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

              Sunday, May 15, 2022, Vol. 26, No. 134

                            Headlines

AEGIS ASSET 2004-2: Moody's Hikes Rating on Class M3 Debt to Ba2
ARES LXIV CLO: Moody's Assigns Ba3 Rating on $20MM Class E Notes
BARCLAYS 2022-INV1: S&P Assigns Prelim B-(sf) Rating on B-2 Notes
BLACKROCK ELBERT V: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
CITIGROUP MORTGAGE 2022-RP1: Fitch Gives B(EXP) Rating on B-2 Debt

CITIGROUP MORTGAGE 2022-RP1: Fitch Rates Class B-2 Debt 'Bsf'
CITIGROUP MORTGAGE 2022-RP2: Fitch Rates Class B-2 Debt 'Bsf'
COMM 2015-CCRE27: DBRS Confirms B Rating on Class X-E Certs
COMM 2016-667M: S&P Lowers Class E Certs Rating to 'BB- (sf)'
DBJPM 2013-6: Fitch Affirms BB Rating on Class E Debt

DT AUTO 2022-2: S&P Assigns Prelim BB+ (sf) Rating on Cl. E Notes
FORTRESS CREDIT XVII: S&P Assigns Prelim 'BB-' Rating on E Notes
FREDDIE MAC 2022-DNA4: S&P Assigns Prelim 'B' Rating on B-1I Notes
GS MORTGAGE 2014-GC18: Fitch Assigns 'Dsf' Rating to 4 Tranches
GS MORTGAGE 2017-485L: S&P Lowers HRR Notes Rating to 'B (sf)'

GS MORTGAGE 2022-PJ4: Fitch Rates Class B-5 Certificates 'B+sf'
HILDENE TRUPS 4: Moody's Assigns (P)Ba3 Rating to $32.75MM D Notes
HMH TRUST 2017-NSS: S&P Lowers Class E Certs Rating to 'CCC (sf)'
ILPT COMMERCIAL 2022-LPFX: DBRS Gives BB(high) Rating on HRR Certs
JP MORGAN 2022-4: Fitch Affirms B- Rating on Class B-5 Certs

JP MORGAN 2022-5: Fitch Assigns 'B+' Rating on Class B-5 Certs
JPMMC COMMERCIAL 2019-COR5: Fitch Rates Class G-RR Debt 'B-sf'
KKR CLO 40: Moody's Assigns Ba3 Rating to $20MM Class E Notes
MORGAN STANLEY 2022-INV1: Fitch Assigns 'B-' Rating on B-5 Debt
MORGAN STANLEY I: S&P Lowers Class D Certs Rating to 'BB+ (sf)'

MVW 2022-1: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
NORTHWOODS CAPITAL 22: S&P Assigns Prelim 'BB-' Rating on E-R Notes
OBX 2022-NQM4: S&P Assigns B (sf) Rating on Class B-2 Notes
OBX TRUST 2022-J1: Fitch Assigns 'B+' Rating to Class B-5 Notes
OBX TRUST 2022-J1: Moody's Assigns B2 Rating to Cl. B-5 Debt

OCP CLO 2013-4: S&P Raises Class E-R Notes Rating to 'B- (sf)'
OCTANE RECEIVABLES 2022-1: S&P Assigns BB+ (sf) Rating on E Notes
RR 20: S&P Assigns BB- (sf) Rating on Class D Notes
SATURNS 2003-2: S&P Places 'BB+' Rating on B Notes on Watch Pos.
SDART 2021-3: Moody's Hikes Rating on Class E Notes to Ba1

SYMPHONY CLO XXXIII: Moody's Gives (P)Ba3 Rating to $15MM E Notes
UBS-BARCLAYS 2013-C5: Moody's Lowers Rating on Cl. C Certs to Ba1
VMC FINANCE 2022-FL5: DBRS Finalizes B(low) Rating on Cl. G Notes
WELLS FARGO 2022-2: Fitch Rates Class B-5 Certificates 'B+sf'
[*] Fitch Assigns Ratings to 38 Unrated Towd Point Trust Classes

[*] Fitch Takes Varions Action on 11 US Trust Preferred CDOs
[*] Fitch Withdraws Ratings on Distressed Bonds in 2 CMBS Deals
[*] Moody's Hikes Ratings on $153MM of US RMBS Issued 2004 to 2007
[*] Moody's Takes Actions on $179.2MM of US RMBS Issued 2003-2005
[*] Moody's Takes Actions on $68.4MM of US RMBS Issued 2004-2007

[*] Moody's Upgrades Ratings on $134MM of US RMBS Issued 2005-2006

                            *********

AEGIS ASSET 2004-2: Moody's Hikes Rating on Class M3 Debt to Ba2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven bonds
from three US residential mortgage backed transactions (RMBS),
backed by subprime mortgages issued by multiple issuers.

A List of Affected Credit Ratings is available at
https://bit.ly/3sp7As0

Complete rating actions are as follows:

Issuer: Aegis Asset Backed Securities Trust 2004-2

Cl. M1, Upgraded to Aaa (sf); previously on Nov 28, 2018 Upgraded
to Aa1 (sf)

Cl. M2, Upgraded to Baa1 (sf); previously on Nov 28, 2018 Upgraded
to Baa3 (sf)

Cl. M3, Upgraded to Ba2 (sf); previously on Nov 28, 2018 Upgraded
to B1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2007-AHL1

Cl. A-1, Upgraded to Aa1 (sf); previously on Jun 21, 2019 Upgraded
to Aa3 (sf)

Cl. A-2B, Upgraded to Aa2 (sf); previously on Jun 21, 2019 Upgraded
to A1 (sf)

Cl. A-2C, Upgraded to Aa3 (sf); previously on Jun 21, 2019 Upgraded
to A2 (sf)

Issuer: CSFB Home Equity Asset Trust 2006-1

Cl. M-3, Upgraded to Baa2 (sf); previously on Jan 10, 2020 Upgraded
to Ba1 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and / or an increase in credit enhancement available
to the bonds.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 11% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.

The action has considered how the coronavirus pandemic has reshaped
US economic environment and the way its aftershocks will continue
to reverberate and influence the performance of residential
mortgage loans. Moody's expect the public health situation to
improve as vaccinations against COVID-19 increase and societies
continue to adapt to new protocols. Still, the exit from the
pandemic will likely be bumpy and unpredictable and economic
prospects will vary.

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

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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


ARES LXIV CLO: Moody's Assigns Ba3 Rating on $20MM Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued by Ares LXIV CLO Ltd. (the "Issuer" or "Ares LXIV").

Moody's rating action is as follows:

US$300,620,000 Class A-1 Senior Floating Rate Notes due 2035,
Assigned Aaa (sf)

US$19,380,000 Class A-2 Senior Fixed Rate Notes due 2035, Assigned
Aaa (sf)

US$20,000,000 Class E Mezzanine 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.

Ares LXIV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans and eligible investments, and up to 10.0% of
the portfolio may consist of non- senior secured loans, including
permitted non-loan assets. The portfolio is approximately 95%
ramped as of the closing date.

Ares CLO Management LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.

In addition to the Rated Notes, the Issuer issued five classes of
secured notes and one class of subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.

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

Par amount: $500,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2984

Weighted Average Spread (WAS): SOFR + 3.50%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 8.0 years

Weighted Average Coupon (WAC): 6.00%

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.  


BARCLAYS 2022-INV1: S&P Assigns Prelim B-(sf) Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Barclays
Mortgage Loan Trust 2022-INV1's mortgage pass-through notes.

The note issuance is an RMBS transaction backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans (some with interest-only periods) to prime and non-prime
borrowers. The loans are generally secured by single-family
residential properties, planned-unit developments, condominiums,
townhouses, manufactured housing, two- to four-family residential
properties, and five- to 10-unit properties. The pool has 1,049
loans backed by 1,223 properties, including 53 cross-collateralized
loans backed by 227 properties, which are all
ability-to-repay-exempt loans.

The preliminary ratings are based on information as of May 5, 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 credit enhancement provided for this transaction;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework for this
transaction;

-- The mortgage originators and aggregators;

-- The pool's geographic concentration; and

-- The current and near-term macroeconomic conditions and the
effect they may have on the performance of the mortgage borrowers
in the pool. S&P said, "On April 17, 2020, we updated our mortgage
outlook and corresponding archetypal foreclosure-frequency levels
to account for the potential impact the COVID-19 pandemic may have
on the overall credit quality of collateralized pools. While
pandemic-related performance concerns have waned, we maintain our
updated 'B' foreclosure frequency for the archetypal pool at 3.25%
given our current outlook on the U.S. economy, which includes the
Russia-Ukraine military conflict, supply-chain disruptions, and
rising inflation and interest rates."

  Preliminary Ratings Assigned

  Barclays Mortgage Loan Trust 2022-INV1(i)

  Class A-1, $189,914,000: AAA (sf)
  Class A-2, $30,307,000: AA (sf)
  Class A-3, $40,190,000: A (sf)
  Class M-1, $22,401,000: BBB (sf)
  Class B-1, $17,295,000: BB (sf)
  Class B-2, $16,800,000: B- (sf)
  Class B-3, $12,519,161: NR
  Class A-IO-S(ii): NR
  Class XS(ii): NR
  Class R, N/A: NR

(i)The information in this report reflects the term sheet dated May
4, 2022. The preliminary ratings address the ultimate payment of
interest (including interest shortfalls) and principal. The ratings
do not address the payment of net WAC shortfall amounts.

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


NR--Not rated.
N/A--Not applicable.
WAC--Weighted average coupon.



BLACKROCK ELBERT V: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-F-R, B-R, C-R, D-R, and E-R and new
class X notes and A-RL loans from Blackrock Elbert CLO V LLC, a CLO
originally issued in December 2020 that is managed by BlackRock
Capital Investment Advisors LLC.

The preliminary ratings are based on information as of May 5, 2022.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the May 12, 2022, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."

The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:

-- The replacement class A-1-R, B-R, C-R, D-R, and E-R notes and
A-RL loans are expected to be issued at a floating spread over the
three-month term secured overnight financing rate (SOFR).

-- The replacement class A-F-R notes are expected to be issued at
a fixed coupon.

-- The stated maturity and reinvestment period will be extended by
2.5 years.

-- The original reinvestment overcollateralization (O/C) test will
be removed in connection with this refinancing.

New class X notes are expected to be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the reinvestment period beginning with the
payment date in December 2022.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.

"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."

  Preliminary Ratings Assigned

  Blackrock Elbert CLO V LLC

  Class X, $4.0 million: AAA (sf)
  Class A-1-R, $130.0 million: AAA (sf)
  Class A-RL, $40.0 million: AAA (sf)
  Class A-F-R, $60.0 million: AAA (sf)
  Class B-R, $42.0 million: AA (sf)
  Class C-R (deferrable), $32.0 million: A (sf)
  Class D-R (deferrable), $24.0 million: BBB- (sf)
  Class E-R (deferrable), $24.0 million: BB- (sf)
  Subordinated notes, $50.6 million: Not rated



CITIGROUP MORTGAGE 2022-RP1: Fitch Gives B(EXP) Rating on B-2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Citigroup Mortgage
Loan Trust 2022-RP1 (CMLTI 2022-RP1).

   DEBT     RATING
   ----     ------
A-1    LT AAA(EXP)sf    Expected Rating
A-2    LT AA(EXP)sf     Expected Rating
A-3    LT AA(EXP)sf     Expected Rating
A-4    LT A(EXP)sf      Expected Rating
A-5    LT BBB(EXP)sf    Expected Rating
M-1    LT A(EXP)sf      Expected Rating
M-2    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
B-4    LT NR(EXP)sf     Expected Rating
B-5    LT NR(EXP)sf     Expected Rating
B      LT NR(EXP)sf     Expected Rating
A-IO-S LT NR(EXP)sf     Expected Rating
X       LT NR(EXP)sf    Expected Rating
SA      LT NR(EXP)sf    Expected Rating
PT      LT NR(EXP)sf    Expected Rating
PT-1    LT NR(EXP)sf    Expected Rating
R       LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed notes to be
issued by Citigroup Mortgage Loan Trust 2022-RP1 (CMLTI 2022-RP1),
as indicated above. The transaction is expected to close on April
29, 2022. The notes are supported by one collateral group
consisting of 3,709 seasoned performing loans (SPLs) and
reperforming loans (RPLs), with a total balance of approximately
$417 million, including $30.03 million, or 7.2%, of the aggregate
pool balance in noninterest-bearing deferred principal amounts as
of the cutoff date.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional, senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicer will not advance delinquent monthly payments
of P&I.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.4% above a long-term sustainable level (vs. 9.2%
on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable 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 18.9% year
over year (yoy) nationally as of December 2021.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. After adjusting
for coronavirus-related forbearance loans, 6.3% of the pool was at
least 30 days' delinquent as of the cutoff date, and 22.5% of loans
are current but have had delinquencies within the past 24 months
(after being adjusted for Fitch's treatment of coronavirus-related
forbearance and deferral loans). Roughly 76% by unpaid principal
balance (UPB) have been modified. Fitch increased its loss
expectations to account for the delinquent loans and the loans with
prior delinquencies.

Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original CLTV of 83.7%. All loans received an updated
BPO valuation that translates to a WA sustainable LTV (sLTV) of
48.7% at the base case. This is representative of low leverage
borrowers and is stronger than recently rated RPL transactions.

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. The
provision to reallocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to those classes in
the absence of servicer advancing.

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

RATING SENSITIVITIES

Factors 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 41.1% at 'AAA'. The
analysis indicates there is some potential for rating migration
with higher MVDs for all rated classes compared with the model
projection. Specifically, a 10.0% 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:
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10.0% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
for positive rating migration for all of the rated classes.
Specifically, a 10.0% gain in home prices would result in a full
category upgrade for the rated classes excluding those being
assigned ratings of 'AAAsf'.

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction and focused on
regulatory compliance. All loans received an updated tax and title
search and review of servicing comments.

Fitch considered this information in its analysis and, as a result,
made the following adjustments to its analysis: increased the loss
severity due to HUD-1 issues, material TRID exceptions and
delinquent tax or outstanding liens. These adjustments resulted in
an increase in the 'AAAsf' expected loss of approximately 27bps.

ESG CONSIDERATIONS

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


CITIGROUP MORTGAGE 2022-RP1: Fitch Rates Class B-2 Debt 'Bsf'
-------------------------------------------------------------
Fitch Ratings has assigned final ratings to Citigroup Mortgage Loan
Trust 2022-RP1 (CMLTI 2022-RP1).

   DEBT     RATING                  PRIOR
   ----     ------                  -----
CMLTI 2022-RP1

A-1       LT AAAsf   New Rating    AAA(EXP)sf
A-2       LT AAsf    New Rating    AA(EXP)sf
A-3       LT AAsf    New Rating    AA(EXP)sf
A-4       LT Asf     New Rating    A(EXP)sf
A-5       LT BBBsf   New Rating    BBB(EXP)sf
M-1       LT Asf     New Rating    A(EXP)sf
M-2       LT BBBsf   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
B-4       LT NRsf    New Rating    NR(EXP)sf
B-5       LT NRsf    New Rating    NR(EXP)sf
B         LT NRsf    New Rating    NR(EXP)sf
A-IO-S    LT NRsf    New Rating    NR(EXP)sf
X         LT NRsf    New Rating    NR(EXP)sf
SA        LT NRsf    New Rating    NR(EXP)sf
PT        LT NRsf    New Rating    NR(EXP)sf
PT-1      LT NRsf    New Rating    NR(EXP)sf
R         LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed notes to be issued
by Citigroup Mortgage Loan Trust 2022-RP1 (CMLTI 2022-RP1), as
indicated above. The transaction is expected to close on April 29,
2022. The notes are supported by one collateral group consisting of
3,709 seasoned performing loans (SPLs) and reperforming loans
(RPLs), with a total balance of approximately $417 million,
including $30.03 million, or 7.2%, of the aggregate pool balance in
noninterest-bearing deferred principal amounts as of the cutoff
date.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional, senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicer will not advance delinquent monthly payments
of P&I.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.4% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable 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 18.9% yoy
nationally as of December 2021.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. After adjusting
for coronavirus-related forbearance loans, 6.3% of the pool was at
least 30 days' delinquent as of the cutoff date, and 22.5% of loans
are current but have had delinquencies within the past 24 months
(after being adjusted for Fitch's treatment of coronavirus-related
forbearance and deferral loans). Roughly 76% by unpaid principal
balance (UPB) have been modified. Fitch increased its loss
expectations to account for the delinquent loans and the loans with
prior delinquencies.

Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original CLTV of 83.7%. All loans received an updated
BPO valuation that translates to a WA sustainable LTV (sLTV) of
48.7% at the base case. This is representative of low leverage
borrowers and is stronger than recently rated RPL transactions.

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. The
provision to reallocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to those classes in
the absence of servicer advancing.

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

RATING SENSITIVITIES

Factors 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 41.1% at 'AAA'. The
analysis indicates there is some potential for rating migration
with higher MVDs for all rated classes compared with the model
projection. Specifically, a 10.0% 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:

The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10.0% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
for positive rating migration for all of the rated classes.
Specifically, a 10.0% gain in home prices would result in a full
category upgrade for the rated classes excluding those being
assigned ratings of 'AAAsf'.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction and focused on
regulatory compliance. All loans received an updated tax and title
search and review of servicing comments.

Fitch considered this information in its analysis and, as a result,
made the following adjustments to its analysis: increased the loss
severity due to HUD-1 issues, material TRID exceptions and
delinquent tax or outstanding liens. These adjustments resulted in
an increase in the 'AAAsf' expected loss of approximately 27bps.


CITIGROUP MORTGAGE 2022-RP2: Fitch Rates Class B-2 Debt 'Bsf'
-------------------------------------------------------------
Fitch Ratings has assigned final ratings to Citigroup Mortgage Loan
Trust 2022-RP2 (CMLTI 2022-RP2).

   DEBT     RATING                 PRIOR
   ----     ------                 -----
CMLTI 2022-RP2

A-1       LT AAAsf   New Rating    AAA(EXP)sf
A-2       LT AAsf    New Rating    AA(EXP)sf
A-3       LT AAsf    New Rating    AA(EXP)sf
A-4       LT Asf     New Rating    A(EXP)sf
A-5       LT BBBsf   New Rating    BBB(EXP)sf
M-1       LT Asf     New Rating    A(EXP)sf
M-2       LT BBBsf   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
B-4       LT NRsf    New Rating    NR(EXP)sf
B-5       LT NRsf    New Rating    NR(EXP)sf
B         LT NRsf    New Rating    NR(EXP)sf
A-IO-S    LT NRsf    New Rating    NR(EXP)sf
X         LT NRsf    New Rating    NR(EXP)sf
SA        LT NRsf    New Rating    NR(EXP)sf
PT        LT NRsf    New Rating    NR(EXP)sf
PT-1      LT NRsf    New Rating    NR(EXP)sf
R         LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed notes to be issued
by Citigroup Mortgage Loan Trust 2022-RP2 (CMLTI 2022-RP2), as
indicated. The notes are supported by two collateral groups
consisting of 5,817 seasoned performing loans (SPLs) and
reperforming loans (RPLs), with a total balance of approximately
$966.6 million, including $51.3 million, or 5.3%, of the aggregate
pool balance in noninterest-bearing deferred principal amounts as
of the cutoff date.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional, senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicer will not advance delinquent monthly payments
of P&I.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.3% above a long-term sustainable level (versus
9.2% on a national level). Underlying fundamentals are not keeping
pace with growth in home 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 18.9% yoy nationally as of December 2021.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. After adjusting
for coronavirus-related forbearance loans, 4.1% of the pool was 30
days delinquent as of the cutoff date, and 81.7% of loans are
current but have had delinquencies within the past 24 months.
Additionally, 92.3% of loans have a prior modification. Fitch
increased its loss expectations to account for the delinquent loans
and the loans with prior delinquencies.

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

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

RATING SENSITIVITIES

Factors 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 41.0% at 'AAA'. The
analysis indicates there is some potential for rating migration
with higher MVDs for all rated classes compared with the model
projection. Specifically, a 10.0% 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:

The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10.0% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
for positive rating migration for all of the rated classes.
Specifically, a 10.0% gain in home prices would result in a full
category upgrade for the rated classes excluding those being
assigned ratings of 'AAAsf'.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for
seasoned collateral. While all but four loans are seasoned 24
months or greater, 1,176 loans received a credit and property
valuation review in additional to a regulatory compliance review.
All loans received an updated tax and title search and review of
servicing comments.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis: increased the
loss severity due to HUD-1 issues, material TRID exceptions and
delinquent tax or outstanding liens. These adjustments resulted in
an increase in the 'AAAsf' expected loss of approximately 50bps.

ESG CONSIDERATIONS

CMLTI 2022-RP2 has an ESG Relevance Score of '4+' for transaction
parties and operational risk. Operational risk is well controlled
for in CMLTI 2022-RP2, including strong R&Ws and transaction due
diligence, as well as a strong servicer, which resulted in a
reduction in expected losses. This has a positive impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.

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


COMM 2015-CCRE27: DBRS Confirms B Rating on Class X-E Certs
-----------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-CCRE27 issued by COMM
2015-CCRE27 Mortgage Trust as follows:

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

Classes X-D, X-E, F, and G continue to carry Negative trends. All
other trends remain Stable.

DBRS Morningstar's loss expectations remain in line with the prior
review. The Negative trends are primarily driven by select loans
that are showing increased risk from issuance, as further detailed
below. In addition to factors at the loan level, these risks are
mitigated by the increased credit support for the bonds, as a
result of principal repayment since issuance. At issuance, the
transaction consisted of 65 fixed-rate loans secured by 96
commercial and multifamily properties, with a trust balance of
$931.6 million. As of the February 2022 remittance, 61 loans remain
within the transaction with a trust balance of $802.3 million,
reflecting collateral reduction of 13.9% since issuance. In
addition, 10 loans, representing 10.8% of the pool, have fully
defeased and one loan, NMS Los Angeles Multifamily Portfolio
(Prospectus ID#2; 8.1% of the pool), has partially defeased. Seven
loans, representing 19.6% of the pool, are currently in special
servicing and 13 loans, representing 24.9% of the pool, are on the
servicer's watchlist.

The largest specially serviced loan, Midwest Shopping Center
Portfolio (Prospectus ID#6; 4.2% of the pool), is secured by six
anchored retail properties totalling 889,413 square feet. The
properties are located across four states, with two each in Iowa
and Illinois, one in Oklahoma, and one in Missouri. The loan
transferred to the special servicer in July 2020 for monetary
default. After providing the borrower with multiple notices of
default, the special servicer was granted approval to appoint a
receiver to the properties and begin the foreclosure process. As of
October 2021, a receiver has been appointed to both properties in
Iowa. A receivership hearing for the Missouri property was held in
February 2022; however, no ruling was reached. A subsequent
mediation meeting also proved unsuccessful. The borrower has not
been responsive to multiple requests for financial reporting;
however, the most recent rent rolls provided in April 2020
indicated a consolidated occupancy rate of 81.9%. Lease rollover is
a concern, with leases representing 15.0% of net rentable area
(NRA) scheduled to roll before YE2022. In addition, leases
representing approximately 61.0% of NRA are scheduled to roll prior
to loan maturity in 2025, significantly increasing refinance risk.
As of the February 2022 remittance, the loan is current.

An appraisal of the collateral was conducted in May 2021, with a
resulting value of $51.43 million, a reduction from the issuance
value of $56.63 million but above the current whole loan exposure
of $36.50 million. The loan's sponsor, Natin “Nate” Paul, chief
executive officer of World Class Holdings, has been under
investigation by the FBI since 2019, and his firm has reportedly
been in financial distress since then. According to multiple news
sources, more than $100.0 million worth of properties owned by
World Class Holdings has been foreclosed upon. While the relatively
moderate value decline from issuance is noteworthy, DBRS
Morningstar remains concerned about the portfolio's overall
stressed cash flows, lack of financial reporting, and the
uncertainty surrounding the outcome of the sponsor's legal
challenges. For this review, DBRS Morningstar analyzed the loan
with an elevated probability of default to reflect the current risk
profile of the underlying collateral.

The second-largest loan on the servicer's watchlist, The Drake
(Prospectus ID#5; 5.4% of the pool), is secured by a 218-unit,
Class A multifamily apartment building in the Dupont Circle
submarket of Washington, D.C. The loan has been on the servicer's
watchlist intermittently since 2016, with the most recent addition
in March 2022. According to September 2021 financial reporting, the
property was 97.8% occupied with a debt service coverage ratio of
1.08 times (x), compared with 68.9% and 1.66x at YE2020,
respectively. Despite the increase in occupancy driven by the
execution of 68 new leases, effective gross income declined over
the period as a result of increases in vacancy loss and
concessions. As of September 2021, the property was achieving
average rents of approximately $2,100 per unit, generally in line
with average market rents for comparable assets. The subject
benefits from its desirable location in Washington, D.C., as well
as the submarket's historically low vacancy rate, which is expected
to rebound in the near to moderate term. Given recent leasing
momentum and the expected stabilization in cash flows, DBRS
Morningstar expects performance at the property to improve in the
near to moderate term.

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


COMM 2016-667M: S&P Lowers Class E Certs Rating to 'BB- (sf)'
-------------------------------------------------------------
S&P Global Ratings lowered its rating on the class E commercial
mortgage pass-through certificates from COMM 2016-667M Mortgage
Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its
ratings on five classes from the transaction.

This U.S. CMBS transaction is backed by a portion of a fixed-rate,
interest-only (IO) mortgage whole loan secured by an office
property located within Midtown Manhattan's Plaza District
submarket.

Rating Actions

S&P said, "The downgrade of class E and the affirmations of classes
A, B, C, and D reflect our reevaluation of the office property that
secures the sole loan in the transaction. Our current analysis
considers that the sponsor signed new leases with six tenants
commencing in 2021 and 2022 that account for 12.5% of net rentable
area (NRA), bringing the occupancy rate to 96.7%, according to the
Dec. 31, 2021, rent roll, from 85.3% in 2020. However,
approximately 11.5% of NRA is leased to Servcorp Madison LLC
(Servcorp), a co-working tenant, that contributes
lower-than-average income to the property (details below), and two
of the three retail tenants aggregating 2.3% of NRA and 13.6% of
the total annual base rent per the December 2021 rent roll are
delinquent and/or dark, which the sponsor considered as vacant in
its 2021 rent roll or 2022 budget. Specifically, the downgrade on
class E reflects our revised net cash flow (NCF), which is lower
than the stabilized NCF we derived at issuance due primarily to
higher retail vacancy (similar to the sponsor, we assumed the
delinquent and/or dark retail tenants as vacant), lower in-place
office rental rates and expense reimbursement income, and higher
operating expenses.

"Our property-level analysis considers these factors as well as the
weakened office submarket fundamentals due to lower demand and
longer re-leasing timeframes as more companies adopt a hybrid work
arrangement or relocate to lower cost areas or states. Our revised
sustainable NCF, using an 85.0% occupancy rate, is at the same
level as the in-place NCF of $19.3 million (based on a 77.5%
occupancy rate) that we derived at issuance but is 8.2% lower than
our issuance stabilized NCF (assuming an 83.2% stabilized occupancy
rate at $110 per sq. ft. gross office stabilized rent). Our revised
NCF is also on par with the servicer-reported 2021 figures and
borrower's 2022 budget. Using an S&P Global Ratings capitalization
rate of 6.25%, we arrived at an expected-case valuation of $309.1
million or $1,128 per sq. ft., which represents a decline of 6.8%
from our issuance and last review stabilized values of $331.8
million. This yielded an S&P Global Ratings loan-to-value (LTV)
ratio of 82.2% on the whole loan balance."

Although the model-indicated ratings were lower than the classes'
current rating levels, S&P affirmed its ratings on classes A, B, C,
and D based on certain weighed qualitative considerations. These
include:

-- The property's desirable location in the Plaza District
submarket of Manhattan;

-- The potential that the property's operating performance could
improve above our revised expectations;

-- The high appraised land value of $240.0 million in 2016;

-- The significant market value decline that would need to occur
before these classes experience principal losses;

-- The liquidity support provided in the form of servicer
advancing; and

-- The relative position of the classes in the payment waterfall.

The whole loan had a reported current payment status through its
April 2022 debt service payments, and the borrower did not request
COVID-19 relief. The loan is on the master servicer's watchlist due
to flood damage to the electrical and elevator systems when a large
water main broke outside the property in July 2019. According to
the master servicer, KeyBank Real Estate Capital (KeyBank),
approximately $19.7 million was dispersed by the insurance carriers
to the sponsor to date, of which $17.3 million was spent on initial
cleanup, loss of rents, and majority of the restoration work. The
remaining outstanding restoration work is to relocate the
electrical systems to a higher floor to avoid this issue going
forward, which the sponsor anticipates completing later this year
or in 2023. KeyBank noted that approximately $644,603 in additional
insurance proceeds is expected to be distributed to the sponsor in
the near term. KeyBank indicated that as of April 2022, there is
$517,151 in the replacement reserve, $1.6 million in the tenant
reserve, and $2.3 million in the other reserve accounts.

The affirmation on the class X-A IO certificates reflects S&P's
criteria for rating IO securities, in which the rating on the IO
securities would not be higher than that of the lowest-rated
reference class. The notional amount of the class X-A certificates
references class A.

S&P may take additional negative rating actions if the property's
performance does not improve or if there are reported negative
changes in the performance beyond what it has already considered.

Property-Level Analysis

The property is a 24-story, 273,983-sq.-ft. class A granite and
limestone façade office building with ground floor and basement
retail space located at 667 Madison Avenue within the Plaza
District submarket of Midtown Manhattan. The property, built in
1985 by an affiliate of the sponsor, Hartz Financial Corp.,
features Central Park views and includes a fitness center and golf
simulator accessible from the concourse level.

According to the December 2021 rent roll, the five largest office
tenants at the property, comprising 44.8% of NRA, are:

-- Loews Corp. (15.4% of NRA, 11.4% of in place gross rent, as
calculated by S&P Global Ratings, May 2024 lease expiration);

-- Servcorp (11.5%, 7.1%, June 2024);

-- Redbird Capital Partners Management LLC (6.6%, 7.6%, March
2025);

-- Sciens Management LLC (5.7%, 5.0%, July 2024); and

-- Corvex Management L.P. (5.6%, 6.7%, September 2025).

At issuance, the property's occupancy rate dropped to 77.5% after
the largest tenant at that time, Berenson & Co. Inc., making up
12.6% of NRA downsized to 1.2% of NRA. S&P said, Since the property
exhibited a 10-year average occupancy rate of 96.3% coupled with
strong office submarket fundamentals (less than 10% market vacancy
and availability rates), we assumed a stabilized occupancy rate of
83.2% at a stabilized base rent of $110 per sq. ft. and 1.5 years
downtime. We arrived at an S&P Global Ratings' stabilized NCF of
$21.0 million, compared with our in-place NCF of $19.3 million at
issuance. We divided the $1.7 million incremental NCF by a 6.50%
S&P Global Ratings' capitalization rate (compared with a 6.25% S&P
Global Ratings' capitalization rate on the S&P Global Ratings in
place NCF), arriving at an S&P Global Ratings value of $331.8
million or $1,211 per sq. ft. In our review in June 2019, the
property had an occupancy rate of 74.2% based on the March 31,
2019, rent roll. We expected occupancy to increase to 85.7% after
July 1, 2019, with the commencement of Servcorp's five-year
management agreement. As a result, in our June 2019 review, we
maintained the in-place and stabilized assumptions derived at
issuance."

While the occupancy rate gradually increased to 79.1% in 2018,
84.5% in 2019, 85.3% in 2020, and 93.7% in 2021, the servicer
reported NCF declined 2.1% to $18.0 million in 2018 and 21.6% to
$14.1 million in 2019. It then increased 13.0% to $15.9 million in
2020 and another 24.3% to $19.8 million in 2021. The borrower
budgeted a $20.1 million NCF for 2022, which is still below our
projected stabilized NCF of 21.0 million.

S&P said, "We attributed the lower-than-expected reported NCF to
the vacancy of one of the four retail tenants that has not yet been
backfilled (representing 2.0% of NRA and paying approximately $350
per sq. ft. in gross rent), lower average gross rent, higher
leasing concessions (approximately three to seven months of free
rent) provided to new tenants, and higher operating expenses
(ranging between $19.2 million and $21.7 million from 2017-2021)
compared with our assumed operating expenses of approximately $19.0
million at issuance and in our last review. In addition, while the
Dec. 31, 2021, rent roll included co-working tenant, Servcorp,
representing 11.5% of NRA, it does not pay rent. Instead, Servcorp
manages short-term office rental or hoteling at the property and
collects and remits the net income (revenue less operating expenses
and management fees) to the sponsor via a management agreement.
According to the sponsor, the utilization rate is not available;
however, Servcorp reported net income of $98,866 ($3.15 per sq.
ft.) in 2019, $1.3 million ($42.29 per sq. ft.) in 2020, and $1.8
million ($58.68 per sq. ft.) in 2021, which we have considered in
our analysis to derive the S&P Global Ratings' NCF and value."

The sponsor was able to re-tenant the property by signing new
leases commencing in 2021 and 2022 with six tenants comprising
12.5% of NRA at an average base rent of $126.03 per sq. ft.
compared with $134.11 per sq. ft. on the office tenants at
issuance. Five of these tenants received between three and seven
months of free rent. According to the sponsor, none of the tenants
have termination options.

The property also faces elevated rollover risk in 2023 (9.2% of
NRA), 2024 (40.2%) and 2025 (16.4%). In addition, the sponsor has
indicated that two retail tenants comprising 2.3% of NRA and paying
average gross rent of $794.93 per sq. ft. were excluded from the
2022 budget because they are delinquent and/or dark. S&P's revised
expected-case assumptions and valuation of the property reflect the
following factors:

-- The weakened Plaza District office submarket (where the
property is located) fundamentals, stemming from more companies
embracing flexible work arrangements.

-- Known tenant movements.

-- Concentrated rollover risk.

According to CoStar, the Plaza District office submarket had
experienced higher vacancy rates in recent years due to increased
remote work. Plaza District has one of the largest, stable 4- to
5-star office properties, however, most were built in the 20th
century. It is one of the most expensive submarkets in New York
City, and rents could continue to be negatively impacted (according
to CoStar, market rent for 4- to 5-star office properties in the
submarket declined 2.6% in 2020, 1.0% in 2021, and 0.4% as of
year-to-date [YTD] April 2022) if vacancy and availability rates
continue to be elevated. CoStar noted that the 4- to 5-star office
properties submarket asking rent, vacancy rate, and availability
rate as of YTD April 2022 were $93.30 per sq. ft., 15.4%, and
17.8%, respectively. CoStar projects the office submarket vacancy
rate and asking rent to be 14.0% and $101.51 per sq. ft.,
respectively, in 2023.

S&P said, "Our current property-level analysis considered the
aforementioned developments as well as current market data and
conditions. As mentioned above, we assumed an occupancy rate of
85.0% (compared with a 96.7% occupancy rate as of the December 2021
rent roll) and an in-place gross rent of $153.14 per sq. ft., as
calculated by S&P Global Ratings, which result in an S&P Global
Ratings NCF of $19.3 million. Using an S&P Global Ratings
capitalization rate of 6.25%, we derived an expected-case value of
$309.1 million or $1,128 per sq. ft."

Transaction Summary

This is a U.S. stand-alone (single-borrower) transaction backed by
a portion of a 10-year, fixed-rate, IO mortgage whole loan. The
loan is secured by the borrower's fee simple interest in an office
property located at 667 Madison Avenue in Manhattan.

The IO mortgage whole loan had an initial and current balance of
$254.0 million, pays an annual fixed interest rate of 3.20%, and
matures on Oct. 6, 2026. The whole loan is split into two senior A
notes and a subordinate junior B note. The $214.0 million trust
balance (according to the April 12, 2022, trustee remittance
report), comprises the $143.0 million senior note A-1 and $71.0
million subordinate note B. The $40.0 million senior note A-2 is in
CD 2016-CD2 Mortgage Trust, a U.S. CMBS transaction. The senior A
notes are pari passu to each other and senior to the B note.

The borrower is permitted to incur up to $100.0 million in
mezzanine debt, subject to certain conditions including combined
LTV ratio less than 34.3%, combined debt service coverage (DSC)
greater than 3.15x, and combined debt yield of no less than 10.2%.
KeyBank confirmed there are no additional debt. To date, the trust
has not incurred any principal losses. KeyBank reported a DSC of
2.40x and an occupancy rate of 93.7% as of year-end 2021, an
increase from 1.93x and 85.3%, respectively, as of year-end 2020.

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."

  Rating Lowered

  COMM 2016-667M Mortgage Trust

  Class E to 'BB- (sf)' from 'BB (sf)'

  Ratings Affirmed

  COMM 2016-667M Mortgage Trust

  Class A: AAA (sf)
  Class B: AA- (sf)
  Class C: A- (sf)
  Class D: BBB- (sf)
  Class X-A: AAA (sf)



DBJPM 2013-6: Fitch Affirms BB Rating on Class E Debt
-----------------------------------------------------
Fitch Ratings has affirmed 13 classes of DBJPM 2016-C3 Mortgage
Trust (DBJPM 2016-C3). The Rating Outlook on one class has been
revised to Stable from Negative.

Rating Actions

                         Rating             Prior
                         ------             -----
DBJPM 2016-C3

A-2 23312VAB2      LT   AAAsf    Affirmed   AAAsf
A-3 23312VAC0      LT   AAAsf    Affirmed   AAAsf
A-4 23312VAE6      LT   AAAsf    Affirmed   AAAsf
A-5 23312VAF3      LT   AAAsf    Affirmed   AAAsf
A-M 23312VAH9      LT   AAAsf    Affirmed   AAAsf
A-SB 23312VAD8     LT   AAAsf    Affirmed   AAAsf
B 23312VAJ5        LT   AA-sf    Affirmed   AA-sf
C 23312VAK2        LT   A-sf     Affirmed   A-sf
D 23312VAS5        LT   BBB-sf   Affirmed   BBB-sf
E 23312VAU0        LT   BBsf     Affirmed   BBsf
X-A 23312VAG1      LT   AAAsf    Affirmed   AAAsf
X-B 23312VAL0      LT   AA-sf    Affirmed   AA-sf
X-C 23312VAN6      LT   BBB-sf   Affirmed   BBB-sf

KEY RATING DRIVERS

Decreased Loss Expectations: Fitch's base case loss expectations
have decreased since Fitch's prior rating action. The majority of
the pool has experienced better than expected performance in 2020
and/or 2021 during the pandemic. Fitch's loss expectations have
decreased for several Fitch Loans of Concern (FLOCs). Fourteen
loans (45.0% of the pool), including two (1.3%) in special
servicing, are designated FLOCs. One loan previously in Special
Servicing (3.4%) has been returned to the Master Servicer.

Fitch's current ratings reflect a base case loss of 3.5%. The
revision to Stable Outlooks reflects stabilization of many of the
FLOC's that experienced pandemic related declines along with
sufficient credit enhancement (CE) and the expectation of paydown
from continued amortization.

Fitch Loans of Concern: The largest increase in loss expectations,
Opry Mills (7.7% of pool), is secured by a 1.2 million-sf super
regional mall located in Nashville, TN, seven miles from downtown
Nashville. The collateral's major tenants include Bass Pro Shops
(11.0% of NRA; April 2025); Regal Cinemas (8.5% of NRA; May 2025);
Dave & Busters (4.8% of NRA; May 2026); Forever 21 (4.5% of NRA;
January 2023); Off Broadway Shoes (2.5% of NRA; January 2023).

The loan is considered a FLOC due to upcoming lease rollover. As of
the most recent rent roll dated September 2021, approximately 39%
of the NRA has lease expirations between 2022 and 2023. The
rollover is relatively granular across nearly 90 tenants and
includes top tenants Forever 21 (4.5% of NRA; January 2023) and Off
Broadway Shoes (2.5% of NRA; January 2023). Fitch's base case loss
of 8.5% reflects a 12% cap rate and 10% stress to the YE 2020 NOI.

The second largest increase in loss expectations is Westfield San
Francisco Centre (9.90% in aggregate across four pari-passu pieces
in this deal). The loans are secured by a portion of a 1,445,449-sf
super regional mall (553,366 sf of retail collateral and 241,155 sf
of office collateral) located in San Francisco's Union Square
neighborhood. Occupancy at the subject has declined to 72% as of
September 2021, down from 87% at YE 2020. This change is primarily
driven by two office tenants vacating at the respective lease
expirations, Crunchyroll (9% NRA) and TrustArc (3.5%). The three
largest tenants, San Francisco State University (15.8% NRA),
Century Theatres (6.6% NRA), and Bespoke (5.1% NRA) all have lease
expiration in December 2021. Collateral performance has continued
its downward trend, posting an NOI DSCR of 1.58x in September 2021
compared with 1.77x at YE 2020, and 2.32x at YE 2019.

The next largest increase in loss expectations is specially
serviced Fairfield Hilton Head (0.53% of the pool). The loan is
secured by a 64-unit limited service hotel constructed in 1999 and
renovated in 2013. The property is located in Okatie, SC within the
Hilton Head MSA. The loan transferred to special servicing in
November 2018 due to imminent monetary default. Multiple delays
including the cancellation of non-emergency court hearings at the
state level during the pandemic have resulted in a prolonged
execution of a workout strategy. Fitch's analysis includes a
haircut to the most recent appraisal resulting in a loss severity
of approximately 57.6%.

Minimal Changes to Credit Enhancement: As of the April 2022
distribution date, the pool's aggregate principal balance was paid
down by 5.1% to $849 million from $894 million at issuance. Since
Fitch's last rating action, one loan (0.7% of the issuance balance)
repaid at maturity. Three loans (15.6% of the pool) are fully
defeased. There have been no realized losses since issuance.
Interest shortfalls of approximately $148,862 are currently
contained to the non-rated class H certificate.

Eleven loans (41.9%) are full-term interest-only and one loan
(3.4%) originally structured with a partial interest-only period
has not yet begun to amortize. Of the non-defeased loans, one loan
(1.6% of the pool) matures in 2023, and the remainder of the pool
matures in 2026.

RATING SENSITIVITIES

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

Sensitivity factors that could lead to downgrades include an
increase in pool-level losses from underperforming or specially
serviced loans/assets. Downgrades to classes rated 'AAAsf' and
'AA-sf' may occur should interest shortfalls affect these classes,
or additional loans become FLOCs.

Downgrades to classes B and C are possible should the specially
serviced loans incur greater than expected losses. Classes D and E
may be downgraded should loss expectations increase due to further
performance decline for the FLOCs.

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

Sensitivity factors that could lead to upgrades include stable to
improved asset performance, 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 classes D and E are 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.

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING
The principal sources of information used in the analysis are
described in the Applicable Criteria.

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.


DT AUTO 2022-2: S&P Assigns Prelim BB+ (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to DT Auto
Owner Trust 2022-2's asset-backed notes series 2022-2.

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

The preliminary ratings are based on information as of May 5, 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:

-- Credit support of 61.11%, 55.72%, 45.57%, 38.51%, and 35.92%
for the class A, B, C, D, and E notes, respectively, based on
stressed break-even cash flow scenarios (including excess spread).
These credit support levels provide approximately 2.37x, 2.12x,
1.72x, 1.38x, and 1.29x coverage of S&P's expected net loss range
of 24.75%-25.75% for the class A, B, C, D, and E notes,
respectively. Credit enhancement also covers cumulative gross
losses of approximately 87.30%, 79.59%, 70.10%, 59.24%, and 55.26%
respectively, assuming a 30% recovery rate for the class A and B
notes, and a 35% recovery rate for the class C, D, and E notes.

-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that S&P deems appropriate for the assigned preliminary ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.38x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in S&P Global Rating
Definitions.

-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (approximately 72%) of
obligors with higher payment frequencies (more than once a month).

-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.

  Preliminary Ratings Assigned

  DT Auto Owner Trust 2022-1

  Class A, $216.84 million: AAA (sf)
  Class B, $43.15 million: AA (sf)
  Class C, $55.63 million: A (sf)
  Class D, $59.03 million: BBB (sf)
  Class E, $18.17 million: BB+ (sf)



FORTRESS CREDIT XVII: S&P Assigns Prelim 'BB-' Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fortress
Credit BSL XVII Ltd./Fortress Credit BSL XVII 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 FC BSL XVII Management LLC.

The preliminary ratings are based on information as of May 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 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

  Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC

  Class A-1, $316.60 million: AAA (sf)
  Class A-2, $18.90 million: AAA (sf)
  Class B-1, $30.00 million: AA (sf)
  Class B-2, $44.25 million: AA (sf)
  Class C-1 (deferrable), $25.00 million: A (sf)
  Class C-2 (deferrable), $10.75 million: A (sf)
  Class D (deferrable), $33.00 million: BBB- (sf)
  Class E (deferrable), $19.25 million: BB- (sf)
  Subordinated notes, $52.375 million: Not rated



FREDDIE MAC 2022-DNA4: 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-DNA4's notes.

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

The preliminary ratings are based on information as of May 5, 2022.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

-- 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 S&P's 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 potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On April 17, 2020, we updated our mortgage
outlook and corresponding archetypal foreclosure frequency levels
to account for the potential impact of the COVID-19 pandemic on the
overall credit quality of collateralized pools. While pandemic
related performance concerns have waned, given our current outlook
for the U.S. economy considering the impact of the Russia-Ukraine
military conflict, supply-chain disruptions, and rising inflation
and interest rates, we continue to maintain our updated 'B' FF for
the archetypal pool at 3.25%."

  Preliminary Ratings Assigned

  Freddie Mac STACR REMIC Trust 2022-DNA4

  Class A-H(i), $33,512,574,095: Not rated
  Class M-1A, $554,000,000: A (sf)
  Class M-1AH(i), $29,596,279: Not rated
  Class M-1B, $537,000,000: BBB- (sf)
  Class M-1BH(i), $28,911,541: Not rated
  Class M-2, $252,000,000: BB- (sf)
  Class M-2A, $126,000,000: BB+ (sf)
  Class M-2AH(i), $6,635,518: Not rated
  Class M-2B, $126,000,000: BB- (sf)
  Class M-2BH(i), $6,635,518: Not rated
  Class M-2R, $252,000,000: BB- (sf)
  Class M-2S, $252,000,000: BB- (sf)
  Class M-2T, $252,000,000: BB- (sf)
  Class M-2U, $252,000,000: BB- (sf)
  Class M-2I, $252,000,000: BB- (sf)
  Class M-2AR, $126,000,000: BB+ (sf)
  Class M-2AS, $126,000,000: BB+ (sf)
  Class M-2AT, $126,000,000: BB+ (sf)
  Class M-2AU, $126,000,000: BB+ (sf)
  Class M-2AI, $126,000,000: BB+ (sf)
  Class M-2BR, $126,000,000: BB- (sf)
  Class M-2BS, $126,000,000: BB- (sf)
  Class M-2BT, $126,000,000: BB- (sf)
  Class M-2BU, $126,000,000: BB- (sf)
  Class M-2BI, $126,000,000: BB- (sf)
  Class M-2RB, $126,000,000: BB- (sf)
  Class M-2SB, $126,000,000: BB- (sf)
  Class M-2TB, $126,000,000: BB- (sf)
  Class M-2UB, $126,000,000: BB- (sf)
  Class B-1, $88,000,000: B (sf)
  Class B-1A, $44,000,000: B+ (sf)
  Class B-1AR, $44,000,000: B+ (sf)
  Class B-1AI, $44,000,000: B+ (sf)
  Class B-1AH(i), $44,423,678: Not rated
  Class B-1B, $44,000,000: B (sf)
  Class B-1BH(i), $44,423,678: Not rated
  Class B-1R, $88,000,000: B (sf)
  Class B-1S, $88,000,000: B (sf)
  Class B-1T, $88,000,000: B (sf)
  Class B-1U, $88,000,000: B (sf)
  Class B-1I, $88,000,000: B (sf)
  Class B-2, $88,000,000: Not rated
  Class B-2A, $44,000,000: Not rated
  Class B-2AR, $44,000,000: Not rated
  Class B-2AI, $44,000,000: Not rated
  Class B-2AH(i), $44,423,678: Not rated
  Class B-2B, $44,000,000: Not rated
  Class B-2BH(i), $44,423,678: Not rated
  Class B-2R, $88,000,000: Not rated
  Class B-2S, $88,000,000: Not rated
  Class B-2T, $88,000,000: Not rated
  Class B-2U, $88,000,000: Not rated
  Class B-2I, $88,000,000: Not rated
  Class B-3H(i), $88,423,678: Not rated

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



GS MORTGAGE 2014-GC18: Fitch Assigns 'Dsf' Rating to 4 Tranches
---------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed twelve classes of GS
Mortgage Securities Trust 2014-GC18 pass-through certificates
(GSMSC 2014-GC18). Fitch has revised the Rating Outlooks on classes
A-4, B and X-B to Stable from Negative. The Outlooks on classes A-S
and X-A have been revised to Positive from Negative.

   DEBT           RATING                 PRIOR
   ----           ------                 -----
GSMS 2014-GC18

A-3 36252RAJ8    LT AAAsf    Affirmed    AAAsf
A-4 36252RAM1    LT AAAsf    Upgrade     AAsf
A-AB 36252RAQ2   LT AAAsf    Affirmed    AAAsf
A-S 36252RAZ2    LT Asf      Affirmed    Asf
B 36252RBC2      LT BBsf     Affirmed    BBsf
C 36252RBJ7      LT CCCsf    Affirmed    CCCsf
D 36252RAG4      LT Dsf      Affirmed    Dsf
E 36252RAK5      LT Dsf      Affirmed    Dsf
F 36252RAN9      LT Dsf      Affirmed    Dsf
PEZ 36252RBF5    LT CCCsf    Affirmed    CCCsf
X-A 36252RAT6    LT Asf      Affirmed    Asf
X-B 36252RAW9    LT BBsf     Affirmed    BBsf
X-C 36252RAA7    LT Dsf      Affirmed    Dsf

KEY RATING DRIVERS

Improved Loss Expectations: The upgrade and Outlook revisions
reflect lower than expected losses, primarily driven by the
disposition of three loans with better than expected recoveries.
Additionally, performance continues to stabilize on many properties
impacted by the pandemic. There are seven Fitch Loans of Concern
(23% of the pool). One loan (2%) is currently in special
servicing.

Decreased Credit Enhancement: As of the March 2022 distribution
date, the pool's aggregate principal balance was reduced by 39% to
$677.7 million from $1.1 billion at issuance. There have been
$122.7 million in realized losses to date. The Crossroads, Wyoming
Valley Mall and Hilton Garden Inn Pittsburgh were disposed since
Fitch's last rating action resulting in a loss of $121.6 million
and combined had an outstanding balance of $172.6 million at the
time of disposition. Two loans (6.2%) are full-term interest only
(IO), and no loans remain in their partial IO period.

Largest Contributor to Loss: The largest contributor to loss is The
Shops at Canal Place loan (15%), which is secured by a high-end
retail complex located in downtown New Orleans, LA. The collateral
consists of 216,938 sf of retail space, including Saks Fifth Avenue
and a seven-story parking garage. The Prytania at Canal Place
(10.3% NRA) signed a lease that commenced in October 2020 and
recently signed an extension that will run through March 2027. As
of YE 2020 the servicer reported NOI DSCR was 0.80x at YE 2020 with
an occupancy of 97%.

Only approximately 60,000 sf of in-line tenants occupying less than
10,000 sf reported sales figures in the latest report provided by
the servicer as of Dec. 30, 2020. For those reporting tenants,
in-line sales for the TTM ended Dec 2020 were $343 compared with
$462 psf (2019), $472 psf (June 2019 TTM) and $469 (TTM June
2018).

Fitch's base case loss of 19% incorporates a 10% cap rate and a 15%
haircut to the YE 2019 NOI.

The next largest contributor to loss is the CityScape - East
Office/Retail loan (14%), which is secured by a mixed-use
development located in Phoenix, AZ. Per the September 2021 rent
roll, occupancy was 85%. Occupancy is expected to increase to 99%
due to a new lease commencing in November 2022 for 17% of the NRA
through October 2037. Rollover at the property included 3% of the
NRA in 2021, followed by 4.6% in 2022 and 0% in 2023 and 2024. The
servicer reported YE 2021 NOI DSCR was 1.22x compared with 1.22x at
YE 2020 and 1.32x at YE 2019.

The third largest contributor to loss is the Wyndham Garden Inn
Long Island City loan (2%), which is secured by a seven-story 128
room Wyndham Garden Hotel, built in 2012 and located in Long Island
City, NY directly across the East River from Manhattan. The loan
transferred to special servicing in May 2020 and became REO in
January 2022. Performance was declining prior to the pandemic due
to a large supply of new hotel rooms in the Manhattan and Long
Island City area.

Fitch applied a discount to the July 2021 appraisal, which reflects
a value of $106,250 per key.

RATING SENSITIVITIES

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

Downgrades to classes A-3, A-4 and A-AB are not likely due to their
position in the capital structure and reliance on proceeds from the
defeased collateral and loans with stable performance; however,
downgrades to these classes may occur if interest shortfalls
occur.

Downgrades to classes A-S and B would occur if loss expectations
increase, if FLOCs fail to stabilize or continue to decline or if
additional loans transfer to special servicing. Further downgrades
to the distressed class C are possible as losses become more
imminent.

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

The Positive Outlook on class reflects a possible upgrade in the
next one to two years with continued performance stabilization
combined with expected amortization or additional defeasance.

An upgrade to class B would only occur with significant improvement
in CE and/or defeasance combined with stabilization of the FLOCs.

Upgrades to the distressed class C are not likely given the
classes' low credit enhancement.

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG CONSIDERATIONS

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


GS MORTGAGE 2017-485L: S&P Lowers HRR Notes Rating to 'B (sf)'
--------------------------------------------------------------
S&P Global Ratings lowered its rating on the class HRR commercial
mortgage pass-through certificates from GS Mortgage Securities
Corp. Trust 2017-485L, a U.S. CMBS transaction. At the same time,
we affirmed our ratings on five classes from the same transaction.


This U.S. CMBS transaction is backed by a 10-year, fixed-rate,
interest-only (IO) mortgage loan secured by the borrower's fee
interest in a 32-story, 935,452-sq.-ft. class A office tower (with
ground floor retail space and a parking garage) located at 485
Lexington Avenue in midtown Manhattan.

Rating Actions

S&P said, "The downgrade of class HRR and the affirmations of
classes A, B, and C reflect our reevaluation of the office property
that secures the sole loan in the transaction. Our analysis
considers the declining servicer-reported net cash flows (NCFs),
the sponsor's inability to increase the property's occupancy rate
to 90.0% (our assumed stabilized occupancy rate underlying our
issuance value) or to historical or market occupancy levels, and
the decreased in-place office gross rent at the property as
calculated by S&P Global Ratings. As of the Jan. 1, 2022, rent
roll, the property was 84.7% leased. After accounting for
additional servicer-provided leasing updates, we expect the
occupancy rate to fall slightly, to approximately 80.1%, at
in-place office and retail gross rents of $64.84 per sq. ft. and
$148.92 per sq. ft., respectively.

At issuance, leased occupancy was 99.4% as of the Jan. 1, 2016,
rent roll; however, physical occupancy was 71.7% because the
largest tenant at that time, Citibank N.A., comprising 31.9% of net
rentable area (NRA), was dark and its lease expired in February
2017. S&P said, "Since the physical occupancy was well below its
historical occupancy rate, as well as its competitive set and
submarket, we assumed a stabilized occupancy level of 90.0% at a
stabilized rental rate of $64.00 per sq. ft. in 1.5 years. In our
last review in August 2019, while the property was 84.1% occupied,
our in-place NCF of $27.2 million (based on in-place office and
retail gross rents of $70.15 per sq. ft. and $143.23 per sq. ft.,
respectively, as calculated by S&P Global Ratings) was generally in
line with our stabilized NCF of $30.2 million derived at issuance
(based on in-place office and retail gross rents of $67.50 per sq.
ft. and $144.28 per sq. ft., respectively)."

The servicer-reported NCF declined 13.3% to $31.8 million in 2020
from $36.7 million in 2019, and then decreased another 10.1% to
$28.6 million in 2021. The reported occupancy rate was 86.1% in
2019, 80.0% in 2020, and 84.7% in 2021.

S&P said, "Our property-level analysis considers these factors, as
well as the softened office submarket fundamentals from lower
demand and longer re-leasing time frames as more companies adopt a
hybrid work arrangement. Therefore, we revised and lowered our
sustainable NCF to $25.3 million (which is 6.9% and 16.2% lower
than the NCF we derived at our last review and at issuance,
respectively) using our assumed 80.1% occupancy rate. Our NCF is
11.7% lower than the servicer-reported figures. Using an S&P Global
Ratings capitalization rate of 6.25% (unchanged from last review
and at issuance), we arrived at an expected-case valuation of
$406.4 million, or $434 per sq. ft.--a 7.5% decrease from our last
review and the issuance value of $439.3 million, or $470 per sq.
ft. This yielded an S&P Global Ratings debt service coverage of
1.78x and loan-to-value ratio of 86.1% on the mortgage loan
balance."

Although the model-indicated ratings were lower than the classes'
current rating levels, S&P affirmed its ratings on classes A, B,
and C because S&P weighed certain qualitative considerations,
including:

-- The potential that the property's operating performance could
improve above our revised expectations;

-- The significant market value decline that would be needed
before these classes experience principal losses;

-- The relatively high appraised land value of $365 million in
2017.

-- The liquidity support provided in the form of servicer
advancing; and

-- The relative position of the classes in the payment waterfall.

S&P affirmed its ratings on the class X-A and X-B IO certificates
based on its criteria for rating IO securities, in which the
ratings on the IO securities would not be higher than that of the
lowest-rated reference class. Class X-A's notional amount
references class A, and class X-B references class B.

The mortgage loan had a reported current payment status through its
April 2022 debt service payment date, and the borrower did not
request COVID-19-related relief, though several tenants received
COVID-19-related relief. According to the master servicer, Midland
Loan Services, there are several reserves in place as of April
2022, including $1.7 million in leasing commission reserves,
$383,745 in unfunded obligations reserves, $353,670 in tenant
improvement reserves, and $2,005 in deferred maintenance reserves.

If the property's performance does not improve or if there are
reported negative changes in the performance beyond what S&P has
already considered, it may revisit its analysis and adjust its
ratings as necessary.

Property-Level Analysis

The property is a 32-story, 935,452-sq.-ft., class A office
building located at 485 Lexington Avenue in the Grand Central
office submarket of midtown Manhattan. The property occupies the
eastern length of Lexington Avenue between 46th and 47th streets
and includes 861,676 sq. ft. of office space, 22,978 sq. ft. of
ground floor retail space, 27,986 sq. ft. of storage and management
space, and a 100-space parking garage (22,812 sq. ft.).

The property was built in 1956 and is connected through a common
lobby corridor to the 750 Third Avenue building, and together
served as the corporate headquarters for Teachers Insurance and
Annuity Association-College Retirement Equities Fund (TIAA-CREF)
for 25 years. In 2004, the sponsor, through its affiliates and in a
joint venture, acquired an ownership interest in the subject
property and 750 Third Avenue. Though TIAA-CREF no longer occupies
space at the subject property, it remains the largest tenant at 750
Third Avenue.

The subject property benefited from over $90 million in base
building capital and tenant improvements since the sponsor acquired
it in 2004, including a full window replacement, cooling tower
replacement, HVAC upgrades, and tenant electric sub-metered system
installation, as well as a two-story, white lit glass lobby atrium
with 22-foot ceilings, new Grande Bianca marble flooring and walls,
an enhanced concierge desk, and a new state-of-the-art security
system.

According to the Jan. 1, 2022, rent roll, the five largest office
tenants, comprising 36.3% of NRA at the property, are:

-- The Travelers Companies Inc. (A/Stable/A-1; 14.1% of NRA; 15.4%
of total base rent, as calculated by S&P Global Ratings; August
2026 lease expiration);

-- Ankura Consulting Group (6.3%; 7.6%; September 2034);

-- Memorial Sloan Kettering Hospital (5.7%; 5.5%; February 2031);

-- Phillips Nizer LLP (5.6%; 6.6%; September 2028); and

-- Crowe LLP (4.7%; 6.3%; November 2029).

In addition, the ground floor retail space is 100% leased to eight
tenants comprising 4.4% of total NRA (per the January 2022 rent
roll) and 12.0% of base rent, as calculated by S&P Global Ratings.
The three largest retail tenants are: The New York Public Library
(1.4% of NRA; 2.5% of base rent, calculated by S&P Global Ratings;
December 2022 expiration), Bright Horizons (1.0%; 1.7%, September
2032), and Duane Reade (0.9%; 3.3%; April 2033).

The property also faces elevated rollover risk in 2022 and 2026,
when leases comprising 8.2% and 16.5% of NRA, respectively, expire.
During 2021, new and renewing office tenant leases totaling 215,962
sq. ft. (23.1% of NRA) were signed at an average office rent of
$55.94 per sq. ft.--lower than both the in-place office rent
($60.22 per sq. ft.) and the submarket's ($76.34 per sq. ft.). In
addition, Midland informed us that two office tenants, The National
Center (4.1% of NRA) and Conduent Business Solution (0.6%), are
dark. S&P's revised expected-case assumptions and property
valuation of the property reflect the following factors:

-- New and renewing tenant leases signing in 2021 for rates lower
than in-place and the submarket.

-- Lower-than-expected occupancy rates at the property over the
past four years.

-- Weakened office submarket fundamentals as more companies
embrace flexible work arrangements.

-- Known tenant movements.

-- A decline in reported parking-related income.

-- Concentrated rollover risk.

-- Potential for real estate taxes to increase to pre-pandemic
levels sooner and outpacing the corresponding increase in expense
reimbursements.

According to CoStar, the Grand Central office submarket's four- and
five-star properties had experienced double-digit vacancy rates in
2021 (12.9%) and year-to-date (YTD) May 2022 (13.4%), compared with
pre-pandemic levels (7.1% in 2019 and 7.3% in 2018). The submarket
rent for four- and five-star office properties fell 2.6% in 2020 to
$79.53 per sq. ft. (same level as in 2017 when the transaction was
issued) before growing marginally by 1.1% in 2021 to $80.40 per sq.
ft., and was relatively flat ($80.28 per sq. ft.) as of May 2022.
CoStar projects an average office submarket vacancy rate and asking
rent of 12.7% and $87.27 per sq. ft. in 2023, respectively.

S&P said, "Our current property-level analysis considered these
developments, as well as current office market data and conditions.
As mentioned above, we assumed an occupancy rate of 80.1%, an
in-place base rent of $62.98 per sq. ft. (using the Jan. 1, 2022,
rent roll), and a 45.4% operating expense ratio, which result in an
S&P Global Ratings NCF of $25.3 million. Using an S&P Global
Ratings capitalization rate of 6.25%, we derived an expected-case
value of $406.4 million, or $434 per sq. ft."

Transaction Summary

This is a U.S. stand-alone (single-borrower) transaction backed by
a 10-year, IO mortgage loan. The loan is secured by the borrower's
fee simple interest in an office tower with retail and parking
spaces located at 485 Lexington Avenue in midtown Manhattan.

The IO loan had an initial and current trust balance of $350.0
million (according to the April 12, 2022, trustee remittance
report), pays a per annum fixed rate of 3.99%, and matures on Feb.
5, 2027. To date, the trust has not incurred any principal losses.

In addition to the mortgage loan, the borrower obtained a mezzanine
loan totaling $100.0 million. The mezzanine loan is IO, pays a per
annum fixed rate of 5.25%, and is coterminous with the mortgage
loan.

The recent rapid spread of the omicron variant highlights the
inherent uncertainties of the COVID-19 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."

  Rating Lowered

  GS Mortgage Securities Corp. Trust 2017-485L

  Class HRR: to 'B (sf)' from 'BB- (sf)'

  Ratings Affirmed

  GS Mortgage Securities Corp. Trust 2017-485L

  Class A: AAA (sf)
  Class B: AA- (sf)
  Class C: A- (sf)
  Class X-A: AAA (sf)
  Class X-B: AA- (sf)



GS MORTGAGE 2022-PJ4: Fitch Rates Class B-5 Certificates 'B+sf'
---------------------------------------------------------------
Fitch rates the residential mortgage-backed certificates issued by
GS Mortgage-Backed Securities Trust 2022-PJ4 (GSMBS 2022-PJ4).

   DEBT     RATING                 PRIOR
   ----     ------                 -----
GSMBS 2022-PJ4

A-1      LT AA+sf    New Rating    AA+(EXP)sf
A-1-X    LT AA+sf    New Rating    AA+(EXP)sf
A-10     LT AAAsf    New Rating    AAA(EXP)sf
A-10-X   LT AAAsf    New Rating    AAA(EXP)sf
A-11     LT AAAsf    New Rating    AAA(EXP)sf
A-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-16     LT AAAsf    New Rating    AAA(EXP)sf
A-16-X   LT AAAsf    New Rating    AAA(EXP)sf
A-17     LT AAAsf    New Rating    AAA(EXP)sf
A-18     LT AAAsf    New Rating    AAA(EXP)sf
A-19     LT AAAsf    New Rating    AAA(EXP)sf
A-19-X   LT AAAsf    New Rating    AAA(EXP)sf
A-2      LT AA+sf    New Rating    AA+(EXP)sf
A-20     LT AAAsf    New Rating    AAA(EXP)sf
A-21     LT AAAsf    New Rating    AAA(EXP)sf
A-22     LT AAAsf    New Rating    AAA(EXP)sf
A-22-X   LT AAAsf    New Rating    AAA(EXP)sf
A-23     LT AAAsf    New Rating    AAA(EXP)sf
A-24     LT AAAsf    New Rating    AAA(EXP)sf
A-25     LT AAAsf    New Rating    AAA(EXP)sf
A-25-X   LT AAAsf    New Rating    AAA(EXP)sf
A-26     LT AAAsf    New Rating    AAA(EXP)sf
A-27     LT AAAsf    New Rating    AAA(EXP)sf
A-28     LT AAAsf    New Rating    AAA(EXP)sf
A-28-X   LT AAAsf    New Rating    AAA(EXP)sf
A-29     LT AAAsf    New Rating    AAA(EXP)sf
A-3      LT AA+sf    New Rating    AA+(EXP)sf
A-30     LT AAAsf    New Rating    AAA(EXP)sf
A-31     LT AAAsf    New Rating    AAA(EXP)sf
A-31-X   LT AAAsf    New Rating    AAA(EXP)sf
A-32     LT AAAsf    New Rating    AAA(EXP)sf
A-33     LT AAAsf    New Rating    AAA(EXP)sf
A-34     LT AA+sf    New Rating    AA+(EXP)sf
A-34-X   LT AA+sf    New Rating    AA+(EXP)sf
A-35     LT AA+sf    New Rating    AA+(EXP)sf
A-36     LT AA+sf    New Rating    AA+(EXP)sf
A-4      LT AAAsf    New Rating    AAA(EXP)sf
A-4-X    LT AAAsf    New Rating    AAA(EXP)sf
A-4A     LT AAAsf    New Rating    AAA(EXP)sf
A-5      LT AAAsf    New Rating    AAA(EXP)sf
A-6      LT AAAsf    New Rating    AAA(EXP)sf
A-6A     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-IO-S   LT NRsf     New Rating    NR(EXP)sf
A-X      LT AA+sf    New Rating    AA+(EXP)sf
B-1      LT AAsf     New Rating    AA(EXP)sf
B-2      LT Asf      New Rating    A(EXP)sf
B-3      LT BBBsf    New Rating    BBB(EXP)sf
B-4      LT BB+sf    New Rating    BB+(EXP)sf  
B-5      LT B+sf     New Rating    B+(EXP)sf
B-6      LT NRsf     New Rating    NR(EXP)sf
PT       LT AA+sf    New Rating    AA+(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 544 prime-jumbo and agency
conforming loans with a total balance of approximately $605
million, as of the cut-off date. The transaction is expected to
close on April 29, 2022.

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 9.9% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since last
quarter). Compared with last quarter, the updated sustainable home
prices resulted in an 80-bp reduction to 'AAAsf' expected losses.
Underlying fundamentals are not keeping pace with growth in prices,
which is a result of a supply/demand imbalance driven by low
inventory, low mortgage rates and new buyers entering the market.
These trends have led to significant home price increases over the
past year, with home prices rising 19.2% yoy nationally as of
January 2022.

High Quality Mortgage Pool (Positive): The collateral consists of
mostly 30-year, fixed-rate mortgage (FRM) fully amortizing loans
seasoned approximately five months in aggregate.

The collateral comprises primarily prime-jumbo and less than 1%
agency conforming loans. The borrowers in this pool have strong
credit profiles (a 762 model FICO) and moderate leverage (a 76.1%
sustainable loan-to-value ratio [sLTV] and a 68.4% mark-to-market
[MTM] combined loan-to-value ratio [CLTV]). Fitch treated 94.3% of
the loans as full documentation collateral, while almost 100% of
the loans are safe-harbor qualified mortgages (SHQMs). Of the pool,
92.5% are loans for which the borrower maintains a primary
residence, while 7.5% are for second homes. Additionally, 40.4% of
the loans were originated through a retail channel or a
correspondent's retail channel.

Shifting-Interest Deal Structure (Mixed): The mortgage cash flow
and loss allocation are based on a senior subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps to maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained. Due to the leakage to the subordinate
bonds, the shifting-interest structure requires more CE. While
there is only minimal leakage to the subordinate bonds early in the
life of the transaction, the structure is more vulnerable to
defaults occurring at a later stage compared to a sequential or
modified-sequential structure.

Subordination Floors (Positive): To help mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.30% of the original balance will be
maintained for the senior certificates, and a subordination floor
of 1.10% of the original balance will be maintained for the
subordinate certificates.

Servicer Advances (Mixed): Shellpoint Servicing and United
Wholesale Mortgage (UWM) will provide full advancing for the life
of the transaction. The master servicer will serve as the ultimate
advancing backstop. While this helps the liquidity of the
structure, it also increases the expected loss due to unpaid
servicer advances.

RATING SENSITIVITIES

Factors 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.

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

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

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence LLC, Opus Capital Market Consultants, and
Consolidated Analytics Inc. The third-party due diligence described
in Form 15E focused on a review of credit, regulatory compliance
and property valuation for each loan and is consistent with Fitch
criteria for RMBS loans. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% reduction to each loan's probability of default.
This adjustment resulted in a 25bps reduction to the 'AAAsf'
expected loss.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on 100% of the pool. The third-party due
diligence was consistent with Fitch's "U.S. RMBS Rating Criteria."
AMC Diligence LLC, Opus Capital Market Consultants, and
Consolidated Analytics Inc. were engaged to perform the review.
Loans reviewed under this engagement were given compliance, credit
and valuation grades and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Refer to the "Third-Party Due Diligence" section
of this report for further details.

ESG CONSIDERATIONS

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


HILDENE TRUPS 4: Moody's Assigns (P)Ba3 Rating to $32.75MM D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Hildene TruPS Securitization 4,
Ltd. (the "Issuer" or "Hildene 4").

Moody's rating action is as follows:

US$192,500,000 Class A1 Senior Secured Floating Rate Notes due
2042, Assigned (P)Aaa (sf)

US$77,000,000 Class A2 Senior Secured Floating Rate Notes due 2042,
Assigned (P)Aa1 (sf)

US$19,250,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2042, Assigned (P)A2 (sf)

US$19,250,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2042, Assigned (P)Baa2 (sf)

US$32,750,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2042, Assigned (P)Ba3 (sf)

The notes listed are referred to herein, collectively, as the
"Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the TruPS CDO's portfolio and structure.

Hildene 4 is a static cash flow TruPS CDO. The issued notes will be
collateralized primarily by (1) trust preferred securities
("TruPS") and an LP preferred security issued by US community banks
and their holding companies and (2) TruPS, subordinated notes and
surplus notes issued by insurance companies and their holding
companies. Moody's expect the portfolio to be fully ramped as of
the closing date.

Hildene Structured Advisors, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer. The Manager will direct the disposition of any
defaulted securities, deferring securities or credit risk
securities. The transaction prohibits any asset purchases or
substitutions at any time.

In addition to the Rated Notes, the Issuer will issue 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.

The portfolio of this CDO consists of (1) TruPS, and one LP
Preferred Security constituting 0.13% of the collateral, issued by
57 US community banks and (2) TruPS, subordinated notes and surplus
notes issued by 5 insurance companies, the majority of which
Moody's does not rate. Moody's assesses the default probability of
bank obligors that do not have public ratings through credit scores
derived using RiskCalc(TM), an econometric model developed by
Moody's Analytics. Moody's evaluation of the credit risk of the
bank obligors in the pool relies on FDIC Q4-2021 financial data.
Moody's assesses the default probability of insurance company
obligors that do not have public ratings through credit assessments
provided by its insurance ratings team based on the credit analysis
of the underlying insurance companies' annual statutory financial
reports. Moody's assumes a fixed recovery rate of 10% for both the
bank and insurance obligations.

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

Par amount: $385,176,805

Weighted Average Rating Factor (WARF): 587

Weighted Average Spread (WAS): 2.77%

Weighted Average Coupon (WAC): 7.25%

Weighted Average Recovery Rate (WARR): 10.0%

Weighted Average Life (WAL): 9.4 years

Methodology Underlying 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.

Moody's obtained a loss distribution for this CDO's portfolio by
simulating defaults using Moody's CDOROM(TM), which used Moody's
assumptions for asset correlations and fixed recoveries in a Monte
Carlo simulation framework. Moody's then used the resulting loss
distribution, together with structural features of the CDO, as an
input in its CDOEdge(TM) cash flow model.


HMH TRUST 2017-NSS: S&P Lowers Class E Certs Rating to 'CCC (sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class A, B, C, D, and
E commercial mortgage pass-through certificates from HMH Trust
2017-NSS, a U.S. CMBS transaction.

This transaction is backed by a fixed-rate, interest-only (IO),
five-year mortgage loan secured by the borrower's fee simple
interest in one limited-service hotel and the borrower's leasehold
interests in 21 limited-service and extended-stay hotel properties
totaling 2,883 guestrooms in nine U.S. states.

Rating Actions

S&P said, "The downgrades on classes A, B, C, D, and E reflect our
reevaluation of the 22-hotel portfolio that secures the sole loan
in the transaction. Our analysis included a review of the most
recent available financial performance data, the year-to-date (YTD)
March 2022 STR reports provided by the special servicer, the
updated appraisal values, and our assessment that corporate
transient and corporate group demand at the properties has been
severely impacted since the onset of the COVID-19 pandemic. Prior
to the pandemic, the subject portfolio's 2019 reported revenue per
available room (RevPAR) and net cash flow (NCF) declined 4.0% to
$92.38 and 14.0% to $23.0 million, respectively, from 2018. The
portfolio's 2021 reported RevPAR and NCF declined a further 31.6%
to $63.17 and 98.1% to $430,847, respectively, from 2019 (2020
financial data was not available for our review). Specifically, our
downgrades reflect our concern that the subject portfolio will
continue to exhibit stressed NCF performance because the receiver
projects the 2022 NCF to be only about 50% of 2019 NCF levels.

"As a result, our expected-case value of $152.2 million, or $52,806
per guestroom, reflects a decline of 15.1% since our last review in
July 2020, driven largely by the lower S&P Global Ratings'
sustainable NCF to account for higher operating expenses. Based on
our current analysis, while we assumed a RevPAR of $87.40,
unchanged from last review and issuance, we increased our rooms
expense, ground rent, real estate tax, and insurance expense
assumptions to reflect recent trends and the contractual increases,
arriving at a sustainable NCF of $16.2 million, a decline of 15.2%
from last review and 16.5% from issuance. We applied a weighted
average capitalization rate of 10.66% (unchanged from last review
but higher than the 9.66% utilized at issuance), yielding an S&P
Global Ratings loan-to-value (LTV) ratio of 134.0%, compared with
113.7% from our last review and 98.9% at issuance. The appraisal
value at issuance was $356.6 million ($123,691 per guestroom). The
servicer provided two recent appraisal values: a 2020 appraisal
value of $173.2 million ($60,076 per guestroom) and a January 2021
appraisal value of $295.8 million, or $102,601 per guestroom, which
reflects a 70.8% increase from the 2020 value, but still down 17.0%
from the appraised value of $356.6 million at issuance."

Although the model-indicated ratings were lower than the revised
rating levels for classes A, B, C, and D, S&P tempered its
downgrades on these classes because S&P weighed certain qualitative
considerations, including:

-- The potential that the operating performance of the lodging
portfolio could improve above our revised expectations;

-- The significant market value decline (based on the January 2021
appraisal value of $295.8 million) that would be needed before
these classes experience losses;

-- The liquidity support provided in the form of servicer
advancing; and

-- The relative subordination of each class within the payment
waterfall.

The loan had a reported 90-plus-days-delinquent payment status
through its May 2022 debt service payment date. As of May 2022, the
loan's $224.8 million exposure included:

-- Interest advances of $14.1 million;

-- Other expense advances of $983,455, which we believe consists
of ground rent expense;

-- Taxes and insurance advances of $3.5 million;

-- Cumulative accrued unpaid advance interest of $629,421; and

-- Cumulative appraisal subordinate entitlement reduction amount
of $1.6 million.

At issuance, to comply with risk retention regulations, the sponsor
deposited $10.3 million into an eligible horizontal cash reserve
(HCR) account, which is maintained by the certificate
administrator. On the final distribution date, the certificate
administrator will be required to remit funds from the account to
reimburse certain trust fund expenses to the extent the trust has
insufficient funds to pay such amounts. After trust expenses are
paid in full, the certificate administrator will be required to
remit funds to the distribution account to make payments on the
certificates to the extent necessary, including reimbursement of
principal losses that do not exceed the amount of the HCR account.
After these disbursements, any amounts remaining in the HCR account
will be remitted back to the sponsor. A loan default could
indirectly accelerate the disbursement of funds in the HCR account
by accelerating the final distribution date. The loan going into
receivership may also result in an earlier final distribution date.
Given that the current outstanding advances exceed the HCR amount,
S&P did not carry forward the positive LTV capital structure
adjustment that it applied at issuance and in the last review.

The loan transferred to special servicing on May 28, 2020, due to
imminent monetary default because the borrower requested
COVID-19-related relief. At that time, the properties were
operating, on average, at occupancy levels between 10%-15%. A
receiver was subsequently appointed by a New York federal court on
Aug. 24, 2020, to manage the properties. Discussions with the
mezzanine lender to take over control of the properties were
unsuccessful. According to recent special servicer comments, the
receiver has recently entered into a listing agreement with Jones
Lang LaSalle to bring the subject portfolio to market for sale in
late May 2022. S&P said, "It is our understanding that updated
draft appraisals were received and are currently under review by
the special servicer. We downgraded class E to 'CCC (sf)' because,
based on an S&P Global Ratings LTV ratio exceeding 100%, our view
is that the class is more susceptible to reduced liquidity support
and that the risk of default and losses has increased under the
market conditions."

Portfolio-Level Analysis

The collateral portfolio consists of 22 limited-service and
extended stay hotel properties totaling 2,883 guestrooms with an
average age of 25 years. The portfolio is relatively granular as
the largest hotel, Hyatt House Pleasanton, represents 11.3% of the
allocated loan amount (ALA), while the top five hotels combined
represent 45.5% of ALA. The properties are located across nine U.S.
states, with the largest concentrations in California (two hotels
in Northern California, 21.6% by ALA); Florida (six hotels, 15.8%);
and North Carolina (four hotels, 14.5%). S&P said, "Of the 22
properties, nine (49.7% by ALA) are located in markets that we
consider to be primary, nine hotels (40.7%) are in secondary
markets, and four (9.6%) are in tertiary markets. The properties
are within 10 metropolitan statistical areas, the largest of which
are Oakland, Calf. (two hotels, 21.6% by ALA); Washington, D.C.
(two hotels, 14.7%); and Phoenix (two hotels, 11.2%). At issuance,
we noted that the top five hotels in the portfolio--Hyatt House
Pleasanton, Hyatt House Pleasant Hill, Hyatt House Scottsdale,
Hilton Garden Inn Atlanta, and Marriott Residence Inn
Greenbelt--generate their occupied room nights mainly from a
combination of corporate, leisure, and, to a lesser degree, meeting
and group demand."

The sponsor of the loan is Jay H. Shidler. Mr. Shidler acquired the
22 properties in phases between May 2015 and June 2017.
Concurrently with the acquisition, the leasehold estate was split
from the leased fee estate for 21 of the 22 hotels. The associated
leased fee interests were acquired by the irrevocable trusts
established by the borrower for the benefit of the University of
Hawaii Foundation, in support of The Shidler College of Business.

The hotels are managed under 22 separate management agreements by
HHM L.P. (44.4% of ALA), MMH Management LLC (39.9%), or Chartwell
Hospitality LLC (15.8%). They operate under nine brand families
affiliated with either Hilton (38.1% of ALA), Marriott (28.4%),
Hyatt (29.7%), or Choice (3.9%). The three largest brands within
the portfolio are Hyatt House (three hotels; 29.7% by ALA), Hampton
Inn & Suites (six; 18.1%), and Courtyard by Marriott (three;
13.6%). The franchise agreements are long term and expire between
2030 and 2039, except for the franchise agreement for the Marriott
Residence Inn Greenbelt, which expires in 2024. Each management
agreement has a management fee equal to 3.0% of total revenue.

The 21 ground-leased hotels are each subject to separate 99-year
ground leases. The total reported ground rent expense prior to the
pandemic in 2019 was $9.7 million (9.4% of revenue) and in 2021 was
$11.1 million (16.1% of revenue), up from $9.1 million in 2017
(8.7% of revenue). The ground rent increases at an annual rate of
approximately 2.8% per year through 2046, and then by less than
2.0% per year through the end of the ground lease terms between
2114 and 2116. S&P said, "The special servicer informed us that the
ground rent payments have been paid to date. In our current
analysis, we assumed an $11.4 million ground rent expense, up from
$11.0 million in the last review and $10.7 million at issuance."

The collateral portfolio exhibited declining performance prior to
the COVID-19 pandemic. The portfolio's RevPAR was $94.96 in 2017
and $94.53 in 2018. As mentioned above, it fell to $92.38 in 2019
prior to the onset of the pandemic and then to $63.17 in 2021 (2020
performance data was not available). The reported NCF was $26.2
million in 2017 and $26.8 million in 2018 before declining to $23.0
million in 2019 which S&P believes is partially attributable to
recent renovations across several of the hotels, including five of
the largest properties by ALA. In 2021, the portfolio reported NCF
was $430,847, due to the impact of the pandemic when demand was
severely depressed and occupancy and average daily rate (ADR)
dropped to 51.4% and $122.83, respectively, from 72.8% and $126.94,
respectively, in 2019.

The reported RevPAR and NCF YTD through March 2022 was $85.12 and
$2.8 million, respectively, compared with $51.51 and negative
$55,523 for the same period in 2021. This compared to a RevPAR of
$69.40 and negative $482,632, for the budgeted YTD March 2022
period. S&P said, "In our current analysis, to account for the
improved RevPAR in 2022, we assumed an $87.37 RevPAR, unchanged
from the last review and at issuance. Our sustainable NCF of $16.2
million reflects the aforementioned higher operating expenses. Our
expected-case valuation of $152.2 million ($52,806 per guestroom),
using an S&P Global Ratings weighted average capitalization rate of
10.66% (unchanged from our last review but up from 9.66% at
issuance), is down 15.1% from the last review value of $179.4
million and 26.2% from our issuance value of $206.3 million. Our
current revised value is 48.5% below the most recent appraised
value of $295.8 million completed in January 2021."

Transaction Summary

This is a U.S. stand-alone, single borrower CMBS transaction backed
by a fixed-rate, IO, five-year mortgage loan secured by the
borrower's fee simple and leasehold interests in 22 limited-service
and extended-stay hotel properties in nine U.S. states. According
to the May 6, 2022, trustee remittance report, the loan has a trust
balance of $204.0 million, the same as at issuance and our last
review. The five-year mortgage loan pays a per annum fixed-rate
equal to 4.78% and matures on July 1, 2022. At issuance, there was
an $25.0 million mezzanine loan, which, according to the servicer,
remains outstanding. To date, the trust has not incurred any
principal losses.

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."

  Ratings Lowered

  HMH Trust 2017-NSS

  Class A to 'AA- (sf)' from 'AAA (sf)'
  Class B to 'A- (sf)' from 'AA- (sf)'
  Class C to 'BBB- (sf)' from 'A- (sf)'
  Class D to 'BB- (sf)' from 'BBB- (sf)'
  Class E to 'CCC (sf)' from 'B- (sf)'



ILPT COMMERCIAL 2022-LPFX: DBRS Gives BB(high) Rating on HRR Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the classes of ILPT
Commercial Mortgage Trust 2022-LPFX, Commercial Mortgage
Pass-Through Certificates, Series 2022-LPFX as follows:

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

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

The ILPT Commercial Mortgage Trust 2022-LPFX (ILPT 2022-LPFX)
transaction is collateralized by the borrower's fee-simple
interests in a portfolio of 17 industrial properties totaling
approximately 9.4 million sf. The portfolio is part of Industrial
Logistics Properties Trust's (ILPT) existing unencumbered assets
and the collateral properties are located across 12 states and 13
different industrial markets including Philadelphia (two
properties, 19.6% of NCF), Richmond, Virginia (one property, 11.4%
of NCF), Nashville, Tennessee (one property, 10.7% of NCF),
Spartanburg, South Carolina (one property, 10.2% of NCF), and
Columbus, Ohio (two properties; 9.3% of NCF). The properties
themselves are a mix of warehouse (92.2% of NCF) and manufacturing
(7.8% of NCF). Overall, the subject markets have solid fundamentals
with positive annual growth in rents while absorbing new supply and
compressing vacancies. DBRS Morningstar continues to take a
favorable view on the long-term growth and stability of the
warehouse and logistics sector. The portfolio benefits from
favorable tenant granularity, strong sponsor strength, favorable
asset quality, and strong leasing trends, all of which contribute
to potential cash flow stability over time. The portfolio's WA year
built of 2008 is significantly newer than the average of industrial
portfolios DBRS Morningstar recently analyzed (1991). In addition,
the portfolio has a WA property size of 555,195 sf, WA clear
heights of 31.9 feet, and a minimal 4.8% office buildout.

The portfolio mainly consists of single-tenant properties with NNN
leases and is 100% leased to 19 individual tenants. Approximately
63.7% of gross rent is derived from nine investment grade-rated
tenants, including: Amazon (Moody's: A1 / S&P: AA -/ Fitch: AA;
30.9% of gross rent), UPS (Moody's: A2 / Fitch: A-; 9.2% of base
rent), Avnet, Inc. (Moody's: Baa3 / S&P: BBB- / Fitch: BBB-; 5.8%
of gross rent), and YNAP Corporation (S&P: A+, 5.2% of gross rent).
The largest property represents 11.9% of NCF with the top five and
10 properties representing 52.3% and 80.7% of NCF, respectively. No
single property contributes more than 11.9% of NCF and, aside from
Amazon, no individual tenant represents more than 11.8% of gross
rent (Restoration Hardware). The tenant roster includes a variety
of industries including air freight and logistics, internet and
catalog retail, commercial services and supplies, specialty retail,
and food and beverage. The portfolio has a WA lease term (WALT) of
7.1 years, with no more than 35.1% of gross rent subject to roll in
any given year during the loan term. WA in-place base rent is $4.76
psf, approximately 8.2% below the WA submarket rents of $6.18 psf
per the appraisals.

Leases representing approximately 89.8% of the portfolio's NRA and
86.1% of the gross rent are scheduled to roll through the loan
maturity in 2032. The rollover is relatively granular with the
exception of 2027 and 2028 in which 35.3% and 14.7% of gross rent
roll, respectively. The majority of the roll in 2027 is
attributable to three Amazon leases at three separate properties
which represent 30.9% of gross rent. The roll in 2028 is primarily
attributable to two Restoration Hardware leases, which represent
11.8% of gross rent.

The transaction benefits from elevated cash flow stability
attributable to multiple property pooling. The portfolio has a
property Herfindahl score of 12.2 by ALA, which is below the
average of recent DBRS Morningstar-rated industrial portfolios
(30.2) but nonetheless offers favorable diversification of cash
flow when compared with a single-asset securitization.

The transaction sponsor, ILPT, is a publicly traded REIT formed to
own and lease industrial and logistics properties throughout the
United States. As of September 30, 2021, ILPT owned 294 industrial
and logistics properties with 36.5 million rentable sf, which are
approximately 99.0% leased to 261 different tenants with a WALT of
approximately 9.0 years. Approximately 50% of annualized rental
revenue comes from 68 industrial and logistics properties with
approximately 19.8 million sf in 33 states on the U.S. mainland.
The remaining approximately 50% of annualized rental revenue comes
from 226 properties with approximately 16.7 million sf on the
island of Oahu, Hawaii.

Citi Real Estate Funding Inc., UBS AG, New York Branch, Bank of
America, N.A., Bank of Montreal, and Morgan Stanley Bank, N.A
originated the 10-year loan that pays fixed-rate interest of
3.8500% on an IO basis through the entire term. The $445 million
whole loan is composed of 18 promissory notes: 13 senior A notes
totaling $341.1 million and five junior B notes totaling $103.9
million. The ILPT 2022-LPFX mortgage trust will total $280 million
and consist of five senior A notes with an aggregate principal
balance of $176.1 million and the junior B notes totaling $103.9
million. The remaining senior A notes will be held by the
originators and may be included in one or more future
securitizations. The senior notes are pari passu in right of
payment with respect to each other. The senior notes are generally
senior in right of payment to the junior notes.

The capital stack includes two mezzanine tranches totaling $255
million: Mezzanine A is $175 million and Mezzanine B is $80
million. This additional subordinate debt increases the DBRS
Morningstar LTV to 130.4% from 82.9%. A default on the mezzanine
debt may potentially complicate workout negotiations or other
remedies for the trust. DBRS Morningstar views this as credit
negative given the additional NCF stress that occurs when
subordinate debt is present.

The nonrecourse carveout guarantor is Industrial Logistics Property
Trust, which is required to maintain a net worth of at least $750
million, excluding the properties, 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,.

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



JP MORGAN 2022-4: Fitch Affirms B- Rating on Class B-5 Certs
------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2022-4 (JPMMT 2022-4)

   DEBT     RATING                 PRIOR
   ----     ------                 -----
A-1      LT AAAsf    New Rating    AAA(EXP)sf
A-2      LT AAAsf    New Rating    AAA(EXP)sf
A-2-A    LT AAAsf    New Rating    AAA(EXP)sf
A-3      LT AAAsf    New Rating    AAA(EXP)sf
A-4      LT AAAsf    New Rating    AAA(EXP)sf
A-5      LT AAAsf    New Rating    AAA(EXP)sf
A-5-B    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-B    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-10     LT AAAsf    New Rating    AAA(EXP)sf
A-11     LT AAAsf    New Rating    AAA(EXP)sf
A-12     LT AAAsf    New Rating    AAA(EXP)sf
A-13     LT AAAsf    New Rating    AAA(EXP)sf
A-14     LT AAAsf    New Rating    AAA(EXP)sf
A-15    LT AAAsf     New Rating    AAA(EXP)sf
A-16    LT AAAsf     New Rating    AAA(EXP)sf
A-17    LT AA+sf     New Rating    AA+(EXP)sf
A-17-A  LT AA+sf     New Rating    AA+(EXP)sf
A-18    LT AA+sf     New Rating    AA+(EXP)sf
A-18-A  LT AA+sf     New Rating    AA+(EXP)sf
A-19    LT AA+sf     New Rating    AA+(EXP)sf
A-19-A  LT AA+sf     New Rating    AA+(EXP)sf
A-19-B  LT AA+sf     New Rating    AA+(EXP)sf
A-20    LT AA+sf     New Rating    AA+(EXP)sf
A-X-1   LT AA+sf     New Rating    AA+(EXP)sf
A-X-2   LT AAAsf     New Rating    AAA(EXP)sf
A-X-3   LT AA+sf     New Rating    AA+(EXP)sf
A-X-3-A LT AA+sf     New Rating    AA+(EXP)sf
A-X-3-B LT AA+sf     New Rating    AA+(EXP)sf
B-1     LT AA-sf     New Rating    AA-(EXP)sf
B-2     LT A-sf      New Rating    A-(EXP)sf
B-3     LT BBB-sf    New Rating    BBB-(EXP)sf
B-4     LT BBsf      New Rating    BB(EXP)sf
B-5     LT B-sf      New Rating    B-(EXP)sf
B-6     LT NRsf      New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates issued by J.P. Morgan Mortgage Trust 2022-4 (JPMMT
2022-4) as indicated above. The certificates are supported by 641
loans with a total balance of approximately $701.01 million as of
the cutoff date. The pool consists of prime-quality fixed-rate
mortgages from various mortgage originators.

NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint
Mortgage Servicing, will act as interim servicer for approximately
40.1% of the pool from the closing date until the servicing
transfer date, which is expected to occur on or about July 1, 2022.
After the servicing transfer date, these mortgage loans will be
serviced by JPMorgan Chase Bank, National Association (JPMCB).

Since JPMCB will service these loans after the transfer date, Fitch
performed its analysis assuming JPMCB is the servicer for these
loans. The other servicer in the transaction that makes up greater
than 10% of the loan pool is United Wholesale Mortgage, LLC; all
other servicers make up less than 10% of the loan pool. Nationstar
Mortgage LLC (Nationstar) will be the master servicer.

All of the loans qualify as safe-harbor qualified mortgage (SHQM),
agency SHQM or QM safe-harbor (average prime offer rate [APOR])
loans.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate and capped at the net weighted average coupon (WAC) or based
off 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 9.9% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable 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 18.2% yoy
nationally as of December 2021.

High Quality Prime Mortgage Pool (Positive): The pool consists of
very high quality, fixed-rate fully amortizing loans with
maturities of 10, 15, 20 and 30 years. All of the loans qualify as
SHQM, agency SHQM or QM safe-harbor (APOR) loans. The loans were
made to borrowers with strong credit profiles, relatively low
leverage and large liquid reserves. The loans are seasoned at an
average of five months, according to Fitch (three months per the
transaction documents).

The pool has a weighted average (WA) original FICO score of 763 (as
determined by Fitch), which is indicative of very high
credit-quality borrowers. Approximately 69.5% (as determined by
Fitch) of the loans have a borrower with an original FICO score
equal to or above 750. In addition, the original WA combined
loan-to-value (LTV) ratio of 73.4%, translating to a sustainable
LTV ratio of 79.6%, represents substantial borrower equity in the
property and reduced default risk.

A 98.0% portion of the pool comprises nonconforming loans, while
the remaining 2.0% represents conforming loans. All of the loans
are designated as QM loans, with 48.9% of the pool being originated
by a retail and correspondent channel.

Of the pool, 98.8% is comprised of loans where the borrower
maintains a primary residence, while 1.2% of loans represent second
homes. Single-family homes, planned unit developments, townhouses
and single-family attached dwellings constitute 91.7% of the pool;
condominiums make up 5.9%; and multifamily homes make up 2.4%. The
pool consists of loans with the following loan purposes: purchases
(59.5%), cash-out refinances (24.4%) and rate-term refinances
(16.1%).

A total of 341 loans in the pool are over $1 million, and the
largest loan is $2.99 million. Fitch determined that 11 of the
loans were made to nonpermanent residents.

Geographic Concentration (Negative): Of the pool, 47.2% is
concentrated in California. The largest MSA concentration is in the
Los Angeles-Long Beach-Santa Ana, CA MSA (20.9%), followed by the
San Francisco-Oakland-Fremont, CA MSA (7.2%) and San
Diego-Carlsbad-San Marcos, CA MSA (6.6%). The top three MSAs
account for 35% of the pool. As a result, there was a 1.01x
probability of default (PD) penalty applied for geographic
concentration, which increased the 'AAA' expected loss by 0.06%.

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

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

Nationstar is the master servicer and will advance if the servicer
is unable to do so. If the master servicer is unable to advance,
then the securities administrator (Citibank) will advance.

CE Floor (Positive): A CE or senior subordination floor of 1.20%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 0.80% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.4% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analyses was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Digital Risk, Consolidated
Analytics, Covius, Opus and Deloitte. However, Deloitte did not
review any of the loans included in the final population. The
third-party due diligence described in Form 15E focused on four
areas: compliance review, credit review, valuation review and data
integrity. Fitch considered this information in its analysis and,
as a result, Fitch decreased its loss expectations by 0.27% at the
'AAAsf' stress due to 100% due diligence with no material
findings.

DATA ADEQUACY

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

Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.

ESG CONSIDERATIONS

JPMMT 2022-4 has an ESG Relevance Score of '4'[+] for Transaction
Parties and Operational Risk. Operational risk is well controlled
for in JPMMT 2022-4, including strong transaction due diligence, an
Above Average aggregator, the majority of the pool originated by an
Above Average originator, and a servicer rated 'RPS1-' by Fitch,
which results in a reduction in expected losses and is relevant to
the rating.

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


JP MORGAN 2022-5: Fitch Assigns 'B+' Rating on Class B-5 Certs
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by J.P. Morgan Mortgage Trust
2022-5 (JPMMT 2022-5).

   DEBT     RATING                  PRIOR
   ----     ------                  -----
JPMMT 2022-5

A-1      LT AAAsf    New Rating    AAA(EXP)sf
A-2      LT AAAsf    New Rating    AAA(EXP)sf
A-2-A    LT AAAsf    New Rating    AAA(EXP)sf
A-2-X    LT AAAsf    New Rating    AAA(EXP)sf
A-3      LT AAAsf    New Rating    AAA(EXP)sf
A-3-A    LT AAAsf    New Rating    AAA(EXP)sf
A-3-X    LT AAAsf    New Rating    AAA(EXP)sf
A-4      LT AAAsf    New Rating    AAA(EXP)sf
A-4-A    LT AAAsf    New Rating    AAA(EXP)sf
A-4-X    LT AAAsf    New Rating    AAA(EXP)sf
A-5      LT AAAsf    New Rating    AAA(EXP)sf
A-5-A    LT AAAsf    New Rating    AAA(EXP)sf
A-5-X    LT AAAsf    New Rating    AAA(EXP)sf
A-6      LT AAAsf    New Rating    AAA(EXP)sf
A-6-A    LT AAAsf    New Rating    AAA(EXP)sf
A-6-X    LT AAAsf    New Rating    AAA(EXP)sf
A-7      LT AAAsf    New Rating    AAA(EXP)sf
A-7-A    LT AAAsf    New Rating    AAA(EXP)sf
A-7-X    LT AAAsf    New Rating    AAA(EXP)sf
A-8      LT AAAsf    New Rating    AAA(EXP)sf
A-8-A    LT AAAsf    New Rating    AAA(EXP)sf
A-8-X    LT AAAsf    New Rating    AAA(EXP)sf
A-9      LT AAAsf    New Rating    AAA(EXP)sf
A-9-A    LT AAAsf    New Rating    AAA(EXP)sf
A-9-B    LT AAAsf    New Rating    AAA(EXP)sf
A-9-B-A  LT AAAsf    New Rating    AAA(EXP)sf
A-9-B-X  LT AAAsf    New Rating    AAA(EXP)sf
A-9-C    LT AAAsf    New Rating    AAA(EXP)sf
A-9-C-A  LT AAAsf    New Rating    AAA(EXP)sf
A-9-C-X  LT AAAsf    New Rating    AAA(EXP)sf
A-9-D    LT AAAsf    New Rating    AAA(EXP)sf
A-9-E    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 AA-sf    New Rating    AA-(EXP)sf
B-2      LT A-sf     New Rating    A-(EXP)sf
B-3      LT BBB-sf   New Rating    BBB-(EXP)sf
B-4      LT BBsf     New Rating    BB(EXP)sf
B-5      LT B+sf     New Rating    B+(EXP)sf
B-6      LT NRsf     New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates issued by J.P. Morgan Mortgage Trust 2022-5 (JPMMT
2022-5) as indicated above. The certificates are supported by 897
loans with a total balance of approximately $932.39 million as of
the cutoff date. The pool consists of prime-quality fixed-rate
mortgages. 100% of the loans in the transaction are serviced by
loanDepot.com, LLC. Nationstar Mortgage LLC (Nationstar) will be
the master servicer.

All of the loans qualify as safe-harbor qualified mortgage (SHQM),
agency SHQM, QM safe-harbor (average prime offer rate [APOR]), or
QM Rebuttable Presumption (APOR) loans.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate and capped at the net weighted average coupon (WAC) or based
off 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 9.9% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable 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 18.2% yoy
nationally as of December 2021.

High-Quality Mortgage Pool (Positive): The pool consists of very
high quality, fixed-rate fully amortizing loans with maturities of
30 years. All of the loans qualify as SHQM, agency SHQM, QM
safe-harbor (APOR), or QM Rebuttable Presumption (APOR) loans. The
loans were made to borrowers with strong credit profiles,
relatively low leverage and large liquid reserves. The loans are
seasoned at an average of seven months, according to Fitch (five
months per the transaction documents). The pool has a weighted
average (WA) original FICO score of 766, as determined by Fitch,
which is indicative of very high credit-quality borrowers.

Approximately 73.4% (as determined by Fitch) of the loans have a
borrower with an original FICO score equal to or above 750. In
addition, the original WA combined loan-to-value (CLTV) ratio of
70.8%, translating to a sustainable loan-to-value (sLTV) ratio of
75.1%, represents substantial borrower equity in the property and
reduced default risk. A 93.8% portion of the pool comprises
nonconforming loans, while the remaining 6.2% represents conforming
loans. All of the loans are designated as QM loans, with 75.2% of
the pool being originated by a retail and correspondent channel.

Of the pool, 95.5% is comprised of loans where the borrower
maintains a primary residence, while 4.5% of loans represent second
homes. Single-family homes, planned unit developments (PUDs), and
single-family attached dwellings constitute 88.6% of the pool;
condominiums make up 9.9%; and multifamily homes make up 1.5%. The
pool consists of loans with the following loan purposes: purchases
(46.1%), cash-out refinances (34.3%) and rate term refinances
(19.7%). A total of 406 loans in the pool are over $1 million, and
the largest loan is $2.99 million. Fitch determined that 30 of the
loans were made to nonpermanent residents.

Geographic Concentration (Negative): Of the pool, 56.4% is
concentrated in California. The largest MSA concentration is in the
Los Angeles-Long Beach-Santa Ana, CA MSA (18.7%), followed by the
San Francisco-Oakland-Fremont, CA MSA (14.0%) and New York-Northern
New Jersey-Long Island, NY-NJ-PA MSA (7.1%). The top three MSAs
account for 40% of the pool. As a result, there was a 1.03x
probability of default (PD) penalty applied for geographic
concentration, which increased the 'AAA' expected loss by 0.12%.

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

The servicers will provide full advancing for the life of the
transaction; each servicer is expected to advance delinquent P&I on
loans that enter into a coronavirus pandemic-related forbearance
plan. Although full P&I advancing will provide liquidity to the
certificates, it will also increase the loan-level loss severity
(LS) since the servicer looks to recoup P&I advances from
liquidation proceeds, which results in less recoveries. Nationstar
is the master servicer and will advance if the servicer is unable
to do so. If the master servicer is unable to advance, then the
securities administrator (Citibank) will advance.

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

RATING SENSITIVITIES

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 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.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Digital Risk, Consolidated
Analytics, and Opus. The third-party due diligence described in
Form 15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch decreased its
loss expectations by 0.23% at the 'AAAsf' stress due to 100% due
diligence with no material findings.

DATA ADEQUACY

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

Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.

ESG CONSIDERATIONS

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


JPMMC COMMERCIAL 2019-COR5: Fitch Rates Class G-RR Debt 'B-sf'
--------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of JPMCC Commercial Mortgage
Securities Trust 2019-COR5 commercial mortgage pass-through
certificates, series 2019-COR5. The Rating Outlook for one class
has been revised to Stable from Negative.

   DEBT             RATING                 PRIOR
   ----             ------                 -----
JPMCC 2019-COR5

A-1 46591EAQ0     LT AAAsf    Affirmed    AAAsf
A-2 46591EAR8     LT AAAsf    Affirmed    AAAsf
A-3 46591EAS6     LT AAAsf    Affirmed    AAAsf
A-4 46591EAT4     LT AAAsf    Affirmed    AAAsf
A-S 46591EAV9     LT AAAsf    Affirmed    AAAsf
A-SB 46591EAU1    LT AAAsf    Affirmed    AAAsf
B 46591EAW7       LT AA-sf    Affirmed    AA-sf
C 46591EAX5       LT A-sf     Affirmed    A-sf
D 46591EAC1       LT BBBsf    Affirmed    BBBsf
E-RR 46591EAE7    LT BBB-sf   Affirmed    BBB-sf
F-RR 46591EAG2    LT BB-sf    Affirmed    BB-sf
G-RR 46591EAJ6    LT B-sf     Affirmed    B-sf
X-A 46591EAY3     LT AAAsf    Affirmed    AAAsf
X-B 46591EAZ0     LT A-sf     Affirmed    A-sf
X-D 46591EAA5     LT BBBsf    Affirmed    BBBsf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Fitch's base case loss
expectations have remained relatively stable since Fitch's prior
rating action. Performance has stabilized for the majority of
properties affected by the pandemic. The Outlook revision on Class
F-RR to Stable from Negative reflects the better than expected
performance of the loans affected by the pandemic. Fitch has
identified Six Fitch Loans of Concern (FLOCs; 12.3% of the pool
balance), including one (1.4%) specially serviced loan.

Fitch's current ratings incorporate a base case loss of 4.8%. The
Negative Outlook reflects losses that could reach 5.2% when
factoring in additional coronavirus-related stresses along with
uncertainty on the workout strategy for the specially serviced
loan.

Largest Contributor to overall loss expectations is the specially
serviced Greenleaf at Howell (1.4% of the pool), which is secured
by an anchored retail property in a primary commercial corridor
within Howell, NJ. The loan transferred to the special servicer in
September 2020 for imminent monetary default and remains
delinquent. Annualized June 2021 NOI DSCR was 0.58x, compared with
1.38x at YE 2020 and 1.39x at YE 2019. Per the YE 2021 rent roll,
the property was 74.5% leased compared with 99% as of YE 2020, and
100% at issuance. Xscape Cinemas (24.9% of NRA; 4/31 LXD) vacated
prior to lease expiration. Servicer commentary indicates the
borrower requested an updated coronavirus relief proposal, which is
currently being evaluated. Fitch's analysis includes a haircut to
the most recent appraisal resulting in a loss severity of
approximately 50%.

The next largest contributor to expected loss is The SWVP Portfolio
(5.1%), which is secured by four full-service hotels in four
distinct markets: InterContinental New Orleans (53.1% allocated
loan balance), DoubleTree Sunrise in Sunrise, FL (18.5%),
DoubleTree Charlotte (15%) and DoubleTree RTP in Durham, NC
(13.4%). Performance at each of the properties has been
significantly affected by the coronavirus pandemic and there has
been only limited performance improvement in 2021.

Annualized September 2021 NOI DSCR was 0.41x, compared with 0.13x
at YE 2020 and 2.09x at YE 2019. Portfolio occupancy has increased
to 49% at September 2021 from 31% at YE 2020, but below issuance
occupancy of 80%. Fitch's analysis includes an 11.25% cap rate and
10% total haircut to the YE 2019 NOI to account for the low DSCR,
performance concerns and impact from the pandemic resulting in an
8% modeled loss. Additionally, a sensitivity scenario was applied
with 26% total haircut resulting in a 15% modeled loss.

The third largest contributor to loss is the Vie Portfolio (4.2%),
which is secured by a portfolio of seven student housing properties
located in six different college towns across six states. Alabama
represents the largest NOI concentration at 22.3%, followed by
Florida (18.5%), Texas (16.0%), Michigan (14.8%), Pennsylvania
(14.7%) and New York (13.8%). Each of the properties are proximate
to their respective universities. The property was 99% occupied as
of September 2021, up from 87% at issuance. Annualized September
2021 NOI DSCR was 1.56x, compared with 1.25x at YE 2020 and 1.48x
at YE 2019. Fitch's analysis includes a 9.25% cap rate and 5% total
haircut to the TTM September 2021 NOI resulting in a 12% modeled
loss.

Alternative Loss Considerations: Fitch ran an additional
sensitivity scenario, applied an additional stress to pre-pandemic
cash flows of the SWVP Portfolio loan (5.1%) given significant
pandemic-related 2020 NOI declines and lack of meaningful recovery
in 2021.

Minimal Changes to Credit Enhancement: As of the April 2022
distribution date, the pool's aggregate principal balance paid down
by 1.67% to $687 million from $694.4 million at issuance. One loan
has paid off and no loans are defeased. Thirty loans representing
58.1% of the pool are interest only for the full term. An
additional six loans representing 14.6% of the pool were structured
with partial interest-only periods and have not yet begun to
amortize.

Significant Office Concentration: Approximately 38.3% of the loans
in the pool are secured by office properties followed by multi-
family 28.2%, retail at 17.4%, and mixed use at 7.7%. Three of the
top five loans (23.3%) are office properties.

Credit Opinion Loans: Twenty loans received an investment-grade
credit opinion at issuance. 3 Columbus Circle (7.32%) and ICON
Upper East Side Portfolio (3.6%) each received standalone credit
opinions of 'BBB-sf'. The ICON 18 loans (4.3%) received credit
opinions ranging from 'BBB+sf' to 'BBB-sf' on a stand-alone basis.

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/assets. Downgrades to
the classes rated 'AAAsf' are not considered likely due to
sufficient CE and the expected receipt of continued amortization,
but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls
occur. Downgrades to classes C, X-B, D, and X-D are possible should
any of the larger FLOCs default and transfer to special servicing.
Classes E-RR, F-RR and G-RR could be downgraded if loss
expectations increase or additional loans transfer to special
servicing.

Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.

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

-- Upgrades would occur with stable to improved asset
    performance, coupled with additional paydown and/or
    defeasance. Upgrades to classes B, C and X-B could occur with
    significant improvement in CE and/or defeasance and/or the
    stabilization to the properties impacted from the coronavirus
    pandemic;

-- Upgrades to classes D, X-D, and E-RR would also consider these

    factors, but would be limited based on the sensitivity to
    concentrations or the potential for future concentrations.
    Classes would not be upgraded above 'Asf' if there is a
    likelihood of interest shortfalls. An upgrade to classes F-RR
    and G-RR 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 coronavirus
    return to pre-pandmeic levels, and there is sufficient CE to
    the bonds.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


KKR CLO 40: Moody's Assigns Ba3 Rating to $20MM Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by KKR CLO 40 Ltd. (the "Issuer" or "KKR CLO 40").

Moody's rating action is as follows:

U$320,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, 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.

KKR CLO 40 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 permitted non-loan assets. The portfolio is
approximately 90% ramped as of the closing date.

KKR Financial Advisors II, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four-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 other
classes of secured notes and one class of subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.

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

Par amount: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2823

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 6.25%

Weighted Average Recovery Rate (WARR): 46.00%

Weighted Average Life (WAL): 7.0 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.


MORGAN STANLEY 2022-INV1: Fitch Assigns 'B-' Rating on B-5 Debt
---------------------------------------------------------------
Fitch Ratings has assigned final ratings to Morgan Stanley
Residential Mortgage Loan Trust 2022-INV1 (MSRM 2022-INV1).

   DEBT          RATING                PRIOR
   ----          ------                -----
MSRM 2022-INV1

A-1       LT AAAsf     New Rating     AAA(EXP)sf
A-1-IO    LT AAAsf     New Rating     AAA(EXP)sf
A-2       LT AAAsf     New Rating     AAA(EXP)sf
A-2-IO    LT AAAsf     New Rating     AAA(EXP)sf
A-3       LT AAAsf     New Rating     AAA(EXP)sf
A-4       LT AAAsf     New Rating     AAA(EXP)sf
A-4-IO    LT AAAsf     New Rating     AAA(EXP)sf
A-5       LT AAAsf     New Rating     AAA(EXP)sf
A-6       LT AAAsf     New Rating     AAA(EXP)sf
A-6-IO    LT AAAsf     New Rating     AAA(EXP)sf
A-7       LT AAAsf     New Rating     AAA(EXP)sf
A-7-IO    LT AAAsf     New Rating     AAA(EXP)sf
A-8       LT AAAsf     New Rating     AAA(EXP)sf
A-8-IO    LT AAAsf     New Rating     AAA(EXP)sf
A-F       LT AAAsf     New Rating     AAA(EXP)sf
A-X       LT AAAsf     New Rating     AAA(EXP)sf
A-9       LT AAAsf     New Rating     AAA(EXP)sf
A-10      LT AAAsf     New Rating     AAA(EXP)sf
A-10-IO   LT AAAsf     New Rating     AAA(EXP)sf
A-11      LT AAAsf     New Rating     AAA(EXP)sf
A-11-IO   LT AAAsf     New Rating     AAA(EXP)sf
B-1       LT AA-sf     New Rating     AA-(EXP)sf
B-2       LT A-sf      New Rating     A-(EXP)sf
B-3       LT BBB-sf    New Rating     BBB-(EXP)sf
B-4       LT BB-sf     New Rating     BB-(EXP)sf
B-5       LT B-sf      New Rating     B-(EXP)sf
B-6       LT NRsf      New Rating     NR(EXP)sf
R         LT NRsf      New Rating     NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates issued by Morgan Stanley Residential Mortgage Loan
Trust 2022-INV1 (MSRM 2022-INV1), as indicated above.

This is the 10th post-crisis transaction off the Morgan Stanley
Residential Mortgage Loan Trust shelf; the first transaction was
issued in 2014. This is the first 100% non-owner occupied MSRM
transaction and the eighth MSRM transaction that comprises loans
from various sellers and is acquired by Morgan Stanley in its
prime-jumbo aggregation process.

The certificates are supported by 857 prime-quality loans with a
total balance of approximately $367.02 million as of the cutoff
date. The pool consists of 100% fixed-rate mortgages from various
mortgage originators. The servicer for this transaction is
Specialized Loan Servicing, LLC. Nationstar Mortgage LLC will be
the master servicer.

Of the loans, 10.3% qualify as either Qualified Mortgage (QM) Safe
Harbor Average Prime Offer Rate (APOR), QM: Temporary GSE/Agency
Eligible Safe Harbor, QM: Temporary GSE/Agency Eligible Rebuttable
Presumption, or QM: Safe Harbor (43-Q) loans. The remaining 89.7%
of the loans are exempt from the QM rule.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate and capped at the net weighted average coupon (WAC), are
floating- or inverse floating-rate bonds based off of the SOFR
index and are capped at the net WAC or based on the net WAC.

Like other prime transactions, this transaction utilizes a
senior-subordinate, shifting-interest structure with subordination
floors to protect against tail risk.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.6% above a long-term sustainable level (vs. 9.2%
on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable 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 18.2% yoy
nationally as of December 2021.

Prime Credit Quality (Positive): The collateral consists of 857
loans, totaling $367.0 million, and seasoned approximately 10
months in aggregate. The borrowers have a strong credit profile
(765 FICO and 35% DTI) and high leverage (68.8% sLTV).

42.9% of the pool are nonconforming loans while the remaining 57.1%
are conforming loans. The majority of the loans (89.7%) are exempt
from the QM rule standards as they are loans on investor occupied
homes that are for business purposes. The remaining 10.3% are able
to qualify as 43-Q safe-harbor QM, QM: Temp GSE/Agency Eligible
Safe Harbor, QM: Temp GSE/Agency Eligible Rebuttable Presumption or
QM safe-harbor (APOR) loans. Roughly 74.2% of the pool being
originated by a retail channel.

The pool consists of 100% investor properties. Single-family homes
make up 75.2%, condos make up 7.7% of the pool, and multifamily
homes make up 17.2% of the pool. Cash-out comprise only 23.9% of
the pool while purchases comprise 54.7% and rate refinances
comprise 21.4%. Based on the information provided, there are no
foreign nationals in the pool.

Fifty-nine loans in the pool are over $1 million, and the largest
loan is $1.99 million.

Approximately 35% of the pool is concentrated in California. The
largest MSA concentration is in the Los Angeles-Long Beach-Santa
Ana, CA MSA (10.9%), followed by the San Francisco-Oakland-Fremont,
CA MSA (6.6%) and the New York-Northern New Jersey-Long Island,
NY-NJ-PA MSA (5.9%). The top three MSAs account for 24% of the
pool. As a result, there was a no Probability of Default (PD)
penalty for geographic concentration.

Non-Owner-Occupied Loans (Negative): 100% of the loans in the pool
were made to investors and 57.1% of the loans in the pool are
conforming loans, which were underwritten to Fannie Mae and Freddie
Mac's guidelines and were approved per Desktop Underwriter (DU) or
Loan Product Advisor (LPA), Fannie Mae and Freddie Mac's automated
underwriting systems, respectively.

The remaining 42.9% of the loans were underwritten to the
underlying sellers' guidelines and were full documentation loans.
All loans were underwritten to the borrower's credit risk, unlike
investor cash flow loans, which are underwritten to the property's
income. Fitch applies a 1.25x PD hit for agency investor loans and
a 1.60x PD hit for investor loans underwritten to the borrower's
credit risk.

For the loss analysis of this pool, Fitch used a customized version
of the U.S. RMBS Loan Loss model that has a 1.25x PD penalty for
agency investor loans and a 1.60x PD penalty for investor loans
underwritten to the borrower's credit risk. The 1.25x PD penalty
was used only for the agency eligible loans (57.1%), with the
remaining loans receiving a 1.60x PD penalty for being investor
occupied.

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

Multi-Family Loans (Negative): 17.2% of the loans in the pool are
multi-family homes, which Fitch views as riskier than single-family
homes, since the borrower may be relying on the rental income to
pay the mortgage payment on the property. To account for this risk,
Fitch adjusts the PD upwards by 25% from the baseline for
multi-family homes.

Shifting Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure, whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps maintain subordination for a
longer period should losses occur later in the life of the deal.

The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained. Due to the
leakage to the subordinate bonds the shifting interest structure
requires more CE.

The servicers will provide full advancing for the life of the
transaction. While this helps the liquidity of the structure, it
also increases the expected loss due to unpaid servicer advances.
If the servicers are not able to advance, the master servicer will
provide advancing, and if the master servicer is not able to
advance, the securities administrator will ultimately be
responsible for advancing.

Subordination Floor (Positive): The transaction structure has
senior subordination floor of 1.30%. The senior subordination floor
is common in shifting interest structures in order to mitigate
potential tail end risk and loss exposure for senior tranches as
pool size declines and performance volatility increases due to
adverse loan selection and small loan count concentration. The
transaction also has a junior subordination floor of 0.90%. The
junior subordination floor is present in most shifting interest
structures in order to mitigate potential tail end risk and loss
exposure for subordinate tranches as pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.9% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence described in
Form 15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch decreased its
loss expectations by 0.29% at the 'AAAsf' stress due to 100% due
diligence with no material findings.

DATA ADEQUACY

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

Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.

ESG CONSIDERATIONS

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


MORGAN STANLEY I: S&P Lowers Class D Certs Rating to 'BB+ (sf)'
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class D and X-EXT
commercial mortgage pass-through certificates from Morgan Stanley
Capital I Trust 2018-BOP, a U.S. CMBS transaction. At the same
time, S&P affirmed its rating on the class A, B, and C certificates
from the same transaction.

This U.S. CMBS transaction is backed by a floating-rate,
interest-only (IO) mortgage loan secured by 10 suburban office
properties totaling 1.5 million sq. ft. (down from 12 properties
totaling 1.8 million sq. ft. at issuance) located in Florida,
Georgia, Maryland, and Virginia.

Rating Actions

S&P said, "The downgrade of class D and the affirmations of classes
A, B, and C reflect our reevaluation of the 10 remaining suburban
office properties that secure the sole loan in the transaction. Our
analysis considers the declining office occupancy rates over the
past four years and the sponsor's inability to increase the
properties' occupancy rate to historical or market occupancy
levels. As of the Dec. 31, 2021, rent roll, the properties were
62.3% leased. After analyzing the rent roll and subsequent incoming
and vacating tenants, we expect the occupancy rate to be
approximately 58.7%, compared with 78.9% at issuance, for the 10
remaining properties. While the occupancy rates varied across the
remaining 10 properties, they range from a low of 7.0% at the
104,319-sq.-ft. University Corporate Center III property, to a high
of 90.0% at the 115,339-sq.-ft. Jefferson Plaza property.

"Our property-level analysis reflects these factors as well as the
softened office submarket fundamentals from lower demand and longer
re-leasing time frames as more companies adopt a hybrid work
arrangement. Therefore, we revised and lowered our sustainable net
cash flow (NCF) to $17.4 million (down 11.8% from our issuance NCF
of $19.7 million for the 10 remaining properties) using a projected
58.7% occupancy rate and aligning our NCF closer to the 2021
servicer-reported figures. Using an S&P Global Ratings
weighted-average capitalization rate of 8.99%, we arrived at an
expected-case valuation of $193.8 million or $108 per sq. ft., a
11.8% decrease from our issuance value of $219.6 million for the 10
remaining properties. This yielded an S&P Global Ratings
loan-to-value ratio of 93.3% on the current mortgage loan
balance."

Although the model-indicated ratings were lower than the classes'
current rating levels, S&P affirmed its ratings on classes A, B,
and C because it weighed certain qualitative considerations,
including:

-- The potential that the office properties' operating performance
could improve above S&P's revised expectations;

-- The significant market value decline that would be needed
before these classes experience principal losses;

-- The liquidity support provided in the form of servicer
advancing; and

-- The relative position of the classes in the payment waterfall.

The downgrade of the class X-EXT IO certificates reflects S&P's
criteria for rating IO securities. Under S&P's criteria, the
ratings on the IO securities would not be higher than the
lowest-rated referenced class. The notional amount of class X-EXT
references classes B, C, and D.

The mortgage loan had a reported current payment status through its
April 2022 debt service payment date, and the borrowers did not
request COVID-19-related relief. According to the master servicer,
KeyBank Real Estate Capital (KeyBank), there is $13.5 million in
reserves, including $11.7 million in the leasing reserve account
and $1.3 million in the capital improvement reserve account.

If the properties' performance does not improve or if there are
reported negative changes in the performance beyond what we have
already considered, S&P may revisit its analysis and adjust its
ratings as necessary.

Property-Level Analysis

At loan origination, the mortgage loan was secured by 12 suburban
office properties totaling 1.8 million sq. ft. in four U.S. states.
Two properties have since been released from the portfolio: The
52,809-sq.-ft. Prince Street Plaza property in Alexandria, Va. was
released in June 2020 for $8.2 million, and the 233,109-sq.-ft.
West Gude Office Park property in Rockville, Md. was released in
December 2021 for $34.5 million. The transaction documents specify
that property releases are subject to certain performance tests and
the release price for each property release is generally 105% of
the allocated loan amount (ALA) up to the first 20% of the mortgage
loan balance, and, thereafter, 110% of ALA. The Prince Street Plaza
property was released at 105% of ALA; however, the West Gude Office
Park property was released at 168.2% of ALA because the borrowers
were required to remit the entire sales proceeds. The property
release did not meet the required release debt yield threshold, in
which the debt yield for the remaining properties subject to the
first-mortgage lien must be equal to or greater than the greater of
the debt yield immediately prior to the release and 12.53%.

The 10 remaining class A and class B suburban office properties
total 1.5 million sq. ft. and are located in Florida, Georgia,
Maryland, and Virginia. Seven properties (representing 86.7% of the
remaining deal balance) are located in the
Washington-Arlington-Alexandria, DC-VA-MD-WV metropolitan
statistical area (MSA), two (9.1%) are in the
Orlando-Kissimmee-Sanford, Fla. MSA, and one (4.2%) is in the
Atlanta-Sandy Springs-Roswell, Ga. MSA. The properties were built
between 1970 and 2007 and last renovated between 1994 and 2018. The
sponsor, Brookfield Strategic Real Estate Partners II, acquired the
properties in 2016 and 2017.

According to the December 2021 rent roll, the five largest office
tenants at the properties comprise 11.8% of NRA. They include:

-- Advanced Micro Devices Inc. (2.9% of NRA; 4.1% of gross rent,
as calculated by S&P Global Ratings; December 2024 lease
expiration);

-- IQ Solutions Inc. (2.5%; 3.9%; April 2022);

-- Montgomery County, Maryland (2.4%; 3.9%; March 2029);

-- The George Washington University (2.2%; 3.2%; May 2023 and July
2025); and

-- State of Maryland (1.9%; 2.7%; April 2023 and December 2024).

While the rent roll noted an April 2022 lease expiration for IQ
Solutions Inc., S&P's research indicates that this tenant is still
in occupancy at the collateral.

S&P said, "At issuance, we assumed a 78.9% occupancy rate for the
remaining 10 properties. However, seven of the 10 remaining
properties are currently underperforming their respective
submarkets in terms of occupancy, and the portfolio faces elevated
lease rollover risk in each of the next four years (2022 through
2025) when leases comprising 9.9%, 7.7%, 10.1%, and 10.0% of total
NRA, respectively, roll. As a result of declining occupancy at
eight of the 10 remaining properties, in addition to the two
property releases (the servicer was not able to provide historical
operating performance excluding the released properties), the
servicer reported NCF declined 14.8% in 2020 to $21.3 million from
$25.0 million in 2019 and declined another 10.7% to $19.0 million
in 2021. The servicer-reported debt service coverage was 3.64x as
of year-end 2021.

"Our analysis considered these developments, as well as current
office market data and conditions. According to CoStar, average
market rent for three- to five-star office properties in the
portfolio's combined office submarkets declined 0.7% as of April
2022, following a 0.8% decrease in 2021 and a 0.8% decrease in
2020. Although CoStar projects an average combined 2.5% and 4.3%
rent growth in 2022 and 2023, respectively, continued above-average
market vacancy rates at the collateral properties could weigh on
rental rates. As of April 2022, asking rent for three- to five-star
office properties in the combined submarkets was $30.57 per sq.
ft., while vacancy and availability rates were 17.4% and 22.3%,
respectively. This compares with the combined submarket asking rent
and vacancy rate of $30.12 per sq. ft. and 12.7%, respectively, in
2018 when the transaction was issued. CoStar projects a combined
average office submarket vacancy rate of 17.3% and asking rent of
$32.63 per sq. ft. in 2023.

"We have revised and lowered our expected-case assumptions and
portfolio valuation, based on declining occupancy and weakened
office submarket fundamentals due to the COVID-19 pandemic and more
companies embracing flexible work arrangements, concentrated
rollover risk, and longer re-tenancy timing.

"We assumed an occupancy rate of 58.7%, and in-place gross rent of
$31.31 per sq. ft. using the December 2021 rent roll, after
considering known tenancy movements. Then, using servicer-reported
historical operating expenses from 2019 through 2021, we estimated
a 43.4% operating expense ratio, which result in an S&P Global
Ratings NCF of $17.4 million. Using an S&P Global Ratings
weighted-average capitalization rate of 8.99%, we derived an
expected-case value of $193.8 million or $108 per sq. ft."

Transaction Summary

This is a U.S. stand-alone (single-borrower) transaction backed by
a two-year, floating-rate, IO mortgage loan with three one-year
extension options. The loan is currently secured by the borrowers'
fee simple interests in 10 suburban office properties totaling 1.5
million sq. ft. in four U.S. states. The IO loan had an initial
trust balance of $223.4 million at issuance and a current trust
balance of $180.7 million (reflecting the two properties releases),
according to the April 15, 2022, trustee remittance report. It pays
an annual floating interest rate of one-month LIBOR plus a weighted
average component spread of 1.5714% and currently matures on Aug.
9, 2022. The remaining extension option is exercisable if the
borrowers obtain a replacement interest rate cap agreement, among
other factors. The fully extended maturity date is Aug. 9, 2023. To
date, the trust has not incurred any principal losses.

In addition to the mortgage loan, the borrowers obtained
subordinate mezzanine loans totaling $55.0 million at issuance. The
senior mezzanine loan of $30.0 million pays a floating interest
rate of one-month LIBOR plus 4.00% while the junior mezzanine loan
of $25.0 million pays a floating interest rate of one-month LIBOR
plus 5.10%. Both mezzanine loans are IO and are co-terminous with
the mortgage loan.

The recent rapid spread of the omicron variant highlights the
inherent uncertainties of the COVID-19 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."

  Ratings Lowered

  Morgan Stanley Capital I Trust 2018-BOP

  Class D to 'BB+ (sf)' from 'BBB- (sf)'
  Class X-EXT to 'BB+ (sf)' from 'BBB- (sf)'

  Ratings Affirmed

  Morgan Stanley Capital I Trust 2018-BOP

  Class A: AAA (sf)
  Class B: AA- (sf)
  Class C: A- (sf)



MVW 2022-1: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MVW 2022-1
LLC's timeshare loan-backed fixed-rate notes.

The note issuance is an ABS securitization backed by vacation
ownership interval (timeshare) loans.

The preliminary ratings are based on information as of May 5, 2022.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The credit enhancement available in the form of
overcollateralization, subordination for the class A, B, and C
notes, a reserve account, and available excess spread;

-- Marriott Ownership Resorts Inc.'s (MORI) servicing ability and
experience in the timeshare market; and

-- S&P's expectation that the transaction structure is able to pay
timely interest and ultimate principal by the notes' legal maturity
dates under its stressed cash flow scenarios.

S&P said, "Despite the Omicron variant, U.S. lodging in 2022 could
recover closer to 2019 levels, in our view. The shape of the
lodging recovery in 2022 is highly dependent on the impact of the
Omicron variant on group and business travel. Overall, the outlook
for timeshare developers in the near-to-medium term is stable to
positive, reflecting the potential of credit metrics being restored
in the next few quarters. We believe timeshare resort occupancy
will remain high due to the investment that owners have made in
this purchased product, in comparison to alternative vacation
options such as hotel stays. The leisure travel recovery held up
well in recent months due to pent-up demand, with fourth-quarter
2021 occupancies at select Marriott Vacations Worldwide Corp. (MVW)
locations exceeding same-period 2019 levels.

"We expect the stable performance trends of the rated
securitizations to continue well into 2022, supported by ongoing
leisure travel recovery. Bookings and occupancy are at pre-pandemic
levels at most resorts and are expected to support the strong
recovery as well. Increased occupancy would potentially lead to
higher sales tours and conversion.

"Given the stabilizing industry trends we have observed, including
those discussed above, we removed the 1.25x increase to our
base-case default assumption, in favor of a more
issuer/program-specific approach that factors in recent performance
trends."

  Preliminary Ratings Assigned

  MVW 2022-1 LLC

  Class A, $220.025 million: AAA (sf)
  Class B, $77.487 million: A (sf)
  Class C, $47.832 million: BBB (sf)
  Class D, $29.656 million: BB- (sf)



NORTHWOODS CAPITAL 22: S&P Assigns Prelim 'BB-' Rating on E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes from
Northwoods Capital 22 Ltd./Northwoods Capital 22 LLC, a CLO
originally issued in August 2020 that is managed by Angelo, Gordon
& Co. L.P.

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

On the May 13, 2022, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

-- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R
notes are expected to be issued at a spread over the three-month
term secured overnight financing rate (SOFR), whereas the original
floating-rate notes were tied to three-month LIBOR.

-- The non-call period will be extended by approximately until May
2023.

-- No additional assets will be purchased on the May 13, 2022,
refinancing date, and the target initial par amount will remain at
$300,000,000.

-- The required minimum overcollateralization ratios will be
amended.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $180.00 million: Three-month term SOFR + 1.45%
  Class B-R, $48.00 million: Three-month term SOFR + 2.05%
  Class C-R, $18.00 million: Three-month term SOFR + 2.59%
  Class D-1-R, $12.00 million: Three-month term SOFR + 4.00%
  Class D-2-R, $6.00 million: Three-month term SOFR + 5.65%
  Class E-R, $12.00 million: Three-month term SOFR + 8.19%

  Original notes

  Class A-1, $180.00 million: Three-month LIBOR + 1.92%
  Class A-2, $9.00 million: Three-month LIBOR + 2.25%
  Class B-1, $31.00 million: Three-month LIBOR + 2.70%
  Class B-2, $5.00 million: 2.974%
  Class C (deferrable), $19.50 million: Three-month LIBOR + 3.13%
  Class D (deferrable), $16.50 million: Three-month LIBOR + 4.58%
  Class E (deferrable), $9.00 million: Three-month LIBOR + 8.82%
  Subordinated notes, $24.80 million: Residual

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."

  Preliminary Ratings Assigned

  Northwoods Capital 22 Ltd./Northwoods Capital 22 LLC

  Class A-R, $180.00 million: AAA (sf)
  Class B-R, $48.00 million: AA (sf)
  Class C-R, $18.00 million: A+ (sf)
  Class D-1-R, $12.00 million: BBB+ (sf)
  Class D-2-R, $6.00 million: BBB (sf)
  Class E-R, $12.00 million: BB- (sf)



OBX 2022-NQM4: S&P Assigns B (sf) Rating on Class B-2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to OBX 2022-NQM4 Trust's
mortgage-backed notes.

The note issuance is an RMBS transaction backed by newly originated
first-lien, fixed- 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 704 loans, which are primarily
nonqualified mortgage/ATR-compliant and ATR-exempt loans.

The 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 Finance of America Mortgage LLC; and

-- The potential impact current and near term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On April 17, 2020, we updated our mortgage
outlook and corresponding archetypal foreclosure frequency levels
to account for the potential impact of the COVID-19 pandemic on the
overall credit quality of collateralized pools. Although
pandemic-related performance concerns have waned, we continue to
maintain our updated 'B' foreclosure frequency for the archetypal
pool at 3.25%, given our current outlook for the U.S. economy and
considering the impact of the Russia-Ukraine conflict, supply-chain
disruptions, and rising inflation and interest rates."

  Ratings Assigned(i)
  
  OBX 2022-NQM4 Trust

  Class A-1A, $294,035,000: AAA (sf)
  Class A-1B, $45,728,000: AAA (sf)
  Class A-2, $26,979,000: AA (sf)
  Class A-3, $30,638,000: A (sf)
  Class M-1, $20,350,000: BBB (sf)
  Class B-1, $15,090,000: BB (sf)
  Class B-2, $14,176,000: B (sf)
  Class B-3, $10,289,348: NR
  Class A-IO-S, $457,285,348(ii): NR
  Class XS, $457,285,348(ii): NR
  Class R, N/A: NR

(i)The collateral and structural information in this report reflect
the private placement memorandum dated May 2, 2022. The ratings
address the ultimate payment of interest and principal.
(ii)The notional amount for the class A-IO-S and XS notes equals
the aggregate stated principal balance of the mortgage loans.
N/A--Not applicable.
NR--Not rated.



OBX TRUST 2022-J1: Fitch Assigns 'B+' Rating to Class B-5 Notes
---------------------------------------------------------------
Fitch Ratings has rated the residential mortgage-backed notes
issued by OBX 2022-J1 Trust (OBX 2022-J1).

   DEBT      RATING                   PRIOR
   ----      ------                   -----
OBX 2022-J1

A-1       LT AAAsf     New Rating     AAA(EXP)sf
A-2       LT AAAsf     New Rating     AAA(EXP)sf
A-3       LT AAAsf     New Rating     AAA(EXP)sf
A-4       LT AAAsf     New Rating     AAA(EXP)sf
A-5       LT AAAsf     New Rating     AAA(EXP)sf
A-6       LT AAAsf     New Rating     AAA(EXP)sf
A-7       LT AAAsf     New Rating     AAA(EXP)sf
A-8       LT AAAsf     New Rating     AAA(EXP)sf
A-9       LT AAAsf     New Rating     AAA(EXP)sf
A-10      LT AAAsf     New Rating     AAA(EXP)sf
A-11      LT AAAsf     New Rating     AAA(EXP)sf
A-12      LT AAAsf     New Rating     AAA(EXP)sf
A-13      LT AAAsf     New Rating     AAA(EXP)sf
A-14      LT AAAsf     New Rating     AAA(EXP)sf
A-15      LT AAAsf     New Rating     AAA(EXP)sf
A-16      LT AAAsf     New Rating     AAA(EXP)sf
A-X-1     LT AAAsf     New Rating     AAA(EXP)sf
A-X-2     LT AAAsf     New Rating     AAA(EXP)sf
A-X-3     LT AAAsf     New Rating     AAA(EXP)sf
A-X-4     LT AAAsf     New Rating     AAA(EXP)sf
A-X-5     LT AAAsf     New Rating     AAA(EXP)sf
A-X-6     LT AAAsf     New Rating     AAA(EXP)sf
A-X-7     LT AAAsf     New Rating     AAA(EXP)sf
A-X-8     LT AAAsf     New Rating     AAA(EXP)sf
A-X-9     LT AAAsf     New Rating     AAA(EXP)sf
B-1       LT AAsf      New Rating     AA(EXP)sf
B-X-1     LT AAsf      New Rating     AA(EXP)sf
B-1A      LT AAsf      New Rating     AA(EXP)sf
B-2       LT A+sf      New Rating     A+(EXP)sf
B-X-2     LT A+sf      New Rating     A+(EXP)sf
B-2A      LT A+sf      New Rating     A+(EXP)sf
B-3       LT BBB+sf    New Rating     BBB+(EXP)sf
B-4       LT BB+sf     New Rating     BB+(EXP)sf
B-5       LT B+sf      New Rating     B+(EXP)sf
B-6       LT NRsf      New Rating     NR(EXP)sf
A-X-S     LT NRsf      New Rating     NR(EXP)sf
A-1A      LT AAAsf     New Rating     AAA(EXP)sf
A-2A      LT AAAsf     New Rating     AAA(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 451 fixed-rate mortgages with a total
balance of approximately $389 million as of the cutoff date. The
loans were originated by various mortgage originators, and the
seller, Onslow Bay Financial LLC, acquired the loans from Bank of
America, National Association (BANA). Distributions of P&I and loss
allocations are based on a traditional senior-subordinate,
shifting-interest structure.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.9% above a long-term sustainable level (vs. 9.2%
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
18.2% yoy nationally as of December 2021.

Prime Credit Quality (Positive): The collateral consists of 451
loans, totaling $389 million, and seasoned approximately 8.0 months
in aggregate. The borrowers have a strong credit profile (771 FICO
and 31.4% DTI) and low leverage (68.6% sLTV). The pool consists of
90.0% of loans where the borrower maintains a primary residence,
while 10.0% is a second home. 66.1% of the loans were originated
through a retail channel, and 100% are designated as SHQM loan.
6.7% of the loans in the pool are agency eligible.

Full Servicer Advancing (Mixed): The servicer will provide full
advancing for the life of the transaction. Although full P&I
advancing will provide liquidity to the notes, it will also
increase the loan-level loss severity (LS) since the servicer looks
to recoup P&I advances from liquidation proceeds, which results in
less recoveries. Wells Fargo, as master servicer, will advance if
the servicer fails to do so.

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

Subordination Floor (Positive): A CE or senior subordination floor
of 1.25% has been considered in order to mitigate potential
tail-end risk and loss exposure for senior tranches as pool size
declines and performance volatility increases due to adverse loan
selection and small loan count concentration. A junior
subordination floor of 1.25% will also be maintained to mitigate
tail risk, which arises as the pool seasons and fewer loans are
outstanding. Additionally, the stepdown tests do not allow
principal prepayments to subordinate bondholders in the first five
years following deal closing.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper 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 42.3% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to 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 Clayton Services LLC, Consolidated Analytics Inc, Wipro
Opus Risk Solutions LLC, Canopy Financial Technology Partners LLC.
The third-party due diligence described in Form 15E focused on
Credit, Compliance, and Valuation reviews. Fitch considered this
information in its analysis and, as a result, Fitch made the
following adjustments to its analysis: loans with due diligence
received a credit in the loss model. This adjustment reduced the
'AAAsf' expected losses by 15bps.

ESG CONSIDERATIONS

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



OBX TRUST 2022-J1: Moody's Assigns B2 Rating to Cl. B-5 Debt
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 36
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2022-J1 Trust, and sponsored by Onslow Bay Financial LLC
(Onslow Bay).

The securities are backed by a pool of prime jumbo (93% by balance)
and GSE-eligible (7% by balance) residential mortgages aggregated
by Onslow Bay, originated by multiple entities and serviced by
NewRez LLC d/b/a Shellpoint Mortgage Servicing.

The complete rating actions are as follows:

Issuer: OBX 2022-J1 Trust

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

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

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

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

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

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

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

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

CL. A-9, Definitive Rating Assigned Aaa (sf)

CL. A-10, Definitive Rating Assigned Aaa (sf)

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

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

CL. A-13, Definitive Rating Assigned Aaa (sf)

CL. A-14, Definitive Rating Assigned Aaa (sf)

CL. A-15, Definitive Rating Assigned Aaa (sf)

CL. A-16, Definitive Rating Assigned Aaa (sf)

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

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

CL. A-X-1*, Definitive Rating Assigned Aaa (sf)

CL. A-X-2*, Definitive Rating Assigned Aaa (sf)

CL. A-X-3*, Definitive Rating Assigned Aaa (sf)

CL. A-X-4*, Definitive Rating Assigned Aaa (sf)

CL. A-X-5*, Definitive Rating Assigned Aaa (sf)

CL. A-X-6*, Definitive Rating Assigned Aaa (sf)

CL. A-X-7*, Definitive Rating Assigned Aaa (sf)

CL. A-X-8*, Definitive Rating Assigned Aaa (sf)

CL. A-X-9*, Definitive Rating Assigned Aaa (sf)

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

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

CL. B-X-1*, Definitive Rating Assigned Aa3 (sf)

CL. B-2, Definitive Rating Assigned A2 (sf)

CL. B-2A, Definitive Rating Assigned A2 (sf)

CL. B-X-2*, Definitive Rating Assigned A2 (sf)

CL. B-3, Definitive Rating Assigned Baa2 (sf)

CL. B-4, Definitive Rating Assigned Ba2 (sf)

CL. B-5, Definitive Rating Assigned B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.

Moody's expected loss for this pool in a baseline scenario-mean is
0.34%, in a baseline scenario-median is 0.20% and reaches 2.68% at
a stress level consistent with Moody's Aaa ratings.

PRINCIPAL 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.

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


Up

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


OCP CLO 2013-4: S&P Raises Class E-R Notes Rating to 'B- (sf)'
--------------------------------------------------------------
S&P Global Ratings raised its ratings on OCP CLO 2013-4 Ltd.'s
class A-2-RR, B-RR, C-RR, D-R, and E-R notes. At the same time, S&P
affirmed its 'AAA (sf)' rating on the class A-1-RR notes from the
same transaction.

The rating actions follow its review of the transaction's
performance using data from the March 2022 trustee report.

The upgrades reflect the transaction's $128.65 million in paydowns
to the class A-1-RR notes since S&P's September 2020 rating
actions. These paydowns resulted in improved reported
overcollateralization (O/C) ratios since the June 2020 trustee
report, which S&P used for its previous rating actions:

-- The class A (collectively, class A-1-RR and A-2-RR) O/C ratio
improved to 138.39% from 127.60%.

-- The class B-RR O/C ratio improved to 125.64% from 118.91%.

-- The class C-RR O/C ratio improved to 114.69% from 111.07%.

-- The class D-R O/C ratio improved to 108.24% from 106.28%.

-- The class E-R O/C ratio improved to 104.18% from 103.19%.

Since the June 2020 trustee report, the par amount of defaulted
collateral has increased to $3.16 million from $1.77 million.
However, despite the slightly larger concentrations in defaulted
collateral, the transaction has benefited from a drop in the
weighted average life due to underlying collateral's seasoning,
with 3.39 years reported as of the March 2022 trustee report,
compared with 4.62 years reported as of the June 2020 trustee
report.

The upgrades reflect the improved credit support at the prior
rating levels. The affirmation reflects S&P's view that the credit
support available is commensurate with the current rating level.

S&P said, "We raised our rating on the class A-2-RR, B-RR, C-RR,
and D-R notes but did not take them up to the model implied rating
because of an increase in defaults. Additionally, the current
overcollateralization levels of these tranches are reflective of
the new tranche ratings.

"Although the cash flow results indicated a lower rating for the
class E-R notes, we view the overall credit seasoning as an
improvement to the transaction and considered the relatively stable
O/C ratios that currently have a significant cushion over their
minimum requirements. However, any increase in defaults and/or par
losses could lead to potential negative rating actions on the class
E-R notes in the future.

"In our view, payment of principal or interest when due on the
class E-R notes is no longer dependent on favorable business,
financial, or economic conditions, when we would generally assign a
rating in the 'CCC' category. We believe the class E-R notes can
withstand a steady-state scenario without being dependent on such
favorable conditions to meet its financial commitments, we are
raising the rating to 'B- (sf)' even though our CDO Evaluator and
S&P Cash Flow Evaluator models indicated a lower rating.

"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors as applicable)
demonstrated, in our view, that all of the rated outstanding
classes have adequate credit enhancement available at the rating
levels associated with these rating actions.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."

  Ratings Raised

  OCP CLO 2013-4 Ltd.

  Class A-2-RR, to 'AA+ (sf)' from 'AA (sf)'
  Class B-RR, to 'AA- (sf)' from 'A (sf)'
  Class C-RR, to 'BBB+ (sf') from 'BBB-(sf)'
  Class D-R, to 'BB- (sf)' from 'B+ (sf)'
  Class E-R, to 'B- (sf)' from 'CCC+(sf)'

  Ratings Affirmed

  OCP CLO 2013-4 Ltd.

  Class A-1-RR: 'AAA (sf)'



OCTANE RECEIVABLES 2022-1: S&P Assigns BB+ (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Octane Receivables Trust
2022-1's asset-backed notes.

The note issuance is an ABS transaction backed by consumer
powersport receivables.

The ratings reflect:

-- The availability of approximately 31.57%, 24.30%, 18.26%,
12.53%, and 10.37% in credit support, including excess spread, for
the class A-2, B, C, D, and E notes respectively, based on stressed
cash flow scenarios. These credit support levels provide 5.56x,
4.28x, 3.29x, 2.31x, and 1.94x coverage of S&P's stressed net loss
levels for the class A-2, B, C, D, and E notes, respectively.

-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(2.00x S&P's expected loss level), all else being equal, its
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. 9, 2021.

-- The collateral characteristics of the consumer powersport
amortizing receivables securitized, including a weighted average
nonzero FICO score of approximately 698 and an average monthly
payment of approximately $269.

-- The transaction's credit enhancement in the form of
subordination, overcollateralization that builds to a target level
of 2.75% of the initial receivables balance, a nonamortizing
reserve account, and excess spread.

-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.

-- The transaction's payment and legal structure.

  Ratings Assigned

  Octane Receivables Trust 2022-1

  Class A-1, $31.00 million: Not rated
  Class A-2, $249.821 million: AA (sf)
  Class B, $31.583 million: AA- (sf)
  Class C, $25.114 million: A (sf)
  Class D, $26.256 million: BBB (sf)
  Class E, $11.226 million: BB+ (sf)



RR 20: S&P Assigns BB- (sf) Rating on Class D Notes
---------------------------------------------------
S&P Global Ratings assigned ratings to RR 20 Ltd./RR 20 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 Redding Ridge Asset Management LLC.

The 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 management 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

  RR 20 Ltd./RR 20 LLC

  Class A-1, $240.00 million: AAA (sf)
  Class A-2, $56.00 million: AA (sf)
  Class B (deferrable), $32.00 million: A (sf)
  Class C (deferrable), $24.00 million: BBB- (sf)
  Class D (deferrable), $13.40 million: BB- (sf)
  Subordinated notes, $39.00 million: Not rated



SATURNS 2003-2: S&P Places 'BB+' Rating on B Notes on Watch Pos.
----------------------------------------------------------------
S&P Global Ratings placed its 'BB+' long-term rating on Structured
Asset Trust Unit Repackagings (SATURNS) Sprint Capital Corp.'s
Debenture-Backed Series 2003-2 class B $30 million callable units
on CreditWatch with positive implications. S&P's rating on the
class B units is dependent on its rating on the underlying
security, Sprint Capital Corp.'s 8.75% notes due March 15, 2032
(BB+/Watch Pos).

The rating action reflects the May 5, 2022, placement of S&P's
long-term issuer credit rating on the underlying security on
CreditWatch with positive implications. As noted in its T-Mobile
press release: "Since the close of the Sprint acquisition in April
2020, T-Mobile has executed well on the integration. The company
raised its guidance for merger synergies to $5.2 billion-$5.4
billion in 2022 and expects to achieve its targeted run-rate cost
savings of $7.5 billion by 2024. Furthermore, T-Mobile has
transitioned all of the Sprint customer traffic to its network and
Sprint's subscriber base will have transitioned to the T-Mobile
network by mid-2022 (although the company is still moving legacy
Sprint customers to the full value proposition that T-Mobile offers
its subscribers). As such, we expect postpaid churn and net adds
will improve in the second half of 2022. Still, the company is
embarking on a billing system migration and decommissioning of
35,000 tower sites, which could prove disruptive if not executed
well."

S&P may take subsequent rating actions on this transaction if its
rating on the underlying security changes.



SDART 2021-3: Moody's Hikes Rating on Class E Notes to Ba1
----------------------------------------------------------
Moody's Investors Service has upgraded 14 classes of bonds issued
by eight auto loan securitizations. The bonds are backed by pools
of retail automobile loan contracts originated and serviced by
Santander Consumer USA Inc.

The complete rating actions are as follows:

Issuer: Santander Drive Auto Receivables Trust (SDART) 2019-3

Class E Notes, Upgraded to Aa1 (sf); previously on Feb 18, 2022
Upgraded to Aa3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-2

Class E Notes, Upgraded to Aa3 (sf); previously on Feb 18, 2022
Upgraded to A2 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-3

Class E Notes, Upgraded to A1 (sf); previously on Feb 18, 2022
Upgraded to Baa1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-4

Class D Notes, Upgraded to Aaa (sf); previously on Feb 18, 2022
Upgraded to Aa1 (sf)

Class E Notes, Upgraded to A2 (sf); previously on Feb 18, 2022
Upgraded to Baa2 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-1

Class D Notes, Upgraded to Aaa (sf); previously on Feb 18, 2022
Upgraded to Aa1 (sf)

Class E Notes, Upgraded to Baa1 (sf); previously on Feb 18, 2022
Upgraded to Baa3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-2

Class D Notes, Upgraded to Aa2 (sf); previously on Feb 18, 2022
Upgraded to A1 (sf)

Class E Notes, Upgraded to Baa3 (sf); previously on Feb 18, 2022
Upgraded to Ba2 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-3

Class D Notes, Upgraded to Aa3 (sf); previously on Feb 18, 2022
Upgraded to A2 (sf)

Class E Notes, Upgraded to Ba1 (sf); previously on Feb 18, 2022
Upgraded to Ba3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-4

Class C Notes, Upgraded to Aaa (sf); previously on Feb 18, 2022
Upgraded to Aa1 (sf)

Class D Notes, Upgraded to A2 (sf); previously on Feb 18, 2022
Upgraded to Baa1 (sf)

Class E Notes, Upgraded to Ba2 (sf); previously on Feb 18, 2022
Upgraded to B1 (sf)

RATINGS RATIONALE

The upgrades are primarily driven by the buildup of credit
enhancement due to structural features including a sequential pay
structure, non-declining reserve account and overcollateralization
as well as a reduction in Moody's cumulative net loss expectations
for the underlying pools.

Moody's lifetime cumulative net loss expectations range between
7.5% and 13.0% for the Santander Drive Auto Receivables Trust
transactions. The loss expectations reflect updated performance
trends on the underlying pools.

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

Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the ratings. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or greater recoveries from the value of the vehicles
securing the obligors' promise of payment. The US job market and
the market for used vehicles are also primary drivers of the
transaction's performance. Other reasons for better-than-expected
performance include changes in servicing practices to maximize
collections on the loans or refinancing opportunities that result
in a prepayment of the loan.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Losses could increase from Moody's
original expectations as a result of a higher number of obligor
defaults or a deterioration in the value of the vehicles securing
the obligors' promise of payment. The US job market and the market
for used vehicles are also primary drivers of the transaction's
performance. Other reasons for worse-than-expected performance
include poor servicing, error on the part of transaction parties,
lack of transactional governance and fraud.


SYMPHONY CLO XXXIII: Moody's Gives (P)Ba3 Rating to $15MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to four
classes of notes to be issued by Symphony CLO XXXIII, Ltd. (the
"Issuer" or "Symphony CLO XXXIII").

Moody's rating action is as follows:

US$1,000,000 Class X Amortizing Senior Secured Floating Rate Notes
due 2035, Assigned (P)Aaa (sf)

US$256,000,000 Class A Senior Secured Floating Rate Notes due 2035,
Assigned (P)Aaa (sf)

US$47,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned (P)Aa2 (sf)

US$15,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned (P)Ba3 (sf)

The notes listed are referred to herein, collectively, as the
"Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

Symphony CLO XXXIII 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 and
non-loan assets. Moody's expect the portfolio to be approximately
80% ramped as of the closing date.

Symphony Alternative Asset Management LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five-year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the Rated Notes, the Issuer will issue two other
classes of secured notes and one class of subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.

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

Par amount: $400,000,000

Diversity Score: 74

Weighted Average Rating Factor (WARF): 2900

Weighted Average Spread (WAS): 3mS+3.45%

Weighted Average Coupon (WAC): 7.0%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 7.9 years

Methodology Underlying the Rating Action:

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

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

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


UBS-BARCLAYS 2013-C5: Moody's Lowers Rating on Cl. C Certs to Ba1
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
and downgraded the ratings on six classes in UBS-Barclays
Commercial Mortgage Trust 2013-C5, Commercial Mortgage Pass-Through
Certificates, Series 2013-C5, as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Feb 24, 2021 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Feb 24, 2021 Affirmed Aaa
(sf)

Cl. A-AB, Affirmed Aaa (sf); previously on Feb 24, 2021 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Feb 24, 2021 Affirmed Aaa
(sf)

Cl. B, Downgraded to A2 (sf); previously on Feb 24, 2021 Affirmed
Aa3 (sf)

Cl. C, Downgraded to Ba1 (sf); previously on Feb 24, 2021
Downgraded to Baa2 (sf)

Cl. D, Downgraded to Caa1 (sf); previously on Feb 24, 2021
Downgraded to B2 (sf)

Cl. E, Downgraded to Caa3 (sf); previously on Feb 24, 2021
Downgraded to Caa2 (sf)

Cl. F, Affirmed C (sf); previously on Feb 24, 2021 Downgraded to C
(sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Feb 24, 2021 Affirmed
Aaa (sf)

Cl. X-B*, Downgraded to A2 (sf); previously on Feb 24, 2021
Affirmed Aa3 (sf)

Cl. EC**, Downgraded to Baa1 (sf); previously on Feb 24, 2021
Downgraded to A2 (sf)

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on four P&I classes, Cl. A-3, Cl A-4, Cl. A-AB and A-S,
were affirmed because of their significant credit support, the
pool's share of defeasance and the transaction's key metrics,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the transaction's Herfindahl
Index (Herf), being within acceptable ranges. Defeasance now
represents nearly 28% of the remaining pool balance. The rating on
one P&I class, Cl. F, was affirmed because the rating is consistent
with Moody's expected loss.

The ratings on four P&I classes, Cl. B, Cl. C, Cl. D and Cl. E,
were downgraded due to a decline in pool performance driven by
higher anticipated losses from specially serviced and troubled
loans secured primarily by retail properties. Furthermore, there is
heightened refinance risk as all the remaining loans mature by
February 2023 and there would be an increased risk of interest
shortfalls if certain loans are unable to payoff at or before their
scheduled maturity dates. The largest specially serviced loan is
Harborplace (5.5% of the pool) which has been in special servicing
since February 2019 and is last paid through November 2019.
Furthermore, the two largest loans in the pool, representing a
combined 36% of the pool, are secured by regional malls, which have
both experienced year over year declines in revenues and net
operating income (NOI) in 2020 and 2021. The two regional malls
with performance declines are Santa Anita Mall (19.3% of the pool)
and the Valencia Town Center (17.5% of the pool), which are both
currently owned by Unibail-Rodamco-Westfield SE (URW). The Valencia
Town Center is considered a troubled loan due to its significant
decline in revenues and upcoming maturity date in January 2023.

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

The rating on one IO Class, Cl. X-B, was downgraded due to a
decline in the credit quality of its referenced class.

The rating on the exchangeable class, Cl. EC, was downgraded due to
the credit quality of its referenced exchangeable classes.

The action has considered how the coronavirus pandemic has reshaped
the US economic environment and the way its aftershocks will
continue to reverberate and influence the performance of commercial
real estate. Moody's expect the public health situation to improve
as vaccinations against COVID-19 increase and societies continue to
adapt to new protocols. Still, the exit from the pandemic will
likely be bumpy and unpredictable and economic prospects will
vary.

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

Moody's rating action reflects a base expected loss of 14.1% of the
current pooled balance, compared to 8.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.8% of the
original pooled balance, compared to 6.4% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the April 12, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 25% to $1.115
billion from $1.485 billion at securitization. The certificates are
collateralized by 75 mortgage loans ranging in size from less than
1% to 19% of the pool, with the top ten loans (excluding
defeasance) constituting 55% of the pool. Thirty-three loans,
constituting 28% of the pool, have defeased and are secured by US
government securities.

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

As of the April 2022 remittance report, loans representing 93% were
current or within their grace period on their debt service
payments, 2% were between 30 – 59 days delinquent and 5% were
greater than 90 days delinquent.

Twelve loans, constituting 30% of the pool, are on the master
servicer's watchlist, of which one loan, representing less than 1%
of the pool, indicate the borrower has received loan modifications
in relation to the coronavirus impact on the property. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.

Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $2.4 million (for an average loss
severity of 23%). Three loans, constituting 8% of the pool, are
currently in special servicing.

The largest specially serviced loan is the Harborplace Loan ($61.7
million -- 5.5% of the pool), which is secured by a leasehold
interest in an approximately 149,000 SF lifestyle retail center in
Baltimore, Maryland. The property is located less than 0.5 miles
south of the Baltimore Central Business District (CBD), right on
the harbor waterfront. Several major tenants have vacated the
property since securitization, including H&M, Ripley's, Urban
Outfitters, Banana Republic, Five Guys, M&S Grill and Noodles & Co.
Furthermore, the Urban Outfitters' departure triggered co-tenancy
provisions which resulted in additional tenant departures. The
loan's DSCR has been below 1.00X since 2017 due to lower rental
revenues and higher expenses and the loan transferred to special
servicing in February 2019 due to payment default. The property was
61% leased as of December 2021, compared to 52% in September 2020,
64% in January 2020 and 95% at securitization. Occupancy is
expected to decline further due to the recent departure of H&M (13%
NRA) in January 2022 and the property faces further rollover risk
as approximately 20% of the NRA has lease expirations over the next
12 months. Special servicer commentary indicates the receiver is
currently marketing the property for sale. The loan has amortized
almost 19% since securitization but has accumulated over $9.5
million in cumulative servicer P&I and other expense advances. Due
to the significant decline in performance from securitization,
Moody's expects a significant loss on this loan.

The second specially serviced loan is the Chatham Retail Loan
($18.0 million -- 1.6% of the pool), which is secured by a 34,140
SF retail component located on the basement (parking garage),
ground and second floors of a 32-story residential condominium
located in New York City, New York. The loan was transferred to
special servicing in June 2020 due to payment default. The former
largest tenant Pier 1 (51% of NRA) vacated the property during 2019
and the borrower subsequently sub-divided the space into five
tenant spaces. Three new leases have been recently signed and the
borrower is working to lease the remaining spaces. The loan is
interest-only for the entire term and is last paid through its
February 2022 payment date. A recent appraisal values the
collateral above the loan balance and no appraisal reduction has
been recognized on the loan. A modification agreement was executed
in March 2022 and the loan was brought current. The loan is
expected to return to master servicing and has been included in the
conduit statistics mentioned further below with a Moody's LTV of
138%.

The remaining specially serviced loan is secured by an office
property and adjacent parking garage located in Canton, Ohio which
has been impacted by low occupancy.

Moody's has also assumed a high default probability for three
poorly performing loans, constituting 21% of the pool, and has
estimated an aggregate loss of $137.9 million (a 45% expected loss
on average) from two specially serviced loans and the three
troubled loans. The two largest troubled loans are the Valencia
Town Center loan (17.5% of the pool) and 155 Fifth Avenue (2.1%)
which are further discussed below. The third largest troubled loan
is The Village of Cross Keys loan (1.7%), which is secured by an
approximately 297,000 SF mixed-use property located roughly five
miles northwest of the Baltimore CBD. The loan was previously in
special servicing loan but was assumed by a new sponsor in July
2020 and was subsequently brought current on its debt service
payments and returned to the master servicer. However, the property
has continued to underperform expectations at securitization and
the property's NOI has been below 1.00X since 2018. The property
was 52% leased as of September 2021, compared to 79% at
securitization. Due to the low occupancy and DSCR, Moody's
identified this as a troubled loan.

As of the April 2022 remittance statement cumulative interest
shortfalls were $2.4 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.

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

Moody's received full year 2020 operating results for 99% of the
pool, and full or partial year 2021 operating results for 96% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 105%, compared to 100% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 11% to the most recently
available net operating income (NOI), excluding hotel properties
that had significantly depressed NOI in 2020 / 2021. Moody's value
reflects a weighted average capitalization rate of 9.9%.

Moody's actual and stressed conduit DSCRs are 1.89X and 1.07X,
respectively, compared to 2.08X and 1.13X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three performing loans represent 39% of the pool balance.
The two largest loans, Santa Anita Mall Loan ($215 million -- 19.3%
of the pool) and Valencia Town Center Loan ($195 million -- 17.5%
of the pool) are owned by URW, which has announced plans to sell
its US properties by the end of 2023.

The largest loan is the Santa Anita Mall Loan (19.3% of the pool),
which represents a pari-passu interest in a $285 million mortgage
loan. The loan is secured by a 956,343 SF portion of a 1.47 million
SF super-regional mall located in Arcadia, California. The property
is adjacent to the Santa Anita Park, a thoroughbred racetrack,
which is a demand driver for the mall. The mall is anchored by J.C.
Penney, Macy's, and Nordstrom, all of which are owned by their
respective tenants and are not contributed as loan collateral. As
of December 2021, the collateral was 86% leased compared to 89% at
last review, 94% in March 2020 and 98% in December 2018. As of
December 2021, inline occupancy was 80% compared to 90% at last
review and 97% in December 2018. The property's historical
performance generally improved from securitization through 2019,
however, the property's performance was impacted by the pandemic
and the 2021 revenue was approximately 20% lower than 2020 and 28%
lower than in 2019. Due to the decline in revenues the year-end
2021 property NOI was 24% below underwritten levels, however, the
loan still had a strong DSCR with a 2021 actual NOI DSCR of 2.43X
compared to 3.46X in 2020 and 3.19X at securitization. The loan is
interest only for its entire term and matures in February 2023.
Moody's LTV and stressed DSCR are 109% and 0.97X, respectively,
compared to 86% and 1.13X at the last review.

The second largest loan is the Valencia Town Center Loan (17.5% of
the pool), which is secured by a 646,121 SF portion of a 1.1
million SF super-regional mall located in Valencia, California. The
mall is currently anchored by Macy's and JC Penney. A former
anchor, Sears (122,000 SF), vacated in 2018 and the space remains
vacant. The three anchor units are not included as collateral for
the loan. Major collateral tenants include a 12-screen Edward's
Theater (68,780 SF; lease expiration in May 2024) and Gold's Gym
(29,100 SF; lease expiration in November 2027). The property
benefits from strong demographics and being the only mall serving
the Santa Clarita Valley submarket. The total property was 82%
leased as of December 2021, compared to 85% in December 2019 and
96% in September 2017. Inline occupancy was 84% in December 2021,
compared to 92% in December 2019 and 95% in December 2018. The
property's NOI generally improved from securitization through
year-end 2018, but has declined in recent years and performance is
now well below expectations at securitization. The 2020 NOI was
nearly 10% lower than in 2019 and 20% lower than underwritten
levels. During 2021 the property's revenue declined approximately
$8 million as compared to 2020, contributing to significant further
NOI decline from the prior year. The loan is interest only for its
entire term and had an in-place NOI DSCR (reflecting updated tax
expense of $6 million) of 1.36X as of December 2021, compared to
2.43X in 2020, 2.69X in 2019 and 3.19X at securitization. The loan
matures in January 2023 and due to recent significant declines in
performance the loan may face increased refinance risk. Moody's
considers this as a troubled loan.

The third largest loan is the 155 Fifth Avenue Loan ($23.9 million
-- 2.1% of the pool), which is secured by the fee simple interest
in a 35,000 SF pre-war Class B office building located in the
Gramercy Park area of the Midtown South submarket of New York, New
York. While the property is reported to be 100% leased as of June
2021, actual occupancy may be materially lower due to several
tenants which vacated at or prior to lease expiration. The two
largest tenants on the most recent roll represent more than 50% of
the NRA and over 80% of the base rent and both tenants are either
not expected to remain at the property or have permanently closed.

Pitchbook Data, Inc (30% NRA) is not expected to renew at its lease
expiration and the White Company, Inc. (23% of NRA) has closed its
location at this property. Due to the recent significant decline in
physical occupancy, Moody's considers this a troubled loan.


VMC FINANCE 2022-FL5: DBRS Finalizes B(low) Rating on Cl. G Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes to be issued by VMC Finance 2022-FL5 LLC:

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

All trends are Stable.

The initial collateral consists of 20 floating-rate mortgage loans
secured by 20 mostly transitional real estate properties with a
cut-off date pool balance of approximately $650.0 million,
excluding nearly $69.2 million of future funding commitments that
remained outstanding as of the mortgage loan cut-off date. Most
loans are in a period of transition with plans to stabilize and
improve asset value. During the Reinvestment Period, the Issuer may
acquire Funded Companion Participations and Reinvestment Mortgage
Assets subject to eligibility criteria, including receipt of a
no-downgrade confirmation from DBRS Morningstar (commonly referred
to as a rating agency confirmation or RAC), except that such
confirmation will not be required with respect to the acquisition
of a Participation if the principal balance of the Participation
being acquired is less than $500,000.

For all floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded with the remaining fully extended
loan term of the loans or the strike price of the interest rate cap
with the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the property-level
as-is appraised values were measured against the fully funded
mortgage loan commitments, the pool exhibited a relatively high
DBRS Morningstar weighted-average (WA) as-is loan-to-value (LTV)
ratio of 77.1%. However, DBRS Morningstar estimates the pool's WA
LTV ratio will improve to 70.0% through stabilization. When the
debt service payments associated with the fully funded loan
balances were measured against the DBRS Morningstar as-is net cash
flow (NCF), 14 loans, representing 69.8% of the cut-off date pool
balance, had a DBRS Morningstar as-is debt service coverage ratio
(DSCR) below 1.00 times (x), a threshold indicative of higher
default risk. The properties are often transitional with potential
upside in cash flow. However, DBRS Morningstar does not give full
credit to the stabilization if there are no holdbacks or if other
structural features are insufficient to support such treatment.
Furthermore, even with the structure provided, DBRS Morningstar
generally does not assume the assets will stabilize above market
levels.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, affected
more immediately. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis by, for
example, front-loading default expectations and/or assessing the
liquidity position of a structured finance transaction with more
stressful operational risk and/or cash flow timing considerations.

For more information regarding rating methodologies and the
coronavirus pandemic, please see the following DBRS Morningstar
press release: https://www.dbrsmorningstar.com/research/384482.

The borrowers for 17 loans (87.9% of the cut-off date pool balance)
have purchased Libor caps with strike prices that range from 0.75%
to 3.00% to protect against rising interest rates through the
duration of the loan term. The remaining three loans have springing
provisions for Libor caps. In addition to the fulfillment of
certain minimum performance requirements, exercise of any extension
options would also require the repurchase of interest rate cap
protection through the duration of the respectively exercised
options.

The loans are generally secured by traditional property types
(i.e., retail, multifamily, and office), with only one loan, East
Miami, representing 3.8% of the cut-off date pool balance, secured
by a hospitality asset at issuance. Another loan, Cadence Nashville
(3.7% of the cut-off date pool balance), is a multifamily property
that was analyzed as a hospitality property pursuant to the
sponsor's business plan to convert it into a hotel. Additionally,
no loans are secured by student housing properties, which often
exhibit higher cash flow volatility than traditional multifamily
properties.

Six loans, representing 29.2% of the cut-off date pool balance,
exhibited either Average + or Above Average property quality; no
loans exhibited Average - or Below Average property quality.

The business plan score (BPS) for loans DBRS Morningstar analyzed
was between 1.20 and 3.88, with an average of 2.06. On a scale of 1
to 5, a higher DBRS Morningstar BPS is indicative of more risk in
the sponsor's business plan. Consideration is given to the
anticipated lift at the property from current performance, planned
property improvements, sponsor experience, projected time horizon,
and overall complexity. Compared with similar transactions, the
subject has a relatively low average BPS, which is generally
indicative of lower business plan execution risk.

Six loans, representing 20.5% of the cut-off date pool balance, are
secured by properties in areas with a DBRS Morningstar Market Rank
of 6, 7, or 8, which are characterized as urbanized locations.
These markets generally benefit from increased liquidity that is
driven by consistently strong investor demand. Such markets,
therefore, tend to benefit from lower default frequencies than less
dense suburban, tertiary, or rural markets. Areas with a DBRS
Morningstar Market Rank of 7 or 8 are especially densely urbanized
and benefit from significantly elevated liquidity. Three loans,
comprising 10.9% of the cut-off date pool balance, are secured by
properties in such areas. Additionally, no loans are secured by
properties in an area with a DBRS Morningstar Market Rank of 2 or
lower. Areas with a DBRS Morningstar Market Rank of 2 or lower are
generally tertiary or rural markets.

The Class F, Class G, and Class H notes will be initially acquired
by VMC Finance 2022-FL5 Holdco, LLC, a direct wholly owned
subsidiary of VMC Master Lender REIT, LLC, and an indirect wholly
owned subsidiary of VMC Master Lender, L.P., as the retention
holder. The Class F, Class G, and Class H notes collectively
represent 16.625% of the transaction balance.

The pool consists of mostly transitional assets. Given the nature
of the assets, DBRS Morningstar determined an above-average sample
size, representing 83.3% of the cut-off date pool balance. While
physical site inspections were not performed because of health and
safety constraints associated with the ongoing coronavirus
pandemic, DBRS Morningstar notes that, in the future when its
analysts visit the markets, they may actually visit properties more
than once to follow the progress (or lack thereof) toward
stabilization. The servicer is also in constant contact with the
borrowers to track progress.

Based on the initial pool balances, the overall DBRS Morningstar WA
As-Is DSCR of 0.73x and WA As-Is LTV of 77.1% are generally
reflective of high-leverage financing. Most of the assets are
generally well positioned to stabilize, and any realized cash flow
growth would help to offset a rise in interest rates and improve
the overall debt yield of the loans. DBRS Morningstar associates
its loss severity given default (LGD) based on the assets' as-is
LTV, which does not assume that the stabilization plan and cash
flow growth will ever materialize. The DBRS Morningstar As-Is DSCR
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 does not account for. When measured against
the DBRS Morningstar Stabilized NCF, the DBRS Morningstar WA DSCR
is estimated to improve to 0.94x, suggesting that the properties
are likely to have improved NCFs once the sponsor's business plan
has been implemented.

All the loans in the pool have floating interest rates and are
interest only (IO) through their initial loan terms (and 15 loans
comprising 68.7% of the cut-off date pool balance are IO through
the fully extended loan period) with original terms ranging from 36
to 60 months, creating interest rate risk. All identified
floating-rate loans are short-term loans with maximum fully
extended loan terms of 60 months or less. Additionally, for all
floating-rate loans, DBRS Morningstar used the one-month Libor
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded with the remaining fully extended 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.

Five loans, comprising 31.3% of the cut-off date pool balance, are
structured to be IO through all of the initial loan term but switch
to fixed amortization payment schedules during at least one of the
extension periods. Loans structured with partial IO periods
generally exhibit higher-than-average default frequencies relative
to loans structured with full-term IO periods or no IO periods. All
identified floating-rate loans have extension options and, in order
to qualify for such options, must generally meet minimum and/or
maximum leverage, debt yield, and/or DSCR requirements. Given the
requirements surrounding the extension options DBRS Morningstar
analyzed these loans based on their shorter initial IO term.

DBRS Morningstar did not conduct interior or exterior tours of the
properties because of health and safety constraints associated with
the ongoing coronavirus pandemic. 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 assigned to each loan. Recent
third-party reports were provided for all loans and contained
property quality commentary and photos.

Nine loans, comprising 50.0% of the cut-off date pool balance,
represent refinancings. The refinancings within this securitization
generally do not require the respective sponsor(s) to contribute
material cash equity as a source of funding in conjunction with the
mortgage loan, resulting in a lower sponsor equity basis in the
underlying collateral. Generally speaking, the refinance loans are
performing at a higher level and have less stabilization to do. Of
the nine refinance loans, five loans, comprising 29.0% of the pool
cut-off date balance (and 58% of the refinance loans' cut-off date
balance), reported occupancy rates higher than 75.0%. Additionally,
the nine refinance loans exhibited a WA growth between as-is and
stabilized appraised value estimates of 14.2% compared with the
overall WA appraised value growth of 15.5% of the pool and the WA
appraised value growth of 16.8% exhibited by the pool's acquisition
loans.

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

When the cut-off date loan balances were measured against the DBRS
Morningstar As-Is NCF, 14 loans representing 69.8% of the cut-off
date pool balance had a DBRS Morningstar As-Is DSCR below 1.00x.
When the fully funded loan balances were measured against the DBRS
Morningstar Stabilized NCF, 10 loans, representing a combined 47.7%
of the cut-off date pool balance, had a DBRS Morningstar Stabilized
DSCR of at least 1.05x; seven loans, representing a combined 33.4%
of the cut-off date pool balance, exhibited a DBRS Morningstar
Stabilized DSCR of at least 1.15x; and four loans, representing a
combined 15.6% of the cut-off date pool balance, exhibited a DBRS
Morningstar Stabilized DSCR of at least 1.25x. DBRS Morningstar
received coronavirus and business plan updates for all loans in the
pool, confirming that all debt service payments have been received
in full through February 2022. Furthermore, no loans are in
forbearance or other debt service relief, and no loan modifications
were requested. Given the uncertainty and elevated execution risk
stemming from the coronavirus pandemic, five loans, totaling 24.1%
of the cut-off date pool balance, include upfront interest
reserves.

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



WELLS FARGO 2022-2: Fitch Rates Class B-5 Certificates 'B+sf'
-------------------------------------------------------------
Fitch rates the residential mortgage-backed certificates issued by
Wells Fargo Mortgage-Backed Securities 2022-2 Trust (WFMBS
2022-2).

   DEBT          RATING             PRIOR
   ----          ------             -----
WFMBS 2022-2

A-1      LT AAAsf    New Rating    AAA(EXP)sf
A-2      LT AAAsf    New Rating    AAA(EXP)sf
A-3      LT AAAsf    New Rating    AAA(EXP)sf
A-4      LT AAAsf    New Rating    AAA(EXP)sf
A-5      LT AAAsf    New Rating    AAA(EXP)sf
A-6      LT AAAsf    New Rating    AAA(EXP)sf
A-7      LT AAAsf    New Rating    AAA(EXP)sf
A-8      LT AAAsf    New Rating    AAA(EXP)sf
A-9      LT AAAsf    New Rating    AAA(EXP)sf
A-10     LT AAAsf    New Rating    AAA(EXP)sf
A-11     LT AAAsf    New Rating    AAA(EXP)sf
A-12     LT AAAsf    New Rating    AAA(EXP)sf
A-13     LT AAAsf    New Rating    AAA(EXP)sf
A-14     LT AAAsf    New Rating    AAA(EXP)sf
A-15     LT AAAsf    New Rating    AAA(EXP)sf
A-16     LT AAAsf    New Rating    AAA(EXP)sf
A-17     LT AAAsf    New Rating    AAA(EXP)sf
A-18     LT AAAsf    New Rating    AAA(EXP)sf
A-19     LT AAAsf    New Rating    AAA(EXP)sf
A-20     LT AAAsf    New Rating    AAA(EXP)sf
A-IO1    LT AAAsf    New Rating    AAA(EXP)sf
A-IO10   LT AAAsf    New Rating    AAA(EXP)sf
A-IO11   LT AAAsf    New Rating    AAA(EXP)sf
A-IO2    LT AAAsf    New Rating    AAA(EXP)sf
A-IO3    LT AAAsf    New Rating    AAA(EXP)sf
A-IO4    LT AAAsf    New Rating    AAA(EXP)sf
A-IO5    LT AAAsf    New Rating    AAA(EXP)sf
A-IO6    LT AAAsf    New Rating    AAA(EXP)sf
A-IO7    LT AAAsf    New Rating    AAA(EXP)sf
A-IO8    LT AAAsf    New Rating    AAA(EXP)sf
A-IO9    LT AAAsf    New Rating    AAA(EXP)sf
B-1      LT AA+sf    New Rating    AA+(EXP)sf
B-2      LT Asf      New Rating    A(EXP)sf
B-3      LT BBBsf    New Rating    BBB(EXP)sf
B-4      LT BB+sf    New Rating    BB+(EXP)sf
B-5      LT B+sf     New Rating    B+(EXP)sf
B-6      LT NRsf     New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 516 prime fixed-rate mortgage
loans with a total balance of approximately $348.8 million as of
the cutoff date. All of the loans were originated by Wells Fargo
Bank, N.A. (Wells Fargo) and 99.8% of the loans are agency eligible
loans.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.3% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable 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 18.2% yoy
nationally as of December 2021.

Prime Credit Quality (Positive): The pool consists entirely of
30-year fixed-rate loans to borrowers with a strong credit profile
(760 FICO and 36% DTI) and relatively low leverage (69.4% sLTV).
The pool consists of 99.4% of loans where the borrower maintains a
primary residence and 53.4% of the loans were originated through a
retail channel. All loans are Safe Harbor Qualified Mortgages
(SHQM) and all but one loan in the pool is agency eligible (0.2%).

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

Full Servicer Advancing (Mixed): The servicer will provide full
advancing of principal and interest until they are deemed
nonrecoverable. Fitch's loss severities reflect reimbursement of
amounts advanced by the servicer from liquidation proceeds based on
its liquidation timelines assumed at each rating stress. In
addition, the CE for the rated classes has some cushion for
recovery of servicer advances for loans that are modified following
a payment forbearance.

Subordination Floors (Positive): CE or subordination floors of
0.85% have been considered in order to mitigate potential tail end
risk and loss exposure for the senior tranche and junior tranches,
as pool size declines and performance volatility increases due to
adverse loan selection and small loan count concentration.

RATING SENSITIVITIES

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.7% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to negative MVDs at the national level, or
in other words positive home price growth with no assumed
overvaluation. The analysis assumes positive home price growth of
10%. Excluding the senior class, which is already rated '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'.

ESG CONSIDERATIONS

WFMBS 2022-2 has an ESG Relevance Score of '4+' for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in this transaction, including a strong R&W counterparty and
transaction due diligence as well as a strong originator and
servicer, which contributed to reduced expected losses in the
rating analysis.

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.


[*] Fitch Assigns Ratings to 38 Unrated Towd Point Trust Classes
----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to 38
previously unrated classes from 10 Towd Point Mortgage Trust
transactions issued between 2016 and 2020.

   DEBT            RATING
   ----            ------
Towd Point Mortgage Trust 2017-6

B4 89175JAH3      LT B-sf    New Rating

TPMT 2017-4

B4 89173UAH0      LT Bsf     New Rating

Towd Point Mortgage Trust 2017-1

B4 89173FAH3      LT B-sf    New Rating

TPMT 2019-4

A2 89178BAB0      LT AAAsf   New Rating
A2A 89178BAL8     LT AAAsf   New Rating
A2AX 89178BAM6    LT AAAsf   New Rating
A2B 89178BAN4     LT AAAsf   New Rating
A2BX 89178BAP9    LT AAAsf   New Rating
A3 89178BBC7      LT AAAsf   New Rating
A4 89178BBD5      LT Asf     New Rating
A5 89178BBE3      LT A-sf    New Rating
B1 89178BAE4      LT BBBsf   New Rating
B1A 89178BAY0     LT BBBsf   New Rating
B1AX 89178BAZ7    LT BBBsf   New Rating
B1B 89178BBA1     LT BBBsf   New Rating
B1BX 89178BBB9    LT BBBsf   New Rating
B2 89178BAF1      LT BBsf    New Rating
B3 89178BAG9      LT Bsf     New Rating
M1 89178BAC8      LT Asf     New Rating
M1A 89178BAQ7     LT Asf     New Rating
M1AX 89178BAR5    LT Asf     New Rating
M1B 89178BAS3     LT Asf     New Rating
M1BX 89178BAT1    LT Asf     New Rating
M2 89178BAD6      LT A-sf    New Rating
M2A 89178BAU8     LT A-sf    New Rating
M2AX 89178BAV6    LT A-sf    New Rating
M2B 89178BAW4     LT A-sf    New Rating
M2BX 89178BAX2    LT A-sf    New Rating

Towd Point Mortgage Trust 2017-3

B4 89169DAH4      LT BBsf    New Rating

TPMT 2020-1

B2 89178WAF5      LT Bsf     New Rating
B2A 89178WBR8     LT Bsf     New Rating
B2B 89178WBS6     LT Bsf     New Rating
B3A 89178WBT4     LT B-sf    New Rating

Towd Point Mortgage Trust 2016-3

B4 89172YAH3      LT BBsf    New Rating

TPMT 2018-1

B3 89176EAG5      LT Bsf     New Rating
B4 89176EAH3      LT B-sf    New Rating

TPMT 2018-3

B3 89175MAJ2      LT Bsf     New Rating

TPMT 2018-2

B3 89175VAG8      LT BBsf    New Rating

TRANSACTION SUMMARY

Fitch has rated other classes within these transactions since deal
close. The additional classes with ratings assigned today are more
junior than the classes with existing ratings and were unrated at
deal close. All of the transactions have performed well since
closing with many of the previously rated bonds upgraded or
assigned a Positive Rating Outlook. All of the transactions are
U.S. RMBS transactions collateralized by pools of re-performing
loans (RPL) in which the majority have been modified.

KEY RATING DRIVERS

Higher Achievable Ratings than at Issuance (Positive): Since Fitch
initially assigned ratings at issuance to these transactions the
subordinate bonds have materially better credit protection. This is
mostly driven by the increase in credit enhancements but also
driven by lower losses. Since issuance, the subordinate bonds have
de-levered significantly due to senior bonds paying down.
Additionally, due to modelling changes, and significant home price
appreciation, Fitch's model losses are down from issuance.

Home Price Appreciation and Overvaluation (Mixed): Mark-to-Market
LTVs continue to decline as a result of Home Price Appreciation,
resulting in lower expected losses due to the increased amount of
borrower equity. As of December 2021, S&P Corelogic Case-Shiller
Index reported an annual gain of 18.2% nationally, which is in the
top quintile of all monthly reports. Over the past year, Fitch
estimates that national home prices are 9.2% overvalued on a
population weighted basis.

The loans in the underlying pools have experienced material equity
build up as a result of home price appreciation since issuance with
the property values having increased anywhere from 20%- 40% by
vintage.

Distressed Payment History (Negative): In Fitch's analysis, all
non-cashflowing and contractually delinquent loans were treated as
delinquent for determining loan-level probability of default (PD).
As many loans remain delinquent or non-cashflowing, the
delinquencies remain elevated compared to pre-pandemic levels.
Otherwise, non-cash flowing loans or loans that are contractually
delinquent were assigned a higher PD.

Sequential Structures (Positive): These transactions are structured
as straight sequential payment priorities with 100% of principal
allocated to the senior bond first and losses allocated reverse
sequentially. This is a supportive structure to the senior notes,
especially through economic stress because principal is allocated
to the most senior bond first, the structures benefit from
significant deleveraging, and increased credit enhancement (CE)
over time. For the most subordinate classes, in which these rating
assignments generally address, these classes are most at risk
because they will not begin to receive principal allocation for a
number of years, and will be subject to losses earlier in the life
of the deal as compared to more senior notes.

No Advancing (Mixed): These transactions are not structured to any
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.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:
This defined negative stress sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected decline at the base case. This analysis indicates
that there is some potential rating migration with higher MVDs
compared with the model projection.

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

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

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

Any diligence adjustments that were incorporated during the
original rating analysis was applied for this review to the extent
the loans with adjustments are still outstanding.

ESG CONSIDERATIONS

TPMT 2017-4 has an ESG Relevance Score of '4' for Exposure to
Environmental Impacts due to heightened geographic concentration,
which has a negative impact on the credit profile, and is relevant
to the ratings in conjunction with other factors.

TPMT 2017-4 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated operational risk, which
has a negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

Towd Point Mortgage Trust 2016-3 has an ESG Relevance Score of '4'
for Transaction Parties & Operational Risk due to elevated
operational risk, which has a negative impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

Towd Point Mortgage Trust 2017-3 has an ESG Relevance Score of '4'
for Transaction Parties & Operational Risk due to elevated
operational risk, 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.


[*] Fitch Takes Varions Action on 11 US Trust Preferred CDOs
------------------------------------------------------------
Fitch Ratings, on April 26, 2022, affirmed the ratings on 40
classes, upgraded 34 classes and assigned Rating Outlooks to nine
classes from 11 collateralized debt obligations (CDOs).  Fitch has
also removed 25 notes from Under Criteria Observation (UCO) and has
withdrawn the ratings for 53 classes from eight CDOs.

   DEBT                        RATING           PRIOR
   ----                        ------           -----
Preferred Term Securities XXI, Ltd./Inc.

A-1 74042JAA1            LT AAsf    Affirmed    AAsf
A-1 74042JAA1            LT WDsf    Withdrawn   AAsf
A-2 74042JAB9            LT Asf     Affirmed    Asf
A-2 74042JAB9            LT WDsf    Withdrawn   Asf
B-1 74042JAC7            LT BB+sf   Affirmed    BB+sf
B-1 74042JAC7            LT WDsf    Withdrawn   BB+sf
B-2 74042JAJ2            LT BB+sf   Affirmed    BB+sf
B-2 74042JAJ2            LT WDsf    Withdrawn   BB+sf
C-1 74042JAE3            LT CCsf    Affirmed    CCsf
C-1 74042JAE3            LT WDsf    Withdrawn   CCsf
C-2 74042JAK9            LT CCsf    Affirmed    CCsf
C-2 74042JAK9            LT WDsf    Withdrawn   CCsf
D 74042JAG8              LT Csf     Affirmed    Csf
D 74042JAG8              LT WDsf    Withdrawn   Csf

Preferred Term Securities XXVII, Ltd./Inc.

A-1 74042TAA9            LT AAsf    Affirmed    AAsf
A-1 74042TAA9            LT WDsf    Withdrawn   AAsf
A-2 74042TAC5            LT A+sf    Affirmed    A+sf
A-2 74042TAC5            LT WDsf    Withdrawn   A+sf
B 74042TAE1              LT BBB-sf  Affirmed    BBB-sf
B 74042TAE1              LT WDsf    Withdrawn   BBB-sf
C-1 74042TAJ0            LT CCCsf   Affirmed    CCCsf
C-1 74042TAJ0            LT WDsf    Withdrawn   CCCsf
C-2 74042TAL5            LT CCCsf   Affirmed    CCCsf
C-2 74042TAL5            LT WDsf    Withdrawn   CCCsf
D 74042TAN1              LT Csf     Affirmed    Csf
D 74042TAN1              LT WDsf    Withdrawn   Csf

Preferred Term Securities XXIV, Ltd./Inc.

A-1 74043CAA5            LT AAsf    Upgrade     Asf
A-2 74043CAB3            LT BBB+sf  Upgrade     BBsf
B-1 74043CAC1            LT BB-sf   Upgrade     Bsf
B-2 74043CAE7            LT BB-sf   Upgrade     Bsf
C-1 74043CAG2            LT Csf     Affirmed    Csf
C-2 74043CAJ6            LT Csf     Affirmed    Csf
D 74043CAL1              LT Csf     Affirmed    7Csf
ALESCO Preferred Funding XVII, Ltd./LLC

A-1 01450NAA0            LT A+sf    Affirmed    A+sf
A-1 01450NAA0            LT WDsf    Withdrawn   A+sf
A-2 01450NAB8            LT A+sf    Affirmed    A+sf
A-2 01450NAB8            LT WDsf    Withdrawn   A+sf
B 01450NAC6              LT BBBsf   Affirmed    BBBsf
B 01450NAC6              LT WDsf    Withdrawn   BBBsf
C-1 01450NAD4            LT B+sf    Affirmed    B+sf
C-1 01450NAD4            LT WDsf    Withdrawn   B+sf
C-2 01450NAE2            LT B+sf    Affirmed    B+sf
C-2 01450NAE2            LT WDsf    Withdrawn   B+sf
D 01450NAF9              LT Csf     Affirmed    Csf
D 01450NAF9              LT WDsf    Withdrawn   Csf
Preferred Term Securities XII, Ltd./Inc.

A-1 74041NAA3            LT AAsf    Affirmed    AAsf
A-1 74041NAA3            LT WDsf    Withdrawn   AAsf
A-2 74041NAB1            LT AAsf    Affirmed    AAsf
A-2 74041NAB1            LT WDsf    Withdrawn   AAsf
A-3 74041NAC9            LT AAsf    Affirmed    AAsf
A-3 74041NAC9            LT WDsf    Withdrawn   AAsf
A-4 74041NAD7            LT AAsf    Affirmed    AAsf
A-4 74041NAD7            LT WDsf    Withdrawn   AAsf
B-1 74041NAE5            LT Csf     Affirmed    Csf
B-1 74041NAE5            LT WDsf    Withdrawn   Csf
B-2 74041NAG0            LT Csf     Affirmed    Csf
B-2 74041NAG0            LT WDsf    Withdrawn   Csf
B-3 74041NAJ4            LT Csf     Affirmed    Csf
B-3 74041NAJ4            LT WDsf    Withdrawn   Csf
Preferred Term Securities XVII, Ltd./Inc.

A-1 74042EAA2            LT AAsf    Affirmed    AAsf
A-1 74042EAA2            LT WDsf    Withdrawn   AAsf
A-2 74042EAB0            LT A+sf    Affirmed    A+sf
A-2 74042EAB0            LT WDsf    Withdrawn   A+sf
Class B 74042EAC8        LT BB+sf   Affirmed    BB+sf
Class B 74042EAC8        LT WDsf    Withdrawn   BB+sf
Class C 74042EAD6        LT CCsf    Affirmed    CCsf
Class C 74042EAD6        LT WDsf    Withdrawn   CCsf
Class D 74042EAE4        LT Csf     Affirmed    Csf
Class D 74042EAE4        LT WDsf    Withdrawn   Csf
Preferred Term Securities XXVI, Ltd./Inc.

A-1 74042QAA5            LT AAsf    Affirmed    AAsf
A-2 74042QAB3            LT Asf     Upgrade     BBBsf
B-1 74042QAC1            LT BB+sf   Upgrade     BBsf
B-2 74042QAE7            LT BB+sf   Upgrade     BBsf
C-1 74042QAG2            LT CCCsf   Affirmed    CCCsf
C-2 74042QAJ6            LT CCCsf   Affirmed    CCCsf
D 74042QAL1              LT Csf     Affirmed    Csf
Preferred Term Securities XXVIII, Ltd./Inc.

A-1 74042CAA6            LT AAsf    Upgrade     Asf
A-1 74042CAA6            LT WDsf    Withdrawn   AAsf
A-2 74042CAC2            LT A+sf    Upgrade     BBBsf
A-2 74042CAC2            LT WDsf    Withdrawn   A+sf
B 74042CAE8              LT BBB+sf  Upgrade     BBsf
B 74042CAE8              LT WDsf    Withdrawn   BBB+sf
C-1 74042CAG3            LT BBsf    Upgrade     CCCsf
C-1 74042CAG3            LT WDsf    Withdrawn   BBsf
C-2 74042CAJ7            LT BBsf    Upgrade     CCCsf
C-2 74042CAJ7            LT WDsf    Withdrawn   BBsf
D 74042CAL2              LT CCCsf   Upgrade     CCsf
D 74042CAL2              LT WDsf    Withdrawn   CCCsf

Preferred Term Securities XX, Ltd./Inc.

Floating Rate Class A-1  LT AAsf    Upgrade     Asf
Senior 74042DAA4
Floating Rate Class A-1  LT WDsf    Withdrawn   AAsf
Senior 74042DAA4
Floating Rate Class A-2  LTAsf      Upgrade     BBBsf
Senior 74042DAC0
Floating Rate Class A-2  LT WDsf    Withdrawn   Asf
Senior 74042DAC0
Floating Rate Class B    LT BB+sf   Upgrade     Bsf
Mezzanin 74042DAE6
Floating Rate Class B    LT WDsf    Withdrawn   BB+sf
Mezzanin 74042DAE6
Floating Rate Class C    LT B-sf    Upgrade     CCCsf
Mezzanin 74042DAG1
Floating Rate Class C    LT WDsf    Withdrawn   B-sf
Mezzanin 74042DAG1
Floating Rate Class D    LT Csf     Affirmed    Csf
Mezzanin 74042DAJ5
Floating Rate Class D    LT WDsf    Withdrawn   Csf
Mezzanin 74042DAJ5

Preferred Term Securities XXIII, Ltd./Inc.

A-1 74043AAD3            LT AAsf    Upgrade     Asf
A-1 74043AAD3            LT WDsf    Withdrawn   AAsf
A-2 74043AAE1            LT A+sf    Upgrade    BBBsf
A-2 74043AAE1            LT WDsf    Withdrawn  A+sf
A-FP 74043AAC5           LT A+sf    Upgrade   BBBsf
A-FP 74043AAC5           LT WDsf    Withdrawn A+sf
B-1 74043AAJ0            LT BBBsf   Upgrade   BBsf
B-1 74043AAJ0            LT WDsf    Withdrawn BBBsf
B-2 74043AAL5            LT BBBsf   Upgrade   BBsf
B-2 74043AAL5            LT WDsf    Withdrawn BBBsf
B-FP 74043AAG6           LT BBBsf   Upgrade   BBsf
B-FP 74043AAG6           LT WDsf    Withdrawn BBBsf
C-1 74043AAQ4            LT BB-sf   Upgrade   CCCsf
C-1 74043AAQ4            LT WDsf    Withdrawn BB-sf
C-2 74043AAS0            LT BB-sf   Upgrade   CCCsf
C-2 74043AAS0            LT WDsf    Withdrawn BB-sf
C-FP 74043AAN1           LT BB-sf   Upgrade   CCCsf
C-FP 74043AAN1           LT WDsf    Withdrawn BB-sf
D-1 74043AAW1            LT CCsf    Upgrade   Csf
D-1 74043AAW1            LT WDsf    Withdrawn CCsf
D-FP 74043AAU5           LT CCsf    Upgrade   Csf
D-FP 74043AAU5           LT WDsf    Withdrawn CCsf
Preferred Term Securities XXV, Ltd./Inc.

A-1 74042FAA9            LT A+sf    Upgrade   Asf
A-2 74042FAB7            LT BBB+sf  Upgrade   BBBsf
B-1 74042FAC5            LT BB+sf   Upgrade   Bsf
B-2 74042FAE1            LT BB+sf   Upgrade   Bsf
C-1 74042FAG6            LT CCsf    Upgrade   Csf
C-2 74042FAJ0            LT CCsf    Upgrade   Csf
D 74042FAL5              LT Csf     Affirmed  Csf

TRANSACTION SUMMARY

The CDOs are collateralized primarily by trust preferred securities
(TruPS) issued by banks and insurance companies.

Fitch has withdrawn the ratings of notes issued by eight CDOs for
commercial reasons, as referenced in the report "Fitch Plans to
Withdraw Ratings of 35 TruPS CDOs and 4 REIT TruPS CDOs," published
on Feb. 10, 2022.

KEY RATING DRIVERS

Out of 11 transactions, seven CDOs experienced moderate
deleveraging from collateral redemptions and/or excess spread,
which led to the senior classes of notes receiving paydowns ranging
from 2% to 37% of their last review note balances. This
deleveraging, in conjunction with the impact of Fitch's recently
updated U.S. Trust Preferred CDOs Surveillance Rating Criteria
(TruPS CDO Criteria), led to the upgrades.

For the six transactions last reviewed in 2021, the credit quality
of the collateral portfolios, as measured by a combination of
Fitch's bank scores and public ratings, improved. Of the five CDOs
Fitch previously reviewed in 2022, two transactions' credit quality
showed small improvement, while the other three exhibited negative
credit migration, due to the change in bank scores between 3Q21 and
4Q21. No new cures, deferrals or defaults have been reported since
last review.

The Stable Outlooks on 49 tranches in this review reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolios in stress scenarios commensurate with
such classes' rating.

The rating for the class A-1 notes in Alesco Preferred Funding
XVII, Ltd./LLC is one notch lower than its model-implied rating
(MIR) due to the likelihood that a rating action may be reversed in
the near term as a result of potential volatility in credit
performance.

The ratings for the class C-1 and C-2 notes in Preferred Term
Securities XXVII, Ltd./Inc. (PreTSL XXVII) are one notch higher
than their MIRs, which were driven by the outcome of the
sector-wide migration sensitivity analysis.

Fitch considered the rating of the issuer account bank in the
ratings for the class A-1, A-2, A-3 and A-4 notes in Preferred Term
Securities XII, Ltd./Inc., and the class A-1 notes in Preferred
Term Securities XVII, Ltd./Inc., Preferred Term Securities XX,
Ltd./Inc., Preferred Term Securities XXI, Ltd./Inc., Preferred Term
Securities XXIII, Ltd./Inc., Preferred Term Securities XXVI,
Ltd./Inc., PreTSL XXVII, Preferred Term Securities XXVIII,
Ltd./Inc. due to the transaction documents not conforming to
Fitch's Counterparty Criteria. These transactions are allowed to
hold cash, and their transaction account bank (TAB) does not
collateralize cash. Therefore, these classes of notes are capped at
the same rating as that of their TAB.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:
Downgrades to the rated notes may occur if a significant share of
the portfolio issuers default and/or experience negative credit
migration, which would cause a deterioration in rating default
rates.

Fitch has revised global economic outlook forecasts as a result of
the Ukraine War and related economic sanctions. Downside risks have
increased, and Fitch has published an assessment of a plausible,
but worse-than-expected, adverse stagflation scenario on Fitch's
major SF and CVB sub-sectors (see 'What a Stagflation Scenario
Would Mean for Global Structured Finance' at
'www.fitchratings.com'). Fitch expects the U.S. TruPS CDO sector in
the assumed adverse scenario to experience virtually no impact on
asset performance (2022 Adverse Macroeconomic Case Risk Heat Map),
due to very limited direct exposure to Russia and Ukraine, and
virtually no impact on ratings performance.

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

Future upgrades to the rated notes may occur if a transaction
experiences improvement in credit enhancement through deleveraging
from collateral redemptions and/or interest proceeds being used for
principal repayment.

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

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

Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


[*] Fitch Withdraws Ratings on Distressed Bonds in 2 CMBS Deals
---------------------------------------------------------------
Fitch Ratings, on April 27, 2022, has taken affirmed and
subsequently withdrawn the ratings on already distressed bonds
across two U.S. commercial mortgage-backed securities (CMBS)
transactions.

   DEBT           RATING                   PRIOR
   ----           ------                   -----
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13

D 07388LAN0    LT PIFsf    Paid In Full    CCsf
E 07388LAP5    LT Dsf      Affirmed        Dsf
E 07388LAP5    LT WDsf     Withdrawn       Dsf
F 07388LAQ3    LT Dsf      Affirmed        Dsf
F 07388LAQ3    LT WDsf     Withdrawn       Dsf
G 07388LAR1    LT Dsf      Affirmed        Dsf
G 07388LAR1    LT WDsf     Withdrawn       Dsf
H 07388LAS9    LT Dsf      Affirmed        Dsf
H 07388LAS9    LT WDsf     Withdrawn       Dsf
J 07388LAT7    LT Dsf      Affirmed        Dsf
J 07388LAT7    LT WDsf     Withdrawn       Dsf
K 07388LAU4    LT Dsf      Affirmed        Dsf
K 07388LAU4    LT WDsf     Withdrawn       Dsf
L 07388LAV2    LT Dsf      Affirmed        Dsf
L 07388LAV2    LT WDsf     Withdrawn       Dsf
M 07388LAW0    LT Dsf      Affirmed        Dsf
M 07388LAW0    LT WDsf     Withdrawn       Dsf
N 07388LAX8    LT Dsf      Affirmed        Dsf
N 07388LAX8    LT WDsf     Withdrawn       Dsf
O 07388LAY6    LT Dsf      Affirmed       Dsf
O 07388LAY6    LT WDsf     Withdrawn      Dsf

Morgan Stanley Capital I Trust 2007-IQ13

B 61753JAK5    LT Dsf      Affirmed       Dsf
B 61753JAK5    LT WDsf     Withdrawn      Dsf
C 61753JAL3    LT Dsf      Affirmed       Dsf
C 61753JAL3    LT WDsf     Withdrawn      Dsf
D 61753JAM1    LT Dsf      Affirmed       Dsf
D 61753JAM1    LT WDsf     Withdrawn      Dsf
E 61753JAN9    LT Dsf      Affirmed       Dsf
E 61753JAN9    LT WDsf     Withdrawn      Dsf
F 61753JAP4    LT Dsf      Affirmed       Dsf
F 61753JAP4    LT WDsf     Withdrawn      Dsf
G 61753JAQ2    LT Dsf      Affirmed       Dsf
G 61753JAQ2    LT WDsf     Withdrawn      Dsf
H 61753JAR0    LT Dsf      Affirmed       Dsf
H 61753JAR0    LT WDsf     Withdrawn      Dsf
J 61753JAS8    LT Dsf      Affirmed       Dsf
J 61753JAS8    LT WDsf     Withdrawn      Dsf
K 61753JAT6    LT Dsf      Affirmed       Dsf
K 61753JAT6    LT WDsf     Withdrawn      Dsf
L 61753JAU3    LT Dsf      Affirmed       Dsf
L 61753JAU3    LT WDsf     Withdrawn      Dsf
M 61753JAV1    LT Dsf      Affirmed       Dsf
M 61753JAV1    LT WDsf     Withdrawn      Dsf
N 61753JAW9    LT Dsf      Affirmed       Dsf
N 61753JAW9    LT WDsf     Withdrawn      Dsf

Fitch has withdrawn all 12 ratings of Morgan Stanley Capital I
Trust 2007-IQ13 and 10 ratings of Bear Stearns Commercial Mortgage
Securities Trust 2006-PWR13 as there is no remaining collateral in
either transaction and the trust balances have been reduced to
zero; thus, they are no longer considered by Fitch to be relevant
to the agency's coverage.

AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING

Default ratings ('Dsf') assigned to the last rated class of a
transaction will be automatically withdrawn within 11 months from
the date of this rating action. A separate RAC will not be issued
at that time.

KEY RATING DRIVERS

Fitch has affirmed 12 classes of Morgan Stanley Capital I Trust
2007-IQ13 and 10 classes of Bear Stearns Commercial Mortgage
Securities Trust 2006-PWR13 at 'Dsf' as a result of previously
incurred losses. Fitch has subsequently withdrawn the ratings.

RATING SENSITIVITIES

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

The actions are limited to two transactions in which the ratings
are 'Dsf' and the trust balances have been reduced to zero. The
rating withdrawals reflect that no collateral remains.

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

-- No further upgrades are possible as the ratings have been
    withdrawn.

BEST/WORST CASE RATING SCENARI

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG CONSIDERATIONS

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


[*] Moody's Hikes Ratings on $153MM of US RMBS Issued 2004 to 2007
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine bonds
from four US residential mortgage backed transactions (RMBS),
backed by Alt-A and subprime mortgages issued by multiple issuers.

A list of Affected Credit Ratings is available at
https://bit.ly/3ssaiwZ

Complete rating actions are as follows:

Issuer: Structured Asset Securities Corp Trust 2004-9XS

Cl. 1-A6, Upgraded to A3 (sf); previously on Dec 19, 2019 Upgraded
to Baa2 (sf)

Underlying Rating: Upgraded to A3 (sf); previously on Dec 19, 2019
Upgraded to Baa2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Negative on Dec 17, 2020)

Cl. 1-A5, Upgraded to Baa1 (sf); previously on Dec 19, 2019
Upgraded to Baa3 (sf)

Underlying Rating: Upgraded to Baa1 (sf); previously on Dec 19,
2019 Upgraded to Baa3 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Negative on Dec 17, 2020)

Issuer: Structured Asset Securities Corp Trust 2007-BC1

Cl. A1, Upgraded to A3 (sf); previously on Dec 17, 2018 Upgraded to
Baa2 (sf)

Cl. A4, Upgraded to Aaa (sf); previously on Dec 17, 2018 Upgraded
to Aa2 (sf)

Cl. A5, Upgraded to A2 (sf); previously on Dec 17, 2018 Upgraded to
Baa1 (sf)

Cl. A6, Upgraded to A3 (sf); previously on Dec 17, 2018 Upgraded to
Baa2 (sf)

Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2005-BC2

Cl. M-3, Upgraded to A2 (sf); previously on Jun 7, 2019 Upgraded to
Baa1 (sf)

Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2
Trust

Cl. M-2, Upgraded to A2 (sf); previously on Jan 10, 2020 Upgraded
to Baa1 (sf)

Cl. M-3, Upgraded to B1 (sf); previously on Jan 10, 2020 Upgraded
to B3 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and / or an increase in credit enhancement available
to the bonds.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 11% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.

The action has considered how the coronavirus pandemic has reshaped
US economic environment and the way its aftershocks will continue
to reverberate and influence the performance of residential
mortgage loans. Moody's expect the public health situation to
improve as vaccinations against COVID-19 increase and societies
continue to adapt to new protocols. Still, the exit from the
pandemic will likely be bumpy and unpredictable and economic
prospects will vary.

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

Principal Methodology

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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


[*] Moody's Takes Actions on $179.2MM of US RMBS Issued 2003-2005
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 12 bonds and
downgraded the ratings of 14 bonds from seven US RMBS transactions
issued by multiple issuers.

A list of the Affected Credit Ratings is available at
https://bit.ly/3Ma7zjI

Complete rating actions are as follows:

Issuer: Renaissance Home Equity Loan Trust 2005-1

Cl. AF-4, Upgraded to A3 (sf); previously on Dec 19, 2019 Upgraded
to Baa2 (sf)

Cl. AF-5, Upgraded to Ba1 (sf); previously on Dec 19, 2019 Upgraded
to Ba2 (sf)

Cl. AF-6, Upgraded to Baa3 (sf); previously on Dec 19, 2019
Upgraded to Ba1 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR10
Trust

Cl. A-6, Downgraded to Ba1 (sf); previously on Apr 11, 2012
Downgraded to Baa2 (sf)

Cl. A-7, Downgraded to Ba1 (sf); previously on Apr 11, 2012
Downgraded to Baa2 (sf)

Cl. B-1, Downgraded to Caa1 (sf); previously on Apr 11, 2012
Downgraded to B2 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR6
Trust

Cl. A-1, Downgraded to Ba2 (sf); previously on May 27, 2016
Downgraded to Baa3 (sf)

Cl. A-2, Downgraded to Ba2 (sf); previously on May 27, 2016
Downgraded to Baa3 (sf)

Cl. B-1, Downgraded to Caa2 (sf); previously on May 27, 2016
Downgraded to B3 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR7
Trust

Cl. A-6, Downgraded to Baa3 (sf); previously on Aug 29, 2013
Downgraded to Baa1 (sf)

Cl. A-7, Downgraded to Baa3 (sf); previously on Aug 29, 2013
Downgraded to Baa1 (sf)

Cl. A-8, Downgraded to Baa3 (sf); previously on Aug 29, 2013
Downgraded to Baa1 (sf)

Cl. B-1, Downgraded to B3 (sf); previously on Dec 28, 2018
Downgraded to B1 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR9
Trust

Cl. I-A-6, Downgraded to Baa3 (sf); previously on Aug 29, 2013
Downgraded to Baa1 (sf)

Cl. I-A-7, Downgraded to Baa3 (sf); previously on Aug 29, 2013
Downgraded to Baa1 (sf)

Cl. I-B-1, Downgraded to B3 (sf); previously on Aug 29, 2013
Downgraded to Ba3 (sf)

Cl. I-B-2, Downgraded to Ca (sf); previously on Dec 3, 2012
Downgraded to Caa2 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19

Cl. A-1A2, Upgraded to Baa1 (sf); previously on Jun 10, 2019
Upgraded to Baa2 (sf)

Cl. A-1B2, Upgraded to Baa2 (sf); previously on Jun 10, 2019
Upgraded to Ba1 (sf)

Cl. A-1B3, Upgraded to Baa2 (sf); previously on Jun 10, 2019
Upgraded to Ba1 (sf)

Cl. A-1C3, Upgraded to Ba2 (sf); previously on Mar 11, 2020
Upgraded to B1 (sf)

Cl. A-1C4, Upgraded to Ba2 (sf); previously on Mar 11, 2020
Upgraded to B1 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR2

Cl. 1-A-1B, Upgraded to Ba2 (sf); previously on Feb 21, 2019
Upgraded to B1 (sf)

Cl. 2-A-3, Upgraded to Ba1 (sf); previously on May 7, 2018 Upgraded
to Ba3 (sf)

Cl. 2-A-1B, Upgraded to Ba2 (sf); previously on May 7, 2018
Upgraded to B1 (sf)

Cl. 2-A-2B, Upgraded to Ba2 (sf); previously on Feb 21, 2019
Upgraded to B1 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds. The rating downgrades are primarily due to a
deterioration in collateral performance and/or decline in credit
enhancement available to the bonds.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. In cases where loan level data is not available, Moody's
assumed that the proportion of borrowers enrolled in payment relief
programs would be equal to levels observed in transactions of
comparable asset quality. Based on Moody's analysis, the proportion
of borrowers that are currently enrolled in payment relief plans
varied greatly, ranging between approximately 2% and 9% among RMBS
transactions issued before 2009. In Moody's analysis, Moody's
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.

The action has considered how the coronavirus pandemic has reshaped
US economic environment and the way its aftershocks will continue
to reverberate and influence the performance of residential
mortgage loans. Moody's expect the public health situation to
improve as vaccinations against COVID-19 increase and societies
continue to adapt to new protocols. Still, the exit from the
pandemic will likely be bumpy and unpredictable and economic
prospects will vary.

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

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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


[*] Moody's Takes Actions on $68.4MM of US RMBS Issued 2004-2007
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five bonds
and downgraded the ratings of four bonds from six US residential
mortgage backed transactions (RMBS), backed by Alt-A, option ARM
and subprime mortgages issued by multiple issuers.

A list of Affected Credit Ratings is available at
https://bit.ly/39vJyoA

Complete rating actions are as follows:

Issuer: Fremont Home Loan Trust 2005-C

Cl. M3, Upgraded to A1 (sf); previously on Jan 13, 2020 Upgraded to
A3 (sf)

Cl. M4, Upgraded to Ca (sf); previously on Apr 29, 2010 Downgraded
to C (sf)

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-6

Cl. I-A-3, Upgraded to Baa3 (sf); previously on Mar 27, 2018
Upgraded to Ba2 (sf)

Cl. I-A-4, Upgraded to A3 (sf); previously on Mar 27, 2018 Upgraded
to Baa2 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2005-IM2

Cl. A-4, Upgraded to Aa1 (sf); previously on Jun 21, 2019 Upgraded
to Aa3 (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-OA10

Cl. X*, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed
at Ca (sf)

Issuer: DSLA Mortgage Loan Trust 2005-AR3

Cl. 2-A1A, Downgraded to B1 (sf); previously on Oct 29, 2021
Downgraded to Ba1 (sf)

Issuer: First Horizon Alternative Mortgage Securities Trust
2004-AA1

Cl. A-1, Downgraded to B2 (sf); previously on May 4, 2012
Downgraded to Ba3 (sf)

Cl. A-3, Downgraded to B2 (sf); previously on May 4, 2012
Downgraded to Ba3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of an increase in credit enhancement
available to the bonds. The rating downgrades are primarily due to
a decline in credit enhancement available to the bonds. The rating
downgrade of Class X, an interest only bond from CWALT, Inc.
Mortgage Pass-Through Certificates, Series 2007-OA10, is primarily
due to the principal paydown of some of its linked P&I bonds. The
rating on an IO bond referencing multiple bonds is the weighted
average of the current ratings of its referenced bonds based on
their current balances, which are grossed up by their realized
losses, if any.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 11% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.

The action has considered how the coronavirus pandemic has reshaped
US economic environment and the way its aftershocks will continue
to reverberate and influence the performance of residential
mortgage loans. Moody's expect the public health situation to
improve as vaccinations against COVID-19 increase and societies
continue to adapt to new protocols. Still, the exit from the
pandemic will likely be bumpy and unpredictable and economic
prospects will vary.

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

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "US RMBS Surveillance Methodology"
published in July 2020.

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.


[*] Moody's Upgrades Ratings on $134MM of US RMBS Issued 2005-2006
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 12 bonds from
seven US residential mortgage backed transactions (RMBS), backed by
Alt-A, option ARM and subprime mortgages issued by multiple
issuers.

A list of Affected Credit Ratings is available at
https://bit.ly/3suqq0O

Complete rating actions are as follows:

Issuer: GSAMP Trust 2005-WMC3

Cl. A-1B, Upgraded to Aa2 (sf); previously on Jul 23, 2018 Upgraded
to A1 (sf)

Cl. A-2B, Upgraded to Aa2 (sf); previously on Jul 23, 2018 Upgraded
to A1 (sf)

Cl. A-2C, Upgraded to Aa2 (sf); previously on Jul 23, 2018 Upgraded
to A1 (sf)

Issuer: Impac CMB Trust Series 2005-4 Collateralized Asset-Backed
Bonds, Series 2005-4

Cl. 1-M-1, Upgraded to Caa2 (sf); previously on May 11, 2010
Downgraded to Ca (sf)

Issuer: Lehman XS Trust Series 2005-5N

Cl. 1-A1, Upgraded to Baa3 (sf); previously on Jun 21, 2019
Upgraded to Ba2 (sf)

Cl. 1-A2, Upgraded to Caa1 (sf); previously on Jun 21, 2019
Upgraded to Caa3 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE5

Cl. A-1, Upgraded to Baa2 (sf); previously on Oct 24, 2019 Upgraded
to Ba1 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC3

Cl. A-1, Upgraded to Aaa (sf); previously on Nov 27, 2018 Upgraded
to Aa1 (sf)

Cl. A-2d, Upgraded to A1 (sf); previously on Nov 27, 2018 Upgraded
to A3 (sf)

Issuer: MortgageIT Securities Corp., Mortgage-Backed Notes, Series
2005-4

Cl. A-1, Upgraded to Aa3 (sf); previously on Jul 2, 2019 Upgraded
to A2 (sf)

Issuer: MortgageIT Trust 2005-3

Cl. A-1, Upgraded to A3 (sf); previously on Nov 4, 2015 Upgraded to
Baa1 (sf)

Cl. A-2, Upgraded to Ba1 (sf); previously on Nov 4, 2015 Upgraded
to Ba3 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and / or an increase in credit enhancement available
to the bonds.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Specifically, Moody's have observed an
increase in delinquencies, payment forbearance, and payment
deferrals since the start of pandemic, which could result in higher
realized losses. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 11% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative for junior
bonds, which could incur write-downs on bonds when missed payments
are deferred.

The action has considered how the coronavirus pandemic has reshaped
US economic environment and the way its aftershocks will continue
to reverberate and influence the performance of residential
mortgage loans. Moody's expect the public health situation to
improve as vaccinations against COVID-19 increase and societies
continue to adapt to new protocols. Still, the exit from the
pandemic will likely be bumpy and unpredictable and economic
prospects will vary.

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

Principal Methodologies

The principal methodology used in rating all classes was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
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then-ending.

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