
Fitch's current ratings incorporate a base case loss of 7.40%.
There are 16 Fitch Loans of Concern (FLOCs; 53.3% of pool).

The Negative Outlooks had previously been assigned due to
additional coronavirus-related stresses applied on certain hotel,
retail and multifamily loans; the Outlooks remain Negative, now
factoring a potential outsized loss on the 315 West 36th Street and
Lehigh Valley Mall loans, and additional stresses on three hotel
loans to account for ongoing business disruption as a result of the
pandemic, reflecting that losses could reach 9.10%.

The 240 East 54th Street loan (4.2%), which is the largest
contributor to overall loss expectations and the largest increase
in loss since the prior rating action, is secured by a 29,950-sf
retail property located on 54th Street between Second and Third
Avenues in Midtown Manhattan. This loan transferred to special
servicing in June 2020 due to payment default. The lender intends
to file for foreclosure since the New York moratorium has been
lifted, and move for the appointment of a receiver.

The majority of the subject's fitness and wellness-related tenants
have been closed or operating with limited hours during the
pandemic. As of the most recent servicer-provided rent roll from
June 2021, the property was 100% leased to five tenants, none of
which are paying rent. Three tenants, Blink Fitness (68.3% of NRA),
Soul Cycle (12.8%) and Clean Market (12.7%), are subsidiaries of
Equinox Holdings, Inc. with leases expiring in January 2035. Soul
Cycle and Brooklyn Diamond Coffee (1.2%; November 2035) remain
temporarily closed as of March 2022. Blink Fitness, Clean Market
and Skin Laundry (5%; December 2027) are currently open. Fitch's
loss expectation of 31% reflects a stressed value of $1,115 psf.

The next largest contributor to loss is the 315 West 36th Street
loan (4.7%), which is secured by a 143,479-sf office building with
some retail located in Midtown Manhattan. The property, which was
originally built in 1926 and last renovated in 2018, is situated
proximate to both Penn Station and the Port Authority. The borrower
invested approximately $15 million in tenant improvements and
renovations since 2015.

Per the January 2022 rent roll, the property was 95.4% leased.
WeWork leases all of the office space (93% of NRA) under two
separate leases, which expire in February 2032 and May 2031.
WeWork, which pays rents that are approximately 10% below market,
received a $12.7 million tenant allowance at lease execution in
2015. The WeWork leases are guaranteed by WeWork Companies Inc. and
have no termination options. However, this location appears to be
closed per WeWork's website. Fitch requested an update from the
servicer on the status of the tenancy, but has not received a
response to date. The loan continues to remain current. No reserves
appear to be in place, per the February 2022 servicer's reserve
report.

Fitch's base case loss of 22% reflects a Fitch value of $377 psf.
Fitch ran an additional sensitivity that assumed a 35% outsized
loss on the loan based on a dark value of approximately $355 psf.

Minimal Change to Credit Enhancement; Limited Amortization: As of
the February 2022 distribution date, the pool's aggregate principal
balance has paid down by 0.8% to $998.2 million from $1.0 billion
at issuance. The transaction has limited amortization with only
2.9% paydown expected based on scheduled loan maturity balances.
There are 25 loans (81.0% of pool) that are full-term interest-only
and two loans (3.0%) still have a partial interest-only component
during their remaining loan term, compared with eight loans (10.4%)
at issuance. Ten loans (23.8%) mature between June and December of
2027, and 31 loans (76.2%) mature between January and May of 2028.

Coronavirus Exposure: Loans secured by retail, hotel and
multifamily properties represent 19.8% (14 loans), 19.2% (six
loans) and 6.7% (two loans) of the pool, respectively. Fitch
applied an additional stress to the pre-pandemic cash flows for
three hotel loans, Hyatt @ Olive 7, Grand Hyatt Seattle and Four
Points by Sheraton Miami Beach (combined, 13.8% of pool), given
significant pandemic-related 2020 NOI declines. These additional
stresses, along with potential outsized losses applied to the 316
West 36th Street and Lehigh Valley Mall loans, contributed to the
Negative Outlooks.

The Lehigh Valley Mall loan (2.8%) is secured by a 549,531-sf
portion of a regional mall located in Lehigh Valley, PA. The loan
is sponsored by Simon Properties and Pennsylvania Real Estate
Investment Trust. Anchors include Macy's (ground lessee), Boscov's
(non-collateral) and JC Penney (non-collateral); all three anchors
have been at the property since 1957. The largest collateral
tenants are Bob's Discount Furniture and Barnes & Noble

Occupancy declined to 79% in June 2021 from 81% at YE 2020 and 84%
at YE 2019, primarily due to multiple tenants vacating upon lease
expiration or upon filing for bankruptcy, the largest of which was
Modell's (previously 2.6% of NRA), which filed for bankruptcy,
ahead of its 2022 lease expiration. As of the latest provided
figures as of TTM September 2020, inline sales for tenants under
10,000-sf (excluding Apple) were $435 psf, compared with $461 psf
at YE19 and $451 psf at issuance.

Fitch's base case loss of 10% reflects a cap rate of 12% and a 10%
haircut to the YE 2020 NOI, which was applied due to the recent
occupancy declines and near-term lease rollover concerns. Fitch
also applied an additional sensitivity whereby a potential outsized
loss of 22% was assumed on the balloon balance, which implies a 15%
cap rate and a 20% haircut to the YE 2020 NOI to reflect
sponsorship concerns and the potential for sustained
underperformance.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans. Downgrades to classes A-1, A-2, A-3
    and A-SB are not likely due to the position in the capital
    structure, but may occur should interest shortfalls affect
    these classes. Downgrades to classes A-M, X-A, B and X-B are
    possible should expected losses for the pool increase
    significantly, all of the loans susceptible to the coronavirus

    pandemic suffer losses and/or interest shortfalls occur.

-- Downgrades to classes C, D, X-D and E-RR are possible should
    loss expectations increase due to a lack of performance
    stabilization or continued performance declines on the FLOCs
    and/or the 315 West 36th Street and Lehigh Valley Mall loans
    experience an outsized loss. Downgrades to classes F-RR and G-
    RR would occur with greater certainty of losses or as losses
    are realized.

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, X-B and C would only occur with
    significant improvement in CE, defeasance and/or performance
    stabilization of FLOCs, particularly the 315 West 36th Street
    and Lehigh Valley Mall loans 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, X-D and E-RR are not likely until the
    later years in the transaction and only if the performance of
    the remaining pool is stable and/or properties vulnerable to
    the coronavirus return to pre-pandemic levels, and there is
    sufficient credit enhancement to the class. Classes F-RR and
    G-RR are unlikely to be upgraded absent significant
    performance improvement on the FLOCs and substantially higher
    recoveries than expected on the specially serviced loans.

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.


CPS AUTO 2022-A: DBRS Finalizes BB Rating on Class E Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by CPS Auto Receivables Trust 2022-A:

-- $157,740,000 Class A Notes at AAA (sf)
-- $46,695,000 Class B Notes at AA (high) (sf)
-- $49,335,000 Class C Notes at A (sf)
-- $36,630,000 Class D Notes at BBB (sf)
-- $26,400,000 Class E Notes at BB (sf)

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

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

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

-- The DBRS Morningstar CNL assumption is 15.40%, based on the
expected cut-off date pool composition.

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

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

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

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

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

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

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

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

(6) The Company indicated that there is no material pending or
threatened litigation.

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

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

The rating on the Class A Notes reflects 53.20% of initial hard
credit enhancement provided by subordinated notes in the pool
(48.20%), the reserve account (1.00%), and OC (4.00%). The ratings
on the Class B, C, D, and E Notes reflect 39.05%, 24.10%, 13.00%,
and 5.00% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.

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



CSAIL 2015-C2: DBRS Lowers Class F Certs Rating to CCC
------------------------------------------------------
DBRS Limited downgraded four classes of the Commercial Mortgage
Pass-Through Certificates, Series 2015-C2 issued by CSAIL 2015-C2
Commercial Mortgage Trust as follows:

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

The remaining classes were confirmed as follows:

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

DBRS Morningstar also discontinued its ratings on Class X-F as it
now references a CCC (sf)-rated class. The trends on Classes B and
X-B were changed to Negative from Stable and the trends for Classes
C, D, E, and X-E remain Negative, reflective of the continued
concerns surrounding select loans showing performance declines from
issuance, as further described below. All other trends are Stable
with the exception of Class F, which now has a rating that does not
carry a trend. The Interest in Arrears designation has been removed
from Class F with this review.

The rating downgrades and Negative trends reflect the overall
decline in performance of the transaction since its last review,
specifically in Westfield Trumbull (Prospectus ID#5, 2.8% of the
current pool), The Depot (Prospectus ID#6, 2.3% of the current
pool), and Bayshore Mall (Prospectus ID#17, 1.7% of the current
pool). Although the Westfield Trumbull loan has not transferred to
special servicing and remains current on its debt-service payments,
the continued decline in net cash flow (NCF) since issuance and a
likely significant decline in value has significantly increased the
overall credit concerns for this loan. DBRS Morningstar also
maintained its liquidation scenarios for the specially serviced
loans, The Depot and Bayshore Mall, both of which are expected to
take significant losses at resolution. DBRS Morningstar also
remains cautious of the Soho-Tribeca Grand Hotel Portfolio
(Prospectus ID#3, 5.3% of the current pool), the largest loan on
the servicer's watchlist, which despite being current has reported
cash flows significantly below zero since the onset of the
pandemic.

As of the January 2022 remittance, 109 of the original 118 loans
remain in the trust, resulting in a collateral reduction of 11.0%
since issuance as result of loan payoffs, amortization, and four
loans that have been liquidated from the pool. Ten loans,
representing 10.2% of the current pool balance, are in special
servicing, and 24 loans, representing 21.6% of the current pool
balance, are on the servicer's watchlist. The pool does benefit
from 18 defeased loans, representing 10.3% of the current pool
balance.

Westfield Trumbull, is secured by a 1.1 million-square-foot (sf;
including 462,869 sf of noncollateral improvements subject to
ground leases that are collateral for the loan) regional mall in
Trumbull, Connecticut. The collateral includes the Macy's anchor
and the in-line space, while the JCPenney, Target, and former Lord
& Taylor anchors are ground leased and owned by the respective
retailers. The loan was added to the DBRS Morningstar Hotlist in
March 2020 following announcement of liquidation plans from Lord &
Taylor, JCPenney tenant exposure, weakened sales performance, and
reports that the sponsor, Unibail-Rodamco-Westfield, may offload
its U.S.–based mall portfolio. The trust debt is a pari passu
participation in a whole loan totalling $152.3 million. Of note,
the lead transaction (CSAIL 2015-C1 Commercial Mortgage Trust) has
added the loan to the servicer's watchlist for a low debt-service
coverage ratio as well as a servicing trigger event (although it's
not included on the watchlist for the subject transaction).
Although the collateral continues to be well occupied, cash flows
have continued to decline precipitously from issuance. According to
YE2020 reporting, the NCF was reported at $9.8 million, a 39.0%
decline from the $16.0 million figure at issuance. The borrower has
noted that rental collections increased in 2021 but they are still
below pre-pandemic figures. Although the loan remains current, the
headwinds in the current retail environment, the significant
prolonged cash flow declines, continued poor anchor tenant sales,
dark Lord & Taylor space, and possible upcoming JCPenney vacancy
will test the sponsor's commitment to the property; a significant
loss to the loan is likely in the event of a default.

The largest loan in special servicing, The Depot, is secured by a
624-unit student housing property in Akron, Ohio, situated less
than a quarter mile from the University of Akron. The loan
transferred to special servicing in July 2016 and became a real
estate-owned asset in June 2020. The most recent appraisal reported
by the servicer valued the property at $16.5 million as of April
2021, down 64% from the appraised value of $46.0 million at
issuance. DBRS Morningstar liquidated this asset from the pool at a
loss severity in excess of 80.0%.

Bayshore Mall is secured by a 515,912-sf regional mall in Eureka,
California. The mall is owned and operated by Brookfield. The loan
was transferred to special servicing in October 2020 after the loan
fell delinquent and the borrower expressed a desire to transition
the property to the lender. However, as of the January 2022
commentary, the servicer is currently discussing the curing of
outstanding loan balances and other deficiencies and the workout
strategy has changed from "Foreclosure" to "Other." Despite
historically stable cash flows, the subject is a regional mall in
decline, driven by occupancy declines from 88.0% to 67.3% as of
September 2021. The loan has been delinquent since November 2020
and the sponsor previously noted it was ready to give back the keys
to the lender. While the workout for this loan has become somewhat
uncertain, there has likely been a significant value decline from
issuance. DBRS Morningstar liquidated this loan from the pool as
part of this analysis at an implied loss severity approaching
50.0%.

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



ELMWOOD CLO 14: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elmwood CLO
14 Ltd.'s floating-rate notes.

The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Elmwood Asset Management LLC.

The preliminary ratings are based on information as of March 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 collateral pool's diversification;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  Elmwood CLO 14 Ltd./Elmwood CLO 14 LLC

  Class A, $416.00 million: AAA (sf)
  Class B, $78.00 million: AA (sf)
  Class C (deferrable), $39.00 million: A+ (sf)
  Class D (deferrable), $39.00 million: BBB- (sf)
  Class E (deferrable), $26.00 million: BB- (sf)
  Class F (deferrable), $9.75 million: B- (sf)
  Subordinated notes, $52.20 million: Not rated



EXETER AUTOMOBILE 2022-1: DBRS Gives Prov. BB Rating on E Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Exeter Automobile Receivables Trust 2022-1
(EART 2022-1 or the Issuer):

-- $98,000,000 Class A-1 Notes at R-1 (high) (sf)
-- $202,320,000 Class A-2 Notes at AAA (sf)
-- $110,290,000 Class A-3 Notes at AAA (sf)
-- $127,290,000 Class B Notes at AA (sf)
-- $117,690,000 Class C Notes at A (sf)
-- $114,210,000 Class D Notes at BBB (sf)
-- $80,200,000 Class E Notes at BB (sf)

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

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

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

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

(3) The DBRS Morningstar CNL assumption is 18.30% based on the
cut-off date pool composition.

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

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

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

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

(5) The credit quality of the collateral and performance of
Exeter's auto loan portfolio.

-- As of the Cut-off Date (January 23, 2022), the collateral has a
weighted-average (WA) seasoning of approximately two months and
contains Exeter originations from Q2 2015 through Q1 2022, with
approximately 96.8% consisting of loans originated since the fourth
quarter of 2021. The average remaining term of the collateral pool
is approximately 70 months. The WA non-zero FICO score of the pool
is 584.

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

The rating on the Class A Notes reflects 53.90% of initial hard
credit enhancement provided by subordinated notes in the pool
(50.40%) and the reserve account (1.00%). The ratings on the Class
B, C, D, and E Notes reflect 39.30%, 25.80%, 12.70%, and 3.50% of
initial hard credit enhancement, respectively.

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



FLAGSHIP CREDIT 2022-1: DBRS Gives Prov. BB Rating on Cl. E Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Flagship Credit Auto Trust 2022-1:

-- $243,130,000 Class A Notes at AAA (sf)
-- $27,770,000 Class B Notes at AA (sf)
-- $37,090,000 Class C Notes at A (sf)
-- $26,720,000 Class D Notes at BBB (sf)
-- $15,120,000 Class E Notes at BB (sf)

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

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

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

(2) The DBRS Morningstar CNL assumption is 10.75% based on the
expected Cut-Off Date pool composition.

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

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

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

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

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

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

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

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

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

The rating on the Class A Notes reflects 31.85% of initial hard
credit enhancement provided by subordinated notes in the pool
(30.35%), the reserve account (1.00%), and OC (0.50%). The ratings
on the Class B, C, D, and E Notes reflect 23.95%, 13.40%, 5.80%,
and 1.50% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.

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



FRANKLIN PARK I: Moody's Assigns Ba3 Rating to $20.02MM E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Franklin Park Place CLO I (the "Issuer").

Moody's rating action is as follows:

US$246,400,000 Class A Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)

US$46,200,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)

US$18,480,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned A2 (sf)

US$23,100,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned Baa3 (sf)

US$20,020,000 Class E Secured Deferrable 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.

Franklin Park Place CLO I 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 senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second lien loans,
unsecured loans and bonds. The portfolio is approximately 90%
ramped as of the closing date.

Franklin Advisers, Inc. (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 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: $385,000,000

Diversity Score: 73

Weighted Average Rating Factor (WARF): 2930

Weighted Average Spread (WAS): SOFR + 3.45%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 48.28%

Weighted Average Life (WAL): 8 years

Methodology Underlying the Rating Action:

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

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

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


FREDDIE MAC 2022-HQA1: S&P Assigns Prelim B- Rating on B-1I Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2022-HQA1's notes.

The note issuance is an RMBS securitization backed by fully
amortizing, high loan-to-value, first-lien, fixed-rate residential
mortgage loans secured by one- to four-family residences,
planned-unit developments, condominiums, cooperatives, and
manufactured housing to mostly prime borrowers.

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

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

-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;

-- The credit quality of the collateral included in the reference
pool--a majority of this collateral is covered by mortgage
insurance (MI) backstopped by Freddie Mac;

-- The REMIC structure that reduces the counterparty exposure to
Freddie Mac for periodic principal and interest payments, but, at
the same time, pledges the support of Freddie Mac (a highly rated
counterparty) to cover shortfalls, if any, on interest payments and
to 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, in our view, enhances the notes' strength;

-- 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 the U.S. housing market and the additional
structural provisions included to address corresponding forbearance
and subsequent defaults.

  Preliminary Ratings Assigned

  Freddie Mac STACR REMIC Trust 2022-HQA1

  Class A-H(i), $42,775,860,240: NR
  Class M-1A, $422,000,000: BBB+ (sf)
  Class M-1AH(i), $140,840,266: NR
  Class M-1B, $388,000,000: BBB- (sf)
  Class M-1BH(i), $129,813,045: NR
  Class M-2, $455,000,000: B+ (sf)
  Class M-2A, $227,500,000: BB (sf)
  Class M-2AH(i), $76,433,744: NR
  Class M-2B, $227,500,000: B+ (sf)
  Class M-2BH(i), $76,433,744: NR
  Class M-2R, $455,000,000: B+ (sf)
  Class M-2S, $455,000,000: B+ (sf)
  Class M-2T, $455,000,000: B+ (sf)
  Class M-2U, $455,000,000: B+ (sf)
  Class M-2I, $455,000,000: B+ (sf)
  Class M-2AR, $227,500,000: BB (sf)
  Class M-2AS, $227,500,000: BB (sf)
  Class M-2AT, $227,500,000: BB (sf)
  Class M-2AU, $227,500,000: BB (sf)
  Class M-2AI, $227,500,000: BB (sf)
  Class M-2BR, $227,500,000: B+ (sf)
  Class M-2BS, $227,500,000: B+ (sf)
  Class M-2BU, $227,500,000: B+ (sf)
  Class M-2BI, $227,500,000: B+ (sf)
  Class M-2RB, $227,500,000: B+ (sf)
  Class M-2SB, $227,500,000: B+ (sf)
  Class M-2TB, $227,500,000: B+ (sf)
  Class M-2UB, $227,500,000: B+ (sf)
  Class B-1, $168,000,000: B- (sf)
  Class B-1A, $84,000,000: B (sf)
  Class B-1AR, $84,000,000: B (sf)
  Class B-1AI, $84,000,000: B (sf)
  Class B-1AH(i), $28,568,053: NR
  Class B-1B, $84,000,000: B- (sf)
  Class B-1BH(i), $28,568,053: NR
  Class B-1R, $168,000,000: B- (sf)
  Class B-1S, $168,000,000: B- (sf)
  Class B-1T, $168,000,000: B- (sf)
  Class B-1U, $168,000,000: B- (sf)
  Class B-1I, $168,000,000: B- (sf)
  Class B-2, $168,000,000: NR
  Class B-2A, $84,000,000: NR
  Class B-2AR, $84,000,000: NR
  Class B-2AI, $84,000,000: NR
  Class B-2AH(i), $28,568,053: NR
  Class B-2B, $84,000,000: NR
  Class B-2BH(i), $28,568,053: NR
  Class B-2R, $168,000,000: NR
  Class B-2S, $168,000,000: NR
  Class B-2T, $168,000,000: NR
  Class B-2U, $168,000,000: NR
  Class B-2I, $168,000,000: NR
  Class B-3H(i), $112,568,054: NR

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



FREED ABS 2020-1: Moody's Raises Rating on Class C Notes From B1
----------------------------------------------------------------
Moody's Investors Service has upgraded seven tranches of notes
issued by five consumer loan securitizations. These transactions
are backed by pools of unsecured consumer installment loan
contracts originated and serviced by multiple parties.

The complete rating action is as follows:

Issuer: Consumer Loan Underlying Bond (CLUB) Credit Trust 2020-P1

Class B Asset-Backed Notes, Upgraded to A1 (sf); previously on May
28, 2021 Upgraded to A3 (sf)

Issuer: FREED ABS Trust 2020-1

Class B Notes, Upgraded to A1 (sf); previously on Sep 3, 2020
Confirmed at Baa3 (sf)

Class C Notes, Upgraded to Baa3 (sf); previously on Sep 3, 2020
Downgraded to B1 (sf)

Issuer: Upstart Securitization Trust 2021-3

Class A Notes, Upgraded to A1 (sf); previously on Jul 29, 2021
Definitive Rating Assigned A3 (sf)

Class B Notes, Upgraded to Baa2 (sf); previously on Jul 29, 2021
Definitive Rating Assigned Baa3 (sf)

Issuer: Upstart Securitization Trust 2021-4

Class A Notes, Upgraded to A2 (sf); previously on Sep 24, 2021
Definitive Rating Assigned A3 (sf)

Issuer: Upstart Securitization Trust 2021-5

Class A Notes, Upgraded to A2 (sf); previously on Nov 23, 2021
Definitive Rating Assigned A3 (sf)

RATINGS RATIONALE

The upgrades of the notes are driven by Moody's revised assumptions
on expected and stressed losses of the underlying consumer loans
and reflect the recent performance of the loans. The ratings
actions also consider the buildup of credit enhancement due to
structural features including non-declining reserve accounts,
overcollateralization, and the sequential pay structure of the
transactions. Moody's lifetime cumulative net loss expectation is
8.0% for CLUB Credit Trust 2020-P1, 11.5% for FREED 2020-1, 15.5%
for Upstart 2021-3, and 16.15% for Upstart 2021-4 and Upstart
2021-5.

Given the demonstrated performance of these loans over the past
several years, Moody's have downwardly revised the volatility
around Moody's stressed loss rates pursuant to a comparative
default analysis with other consumer asset classes with similar
credit quality which have experienced a full credit cycle. Moody's
stressed loss assumptions have declined from between 66% and 75% to
between 49% and 57% for the deals.

PRINCIPAL METHODOLOGY

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

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

Up

Levels of credit protection that are higher than necessary to
offset current expectations of loss could drive the ratings up.
Losses could decline below Moody's expectations as a result of a
lower-than-expected cumulative charge-offs. Favorable regulatory
policies and legal actions could also move the ratings up.

Down

Levels of credit protection that are lower than necessary to offset
current expectations of loss could drive the ratings down. Losses
could increase above Moody's expectations as a result of
higher-than-expected cumulative charge-offs. Adverse regulatory and
legal risks, specifically legal issues stemming from the
origination model and whether interest rates charged on some loans
could violate usury laws, could also move the ratings down.


GALAXY 30 CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Galaxy 30
CLO Ltd./Galaxy 30 CLO LLC's fixed- and floating-rate notes.

The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by PineBridge Investments LLC.

The preliminary ratings are based on information as of March 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 collateral pool's diversification;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC

  Class A, $252.00 million: AAA (sf)
  Class B-1, $47.00 million: AA (sf)
  Class B-2, $5.00 million: AA (sf)
  Class C, $24.00 million: A (sf)
  Class D, $24.00 million: BBB- (sf)
  Class E, $16.00 million: BB- (sf)
  Subordinated notes, $36.00 million: Not rated



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

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

All trends are Stable.

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

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



GCAT 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its ratings to GCAT 2022-NQM1 Trust's
mortgage pass-through certificates.

The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans primarily secured by
single-family residential properties, townhouses, planned-unit
developments, condominiums, cooperatives, and two- to four-family
residential properties to both prime and nonprime borrowers. The
pool has 694 loans, which are either nonqualified or ability to
repay (ATR)-exempt mortgage loans.

After S&P assigned its preliminary ratings on March 8, 2022, the
class A-1FL certificates were removed from the transaction. At the
same time, the combined balances of the class A-1A and A-1B
certificates increased by an amount equal to the balance of the
removed class A-1FL certificates. Credit enhancement levels were
maintained to all classes of certificates.

The ratings reflect S&P's view of:

-- The asset pool's collateral composition;

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

-- The mortgage aggregator, Blue River Mortgage III LLC; and

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

  Ratings Assigned

  GCAT 2022-NQM1 Trust

  Class A-1A, $221,792,000: AAA (sf)
  Class A-1B, $73,930,000: AAA (sf)
  Class A-1, $295,722,000: AAA (sf)
  Class A-2, $19,534,000: AA (sf)
  Class A-3, $23,596,000: A (sf)
  Class M-1, $15,666,000: BBB (sf)
  Class B-1, $11,798,000; BB (sf)
  Class B-2, $9,283,000: B (sf)
  Class B-3, $11,218,646: Not rated
  Class A-IO-S, Notional(i): Not rated
  Class X, Notional(i): Not rated
  Class R, N/A: Not rated

(i)The notional amount equals the aggregate principal balance of
the loans.



GLS AUTO 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2022-1's automobile receivables-backed notes series
2022-1.

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

The ratings reflect:

-- The availability of approximately 54.9%, 46.9%, 37.2%, 27.6%,
and 23.1% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 3.25x, 2.75x, 2.15x, 1.55x, and 1.27x our
16.25%-17.25% expected cumulative net loss for the class A, B, C,
D, and E notes, respectively. These break-even scenarios withstand
cumulative gross losses of approximately 87.8%, 75.1%, 62.0%,
46.0%, and 38.5%, respectively.

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

-- S&P's analysis of more than eight years of origination static
pool and securitization performance data on Global Lending Services
LLC's 18 Rule 144A securitizations.

-- The collateral characteristics of the subprime auto loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.

-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A, B, C, D, and E notes.

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

  Ratings Assigned

  GLS Auto Receivables Issuer Trust 2022-1

  Class A, $253.88 million: AAA (sf)
  Class B, $62.15 million: AA (sf)
  Class C, $65.57 million: A (sf)
  Class D, $66.35 million: BBB- (sf)
  Class E, $35.93 million: BB- (sf)



GOLUB CAPITAL 50(B)-R: Moody's Gives Ba3 Rating to $22MM E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CLO refinancing notes issued by Golub Capital Partners CLO 50(B)-R,
Ltd. (the "Issuer").

Moody's rating action is as follows:

US$316,000,000 Class A-1-R Senior Secured Floating Rate Notes Due
2035, Assigned Aaa (sf)

US$25,000,000 Class A-2-R Senior Secured Fixed Rate Notes Due 2035,
Assigned Aaa (sf)

US$22,000,000 Class E-R 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, cash,
and eligible investments, and up to 7.5% of the portfolio may
consist of second lien loans, senior unsecured loans and permitted
non-loan assets, provided that not more than 5.0% of the portfolio
consists of permitted non-loan assets.

OPAL BSL 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 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 and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; change of Issuer's jurisdiction
of incorporation, changes to the definition of "Moody's 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: $550,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2954

Weighted Average Spread (WAS): 3.50%

Weighted Average Recovery Rate (WARR): 46.00%

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.


GS MORTGAGE 2013-GCJ14: DBRS Cuts Class G Certs Rating to CCC
-------------------------------------------------------------
DBRS Limited downgraded its ratings on three classes of Commercial
Mortgage Pass-Through Certificates, Series 2013-GCJ14 (the
Certificates) issued by GS Mortgage Securities Trust 2013-GCJ14 as
follows:

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

In addition, DBRS Morningstar confirmed its ratings on the
remaining classes as follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PEZ at A (high) (sf)
-- Class D at BBB (sf)

DBRS Morningstar discontinued its rating on Class X-C as the lowest
reference obligation, Class G, was downgraded to CCC (sf). The
trends on Classes C and PEZ were changed to Negative from Stable.
Negative trends were maintained for Classes D, E, and F. Class G
now has a rating that does not carry a trend. All other classes
have Stable trends.

DBRS Morningstar previously downgraded three classes and assigned
Negative trends to five classes as part of the March 2021 rating
actions. Those rating actions were largely driven by concerns
surrounding retail loans in the pool that were showing performance
declines that were expected to be sustained for the longer term.
The rating downgrades and Negative trends with this review are due
to further deterioration in the credit profile for some of those
same loans, as well as increased risks for a large hotel loan.

As of the January 2022 remittance, 71 of the original 84 loans
remain in the pool, representing a collateral reduction of 22.4%
since issuance. The pool benefits from defeasance collateral as 18
loans, representing 14.3% of the pool balance, are fully defeased.
Sixteen loans are on the servicer's watchlist and four loans are in
special servicing, representing 29.0% and 13.6% of the pool,
respectively. In general, the pool is concentrated with loans
backed by retail and hotel property types, which represent 37.0% of
the pool balance, collectively.

The largest specially serviced loan is W Chicago – City Center
(Prospectus ID#3, 7.8% of the pool), which is secured by a
full-service hotel in the West Loop submarket of Chicago. The loan
is on the DBRS Morningstar Hotlist and was previously on the
servicer's watchlist because of performance declines that began
prior to the onset of the Coronavirus Disease (COVID-19) pandemic.
After the loan's transfer to special servicing in March 2021 for
payment default, a loan modification was executed that allowed for
a conversion to interest-only payments through the remaining loan
term of the loan, the repayment of outstanding amounts due using
funds and maintained cash management through the August 2023
maturity. Based on the April 2021 appraisal, the property was
valued at $73.6 million, which is a sharp decline from the issuance
value of $167.0 million and suggests a loan-to-value ratio (LTV) of
103% based on the trust exposure as of January 2022. The sponsor
appears committed to the loan and property and, while the loan
modification is generally seen as a positive development in
comparison with the alternative of foreclosure, the as-is value
decline and high LTV are indicative of significantly increased
risks for this loan, particularly given the challenges DBRS
Morningstar believes the subject hotel will face in building
revenue back to even pre-pandemic levels, when performance was
consistently suppressed from issuance expectations.

The second-largest specially serviced loan is Mall St. Matthews
(Prospectus ID#6, 3.6% of the pool), which is secured by a regional
mall in Louisville, Kentucky, and was transferred to special
servicing in June 2020 after it failed to repay at its June 2020
maturity date. The loan was previously reported as nonperforming
but is reporting current as of the January 2022 remittance. The
special servicer reports a loan modification is expected to be
finalized in the near term, but it is noteworthy that previous
updates provided by the special servicer included the suggestion
that the loan sponsor, an affiliate of Brookfield Property Partners
(Brookfield) could have an interest in pursuing a deed-in-lieu of
foreclosure. The August 2021 appraisal valued the property at $83.0
million, a sharp decline from the issuance value of $280.0 million,
a somewhat surprising delta given the fact that the property has
historically performed in line with issuance expectations. Most
recently, the loan reported a debt service coverage ratio (DSCR)
and occupancy rate as of the trailing nine month ended September
30, 2021, of 1.53 times (x) and 95.2%, respectively. In addition,
sales as of the T-12 ended September 30, 2021, report provided by
the servicer showed in-line sales (tenants less than 10,000 per
square foot (psf)) of $462 psf, suggesting traffic at the property
remains relatively healthy. Given the sponsor's possibly tepid
commitment to the property and the decline in the as-is value of
the property, DBRS Morningstar assumed a liquidation scenario in
the analysis for this loan, resulting in a loss severity in excess
of 50%.

Another loan in special servicing is Indiana Mall (Prospectus
ID#20, 1.3% of the pool), which is secured by a regional mall in
Indiana, Pennsylvania. The loan is real estate owned and based on
the October 2021 appraisal, the property was valued at $3.9
million, which is well below the outstanding loan balance of $12.3
million. With this review, DBRS Morningstar analyzed the loan with
a liquidation scenario, resulting in a loss severity in excess of
100.0%.

Other loans of concern include Willow Knolls Court (Prospectus
ID#9, 2.2% of the pool), which is secured by a retail property in
Peoria, Illinois, and has been on the DBRS Morningstar Hotlist
after losing Burlington ahead of its 2019 lease expiry. The subject
continues to report an occupancy level of around 70% since
Burlington's departure and depressed net cash flows, with the T-6
ended June 30, 2021, DSCR of 0.57x. Another DBRS Morningstar
Hotlist loan is Cobblestone Court (Prospectus ID#14, 1.9% of pool),
which is secured by a retail property in Victor, New York, located
across from the Eastview Mall. The subject previously lost its
Kmart anchor and was able to back-fill only about half of the space
to Hobby Lobby in 2021. In addition, the property also recently
lost its former second-largest tenant in Dick's Sporting Goods,
which relocated to the nearby Eastview Mall and has a lease at the
subject that expires in January 2022. Given the ongoing concerns
with these loans, DBRS Morningstar analyzed the loans with
probability of default penalties to increase the expected losses in
the analysis for this review.

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



GS MORTGAGE 2015-GC28: DBRS Lowers Class F Certs Rating to CCC
--------------------------------------------------------------
DBRS, Inc. downgraded its rating on one class of Commercial
Mortgage Pass-Through Certificates, Series 2015-GC28 issued by GS
Mortgage Securities Trust 2015-GC28 as follows:

-- Class F to CCC (sf) from B (low) (sf)

In addition, DBRS Morningstar confirmed its ratings on the
remaining classes as follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at BB (sf)
-- Class E at BB (low) (sf)

DBRS Morningstar maintains Negative trends on Classes E, F, and
X-C, while all other trends are Stable. DBRS Morningstar
discontinued its rating on Class X-D as its reference class is
rated CCC (sf).

As of the January 2022 remittance, 62 of the original 74 loans
remain in the pool, with an aggregate principal balance of $700.9
million, representing a collateral reduction of 23.3% since
issuance. Sixteen loans, representing 14.5% of the current trust
balance, are defeased. There are five loans, representing 5.0% of
the current trust balance, in special servicing and 11 loans,
representing 15.8% of the pool, are being monitored on the
servicer's watchlist.

The downgrade and Negative trends reflect the overall weakened
performance of the collateral since DBRS Morningstar's last review
and the increased likelihood of losses to the trust upon the
resolution of several of the specially serviced loans, including
the pool's largest special-serviced loan, the Iron Horse Hotel
(Prospectus ID#11, 2.4% of the pool). The loan, which is backed by
a 100-key, full-service boutique hotel in Milwaukee, transferred to
special servicing in March 2020 as a result of imminent default for
issues arising prior to the onset of the Coronavirus Disease
(COVID-19) pandemic. The loan experienced a decrease in room and
food and beverage revenue as a result of new competition within the
market and 2019 net cash flow (NCF) was less than half of the
issuance figure. As of September 2021, the hotel was outperforming
its competitive set with a trailing three months (T-3) revenue per
available room (RevPAR) penetration rate of 118.1%. The special
servicer continues to dual-track the borrower's latest proposal
with litigation. An updated appraisal completed in June 2021 valued
the property at $22.4 million, a 23.3% decrease from the issuance
value of $29.2 million. While the value of the appraisal was in
excess of the loan amount, the loan includes servicing advances
totaling $2.9 million, which could result in a realized loss under
a liquidation scenario. DBRS Morningstar liquidated this loan as
part of this analysis and assumed a loss to the trust.

The largest watchlisted loan, the Paramount Hotel (Prospectus ID#6,
3.3% of the pool), is secured by a 146-room, full-service boutique
hotel in Seattle. The loan was added to the servicer's watchlist in
November 2020 because of a decrease in occupancy as a result of the
pandemic. The loan reported negative cash flow at year-end (YE)
2020, although the T-12 as of September 2021 reported positive cash
flow, albeit below break-even. Prior to the pandemic, the loan was
performing above issuance expectations and the early signs of
recovery are promising.

The second-largest watchlisted loan, McDade Retail (Prospectus
ID#7, 2.8% of the pool), is secured by a 262,000-sf shopping center
in Holmes, Pennsylvania. The loan was returned to the master
servicer in March 2021 as a corrected mortgage after transferring
to special servicing in June 2020 for imminent default after anchor
tenant Kmart (40.3% of NRA) vacated. As of June 2021, the occupancy
rate is 50.5%, decreasing from 98.8% at YE2019. The submarket
vacancy is low, which will aid in back-filling Kmart's former
space, and anchor tenant Acme (17.6% of NRA) extended its lease
through August 2025.

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



GS MORTGAGE 2019-GC42: DBRS Confirms BB Rating on Class F-RR Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-GC42 issued by GS Mortgage
Securities Trust 2019-GC42 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since last review. At issuance, the transaction
consisted of 36 fixed-rate loans secured by 94 commercial and
multifamily properties with a trust balance of $1.06 billion.
According to the January 2022 remittance report, all 36 loans
remain in the transaction with no losses or defeasance to date.
Collateral reduction as a result of scheduled amortization has been
negligible, with a 0.5% decrease in the trust balance since
issuance.

The transaction is concentrated with loans backed by office, retail
and industrial property types, representing 36.2%, 23.0%, and 19.6%
of the current trust balance, respectively. According to the
January 2022 remittance report, one loan is in special servicing
and 11 loans, representing 30.1% of the current trust balance, are
on the servicer's watchlist. These loans are on the watchlist for a
variety of reasons, including low debt service coverage ratios
(DSCRs), low occupancy rates, and tenant rollover concerns.
However, the primary drivers are cash flow declines for retail and
hospitality properties, which continue to suffer from sustained
downward pressure on operational performance, stemming from ongoing
disruptions related to the pandemic.

The largest loan on the servicer's watchlist, 2 Cooper Square
(Prospectus ID#3; 6.2% of the pool), is secured by the borrower's
leasehold interest in a 15-storey, 143-unit multifamily building
with 21,848 square feet (sf) of retail space and a four-storey,
10-unit townhouse building in the Lower East Side of Manhattan. The
loan was added to the servicer's watchlist in July 2021 for a
decline in DSCR, primarily attributed to an increase in expenses
related to real estate property tax. According to the September
2021 financial reporting, the DSCR and occupancy rate were 1.62
times (x) and 97.9%, respectively. While the property has
historically performed well, expenses linked to real estate
property taxes will likely continue to increase due to an
expiration of the 412A real estate tax abatement in 2022. However,
the property benefits from its desirable location and relatively
tight submarket vacancy rates, suggesting the asset will continue
to perform well in the moderate to long term.

The only specially serviced loan, 114 Fordham Road (Prospectus
ID#32; 0.7% of the pool), is secured by a 8,350-sf, two-storey
retail property located in the Fordham Heights neighborhood of the
Bronx. The loan transferred to the special servicer in April 2020
because of imminent monetary default as the only tenants that paid
rent throughout the mandatory pandemic-related closures were the
cell tower and billboard tenants. A forbearance was granted in the
form of deferral of interest payments from August 2020 through
December 2020, which was to be repaid over a period of 12 months
starting with the January 2021 remittance cycle. Additionally,
replacement and leasing reserves were deferred from May 2020
through June 2021 with repayment set to occur over a span of six
months, beginning in July 2021. According to the servicer's January
2022 reserve report, the borrower has replenished the replacement
and leasing reserves, as outlined in the forbearance agreement.

According to the June 2021 rent roll, physical occupancy at the
property was 100%. In addition, the financial statements for the
trailing nine months ended September 30, 2021, showed an
improvement in the DSCR to 1.77x, up from 1.07x at YE2020.
Performance improvements were likely related to the reopening of
retail stores and the resumption of in-person shopping. As of the
January 2022 remittance, the loan remains current and with the
special servicer. Moreover, the most recent (September 2021)
appraisal value of $10.8 million exceeds the current trust exposure
for this loan, providing a degree of cushion in the event of a
liquidation. Given that the loan has exhibited relatively strong
coverage for three continuous quarters, DBRS Morningstar expects it
to be returned to the master servicer within the first quarter of
2022.

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



GS MORTGAGE 2022-MM1: DBRS Finalizes B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2022-MM1 issued by GS
Mortgage-Backed Securities Trust 2022-MM1 (GSMBS 2022-MM1):

-- $299.5 million Class A-1 at AAA (sf)
-- $299.5 million Class A-2 at AAA (sf)
-- $36.5 million Class A-3 at AAA (sf)
-- $36.5 million Class A-4 at AAA (sf)
-- $179.7 million Class A-5 at AAA (sf)
-- $179.7 million Class A-6 at AAA (sf)
-- $224.6 million Class A-7 at AAA (sf)
-- $224.6 million Class A-7-X at AAA (sf)
-- $224.6 million Class A-8 at AAA (sf)
-- $44.9 million Class A-9 at AAA (sf)
-- $44.9 million Class A-10 at AAA (sf)
-- $119.8 million Class A-11 at AAA (sf)
-- $119.8 million Class A-11-X at AAA (sf)
-- $119.8 million Class A-12 at AAA (sf)
-- $74.9 million Class A-13 at AAA (sf)
-- $74.9 million Class A-14 at AAA (sf)
-- $20.0 million Class A-15 at AAA (sf)
-- $20.0 million Class A-15-X at AAA (sf)
-- $20.0 million Class A-16 at AAA (sf)
-- $20.0 million Class A-17 at AAA (sf)
-- $20.0 million Class A-17-X at AAA (sf)
-- $20.0 million Class A-18 at AAA (sf)
-- $20.0 million Class A-18-X at AAA (sf)
-- $319.5 million Class A-19 at AAA (sf)
-- $319.5 million Class A-20 at AAA (sf)
-- $36.5 million Class A-21 at AAA (sf)
-- $355.9 million Class A-X-1 at AAA (sf)
-- $299.5 million Class A-X-2 at AAA (sf)
-- $36.5 million Class A-X-3 at AAA (sf)
-- $36.5 million Class A-X-4 at AAA (sf)
-- $179.7 million Class A-X-5 at AAA (sf)
-- $44.9 million Class A-X-9 at AAA (sf)
-- $74.9 million Class A-X-13 at AAA (sf)
-- $5.8 million Class B-1 at AA (sf)
-- $5.6 million Class B-2 at A (sf)
-- $3.0 million Class B-3 at BBB (sf)
-- $1.9 million Class B-4 at BB (sf)
-- $940,000 Class B-5 at B (sf)

Classes A-7-X, A-11-X, A-15-X, A-17-X, A-18-X, A-X-1, A-X-3, A-X-4,
A-X-5, A-X-9, and A-X-13 are interest-only certificates. The class
balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X,
A-12, A-14, A-16, A-17, A-17-X, A-18, A-18-X, A-19, A-20, A-21, and
A-X-2 are exchangeable certificates. These classes can be exchanged
for combinations of exchange certificates as specified in the
offering documents.

Classes A-1, A-2, A-5, A-7, A-8, A-9, A-10, A-11, A-13, A-14, A-15,
A-16, A-17, A-18, A-19, and A-20 are super-senior certificates.
These classes benefit from additional protection from the senior
support certificate (Class A-3, A-4, and A-21) with respect to loss
allocation.

The AAA (sf) ratings on the Certificates reflect 5.30% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.75%, 2.25%,
1.45%, 0.95%, and 0.70% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 359 loans with a total principal
balance of $375,841,374 as of the Cut-Off Date (January 1, 2022).

Movement Mortgage, LLC (Movement Mortgage) originated all the loans
in the pool, and Goldman Sachs Mortgage Company is the Sponsor and
Mortgage Loan Seller of the transaction. This transaction
represents the second GSMBS prime securitization that includes 100%
Movement Mortgage loans, but the 21st postcrisis prime
securitization issued from the GSMBS shelf.

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average loan
age of two months. The pool is composed of nonagency, prime jumbo
mortgage loans, which were underwritten using an automated
underwriting system designated by Fannie Mae or Freddie Mac, but
were ineligible for purchase by such agencies because of loan
size.

NewRez LLC, doing business as Shellpoint Mortgage Servicing, will
service the mortgage loans. Computershare Trust Company, N.A. will
act as the Master Servicer, Securities Administrator, Certificate
Registrar, Rule 17g-5 Information Provider, and Custodian. U.S.
Bank Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.

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

Coronavirus Impact

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

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

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



GS MORTGAGE 2022-NQM1: Fitch Assigns 'B' Rating to Class B-5 Certs
------------------------------------------------------------------
Fitch Ratings assigns ratings to the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust
2022-NQM1 (GSMBS 2022-NQM1).

DEBT               RATING             PRIOR
----               ------             -----
GSMBS 2022-NQM1

A-1          LT AAAsf  New Rating    AAA(EXP)sf
A-1-X        LT AAAsf  New Rating    AAA(EXP)sf
A-10         LT AAAsf  New Rating    AAA(EXP)sf
A-11         LT AAAsf  New Rating    AAA(EXP)sf
A-11-X       LT AAAsf  New Rating    AAA(EXP)sf
A-12         LT AAAsf  New Rating    AAA(EXP)sf
A-13         LT AAAsf  New Rating    AAA(EXP)sf
A-13-X       LT AAAsf  New Rating    AAA(EXP)sf
A-14         LT AAAsf  New Rating    AAA(EXP)sf
A-15         LT AAAsf  New Rating    AAA(EXP)sf
A-15-X       LT AAAsf  New Rating    AAA(EXP)sf
A-16         LT AAAsf  New Rating    AAA(EXP)sf
A-2          LT AAAsf  New Rating    AAA(EXP)sf
A-3          LT AAAsf  New Rating    AAA(EXP)sf
A-3-A        LT AAAsf  New Rating    AAA(EXP)sf
A-3-X        LT AAAsf  New Rating    AAA(EXP)sf
A-4          LT AAAsf  New Rating    AAA(EXP)sf
A-4-A        LT AAAsf  New Rating    AAA(EXP)sf
A-5          LT AAAsf  New Rating    AAA(EXP)sf
A-5-X        LT AAAsf  New Rating    AAA(EXP)sf
A-6          LT AAAsf  New Rating    AAA(EXP)sf
A-7          LT AAAsf  New Rating    AAA(EXP)sf
A-7-X        LT AAAsf  New Rating    AAA(EXP)sf
A-8          LT AAAsf  New Rating    AAA(EXP)sf
A-9          LT AAAsf  New Rating    AAA(EXP)sf
A-9-X        LT AAAsf  New Rating    AAA(EXP)sf
A-X-1        LT AAAsf  New Rating    AAA(EXP)sf
B-1          LT A+sf   New Rating    A+(EXP)sf
B-2          LT A-sf   New Rating    A-(EXP)sf
B-3          LT BBBsf  New Rating    BBB(EXP)sf
B-4          LT BBsf   New Rating    BB(EXP)sf
B-5          LT Bsf    New Rating    B(EXP)sf
B-6          LT NRsf   New Rating    NR(EXP)sf
Risk Reten   LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 527 nonprime residential
mortgages with a total balance of approximately $341 million, as of
the cutoff date.

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 (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.

Heightened Risk of Interest Shortfalls (Negative): Given the
collateral profile, limited advancing framework and structural
considerations, the non-senior classes are at heightened risk of
interest shortfalls which is incompatible with Fitch's 'AAAsf' and
'AAsf' ratings. Compared to most nonprime transactions, GSMBS
2022-NQM1 does not benefit from excess interest due to the presence
of senior IO bonds.

Further, the subordinate classes can only use their proportionate
share of principal payments to prioritize potential interest
shortfalls compared to other structures that would prioritize the
second pay bond interest before senior principal. Given these
vulnerabilities as well as observed performance through the
coronavirus pandemic, Fitch tested the structure assuming no
external advancing to ensure payment from internal liquidity. Based
on this, second pay bonds with these structures and collateral
profiles would likely require a material amount of credit
enhancement or waterfall provisions to allow for timely interest
consistent with a 'AAsf' rating.

Nonprime Credit Quality (Negative): The collateral consists of 527
loans, totaling $341 million, and seasoned approximately nine
months in aggregate (calculated as the difference between
origination date and cutoff date). The borrowers have a strong
credit profile (746 Fitch FICO and 35% debt to income, which takes
into account converted debt service coverage ratio [DSCR] values)
and moderate leverage (75% sLTV). The pool consists of 77.7% of
loans where the borrower maintains a primary residence, while 22.3%
is an investor property or second home. Additionally, 25.8% of the
loans were originated through a retail channel. 3.4% are designated
as qualified mortgage (QM) loan, 80.3% are non-QM and for the
remainder Ability to Repay (ATR) does not apply.

Loan Documentation (Negative): Approximately 64.8% of the pool was
underwritten to less than full documentation. 53.7% 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 (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, 3.4% is an Asset Depletion product, and 6.8% is
DSCR product.

Limited Advancing (Mixed): The deal is structured to three months
of servicer advances for delinquent principal and interest. The
limited advancing reduces loss severities as there is a lower
amount repaid to the servicer when a loan liquidates and
liquidation proceeds are prioritized to cover principal repayment
over accrued but unpaid interest. The downside to this is the
additional stress on the structure side as there is limited
liquidity in the event of large and extended delinquencies.
Specifically, the B1 class while traditionally rated in the 'AAsf'
range, is unable to be rated higher than 'A+sf' due to interest
shortfall vulnerability.

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 market value declines
    (MVDs) at the national level. The analysis assumes MVDs of
    10.0%, 20.0% and 30.0% in addition to the model projected
    41.5% at 'AAA'. The analysis indicates that there is some
    potential rating migration with higher MVDs for all rated
    classes, compared with the model projection. Specifically, a
    10% additional decline in home prices would lower all rated
    classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments to
its analysis:

-- A 5% PD credit was applied at the loan level as all of the
    grades were either 'A' or 'B' with the exception of the loans
    reviewed by Consolidated Analytics as Fitch's review of them
    has been expired close to a year;

-- This resulted in a 37bps reduction to the 'AAAsf' expected
    loss.

ESG CONSIDERATIONS

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


HERTZ VEHICLE 2021-2: DBRS Confirms BB Rating on Class D Notes
--------------------------------------------------------------
DBRS, Inc. confirmed the ratings on eight securities issued by two
Hertz Vehicle Financing III LLC transactions:

-- Series 2021-1, Class A Notes at AAA (sf)
-- Series 2021-1, Class B Notes at A (sf)
-- Series 2021-1, Class C Notes at BBB (sf)
-- Series 2021-1, Class D Notes at BB (sf)
-- Series 2021-2, Class A Notes at AAA (sf)
-- Series 2021-2, Class B Notes at A (sf)
-- Series 2021-2, Class C Notes at BBB (sf)
-- Series 2021-2, Class D Notes at BB (sf)

The rating actions are based on the following analytical
considerations:

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

-- The rental car industry continues to bounce back from the
trough of the pandemic. The resumption of leisure travel, coupled
with Hertz's rationalization of its rental fleet, has resulted in
improved fleet utilization.

-- Vehicle disposition remains strong as a result of the shortage
of new cars. In addition, the demand for rental cars and the
potential for increased daily rates provide for significant revenue
growth compared with pre-pandemic results.

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (January 27, 2022), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



ILPT COMMERCIAL 2022-LPFX: Moody's Assigns Ba1 Rating to HRR Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by ILPT Commercial Mortgage
Trust 2022-LPFX, Commercial Mortgage Pass-Through Certificates,
Series 2022-LPFX:

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 Baa2 (sf)

Cl. HRR, Definitive Rating Assigned Ba1 (sf)

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

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by the borrower's fee and
leasehold interests in 17 primarily industrial properties located
across 12 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 both Moody's Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations methodology and
Moody's IO Rating methodology. The rating approach for securities
backed by a single loan compares the credit risk inherent in the
underlying collateral with the credit protection offered by the
structure. The structure's credit enhancement is quantified by the
maximum deterioration in property value that the securities are
able to withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also consider a range of
qualitative issues as well as the transaction's structural and
legal aspects.

The portfolio offers 9,438,321 SF of aggregate area across the
following two property subtypes — warehouse/distribution (14
properties; 90.6% of NRA), and manufacturing/distribution (3
properties; 9.4% of NRA). The portfolio facilities offer superior
functionality as they average 555,195 SF and range between 95,953
SF and 1,194,744 SF. Clear heights for properties exhibit a
weighted average maximum clear height of 31.9 feet and range
between 27 feet and 39 feet. The portfolio is in good condition as
it reports a weighted average year built of 2008 (average age of 14
years) based on development dates of between 1973 and 2020.

The portfolio is geographically diverse as the 17 properties are
located across 13 markets in 12 states. The largest state
concentration is Tennessee, which represents 17.6% of NRA and 13.5%
of base rent. The largest market concentration is the Philadelphia,
PA, which represents 19.4% of NRA and 20.3% of base rent. The
portfolio's property-level Herfindahl score is 12.2 based on ALA.

As of February 1, 2022, the portfolio was 100.0% leased to 19
individual tenants. The largest tenant in the portfolio, Amazon,
accounts for approximately 3.0 million SF and represents 32.3% of
NRA.

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

The Moody's first mortgage DSCR is 2.09x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.87x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 99.2% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 85.9%, compared to 86.0% issued at Moody's provisional
ratings, based on Moody's Value using a cap rate adjusted for the
current interest rate environment. In addition to the mortgage
loan, there is mezzanine financing secured by a pledge of the
direct equity interests in the borrower totaling $255.0 million.
The total debt Moody's LTV ratio increases to 156.1% based on the
Moody's Value and 135.2% based on the Moody's Value using a cap
rate adjusted for the current interest rate environment.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 1.00.

Notable strengths of the transaction include: the asset quality,
strong tenancy, geographic diversity, and experienced sponsorship.

Notable concerns of the transaction include: the additional
mezzanine debt, tenant concentration, rollover risk, and
interest-only mortgage loan profile.

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

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

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

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

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


IMPERIAL FUND 2022-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2022-NQM1 issued by
Imperial Fund Mortgage Trust 2022- NQM1:

-- $300.5 million Class A-1 at AAA (sf)
-- $34.2 million Class A-2 at AA (low) (sf)
-- $22.6 million Class A-3 at A (low) (sf)
-- $17.0 million Class M-1 at BBB (low) (sf)
-- $21.0 million Class B-1 at BB (low) (sf)
-- $12.5 million Class B-2 at B (low) (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 27.60%
of credit enhancement provided by subordinated Certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) ratings reflect 19.35%, 13.90%, 9.80%, 4.75%, and 1.75%
of credit enhancement, respectively.

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

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

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

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

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

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

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

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

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

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

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

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

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

Coronavirus Impact

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

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

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



IMSCI 2012-2: Fitch Affirms CCC Rating on Class G Certs
-------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed six classes of
Institutional Mortgage Capital, commercial mortgage pass-through
certificates series 2012-2 (IMSCI 2012-2). The Rating Outlooks for
affirmed classes C and D have been revised to Stable from Negative.
All currencies are denominated in Canadian dollars (CAD).

   DEBT              RATING              PRIOR
   ----              ------              -----
Institutional Mortgage Securities Canada Inc., series 2012-2

A-2 45779BAK5   LT AAAsf  Affirmed       AAAsf
B 45779BAL3     LT AAAsf  Upgrade        AAsf
C 45779BAM1     LT Asf    Affirmed       Asf
D 45779BAN9     LT BBsf   Affirmed       BBsf
E 45779BAP4     LT BB-sf  Affirmed       BB-sf
F 45779BAS8     LT Bsf    Affirmed       Bsf
G 45779BAT6     LT CCCsf  Affirmed       CCCsf
XP 45779BAQ2    LT PIFsf  Paid In Full   AAAsf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations are stable from the
last rating action and include losses applied on the two, Fitch
Loans of Concern (FLOCs) (28.7%). Despite the recourse provisions
and low historical loss rates associated with Canadian CMBS loans,
Fitch has concerns with the recoverability of the two FLOCs. The
Negative Outlooks on classes E and F reflects the reliance on the
repayment of these two loans.

Increased Credit Enhancement: The upgrade of class B and revision
of Outlooks on classes C and D to Stable from Negative are due to
the increased credit enhancement (CE) and expected payoff of the
maturing balloon loans in 2022.

The Lakewood Apartments (14.3%), a 111-unit apartment building in
Fort McMurray, AB is the largest FLOC. The loan was in special
servicing in 2016 and 2017 due to the downturn in the energy
markets and has remained current. In May 2016, the Fort McMurray
area was evacuated due to wildfires, but the collateral did not
sustain structural damage. Demand at the property increased in 2016
due to local residents that were displaced by the fires and workers
brought in for restoration efforts. However, that demand has since
dissipated.

According to the servicer, occupancy was reported to be 77% as of
January 2022 compared with 84% as of September 2021, 89% as of YE
2020, 75% at November 2019, and 63% at YE 2018. The YE 2020 DSCR
was reported to be .56x compared to .48x at YE 2019 and .41x at YE
2018. The loan maturity has been extended for a second time to
November 2022. The loan has full recourse to the sponsor,
Lanesborough Real Estate Investment Trust (LREIT). Despite the
recourse provision, Fitch remains concerned with the loan given the
low debt service coverage ratio (DSCR), multiple maturity
extensions and demand tied to the energy sector. Additional
extensions are possible and the ratings consider that the loan may
be the last remaining in the pool.

The second largest FLOC is the Mont-Tremblant Retail (13.5%). The
subject is located in Mont-Tremblant, Quebec and is in close
proximity multiple ski resorts and other outdoor activities
including golfing, camping, biking, and boating. The property
consists of three retail buildings developed in 2009 with a total
rentable area of 50,172 sf, demised for 11 ground floor tenants.

As of YE 2020, NOI DSCR was reported to be .45x compared to .86x at
YE 2019, and 1.05x at YE 2018. Per the servicer occupancy increased
to 84% compared to 69% at YE 2020 although there is significant
upcoming lease rollover including 29.1% in 2022, 5.1% in 2023,
10.4% in 2024 and 16.6% in 2025. The 2022 lease rollover includes
the second largest tenant CISSS des Laurentides (19.5% of NRA) in
November 2022. The loan is scheduled to mature in April 2022 but
according to the servicer a loan extension is possible.

Alternative Loss Considerations: The pool is concentrated with only
nine of the original 31 loans remaining. Fitch performed a
sensitivity analysis that grouped the remaining loans based on the
likelihood/timing of repayment; the ratings reflect this analysis.
The non-FLOC loans are anticipated to repay in full at maturities
in 2022.

There is also sponsor concentration with top three loans (58.5%)
having the same sponsor group, LREIT and related entities. In
addition, the pool has two loans (42.6%) backed by properties in
Alberta, which has experienced volatility from the energy sector in
the past few years. Approximately 41.5% of the loans in the pool
are secured by retail properties and 58.5% by multi-family.

Maturities: All remaining loans mature from April through November
2022.

Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, additional guarantors and recourse to the borrowers. All
the remaining loans feature full or partial recourse to the
borrowers and/or sponsors.

Pari Passu Loans: Two loans comprising 44.2% of the pool are part
of a pari passu loan combination: Cedars Apartments (28.3% of the
pool) and Riverside Terrace (15.9% of the pool).

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 loans. Downgrades to classes, A-2 and B,
    are not likely due to the high CE, but could occur if interest
    shortfalls occur or if a high proportion of the pool defaults
    and expected losses increase significantly;

-- Downgrades to classes C, D and E may occur and be one category
    or more should overall pool losses increase, loans fail to
    repay at maturity, and/or the Lakewood Apartments loan
    transfers to special servicing;

-- A downgrade to class F would occur should loss expectations
    increase due to a loan transferring to the special servicer.
    Further downgrades to the distressed classes G will occur as
    losses are realized. The Negative Outlooks on classes E and F
    may be revised back to Stable if performance of the Lakewood
    Apartments loan improves and loans with upcoming maturities
    pay off.

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

-- Upgrades would occur with stable to improved asset performance
    coupled with paydown and/or defeasance.

-- Classes C through E may occur with significant improvement in
    CE and/or defeasance, but would be limited based on pool
    concentration;

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood for interest shortfalls. Upgrades to the classes F
    and G are not likely, given the concerns surrounding the
    FLOCs, but may occur should CE increase and performance of the
    FLOCs improve.

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.



IMSCI 2013-3: Fitch Lowers Rating on Class F Certs to CC
--------------------------------------------------------
Fitch Ratings has downgraded two and affirmed five classes of
Institutional Mortgage Canada Inc.'s (IMSCI) Commercial Mortgage
Pass-Through Certificates 2013-3. In addition, the Rating Outlook
for affirmed class B has been revised to Positive from Stable, and
affirmed classes C and D have had their Outlooks revised to Stable
from Negative. All currencies are denominated in Canadian Dollars
(CAD).

    DEBT             RATING            PRIOR
    ----             ------            -----
IMSCI 2013-3

A-3 45779BBA6   LT AAAsf  Affirmed     AAAsf
B 45779BBB4     LT AAsf   Affirmed     AAsf
C 45779BBC2     LT Asf    Affirmed     Asf
D 45779BBD0     LT BBsf   Affirmed     BBsf
E 45779BBE8     LT Bsf    Downgrade    BB-sf
F 45779BAV1     LT CCsf   Downgrade    CCCsf
G 45779BAW9     LT Dsf    Affirmed     Dsf

KEY RATING DRIVERS

Increased Loss Expectations/Losses Incurred: The downgrades reflect
the increased loss expectations and incurred losses since Fitch's
prior rating action. Two loans were disposed while in special
servicing with greater than anticipated losses. Despite the
recourse provisions of loans in the pool and generally low loss
rates associated with Canadian CMBS loans, Fitch remains concerned
with the continued underperformance and recoverability of the Fitch
Loans of Concern (FLOCs). The Negative Outlook maintained on class
E reflects the class' reliance on the repayment of the FLOCs and
the potential for rating changes should performance further
deteriorate or if loans fail to repay at maturity.

Credit Enhancement/Maturity Concentration: The Outlook Revisions of
class B to Positive from Stable and class C and D to Stable from
Negative are due to the continued amortization expected payoff of
the maturing non-FLOC balloon loans over the next 12 months.

Credit enhancement (CE) for classes A-3 and B has increased since
the prior review from amortization and proceeds from loan
dispositions, while the CE has declined for the thinner subordinate
tranches due to incurred losses on classes G and H. The pool
experienced $5.4 million in realized losses since the last review
after two loans, Deerfoot Court and Airway Business Plaza, were
disposed while in special servicing. As of the February 2022
distribution date, the pool's aggregate balance has been reduced by
71% to $73.4 million from $350.4 million at issuance, including
2.2% in realized losses. Cumulative interest shortfalls of $164,138
are affecting classes F through H.

All of the loans in the pool are currently amortizing. Loan
maturities for the remaining loans include 63.6% in 2022, 20.8% in
2023, and the FLOCs recently extended to 2024 (15.6%).

Fitch Loans of Concern: Three loans (15.6% of the pool) secured by
multifamily properties in Fort McMurray, AB have been identified as
FLOCs due cash flow deterioration since issuance and low debt
service coverage ratio (DSCR), primarily caused by the declining
Alberta energy sector. Performance deterioration has been
exacerbated by the Fort McMurray wildfires in 2016 and floods in
2020, in addition to impacts of the coronavirus pandemic to the
local economy.

Occupancy has recently improved after repairs were completed to
units taken offline as a result of flood damages in 2020. The Lunar
& Whimbrel Apartments (5.7% of the pool) occupancy improved to 95%
as of January 2022 from 41% in November 2020; The Snowbird and
Skyview Apartments (5.4%) occupancy improved to 85% as of January
2022 from 51% in November 2020; and The Parkland & Gannet
Apartments (4.6%) occupancy improved to 91% as of February 2022
from 78% in June 2021.

All three of these loans were granted forbearance and loan maturity
was most recently extended to February 2024, after failing to pay
off at their original May 2018 maturity date. The loans remain
current under the terms of the forbearance. DSCR for the loans
reported well below 1.0x for 2020 and 2019. All three loans are
sponsored by Lanesborough Real Estate Investment Trust (LREIT), and
are full recourse to their respective sponsor/borrower.

Pool Concentration and Energy Exposure: The pool is concentrated
with only 20 of the original 38 loans remaining. The top five and
top 10 loans account for 47.2% and 74.3% of the pool, respectively.
Due to the concentrated nature of the pool, Fitch performed a
sensitivity analysis that grouped the remaining loans based on the
timing and likelihood of repayment, and potential loss; the ratings
and Outlooks reflect this analysis. The non-FLOC loans are
anticipated to repay in full at their maturities in 2022 and 2023.

Four loans (20.1%) are secured by properties in located in Alberta,
which has experienced volatility from the energy sector over the
past few years. There is also significant sponsor concentration,
with five loans (38.8%) sponsored by LREIT.

Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, additional guarantors and recourse to the borrowers. Of
the 20 remaining loans, 18 (89.4%) feature full or partial recourse
to the borrowers and/or sponsors.

RATING SENSITIVITIES

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

-- Downgrades to classes A-3 and B are not likely due to the
    position in the capital structure, but may occur should
    interest shortfalls affect these classes or if a high
    proportion of the pool defaults and expected losses increase
    significantly;

-- Downgrades to classes C, D and E may occur and be one category
    or more should overall pool losses increase, loans fail to pay
    at maturity, and/or the FLOCs continue to experience further
    performance deterioration and/ or transfer to special
    servicing;

-- Downgrades to class F would occur with increased certainty of
    losses or as losses are realized;

-- Downgrades to class G are not possible as losses have already
    been incurred.

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

-- Stable to improved asset performance coupled with pay down
    and/or defeasance. An upgrade of class B would likely occur
    with significant improvement in CE and/or defeasance; however,
    adverse selection and increased concentrations, further
    underperformance of the FLOCs or higher than expected losses
    on the specially serviced loans could cause this trend to
    reverse;

-- Upgrades to classes C, D and E are considered unlikely and
    would be limited based on the concentrated nature of the pool.
    Classes would not be upgraded above 'Asf' if there is
    likelihood for interest shortfalls; The Rating Outlook on
    class E may be revised back to Stable if performance of the
    FLOCs improves, with improved loss expectations.

-- Upgrades to classes F are not likely given the concerns
    surrounding the FLOCs, but may occur if losses do not
    materialize.

-- Upgrades to class G will not be considered as losses have
    already been incurred.

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.


JPMBB COMMERCIAL 2015-C29: Fitch Affirms 'C' Rating on 2 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of JPMBB Commercial Mortgage
Securities Trust, series 2015-C29 and revised two classes to Stable
from Negative.

Class A-S, B and C certificates may be exchanged for class EC
certificates, and class EC certificates may be exchanged for class
A-S, B and C certificates. Class A-1 and A-2 certificates have paid
in full. Class X-C was previously withdrawn per Fitch's criteria.
Fitch does not rate the classes NR and X-NR certificates.

     DEBT              RATING           PRIOR
     ----              ------           -----
JPMBB 2015-C29

A-3A1 46644RAY1   LT AAAsf  Affirmed    AAAsf
A-3A2 46644RAA3   LT AAAsf  Affirmed    AAAsf
A-4 46644RAZ8     LT AAAsf  Affirmed    AAAsf
A-S 46644RBD6     LT AAAsf  Affirmed    AAAsf
A-SB 46644RBA2    LT AAAsf  Affirmed    AAAsf
B 46644RBE4       LT AA-sf  Affirmed    AA-sf
C 46644RBF1       LT A-sf   Affirmed    A-sf
D 46644RBH7       LT Bsf    Affirmed    Bsf
E 46644RAN5       LT CCCsf  Affirmed    CCCsf
EC 46644RBG9      LT A-sf   Affirmed    A-sf
F 46644RAQ8       LT Csf    Affirmed    Csf
X-A 46644RBB0     LT AAAsf  Affirmed    AAAsf
X-B 46644RBC8     LT AA-sf  Affirmed    AA-sf
X-D 46644RAE5     LT Bsf    Affirmed    Bsf
X-E 46644RAG0     LT CCCsf  Affirmed    CCCsf
X-F 46644RAJ4     LT Csf    Affirmed    Csf

KEY RATING DRIVERS

Stable Loss Expectations: Overall transaction expected losses have
remained stable since Fitch's prior rating action. Better than
expected recovery on the disposed asset, Alta Woodlake Square, was
offset by higher expected losses on the assets/loans in special
servicing resulting in pool losses in line with the prior rating
action. Eleven loans have been designated as Fitch Loans of Concern
(FLOCs) (41%) including three specially serviced loans (18.3%). The
largest drivers of Fitch's base case loss expectations are One City
Centre (10.0%) and Horizon Outlet Shoppes Portfolio (4.1%).

Fitch's ratings are based on a base case loss expectation of 12.4%.
The Outlook revisions to Stable from Negative reflect stable
expected losses for the pool along with sufficient credit
enhancement (CE) and the expectation of paydown from continued
amortization.

Fitch Loans of Concern: The largest driver to loss is the specially
serviced, One City Centre loan (10%), which is secured by a
602,122-sf office property located in the heart of Houston's CBD in
Houston, TX. The loan transferred to Special Servicer on March 23,
2021 due to Imminent Monetary Default. The largest tenant -- Waste
Management (40.5%) vacated the building at lease expiration in
December 2020.

According to the special servicer, resolution of the loan is
anticipated in 2023 dependent upon market conditions and occupancy.
The special servicer is utilizing reserves to fund monthly debt
service payments and working with the borrower and property
management for monthly operating needs. Management and leasing
stated there are no large prospective tenants at this time. The YE
2021 debt service coverage ratio (DSCR) was -0.35x with property
occupancy at 25%.

Fitch's analysis reflects a 30% stress to YE 2020 NOI to account
for the departure of the largest tenant Waste Management with
limited leasing interest in the vacant space, resulting in a loss
severity of 45%.

The second-largest contributor to losses is the specially serviced,
Horizon Outlet Shoppes Portfolio asset (4.1%), which is a portfolio
of three outlet centers with a combined 555,682 sf, located in
tertiary markets Oshkosh, WI, Burlington, WA and Fremont, IN. Each
property has experienced a decline in occupancy and property
operating cash flow since origination due to tenant bankruptcies,
construction of competitors, and retailers reducing number of
stores. Weakening sales are driving short renewal terms and
significantly reduced rents, with numerous tenants converting to
percentage rent.

As of YE 2019, the portfolio has experienced a 32% decline in NOI
since issuance. The portfolio was 53.3% occupied as of January
2022. All three properties are REO as of August 2021.

Fitch's analysis reflects a discount to recent appraisal values.

The largest performing loan loss driver is El Paseo Collection
South, a 27,098-sf, two-story, open-air retail (81% of NRA) and
office (19% of NRA) building located on the southeast corner of El
Paseo and Palms to Pines Highway in Palm Desert, CA. The property
faces challenges due to the departure of several luxury retailers
and tenants paying reduced rents with shorter lease durations. As
of YE 2021, the property was 73% occupied and DSCR was 0.38x, down
from 1.01x as of YE 2020 and 2.62x as of YE 2019. Fitch analysis
reflects a 40% stress to YE 2019 NOI to address occupancy and
tenancy issues.

Increased Credit Enhancement/Additional Defeasance: As of the
February 2022 distribution date, the pool's aggregate principal
balance was reduced by 39.1% to $599.7 million from $984.5 million
at issuance. Since Fitch's last review, four loans totaling $62.5
million have paid off in full and one loan ($23.2 million) paid off
with a realized loss. Seven loans (12.1%) are fully defeased. Four
loans (12.1%) are full-term interest-only and 28 loans (58.1%)
remain in partial-interest-only periods. The remaining 16 loans
(28.2%) are amortizing balloon. One loan (1.6%) is fully
amortizing.

Alternative Loss Scenario: Fitch's analysis included an additional
sensitivity scenario that accounted for potential outsized losses
to the El Paseo Collection South loan given the decline in
occupancy and short-term renewal of tenants. The sensitivity
reflects the potential that the loan may transfer to special
servicing should occupancy issues persist. However, the additional
sensitivity losses did not impact the overall stabilization of pool
performance and revision of Outlooks to Stable.

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 A3-A1 through C and X-A, X-B and EC are
    not likely due to the position in the capital structure, but
    may occur should interest shortfalls affect these classes;

-- Downgrades to classes B, X-B and C are possible should
    expected losses for the pool increase significantly,
    performance of the FLOCs further decline and/or loans
    susceptible to the pandemic not stabilize and incur outsized
    losses;

-- Downgrades to classes D would occur should loss expectations
    increase from continued performance decline of the FLOCs,
    additional specially serviced loans or defaults and/or
    disposition of specially serviced loans at higher losses than
    expected;

-- Downgrades to classes E, F and X-F would occur as losses are
    realized and/or become more certain.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional paydown and/or defeasance.

-- Upgrades to classes B and C would only occur with significant
    improvement in CE and/or defeasance and with performance
    stabilization on the FLOCs and/or better than expected
    recoveries on the specially serviced loans. Classes would not
    be upgraded above 'Asf' if there were likelihood of interest
    shortfalls;

-- An upgrade to classes D and X-D is not likely until the later
    years in the transaction, and only if the performance of the
    remaining pool is stable, there is sufficient CE and with
    improved loss expectations for the pool;

-- Classes E and F are unlikely to be upgraded absent significant
    performance improvement on the FLOCs and improved loss
    expectations of assets in special servicing.

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.


KEY COMMERCIAL 2018-S1: DBRS Confirms B Rating on Class F Certs
---------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-S1, issued by Key Commercial
Mortgage Trust 2018-S1 as follows:

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

All trends are Stable. The rating confirmations and Stable trends
reflect the overall stable performance of the transaction, which
has generally been in line with DBRS Morningstar's expectations at
issuance.

At issuance, the transaction consisted of 31 loans with a total
trust balance of $132.3 million. As of the January 2022 remittance,
all loans remain in the pool and the trust has seen a collateral
reduction of 4.9% since issuance as a result of scheduled
amortization. Additionally, one loan, representing 3.2% of the
current pool balance, defeased in October 2021. According to
January 2022 servicer reporting, seven loans, representing 27.6% of
the current pool balance, are being monitored on the servicer's
watchlist, and one loan, representing 1.5% of the pool balance, is
in special servicing. The pool is relatively diverse in terms of
property type, with loans backed by retail properties representing
the largest concentration at 20.3% of the current pool balance.
Loans backed by self-storage and manufactured housing properties
represent the second- and third-largest property type
concentrations at 18.6% and 17.1% of the current pool balance,
respectively.

The largest loan in the pool, Green Bay Plaza, is collateralized by
a retail power center in Green Bay, Wisconsin. The subject loan
funded the sponsor's acquisition of the property out of
receivership as the previous commercial mortgage-backed securities
loan securing the property, which originated in 2006, defaulted in
2014. DBRS Morningstar has been monitoring the loan closely as the
former third-largest tenant, Office Depot representing 13.3% of the
net rentable area (NRA), went dark in 2019, and the former
fifth-largest tenant, Tuesday Morning representing 8.8% of NRA,
filed for bankruptcy and closed its location at the property in
2020. The property is also shadow-anchored by a former Sears, which
has been vacant since 2017. Both the Office Depot and Tuesday
Morning tenants remained on a rent roll that was provided by the
servicer, dated as of December 2020; however, both tenants are
confirmed to have ceased operations. While the servicer previously
confirmed that the Office Depot tenant had been paying its
contractual rent, the lease is scheduled to expire in the near term
in April 2022. The servicer did not provide any updated information
on whether the Tuesday Morning lease was rejected as part of the
tenant's bankruptcy, but, assuming that the two tenants were
counted as occupied and paying rent for 2020, DBRS Morningstar
expects occupancy and cash flows to decline in the near term as
Office Depot's lease expires. Removing the two tenants' implied
rental revenue would result in the occupancy rate and debt service
coverage ratio (DSCR) to decline to 69.6% and 0.96 times (x),
respectively, compared with the year-end 2020 figures of 91.6% and
1.52x, respectively, The property does benefit from its location
within Green Bay and the sponsor remains committed to the property
as it was able to retain two other major tenants including T.J.
Maxx (20.7% of the NRA) and Big Lots (14.4% of the NRA), which both
signed lease extensions in January 2021.

The one loan in special servicing, 775 West Jackson Boulevard, is
secured by a mixed-use property in the Greektown neighborhood of
Chicago comprising retail and a small portion of below-grade office
space. The loan transferred to the special servicer in May 2020 for
payment default as performance declined as a result of the
Coronavirus Disease (COVID-19) pandemic. The property was also
affected by nearby road construction along Jackson Boulevard, which
was shut down to vehicle traffic for most of 2020 and 2021.
Construction was anticipated to be completed in late 2021 or early
2022. The borrower declared bankruptcy in December 2020 with
resolution negotiations with the servicer currently ongoing.
Special-servicer commentary indicates that there were hearings
scheduled in November and December 2021; however, as of the January
2022 reporting period, no further updates were provided as
foreclosure continues to be the indicated the workout strategy. An
updated appraisal dated January 2021 valued the property at $2.05
million, which represents a 41.3% decline from the issuance
appraised value of $3.5 million. When outstanding servicer advances
are considered, the current loan balance exceeds the most recent
appraised value. Given the pending foreclosure, the borrower
bankruptcy and the value decline, DBRS Morningstar assumed a
hypothetical liquidation scenario that resulted in an implied loss
severity near 30% in its analysis for this review. Given the
relatively small size of the loan; however, the rated bonds are
generally well insulated if the loan is resolved with a loss.

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



KREF 2022-FL3: DBRS Finalizes B(low) Rating on 3 Classes of Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by KREF 2022-FL3 Ltd:

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

All trends are Stable.

The initial collateral consists of 16 floating-rate mortgage loans
secured by 18 mostly transitional properties with a cut-off balance
totaling $1.0 billion, excluding approximately $79.0 million of
remaining future funding commitments and $981,993,471 of funded
companion participations. The transaction is a managed CLO and is
structured with a 24-month Reinvestment Period (and up to 60 days
thereafter with respect to reinvestment collateral interests as to
which the Issuer entered into binding commitments during the
Reinvestment Period using principal proceeds received on, before or
after the last day of the Reinvestment Period) whereby the Issuer
may acquire Companion Participations in either the form of a
mortgage loan, a combination of a mortgage loan and a related
mezzanine loan, or a fully funded pari passu participation. In
addition, the transaction is structured with a Replenishment
Period, which begins on the first day after the Reinvestment Period
and ends on the earlier of the date the Issuer acquired 10% of the
cut-off balance after the Reinvestment Period and the sixth payment
date after the Reinvestment Period. One loan, The Harland,
representing approximately 4.0% of the Aggregate Collateral
Interest Cut-Off Date Balance, has closed since DBRS Morningstar
posted the presale report. Any Companion Participation acquired
during either the Reinvestment Period or Replenishment Period is
subject to Eligibility Criteria that, among other criteria,
includes a no downgrade rating agency confirmation (RAC) by DBRS
Morningstar for all new mortgage assets and funded Companion
Participations. There are no B notes or mezzanine loans initially
being held outside the trust for this transaction.

The loans are mostly secured by cash flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, eight loans, representing 62.9% of the
pool, have remaining future funding participations totaling
approximately $79.0 million, which the Issuer may acquire in the
future subject to stated criteria. Please see the chart below for
the participations that the Issuer may acquire once fully funded.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the debt service
payments were measured against the DBRS Morningstar As-Is NCF, 11
loans, comprising 59.7% of the pool, had a DBRS Morningstar As-Is
DSCR below 1.00x, a threshold indicative of elevated default risk.
However, the DBRS Morningstar Stabilized DSCRs for only seven
loans, representing 38.9% of the initial pool balance, are below
1.00x. The properties are often transitioning with potential upside
in cash flow; however, DBRS Morningstar does not give full credit
to the stabilization if there are no holdbacks or if other
structural features in place are insufficient to support such
treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets to stabilize above
market levels.

The transaction sponsor is KKR Real Estate Finance Trust (KREF),
which is externally managed by KKR Real Estate Finance Manager LLC,
a subsidiary of KKR & Co. KREF is a publicly traded commercial
mortgage REIT focused primarily on originating and acquiring senior
loans secured by institutional quality commercial real estate
properties that are owned and operated by experienced and
well-capitalized sponsors. Since its initial public offering in May
2017, KREF has originated $10.8 billion of loans and as of
September 2021 had a portfolio balance of $5.8 billion.

The Class F, Class G, and Preferred Shares (collectively, the
Retained Securities; representing 15.25% of the initial pool
balance) will be purchased and retained by KREF 2022-FL3 Holdings
LLC, a majority-owned affiliate of KKR Real Estate Finance Holdings
L.P (KREF Holdings).

Four loans, representing 31.9% of the pool, feature sponsors that
DBRS Morningstar has deemed Strong. Strong sponsorship correlates
with more sophisticated borrowers, and loans with strong
sponsorship generally exhibit lower rates of delinquency or default
over the course of their loan terms.

The loan collateral was generally in very good physical condition.
Eleven loans, representing 75.4% of the initial pool balance, were
deemed Above Average (three loans, 23.0%) and Average + (eight
loans, 52.4%) in quality, while the remaining 24.6% of the pool was
deemed Average. No loans in the pool are backed by a property that
DBRS Morningstar considered to be of Average –, Below Average, or
Poor quality. More than 50% of the properties were recently built
within the past five years.

The ongoing coronavirus pandemic continues to pose challenges and
risks to the commercial real estate (CRE) sector, and the long-term
effects on the general economy and consumer sentiment are still
unclear. Fourteen loans (91.8% of pool) were originated in 2021 and
one loan (4.0% of pool) was originated in 2022. The loan files are
recent, including third-party reports that consider impacts from
the coronavirus pandemic. Only one loan, The Kendrick, representing
4.2% of the initial pool balance, was originated prior to the onset
of the pandemic.

All loans in the pool are secured by multifamily properties and all
loans that may be acquired during the reinvestment period must also
be secured by multifamily properties (including a maximum of 15% of
the aggregate outstanding portfolio balance on student housing
properties). Multifamily properties have historically seen lower
PODs and typically see lower E/Ls within the DBRS Morningstar
model. Multifamily properties benefit from staggered lease rollover
and generally low expense ratios compared with other property
types. While revenue is quick to decline in a downturn because of
the short-term nature of the leases, it is also quick to respond
when the market improves. Additionally, most loans in the initial
pool are secured by traditional multifamily properties, such as
garden-style communities or mid-rise/high-rise buildings, with no
independent living/assisted-living/memory care facilities or
student housing properties included in this pool.

Eleven loans, composing of 62.8% of the initial trust balance,
represent acquisition financing. Acquisition loans are considered
more favorable because the sponsor is usually required to
contribute a significant amount of cash equity as part of the
transaction, and it is also generally based on actual transaction
values rather than an appraiser's estimate of market value.

The DBRS Morningstar Business Plan Score (BPS) for loans DBRS
Morningstar analyzed was between 1.4 and 2.5, with an average of
1.8. On a scale of 1 to 5, a higher DBRS Morningstar BPS indicates
more risk in the sponsor's business plan. DBRS Morningstar
considers the anticipated lift at the property from current
performance, planned property improvements, sponsor experience,
projected time horizon, and overall complexity. Compared with
similar transactions, this pool has a lower average DBRS
Morningstar BPS, which is indicative of lower risk.

Three loans, representing 28.0% of the pool balance, have
collateral in DBRS Morningstar MSA Group 3, which is the
best-performing group in terms of historical CMBS default rates
among the top 25 MSAs. DBRS Morningstar MSA Group 3 has a
historical default rate of 17.2%, which is nearly 10.8 percentage
points lower than the overall CMBS historical default rate of
28.0%.

The transaction is managed and includes a reinvestment period and a
replenishment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. Eligibility criteria for reinvestment assets
partially offsets the risk of negative credit migration. The
criteria outlines DSCR, LTV, Herfindahl, and property type
limitations. A no downgrade confirmation RAC is required from DBRS
Morningstar for reinvestment loans and companion participations,
allowing DBRS Morningstar the ability to analyze them for any
potential ratings impact.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the future funding amounts to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes LGD based on the as-is credit metrics, assuming the loan
was fully funded with no NCF or value upside.

All 16 loans in the pool have floating interest rates and are IO
during the initial and extended loan term, creating interest rate
risk and a lack of principal amortization. DBRS Morningstar
stresses interest rates based on the loan terms and applicable
floors or caps. The DBRS Morningstar Adjusted DSCR is a model input
and drives loan-level PODs and LGDs. All loans except for one,
Crystal Towers and Flats (12% of pool), have extension options,
and, to qualify for these options, the loans must meet minimum DSCR
and LTV requirements. All loans are short term and, even with
extension options, have a fully extended loan term of five years
maximum, which based on historical data, the DBRS Morningstar model
treats more punitively. The borrowers for 11 loans, totaling 68.7%
of the trust balance, have purchased Libor rate caps that range
between 0.5% and 4.00% to protect against rising interest rates
over the term of the loan.

Based on the initial pool balances, the overall DBRS Morningstar WA
As-Is DSCR of 0.95x and DBRS Morningstar WA As-Is LTV of 77.3%
generally reflect high-leverage financing. Most of the assets are
generally well positioned to stabilize, and any realized cash flow
growth would help to offset a rise in interest rates and improve
the overall debt yield of the loans. DBRS Morningstar associates
its LGD based on the assets' as-is LTV, which does not assume that
the stabilization plan and cash flow growth will ever materialize.
The DBRS Morningstar As-Is DSCR at issuance does not consider the
sponsor's business plan, as the DBRS Morningstar As-Is NCF was
generally based on the most recent annualized period. The sponsor's
business plan could have an immediate impact on the underlying
asset performance that the DBRS Morningstar As-Is NCF does not
account for. When measured against the DBRS Morningstar Stabilized
NCF, the DBRS Morningstar WA DSCR is estimated to improve to 1.06x,
suggesting that the properties are likely to have improved NCFs
once the sponsor's business plan has been implemented. The DBRS
Morningstar WA Stabilized LTV is estimated to improve to 74.2%.

Two of the collateral interests, Aven and Portofino Place,
representing 23.5% of the pool, are subject to an existing
participation agreement entered in connection with the KREF
2021-FL2 offering, which sets forth the respective rights and
obligations of the holders created under such KREF 2021-FL2
participation agreement and are nonserviced loans. In connection
with the servicing of each such nonserviced loan, any special
servicer under the lead servicing agreement (which, as of the
Closing Date, will be the related special servicer under the KREF
2021-FL2 servicing agreement or participation agreement,
intercreditor agreement, or co-lender agreement, as applicable) may
take actions with respect to such loan that could adversely affect
the holders of some or all of the classes of notes. The rights of
the holders of the nonserviced loans are each governed by a
co-lender and agency agreement, which provides the other noteholder
with control, subject to certain consent rights, and appoints that
party as administrative agent subject to a gross negligence
standard for liability and indemnification in dealing with
noteholders. The in-place servicing agreement follows
securitization standards.

Because of health and safety constraints associated with the
ongoing coronavirus pandemic, DBRS Morningstar was unable to
perform in-person site inspections on any of the properties in the
pool. As a result, DBRS Morningstar relied more heavily on
third-party reports, online data sources, and information provided
by the Issuer to determine the overall DBRS Morningstar property
quality of each loan. The Issuer provided recent third-party
reports for all loans that contained property quality commentary
and photos except for the PCR and Phase I reports for The Kendrick,
which was prepared more than 12 months ago.

One loan, secured by The Kendrick, representing 4.2% of the pool
balance, has an open environmental issue, first identified after
the loan's origination, involving levels of trichloroethylene
(TCE), a potentially carcinogenic substance, in indoor air and soil
gas exceeding regulatory limits. The matter is subject to a
mandated in process (early stage) regulatory order by the
Massachusetts Department of Environmental Protection (MassDEP) to
investigate and remediate the identified contamination until fully
resolved potentially over an estimated five-year timeline. DBRS
Morningstar was advised that MassDEP's immediate response required
an assessment of the subslab depressurization system at the
property (SSDS), temporary installation of air purifying units in
certain units, and a design (and installation) of a new SSDS. The
sponsor also advised that it would be required to obtain a revised
Phase I assessment by June 2022, a Phase II assessment by June
2025, and depending on the results, the implementation of a Phase
IV remedy plan by June 2026, with the potential finalization of a
solution by June 2027. Currently, 18 of the units identified as
affected are considered down units and are concluded as vacant by
DBRS Morningstar.

DBRS Morningstar was further advised that the sponsor's compliance
with the MassDEP remediation steps is under way and approximately
$1.5 million has been spent to date as part of that investigation
and remediation, with the new SSDS expected to be installed by
March 2022. In addition, an investigation of the surrounding area
is planned to determine whether other parties responsible for
offsite sources or environmental releases could be causing or
contributing to these issues and whether they should share in the
investigation and remediation costs.

The uncertainty of the source of the TCE, unknown scope of its
physical and intangible impact, and extended timeline for
investigating, remediating, and monitoring (in accordance with a
regulatory order) create a potential credit risk not only as to the
anticipated hard cost expense to investigate and remediate, which
the sponsor's environmental consultant estimated at $14.5 million
in a worst-case scenario, but also as to the potential risk of
diminution in value created by such cost and the possible stigma
and potential liability associated with the presence of a known
environmental hazard at the property. In any event, this ongoing
unresolved issue could adversely affect occupancy and cash flow and
result in a term default, or the potential inability to refinance
the fully funded loan or to sell the property in a situation where
the trust may not be able to enforce remedies against the property
because of an unresolved environmental issue.

The borrower sponsors provided an environmental indemnity in
connection with the loan and are required to take action should an
environmental event occur per the Loan Document. The borrower
sponsors have reportedly spent $1.5 million to date and have
provided a joint and several environmental indemnity in connection
with the related mortgage loan and are motivated to fully remediate
the property. DBRS Morningstar NCF analysis excluded the 18 down
units. In addition, DBRS Morningstar adjusted the As-Is and
As-Stabilized appraised values downward and increased the LGD on
this loan given the amount of potential risks involved and the
open-ended nature of this environmental issue. As a result of these
adjustments, the loan's expected loss increased to be over the pool
WA. The sponsors on this loan, Toll Brothers and Ares Management,
are publicly traded companies and institutional sponsors. Both Toll
Brothers and Ares US Real Estate Development and redevelopment Fund
II, LP, are the nonrecourse carveout guarantors on this loan.

As the deadline for the elimination of Libor approaches, the
interest rate on the Notes will initially be based on the floating
rate benchmark, Term SOFR (defined as the one-month forward-looking
term rate, as obtained by the Calculation Agent, identified as 1
Month CME Term SOFR). However, because Term SOFR is a relatively
new index and different kinds of SOFR-based rates exist, mismatches
between SOFR-based rates and other benchmark-based rates may cause
economic inefficiencies and cause the Notes to experience
significant volatility and fluctuations. Also, Term SOFR may not
become unavailable and may change upon the occurrence of a
benchmark transition event and its related benchmark replacement
date.

In addition, all of the Closing Date Real Estate Loans will
initially bear (or are expected to bear) interest at adjustable
rates based on Libor for one-month Eurodollar deposits. To the
extent the Issuer acquires Collateral Interests in the future, or
if the Closing Date Real Estate Loans are modified by permitted
Administrative Modifications, it is expected that such Collateral
Interests will bear interest at adjustable rates based on Term
SOFR, Libor for one-month Eurodollar deposits, or other SOFR
benchmark. Several potential mismatches including (i) basis
mismatch between the Notes and the Collateral Interests as a result
of interest rates that are based on different accrual periods, (ii)
timing mismatch between the Notes and the Collateral Interests as a
result of the benchmark on such Collateral Interests adjusting on
different dates than the benchmark on the Notes; (iii) mismatch
that results from some or all of the Collateral Interests
converting (a) to an alternative rate to Term SOFR that is
different from the Benchmark Replacement determined in accordance
with the terms of the Indenture, (b) at a different time than when
the Notes convert to any Benchmark Replacement or (c) with a
different spread adjustment than the applicable benchmark
replacement adjustment or (iv) mismatch between the Benchmark
and/or benchmark replacement adjustment on the Notes and the
benchmark and/or the benchmark replacement adjustment (if any)
applicable to the Collateral Interests or mismatch or
unavailability of a comparable interest rate protection agreement
could result in the Issuer not collecting sufficient interest
proceeds to make interest payments on the Notes.

To compensate for differences between the successor Benchmark and
then-current Benchmark, a benchmark replacement adjustment will be
included in any benchmark replacement other than Term SOFR.
However, any benchmark replacement adjustment may not be sufficient
to produce the economic equivalent of the then-current Benchmark,
either at the benchmark replacement date or over the life of the
Notes. Currently, the Collateral Manager, will have sole discretion
in all elements of the benchmark replacement process including
loan-level benchmark conforming changes and modifications or
waivers of interest protection agreements. Noteholders will not
have any right to approve or disapprove of any changes as a result
of any benchmark transition event and/or its related benchmark
replacement date, the selection of a benchmark replacement or
benchmark replacement adjustment or the implementation of any
benchmark replacement conforming changes to the Loans. In the
discharge of any Special Servicer Alternative Rate Activities
(which includes (i) any action taken or omitted to be taken by the
Special Servicer with respect to the implementation of any
loan-level benchmark replacement and loan-level benchmark
replacement conforming changes, (ii) updating Special Servicer's
servicing system for the related loan-level benchmark replacement
and (iii) following the direction of the Collateral Manager
regarding such loan-level benchmark replacement and loan-level
benchmark replacement conforming changes) the Special Servicer will
be held to a gross negligence standard only with regard to any
liability for its actions.

Three loans, each having a loan balance greater than $20 million
(Aven, The Kendrick, and Alvista Durham), combined representing
20.2% of the initial pool balance, were not required to obtain a
nonconsolidation opinion as part of their loan agreement. As a
result, there is no opinion provided as to the separateness of the
borrower to the overarching sponsorship that could otherwise be
looked to as an opinion of separateness during a bankruptcy
proceeding. DBRS Morningstar applied a POD adjustment to these
loans to account for the lack of a consolidation opinion.

In this transaction, Administrative Modifications and
Criteria-Based Modifications may be directed by the
sponsor-affiliated Collateral Manager, not subject to the Servicing
Standard, but subject to a Collateral Manager Standard and the
Eligibility Criteria (as adjusted for modifications). The Eligible
Criteria Modification Adjustments include a provision stating that
if any such modification does not involve an increase in the
principal balance of the related mortgage loan, it does not require
no downgrade confirmation from DBRS Morningstar.

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



LB-UBS 2006-C6: Moody's Lowers Rating on Cl. A-J Certs to Ca
------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded one class in LB-UBS Commercial Mortgage Trust 2006-C6,
Commercial Mortgage Pass-Through Certificates, Series 2006-C6 as
follows:

Cl. A-J, Downgraded to Ca (sf); previously on Mar 2, 2020 Affirmed
Caa3 (sf)

Cl. X-CL*, Affirmed C (sf); previously on Mar 2, 2020 Affirmed C
(sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The rating on the remaining P&I Class, Cl. A-J, was downgraded due
to realized losses and increased anticipated additional losses from
the specially serviced loan which represents 100% of the remaining
pool. Cl. A-J has already experienced a 16% realized losses from
previously liquated loans and there is a high potential loss
severity from the remaining specially serviced loan, the Greenbriar
Mall Loan, which is secured by a troubled regional mall.

The rating on the interest only (IO) class was affirmed based on
the credit quality of the referenced classes.

The action has considered how the coronavirus pandemic has reshaped
the United States' economic environment and the way its aftershocks
will continue to reverberate and influence the performance of CMBS.
Moody's expect the public health situation to improve as
vaccinations against COVID-19 increase and societies continue to
adapt to new protocols. Still, the exit from the pandemic will
likely be bumpy and unpredictable and economic prospects will
vary.

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

Moody's rating action reflects a base expected loss of 61.4% of the
current pooled balance. Moody's base expected loss plus realized
losses is now 15.0% of the original pooled balance.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

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

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for the specially serviced 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 the 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 class(es) and the recovery as a
pay down of principal to the most senior class(es).

DEAL PERFORMANCE

As of the February 17, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 98.0% to $61.6
million from $3.0 billion at securitization. The certificates are
collateralized by one remaining mortgage loan which is currently in
special servicing.

Thirty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $418.4 million (for an average loss
severity of 65%).

The specially serviced loan is the Greenbrier Mall Loan ($61.6
million -- 100% of the pool), which is secured by an 896,000 square
foot (SF) regional mall in Chesapeake, Virginia. The mall is
anchored by J.C. Penney, Macy's and Dillard's, of which J.C. Penney
and Macy's are part of the collateral. There is also one vacant
non-collateral anchor, which was a former Sears that closed in
2018. The loan first transferred to special servicing in May 2016
for imminent default and was modified with a three-year maturity
extension through December 2019. The loan transferred back to the
master servicer in May 2017, however, the loan returned to special
servicing in May 2019 due to imminent default. As of September
2021, the property was 92% leased, compared to 95% in September
2019 and 97% in December 2018. The sponsor, CBL, categorized the
mall as a Lender Mall indicating they are working with the lender
on the terms of the loan or may no longer be meet the criteria for
long term investment. The property faces competition as there are
four other malls within a fifteen-mile radius and the property has
experienced a significant reduction in value from securitization.
The special servicer is dual tracking a possible workout plan with
foreclosure. As of the February 2022 remittance statement the
master servicer has recognized $27.6 million appraisal reduction
and Moody's anticipates a significant loss on this loan.


LCCM 2017-LC26: Fitch Lowers Class F Certs to 'CCC'
---------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 11 classes of
LCCM 2017-LC26 Mortgage Trust commercial mortgage pass-through
certificates. Fitch has also revised the Outlook for one class to
Stable from Negative.

    DEBT               RATING            PRIOR
    ----               ------            -----
LCCM 2017-LC26

A-3 50190DAG1    LT AAAsf   Affirmed     AAAsf
A-4 50190DAJ5    LT AAAsf   Affirmed     AAAsf
A-S 50190DAS5    LT AAAsf   Affirmed     AAAsf
A-SB 50190DAE6   LT AAAsf   Affirmed     AAAsf
B 50190DAU0      LT AA-sf   Affirmed     AA-sf
C 50190DAW6      LT A-sf    Affirmed     A-sf
D 50190DAY2      LT BBB-sf  Affirmed     BBB-sf
E 50190DBA3      LT BB-sf   Affirmed     BB-sf
F 50190DBC9      LT CCCsf   Downgrade    B-sf
X-A 50190DAL0    LT AAAsf   Affirmed     AAAsf
X-B 50190DAN6    LT A-sf    Affirmed     A-sf
X-D 50190DAQ9    LT BBB-sf  Affirmed     BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's loss expectations for the overall
pool have remained relatively stable since the prior rating action.
The downgrade of class F is driven by higher losses on some of the
Fitch Loans of Concern (FLOCs), primarily the 455 Plaza Drive loan
(2.8% of pool), which transferred to special servicing in February
2022. There are nine FLOCs (30.1%), which includes five specially
serviced loans (20.8%), two of which (3.6%) are new transfers since
March 2021. The 455 Plaza Drive loan transferred to special
servicing in February 2022 after the cutoff for the February
remittance reporting, to be reflected in the March 2022 remittance
reporting. Fitch's current ratings incorporate a base case loss of
5.10%.

The 455 Plaza Drive loan, which is the largest increase in loss
since the prior rating action, is secured by the leased-fee
interest in a 261-room former Embassy Suites hotel. The servicer
reported that the loan was transferred to special servicing in
February 2022 due to a technical default under the loan documents.
Prior to transferring, the loan had been flagged as a FLOC and was
on the servicer's watchlist due to declining cash flow and low
DSCR, as well as previous litigation between the landlord and
tenant.

The servicer has confirmed that the ground lease terminated at the
October 2021 expiration. Upon expiration of the ground lease, the
hotel ceased to operate and had not operated as a hotel for more
than 90 days, which constitutes a default under the loan agreement.
The borrower sent in a consent request for a new lessor which was
rejected by the lender. The borrower was either unable or unwilling
to provide financial information on the new tenant, who reportedly
wants to run part of the property as an unflagged hotel and part as
an Airbnb. As the borrower signed the lease prior to obtaining
lender approval the tenant has already taken possession of the
property. Fitch's base loss of 20% reflects the loan's recent
transfer to special servicing and default concerns for the loan.

The largest contributor to losses is the Hilton Garden Inn
Corvallis loan (3.2%), which is secured by a 153-room,
select-service Hilton Garden Inn hotel located in Corvallis, OR.
This loan transferred to the special servicer in July 2020 due to
payment default stemming from hardships related to the pandemic.
Given the property's location on the Oregon State University
campus, revenues were significantly affected by the closure of
schools and travel slowdown during 2020. Both occupancy and room
revenue had been declining YOY prior to the pandemic.

The borrower and servicer are still in negotiations but have yet to
come to an agreement at this time. The case was recently moved to
federal court and could take up to a year to go through a
foreclosure. The hotel reported TTM September 2021 occupancy, ADR
and RevPAR of 46%, $138 and $63, respectively, compared to 25%,
$152 and $103 at YE 2019 and 68%, $155 and $106 at YE 2018. As of
TTM September 2021, the hotel was outperforming its competitive set
in terms of ADR, with ADR penetration of 108%; occupancy and RevPAR
penetration ratios were 87% and 94%, respectively. Fitch's loss
expectation reflects a stressed value of $84,641 per key.

Increased Credit Enhancement: As of the February 2022 distribution
date, the pool's aggregate principal balance has paid down by 18.3%
to $511.0 million from $625.7 million at issuance. Two loans were
disposed since the prior rating action: Two Riverfront Plaza ($55.0
million) was paid at maturity in December 2021 and 147-149 Grand
Street was paid after its March 2021 maturity in December 2021.
Three loans (3.7%) are defeased as of the February 2022 remittance
reporting. However, the servicer confirmed that the Verizon
Building loan (2.5%) was fully defeased in late January 2022 and
will be reflected in the March 2022 remittance reporting, bringing
total defeasance to four loans (6.3%).

There are 31 loans (29.1%) that are full-term interest-only, and
one loan (9.2%) still has a partial interest-only component during
its remaining loan term, compared with seven loans (20.0%) at
issuance. Two loans (3.4%) mature in June and July 2022 and the
remainder of the pool (52 loans; 96.6%) matures in 2027, 24 of
which have ARDs with final maturities between 2031 and 2037.

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

-- Downgrades to Classes C, X-B, D, X-D, E, X-E, F and X-F may
    occur should expected losses for the pool increase
    significantly and/or the FLOCs and/or loans susceptible to the
    coronavirus pandemic all suffer losses.

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 X-B 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 a
    likelihood of interest shortfalls. Upgrades to classes D, X-D,
    E, X-E, F and X-F may occur as the number of FLOCs are
    reduced, properties vulnerable to the pandemic return to pre-
    pandemic levels and/or there is significant 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.


LOANCORE 2022-CRE7: DBRS Gives Prov. B(low) Rating on Cl. G Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by LoanCore 2022-CRE7 Issuer Ltd:

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

All trends are Stable.

The initial collateral consists of 29 floating-rate mortgages
secured by 29 mostly transitional properties with a cut-off balance
of $1.25 billion, excluding approximately $65.4 million of future
funding participations and $194.7 million of funded companion
participations. In addition, there is a two-year reinvestment
period during which the Issuer may use principal proceeds to
acquire additional eligible loans, subject to the eligibility
criteria. During the reinvestment period, the Issuer may acquire
future funding commitments, funded companion participations, and
additional eligible loans subject to the eligibility criteria. The
transaction stipulates a no downgrade confirmation from DBRS
Morningstar for all companion participations if there is already a
participation of the underlying loan in the trust.

The loans are secured by currently cash flowing assets, many of
which are in a period of transition with plans to stabilize and
improve the asset value. In total, 18 loans, representing 58.9% of
the trust balance, have remaining future funding participations
totaling $65.4 million, which the Issuer may acquire in the
future.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar as-is net cash
flow (NCF), 22 loans, representing 81.1% of the initial pool, had a
DBRS Morningstar as-is debt service coverage ratio (DSCR) below
1.00 times (x), a threshold indicative of default risk.
Additionally, the DBRS Morningstar Stabilized DSCRs for 20 loans,
representing 71.1% of the initial pool balance, are below 1.00x.
The properties are often transitioning with potential upside in
cash flow; however, DBRS Morningstar does not give full credit to
the stabilization if there are no holdbacks or if other loan
structural features in place are insufficient to support such
treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets to stabilize above
market levels. The transaction will have a sequential-pay
structure.

The transaction's sponsor is LCC REIT, which is managed by LoanCore
Capital Credit Advisor LLC, a wholly-owned subsidiary of LoanCore
Capital (LoanCore). LoanCore 2022-CRE7 Issuer Ltd. and LoanCore
2022-CRE7 Co-Issuer LLC are each newly formed special-purchase
vehicles (collectively, the Co-Issuers) and indirect wholly-owned
subsidiaries of the Sponsor. LoanCore is a commercial real estate
investor and lender with a credit-focused alternative asset
management platform that manages LLC REIT and LoanCore Capital
Markets (LCM). As of December 31, 2021, LoanCore had $15.6 billion
in assets under management between LCC REIT and LCM. This
transaction represents LoanCore's eighth commercial real estate
collateralized loan obligation (CRE CLO) since 2013, and there have
been no realized losses to date in any of its issued CRE CLOs on
approximately $8.1 billion of mortgage assets contributed including
reinvestments. An affiliate of LCC REIT, an indirect wholly owned
subsidiary of the Sponsor (as the retention holder), will acquire
the Class F Notes, the Class G Notes, and the Preferred Shares
(Retained Securities), representing the most subordinate 17.2% of
the transaction by principal balance.

Twenty-seven of the 29 loans, representing 94.1% of the mortgage
asset cut-off date balance, are for acquisition financing, where
the borrowers contributed material cash equity in conjunction with
the mortgage loan. Cash equity infusions from a sponsor typically
result in the lender and borrower having a greater alignment of
interests, especially compared with a refinancing scenario where
the sponsor may be withdrawing equity from the transaction.

The transaction's initial collateral composition consists mostly of
multifamily properties, which benefit from staggered lease rollover
and generally low expense ratios compared with other property
types. While revenue is quick to decline in a downturn because of
the short-term nature of the leases, it is also quick to respond
when the market improves. The subject pool includes garden-style
communities and mid-rise buildings. After closing, as part of the
ramp-up and reinvestment period, the collateral manager may only
acquire loans secured by multifamily properties. The prior LNCR
2021-CRE5 and LNCR 2021-CRE6 transactions allowed the collateral
manager to acquire office, industrial, retail, hotel, mixed-use,
self-storage, manufactured housing, and student housing property
types.

Based on the initial pool balances, the overall DBRS Morningstar
weighted-average (WA) as-is DSCR of 0.85x and WA as-is
loan-to-value (LTV) of 76.2% generally reflect high-leverage
financing. Most of the assets are generally well-positioned to
stabilize, and any realized cash flow growth would help to offset a
rise in interest rates and improve the loans' overall debt yield.
DBRS Morningstar associates its loss severity given default (LGD)
based on the assets' DBRS Morningstar As-Is LTV, which does not
assume that the stabilization plan and cash flow growth will ever
materialize. The DBRS Morningstar As-Is DSCR for each loan at
issuance does not consider the sponsor's business plan, as the DBRS
Morningstar As-Is NCF is generally based on the most recent
annualized period. The sponsor's business plan could have an
immediate impact on the underlying asset performance that the DBRS
Morningstar As-Is NCF is not accounting for. The DBRS Morningstar
As-Is LTV of 76.2% is lower than previous LNCR transactions, and
less than 10.0% of the pool has DBRS Morningstar As-Is LTVs greater
than 85.0%, a lower share than in prior LNCR transactions.

There are no loans in the current pool secured by properties in
areas with a DBRS Morningstar Market Rank of 7 or 8, which are more
densely populated and urban in nature. Loans secured by properties
in such areas have historically benefited from increased liquidity
and consistently strong investor demand, even during times of
economic distress. Consequently, loans in these dense, urban
locations often exhibit lower expected losses, and the lack of
collateral in these areas can be a negative credit characteristic.
Conversely, 24 loans, representing 80.9% of the current portfolio
balance, are secured by properties in markets with a DBRS
Morningstar Market Rank of 3 or 4, which are more suburban in
nature. Loans secured by properties in such areas have historically
exhibited elevated probabilities of default (PODs) and often have
higher expected losses in the DBRS Morningstar approach. The DBRS
Morningstar WA Market Rank of 3.5 for this pool is generally
indicative of a higher concentration of properties in less densely
populated suburban areas. This WA market rank is lower than all
three LoanCore deals DBRS Morningstar rated in 2021. DBRS
Morningstar concluded higher PODs and LGDs in this transaction than
in similar pools with more exposure to urban markets.

The transaction is managed and includes a reinvestment period,
which could result in negative credit migration and/or an increased
concentration profile over the life of the transaction. The risk of
negative migration is partially offset by eligibility criteria
(detailed in the transaction documents) that outline DSCR, LTV,
Herfindahl score minimum, property type, and loan size limitations
for reinvestment assets. DBRS Morningstar has rating agency
confirmation for all new reinvestment loans and companion
participations. DBRS Morningstar may analyze these loans for
potential impacts on ratings. Deal reporting includes standard
monthly Commercial Real Estate Finance Council reporting and
quarterly updates. DBRS Morningstar will monitor this transaction
on a regular basis.

DBRS Morningstar has analyzed the loans to reflect an as-stabilized
cash flow that is, in some instances, above the in-place cash flow.
It is possible that the sponsors will not successfully execute
their business plans and that the higher stabilized cash flow will
not materialize during the loan term, particularly with the ongoing
Coronavirus Disease (COVID-19) pandemic and its impact on the
overall economy. A sponsor's failure to execute the business plan
could result in a term default or the inability to refinance the
fully funded loan balance. The DBRS Morningstar analysis does not
express a view on whether the loan sponsor will extend or modify
loans that do not meet extension tests or successfully refinance.
DBRS Morningstar sampled a large portion of the loans, representing
71.6% of the mortgage asset cut-off date balance. The transaction's
DBRS Morningstar WA Business Plan Score of 1.83 is generally in the
range of recent CRE CLO transactions rated by DBRS Morningstar.
DBRS Morningstar made relatively conservative stabilization
assumptions and, in each instance, considered the business plan to
be rational and the loan structure to be sufficient to execute such
plans. In addition, DBRS Morningstar analyzes LGD based on the
as-is credit metrics, assuming the loan is fully funded with no NCF
or value upside. Affiliates of LLC REIT will hold future funding
companion participations and have the obligation to make future
advances. LLC REIT agrees to indemnify the Issuer against losses
arising out of the failure to make future advances when required
under the related participated loan. Furthermore, LLC REIT will be
required to meet certain liquidity requirements on a quarterly
basis.

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



MADISON PARK XIX: Moody's Hikes Rating on Class E-R Notes to B2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Madison Park Funding XIX, Ltd.:

US$59,800,000 Class A-2-R2 Floating Rate Notes Due 2028 (the
"A-2-R2 Notes"), Upgraded to Aaa (sf); previously on March 10, 2020
Assigned Aa1 (sf)

US$16,000,000 Class B-1-R2 Deferrable Floating Rate Notes Due 2028
(the "Class B-1-R2 Notes"), Upgraded to Aa3 (sf); previously on
March 10, 2020 Assigned A1 (sf)

US$14,200,000 Class B-2-R2 Deferrable Floating Rate Notes Due 2028
(the "Class B-2-R2 Notes"), Upgraded to Aa3 (sf); previously on
March 10, 2020 Assigned A1 (sf)

US$37,400,000 Class C-R Deferrable Floating Rate Notes Due 2028
(the "Class C-R Notes"), Upgraded to Baa1 (sf); previously on
December 22, 2020 Upgraded to Baa2 (sf)

US$28,500,000 Class D-R Deferrable Floating Rate Notes Due 2028
(the "Class D-R Notes"), Upgraded to Ba2 (sf); previously on August
19, 2020 Confirmed at Ba3 (sf)

US$12,100,000 Class E-R Deferrable Floating Rate Notes Due 2028
(the "Class E-R Notes"), Upgraded to B2 (sf); previously on August
19, 2020 Confirmed at B3 (sf)

Madison Park Funding XIX, Ltd., originally issued in December 2015
and refinanced in March 2020, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in January 2021.

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 February 2021. The Class
A-1-R2 notes have been paid down by approximately 7% or $25.9
million since that time. Based on the trustee's February 2022
report[1], the OC ratios for the Class A, Class B, Class C and
Class D notes are reported at 132.93 %, 124.21%, 114.87% and
108.64%, respectively, versus February 2021[2] levels of 130.80%,
122.67%, 113.91% and 108.03%, respectively.

The deal has also benefited from an improvement in the credit
quality of the portfolio since February 2021. Based on the
trustee's February 2022 report[3], the weighted average rating
factor (WARF) is reported at 2867 compared to 3040 in February
2021[4].

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $577,340,433

Defaulted par: $4,976,535

Diversity Score: 66

Weighted Average Rating Factor (WARF): 2855

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.32%

Weighted Average Recovery Rate (WARR): 47.6%

Weighted Average Life (WAL): 3.6 years

Par haircut in OC tests and interest diversion test: 1.15%

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

Methodology Used for the Rating Action

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

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

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


MELLO MORTGAGE 2021-INV3: DBRS Gives B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. assigned the following ratings to the Mortgage
Pass-Through Certificates, Series 2021-INV3 issued by Mello
Mortgage Capital Acceptance 2021-INV3 (MELLO 2021-INV3):

-- $320.1 million Class A-1 at AA (high) (sf)
-- $294.1 million Class A-2 at AAA (sf)
-- $229.4 million Class A-3 at AAA (sf)
-- $229.4 million Class A-3-A at AAA (sf)
-- $229.4 million Class A-3-X at AAA (sf)
-- $170.2 million Class A-4 at AAA (sf)
-- $170.2 million Class A-4-A at AAA (sf)
-- $170.2 million Class A-4-X at AAA (sf)
-- $59.2 million Class A-5 at AAA (sf)
-- $59.2 million Class A-5-A at AAA (sf)
-- $59.2 million Class A-5-X at AAA (sf)
-- $136.6 million Class A-6 at AAA (sf)
-- $136.6 million Class A-6-A at AAA (sf)
-- $136.6 million Class A-6-X at AAA (sf)
-- $92.8 million Class A-7 at AAA (sf)
-- $92.8 million Class A-7-A at AAA (sf)
-- $92.8 million Class A-7-X at AAA (sf)
-- $33.6 million Class A-8 at AAA (sf)
-- $33.6 million Class A-8-A at AAA (sf)
-- $33.6 million Class A-8-X at AAA (sf)
-- $15.0 million Class A-9 at AAA (sf)
-- $15.0 million Class A-9-A at AAA (sf)
-- $15.0 million Class A-9-X at AAA (sf)
-- $44.1 million Class A-10 at AAA (sf)
-- $44.1 million Class A-10-A at AAA (sf)
-- $44.1 million Class A-10-X at AAA (sf)
-- $64.7 million Class A-11 at AAA (sf)
-- $64.7 million Class A-11-A at AAA (sf)
-- $64.7 million Class A-11-AI at AAA (sf)
-- $64.7 million Class A-11-B at AAA (sf)
-- $64.7 million Class A-11-BI at AAA (sf)
-- $64.7 million Class A-11-X at AAA (sf)
-- $64.7 million Class A-12 at AAA (sf)
-- $64.7 million Class A-13 at AAA (sf)
-- $26.0 million Class A-14 at AA (high) (sf)
-- $26.0 million Class A-15 at AA (high) (sf)
-- $249.7 million Class A-16 at AA (high) (sf)
-- $70.4 million Class A-17 at AA (high) (sf)
-- $320.1 million Class A-X-1 at AA (high) (sf)
-- $320.1 million Class A-X-2 at AA (high) (sf)
-- $64.7 million Class A-X-3 at AAA (sf)
-- $26.0 million Class A-X-4 at AA (high) (sf)
-- $3.9 million Class B-1 at AA (sf)
-- $10.1 million Class B-2 at A (low) (sf)
-- $3.9 million Class B-3 at BBB (sf)
-- $3.0 million Class B-4 at BB (sf)
-- $1.1 million Class B-5 at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, and A-X-4 are
interest-only certificates. The class balances represent notional
amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI,
A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B,
A-12, and A-13 are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-14 and A-15) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 15.17% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), AA (sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings
reflect 7.67%, 6.55%, 3.63%, 2.51%, 1.64%, and 1.33% of credit
enhancement, respectively.

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

This is a securitization of a portfolio of first-lien fixed-rate
prime conventional investment-property residential mortgages funded
by the issuance of the Certificates. The Certificates are backed by
997 loans with a total principal balance of $346,670,134 as of the
January 25, 2022, Payment Date (Analysis Data Date).

The Certificates are backed by 1,016 loans with a total principal
balance of $356,973,421 as of the Cut-Off Date (September 1, 2021).
Unless specified otherwise, all statistics in the related report
are as of the Cut-Off Date.

In contrast to loanDepot.com, LLC's (loanDepot) prime MELLO MTG
series, MELLO 2021-INV3 is its third prime securitization composed
of fully amortizing fixed-rate mortgages on non-owner-occupied
residential investment properties. The portfolio consists of
conforming mortgages with original terms to maturity of primarily
30 years, which were underwritten by loanDepot using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac
and were eligible for purchase by such agencies. Approximately 0.4%
of the loans were granted appraisal waivers by the
government-sponsored enterprises. Such loans did not require a new
home appraisal, and the property value for the related mortgage was
based on a valuation provided by the lender and accepted by Fannie
Mae or Freddie Mac's AUS. In its analysis, DBRS Morningstar applied
property value haircuts to such loans, which increased the expected
losses on the collateral. Details on the underwriting of conforming
loans can be found in the Key Probability of Default Drivers
section of the related report.

loanDepot is the Originator, Seller, and Servicing Administrator of
the mortgage loans. mello Credit Strategies LLC is the Sponsor of
the transaction. LD Holdings Group LLC will serve as Guarantor with
respect to the remedy obligations of the Seller. mello
Securitization Depositor LLC, a subsidiary of the Sponsor and an
affiliate of the Seller, will act as Depositor of the transaction.

Cenlar FSB will act as the Servicer. Wilmington Savings Fund
Society, FSB will serve as Trustee, and Deutsche Bank National
Trust Company will serve as Custodian. Computershare Trust Company,
N.A. will act as the Master Servicer and Securities Administrator.

For this transaction, the servicing fee is composed of three
separate components: the aggregate base servicing fee, the
aggregate delinquent servicing fee, and the aggregate additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.

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

Coronavirus Disease (COVID-19) Pandemic Impact

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

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

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

The ratings reflect transactional weaknesses that include loans
that are 100% investor properties and certain borrowers with
multiple mortgages in the securitized pool, certain aspects of the
representations and warranties framework, and the Servicing
Administrator's financial capabilities.

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



MELLO MORTGAGE 2021-INV4: DBRS Gives B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. assigned the following ratings to the Mortgage
Pass-Through Certificates, Series 2021-INV4 issued by Mello
Mortgage Capital Acceptance 2021-INV4 (MELLO 2021-INV4):

-- $343.1 million Class A-1 at AAA (sf)
-- $315.3 million Class A-2 at AAA (sf)
-- $245.9 million Class A-3 at AAA (sf)
-- $245.9 million Class A-3-A at AAA (sf)
-- $245.9 million Class A-3-X at AAA (sf)
-- $184.5 million Class A-4 at AAA (sf)
-- $184.5 million Class A-4-A at AAA (sf)
-- $184.5 million Class A-4-X at AAA (sf)
-- $61.5 million Class A-5 at AAA (sf)
-- $61.5 million Class A-5-A at AAA (sf)
-- $61.5 million Class A-5-X at AAA (sf)
-- $149.8 million Class A-6 at AAA (sf)
-- $149.8 million Class A-6-A at AAA (sf)
-- $149.8 million Class A-6-X at AAA (sf)
-- $96.2 million Class A-7 at AAA (sf)
-- $96.2 million Class A-7-A at AAA (sf)
-- $96.2 million Class A-7-X at AAA (sf)
-- $34.7 million Class A-8 at AAA (sf)
-- $34.7 million Class A-8-A at AAA (sf)
-- $34.7 million Class A-8-X at AAA (sf)
-- $15.9 million Class A-9 at AAA (sf)
-- $15.9 million Class A-9-A at AAA (sf)
-- $15.9 million Class A-9-X at AAA (sf)
-- $45.6 million Class A-10 at AAA (sf)
-- $45.6 million Class A-10-A at AAA (sf)
-- $45.6 million Class A-10-X at AAA (sf)
-- $69.4 million Class A-11 at AAA (sf)
-- $69.4 million Class A-11-X at AAA (sf)
-- $69.4 million Class A-11-A at AAA (sf)
-- $69.4 million Class A-11-AI at AAA (sf)
-- $69.4 million Class A-11-B at AAA (sf)
-- $69.4 million Class A-11-BI at AAA (sf)
-- $69.4 million Class A-12 at AAA (sf)
-- $69.4 million Class A-13 at AAA (sf)
-- $27.8 million Class A-14 at AAA (sf)
-- $27.8 million Class A-15 at AAA (sf)
-- $267.6 million Class A-16 at AAA (sf)
-- $75.5 million Class A-17 at AAA (sf)
-- $343.1 million Class A-X-1 at AAA (sf)
-- $343.1 million Class A-X-2 at AAA (sf)
-- $69.4 million Class A-X-3 at AAA (sf)
-- $27.8 million Class A-X-4 at AAA (sf)
-- $6.1 million Class B-1 at AA (sf)
-- $9.8 million Class B-2 at BBB (high) (sf)
-- $3.0 million Class B-3 at BBB (low) (sf)
-- $3.3 million Class B-4 at BB (sf)
-- $1.3 million Class B-5 at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, and A-X-4 are
interest-only certificates. The class balances represent notional
amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI,
A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B,
A-12, and A-13 are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-14 and A-15) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 7.50% of credit
enhancement provided by subordinated certificates. The AA (sf), BBB
(high) (sf), BBB (low) (sf), BB (sf), and B (sf) ratings reflect
5.85%, 3.20%, 2.40%, 1.50%, and 1.15% of credit enhancement,
respectively.

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

This is a securitization of a portfolio of first-lien fixed-rate
prime conventional investment-property residential mortgages funded
by the issuance of the Certificates. The Certificates are backed by
952 loans with a total principal balance of $370,943,494 as of the
Cut-Off Date (November 1, 2021).

In contrast to loanDepot.com, LLC's (loanDepot) prime MELLO MTG
series, MELLO 2021-INV4 is its fourth prime securitization composed
of fully amortizing fixed-rate mortgages on nonowner occupied
residential investment properties. The portfolio consists of
conforming mortgages with original terms to maturity of primarily
30 years, which were underwritten by loanDepot using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac
and were eligible for purchase by such agencies. Approximately 1.9%
of the loans were granted appraisal waivers by the
government-sponsored enterprises. Such loans did not require a new
home appraisal, and the property value for the related mortgage was
based on a valuation provided by the lender and accepted by Fannie
Mae or Freddie Mac's AUS. In its analysis, DBRS Morningstar applied
property value haircuts to such loans, which increased the expected
losses on the collateral. Details on the underwriting of conforming
loans can be found in the related report.

loanDepot is the Originator, Seller, and Servicing Administrator of
the mortgage loans. mello Credit Strategies LLC is the Sponsor of
the transaction. LD Holdings Group LLC will serve as Guarantor with
respect to the remedy obligations of the Seller. mello
Securitization Depositor LLC, a subsidiary of the Sponsor and an
affiliate of the Seller, will act as Depositor of the transaction.

Cenlar FSB will act as the Servicer. Computershare Trust Company,
N.A. will act as the Master Servicer and Securities Administrator.
Wilmington Savings Fund Society, FSB will serve as Trustee, and
Deutsche Bank National Trust Company will serve as Custodian.

For this transaction, the servicing fee is composed of three
separate components: the aggregate base servicing fee, the
aggregate delinquent servicing fee, and the aggregate additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.

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

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

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

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

The ratings reflect transactional weaknesses that include loans
that are 100% investor properties, certain aspects of the
representations and warranties framework, and the Servicing
Administrator's financial capabilities.

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



MELLO MORTGAGE 2022-INV2: S&P Assigns (P) B- (sf) on B-5 Cert
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Mello
Mortgage Capital Acceptance 2022-INV2's mortgage pass-through
certificates.

The certificate issuance is an RMBS transaction backed by
residential mortgage loans.

The preliminary ratings are based on information as of March 11,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework;
-- The geographic concentration;
-- The experienced originator;
-- The statistically significant sample of due diligence results
consistent with represented loan characteristics; and

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

  Preliminary Ratings Assigned

  Mello Mortgage Capital Acceptance 2022-INV2

  Class A-1, $390,158,000: AA+ (sf)
  Class A-1-A, $390,158,000: AA+ (sf)
  Class A-2, $263,032,000: AAA (sf)
  Class A-2-A, $263,032,000: AAA (sf)
  Class A-2-B, $375,760,000: AAA (sf)
  Class A-3, $310,002,000: AAA (sf)
  Class A-3-A, $310,002,000: AAA (sf)
  Class A-3-B, $310,002,000: AAA (sf)
  Class A-3-X, $310,002,000(i): AAA (sf)
  Class A-4, $232,502,000: AAA (sf)
  Class A-4-A, $232,502,000: AAA (sf)
  Class A-4-B, $232,502,000: AAA (sf)
  Class A-4-X, $232,502,000(i): AAA (sf)
  Class A-5, $77,500,000: AAA (sf)
  Class A-5-A, $77,500,000: AAA (sf)
  Class A-5-X, $77,500,000(i): AAA (sf)
  Class A-6, $195,135,000: AAA (sf)
  Class A-6-A, $195,135,000: AAA (sf)
  Class A-6-B, $195,135,000: AAA (sf)
  Class A-6-X, $195,135,000(i): AAA (sf)
  Class A-7, $114,867,000: AAA (sf)
  Class A-7-A, $114,867,000: AAA (sf)
  Class A-7-X, $114,867,000(i): AAA (sf)
  Class A-8, $37,367,000: AAA (sf)
  Class A-8-A, $37,367,000: AAA (sf)
  Class A-8-X, $37,367,000(i): AAA (sf)
  Class A-9, $23,901,000: AAA (sf)
  Class A-9-A, $23,901,000: AAA (sf)
  Class A-9-X, $23,901,000(i): AAA (sf)
  Class A-10, $53,599,000: AAA (sf)
  Class A-10-A, $53,599,000: AAA (sf)
  Class A-10-X, $53,599,000(i): AAA (sf)
  Class A-11, $65,758,000: AAA (sf)
  Class A-11-X, $65,758,000(i): AAA (sf)
  Class A-11-A, $65,758,000: AAA (sf)
  Class A-11-AI, $65,758,000(i): AAA (sf)
  Class A-11-B, $65,758,000: AAA (sf)
  Class A-11-BI, $65,758,000(i): AAA (sf)
  Class A-11-C, $65,758,000: AAA (sf)
  Class A-12, $65,758,000: AAA (sf)
  Class A-13, $65,758,000: AAA (sf)
  Class A-14, $14,398,000: AA+ (sf)
  Class A-15, $14,398,000: AA+ (sf)
  Class A-16, $321,880,350: AA+ (sf)
  Class A-17, $68,277,650: AA+ (sf)
  Class A-X-1, $390,158,000(i): AA+ (sf)
  Class A-X-2, $390,158,000(i): AA+ (sf)
  Class A-X-3, $65,758,000(i): AAA (sf)
  Class A-X-4, $14,398,000(i): AA+ (sf)
  Class B-1, $14,810,000: AA- (sf)
  Class B-2, $10,611,000: A- (sf)
  Class B-3, $10,831,000: BBB- (sf)
  Class B-4, $7,295,000: BB- (sf)
  Class B-5, $5,084,000: B- (sf)
  Class B-6, $3,316,485: Not rated
  Class R, not applicable: Not rated

  (i)Notional balance.



MFA 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MFA
2022-NQM1 Trust's mortgage pass-through certificates series
2022-NQM1.

The certificate issuance is an RMBS transaction backed by
first-lien fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans primarily secured by
single-family residences, planned unit developments, condominiums,
condotels, two- to four-family homes, and one manufactured housing
property to both prime and nonprime borrowers. The pool has 701
loans, which are primarily nonqualified mortgage loans.

The preliminary ratings are based on information as of March 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;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The mortgage aggregator and mortgage originators;

-- The geographic concentration; and

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

  Preliminary Ratings Assigned

  MFA 2022-NQM1 Trust(i)

  Class A-1,$237,458,000: AAA (sf)
  Class A-2, $21,466,000: AA (sf)
  Class A-3, $23,130,000: A (sf)
  Class M-1, $15,808,000: BBB (sf)
  Class B-1, $12,480,000: BB (sf)
  Class B-2, $9,652,000: B (sf)
  Class B-3, $12,813,360: NR
  Class A-IO-S, notional(ii): NR
  Class XS, notional(ii): NR
  Class R: NR

(i)The collateral and structural information in our presale report
reflects the preliminary private placement memorandum received on
March 15, 2022. The preliminary ratings address the ultimate
payment of interest and principal. They do not address payment of
the cap carryover amounts.

(ii)The notional amount equals the loans' aggregate unpaid
principal balance.

NR--Not rated.



MILL CITY: Moody's Hikes 35 Tranches From 10 Deals Issued 2015-2019
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 35 tranches
from ten transactions issued by Mill City Mortgage Loan Trust
between 2015 and 2019.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral has
multiple servicers.

A List of Affected Credit Ratings is available at
https://bit.ly/3wcCt5J

The complete rating actions are as follows:

Issuer: Mill City Mortgage Loan Trust 2015-1

Cl. B1, Upgraded to Aaa (sf); previously on Jun 14, 2021 Upgraded
to Aa1 (sf)

Issuer: Mill City Mortgage Loan Trust 2016-1

Cl. B1, Upgraded to Aaa (sf); previously on Jun 14, 2021 Upgraded
to Aa2 (sf)

Issuer: Mill City Mortgage Loan Trust 2017-1

Cl. M3, Upgraded to Aaa (sf); previously on Jun 14, 2021 Upgraded
to Aa1 (sf)

Cl. B1, Upgraded to Aa1 (sf); previously on Jun 14, 2021 Upgraded
to A1 (sf)

Issuer: Mill City Mortgage Loan Trust 2017-2

Cl. M3, Upgraded to Aaa (sf); previously on Jun 14, 2021 Upgraded
to Aa2 (sf)

Cl. B1, Upgraded to Aa2 (sf); previously on Jun 14, 2021 Upgraded
to A2 (sf)

Issuer: Mill City Mortgage Loan Trust 2017-3

Cl. A4, Upgraded to Aaa (sf); previously on Jun 14, 2021 Upgraded
to Aa2 (sf)

Cl. M3, Upgraded to Aaa (sf); previously on Jun 14, 2021 Upgraded
to Aa3 (sf)

Cl. B1, Upgraded to Aa3 (sf); previously on Jun 14, 2021 Upgraded
to A3 (sf)

Issuer: MILL CITY MORTGAGE LOAN TRUST 2018-3

Cl. A3, Upgraded to Aa1 (sf); previously on Jun 14, 2021 Upgraded
to Aa2 (sf)

Cl. A4, Upgraded to Aa2 (sf); previously on Jun 14, 2021 Upgraded
to A2 (sf)

Cl. M2, Upgraded to Aa1 (sf); previously on Jun 14, 2021 Upgraded
to Aa3 (sf)

Cl. M3, Upgraded to A1 (sf); previously on Jun 14, 2021 Upgraded to
Baa1 (sf)

Issuer: MILL CITY MORTGAGE LOAN TRUST 2018-4

Cl. A3, Upgraded to Aa2 (sf); previously on Jun 14, 2021 Upgraded
to Aa3 (sf)

Cl. A4, Upgraded to A1 (sf); previously on Jun 14, 2021 Upgraded to
A3 (sf)

Cl. M2, Upgraded to Aa3 (sf); previously on Jun 14, 2021 Upgraded
to A1 (sf)

Cl. M3, Upgraded to A3 (sf); previously on Nov 30, 2018 Definitive
Rating Assigned Baa3 (sf)

Issuer: Mill City Mortgage Loan Trust 2019-1

Cl. A2, Upgraded to Aaa (sf); previously on Jun 13, 2019 Definitive
Rating Assigned Aa2 (sf)

Cl. A3, Upgraded to Aa2 (sf); previously on Jun 13, 2019 Definitive
Rating Assigned A1 (sf)

Cl. A4, Upgraded to A2 (sf); previously on Sep 28, 2020 Confirmed
at Baa1 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Jun 13, 2019 Definitive
Rating Assigned Aa3 (sf)

Cl. M2, Upgraded to A1 (sf); previously on Jun 13, 2019 Definitive
Rating Assigned A3 (sf)

Cl. M3, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed
at Baa3 (sf)

Cl. B1, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed
at Ba3 (sf)

Cl. B2, Upgraded to Caa1 (sf); previously on Jun 13, 2019
Definitive Rating Assigned Caa3 (sf)

Issuer: Mill City Mortgage Loan Trust 2019-GS1

Cl. A2, Upgraded to Aa1 (sf); previously on Oct 17, 2019 Definitive
Rating Assigned Aa3 (sf)

Cl. A3, Upgraded to Aa3 (sf); previously on Oct 17, 2019 Definitive
Rating Assigned A1 (sf)

Cl. A4, Upgraded to A2 (sf); previously on Oct 17, 2019 Definitive
Rating Assigned A3 (sf)

Cl. M1, Upgraded to Aa1 (sf); previously on Oct 17, 2019 Definitive
Rating Assigned Aa3 (sf)

Cl. M2, Upgraded to A2 (sf); previously on Oct 17, 2019 Definitive
Rating Assigned A3 (sf)

Issuer: MILL CITY MORTGAGE LOAN TRUST 2019-GS2

Cl. A2, Upgraded to Aaa (sf); previously on Oct 28, 2019 Definitive
Rating Assigned Aa1 (sf)

Cl. A3, Upgraded to Aa3 (sf); previously on Oct 28, 2019 Definitive
Rating Assigned A1 (sf)

Cl. A4, Upgraded to A2 (sf); previously on Oct 28, 2019 Definitive
Rating Assigned A3 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Oct 28, 2019 Definitive
Rating Assigned Aa2 (sf)

Cl. M2, Upgraded to A2 (sf); previously on Oct 28, 2019 Definitive
Rating Assigned A3 (sf)

RATINGS RATIONALE

The rating upgrades reflect the increase in the level of credit
enhancement available to these bonds due to higher prepayment
rates, which have averaged between 12.0% and 24.3% in the last 12
months. The rating action also reflects Moody's updated loss
expectations on the underlying pools.

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, but have declined from peak
levels observed in 2020. 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 3% and 9% among RMBS
RPL transactions. 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. Moody's also considered a
scenario where the population of non-cashflowing loans default with
higher roll rates.

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.

Given the lack of servicer advancing, an elevated percentage of
non-cash flowing loans related to borrowers enrolled in payment
relief programs can result in interest shortfalls, especially on
the junior bonds. However, the risk of incurring such interest
shortfalls has reduced since the proportion of non-cash flowing
loans has decreased from the June 2020 peak. Furthermore, based on
transaction documents, reimbursement of missed interest on the more
senior notes has a higher priority than even scheduled interest
payments on the more subordinate notes. Based on this interest
reimbursement feature, along with declining levels of borrowers
enrolled in payment relief plans, Moody's expect any such interest
shortfalls incurred to be temporary and fully reimbursed over the
subsequent months. None of the tranches in the rating action have
any interest shortfalls outstanding currently.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicers.

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 methodologies used in these ratings were "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.


MORGAN STANLEY 2005-HQ7: Moody's Lowers Rating on Cl. F Certs to C
------------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded the ratings on two classes in Morgan Stanley Capital I
Trust 2005-HQ7, Commercial Mortgage Pass-Through Certificates,
Series 2005-HQ7 as follows:

Cl. E, Downgraded to B3 (sf); previously on Mar 6, 2020 Downgraded
to B2 (sf)

Cl. F, Downgraded to C (sf); previously on Mar 6, 2020 Downgraded
to Ca (sf)

Cl. G, Affirmed C (sf); previously on Mar 6, 2020 Affirmed C (sf)

RATINGS RATIONALE

The ratings on two classes, Cl. E and Cl. F, were downgraded due to
the higher realized losses and expected losses as well as an
anticipated increase in interest shortfalls. The largest remaining
loan, representing 99% of the pool, is in special servicing and
already REO.

The rating on Cl. G was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Class G has
already experienced a 50% realized loss as a result of previously
liquidated loans.

The action has considered how the coronavirus pandemic has reshaped
the United States' economic environment and the way its aftershocks
will continue to reverberate and influence the performance of CMBS.
Moody's expect the public health situation to improve as
vaccinations against COVID-19 increase and societies continue to
adapt to new protocols. Still, the exit from the pandemic will
likely be bumpy and unpredictable and economic prospects will
vary.

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

Moody's rating action reflects a base expected loss of 66.7% of the
current pooled balance, compared to 61.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.6% of the
original pooled balance, compared to 8.5% 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.

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

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 analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 99% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for the specially serviced 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 the 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 class(es) and the recovery as a
pay down of principal to the most senior class(es).

DEAL PERFORMANCE

As of the February 14, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $33.4 million
from $1.96 billion at securitization. The certificates are
collateralized by two remaining mortgage loans of which one, 99% of
the pool, is in special servicing.

Forty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $147 million (for an average loss
severity of 52%).

The specially serviced loan is the Crown Ridge at Fair Oaks Loan
($32.9 million ? 98.7% of the pool), which is secured by a 191,200
square foot (SF) eight story multi-tenant office property located
in Fairfax, Virginia. The loan was originally modified in July 2016
which included a term extension, principal paydown of 10%, and
conversion of remaining payments to interest-only. The loan again
transferred to the special servicer in November 2017 due to
imminent maturity default ahead of its December 2017 maturity date.
As of October 10, 2021, the property was only 43% leased and the
NOI DSCR was below 1.00X since 2018 with an NOI DSCR of only 0.29X
in December 2020. The loan became REO in the second quarter of 2020
and is last paid through its March 2018 payment date. The
property's value has significantly declined from securitization. As
of the February 2022 remittance statement the master servicer has
already recognized $18.7 million appraisal reduction.

The remaining performing loan is the Molalla Bi-Mart Loan ($0.4
million ? 1.3% of the pool), which is secured by a 31,250 SF retail
center located in Molalla, Oregon. The property is 100% occupied by
Bi-Mart Corp. with a lease expiration of February 2026. The loan is
fully amortizing and has amortized 71% since securitization.
Moody's LTV and stressed DSCR are 18% and >4.00X, respectively.


MORGAN STANLEY 2007-TOP25: DBRS Confirms C Rating on 2 Classes
--------------------------------------------------------------
DBRS Limited confirmed the ratings on classes of Commercial
Mortgage Pass-Through Certificates, Series 2007-TOP25 issued by
Morgan Stanley Capital I Trust, Series 2007-TOP25 as follows:

-- Class A-J at BBB (low) (sf)
-- Class B at C (sf)
-- Class C at C (sf)

The trend on Class A-J was changed to Negative from Stable. Classes
B and C have ratings that do not carry a trend. Class C continues
to carry an Interest in Arrears designation.

The rating confirmations reflect the transaction's recent
performance, which has been stable since February 2021, when DBRS
Morningstar downgraded the rating on Class B. The trend change and
the ratings on Classes B and C reflect DBRS Morningstar's loss
projections for the two loans in special servicing, which
cumulatively represent 96.1% of the pool. Both loans are secured by
retail assets and are real estate owned (REO) following foreclosure
actions executed by the servicer. Both are expected to be resolved
with significant losses to the Trust.

As of the January 2022 remittance, there has been collateral
reduction of 94.1% since issuance, with realized losses of
approximately $99.3 million applied to date through Class D.
Principal repayment has paid down the senior bonds and into Class
A-J, now the most senior bond remaining in the Trust. Four of the
original 204 loans remain in the transaction. In addition to the
two loans in special servicing, there are two loans, representing
3.9% of the pool, on the servicer's watchlist.

The largest loan in special servicing, Shoppes at Park Place
(Prospectus ID#3, 77.2% of the pool), is secured by an anchored
retail center in Pinellas Park, Florida. The loan initially
transferred to the special servicer in January 2017 because of
maturity default, and the asset has been REO since March 2020. The
property was appraised at $80.5 million as of March 2020, down
marginally from the January 2019 appraised value of $81.5 million.
However, DBRS Morningstar notes that this valuation does not take
into account the impact from the ongoing Coronavirus Disease
(COVID-19) pandemic, which has had a significant effect on the
performance of the already strained brick-and-mortar retail
sector.

The other loan in special servicing, Romeoville Town Center
(Prospectus ID#16, 18.9% of the pool), is secured by a former
grocer-anchored retail center in the Chicago suburb of Romeoville,
Illinois. The loan initially transferred to the special servicer in
March 2014 for imminent default, and the property has been REO
since February 2019. The property was appraised at $7.2 million as
of August 2020, down from the October 2018 appraised value of $9.1
million.

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



MORGAN STANLEY 2013-C9: DBRS Confirms B(high) Rating on H Certs
---------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2013-C9 issued by Morgan
Stanley Bank of America Merrill Lynch Trust 2013-C9 as follows:

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

The trends on all classes are Stable, with the exception of Class
H, which has a Negative trend.

The Negative trend is largely reflective of the increased risk for
the pool related to the extended delinquency of the largest loan in
the pool, Milford Plaza Fee (Prospectus ID#1; 18.3% of the pool),
which is in special servicing, as well as the occupancy decline at
the collateral property backing the largest loan on the servicer's
watchlist, Apthorp Retail Condominium (Prospectus ID#5; 6.1% of the
pool). While the occupancy rate at the Apthorp Retail Condominium
property seems to be improving, DBRS Morningstar is watching for
the ultimate resolution of the Milford Plaza Fee loan, given its
significant concentration of the collateral pool.

Milford Plaza Fee is secured by the ground-leased fee interest
under a hotel condominium of The Milford Plaza Hotel, in the Times
Square-Theater District neighborhood of Manhattan. The loan
transferred to special servicing in June 2020 because of imminent
monetary default with debt service payments last remitted in April
2020. According to the servicer, the tenant under the ground lease
defaulted on the ground rent in April 2020 and a foreclosure
complaint has been filed; however, no foreclosure sale has been
scheduled to date. The special servicer is proceeding with the sale
and subsequent loan assumption of the collateral that would
dissolve the ground lease. Due to an unprecedented decrease in
lodging demand amid the Coronavirus Disease pandemic, much of the
hotel's business throughout the pandemic has been driven by a
contract user and management only began to accept transient
reservations in August 2021. The hotel's food and beverage program
will remain closed until management determines occupancy rates are
sufficient to reopen the facilities. As of the July 2021 appraisal,
the subject reported an as-is value of $324.0 million, down from
the August 2020 appraised value of $378.0 million. Servicer
advances continue to accrue, totaling $16.3 million as of January
2022, and the loan exposure is nearing a loan-to-value ratio of
100%.

Apthorp Retail Condominium is secured by the fee interest in the
retail component of The Apthorp, a 12-story, 161-unit luxury
residential condominium in Manhattan. This loan has been on the
servicer's watchlist because of the low debt service coverage ratio
(DSCR) and low occupancy rate. The DSCR decline was driven by the
loss of Successful Vision Corp, which previously represented 15% of
net rentable area and vacated in October 2018, ahead of its lease
expiration in 2027. In addition, Apthorp Pharmacy also unexpectedly
vacated in Q2 2020, well ahead of its December 2027 lease
expiration. According to the servicer, the former Successful Vision
Corp. space has been backfilled and another smaller space has been
leased as well, which will bring the occupancy rate to
approximately 74% from 56%. The servicer also reported there has
been potential interest in, and ongoing negotiations for, the
remaining vacant spaces. In the most recent trailing six months
ended June 30, 2021, the DSCR was 1.03 times (x), up from the
YE2020 DSCR of 0.99x.

At issuance, the trust comprised 60 fixed-rate loans secured by 77
commercial properties with a trust balance of $1.28 billion.
According to the January 2022 remittance report, 50 loans secured
by 54 properties remain in the trust with a trust balance of $901.3
million, representing a 29.4% collateral reduction since issuance.
Eleven loans, totaling 32.2% of the trust balance, are defeased.
The trust is concentrated by property type as loans secured by
retail properties comprise 37.9% of the trust balance. Four of the
10 largest loans in the pool, representing 17.5% of the trust
balance, are secured by retail properties.

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


MORGAN STANLEY 2014-C17: DBRS Cuts Class E Certs Rating to B(low)
-----------------------------------------------------------------
DBRS, Inc. downgraded its rating on one class of the Commercial
Mortgage Pass-Through Certificates, Series 2014-C17 issued by
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 as
follows:

-- Class E to B (low) (sf) from B (sf)

In addition, DBRS Morningstar confirmed its ratings on the
following classes:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-B at A (sf)
-- Class D at BBB (low) (sf)
-- Class PST at A (low) (sf)
-- Class F at CCC (sf)

Negative trends for Classes D and E remain in place, while all
other trends are Stable. Class F does not have a trend given its
CCC (sf) rating.

The downgrade and Negative trends reflect DBRS Morningstar's
increased loss projections primarily driven by the Holiday Inn
Houston Intercontinental loan (Prospectus ID#17, 2.7% of the trust
balance). In addition, credit support to the bonds has deteriorated
since the last rating action following the liquidation of Keystone
Park (Prospectus ID#16) in August 2021, which resulted in a $3.0
million realized loss that was contained in the non-rated Class G.

At issuance, the trust consisted of 67 fixed-rate loans secured by
72 commercial properties with a trust balance of $1.04 billion. Per
the January 2022 remittance, 54 loans secured by 56 properties
remain in the trust with a trust balance of $697.6 million,
representing a 32.7% collateral reduction since issuance. The trust
is concentrated by loans secured by retail and hospitality
properties, which account for 41.6% of the trust balance and 28.4%
of the trust balance, respectively. Seven loans, totaling 15.4% of
the trust balance, are full term interest-only (IO) loans.

Per the January 2022 remittance, five loans, representing 11.0% of
the trust balance, are in special servicing and an additional 11
loans, totaling 34.3% of the trust balance, are on the servicer's
watchlist. The largest specially serviced loan, San Isidro Plaza I
& II (Prospectus ID#5, 5.8% of the trust balance), is expected to
pay off in full with no loss to the trust. Most of the watchlisted
loans are secured by hotel and retail loans that were affected by
the Coronavirus Disease (COVID-19) pandemic.

Holiday Inn Houston Intercontinental Hotel is secured by a
full-service hotel in Houston. The loan was transferred to the
special servicer in March 2017 for imminent default, with a
receiver appointed in August 2017. The property has been real
estate owned since July 2018 and was most recently reappraised at
$20.9 million as of July 2021. The property is currently listed for
sale and the special servicer is evaluating an offer. A $15.0
million ($36,000 per key) property improvement plan was completed
February 2020. The property continues to significantly underperform
compared with issuance expectations with negative net cash flows
through June 2021.

The Arrowhead Professional Park loan (Prospectus ID#33, 1.3% of the
trust balance) is secured by a two-story medical office property in
Glendale, Arizona. The project was partially built-to-suit for the
former largest tenant, Arrowhead Health Center (Arrowhead), to use
as its headquarters. Arrowhead, which previously occupied 50.0% of
net rentable area (NRA), vacated the property in 2018 and cash flow
dropped off sharply as a result. The loan transferred to special
servicing in November 2020 as a result of payment default and the
special servicer is pursuing foreclosure. A court-appointed
receiver is in place. The loan was hypothetically liquidated from
the trust as part of the review, resulting in an implied loss
severity of 30%.

At issuance, DBRS Morningstar shadow-rated the Courtyard King
Kamehameha's Kona Beach Hotel Leased Fee loan (Prospectus ID#6,
5.3% of the pool) investment grade. With this review, DBRS
Morningstar confirms that the performance of the loan remains
consistent with investment-grade loan characteristics.

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



NEW RESIDENTIAL 2022-INV1: S&P Assigns B (sf) Rating on B5 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to New Residential Mortgage
Loan Trust 2022-INV1's mortgage pass-through certificates.

The issuance is an RMBS transaction backed by first-lien,
fixed-rate, fully amortizing investment property mortgage loans
secured by one- to four-family residential properties, townhouses,
planned-unit developments, and condominiums to primarily prime
borrowers.

The ratings reflect:

-- High-quality collateral in the pool;
-- Available credit enhancement;
-- The transaction's associated structural mechanics;
-- Representation and warranty framework for this transaction;
-- Geographic concentration;
-- Originators; and
-- 30% sampled due diligence results, which were consistent with
represented loan characteristics.

  Ratings Assigned

  New Residential Mortgage Loan Trust 2022-INV1

  Class A1, $270,365,000: AAA (sf)
  Class A2, $270,365,000: AAA (sf)
  Class A3, $12,407,000: AA+ (sf)
  Class A4, $12,407,000: AA+ (sf)
  Class A5, $202,774,000: AAA (sf)
  Class A6, $202,774,000: AAA (sf)
  Class A7, $67,591,000: AAA (sf)
  Class A8, $67,591,000: AAA (sf)
  Class A9, $282,772,000: AA+ (sf)
  Class A10, $282,772,000: AA+ (sf)
  Class AX1, $282,772,000(iv): AA+ (sf)
  Class AX2, $270,365,000(iv): AAA (sf)
  Class AX3, $12,407,000(iv): AA+ (sf)
  Class AX5, $202,774,000(iv): AAA (sf)
  Class AX7, $67,591,000(iv): AAA (sf)
  Class AX10, $282,772,000(iv): AA+ (sf)
  Class B1, $10,814,000: AA- (sf)
  Class B1A, $10,814,000: AA- (sf)
  Class BX1, $10,814,000(iv): AA- (sf)
  Class B2, $6,521,000: A (sf)
  Class B2A, $6,521,000: A (sf)
  Class BX2, $6,521,000(iv): A (sf)
  Class B3, $7,634,000: BBB (sf)
  Class B4, $4,612,000: BB (sf)
  Class B5, $3,022,000: B (sf)
  Class B6, $2,703,815: NR
  Class BX, $17,335,000(iv): A (sf)
  Class B, $17,335,000: A (sf)
  Class R, N/A: NR

(i)Coupons are subject to the net WAC rate.
(ii)The lesser of (a) 2.50000% and (b) the net WAC.
(iii)The lesser of (a) 3.00000% and (b) the net WAC.
(iv) Notional balance.
(v)The excess, if any, of the net WAC for that distribution date
over 3.0000%.
(vi) The excess, if any, of (a) the lesser of (i) 3.0000% and (ii)
the net WAC such distribution date over (b) the lesser of (i)
2.5000% and (ii) the net WAC for such distribution date.
(vii) The net WAC for that distribution date. For class B6, the
rate will be adjusted for certain servicing fees.
(viii) The excess of (a) the net WAC over (b) 3.00000%.
WAC--Weighted average coupon.
P&I--Principal and interest.
IO--Interest only.
N/A--Not applicable.
NR--Not rated.



OBX 2022-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OBX
2022-NQM3 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 518 loans, which are primarily
nonqualified mortgage/ability to repay (ATR)-compliant and
ATR-exempt loans.

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

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

-- The pool's collateral composition;

-- The transaction's credit enhancement, 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

-- 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-NQM3 Trust

  Class A-1A, $185,241,750.00: AAA (sf)
  Class A-1B, $61,747,250.00: AAA (sf)
  Class A-1, $246,989,000.00: AAA (sf)
  Class A-2, $15,792,000.00: AA (sf)
  Class A-3, $18,477,000.00: A (sf)
  Class M-1, $11,528,000.00: BBB (sf)
  Class B-1, $8,686,000.00: BB (sf)
  Class B-2, $6,948,000.00: B (sf)
  Class B-3, $7,422,909.00: NR
  Class A-IO-S, notional(ii): NR
  Class XS, notional(iii): NR
  Class R: NR

(i)The collateral and structural information in this report reflect
the term sheet dated March 10, 2022. The preliminary ratings
address the ultimate payment of interest and principal.

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

(iii)The notional amount equals the loans' stated principal
balance.
NR--Not rated.



OBX TRUST 2022-INV3: 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-INV3 Trust (OBX 2022-INV3). The ratings range from Aaa
(sf) to B3 (sf).

OBX 2022-INV3, the third Moody's rated issue from Onslow Bay
Financial LLC (Onslow Bay) in 2022, is a prime RMBS securitization
of 10-year to 30-year, fixed-rate, mostly agency eligible mortgage
loans secured by first liens on mainly non-owner occupied
residential properties (designated for investment purposes by the
borrower), and 2 fixed-rate, non-agency-eligible mortgage loans
(each of which is agency-eligible but had an original loan balance
that exceeded agency limits). All the loans were underwritten using
one of the government-sponsored enterprises' (GSE) automated
underwriting systems (AUS) and 99.7% 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 in the pool were originated by various
originators. 25.8% of the mortgage loans in the pool were
originated by Better Mortgage Corporation, 11.7% by Fairway
Independent Mortgage Corporation, 11.4% by Cardinal Financial
Company LP, 10.2% by Home Point Financial Corporation, 7.9% by
General Mortgage Capital Corporation and all other originators
represent less than 7.0% by loan balance. Approximately 50.2% of
the loans (by UPB) were acquired from different originators and the
rest were acquired from Bank of America, National Association.

NewRez LLC d/b/a Shellpoint Mortgage Servicing and Select Portfolio
Servicing, Inc. will service 49.8% and 50.2% (by UPB) of the
mortgage loans respectively on behalf of the issuing entity,
starting March 1, 2022. 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-INV3 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:

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-1A, Definitive Rating Assigned Aa3 (sf)

Cl. B-IO1*, 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 0.90% and reach
5.47% 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-INV3 transaction is a securitization of 1,053
agency-eligible mortgage loans, secured by 10 to 30-year
fixed-rate, mainly 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 $330,822,750. The notes are backed by 99.8%
investment property mortgage loans and the remaining 0.2% are
second home loans. The mortgage pool has a WA seasoning of about 5
months. The loans in this transaction have strong borrower credit
characteristics with a weighted average current FICO score of 771
and a weighted-average original combined loan-to-value ratio (CLTV)
of 63.5%. In addition, 18.8% of the borrowers are self-employed and
refinance loans comprise about 60.0% of the aggregate pool. The
pool has a high geographic concentration with 36.2% of the
aggregate pool located in California, with 8.3% located in the Los
Angeles-Long Beach-Anaheim MSA and 7.5% located in the
Seattle-Tacoma-Bellevue 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. 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.
Furthermore, there are also six loans (0.6% by UPB) that are
30-days delinquent as per MBA Method due to a servicing transfer.

Appraisal Waiver (AW) loans, all of which are agency-eligible
loans, which constitute approximately 3.1% 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

A majority of the mortgage loans in the pool were originated by
Better Mortgage Corporation., Fairway Independent Mortgage
Corporation, Cardinal Financial Company LP, Home Point Financial
Corporation and General Mortgage Capital Corporation. 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 99.7% (by UPB) 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 Home Point Financial
Corporation. (approximately 10.2% by UPB), LendUS, LLC
(approximately 6.2% by UPB), Rocket Mortgage LLC (approximately
0.4% by UPB) and 2 loans that are not GSE eligible, 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.

Moody's increased its loss assumption for loans originated by
Rocket Mortgage due to the relatively weaker performance of their
investment property mortgage transactions compared to similar
transactions from other originators. Moody's increased its loss
assumption for loans originated by LendUS due to insufficient
performance information.

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) and
Select Portfolio Servicing, Inc. (SPS) will be the named primary
servicers for this transaction and will service 49.8% and 50.2% of
the pool respectively, starting March 1, 2022. 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.

The P&I Advancing Party (Onslow Bay) will make principal and
interest advances (subject to a determination of recoverability)
for the mortgage loans for the SPS serviced mortgage loans, while
Shellpoint will make P&I advances for the rest of the mortgage
loans which is serviced by Shellpoint.

As the P&I advancing party, Onslow Bay Financial LLC's role is
limited to funding P&I advances for the mortgage loans that are
serviced by SPS, but only to the extent that such amounts are not
funded by amounts held for future distribution, a reduction in the
excess servicing strip fee or a reduction in the P&I advancing
party fee.

Similar 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)

Six third-party review (TPR) firms including AMC Diligence, LLC
(AMC), Inglet Blair, LLC, Canopy Financial Technology Partners,
LLC, Clayton Services LLC, Consolidated Analytics, INC and Wipro
Opus Risk Solutions, LLC, verified the accuracy of the loan level
information that Moody's received from the sponsor. Six TPR firms
conducted detailed credit, property valuation, data accuracy and
compliance reviews on 99.9% of the mortgage loans (by loan count)
in the final collateral pool. The TPR checked to ensure that all of
the reviewed loans were in compliance with (AUS) underwriting
guidelines and AUS loan eligibility requirements with generally no
material compliance, credit, data or valuation issues.

Representations & Warranties (R&W)

Moody's analysis of the R&W framework considers the adequacy of the
R&Ws and enforcement mechanisms, and the creditworthiness of the
R&W provider.

Overall, 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 connection with the conveyance of the Mortgage Loans to the
Depositor under the mortgage loan purchase agreement (the "Mortgage
Loan Purchase Agreement"), the Seller will make the representations
and warranties to the Depositor, AAR), which will be assigned by
the Depositor to the Issuer and pledged by the Issuer to the
Indenture Trustee for the benefit of the Noteholders. Onslow Bay
Financial LLC which is the rep provider is an unrated entity with
weak financial that may not have the financial wherewithal to
purchase defective loans. Moody's have increased Moody's loss
levels to account for the financial weakness of the R&W provider
(Onslow Bay).

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 1.15% of the closing pool balance,
and a subordination lock-out amount equal to 1.15% 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 February 2022.


OZLM LTD XII: Moody's Hikes Rating on Class E Notes to Caa1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by OZLM XII, Ltd.:

US$25,525,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2027 (the "Class B-R Notes"), Upgraded to Aaa (sf);
previously on August 31, 2021 Upgraded to Aa1 (sf)

US$35,525,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2027 (the "Class C-R Notes"), Upgraded to Aa3 (sf);
previously on August 31, 2021 Upgraded to A2 (sf)

US$25,075,000 Class D Secured Deferrable Floating Rate Notes due
2027 (the "Class D Notes"), Upgraded to Ba1 (sf); previously on
August 31, 2021 Upgraded to Ba2 (sf)

US$11,000,000 Class E Secured Deferrable Floating Rate Notes due
2027 (the "Class E Notes"), Upgraded to Caa1 (sf); previously on
September 22, 2020 Downgraded to Caa3 (sf)

OZLM XII, Ltd., originally issued in May 2015 and partially
refinanced in September 2018, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in April 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since August 2021. The Class
A-1-R notes have been paid down by approximately 58% or $61.2
million since then. Based on Moody's calculation, the OC ratios for
the Class A, Class B, Class C and Class D notes are currently at
196.44%, 160.94%, 128.60% and 112.62%, respectively, versus August
2021 levels of 162.82%, 142.29%, 121.05% and 109.51%,
respectively.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $227,299,205

Defaulted par: $2,216,397

Diversity Score: 44

Weighted Average Rating Factor (WARF): 2776

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.03%

Weighted Average Recovery Rate (WARR): 46.89%

Weighted Average Life (WAL): 3 years

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

Methodology Used for the Rating Action

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

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

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


POST CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Post CLO
2022-1 Ltd./Post CLO 2022-1 LLC's floating-rate notes.

The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Post Advisory Group LLC.

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

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

-- The collateral pool's diversification;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  Post CLO 2022-1 Ltd./Post CLO 2022-1 LLC

  Class A, $252.00 million: AAA (sf)
  Class B, $52.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A+ (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $35.40 million: Not rated



PRIMA CAPITAL 2021-X: Moody's Raises Rating on Cl. C Notes to B2
----------------------------------------------------------------
Moody's Investors Service has upgraded nine, confirmed one and
affirmed three securities issued by four commercial real estate
collateralized loan obligations (CRE CDO CLOs).

The following transactions are impacted by Moody's action (listed
by issuer name in alphabetical order).

Issuer: Prima Capital CRE Securitization 2015-IV Ltd.

Cl. B, Upgraded to Aaa (sf); previously on Feb 8, 2018 Affirmed Aa1
(sf)

Cl. C, Upgraded to A3 (sf); previously on Nov 23, 2021 Baa1 (sf)
Placed Under Review for Possible Upgrade

Cl. MR-A, Affirmed Aaa (sf); previously on Feb 8, 2018 Affirmed Aaa
(sf)

Issuer: Prima Capital CRE Securitization 2019-VII Ltd.

Cl. A, Affirmed Aaa (sf); previously on Oct 23, 2019 Assigned Aaa
(sf)

Cl. B, Upgraded to Aa1 (sf); previously on Nov 23, 2021 Aa3 (sf)
Placed Under Review for Possible Upgrade

Cl. C, Upgraded to Baa2 (sf); previously on Nov 23, 2021 Baa3 (sf)
Placed Under Review for Possible Upgrade

Cl. D, Upgraded to B1 (sf); previously on Nov 23, 2021 B3 (sf)
Placed Under Review for Possible Upgrade

Issuer: Prima Capital CRE Securitization 2020-VIII Ltd.

Cl. A, Affirmed Aaa (sf); previously on Jul 16, 2020 Assigned Aaa
(sf)

Cl. B, Upgraded to A1 (sf); previously on Nov 23, 2021 A3 (sf)
Placed Under Review for Possible Upgrade

Cl. C, Upgraded to Ba1 (sf); previously on Nov 23, 2021 Ba3 (sf)
Placed Under Review for Possible Upgrade

Issuer: Prima Capital CRE Securitization 2021-X Ltd.

Cl. A, Upgraded to Aa2 (sf); previously on Nov 23, 2021 Aa3 (sf)
Placed Under Review for Possible Upgrade

Cl. B, Confirmed at Baa3 (sf); previously on Nov 23, 2021 Baa3 (sf)
Placed Under Review for Possible Upgrade

Cl. C, Upgraded to B2 (sf); previously on Nov 23, 2021 B3 (sf)
Placed Under Review for Possible Upgrade

RATINGS RATIONALE

These actions conclude the review for upgrade initiated on November
23, 2021 on the Affected Credit Ratings as a result of the update
of the "US and Canadian Conduit/Fusion Commercial Mortgage-Backed
Securitizations Methodology" and "Large Loan and Single
Asset/Single Borrower Commercial Mortgage-Backed Securitizations
Methodology."

The actions are primarily the result of one or more underlying
obligors whose ratings or assessments were positively impacted
resulting in positive WARF migration. The affected obligors were
due primarily to changes to the CMBS SASB methodology.
Additionally, one or more underlying obligors exhibited positive
credit movement and/or amortization since the relevant Prima
transactions were placed on watch, which affected the model
results.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 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 trust advisor's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.

Together with the set of modeling assumptions, Moody's conducted an
additional sensitivity analysis, which was a component in
determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base-case.

Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment.


REALT 2016-1: Fitch Affirms 'B' Rating on Class G Certs
-------------------------------------------------------
Fitch Ratings has affirmed eight classes of Real Estate Asset
Liquidity Trust's (REAL-T) commercial mortgage pass-through
certificates series 2016-1 and revised the Outlook to Stable from
Negative on one class.

   DEBT               RATING           PRIOR
   ----               ------           -----
REAL-T 2016-1

A-1 75585RMW2   LT AAAsf   Affirmed    AAAsf
A-2 75585RMY8   LT AAAsf   Affirmed    AAAsf
B 75585RNC5     LT AAsf    Affirmed    AAsf
C 75585RNE1     LT Asf     Affirmed    Asf
D 75585RNG6     LT BBBsf   Affirmed    BBBsf
E 75585RNJ0     LT BBB-sf  Affirmed    BBB-sf
F 75585RNL5     LT BBsf    Affirmed    BBsf
G 75585RNM3     LT Bsf     Affirmed    Bsf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The overall pool
performance remains stable from issuance. There are no delinquent
or specially serviced loans. Three loans (15.3% of the pool have
been designated as Fitch Loans of Concern (FLOC) due to concerns
related to occupancy, scheduled tenant rollover, and lack of
updated financials. Fitch's current ratings incorporate a base case
loss of 3.30%. The revision of the Outlook on class G to Stable
reflects ongoing performance stabilization of many assets affected
by the pandemic.

Fitch Loans of Concern: Toronto Congress Center (6.4%), the second
largest loan in the pool and the largest FLOC, is a 471,268-sf
mixed use building, part of a larger convention and trade show
venue located in Toronto, ON, within close proximity to the Toronto
Pearson International Airport. The loan has been flagged as a FLOC
given performance metrics declined significantly during the
coronavirus pandemic. The 2020 YE NOI debt service coverage ratio
(DSCR) declined to 0.55x compared with 2.18x at YE 2019. The loan
did receive COVID-related relief in mid-2020 but has since paid
back the relief; the loan reported current throughout the pandemic.
The loan is now performing under the original issuance terms. Fitch
applied an additional 25% haircut to YE 2019 NOI to reflect current
underperformance of the asset and expectations for stabilization in
the coming year.

The second largest FLOC is Ste Catherine Street Retail Montreal
(5.6%), which consists of 35,219 sf of retail located in the center
of one of the major retail areas in Canada, with street frontage on
Rue de la Montagne and Rue Ste Catherine Ouest. Both tenants
formerly occupying the property, Forever 21 (86% of NRA) and Fossil
(14% of NRA) vacated prior to their scheduled lease expiration
dates in 2025 and 2023, respectively. According to the servicer,
the Forever 21 space was quickly backfilled with a month-to-month
lease for Ardene but according to web searches, it appears Ardene
is no longer occupying the space. Fitch has not received an up to
date rent roll to determine if any of the spaces have been
backfilled. Fitch modeled a loss of approximately 25% on the loan,
which reflects a 35% haircut to the YE 2019 NOI and is in-line with
Fitch's dark value analysis for the property.

The third largest FLOC is Skyline GSC Industrial Montreal (3.3%)
loan, which is secured by an industrial property located in
Saint-Jean-Sur-Richelieu, PQ. According to the subject's May 2020
rent roll, GSC Technologies has given back part of its space prior
to the lease's scheduled expiration in September 2030. The space
represented 25% of subject NRA and accounted for 25% of annual
gross rent. As of YE 2020, subject occupancy has fallen to 78% from
100% at issuance. An additional 20% of NRA is scheduled to rollover
in 2022. The loan is fully guaranteed by the sponsor, Skyline
Commercial REIT.

Increased Credit Enhancement: As of the February 2022 distribution
date, the pool's aggregate balance has been reduced by 25% to
$299.1 million, from $401.0 million at issuance. There are no
interest-only loans in the pool. At issuance, the pool was
scheduled to amortize 23.3% by maturity. Three loans representing
8.3% of the pool are scheduled to mature in 2022, and three loans
representing 4.9% of the pool are scheduled to mature in 2023.

Canadian Loan Attributes and Historical Performance: The ratings
reflect strong historical Canadian commercial real estate loan
performance, as well as positive loan attributes, such as short
amortization schedules, recourse to the borrower and additional
guarantors. Approximately 79.3% of the loans in the pool reflect
full or partial recourse.

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 rated
    'AAAsf' and 'AA-sf' are not likely due to the position in the
    capital structure, but may occur should interest shortfalls
    affect these classes or additional loans become FLOCs.

-- Downgrades to classes B and C are possible should the FLOCs
    incur greater than expected losses. Class D may be downgraded
    should loss expectations increase due to further performance
    decline for the FLOCs. Downgrades to classes E through G may
    occur if loans transfer to special servicing or risks
    associated with tenant rollover materialize or worsen.

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 and C would only occur with significant
    improvement in credit enhancement and/or defeasance and with
    the stabilization of performance on the FLOCs. Classes would
    not be upgraded above 'Asf' if there is a likelihood of
    interest shortfalls.

-- An upgrade of class D is not likely until the later years in
    the transaction and only if performance of the FLOCs have
    stabilized and the performance of the remaining pool is
    stable. Classes E through G are unlikely to be upgraded absent
    significant performance improvement for 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.


REGATTA XIX FUNDING: Moody's Assigns (P)B3 Rating to Class F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of notes to be issued by Regatta XIX Funding Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned (P)Aaa (sf)

US$20,000,000 Class A-F Senior Secured Fixed Rate Notes due 2035,
Assigned (P)Aaa (sf)

US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due
2035, Assigned (P)Aaa (sf)

US$50,000,000 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)

US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned (P)B3 (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.

Regatta XIX Funding Ltd. 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 and eligible investments, and up to 10% of
the portfolio may consist of second lien loans, unsecured loans,
bonds and senior secured notes. Moody's expect the portfolio to be
approximately 90% ramped as of the closing date.

Napier Park Global Capital (US) 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: 85

Weighted Average Rating Factor (WARF): 2800

Weighted Average Spread (WAS): SOFR + 3.50%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46.30%

Weighted Average Life (WAL): 8.0

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.


REGIONAL MANAGEMENT 2021-1: DBRS Gives Prov. BB Rating on D Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following notes to
be issued by Regional Management Issuance Trust 2022-1 (Regional):

-- $170,630,000 Class A at AAA (sf)
-- $37,040,000 Class B at A (sf)
-- $21,160,000 Class C at BBB (sf)
-- $21,170,000 Class D at BB (sf)

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected cumulative
net loss (CNL) includes an assessment of the expected impact on
consumer behavior. The DBRS Morningstar CNL assumption is 11.15%.

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

-- Transaction capital structure and form and sufficiency of
available credit enhancement.

-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund, and excess spread.
Credit enhancement levels are sufficient to support DBRS
Morningstar's stressed projected finance yield, principal payment
rate, and charge-off assumptions under various stress scenarios.

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

-- Regional's capabilities with regard to originations,
underwriting, and servicing.

-- DBRS Morningstar has performed an onsite operational review of
Regional and, as a result, considers the entity to be an acceptable
originator and servicer of unsecured personal loans with an
acceptable backup servicer.

-- Regional's senior management team has considerable experience
and a successful track record within the consumer loan industry.

-- Regional has remained consistently profitable since 2007.

-- In February 2018, Regional completed a system migration to
Nortridge, allowing for the implementation of custom scorecards for
all branches, which led to the ability to implement a hybrid
servicing model.

-- The credit quality of the collateral and performance of
Regional's consumer loan portfolio. DBRS Morningstar has used a
hybrid approach in analyzing the Regional portfolio that
incorporates elements of static pool analysis employed for assets,
such as consumer loans, and revolving asset analysis, employed for
assets such as credit card master trusts.

-- The weighted-average (WA) remaining term of the collateral pool
is approximately 38 months.

-- The WA coupon (WAC) of the pool is 30.00% and the transaction
includes a reinvestment criteria event that the WAC is less than
25.00%.

-- The DBRS Morningstar base-case assumption for the finance yield
is 25.00%.

-- DBRS Morningstar applied a finance yield haircut of 10.00% for
Class A, 6.00% for Class B, 4.00% for Class C, and 2.00% for Class
D. While these haircuts are lower than the range described in the
DBRS Morningstar "Rating U.S. Credit Card Asset-Backed Securities"
methodology, the fixed-rate nature of the underlying loans, lack of
interchange fees, and historical yield consistency support these
stressed assumptions.

-- Principal payment rates for Regional's portfolio, as estimated
by DBRS Morningstar, have generally averaged between 3.0% and 8.0%
over the past several years.

-- The DBRS Morningstar base-case assumption for the principal
payment rate is 3.13%. The Regional transaction has a higher
principal payment rate assumption compared with prior DBRS
Morningstar rated Regional transactions due to the inclusion of the
Small Loan and Convenience Check products in the transaction. These
two products tend to have higher prepayment speeds then the Large
Loan product.

-- DBRS Morningstar applied a payment rate haircut of 45.00% for
Class A, 35.00% for Class B, 30.00% for Class C, and 20.00% for
Class D.

-- Charge-off rates on the Regional portfolio have generally
ranged between 2.00% and 12.00% over the past several years.

-- The DBRS Morningstar base-case assumption for the default rate
is 11.15%.

-- Regional offers insurance products to customers that could
mitigate credit losses under certain circumstances; however, DBRS
Morningstar does not give recovery credit for this.

-- DBRS Morningstar has slightly decreased the base-case
charge-off assumption rate to 11.15% for the Regional
2022-1transaction, which contrasts with the charge-off rate of
11.50% for the Regional 2021-2 transaction.

-- The legal structure and presence of legal opinions that will
address the true sale of the assets from the Seller to the
Depositor, the nonconsolidation of the special-purpose vehicle with
the Seller, that the Indenture Trustee has a valid first-priority
security interest in the assets, and the consistency with the DBRS
Morningstar "Legal Criteria for U.S. Structured Finance"
methodology.

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



SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs
---------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2020-COVE issued by SG
Commercial Mortgage Securities Trust 2020-COVE as follows:

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

All trends are Stable. The rating confirmations reflect the overall
stable performance of the transaction.

The trust debt of $160.0 million is a pari passu participation in a
whole loan totaling $210.0 million. The loan has a five-year
interest-only term and is backed by a 283-unit Class A multifamily
property on 20 waterfront acres in Tiburon, Marin County,
California. The deal closed in March 2020 and the most recent
financial reporting is dated June 2021 with an annualized net cash
flow debt service coverage ratio of 1.48 times. The September 2021
rent roll indicated some stress to the property's occupancy rate,
which is reportedly because there were fewer than expected move-ins
following lease expirations. The property was 89.4% occupied as of
September 2021, down from 93.3% in June 2021 and 96% at issuance.
Despite challenges related to the pandemic, the subject property's
increasing rents, waterfront location, and superior amenity set
combined with Marin County's strong submarket fundamentals mitigate
what DBRS Morningstar expects to be a short-term decline in
occupancy.

The sponsor acquired the property in 2013 and subsequently invested
$50.4 million ($178,042 per unit) in extensive exterior, common
area, and in-unit renovations. Average rents have continued to
increase year over year. The property is in an irreplaceable
waterfront location in Marin County, with many units having
unobstructed views of the San Francisco skyline. Amenities include
a 52-slip boat marina, three pools, two spas, a playground, a
clubhouse, and a fitness center. Tenant services include on-site
fitness classes and a personal trainer, housekeeping, dry-cleaning,
firewood delivery, and package drop-off and pick-up. Downtown San
Francisco is directly across the bay from the property,
approximately 14 miles by car or 30 minutes by ferry. The supply of
multifamily properties is limited in the immediate area, given the
lack of vacant land and environmental constraints on further
development. Submarket vacancy has historically been low.

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



SIERRA TIMESHARE 2022-1: Fitch Gives 'BB(EXP)' Rating to D Notes
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
notes issued by Sierra Timeshare 2022-1 Receivables Funding LLC
(2022-1).

DEBT            RATING
----            ------
Sierra Timeshare 2022-1 Receivables Funding LLC

A    LT AAA(EXP)sf  Expected Rating
B    LT A(EXP)sf    Expected Rating
C    LT BBB(EXP)sf  Expected Rating
D    LT BB(EXP)sf   Expected Rating

KEY RATING DRIVERS

Borrower Risk - Shifted Collateral Composition: Approximately 70.1%
of Sierra 2022-1 consists of WVRI originated loans; the remainder
of the pool comprises WRDC loans. Fitch has determined that, on a
like-for-like FICO basis, WRDC's receivables perform better than
WVRI's. The weighted average (WA) original FICO score of the pool
is 729. Compared to the prior transaction (2021-2), the 2022-1 pool
is weaker, with an increase in WVRI loans and shift downward in the
FICO band concentrations for the WVRI platform.

Additional Driver 1

Forward-Looking Approach on Cumulative Gross Default (CGD) Proxy -
Increasing CGD Performance: Similar to other timeshare originators,
Travel+Leisure Co.'s (T+L) delinquency and default performance
exhibited notable increases in the 2007-2008 vintages, stabilizing
in 2009 and thereafter. However, more recent vintages, from
2014-2019, have begun to show increasing gross defaults versus
vintages dating to 2009, partially driven by increased paid product
exits. Fitch's CGD proxy for this pool is 22.25% (higher than
21.50% for 2021-2). Given the current economic environment and
consistent with the prior transaction, Fitch used proxy vintages
that reflect recessionary periods along with recent worse
performance, specifically 2007-2009 and 2016-2018.

Structural Analysis - Deal-over-Deal Lower Credit Enhancement (CE)
Structure: Initial hard CE for the class A, B, C and D notes is
71.0%, 42.2%, 19.0% and 4.50%, respectively. CE is higher for the
class A through C notes relative to 2021-2 and remains above
pre-pandemic transactions. Hard CE comprises overcollateralization
(OC), a reserve account and subordination. Soft CE is also provided
by excess spread and is expected to be 10.3% per annum. Loss
coverage for all notes is able to support default multiples of
3.50x, 2.50x, 1.75x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and
'BBsf', respectively.

Originator/Seller/Servicer Operational Review - Quality of
Origination/Servicing: T+L has demonstrated sufficient abilities as
an originator and servicer of timeshare loans. This is evidenced by
the historical delinquency and loss performance of securitized
trusts and of the managed portfolio.

Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of T+L and Wyndham Consumer
Finance, Inc. (WCF) would not impair the timeliness of payments on
the securities.

RATING SENSITIVITIES

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

-- Unanticipated increases in the frequency of defaults could
    produce CGD levels higher than the base case and would likely
    result in declines of CE and remaining default coverage levels
    available to the notes. Additionally, unanticipated increases
    in prepayment activity could also result in a decline in
    coverage. Decreased default coverage may make certain note
    ratings susceptible to potential negative rating actions,
    depending on the extent of the decline in coverage.

-- Hence, Fitch conducts sensitivity analyses by stressing both a
    transaction's initial base case CGD and prepayment assumptions
    and examining the rating implications on all classes of issued
    notes. The CGD sensitivity stresses the CGD proxy to the level
    necessary to reduce each rating by one full category, to non
    investment grade (BBsf) and to 'CCCsf' based on the break-even
    loss coverage provided by the CE structure.

-- The prepayment sensitivity includes 1.5x and 2.0x increases to
    the prepayment assumptions, representing moderate and severe
    stresses, respectively. These analyses are intended to provide
    an indication of the rating sensitivity of notes to unexpected
    deterioration of a trust's performance.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE levels
    and consideration for potential upgrades. If CGD is 20% less
    than the projected proxy, the expected ratings would be
    maintained for class A notes at stronger rating multiples. For
    the class B, C and D notes, the multiples would increase
    resulting for potential upgrade of one rating category, one
    notch, and one rating category, respectively.

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.


SIERRA TIMESHARE 2022-1: S&P Assigns Prelim BB Rating on D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sierra
Timeshare 2022-1 Receivables Funding LLC's timeshare loan-backed,
fixed-rate notes.

The note issuance is an ABS securitization backed by vacation
ownership interest loans.

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

The preliminary ratings reflect S&P's view of the credit
enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread. The preliminary ratings also reflect its view of Wyndham
Consumer Finance Inc.'s servicing ability and experience in the
timeshare market.

  Preliminary Ratings Assigned

  Sierra Timeshare 2022-1 Receivables Funding LLC

  Class A, $88.394 million: AAA (sf)
  Class B, $80.816 million: A (sf)
  Class C, $65.102 million: BBB (sf)
  Class D, $40.688 million: BB (sf)



SIERRA TIMESHARE: Fitch Affirms 31 Tranches From 8 Trusts
---------------------------------------------------------
Fitch Ratings has affirmed the ratings of Sierra Timeshare
Receivables Funding Trust series 2018-2, 2018-3, 2019-1, 2019-2,
2019-3, 2020-2, 2021-1 and 2021-2. The Rating Outlooks on all
classes remain Stable.

   DEBT            RATING           PRIOR
   ----            ------           -----
Sierra Timeshare 2019-1 Receivables Funding LLC

A 82653EAA5   LT AAAsf  Affirmed    AAAsf
B 82653EAB3   LT Asf    Affirmed    Asf
C 82653EAC1   LT BBBsf  Affirmed    BBBsf
D 82653EAD9   LT BBsf   Affirmed    BBsf

Sierra Timeshare 2018-3 Receivables Funding LLC

A 82653GAA0   LT AAAsf  Affirmed    AAAsf
B 82653GAB8   LT Asf    Affirmed    Asf
C 82653GAC6   LT BBBsf  Affirmed    BBBsf
D 82653GAD4   LT BBsf   Affirmed    BBsf

Sierra Timeshare 2020-2 Receivables Funding LLC

A 826525AA5   LT AAAsf  Affirmed    AAAsf
B 826525AB3   LT Asf    Affirmed    Asf
C 826525AC1   LT BBBsf  Affirmed    BBBsf
D 826525AD9   LT BBsf   Affirmed    BBsf

Sierra Timeshare 2021-1 Receivables Funding LLC

A 82652QAA9   LT AAAsf  Affirmed    AAAsf
B 82652QAB7   LT Asf    Affirmed    Asf
C 82652QAC5   LT BBBsf  Affirmed    BBBsf
D 82652QAD3   LT BBsf   Affirmed    BBsf

Sierra Timeshare 2018-2 Receivables Funding LLC

A 82653DAA7   LT AAAsf  Affirmed    AAAsf
B 82653DAB5   LT Asf    Affirmed    Asf
C 82653DAC3   LT BBBsf  Affirmed    BBBsf

Sierra Timeshare 2019-3 Receivables Funding LLC

A 82652NAA6   LT AAAsf  Affirmed    AAAsf
B 82652NAB4   LT Asf    Affirmed    Asf
C 82652NAC2   LT BBBsf  Affirmed    BBBsf
D 82652NAD0   LT BBsf   Affirmed    BBsf

Sierra Timeshare 2021-2 Receivables Funding LLC

A 82652RAA7   LT AAAsf  Affirmed    AAAsf
B 82652RAB5   LT Asf    Affirmed    Asf
C 82652RAC3   LT BBBsf  Affirmed    BBBsf
D 82652RAD1   LT BBsf   Affirmed    BBsf

Sierra Timeshare 2019-2 Receivables Funding LLC

A 82652MAA8   LT AAAsf  Affirmed    AAAsf
B 82652MAB6   LT Asf    Affirmed    Asf
C 82652MAC4   LT BBBsf  Affirmed    BBBsf
D 82652MAD2   LT BBsf   Affirmed    BBsf

KEY RATING DRIVERS

The affirmation of the class A, B, C (when applicable), and D (when
applicable) notes, for each transaction, reflect loss coverage
levels consistent with their current ratings. The Stable Outlooks
for all classes of notes reflects Fitch's expectation that loss
coverage levels will remain supportive of these ratings.

To date, transactions preceding 2020-2 have performed weaker than
Fitch's initial expectations, while later transactions are
performing slightly better than initial expectations. As of the
January 2022 collection period, the 61+ day delinquency rates for
2018-2, 2018-3, 2019-1, 2019-2, 2019-3, 2020-2, 2021-1, and 2021-2
are 1.62%, 2.21%, 2.12%, 1.88%, 2.42%, 2.10%, 2.37%, and 2.35%,
respectively.

Cumulative gross defaults (CGD's) are currently at 20.81%, 21.61%,
20.08%, 20.29%, 19.66%, 10.96%, 7.05%, and 1.78%, respectively.
Transactions 2018-2, 2018-3, 2019-1, 2019-2, and 2019-3 are
tracking above their initial bases cases of 19.30%, 19.40%, 19.40%,
19.40%, and 19.45% respectively.

Transactions 2020-2, 2021-1, and 2021-2 are tracking below their
initial base cases of 22.50%, 22.40%, and 21.50%, respectively. Due
to optional repurchases by the seller, none of the transactions
have experienced a net loss to date. Overall asset performance
within the Sierra portfolio have demonstrated stable to improving
trends over the past several months as the U.S. economy has
improved and demand for travel/tourism has rebounded to
pre-pandemic levels.

To account for recent performance, Fitch is maintaining the
lifetime CGD proxy at 22.00%, 23.75%, 23.00, 24.00%, and 24.50% for
2018-2, 2018-3, 2019-1, 2019-2, and 2019-3, respectively. The
proxies for this review were maintained due to the stable to
improving recent default trends. The CGD proxies for 2020-2 and
2021-1 were both revised to 21.00% given their better than expected
performance. The lifetime proxy of 21.50% for 2021-2 was not
changed given it has only been outstanding for four months. The
sensitivity of the ratings to scenarios more severe than currently
expected is provided in the Rating Sensitivities section below.

Under Fitch's stressed cash flow assumptions, loss coverage for the
2018-2 class A, B, and C notes are able to supports multiples in
excess of 3.50x, 2.50x, and 1.75x for 'AAAsf', 'Asf, and 'BBBsf'.
Loss coverage for the 2018-3, 2019-1, 2019-2, 2019-3, 2020-2,
2021-2 class A, B, C, and D notes are able to support multiple in
excess of 3.50x, 2.50x, 1.75x, and 1.25x for 'AAAsf', 'Asf,
'BBBsf', and 'BBsf'. Loss coverage for the 2021-1 class A, B, C and
D notes is slightly below the 3.50x, 2.50x and 1.75x multiple for
'AAAsf', AAsf, 'BBBsf', and 'BBsf', respectively. The shortfall is
considered marginal and in within the range of the multiples for
the current rating.

Loss coverage for the 2021-1 class A, B, C and D notes is slightly
below the 3.50x, 2.50x and 1.75x multiple for 'AAAsf', AAsf,
'BBBsf', and 'BBsf', respectively. The shortfall noted above are
considered marginal and in within the range of the multiples for
the current rating.

The ratings also reflect the quality of T+L timeshare receivable
originations, the sound financial and legal structure of the
transactions, and the strength of the servicing provided by Wyndham
Consumer Finance, Inc. Fitch will continue to monitor economic
conditions and their impact as they relate to timeshare
asset-backed securities and the trust level performance variables
and update the ratings accordingly.

RATING SENSITIVITIES

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

-- Unanticipated increases in the frequency of defaults could
    produce default levels higher than the current projected base
    case default proxy, and impact available loss coverage and
    multiples levels for the transaction;

-- Weakening asset performance is strongly correlated to
    increasing levels of delinquencies and defaults that could
    negatively affect CE levels. Lower loss coverage could impact
    ratings and Rating Outlooks, depending on the extent of the
    decline in coverage.

-- In Fitch's initial review of the transactions, the notes were
    found to have limited sensitivity to a 1.5x and 2.0x increase
    of Fitch's base case loss expectation. For this review, Fitch
    updated the analysis of the impact of a 2.0x increase of the
    base case loss expectation and the results suggest consistent
    ratings for the outstanding notes and in the event of such a
    stress, these notes could be downgraded by up to three rating
    categories.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE levels
    and consideration for potential upgrades. Fitch applied an up
    sensitivity, by reducing the base case proxy by 20%. The
    impact of reducing the proxies by 20% from the current proxies
    could result in up to three categories of upgrades or
    affirmations of ratings with stronger multiples.

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.


STWD 2022-FL3: DBRS Finalizes B(low) Rating on Class G Notes
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by STWD 2022-FL3, Ltd:

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

Additionally, DBRS Morningstar assigned new ratings to the
following classes of notes:

-- Class E-E at BBB (low) (sf)
-- Class E-X at BBB (low) (sf)
-- Class F-E at BB (low) (sf)
-- Class F-X at BB (low) (sf)
-- Class G-E at B (low) (sf)
-- Class G-X at B (low) (sf)

All trends are Stable.

DBRS Morningstar analyzed the pool to determine the ratings,
reflecting the long-term risk that the Issuer will default and fail
to satisfy its financial obligations in accordance with the terms
of the transaction. The trust's initial collateral consists of 24
floating-rate mortgage loans secured by 36 mostly transitional real
estate properties, with a cut-off date pool balance totaling $1.0
billion (participation of $3.0 billion whole loan cut-off date
balance). The loans in the trust have approximately $188.9 million
of future funding commitments that can be acquired into the trust
subject to eligibility and replenishment criteria. The initial pool
includes eight combination loans, made up of a senior loan and
related mezzanine loan.

The 24-month reinvestment period allows the Issuer (as directed by
the Collateral Manager) to acquire whole loans and future fundings
participations. The future funding participations are subject to
eligibility criteria, acquisition criteria, acquisition and
disposition requirements and replenishment criteria, which, among
other things, have a minimum debt service coverage ratio (DSCR) and
loan-to-value ratio (LTV) for each respective property type,
Herfindahl score greater than or equal to 14.0, loan size
limitations, and property type concentration limits. The
eligibility criteria stipulates the receipt of a No Downgrade
Confirmation from DBRS Morningstar on reinvestment loans (except in
the case of the acquisition of companion participations if a
portion of the underlying loan is already included in the pool and
less than $1,000,000). The No Downgrade Confirmation allows DBRS
Morningstar to review the new collateral interest and any potential
impact on the overall ratings. The transaction does not include a
ramp-up period and all loans as of the Closing Date are closed. The
transaction will have a sequential-pay structure whereby interest
and principal payments will be prioritized in order of note
seniority. In the event that a note protection test is not
satisfied, payments that would have otherwise been applied to the
Class F and G Notes (Retained Notes) will instead be redirected to
redeem the Offered Notes until the note protection tests are
satisfied. Interest may also be deferred for Class C Notes (Offered
Note), Class D Notes (Offered Note), Class E Notes (Offered Note),
Class F Notes (Retained Note), and Class G Notes (Retained Note).

All of the loans in the pool have floating interest rates initially
indexed to Libor and are interest only (IO) through their initial
and extended terms. As such, to determine a stressed interest rate
over the loan term, DBRS Morningstar took the contractual loan
spread and added the lower of DBRS Morningstar's stressed rates
that corresponded to the remaining fully extended term of the loans
and the strike price of the interest rate cap.

The credit metrics of the pool are generally stronger than most of
the recent commercial real estate collateralized loan obligation
(CRE CLO) transactions DBRS Morningstar has rated. However, the
pool has a relatively large office property concentration (28.6% of
pool balance) and low average stabilized DSCR of 1.13 times (x),
with 31.3% of all loans in the pool at or below a stabilized DSCR
of 1.00x. The properties are often transitional with potential
upside in cash flow. However, DBRS Morningstar does not give full
credit to the stabilization if there are no holdbacks or if other
loan structural features are insufficient to support such
treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets will stabilize
above market levels.

The pool reflects a weighted-average (WA) DBRS Morningstar Market
Rank of 5.42, indicative of a higher concentration of properties in
dense urban markets, which generally experience lower a probability
of default (POD) and loss given default (LDG). The historical
commercial mortgage-backed securities (CMBS) conduit loan data
shows that POD increases in middle markets (Market Rank 3 or 4);
moderates in tertiary and rural markets (Market Rank 1 or 2); and
greatly improves in primary urban markets (Market Rank 6, 7, or 8).
Historical loan data has shown that LGD increases in tertiary and
rural markets, and the lowest LGDs were noted in Market Rank 8.
Eighteen loans, representing 75.6% of the total pool balance, fall
into Market Rank 5 or higher, resulting in a decreased POD and LGD,
and two loans (12 Metrotech Center and Anthem Row), representing
12.1% of the total pool balance, fall into Market Rank 8, the
strongest markets in the country. Additionally, 43.1% of loans are
concentrated in MSA Group 3, which represents the best-performing
metropolitan statistical areas (MSAs) nationally. When compared
with recently rated CRE CLO transactions, this pool exhibits some
of the highest Market Ranks and largest concentrations of loans in
MSA Group 3.
The DBRS Morningstar WA Stabilized LTV is 66.4%. This credit metric
compares favorably with the LTVs of recent CRE CLO transactions
that DBRS Morningstar has rated, resulting in lower loan level PODs
and LGDs. The WA in-place LTV of 72.1% is also quite low compared
with those of recent CRE CLO transactions.

The pool exhibits a DBRS Morningstar WA Business Plan Score (BPS)
of 2.06, which is lower than those of recent CRE CLO transactions
DBRS Morningstar has rated. The low DBRS Morningstar BPS indicates
that borrowers have the necessary funds to achieve their business
plans, proper loan structures, and adequate upside cash flow
potential. The DBRS Morningstar BPS also shows that many properties
in the pool are near stabilization or have achieved the proposed
stabilized operations.

All loans in the pool were modeled with Average property quality or
higher and three loans, representing 13.2% of the pool balance,
were modeled with Excellent property quality. These property
quality metrics are considerably better than most recent CRE CLO
transactions. Given that the majority of these properties are
transitional, the property quality for the collateral is expected
to further improve upon the successful completion of their business
plans.

Starwood is a leading diversified real estate finance company with
more than $21 billion in undepreciated assets, focusing on the
origination, acquisition, financing, and management of real estate
and infrastructure investments. The sponsor has roughly $100
billion in assets under management. Over the last 30 years, the
sponsor has acquired more than $195 billion in real estate assets
across almost all property types. The sponsor's leadership team has
an average of 29 years in the CRE industry individually. Starwood
has completed one CRE CLO securitization with DBRS Morningstar
(formerly DBRS, Inc.): STWD 2019-FL1. Starwood, as the retention
holder, is anticipated to acquire and retain at least 100% of the
Class F Notes, Class G Notes, and Preferred Shares, totaling $157.5
million or 15.75% of the pool.

Six loans, representing 20.1% of the pool balance, were originated
in 2020 or earlier. Four loans, representing 14.1% of the pool,
were originated in 2019 or earlier. The majority of these loans are
office properties and have a DBRS Morningstar BPS above the pool
average. While most of these loans are nearing maturity, only one
loan, 700 Louisiana and 600 Prairie Street, requested any form of
forbearance. The loan maturity was extended and reserves were
allowed to be used for shortfalls in exchange for an additional
equity contribution. 700 Louisiana and 600 Prairie Street, along
with all other loans in the pool, are current on debt service
payments as of the Closing Date. Two of the six properties were
modeled with Strong sponsor strength, indicating the sponsor has
the finance strength and real estate expertise to complete their
business plan in a timely basis and secure future financing.
Additionally, the average DBRS Morningstar Market Rank across the
six properties is 5.33, reflecting a decreased POD and LGD to
potentially offset the risk of dated origination.

Seven loans, representing 28.6% of the pool balance, are backed by
office properties and, as a result of the eligibility criteria
during the reinvestment period, the office component could shift up
to 60.0% of the pool. Office properties have historically had
elevated POD risk compared with other asset classes and have
suffered considerable disruptions as a result of the coronavirus
pandemic with mandatory closures and work-from-home strategies. The
office properties exhibit an average Market Rank of 6.43, well
above the pool average and generally higher than observed in recent
CRE CLO transactions. The office properties also have a combined WA
expected loss lower than the pool average, indicating that the loan
metrics excluding property type are generally strong. Office
properties are subject to eligibility criteria, including a maximum
as-stabilized LTV of 75.0% and a stabilized net cash flow (NCF)
DSCR of not less than 1.25x.

The transaction is managed and includes a reinvestment period,
which could result in negative credit migration and/or an increased
concentration profile over the life of the transaction. The risk of
negative migration is partially offset by eligibility criteria
(detailed in the transaction documents) that outline DSCR, LTV,
Herfindahl score minimum, property type, and loan size limitations
for reinvestment assets. New reinvestment loans and companion
participations of $1,000,000 or greater require a No Downgrade
Confirmation from DBRS Morningstar. DBRS Morningstar will analyze
these loans for potential impacts on ratings. Deal reporting also
includes standard monthly CREFC reporting and quarterly updates.
DBRS Morningstar will monitor this transaction on a regular basis.
DBRS Morningstar performed a paydown analysis which simulated low
expected loss loans paying off and increasing loan balances for
high expected loss loans with future fundings (subject to the RAC
dollar amount).

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar sampled a large portion of the loans,
representing 78.5% of the pool cut-off date balance. Nine physical
site inspections, all of which sites were in the top 10, were also
performed, including meetings with management. The transaction's
DBRS Morningstar WA BPS of 2.06 is generally on the low end of the
range of those of CRE CLO transactions recently rated by DBRS
Morningstar. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan rational and the loan structure sufficient to execute
such plans. In addition, DBRS Morningstar analyzes LGD based on the
as-is credit metrics, assuming the loan is fully funded with no NCF
or value upside. Future Funding companion participations have been
structured to provide the sponsor with sufficient funds to execute
the business plan. Affiliates of Starwood will hold the future
funding companion participations and have the obligation to make
future advances. Starwood agrees to indemnify the Issuer against
losses arising out of the failure to make future advances when
required under the related participated loan. Furthermore, Starwood
will be required to meet certain segregated liquidity requirements
on a quarterly basis.

The eligibility criteria allow for a maximum stabilized LTV of
80.0% on multifamily loans; 75.0% on loans for office, industrial,
retail, and mixed-use properties; and 70.0% on loans for
hospitality properties. The higher maximum leverage is considerably
more aggressive than the current pool's as-stabilized WA LTV of
66.4%. The current pool has favorable LTV metrics compared with
previously rated Starwood transactions. The WA as-is and stabilized
LTVs in the STWD 2019-FL1 transaction were 76.8% and 65.3%,
respectively. Before the collateral manager can acquire new loans,
those loans will be subject to a No Downgrade Confirmation by DBRS
Morningstar. DBRS Morningstar lowered the stabilized value on 10
loans, representing 41.8% of the pool, for modeling purposes,
further stressing the modeled LTVs.

All 24 loans have floating interest rates and original terms of 24
months to 66 months, which create interest rate risk. All loans are
IO throughout the original term and through extension options. All
loans are short-term loans and, even with extension options, they
have a fully extended maximum loan term of 36 to 76 months. For the
floating-rate loans, DBRS Morningstar used the one-month Libor
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. The borrowers of 12 of the loans
in the pool, representing 52.9%, have purchased interest rate
caps.

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



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

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

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

The preliminary ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  Symphony CLO XXXI Ltd./Symphony CLO XXXI LLC

  Class X, $1.25 million: AAA (sf)
  Class A, $310.00 million: AAA (sf)
  Class B, $70.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $45.20 million: Not rated



TOWD POINT 2019-4: Moody's Hikes Ratings on 3 Tranches to Ba1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 117 tranches
from 25 transactions issued by Towd Point Mortgage Trust between
2015 and 2019.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL).

A List of Affected Credit Ratings is available at
https://bit.ly/3tjajnS

The complete rating actions are as follows:

Issuer: Towd Point Mortgage Trust 2015-1

Cl. A, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to
Aa2 (sf)

Cl. A6, Upgraded to Aa1 (sf); previously on Jun 15, 2021 Upgraded
to Aa3 (sf)

Cl. AE11, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. AE12, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. AE13, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. AE14, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B1, Upgraded to Baa3 (sf); previously on Jun 15, 2021 Upgraded
to Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2015-2

Cl. 1-B2, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. 1-B3, Upgraded to Baa3 (sf); previously on Jun 15, 2021
Upgraded to Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2015-3

Cl. B1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B3, Upgraded to Baa3 (sf); previously on Jun 15, 2021 Upgraded
to Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2015-4

Cl. B2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to Aa3 (sf)

Cl. B3, Upgraded to Ba1 (sf); previously on Jun 15, 2021 Upgraded
to B1 (sf)

Issuer: Towd Point Mortgage Trust 2015-5

Cl. B2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to A1 (sf)

Cl. B3, Upgraded to Ba3 (sf); previously on Jun 15, 2021 Upgraded
to B2 (sf)

Issuer: Towd Point Mortgage Trust 2015-6

Cl. B1, Upgraded to Aa1 (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B2, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B3, Upgraded to B2 (sf); previously on Feb 7, 2020 Assigned
Caa1 (sf)

Issuer: Towd Point Mortgage Trust 2016-1

Cl. B1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa1 (sf)

Cl. B2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to A1 (sf)

Cl. B3, Upgraded to Ba1 (sf); previously on Jun 15, 2021 Upgraded
to Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2016-2

Cl. B1, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to Aa3 (sf)

Cl. B2, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A3 (sf)

Cl. B3, Upgraded to B2 (sf); previously on Jan 16, 2020 Upgraded to
Caa2 (sf)

Issuer: Towd Point Mortgage Trust 2016-3

Cl. B1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B2, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B3, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded
to Baa3 (sf)

Cl. B4, Upgraded to Caa2 (sf); previously on Feb 7, 2020 Assigned
Caa3 (sf)

Issuer: Towd Point Mortgage Trust 2016-4

Cl. B1, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to Aa3 (sf)

Cl. B2, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B3, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to
Baa1 (sf)

Cl. B4, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed
at B3 (sf)

Issuer: Towd Point Mortgage Trust 2016-5

Cl. M2, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B1, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B2, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded
to Baa3 (sf)

Cl. B3, Upgraded to Baa3 (sf); previously on Jun 15, 2021 Upgraded
to Ba3 (sf)

Cl. B4, Upgraded to Caa3 (sf); previously on Feb 7, 2020 Assigned
Ca (sf)

Issuer: Towd Point Mortgage Trust 2017-1

Cl. M2, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. M2A, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. M2B, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B1, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B2, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed
at Baa3 (sf)

Cl. B3, Upgraded to Ba1 (sf); previously on Jun 15, 2021 Upgraded
to B1 (sf)

Cl. X5*, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. X6*, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Issuer: Towd Point Mortgage Trust 2017-2

Cl. M2, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa1 (sf)

Cl. B1, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B2, Upgraded to Baa1 (sf); previously on Feb 7, 2020 Assigned
Baa3 (sf)

Cl. B3, Upgraded to Baa3 (sf); previously on Jun 15, 2021 Upgraded
to Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2017-3

Cl. B1, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to
Baa1 (sf)

Cl. B2, Upgraded to Baa2 (sf); previously on Jun 15, 2021 Upgraded
to Ba1 (sf)

Cl. B3, Upgraded to B2 (sf); previously on Feb 7, 2020 Assigned
Caa1 (sf)

Cl. M2, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A1 (sf)

Issuer: Towd Point Mortgage Trust 2017-5

Cl. M2, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B1, Upgraded to Aa3 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B2, Upgraded to A3 (sf); previously on Jan 16, 2020 Upgraded to
Baa2 (sf)

Cl. B3, Upgraded to Baa3 (sf); previously on Jun 15, 2021 Upgraded
to Ba1 (sf)

Issuer: Towd Point Mortgage Trust 2017-6

Cl. A4, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa1 (sf)

Cl. B1, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed
at Baa3 (sf)

Cl. B2, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded
to Ba1 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Issuer: Towd Point Mortgage Trust 2018-1

Cl. A4, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa3 (sf)

Cl. M2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to A2 (sf)

Cl. B1, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to
Baa2 (sf)

Cl. B2, Upgraded to Baa3 (sf); previously on Jun 15, 2021 Upgraded
to Ba2 (sf)

Cl. B3, Upgraded to B1 (sf); previously on Feb 7, 2020 Assigned
Caa1 (sf)

Issuer: Towd Point Mortgage Trust 2018-2

Cl. A2, Upgraded to Aaa (sf); previously on May 31, 2018 Definitive
Rating Assigned Aa2 (sf)

Cl. A3, Upgraded to Aaa (sf); previously on May 31, 2018 Definitive
Rating Assigned Aa1 (sf)

Cl. A4, Upgraded to Aa1 (sf); previously on May 31, 2018 Definitive
Rating Assigned A1 (sf)

Cl. M1, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded
to A2 (sf)

Cl. M2, Upgraded to A3 (sf); previously on May 31, 2018 Definitive
Rating Assigned Baa3 (sf)

Issuer: Towd Point Mortgage Trust 2018-5

Cl. A1, Upgraded to Aaa (sf); previously on Feb 7, 2020 Assigned
Aa1 (sf)

Cl. A2, Upgraded to Aa3 (sf); previously on Feb 7, 2020 Assigned A2
(sf)

Cl. A3, Upgraded to Aa2 (sf); previously on Feb 7, 2020 Assigned A1
(sf)

Cl. A4, Upgraded to A1 (sf); previously on Feb 7, 2020 Assigned A3
(sf)

Cl. A1B, Upgraded to Aaa (sf); previously on Feb 7, 2020 Assigned
Aa2 (sf)

Cl. M1, Upgraded to A3 (sf); previously on Feb 7, 2020 Assigned
Baa3 (sf)

Issuer: Towd Point Mortgage Trust 2018-6

Cl. A1, Upgraded to Aaa (sf); previously on Feb 7, 2020 Assigned
Aa1 (sf)

Cl. A1B, Upgraded to Aaa (sf); previously on Feb 7, 2020 Assigned
Aa2 (sf)

Cl. A2, Upgraded to Aa3 (sf); previously on Feb 7, 2020 Assigned A3
(sf)

Cl. A3, Upgraded to Aa2 (sf); previously on Feb 7, 2020 Assigned A1
(sf)

Cl. A4, Upgraded to A1 (sf); previously on Feb 7, 2020 Assigned A3
(sf)

Cl. M1, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed
at Baa3 (sf)

Issuer: Towd Point Mortgage Trust 2019-1

Cl. A1, Upgraded to Aaa (sf); previously on Feb 7, 2020 Assigned
Aa1 (sf)

Cl. A2, Upgraded to A1 (sf); previously on Feb 7, 2020 Assigned A3
(sf)

Cl. A3, Upgraded to Aa3 (sf); previously on Feb 7, 2020 Assigned A1
(sf)

Issuer: Towd Point Mortgage Trust 2019-4

Cl. A2, Upgraded to Aaa (sf); previously on Nov 8, 2019 Definitive
Rating Assigned Aa2 (sf)

Cl. A2A, Upgraded to Aaa (sf); previously on Nov 8, 2019 Definitive
Rating Assigned Aa2 (sf)

Cl. A2B, Upgraded to Aaa (sf); previously on Nov 8, 2019 Definitive
Rating Assigned Aa2 (sf)

Cl. A3, Upgraded to Aaa (sf); previously on Nov 8, 2019 Definitive
Rating Assigned Aa1 (sf)

Cl. A4, Upgraded to Aa2 (sf); previously on Nov 8, 2019 Definitive
Rating Assigned A1 (sf)

Cl. A5, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed
at Baa1 (sf)

Cl. B1, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed
at Ba3 (sf)

Cl. B1A, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed
at Ba3 (sf)

Cl. B1B, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed
at Ba3 (sf)

Cl. B2, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed
at B3 (sf)

Cl. M1, Upgraded to A1 (sf); previously on Nov 8, 2019 Definitive
Rating Assigned A3 (sf)

Cl. M1A, Upgraded to A1 (sf); previously on Nov 8, 2019 Definitive
Rating Assigned A3 (sf)

Cl. M1B, Upgraded to A1 (sf); previously on Nov 8, 2019 Definitive
Rating Assigned A3 (sf)

Issuer: Towd Point Mortgage Trust 2019-HY1

Cl. A4, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded
to A3 (sf)

Cl. B1, Upgraded to A3 (sf); previously on Feb 28, 2019 Definitive
Rating Assigned Baa3 (sf)

Cl. B2, Upgraded to Ba1 (sf); previously on Feb 28, 2019 Definitive
Rating Assigned B1 (sf)

Issuer: Towd Point Mortgage Trust 2019-HY2

Cl. A4, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. B1, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded
to Baa3 (sf)

Cl. B2, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed
at B1 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to A1 (sf); previously on Jun 15, 2021 Upgraded to
A3 (sf)

Issuer: Towd Point Mortgage Trust 2019-HY3

Cl. A2, Upgraded to Aaa (sf); previously on Oct 31, 2019 Definitive
Rating Assigned Aa2 (sf)

Cl. A3, Upgraded to Aaa (sf); previously on Oct 31, 2019 Definitive
Rating Assigned Aa1 (sf)

Cl. A4, Upgraded to Aa2 (sf); previously on Oct 31, 2019 Definitive
Rating Assigned A1 (sf)

Cl. M1, Upgraded to Aa2 (sf); previously on Oct 31, 2019 Definitive
Rating Assigned A1 (sf)

Cl. M2, Upgraded to Baa1 (sf); previously on Oct 31, 2019
Definitive Rating Assigned Baa3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increase in the level of credit
enhancement available to these bonds due to higher prepayment
rates, which have averaged between 14% and 25% approximately, in
the last 12 months. The rating action also reflects Moody's updated
loss expectations on the underlying pools.

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, but have declined from peak
levels observed in 2020. 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 3% and 9% among RMBS
RPL transactions. 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. Moody's also considered a
scenario where the population of non-cashflowing loans default with
higher roll rates.

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.

Given the lack of servicer advancing, an elevated percentage of
non-cash flowing loans related to borrowers enrolled in payment
relief programs can result in interest shortfalls, especially on
the junior bonds. However, the risk of incurring such interest
shortfalls has reduced since the proportion of non-cash flowing
loans has decreased from the June 2020 peak. Furthermore, based on
transaction documents, reimbursement of missed interest on the more
senior notes has a higher priority than even scheduled interest
payments on the more subordinate notes. Based on this interest
reimbursement feature, along with declining levels of borrowers
enrolled in payment relief plans, Moody's expect any such interest
shortfalls incurred to be temporary and fully reimbursed over the
subsequent months. None of the tranches in the rating action have
any interest shortfalls outstanding currently.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicers.

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 methodologies used in rating all classes except interest-only
classes were "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.


TOWD POINT 2022-SJ1: Fitch Gives 'B-(EXP)' Rating to 9 Tranches
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2022-SJ1 (TPMT 2022-SJ1).

DEBT               RATING
----               ------
TPMT 2022-SJ1

A1     LT AAA(EXP)sf   Expected Rating
A2     LT AA-(EXP)sf   Expected Rating
M1     LT A-(EXP)sf    Expected Rating
M2     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
B4     LT NR(EXP)sf    Expected Rating
B5     LT NR(EXP)sf    Expected Rating
A1A    LT AAA(EXP)sf   Expected Rating
A1AX   LT AAA(EXP)sf   Expected Rating
A1B    LT AAA(EXP)sf   Expected Rating
A1BX   LT AAA(EXP)sf   Expected Rating
A1C    LT AAA(EXP)sf   Expected Rating
A1CX   LT AAA(EXP)sf   Expected Rating
A1D    LT AAA(EXP)sf   Expected Rating
A1DX   LT AAA(EXP)sf   Expected Rating
A2A    LT AA-(EXP)sf   Expected Rating
A2AX   LT AA-(EXP)sf   Expected Rating
A2B    LT AA-(EXP)sf   Expected Rating
A2BX   LT AA-(EXP)sf   Expected Rating
A2C    LT AA-(EXP)sf   Expected Rating
A2CX   LT AA-(EXP)sf   Expected Rating
A2D    LT AA-(EXP)sf   Expected Rating
A2DX   LT AA-(EXP)sf   Expected Rating
A3     LT AA-(EXP)sf   Expected Rating
A4     LT A-(EXP)sf    Expected Rating
A5     LT BBB-(EXP)sf  Expected Rating
A6     LT NR(EXP)sf    Expected Rating
M1A    LT A-(EXP)sf    Expected Rating
M1AX   LT A-(EXP)sf    Expected Rating
M1B    LT A-(EXP)sf    Expected Rating
M1BX   LT A-(EXP)sf    Expected Rating
M1C    LT A-(EXP)sf    Expected Rating
M1CX   LT A-(EXP)sf    Expected Rating
M1D    LT A-(EXP)sf    Expected Rating
M1DX   LT A-(EXP)sf    Expected Rating
M2A    LT BBB-(EXP)sf  Expected Rating
M2AX   LT BBB-(EXP)sf  Expected Rating
M2B    LT BBB-(EXP)sf  Expected Rating
M2BX   LT BBB-(EXP)sf  Expected Rating
M2C    LT BBB-(EXP)sf  Expected Rating
M2CX   LT BBB-(EXP)sf  Expected Rating
M2D    LT BBB-(EXP)sf  Expected Rating
M2DX   LT BBB-(EXP)sf  Expected Rating
B1A    LT BB-(EXP)sf   Expected Rating
B1AX   LT BB-(EXP)sf   Expected Rating
B1B    LT BB-(EXP)sf   Expected Rating
B1BX   LT BB-(EXP)sf   Expected Rating
B1C    LT BB-(EXP)sf   Expected Rating
B1CX   LT BB-(EXP)sf   Expected Rating
B1D    LT BB-(EXP)sf   Expected Rating
B1DX   LT BB-(EXP)sf   Expected Rating
B2A    LT B-(EXP)sf    Expected Rating
B2AX   LT B-(EXP)sf    Expected Rating
B2B    LT B-(EXP)sf    Expected Rating
B2BX   LT B-(EXP)sf    Expected Rating
B2C    LT B-(EXP)sf    Expected Rating
B2CX   LT B-(EXP)sf    Expected Rating
B2D    LT B-(EXP)sf    Expected Rating
B2DX   LT B-(EXP)sf    Expected Rating
B3A    LT NR(EXP)sf    Expected Rating
B3AX   LT NR(EXP)sf    Expected Rating
B3B    LT NR(EXP)sf    Expected Rating
B3BX   LT NR(EXP)sf    Expected Rating
B3C    LT NR(EXP)sf    Expected Rating
B3CX   LT NR(EXP)sf    Expected Rating
XA     LT NR(EXP)sf    Expected Rating
XS1    LT NR(EXP)sf    Expected Rating
XS2    LT NR(EXP)sf    Expected Rating
X      LT NR(EXP)sf    Expected Rating
R      LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed notes backed
by seasoned and re-performing first-lien and closed-end
junior-lien, residential mortgage loans to be issued by Towd Point
Mortgage Trust 2022-SJ1 (TPMT 2022-SJ1), as indicated above. The
transaction is expected to close on March 25, 2022.

The notes are supported by one collateral group that consists of
14,929 seasoned performing (SPLs) and re-performing (RPLs), with a
total balance of approximately $548.24 million, including $6.5
million, or 1.2%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date. Approximately 95.2% of the pool by
unpaid principal balance (UPB) are junior-lien loans, and the
remaining 4.8% are first-lien loans.

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 advance delinquent monthly payments
of P&I.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Updated Sustainable
Home Prices: Due to Fitch's updated view on sustainable home
prices, Fitch views the home price values of this pool as 10.5%
above a long-term sustainable level (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.

RPL Credit Quality with Closed-End Junior Liens (Negative): The
collateral pool consists of peak-vintage SPL and RPLs seasoned
approximately 180 months in aggregate, as calculated by Fitch.
Approximately 4.8% of the pool by UPB are first liens and the
remaining 95.2% are junior liens. As of the statistical calculation
date, the pool was 97.9% current and 2.1% delinquent (DQ). 78.7% of
the loans have had a clean pay history for the last two years
(under the Mortgage Bankers Association [MBA] method), after
adjusting for Fitch's treatment of coronavirus-related forbearance
and deferral loans. Additionally, 32% of loans have been modified.
The borrowers have a moderate credit profile (716 FICO) and low
leverage (60% sLTV).

100% Loss Severity Assumed on Junior Liens (Negative): Fitch
assumed no recovery and 100% loss severity (LS) on junior lien
loans based on the historical behavior of junior lien loans in
economic stress scenarios and a transactional feature that applies
the balance of a defaulted loan as a realized loss to the trust at
150 days' DQ using the Office of Thrift Supervision (OTS)
methodology, excluding forbearance mortgage loans. Fitch assumes
junior lien loans default at a rate comparable to first lien loans;
after controlling for credit attributes, no additional default
penalty was applied.

Realized Loss and Write-down Feature (Positive): Junior lien loans
that are DQ for 150 days or more under the OTS method will be
considered a realized loss (excluding forbearance mortgage loans)
and, therefore, will cause the most subordinated class to be
written down. Despite the 100% LS assumed for each defaulted junior
lien loan, Fitch views the write-down feature positively, as cash
flows will not be needed to pay timely interest to the 'AAAsf' and
'AA-sf' notes during loan resolution by the servicers. In addition,
subsequent recoveries realized after the write-down at 150 days DQ
(excluding forbearance mortgage loans) will be passed on to
bondholders as principal.

No Servicer P&I Advancing (Mixed): The servicers will not advance
DQ monthly payments of P&I, which reduces liquidity to the trust.
P&I advances made on behalf of loans that become DQ and eventually
liquidate reduce liquidation proceeds to the trust. Due to the lack
of P&I advancing, the loan-level 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.

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
those classes in the absence of servicer advancing. Similar to the
prior Fitch-rated TPMT 2021-SJ2 and TPMT 2021-SJ1 transactions,
excess cash flow will not be used to turbo down the senior
classes.

RATING SENSITIVITIES

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 41.7% at 'AAAsf'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

BEST/WORST CASE RATING SCENARIO

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

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, Clayton and Westcor. The third-party due diligence
described in Form 15E focused on regulatory compliance, pay
history, servicing comments, the presence of key documents in the
loan file and data integrity. In addition, AMC and Westcor were
retained to perform an updated title and tax search, as well as a
review to confirm that the mortgages were recorded in the relevant
local jurisdiction and the related assignment chains. A regulatory
compliance and data integrity review was completed on 24.5% of the
pool by loan count.

The regulatory compliance review indicated that 395 reviewed loans,
or approximately 10.8% of the total pool, received a final grade of
'C' or 'D'. For 217 of these loans, this was due to missing loan
documentation that prevented testing for predatory lending
compliance. The inability to test for predatory lending may expose
the trust to potential assignee liability, which creates added risk
for bond investors. Typically, Fitch makes LS adjustments to
account for this. However, all loans that received a grade of 'C'
or 'D' are junior liens and are already receiving 100% LS;
therefore, no adjustments were made.

Reasons for the remaining 178 'C' and 'D' grades include missing
final HUD1s that are not subject to predatory lending, missing
state disclosures and other compliance-related documents. Fitch
believes these issues do not add material risk to bondholders, as
the statute of limitations has expired. No adjustment to loss
expectations were made for any of the 395 loans that received
either a 'C' or 'D' grade. The diligence results indicated similar
operational risk as in prior TPMT transactions, as well as other
Fitch-reviewed RPL transactions.

ESG CONSIDERATIONS

TPMT 2022-SJ1 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk, due to elevated operational risk,
which resulted in an increase in expected losses. While the
originator, aggregator and servicing parties did not have an impact
on the expected losses, the Tier 2 R&W framework with an unrated
counterparty and the transaction due diligence resulted in an
increase in the expected losses. This 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.


TRTX 2022-FL5: DBRS Gives Prov. B(low) Rating on Class G Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by TRTX 2022-FL5 Issuer, Ltd:

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

All trends are Stable.

The initial collateral consists of 20 floating-rate mortgages
secured by 116 mostly transitional properties with a cut-off
balance of $1.075 billion, excluding approximately $158.0 million
of future funding participations and $916.8 million of funded
companion participations. In addition, there is a two-year
reinvestment period during which the Issuer may use principal
proceeds to acquire additional eligible loans, subject to the
eligibility criteria. During the reinvestment period, the Issuer
may acquire future funding commitments, funded companion
participations, and additional eligible loans subject to the
eligibility criteria. The transaction stipulates a no downgrade
confirmation from DBRS Morningstar for companion participations
exceeding $500,000 if there is already a participation of the
underlying loan in the trust.

The loans are mostly secured by currently cash flowing assets, many
of which are in a period of transition with plans to stabilize and
improve the asset value. In total, 19 loans, representing 95.7% of
the trust balance, have remaining future funding participations
totaling $156.7 million, which the Issuer may acquire in the
future.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 12 loans, representing 57.9% of the initial pool, had a
DBRS Morningstar As-Is Debt Service Coverage Ratio (DSCR) below
1.00 times (x), a threshold indicative of default risk. However,
the DBRS Morningstar Stabilized DSCRs for four loans, representing
18.4% of the initial pool balance, are below 1.00x. The properties
are often transitioning with potential upside in cash flow;
however, DBRS Morningstar does not give full credit to the
stabilization if there are no holdbacks or if other loan structural
features in place are insufficient to support such treatment.
Furthermore, even with the structure provided, DBRS Morningstar
generally does not assume the assets to stabilize above market
levels.

The transaction will have a sequential-pay structure whereby
interest and principal payments will be prioritized in order of
seniority. In the event that a note protection test is not
satisfied, the payments will be redirected to redeem the Offered
Notes until the note protection tests are satisfied. Interest may
also be deferred for the Class C Notes (Offered Note), Class D
Notes (Offered Note), Class E Notes (Offered Note), Class F Notes
(Retained Note), and Class G Notes (Retained Note).

The transaction's sponsor is TPG RE Finance Trust Holdco, LLC, a
wholly-owned subsidiary of TPG RE Finance Trust, Inc (TRTX). TRTX
2022-FL5 Issuer, Ltd. and TRTX 2022-FL5 Co-Issuer, LLC are each
newly formed special-purchase vehicles (collectively, the
Co-Issuers) and indirect wholly owned subsidiaries of the Sponsor.
TPG, Inc. (TPG) is a global investment firm with multiple
investment platforms focused on a wide range of alternative
investment products, including real estate. As of September 30,
2021, TPG had assets under management of approximately $109
billion, including $11.5 billion managed by TPG's real estate
platform, TPG Real Estate (TPGRE). TPGRE includes debt investing
under TRTX, which was formed in December 2014 as a private
commercial mortgage real estate investment trust and went public in
July 2017. As of December 31, 2021, TRTX originated or acquired
approximately $14.4 billion of loan commitments. This transaction
represents TRTX's sixth commercial real estate collateralized loan
obligation (CRE CLO) and fifth broadly marketed CRE CLO transaction
since 2018. The four broadly marketed transactions to date total
$4.4 billion of mortgage assets contributed excluding
reinvestments.

An affiliate of TRTX, an indirect wholly owned subsidiary of the
Sponsor (as the retention holder), will acquire the Class F Notes,
the Class G Notes, and the Preferred Shares (Retained Securities),
representing the most subordinate 15.625% of the transaction by
principal balance.

Five loans, representing 25.1% of the mortgage asset cut-off date
balance, had Above Average or Average + property quality scores
based on physical attributes and/or a desirable location within
their respective markets (The Curtis, One Campus Martius, Westin
Charlotte, Residences at Payton Place, and 300 Lafayette).
Higher-quality properties are more likely to retain existing
tenants/guests and more easily attract new tenants/guests,
resulting in a more stable performance.

The pool contains a relatively high number of properties in primary
markets, which have historically demonstrated lower probability of
default (POD) and loss severity given default (LGD)
characteristics. Nine loans, representing 50.1% of the pool, are in
areas identified as DBRS Morningstar Market Ranks of 6, 7, or 8,
which are generally characterized as highly dense urbanized areas.
These areas benefit from increased liquidity driven by consistently
strong investor demand and lower default frequencies than less
dense suburban, tertiary, and rural markets. Urban markets
represented in the deal include New York City, Los Angeles,
Philadelphia, Honolulu, and Jersey City, New Jersey. Eight loans,
representing 40.9% of the pool balance, have collateral in
Metropolitan Statistical Area (MSA) Group 3, which is the
best-performing group in terms of historical commercial
mortgage-backed securities (CMBS) default rates among the top 25
MSAs. MSA Group 3 has a historical default rate of 17.2%, which is
nearly 11 percentage points lower than the overall CMBS historical
default rate of 28.0%.

Based on the initial pool balances, the overall DBRS Morningstar
Weighted Average (WA) As-Is DSCR of 0.96x and DBRS Morningstar WA
As-Is Loan-to-Value Ratio (LTV) of 74.7% generally reflect
high-leverage financing. Most of the assets are generally well
positioned to stabilize, and any realized cash flow growth would
help to offset a rise in interest rates and improve the overall
debt yield of the loans. DBRS Morningstar associates its LGD based
on the assets' as-is LTV, which does not assume that the
stabilization plan and cash flow growth will ever materialize. The
DBRS Morningstar As-Is DSCR for each loan at issuance does not
consider the sponsor's business plan, as the DBRS Morningstar As-Is
NCF was generally based on the most recent annualized period. The
sponsor's business plan could have an immediate impact on the
underlying asset performance that the DBRS Morningstar As-Is NCF is
not accounting for. When measured against the DBRS Morningstar
Stabilized NCF, the DBRS Morningstar WA DSCR is estimated to
improve to 1.26x, suggesting that the properties are likely to have
improved NCFs once the sponsors' business plans have been
implemented. Furthermore, the DBRS Morningstar Stabilized LTV
improves significantly to 60.0%.

The transaction is managed and includes a 24-month reinvestment
period, which could result in negative credit migration and/or an
increased concentration profile over the life of the transaction.
The risk of negative migration is partially offset by eligibility
criteria (detailed in the transaction documents) that outline DSCR,
LTV, Herfindahl score minimum, property type, and loan size
limitations for reinvestment assets. The transaction requires a no
downgrade confirmation from DBRS Morningstar for new reinvestment
loans and companion participations above $500,000. DBRS Morningstar
will analyze these loans for potential impacts on ratings. Deal
reporting includes standard monthly Commercial Real Estate Finance
Council reporting and quarterly updates. DBRS Morningstar will
regularly monitor this transaction.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in many instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
Coronavirus Disease (COVID-19) pandemic and its impact on the
overall economy. A sponsor's failure to execute the business plan
could result in a term default or the inability to refinance the
fully funded loan balance. DBRS Morningstar sampled a large portion
of the loans, representing 78.8% of the of the mortgage asset
cut-off date balance. The transaction's DBRS Morningstar WA
Business Plan Score of 2.32 is generally in the range of recent
DBRS Morningstar-rated CRE CLO transactions. DBRS Morningstar made
relatively conservative stabilization assumptions and, in each
instance, considered the business plan to be rational and the loan
structure to be sufficient to execute such plans. In addition, DBRS
Morningstar analyzes LGD based on the as-is credit metrics,
assuming the loan is fully funded with no NCF or value upside.
Future funding companion participations will be held by affiliates
of TRTX and have the obligation to make future advances. TRTX
agrees to indemnify the Issuer against losses arising out of the
failure to make future advances when required under the related
participated loan. Furthermore, TRTX will be required to satisfy
and certify to investors certain liquidity requirements on a
quarterly basis.

Three loans, The Curtis, One Campus Martius, and Westin Charlotte,
have fully extended maturity dates within 12 months or less. Given
the pending maturities, the loans may not have adequate time to
complete the sponsors' business plans and fully stabilize. The
Curtis has a low As-Is LTV of 57.8%, and DBRS Morningstar
incorporated minimum upside in the stabilized NCF. One Campus
Martius has a moderately low As-Is LTV of 63.6%, and DBRS
Morningstar did not incorporate upside in the stabilized NCF.
Westin Charlotte has a low As-Is LTV of 59.8%; however, given the
hotel's weak performance and unlikely recovery before the maturity
date, DBRS Morningstar elected to incorporate a POD penalty.

All 20 loans have floating interest rates and have original terms
of 49 months to 61 months, which creates interest rate risk. For
the floating-rate loans, DBRS Morningstar used the one-month Libor
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. The borrowers of all loans have
purchased Libor rate caps with strike prices that range from 0.25%
to 4.00% to protect against rising interest rates through the
duration of the loan term. In addition to the fulfillment of
certain minimum performance requirements, exercise of any extension
options would also require the repurchase of interest rate cap
protection through the duration of the respectively exercised
option.

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



UNITED AUTO 2021-1: S&P Raises Class F Notes Rating to BB+ (sf)
---------------------------------------------------------------
S&P Global Ratings raised its ratings on nine classes from two
United Auto Credit Securitization Trust (UACST) transactions. At
the same time, S&P affirmed its rating on one class.

The transactions are backed by subprime retail auto loans
originated and serviced by United Auto Credit Corp.

S&P said, "The rating actions reflect our view of each
transaction's structure, credit enhancement level, and collateral
performance to date, as well as our expectations regarding its
future collateral performance. We also incorporated secondary
credit factors, including credit stability, payment priorities
under various scenarios, and sector- and issuer-specific analyses.
Considering all these factors, we believe the notes'
creditworthiness is consistent with the raised and affirmed
ratings."

  Table 1
  
  Collateral Performance(i)

                        Pool   Current   Extensions       60+ day
  Series   Month   factor(%)   CNL (%)          (%)   delinq. (%)
  2020-1   21          31.70     10.74         3.80          5.36
  2021-1   12          59.44      5.15         3.29          4.00

(i)As of the March 2022 distribution date.
CNL--Cumulative net loss.

S&P observed that, in general, both transactions have been
performing better than its prior expectations. S&P lowered its
expected cumulative net losses (ECNLs) on the transactions based on
its future expectations of their performance.

  Table 2

  CNL Expectation (%)

               Initial         Prior       Current
              lifetime      lifetime      lifetime
  Series      CNL exp.      CNL exp.      CNL exp.(i)
  2020-1   22.25-23.25   20.25-21.25   15.50-16.50
  2021-1   21.25-22.25           N/A   15.50-16.50

(i)As of the March 2022 distribution date.
CNL exp.--Cumulative net loss expectations.
N/A--Not applicable.

The transactions have a sequential principal payment structure with
credit enhancement consisting of overcollateralization, a
nonamortizing reserve account, subordination for the more senior
tranches, and excess spread. Each transaction's credit enhancement
is at its specified overcollateralization and reserve targets, and
each class' credit support has increased as a percentage of the
amortizing pool balance since the transaction closed.

The raised and affirmed ratings reflect our view that the total
credit support as a percentage of the amortizing pool balance,
compared with our expected remaining losses, is commensurate with
each raised and affirmed rating.

  Table 3

  Hard Credit Support(i)

                          Total hard   Current total hard
                   credit support at       credit support
  Series   Class        issuance (%)   (% of current)(ii)
  2020-1   C                   33.50                92.06
  2020-1   D                   21.75                54.99
  2020-1   E                   14.75                32.91
  2020-1   F                   12.00                24.23
  2021-1   A                   54.55                95.13
  2021-1   B                   41.65                73.42
  2021-1   C                   30.25                54.24
  2021-1   D                   18.95                35.23
  2021-1   E                   10.95                21.77
  2021-1   F                    5.60                12.77

(i)Calculated as a percentage of the total receivables pool
balance, which consists of a reserve account,
overcollateralization, and, if applicable, subordination.

(ii)As of the March 2022 distribution date.

S&P said, "We incorporated an analysis of the current hard credit
enhancement compared to the remaining ECNL for those classes in
which hard credit enhancement alone (without credit to the stressed
excess spread) was sufficient, in our view, to raise or affirm the
ratings at 'AAA (sf)'. For the other classes, we incorporated a
cash flow analysis to assess the loss coverage level, giving credit
to stressed excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, timing of losses, and
voluntary absolute prepayment speeds that we believe are
appropriate, given each transaction's performance to date.

"We also conducted sensitivity analyses to determine the impact
that a moderate ('BBB') stress scenario would have on our ratings
if losses began trending higher than our revised base-case loss
expectations. Our results showed that the raised and affirmed
ratings are consistent with our ratings stability criteria, which
outline the outer bounds of credit deterioration for any given
security under specific, hypothetical stress scenarios.

"In our view, the results demonstrated that the classes all have
adequate credit enhancement at the raised and affirmed rating
levels. We will continue to monitor the transactions' performance
to determine if the credit enhancement remains sufficient, in our
view, to cover our cumulative net loss expectations under our
stress scenarios for each rated class."

  RATINGS RAISED

  United Auto Credit Securitization Trust 2020-1
             Rating
  Class   To          From
  C       AAA (sf)    AA (sf)
  D       AAA (sf)    A- (sf)
  E       A (sf)      BBB- (sf)
  F       BBB+ (sf)   BB (sf)

  United Auto Credit Securitization Trust 2021-1
              Rating
  Class   To          From
  B       AAA (sf)    AA (sf)
  C       AA+ (sf)    A (sf)
  D       A+ (sf)     BBB (sf)
  E       BBB+ (sf)   BB (sf)
  F       BB+ (sf)    B (sf)

  RATINGS AFFIRMED

  United Auto Credit Securitization Trust 2021-1

  Class   Rating
  A       AAA (sf)



UNITED AUTO 2022-1: DBRS Gives Prov. BB Rating on Class E Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by United Auto Credit Securitization Trust
2022-1 (UACST 2022-1 or the Issuer):

-- $144,900,000 Class A Notes at AAA (sf)
-- $38,220,000 Class B Notes at AA (high) (sf)
-- $37,420,000 Class C Notes at A (high) (sf)
-- $41,400,000 Class D Notes at BBB (sf)
-- $34,230,000 Class E Notes at BB (sf)

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

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

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

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

(2) The DBRS Morningstar CNL assumption is 19.60% based on the
expected cut-off date pool composition.

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

(4) United Auto Credit Corporation's (UACC or the Company)
capabilities with regard to originations, underwriting, and
servicing and the existence of an experienced and capable backup
servicer.

-- DBRS Morningstar has performed an operational risk review of
UACC and considers the entity an acceptable originator and servicer
of subprime automobile loan contracts with an acceptable backup
servicer.

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

-- UACC successfully consolidated its business into a centralized
servicing platform and consolidated originations into two regional
buying centers. The Company retained experienced managers and staff
at the servicing center and buying centers.

-- UACC continues to evaluate and fine-tune its underwriting
standards as necessary. The Company has a risk management system
allowing centralized oversight of all underwriting and substantial
technology systems, which provide daily metrics on all
originations, servicing, and collections of loans.

(5) The credit quality of the collateral and performance of the
Company's auto loan portfolio.

-- UACC originates collateral that generally has shorter terms,
higher down payments, lower book values, and higher borrower income
requirements than some other subprime auto loan originators.

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

UACC is a specialty finance company that has been engaged in the
subprime automobile finance business since 1996. UACC purchases
motor vehicle retail installment sales contracts from franchise and
independent automobile dealerships throughout the U.S.

The UACST 2022-1 transaction will represent the 20th ABS
securitization completed in UACC's history and will offer both
senior and subordinate rated securities. The receivables
securitized in UACST 2022-1 will be subprime automobile loan
contracts secured primarily by used automobiles, light-duty trucks,
and vans.

The rating on the Class A Notes reflects 56.00% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the reserve fund (1.50% as a percentage of the initial collateral
balance), and OC (7.00% of the total pool balance). The ratings on
the Class B, C, D, and E Notes reflect 44.00%, 32.25%, 19.25%, and
8.50% of initial hard credit enhancement, respectively. Additional
credit support may be provided from excess spread available in the
structure.

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



VELOCITY COMMERCIAL 2022-1: DBRS Gives (P) B(low) on 3 Classes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage-Backed
Certificates, Series 2022-1 (the Certificates) to be issued by
Velocity Commercial Capital Loan Trust 2022-1 (VCC 2022-1 or the
Issuer) as follows:

-- $166.3 million Class A at AAA (sf)
-- $166.3 million Class A-S at AAA (sf)
-- $166.3 million Class A-IO at AAA (sf)
-- $26.6 million Class M-1 at AA (low) (sf)
-- $26.6 million Class M1-A at AA (low) (sf)
-- $26.6 million Class M1-IO at AA (low) (sf)
-- $15.3 million Class M-2 at A (low) (sf)
-- $15.3 million Class M2-A at A (low) (sf)
-- $15.3 million Class M2-IO at A (low) (sf)
-- $7.5 million Class M-3 at BBB (sf)
-- $7.5 million Class M3-A at BBB (sf)
-- $7.5 million Class M3-IO at BBB (sf)
-- $32.5 million Class M-4 at BB (high) (sf)
-- $32.5 million Class M4-A at BB (high) (sf)
-- $32.5 million Class M4-IO at BB (high) (sf)
-- $16.4 million Class M-5 at B (high) (sf)
-- $16.4 million Class M5-A at B (high) (sf)
-- $16.4 million Class M5-IO at B (high) (sf)
-- $8.9 million Class M-6 at B (low) (sf)
-- $8.9 million Class M6-A at B (low) (sf)
-- $8.9 million Class M6-IO at B (low) (sf)

Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.

The AAA (sf) ratings on the Certificates reflect 40.30% of credit
enhancement (CE) provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (sf), BB (high) (sf), B (high) (sf),
and B (low) (sf) ratings reflect 30.75%, 25.25%, 22.55%, 10.90%,
5.00%, and 1.80% of CE, respectively.

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

VCC 2022-1 is a securitization of a portfolio of newly originated
and seasoned fixed- and adjustable-rate, first-lien residential
mortgages collateralized by investor properties with one to four
units (residential investor loans) and small-balance commercial
(SBC) mortgages collateralized by various types of commercial,
multifamily rental, and mixed-use properties. The Certificates are
backed by 572 mortgage loans with a total principal balance of
$278,608,735 as of the Cut-Off Date (January 1, 2022).

Approximately 50.8% of the pool comprises residential investor
loans and about 49.2% of SBC loans. Velocity Commercial Capital,
LLC (Velocity) originated 100% of the loans in this securitization.
The loans were underwritten to program guidelines for
business-purpose loans where the lender generally expects the
property (or its value) to be the primary source of repayment (No
Ratio). The lender reviews the mortgagor's credit profile, though
it does not rely on the borrower's income to make its credit
decision. However, the lender considers the property-level cash
flows or minimum debt-service coverage ratio (DSCR) in underwriting
SBC loans with balances over $750,000 for purchase transactions and
over $500,000 for refinance transactions. Because the loans were
made to investors for business purposes, they are exempt from the
Consumer Financial Protection Bureau's Ability-to-Repay rules and
TILA-RESPA Integrated Disclosure rule.

The pool is about one-month seasoned on a weighted-average (WA)
basis, although seasoning may span from zero up to 67 months.

PHH Mortgage Corporation will service all loans within the pool for
a servicing fee of 0.30% per annum. In addition, Velocity will act
as a Special Servicer servicing the loans that defaulted or became
60 or more days delinquent under Mortgage Bankers Association (MBA)
method and other loans, as defined in the transaction documents
(Specially Serviced Loans). The Special Servicer will be entitled
to receive compensation based on an annual fee of 0.75% and the
balance of Specially Serviced Loans. Also, the Special Servicer is
entitled to a liquidation fee equal to 2.00% of the net proceeds
from the liquidation of a Specially Serviced Loan, as described in
the transaction documents.

The Servicer will fund advances of delinquent principal and
interest (P&I) until the advances are deemed unrecoverable. Also,
the Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing properties.

U.S. Bank National Association (rated AA (high) with a Stable trend
by DBRS Morningstar) will act as the Trustee, Paying Agent, and
Custodian.

The Seller, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class M-7, Class P, and Class XS
Certificates, collectively representing at least 5% of the fair
value of all Certificates, to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.

On or after the later of (1) the three year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Closing Date
balance, the Depositor may purchase all outstanding Certificates
(Optional Purchase) at a price equal to the sum of the remaining
aggregate balance of the Certificates plus accrued and unpaid
interest, and any fees, expenses, and indemnity payments due and
unpaid to the transaction parties, including any unreimbursed P&I
and servicing advances, and other amounts due as applicable. The
Optional Purchase will be conducted concurrently with a qualified
liquidation of the Issuer.

Additionally, if on any date on which the unpaid mortgage loan
balance and the value of real estate owned (REO) properties has
declined to less than 10% of the initial mortgage loan balance as
of the Cut-off Date, the Directing Holder, the Special Servicer, or
the Servicer, in that order of priority, may purchase all of the
mortgages, REO properties, and any other properties from the Issuer
(Optional Termination) at a price specified in the transaction
documents. The Optional Termination will be conducted as a
qualified liquidation of the Issuer. The Directing Holder
(initially, the Seller) is the representative selected by the
holders of more than 50% of the outstanding subordinate
certificates with the lowest priority of principal distributions
(the Controlling Class).

The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A CE falling below
10.0% of the loan balance as of the Cut-off Date (Class A Minimum
CE Event), the principal distributions allow for amortization of
all senior and subordinate bonds based on CE targets set at
different levels for performing (same CE as at issuance) and
nonperforming (higher CE than at issuance) loans. Each Class's
target principal balance is determined based on the CE targets and
the performing and nonperforming (those that are 90 or more days
MBA delinquent, in foreclosure and REO, and subject to a servicing
modification within the prior 12 months) loan amounts. As such, the
principal payments are paid on a pro rata basis, up to each Class's
target principal balance, so long as no loans in the pool are
nonperforming. If the share of nonperforming loans grows, the
corresponding CE target increases. Thus, the principal payment
amount increases for the senior and senior subordinate classes and
falls for the more subordinate bonds. The goal is to distribute the
appropriate amount of principal to the senior and subordinate bonds
each month, to always maintain the desired level of CE, based on
the performing and non-performing pool percentages. After the Class
A Minimum CE Event, the principal distributions are made
sequentially.

Relative to the sequential-pay structure, the modified pro rata
structure is more sensitive to the timing of the projected defaults
and losses as the losses may be applied at a time when the amount
of credit support is reduced as the bonds' principal balances
amortize over a life of the transaction. That said, the excess
spread can be used to cover realized losses after being allocated
to the unpaid net WA coupon shortfalls (Net WAC Rate Carryover
Amounts).

COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY

Of the 251 loans, 247 loans, representing 99.2% of the SBC portion
of the pool, have a fixed interest rate with a straight average of
7.20%. The four floating-rate loans have interest rate floors
(excluding rate margins) ranging from 3.49% to 5.25% with a
straight average of 4.25% and interest rate margins of 4.00%. To
determine the probability of default (POD) and loss severity given
default inputs in the CMBS Insight Model, DBRS Morningstar applied
a stress to the various indexes that corresponded with the
remaining fully extended term of the loans and added the respective
contractual loan spread to determine a stressed interest rate over
the loan term. DBRS Morningstar looked to the greater of the
interest rate floor or the DBRS Morningstar stressed index rate
when calculating stressed debt service. The WA modeled coupon rate
was 6.80%. Most of the loans have original loan term lengths of 30
years and fully amortize over 30-year schedules. However, 18 loans,
which comprise 11.2% of the SBC pool, have an initial IO period
ranging from 24 months to 120 months and then fully amortize over
shortened 20- to 28-year schedules.

Most SBC loans were originated between November 2021 and December
2021 (247 loans; 99.2% of the SBC pool), with only four loans (0.8%
of the SBC pool) originated between March 2016 and July 2016,
resulting in minimal seasoning of 1.5 months on average. The SBC
pool has a WA original term length of 360 months, or 30 years.
Based on the current loan amount, which reflects approximately
seven basis points (bps) of amortization, and the current appraised
values, the SBC pool has a WA loan-to-value (LTV) ratio of 66.6%.
However, DBRS Morningstar made LTV adjustments to 44 loans that had
an implied capitalization rate more than 200 bps lower than a set
of minimal capitalization rates established by the DBRS Morningstar
Market Rank. The DBRS Morningstar minimum capitalization rates
range from 5.0% for properties in Market Rank 8 to 8.0% for
properties in Market Rank 1. This resulted in a higher DBRS
Morningstar LTV of 73.0%. Lastly, all loans fully amortize over
their respective remaining terms, resulting in 100% expected
amortization; this amount of amortization is greater than what is
typical for CMBS conduit pools. DBRS Morningstar's research
indicates that for CMBS conduit transactions securitized between
2000 and 2019, average amortization by year has ranged between 7.5%
and 21.1%, with an overall median rate of 18.8%.

As contemplated and explained in DBRS Morningstar's "Rating North
American CMBS Interest-Only Certificates" methodology, the most
significant risk to an IO cash flow stream is term default risk. As
noted in the methodology, for a pool of approximately 63,000 CMBS
loans that had fully cycled through to their maturity defaults,
DBRS Morningstar noted the average total default rate across all
property types was approximately 17%, the refinance default rate
was 6% (approximately one-third of the total rate), and the term
default rate was approximately 11%. DBRS Morningstar recognizes the
muted impact of refinance risk on IO certificates by notching the
IO rating up by one notch from the Reference Obligation rating.
When using the 10-year Idealized Default Table default probability
to derive a POD for a CMBS bond from its rating, DBRS Morningstar
estimates that, in general, a one-third reduction in the CMBS
Reference Obligation POD maps to a tranche rating that is
approximately one notch higher than the reference Obligation or the
Applicable Reference Obligation, whichever is appropriate.
Therefore, similar logic regarding term default risk supported the
rationale for DBRS Morningstar to reduce the POD in the CMBS
Insight Model by one notch because refinance risk is largely absent
for this SBC pool of loans.

The DBRS Morningstar CMBS Insight Model does not contemplate the
ability to prepay loans, which is generally seen as credit positive
because a prepaid loan cannot default. The CMBS predictive model
was calibrated using loans that have prepayment lockout features.
Those loans' historical prepayment performance is close to 0
conditional prepayment rate (CPR). If the CMBS predictive model had
an expectation of prepayments, DBRS Morningstar would expect the
default levels to be reduced. Any loan that prepays is removed from
the pool and can no longer default. This collateral pool does not
have any prepayment lockout features, and DBRS Morningstar expects
that this pool will have prepayments over the remainder of the
transaction. DBRS Morningstar applied the following to calculate a
default rate prepayment haircut: using Intex Dealmaker, a lifetime
constant default rate (CDR) was calculated that approximated the
default rate for each rating category. While applying the same
lifetime CDR, DBRS Morningstar applied a 2.0% CPR prepayment rate.
When holding the CDR constant and applying 2.0% CPR, the cumulative
default amount declined. The percentage change in the cumulative
default prior to and after applying the prepayments, subject to a
10.0% maximum reduction, was then applied to the cumulative default
assumption to calculate a fully adjusted cumulative default
assumption.

The SBC pool is quite diverse based on loan size, with an average
cut-off date loan balance of $545,858, a concentration profile
equivalent to that of a transaction with 147 equal-size loans, and
a top-10 loan concentration of 15.5%. Increased pool diversity
helps to insulate the higher-rated classes from event risk.

The loans are mostly secured by traditional property types (i.e.,
multifamily, retail, office, and industrial), with no exposure to
higher-volatility property types, such as hotels or other lodging
facilities.

All loans in the SBC pool fully amortize over their respective
remaining loan terms between 291 and 360 months, reducing refinance
risk.

The SBC pool has a WA expected loss of 5.39%, which is higher than
recently analyzed comparable Velocity small-balance transactions.
Contributing factors to the higher expected loss include a higher
concentration of office and retail properties, a higher percentage
of loans marked as Below Average for property quality, and slightly
weaker/less urban locations in terms of metropolitan statistical
area grouping and DBRS Morningstar Market Ranks.

As classified by DBRS Morningstar for modeling purposes, the SBC
pool contains a significant exposure to retail (26.9% of the SBC
pool) and a smaller exposure to office (19.3% of the SBC pool),
which are two of the higher-volatility asset types. Loans counted
as retail include those identified as automotive and potentially
commercial condominium. Combined, retail and office properties
represent nearly half of the SBC pool balance. Retail, which has
struggled because of the Coronavirus Disease (COVID-19) pandemic,
comprises the largest asset type in the transaction. DBRS
Morningstar applied a 31.8% reduction to the net cash flow (NCF)
for retail properties and a 30.0% reduction for office assets in
the SBC pool, which is above the average NCF reduction applied for
comparable property types in CMBS analyzed deals. Multifamily
comprises the fourth-largest property type concentration in the SBC
pool (18.2%). Based on DBRS Morningstar's research, multifamily
properties securitized in conduit transactions have had lower
default rates than most other property types.

DBRS Morningstar did not perform site inspections on loans within
its sample for this transaction. Instead, DBRS Morningstar relied
upon analysis of third-party reports and online searches to
determine property quality assessments. Of the 65 loans DBRS
Morningstar sampled, 17 were Average quality (30.8%), 20 were
Average - (29.5%), 25 were Below Average (35.9%), and three were
Poor (3.8%). DBRS Morningstar assumed unsampled loans were Average
- quality, which has a slightly increased POD level. This is more
conservative than the assessments from sampled loans and is
consistent with other SBC transactions.

Limited property-level information was available for DBRS
Morningstar to review. Asset summary reports, property condition
reports, Phase I/II environmental site assessment (ESA) reports,
and historical cash flows were generally not available for review
in conjunction with this securitization. DBRS Morningstar received
and reviewed appraisals for the top 30 loans, which represent 32.4%
of the SBC pool balance. Most of the appraisals were issued between
March 2021 and December 2021, when 247 of the 251 loans were
originated. The four seasoned loans in the pool had appraisals
issued between March 2016 and June 2016. DBRS Morningstar was able
to perform a loan-level cash flow analysis on the top 30 loans. The
haircuts ranged from -2.0% to -45.7%, with an average of -22.6%;
however, DBRS Morningstar generally applied more conservative
haircuts on the unsampled loans. No ESA reports were provided and
are not required by the Issuer; however, all of the loans are
placed onto an environmental insurance policy that provides
coverage to the Issuer and the securitization trust in the event of
a claim.

DBRS Morningstar received limited borrower information, net worth
or liquidity information, and credit history. DBRS Morningstar
generally initially assumed loans had Weak sponsorship scores,
which increases the stress on the default rate. The initial
assumption of Weak reflects the generally less sophisticated nature
of small balance borrowers and assessments from past small balance
transactions. Furthermore, DBRS Morningstar received a 12-month pay
history on each loan as of December 31, 2021. If any loan had more
than two late pays within this period or was currently 30 days past
due, DBRS Morningstar applied an additional stress to the default
rate. This occurred for only three loans, representing 0.6% of the
SBC pool balance. Finally, DBRS Morningstar received a borrower
FICO score as of December 31, 2021, for all loans, with an average
FICO score of 727. While "North American CMBS Multi-Borrower Rating
Methodology" does not contemplate FICO scores, the Residential
Mortgage-Backed Securities (RMBS) Methodology does and would
characterize a FICO score of 727 as near-prime, whereas prime is
considered greater than 750. Borrowers with a FICO score of 727
could generally be described as potentially having had previous
credit events (foreclosure, bankruptcy, etc.) but, if they did, it
is likely that these credit events were cleared about two to five
years ago.

RMBS METHODOLOGY

The collateral pool consists of 321 mortgage loans with a total
balance of approximately $141.6 million collateralized by one- to
four-unit investment properties. The mortgage loans were
underwritten by Velocity to No Ratio program guidelines for
business-purpose loans.

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

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

As of the Cut-Off Date, no borrower within the pool is currently
subject to a coronavirus-related forbearance plan with the
Servicer. In the event a borrower requests or enters into a
coronavirus-related forbearance plan after the Cut-Off Date but
prior to the Closing Date, the Sponsor will remove such loan from
the mortgage pool and remit the related Closing Date substitution
amount. Loans that enter a coronavirus-related forbearance plan on
or after the Closing Date will remain in the pool.

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



VERUS SECURITIZATION 2022-3: S&P Assigns (P) B- (sf) on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2022-3's mortgage-backed notes.

The note issuance is an RMBS securitization backed by primarily
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans, including mortgage loans with initial interest-only periods
and/or balloon terms. The loans are secured by single-family
residences, planned-unit developments, two- to four-family
residential properties, condominiums, mixed-use properties, and
5-10-unit multifamily residences to both prime and non-prime
borrowers. The pool has 1,252 loans backed by 1,336 properties,
which are primarily non-qualified mortgage/ATR compliant and
ATR-exempt loans. Of the 1,252 loans, 21 are cross-collateralized
loans backed by 105 properties.

The preliminary ratings are based on information as of March 16,
2022. The collateral and structural information reflect the term
sheet dated March 9, 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, representations and warranties framework, and geographic
concentration;

-- The mortgage aggregator, Invictus Capital Partners; and

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

  Preliminary Ratings Assigned(i)

  Verus Securitization Trust 2022-3

  Class A-1, $467,602,000: AAA (sf)
  Class A-2, $46,092,000: AA (sf)
  Class A-3, $76,351,000: A (sf)
  Class M-1, $43,980,000: BBB- (sf)
  Class B-1, $20,759,000: BB (sf)
  Class B-2, $27,092,000: B- (sf)
  Class B-3, $21,815,396: Not rated
  Class A-IO-S, $703,691,396(ii): Not rated
  Class XS, $703,691,396: Not rated
  Class DA, $132,702: Not rated
  Class R, N/A: Not rated

(i)The collateral and structural information reflect the term sheet
dated March 9, 2022; the preliminary ratings address the ultimate
payment of interest and principal.

(ii)The notional amount equals the aggregate stated principal
balance of loans in the pool as of the cut-off date.



VOYA CLO 2015-1: Moody's Ups Rating on Class C-R Notes From Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Voya CLO 2015-1, Ltd.:

US$66,250,000 Class A-2-R Floating Rate Notes Due January 2029,
Upgraded to Aaa (sf); previously on January 21, 2021 Upgraded to
Aa1 (sf)

US$44,250,000 Class B-R Deferrable Floating Rate Notes Due January
2029, Upgraded to Aa3 (sf); previously on December 21, 2017
Assigned A2 (sf)

US$30,250,000 Class C-R Deferrable Floating Rate Notes Due January
2029, Upgraded to Baa3 (sf); previously on September 10, 2020
Downgraded to Ba1 (sf)

Voya CLO 2015-1, Ltd., originally issued in April 2015 and
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 January 2021.

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 January 2021. The Class
A-1-R notes have been paid down by approximately 23% or $87.3
million since then. Based on the trustee's January 2022 report[1],
the OC ratios for the Class A, Class B, Class C, Class D and Class
E notes are reported at 134.61%, 120.08%, 111.83%, 105.59%, and
102.73%, respectively, versus January 2021[2] levels of 127.70%,
116.34%, 109.67%, 104.52%, and 102.12%, respectively.

The deal has also benefited from an improvement in the credit
quality of the portfolio. Based on the trustee's January 2022
report[3], the weighted average rating factor is currently 2872
compared to 3150 in January 2021[4].

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $492,200,727

Defaulted par: $575,000

Diversity Score: 83

Weighted Average Rating Factor (WARF): 2743

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.06%

Weighted Average Recovery Rate (WARR): 48.7%

Weighted Average Life (WAL): 3.8 years

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

Methodology Used for the Rating Action

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

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

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


WESTLAKE AUTOMOBILE 2022-1: S&P Assigns B (sf) Rating on F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Westlake Automobile
Receivables Trust 2022-1's automobile receivables-backed notes.

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

The ratings reflect:

-- The availability of approximately 45.55%, 39.25%, 30.38%,
23.71%, 20.62%, and 15.53% credit support for the class A-1, A-2-A,
A-2-B, and A-3 (collectively referred to as class A), B, C, D, E,
and F notes, respectively, based on stressed cash flow scenarios
(including excess spread). These provide approximately 3.50x,
3.00x, 2.30x, 1.75x, 1.50x, and 1.10x, respectively, of S&P's
12.50%-13.00% expected cumulative net loss range.

-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.75x our expected loss level), all else being equal, S&P's
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in "S&P Global Ratings
Definitions," published Nov. 10, 2021.

-- The collateral characteristics of the securitized pool of
subprime automobile loans.

-- The originator/servicer's long history in the
subprime/specialty auto finance business.

-- S&P's analysis of approximately 16 years (2006-2021) of static
pool data on the company's lending programs.

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

  Ratings Assigned

  Westlake Automobile Receivables Trust 2022-1

  Class A-1, $258.00 million: A-1+ (sf)
  Class A-2-A, $428.00 million: AAA (sf)
  Class A-2-B, $70.00 million: AAA (sf)
  Class A-3, $170.69 million: AAA (sf)
  Class B, $122.85 million: AA (sf)
  Class C, $160.77 million: A (sf)
  Class D, $131.19 million: BBB (sf)
  Class E, $43.99 million: BB (sf)
  Class F, $114.51 million: B (sf)



WFRBS COMMERCIAL 2013-C18: DBRS Cuts Rating on 2 Classes to C
-------------------------------------------------------------
DBRS Limited downgraded the ratings on three classes of the
Commercial Mortgage Pass-Through Certificates, Series 2013-C18
issued by WFRBS Commercial Mortgage Trust 2013-C18 as follows:

-- Class D to CCC (sf) from BB (sf)
-- Class E to C (sf) from CCC (sf)
-- Class F to C (sf) from CCC (sf)

In addition, DBRS Morningstar confirmed the remaining ratings as
follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)

With this review, DBRS Morningstar maintained the Negative trends
on Classes C and PEX. Classes D, E, and F have ratings that do not
carry trends, but these classes continue to carry the Interest in
Arrears designation. All other trends remain Stable.

The downgrades and Negative trends reflect the increased credit
risk and likely negative resolution outcomes of the five specially
serviced loans in the transaction, currently representing 22.0% of
the pool: JFK Hilton (Prospectus ID#4, 8.8% of the pool), Hotel
Felix Chicago (Prospectus ID#5, 6.5% of the pool), Cedar Rapids
Office Portfolio (Prospectus ID#9, 3.0% of the pool), HIE
Magnificent Mile (Prospectus ID#10, 3.1% of the pool), and
Fairfield Inn & Suites McDonough GA (Prospectus ID#35, 0.6% of the
pool). All of these properties have been reappraised since Q4 2020,
reflecting a weighted-average (WA) value decline from issuance of
57.8% and a WA loan-to-value (LTV) ratio of 150.1% based on the
current outstanding loan amounts. Interest in arrears have nearly
doubled since the last DBRS Morningstar rating action in March
2021, totalling approximately $6.0 million, according to January
2022 reporting.

The largest loan in special servicing, JFK Hilton, is secured by a
356-key, full-service hotel adjacent to John F. Kennedy
International Airport in Jamaica, New York. The loan had
transferred to special servicing in August 2021 for a second time
but remained current as of January 2022 reporting. According to the
servicer, the loan was transferred to special servicing to allow
the borrower and servicer to negotiate and effectuate a discounted
payoff (DPO) with waivers of the partial prepayment of the loan.
The property was reappraised in November 2020 at a value of $51.1
million, a 50% decline compared with the issuance value of $103.3
million. Based on the most recent value, the loan has an elevated
LTV of 116.3%. Although the loan remains current, a loss to the
trust is anticipated given the large value decline and the
borrower's request for a DPO.

Two of the remaining specially serviced loans, Hotel Felix Chicago
and HIE Magnificent Mile, are secured by hotel properties less than
one mile from one another in Chicago and are owned and operated by
the same sponsor, Oxford Capital Group, LLC (Oxford). Both loans
transferred to special servicing in April 2020 for monetary default
as a result of declining performance, largely stemming from an
oversupply in the market and increased real estate taxes with
performance declines further exacerbated by the decline in tourism
as a result of the Coronavirus Disease (COVID-19) pandemic.
Although the servicer noted that discussions with the borrower are
ongoing, receivers were appointed in January 2021, with foreclosure
listed as the current workout strategy. Oxford has made a number of
alternative investments, including the acquisition of five Bay Area
hotels in December 2020 and, more recently, The Westin Book
Cadillac, with plans to institute a $16.5 million renovation;
however, it has failed to provide a viable workout solution for the
two subject loans.

According to the April 2021 appraisals, Hotel Felix Chicago was
valued at $24.7 million, below the issuance value of $68.6 million,
reflecting a decline of 64.0% and a current LTV of 182.3%. HIE
Magnificent Mile was valued at $12.4 million, below the issuance
value of $36.3 million, reflecting a decline of 65.8% and a current
LTV of 175.2%. Given the sizable declines in value and the absence
of a viable proposal from the sponsor, which may indicate a
strategic decision to walk away from the properties given its other
recent investments, DBRS Morningstar expects both loans to incur
loss upon resolution with loss severities in excess of 70.0%.

The Cedar Rapids Office Portfolio has been real estate owned since
June 2020. The loan is secured by two cross-collateralized Class A
office buildings in Cedar Rapids, Iowa. According to the December
2020 appraisal, the property was valued at $11.9 million, below the
issuance value of $36.2 million, reflecting a decline of 67.0% and
a current LTV of 173.2%. Given the decline in value and current
loan exposure, DBRS Morningstar anticipates this loan will incur a
loss severity of nearly 100% upon resolution.

Of the original 67 loans, 56 loans remain in the pool, with an
aggregate principal balance of $689.6 million, representing a
collateral reduction of 33.6% since issuance as a result of
scheduled loan amortization and loan repayment. In addition, there
are 10 loans, representing 8.2% of the pool, that are fully
defeased. There are also seven loans, representing 7.7% of the
pool, on the servicer's watchlist.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to Garden State Plaza (Prospectus ID#1, 21.8% of the pool).
DBRS Morningstar confirmed that the performance of this loan
remains consistent with investment-grade loan characteristics.

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



WFRBS COMMERCIAL 2014-C20: DBRS Cuts C Certs Rating to B(low)
-------------------------------------------------------------
DBRS, Inc. downgraded the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-C20 issued by WFRBS
Commercial Mortgage Trust 2014-C20 as follows:

-- Class C to B (low) (sf) from BBB (low) (sf)
-- Class D to C (sf) from CCC (sf)

In addition, DBRS Morningstar confirmed the remaining classes as
follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SFL at AAA (sf)
-- Class A-SFX at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at A (low) (sf)
-- Class E at C (sf)
-- Class F at C (sf)

Classes B and C continue to carry Negative trends. Classes D, E,
and F have ratings that do not carry trends and maintain their
interest in arrears designations. All other trends are Stable.

DBRS Morningstar previously downgraded six classes of this
transaction in March 2021, based on increased loss projections for
three of the five largest loans in the pool (for additional
information on those rating actions, please see the press release
dated March 8, 2021). Two of these loans are backed by regional
malls in Woodbridge Center (Prospectus ID#1—14.1% of the trust
balance) and Brunswick Square (Prospectus ID#6—4.8% of the trust
balance). At last review, based on valuations obtained by the
special servicer and/or haircuts to issuance values, DBRS
Morningstar expected liquidation losses to be contained below the
Class D certificate. In 2021, all three loans received updated
appraisals that suggested higher loss severities, prompting further
downgrades to Classes C and D and maintained Negative trends with
this review.

At issuance, the trust comprised 98 fixed-rate loans secured by 142
commercial and multifamily properties with a trust balance of $1.25
billion. As of the January 2022 remittance, 79 loans remain in the
trust with a trust balance of $855.0 million, representing a 31.7%
collateral reduction since issuance. Of the remaining loans, 14 are
defeased, representing 10% of the pool. One loan, Candlewood Suites
– Denham Springs (Prospectus ID#65), was liquidated from the
trust in July 2021, resulting in a 23.0% loss severity, a figure
that was generally in line with DBRS Morningstar's projections as
part of the March 2021 surveillance review of this transaction.

The trust is concentrated by loans secured by retail properties,
representing 41.9% of the trust balance. The concentration is
primarily driven by the Woodbridge Center, Worldgate Centre
(Prospectus ID#3—6.6% of the trust balance), and Brunswick
Square. The pool has a relatively low concentration of loans
secured by tertiary and rural properties, with 20 loans totaling
16.7% of the trust balance.

As of the January 2022 remittance, four loans, totaling 26.3% of
the trust balance, are in special servicing, including three of the
five largest loans. An additional 14 loans, totaling 19.1% of the
trust balance, are on the servicer's watchlist. Most of the
watchlist loans are secured by retail and hotel properties that
were affected by the Coronavirus Disease (COVID-19) pandemic.

The largest specially serviced loan, Woodbridge Center, is secured
by the fee-simple interest in a super-regional mall in Woodbridge,
New Jersey, approximately 30 miles southwest of Manhattan. The mall
lost two anchors in recent years: noncollateral anchor Lord &
Taylor in December 2019 and collateral anchor Sears in April 2020.
The loan sponsor, an affiliate of Brookfield Property Partners,
notified the servicer of imminent monetary default, and the loan
transferred to the special servicer in June 2020. In October 2021,
the special servicer filed a foreclosure complaint, and Jones Lang
LaSalle was appointed receiver. Foreclosure litigation is ongoing
and the borrower has not contested foreclosure actions. The special
servicer anticipates the foreclosure to be completed by September
2022. The special servicer initially obtained an appraisal dated
December 2020, which valued the property at $104.0 million, down
from $366.0 million at issuance. While that value decline is
startling, the latest appraisal on file, dated September 2021,
showed an even further decline, to $90.0 million. Based on the
latest valuation, DBRS Morningstar liquidated the loan in the
analysis, with a loss severity exceeding 75%.

Brunswick Square is secured by a two-anchor regional mall in East
Brunswick, New Jersey, owned and operated by Washington Prime Group
(WPG). DBRS Morningstar initially added the loan to its Hotlist in
February 2019 because of concerns over the property's anchor
tenancy mix and declining sales performance. In addition, there
were concerns regarding WPG's financial wherewithal. The firm
ultimately filed for bankruptcy in June 2021. The loan transferred
to the special servicer in July 2021 for imminent monetary default
following the bankruptcy filing; at the time of the transfer, WPG
expressed interest in consenting to a foreclosure sale, which is
scheduled to occur in May 2022. This mall has also seen a drastic
decline in the appraised value since issuance, with the August 2021
appraisal showing an as-is value of $33.5 million, well below the
issuance figure of $113.0 million. DBRS Morningstar assumed a loss
severity in excess of 65% in the analysis for this review.

In the analysis for this review, DBRS Morningstar liquidated three
loans, including the second-largest loan in special servicing,
Sugar Creek I & II (Prospectus ID#4—7% of the trust balance),
which is secured by an office property in Houston. The estimated
total loss amount for the three loans is $145.7 million. These
losses would erode the balances of the two lowest-rated classes
(Classes E and F) and much of the Class D certificate balance,
supporting the C (sf) rating on all three and contributing to the
downgrade for Class C with this review.

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



[*] DBRS Takes Rating Actions on 10 Classes from 2 US RMBS Deals
----------------------------------------------------------------
DBRS, Inc. confirmed 10 classes from two U.S. reverse mortgage (RM)
transactions as follows:

CFMT 2021-HB5, LLC:

-- Asset-Backed Notes, Series 2021-1, Class A at AAA (sf)
-- Asset-Backed Notes, Series 2021-1, Class M1 at AA (low) (sf)
-- Asset-Backed Notes, Series 2021-1, Class M2 at A (low) (sf)
-- Asset-Backed Notes, Series 2021-1, Class M3 at BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-1, Class M4 at BB (sf)

Finance of America HECM Buyout 2021-HB1:

-- Asset-Backed Notes, Series 2021-HB Class A at AAA (sf)
-- Asset-Backed Notes, Series 2021-HB Class M1 at AA (low) (sf)
-- Asset-Backed Notes, Series 2021-HB Class M2 at A (low) (sf)
-- Asset-Backed Notes, Series 2021-HB Class M3 at BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-HB Class M4 at BB (low) (sf)

These rating actions reflect asset performance and credit-support
levels that are consistent with the current ratings.

DBRS Morningstar's rating actions are based on the following
analytical considerations:

-- Key performance measures, as reflected in credit enhancement
increases since deal inception, and running total cumulative loss
percentages.

-- In connection with the economic stress assumed under its
moderate scenario (see "Baseline Macroeconomic Scenarios for Rated
Sovereigns" published on December 9, 2021), DBRS Morningstar
advances the mortality curve of all the reverse mortgage borrowers
by four years, advances all foreclosure timelines to a AAA scenario
timeline, and applies an immediate 10% valuation haircut to all
loans.

-- The pools backing the reviewed residential mortgage-backed
security transactions consist of RM collateral.

RM LOANS

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

Notes: The principal methodology is the U.S. Reverse Mortgage
Securitization Ratings Methodology (May 8, 2020), which can be
found on dbrsmorningstar.com under Methodologies & Criteria.



[*] Fitch Places 27 Classes of Aircraft ABS on Watch Negative
-------------------------------------------------------------
Fitch Ratings has placed 27 classes of aircraft ABS transactions on
Rating Watch Negative (RWN) driven primarily by the presence of
collateral assets in Russia and Ukraine, the impact of military
actions and sanctions, and the uncertainty of enforcement and
recovery timing. In total, Fitch reviewed 40 tranches across 14
transactions; two classes remain on RWN and a further 11 have
ratings below 'CCCsf' and thus do not warrant RWN.

The affected transactions have 5% or more exposure in Russia and/or
Ukraine as of the most recent servicer reports; however, several
lessors have been in the process of reducing this exposure over the
recent weeks.

    DEBT                   RATING                          PRIOR
    ----                   ------                          -----
AASET 2018-1 Trust

A 000367AA0          LT B-sf    Rating Watch On            B-sf
B 000367AB8          LT CCCsf   Affirmed                   CCCsf
C 000367AC6          LT CCCsf   Affirmed                   CCCsf

AASET 2018-2 Trust

A 04546KAA6          LT BBBsf   Rating Watch On            BBBsf
B 04546KAB4          LT BBsf    Rating Watch On            BBsf
C 04546KAC2          LT CCCsf   Affirmed                   CCCsf

AASET 2019-1 Trust

Class A 00256DAA0    LT BBBsf   Rating Watch Maintained    BBBsf
Class B 00256DAB8    LT BBsf    Rating Watch Maintained    BBsf
Class C 00256DAC6    LT CCCsf   Affirmed                   CCCsf

AASET 2019-2 Trust

A 00038RAA4          LT Asf     Rating Watch On            Asf
B 00038RAB2          LT BBBsf   Rating Watch On            BBBsf
C 00038RAC0          LT BBsf    Rating Watch On            BBsf

AASET 2020-1 Trust

A 00255UAA3          LT Asf     Rating Watch On            Asf
B 00255UAB1          LT BBBsf   Rating Watch On            BBBsf
C 00255UAC9          LT Bsf     Rating Watch On            Bsf

Blade Engine Securitization LTD 2006-1

A-1 092650AA8        LT CCsf    Affirmed                   CCsf
A-2 092650AC4        LT CCsf    Affirmed                   CCsf
B 092650AB6          LT Dsf     Affirmed                   Dsf

ECAF I Ltd.

A-1 26827EAA3        LT B-sf    Rating Watch On            B-sf
A-2 26827EAC9        LT B-sf    Rating Watch On            B-sf
B-1 26827EAE5        LT CCCsf   Affirmed                   CCCsf

Falcon 2019-1 Aerospace Limited

Series A 30610GAA1   LT BBBsf   Rating Watch On            BBBsf
Series B 30610GAB9   LT BBsf    Rating Watch On            BBsf
Series C 30610GAC7   LT CCCsf   Affirmed                   CCCsf

Horizon Aircraft Finance II Limited

Series A 44040HAA0   LT Asf     Rating Watch On            Asf
Series B 44040HAB8   LT BBBsf   Rating Watch On            BBBsf
Series C 44040HAC6   LT Bsf     Rating Watch On            Bsf

Lunar Aircraft 2020-1 Limited

A 55037LAA2          LT BBBsf   Rating Watch On            BBBsf
B 55037LAB0          LT BBsf    Rating Watch On            BBsf
C 55037LAC8          LT Bsf     Rating Watch On            Bsf

Sapphire Aviation Finance I

A 80306AAA8          LT BBBsf   Rating Watch On            BBBsf
B 80306AAB6          LT BBsf    Rating Watch On            BBsf
C 80306AAC4          LT CCCsf   Affirmed                   CCCsf

Silver Aircraft Lease Investment Limited

A 827304AA4          LT A-sf    Rating Watch On            A-sf
B 827304AB2          LT BBsf    Rating Watch On            BBsf
C 827304AC0          LT CCCsf   Affirmed                   CCCsf

Thunderbolt II Aircraft Lease Limited

Series A 886065AA9   LT BBB-sf  Rating Watch On            BBB-sf
Series B 886065AB7   LT Bsf     Rating Watch On            Bsf

Thunderbolt III Aircraft Lease Limited

A 88607AAA7          LT A-sf    Rating Watch On            A-sf
B 88607AAB5          LT BBsf    Rating Watch On            BBsf

TRANSACTION SUMMARY

The potential for material declines in pool lease cash flow present
an increased risk of downgrade in the near-term as leases are
terminated and aircraft on ground (AOG) increase. Expectations for
re-leasing and sales diminishing due to challenges lessors will
face when repossessing, remarketing and selling aircraft. Finally,
there is heightened risk of aircrafts being lost and written off
with uncertainties surrounding insurance coverage and claims paying
process.

Rating pressure is more acute for these transactions due to their
concentrations in the two countries and continued underperformance
relative to Fitch's COVID recovery expectations. The conflict is a
credit negative for the overall aviation and airline sector, and a
prolonged ban on conducting leasing in Russia and more widespread
geopolitical risks in the region will further pressure ratings
within this cohort.

A total of 37 assets impacted are on lease to either Russian and
Ukraine airline lessees across the 14 transactions. There were 30
and seven Russian and Ukrainian leased assets, respectively. Three
transactions had lessee concentrations in both countries.

The closure of Russian airspace and sanctions imposed on Russia by
the EU Commission requires lessors to cancel all leases by March
28, 2022. To comply with sanctions, lessors have issued, or will
soon issue, lease termination notices to Russian airlines and face
the subsequent challenge of obtaining payments and/or repossessing
aircraft from Russian lessees. Additionally, Russian airlines may
no longer be able to make lease payments due to exclusion from
international payment systems (i.e. SWIFT), and Russian state-owned
airlines may otherwise stop payment under aircraft leases due to
the conflict and/or nationalize or 'confiscate' (i.e. theft)
aircraft.

Feedback from several lessors indicate that some aircraft were
moved out of Russia and Ukraine in advance of impending sanctions,
which has reduced exposures, yet contributed to elevated AOG
exposure. This includes assets in a handful of ABS pools -- four
aircraft to date in two pools are stored outside of Ukraine.
Aircraft still located in Ukraine are at risk of being destroyed,
and lessors have attempted to fly them out and relocate them to
safe jurisdictions.

KEY RATING DRIVERS

Expected Reduction in Lease Cash Flow: The key risks to ABS ratings
include the immediate reduction in cash flows as a result of
terminated leases and inability to repossess/re-lease aircraft,
combined with the potential for a total loss of aircraft if they
are not returned by Russian airline lessees.

Uncertain Enforcement and Recovery: Lessors are attempting to work
with airlines to recover aircraft in Russia, but airlines may not
be able or willing to cooperate, notably state-owned Aeroflot.
Insurance, including contingency insurance terms, may be available
to cover theft or lease defaults, while damaged or destroyed
aircraft could be covered by war/hull property insurance clauses.

Potential for Diminished Collateral Value: Aircraft seized and not
returned by Russian airlines also face the risk of being
cannibalized for parts, especially with sanctions in place
forbidding manufacturers and service providers to supply needed
parts and/or maintenance to planes.

Insurance Considerations: Due to sanctions, many insurance
companies have cancelled coverage or may contest future claims, but
certain lessors moved aircraft to their contingent/possession
insurance policies. Russian aircraft are insured in Russia, but the
value of these policies is uncertain if any value at all.
Individual insurance and umbrella policies with contingency clauses
intend to cover "act of war" events, and these policies could
potentially cover the current aircraft market value under certain
terms. If policies do pay-out, such cash flow could flow through to
support ABS deal cash flows and ratings. However, this remains to
be seen. Any policy payouts may take time, delaying these cash
flows to ABS.

Fitch is closely monitoring the evolving situation in the region,
and will resolve the RWN actions as further information becomes
clear on individual aircraft impacted. This will include clarity on
aircraft lost and/or written off, aircraft repossessed and/or put
back on lease (remarketed) or sold, insurance claims and any
proceeds stemming therefrom, if any. Positive developments on
remarketing or sale of aircraft can contribute to resolving the RWN
status.

Additionally, material improvement in transaction overall
performance metrics will dictate resolution of RWN and/or further
negative actions, which includes impact to individual deal cash
flows, structural features such as loan-to-value (LTV) ratios,
structural triggers (debt-service-coverage and utilization
triggers, and draws on liquidity facilities that cover note
interest payments).

RATING SENSITIVITIES

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

-- Fitch expects to resolve the Negative Watch within the next
    six months, and actions will consider remarketing and/or sales
    of aircraft, forecasted and collected cash flows, and
    structural protections/mitigants. Downgrades are possible if
    there continues to be high concentration of grounded aircraft
    or lease deferrals resulting in material decline in cash
    flows, or impacts to structural features.

-- This includes notable increases in transaction LTVs that
    impair credit enhancement, taking into account pool
    transaction performance metrics, and forward-looking scenarios
    that stress transaction liquidity and cash flows.

-- Classes may be removed from RWN if there is updated
    information in the servicer report that assets are no longer
    in Russia or Ukraine, when event-driven AOG levels subside, or
    any positive developments on remarketing or sale of aircraft,
    and/or notable improvement in deal cash flows.

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

-- Rating upgrades are limited as Fitch caps the aircraft ABS
    sector at 'Asf' ratings. This is due to heavy servicer
    reliance, historical asset and performance risks and
    volatility and its pronounced exposure to exogenous risks.
    This was evidenced by the effects of the events of Sept. 11,
    2001, the 2008-2010 credit crisis and pandemic disease scares
    like coronavirus, all impacting demand for air travel.
    Finally, the risks that aviation market cyclicality presents
    to these transactions are compounded because when lessee
    default probability is highest, aircraft values and lease
    rates are typically depressed.

-- Fitch also considers jurisdictional concentrations per the
    "Structured Finance and Covered Bonds Country Risk Rating
    Criteria," which could result in lower rating caps. Hence,
    senior class 'Asf' rated notes are capped and there is no
    potential for upgrades for certain tranches at this time.

-- As it relates to classes rated below 'Asf', rating upgrades
    across Fitch's rated portfolio are highly limited at this time
    given ongoing pressure on transaction performance metrics and
    the ongoing geopolitical risk, which combined will retain
    negative ABS rating pressure, especially for transactions that
    are underperforming relative to Fitch's COVID recovery
    expectation. Key drivers of potential upgrades would be strong
    collections, debt service coverage ratio above triggers and a
    decline in LTVs sustained over a period of time, among other
    factors.

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.


[*] S&P Takes Various Actions on 57 Classes From 7 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 57 classes from seven
U.S. RMBS re-securitized real estate mortgage investment conduits
(re-REMIC), issued between 2004 and 2009. The review yielded five
upgrades, three downgrades, 12 affirmations, two withdrawals, and
35 discontinuance.

A list of Affected Ratings can be viewed at:

                https://bit.ly/3qdEURM

Analytical Considerations

S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations may include:

-- Underlying collateral performance or delinquency trends,
-- Available subordination and/or overcollateralization,
-- A small loan count,
-- Expected short duration, and
-- Reduced interest payments due to loan modifications.

Rating Actions

S&P said, "The rating changes reflect our view of the associated
transaction-specific collateral performance, structural
characteristics, and/or applicable criteria. See the ratings list
below for the specific rationales associated with the classes with
rating transitions.

"The affirmations reflect our view that our projected credit
support and collateral performance on these classes have remained
relatively consistent with our prior projections.

"We discontinued our rating on class 5-A-1 from JPMorgan MBS Series
2006-R1 due to the impact of reductions in interest payments to
security holders that have been realized ("realized CIRA") as a
result of loan modifications and other credit-related events. To
determine the maximum potential rating (MPR) for this class, we
considered the amount of interest the security has received to date
versus how much it would have received absent those credit-related
events, as well as interest reduction amounts we expect over the
remaining term of the security ("expected CIRA"). However, when the
realized CIRA exceeds 4.5% of the original security balance, we
consider the MPR to be 'D' irrespective of the expected CIRA. Class
5-A-1 has a realized CIRA that exceeds 4.5%, which thus corresponds
to an MPR of 'D'. In accordance with our policies and procedures,
we are discontinuing the rating because we view a subsequent
upgrade to a rating higher than 'D (sf)' (default) to be
unlikely."



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