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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, March 8, 2020, Vol. 24, No. 67

                            Headlines

AMERICREDIT AUTOMOBILE 2020-1: Moodys Rates Class E Notes '(P)Ba1'
BANK 2017-BNK4: Fitch Affirms B- Rating on 2 Tranches
BANK 2020-BNK26: DBRS Gives Prov. B(high) Rating on Cl. G Certs
BCC FUNDING 2018-1: Moody's Raises Class E Notes to Ba1(sf)
BENCHMARK 2020-B17: Fitch to Rate $9.158MM Cl. G-RR Certs B-sf

BRISTOL PARK: Moody's Assigns Ba3 Rating on $24.8MM Cl. E-R Notes
BX COMMERCIAL 2020-VIVA: Moody's Rates Class E Certs '(P)Ba2'
CFK TRUST 2020-MF2: Moody's Assigns (P)B3 Rating on Class F Certs
CIFC FUNDING 2015-II: Moody's Rates $19.125MM Class E-R2 Notes Ba3
CITIGROUP 2020-GC46: DBRS Finalizes BB Rating on G-RR Certs

CONNECTICUT AVENUE 2020-SBT1: Fitch to Rate 13 Tranches 'B(EXP)'
CREDIT SUISSE 2007-C2: Moody's Hikes Class A-J Certs to Ba1
CREDIT SUISSE 2018-CX11: Fitch Affirms Class G-RR Certs at B-sf
CSAIL 2020-C19: Fitch to Rate $9.325MM Cl. G-RR Debt to B-
EXANTAS CAPITAL 2020-RSO8: DBRS Gives Prov. B Rating on G Notes

FLAGSTAR MORTGAGE 2020-1INV: Moody's Rates Class B-5 Debt 'B2'
FREDDIE MAC 2020-HQA2: Moody's Rates 6 Debt Tranches '(P)Ba2'
GE COMMERCIAL 2005-C4: Moody's Lowers Ratings on 2 Tranches to C
GS MORTGAGE 2010-C1: Moody's Cuts Rating on Class F Certs to Caa2
GS MORTGAGE 2015-GC32: Fitch Affirms Class F Certs at 'Bsf'

GS MORTGAGE 2020-PJ2: DBRS Finalizes B Rating on Class B-5 Certs
GS MORTGAGE-BACKED 2020-PJ2: Fitch Rates Class B5 Certs 'Bsf'
GS MORTGAGE-BACKED 2020-PJ2: Fitch Rates Class B5 Certs 'Bsf'
HALCYON LOAN 2015-2: Moody's Cuts $10MM Class F Notes to Caa3
JP MORGAN 2011-C5: Moody's Lowers Class G Certs to 'Ca'

JP MORGAN 2020-2: Moody's Gives B3 Rating on 2 Tranches
JP MORGAN 2020-INV1: DBRS Finalizes B(high) Rating on 2 Classes
JP MORGAN 2020-INV1: Moody's Gives B3 Rating on Class B-5-Y Debt
LBUBS COMMERCIAL 2006-C6: Moody's Affirms Class A-J Certs at Caa3
LUNAR AIRCRAFT 2020-1: Fitch Assigns BBsf Rating on Class C Debt

MERRILL LYNCH 2008-C1: Moody's Lowers Class G Certs to Caa2
MORGAN STANLEY 2007-TOP25: Fitch Affirms D Ratings on 11 Tranches
MORGAN STANLEY 2015-C22: Fitch Affirms Class F Certs at 'CCCsf'
NEW RESIDENTIAL 2020-2: Moody's Gives (P)Ba2 Rating to Cl. B-7 Debt
OBX TRUST 2020-EXP1: Fitch Assigns 'Bsf' Rating on Class B-5 Debt

PRIME STRUCTURED 2020-1: DBRS Finalizes BB(low) Rating on F Certs
PRIME STRUCTURED 2020-1: Moody's Gives B1 Rating on Class F Certs
ROCKFORD TOWER 2017-2: Moody's Rates $26.5MM Class E-R Notes 'Ba3'
SANTANDER PRIME 2018-A: DBRS Confirms BB Rating on Class E Notes
SARANAC CLO VIII: Moody's Assigns Ba3 Rating on $19MM Cl. E Notes

SEQUOIA MORTGAGE 2020-3: Fitch to Rate Class B-4 Certs 'BB-'
TACONIC PARK: Moody's Rates $20MM Class D-R Notes 'Ba3'
TICP CLO IV: Moody's Lowers $11MM Class F Notes to Caa1(sf)
TOWD POINT 2020-MH1: Fitch to Rate 5 Tranches 'B(EXP)sf'
US AUTO 2019-1: Moody's Upgrades Class C Notes to Ba1(sf)

VENTURE 39 CLO: Moody's Assigns (P)Ba3 Rating on $27MM Cl. E Notes
WELLS FARGO 2011-C5: Fitch Affirms Bsf Rating on Class G Certs
WELLS FARGO 2020-1: Moody's Assigns B2 Rating on Cl. B-5 Debt
WELLS FARGO 2020-C55: Fitch Rates Class G Certs 'B-sf'
WFRBS COMMERCIAL 2012-C7: Moody's Cuts Class G Certs to Caa3

WFRBS COMMERCIAL 2012-C8: Fitch Affirms Class G Certs at 'Bsf'
WILLIS ENGINE V: Fitch Assigns BBsf Rating on Series C Debt

                            *********

AMERICREDIT AUTOMOBILE 2020-1: Moodys Rates Class E Notes '(P)Ba1'
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by AmeriCredit Automobile Receivables Trust
2020-1. This is the first AMCAR auto loan transaction of the year
for AmeriCredit Financial Services, Inc. (AFS; Unrated). The notes
will be backed by a pool of retail automobile loan contracts
originated by AFS, who is also the servicer and administrator for
the transaction.

The complete rating actions are as follows:

Issuer: AmeriCredit Automobile Receivables Trust 2020-1

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

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

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

Class A-3 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa1 (sf)

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

Class D Notes, Assigned (P)Baa1 (sf)

Class E Notes, Assigned (P)Ba1 (sf)

RATINGS RATIONALE

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

Moody's median cumulative net loss expectation for the 2020-1 pool
is 9.50% and the loss at a Aaa stress is 38.0%. Moody's based its
cumulative net loss expectation and loss at a Aaa stress on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of AFS to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class
D, and Class E notes are expected to benefit from 35.20%, 27.95%,
18.95%, 10.10%, and 7.75% of hard credit enhancement, respectively.
Hard credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account, and
subordination, except for Class E notes which do not benefit from
subordination. The notes may also benefit from excess spread.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
March 2019.

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

Up

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

Down

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


BANK 2017-BNK4: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------
Fitch Ratings has affirmed 16 classes of BANK 2017-BNK4 commercial
mortgage pass-through certificates.

BANK 2017-BNK4

  - Class A-1 06541FAW9; LT AAAsf Affirmed

  - Class A-2 06541FAX7; LT AAAsf Affirmed

  - Class A-3 06541FAZ2; LT AAAsf Affirmed

  - Class A-4 06541FBA6; LT AAAsf Affirmed

  - Class A-S 06541FBD0; LT AAAsf Affirmed

  - Class A-SB 06541FAY5; LT AAAsf Affirmed

  - Class B 06541FBE8; LT AA-sf Affirmed

  - Class C 06541FBF5; LT A-sf Affirmed

  - Class D 06541FAJ8; LT BBB-sf Affirmed

  - Class E 06541FAL3; LT BB-sf Affirmed
  
  - Class F 06541FAN9; LT B-sf Affirmed

  - Class X-A 06541FBB4; LT AAAsf Affirmed

  - Class X-B 06541FBC2; LT A-sf Affirmed

  - Class X-D 06541FAA7; LT BBB-sf Affirmed

  - Class X-E 06541FAC3; LT BB-sf Affirmed

  - Class X-F 06541FAE9; LT B-sf Affirmed

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The affirmations reflect
the overall stable performance and loss expectations with no
material changes to pool metrics since issuance. There are no
specially serviced or delinquent loans. The largest loan in the
pool is the D.C. Office Portfolio (7.07% of the pool). The loan is
secured by three office buildings totaling 328,319 square feet (sf)
located within the Washington, D.C. CBD known as the Golden
Triangle. The buildings are leased to approximately 100 tenants,
making for a granular rent roll. Approximately 85% of the NRA rolls
during the loan term. Since 2009, each of the buildings has had an
average occupancy of over 91.0%. The lowest occupancy reported for
the portfolio during this time was 86.9% in 2010. In 2007, the
properties were securitized in the WBCMT 2007-C31 transaction. Two
of the loans paid off at maturity and the third loan prepaid.

While the deal is generally performing as expected, there are two
loans (6.59% of the pool) on the servicer's watchlist, one of which
is considered a Fitch Loan of Concern (FLOC).

The largest loan on the servicer's watchlist is the One West 34th
Street loan (6.06% of the pool). The loan is on the watchlist due
to declining DSCR. The loan is currently cash managed. The borrower
has been contacted regarding leasing updates. As of December 2019,
the property was 90% occupied and the DSCR was 1.22x. Fitch does
not consider this a FLOC.

The second loan on the servicer's watchlist and the only FLOC is
the Red Roof Inn BWI Airport (0.52% of the pool). The loan is on
the watchlist due to declining property performance. The sponsor is
employing additional marketing efforts in an attempt to drive more
traffic to the property.

Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the February 2020
distribution date, the pool's aggregate balance has been paid down
by 1.80% to $990 million from $1 billion at issuance. All original
48 loans remain in the pool. Based on the scheduled balance at
maturity, the pool will pay down by only 8.8%, which is slightly
above the 2017 average of 7.9%. Thirteen loans (49.5%) are
full-term interest only and 13 loans (19.4%) are partial interest
only. Fitch-rated transactions in 2017 had an average full-term,
interest-only percentage of 46.1% and a partial interest-only
percentage of 28.7%.

Pool Diversity: The pool shows diversity with respect to loan size
and property type. The top 10 loans represent 53.05% of the pool,
and the loan concentration index is 385; both metrics are slightly
below similar vintage averages of 53.1% and 398. Loans secured by
office make up 36.3%, followed by retail at 21.9%, hotel at 19.2%
and industrial at 9.5%.

RATING SENSITIVITIES

The Rating Outlooks on all classes remain Stable given the
relatively stable performance of the transaction since issuance.
Fitch does not foresee positive or negative ratings migration until
a material economic or asset-level event changes the transaction's
overall portfolio level metrics.


BANK 2020-BNK26: DBRS Gives Prov. B(high) Rating on Cl. G Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-BNK26 to
be issued by BANK 2020-BNK26:

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

All trends are Stable. Classes X-D, X-F, X-G, X-H, D, E, F, G, H,
V, and R will be privately placed.

The collateral consists of 75 fixed-rate loans secured by 101
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. DBRS Morningstar analyzed
the conduit pool to determine the provisional ratings, reflecting
the long-term probability of loan default within the term and its
liquidity at maturity. Five loans, representing 23.1% of the pool,
are shadow-rated investment grade by DBRS Morningstar. When DBRS
Morningstar measured the cut-off loan balances against the DBRS
Morningstar Stabilized NCF and their respective actual constants,
the initial DBRS Morningstar WA DSCR for the pool was 2.74x. The WA
DSCR is elevated because 23.1% of the pool is shadow-rated
investment grade and the concentration of low-leverage residential
co-operative loans represents 4.3% of the pool. These residential
co-operative loans have very low loan-level credit enhancement at
the AAA level and near-zero loan-level credit enhancement at the
BBB (low) level. Only three loans in the pool—The Hub Shopping
Center, 18 West 25th Street, and Lockaway Storage-Boerne—had a
DBRS Morningstar Term DSCR below 1.30x, a threshold indicative of a
higher likelihood of mid-term default. The WA DBRS Morningstar LTV
of the pool at issuance was 55.3%, and the pool is scheduled to
amortize down to a WA DBRS Morningstar LTV of 51.9% at maturity.
The pool includes 19 loans, representing 24.8% of the pool by
allocated loan balance, with issuance LTVs equal to or higher than
67.1%, a threshold historically indicative of above-average default
frequency.

The transaction includes five loans, representing 23.1% of the
total pool balance, that is shadow-rated investment grade by DBRS
Morningstar, including Bravern Office Commons, 560 Mission Street,
55 Hudson Yards, 1633 Broadway-NY, and Bellagio Hotel and Casino.
Bravern Office Commons exhibits credit characteristics consistent
with a AA (high) shadow rating, 560 Mission Street exhibits credit
characteristics consistent with a AA shadow rating, 55 Hudson Yards
exhibits credit characteristics consistent with a BBB shadow
rating, 1633 Broadway-NY exhibits credit characteristics consistent
with a BBB (high) shadow rating, and the Bellagio Hotel and Casino
exhibits credit characteristics consistent with a AAA shadow
rating.

Fourteen loans in the pool, representing 4.3% of the transaction,
are backed by residential co-operative loans. Residential
co-operatives tend to have minimal risk, given their low leverage
and a low risk to residents if the co-operative associations
default on their mortgages. The WA DBRS Morningstar LTV for these
loans is 14.5%.

Thirty-three loans, representing 56.3% of the pool, have collateral
located in MSA Group 3, which represents the best-performing group
in terms of historical CMBS default rates among the top 25 MSAs.
MSA Group 3 has a historical default rate of 17.25%, which is
nearly 40% lower than the overall CMBS historical default rate of
approximately 28.00%.

Thirty-five loans, representing 41.7% of the pool by allocated loan
balance, exhibit issuance LTVs of equal to or less than 59.3%, a
threshold historically indicative of relatively low-leverage
financing and generally associated with far below-average default
frequency.

Only four loans had property quality deemed to be Average (-) while
none had property quality deemed Below Average or Poor.
Additionally, 12 loans, representing 33.7% of the pool balance,
exhibited Average (+), Above Average, or Excellent property
quality. One of the top 10 loans, the Bellagio Hotel and Casino, is
secured by collateral that had property quality that DBRS
Morningstar deemed to be Excellent.

The pool has a relatively high concentration of loans secured by
office properties as 11 loans, representing 37.4% of the pool by
allocated loan balance, are secured by this property type. DBRS
Morningstar considers office properties to be a riskier property
type with a generally above-average historical default frequency.
Four of the 11 office loans (Bravern Office Commons, 560 Mission
Street, 55 Hudson Yards, and 1633 Broadway-NY), comprising 20.1% of
the pool balance, are shadow-rated investment grade by DBRS
Morningstar. Seven office properties, totaling 27.7% of the pool
balance, have DBRS Morningstar DSCRs higher than 2.00x, while the
remaining four office loans, totaling 9.7% of the pool balance,
have DBRS Morningstar DSCRs higher than 1.45x. Five office loans,
representing 59.8% of the office concentration, are secured by
office properties in areas characterized as extremely dense and
desirable urban gateway markets, which have a DBRS Morningstar
Market Rank of 8.

Thirty-five loans, representing 67.8% of the pool by allocated loan
balance, are structured with full-term IO periods. Of these 35
loans, eight loans, representing 40.2% of the pool by allocated
loan balance, are in areas with a DBRS Morningstar Market Rank of
6, 7, or 8. These markets benefit from increased liquidity even
during times of economic stress. Five of the 35 identified loans
(Bravern Office Commons, 560 Mission Street, 55 Hudson Yards, 1633
Broadway-NY, and Bellagio Hotel and Casino), representing 23.1% of
the total pool balance, are shadow-rated investment grade by DBRS
Morningstar.

DBRS Morningstar completed a cash flow review and a cash flow
stability and structural review on 28 of the 75 loans, representing
73.0% of the pool by loan balance. For loans not subject to an NCF
review, DBRS Morningstar applied the average NCF variance of its
respective loan seller.

DBRS Morningstar generally adjusted cash flow to current in-place
rent and, in some instances, applied an additional vacancy or
concession adjustment to account for deteriorating market
conditions or tenants with above-market rent. In most instances,
DBRS Morningstar accepted contractual rent bumps if they were
within 12 months and market levels. Generally, DBRS Morningstar
recognized most expenses based on the higher of historical figures
or the borrower's budgeted figures. Real estate taxes and insurance
premiums were inflated if a current bill was not provided. Capex
was deducted based on the higher of the engineer's inflated
estimates or the DBRS Morningstar standard, according to property
type. Finally, leasing costs were deducted to arrive at the DBRS
Morningstar NCF. If a significant upfront leasing reserve was
established at closing, DBRS Morningstar reduced its recognized
costs. DBRS Morningstar gave credit to tenants not yet in occupancy
if a lease had been signed and the loan was adequately structured
with a reserve, LOC, or holdback earn-out. The DBRS Morningstar
sample had an average NCF variance of -12.8% and ranged from -36.5%
(18 West 25th Street) to -4.7% (Grand Oaks Plaza).

Classes X-A, X-B, X-D, X-F, X-G, and X-H are IO certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.

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


BCC FUNDING 2018-1: Moody's Raises Class E Notes to Ba1(sf)
-----------------------------------------------------------
Moody's Investors Service upgraded three securities in BCC Funding
XIV LLC, Series 2018-1. The transaction is a securitization of
small and mid-ticket equipment loans and leases serviced by Balboa
Capital Corporation.

The complete rating actions are as follows

Issuer: BCC Funding XIV LLC, Series 2018-1

Equipment Contract Backed Notes, Series 2018-1, Class C, Upgraded
to A1 (sf); previously on Oct 9, 2019 Upgraded to A3 (sf)

Equipment Contract Backed Notes, Series 2018-1, Class D, Upgraded
to Baa1 (sf); previously on Oct 9, 2019 Upgraded to Baa3 (sf)

Equipment Contract Backed Notes, Series 2018-1, Class E, Upgraded
to Ba1 (sf); previously on Oct 9, 2019 Upgraded to Ba2 (sf)

RATINGS RATIONALE

The rating actions were prompted by the build-up of credit
enhancement driven by the sequential payment structure,
overcollateralization, and a non-declining reserve account.
Additionally, the rating actions considered performance comparisons
to other transactions.

The lifetime cumulative net loss (CNL) expectation remains
unchanged at 4.0% for the transaction.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in March 2019.

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. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors. The US macro
economy and the equipment markets are primary drivers of
performance. Other reasons for better performance than Moody's
expected include changes in servicing practices to maximize
collections on the loans and leases.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher frequency
of default by the underlying obligors. The US macro economy and the
equipment markets are primary drivers of performance. Other reasons
for worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.


BENCHMARK 2020-B17: Fitch to Rate $9.158MM Cl. G-RR Certs B-sf
--------------------------------------------------------------
Fitch Ratings issued a presale report on BENCHMARK 2020-B17
Mortgage Trust, commercial mortgage pass-through certificates,
series 2020-B17.

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

  -- $6,275,000 class A-1 'AAAsf'; Outlook Stable;

  -- $188,000,000 class A-2 'AAAsf'; Outlook Stable;

  -- $170,000,000a class A-4 'AAAsf'; Outlook Stable;

  -- $263,938,000a class A-5 'AAAsf'; Outlook Stable;

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

  -- $746,439,000b class X-A 'AAAsf'; Outlook Stable;

  -- $78,994,000b class X-B 'A-sf'; Outlook Stable;

  -- $105,326,000 class A-S 'AAAsf'; Outlook Stable;

  -- $41,214,000 class B 'AA-sf'; Outlook Stable;

  -- $37,780,000 class C 'A-sf'; Outlook Stable;

  -- $37,780,000bc class X-D 'BBB-sf'; Outlook Stable;

  -- $21,752,000c class D 'BBBsf'; Outlook Stable;

  -- $16,028,000c class E 'BBB-sf'; Outlook Stable;

  -- $16,028,000ce class F-RR 'BB-sf'; Outlook Stable;

  -- $9,158,000ce class G-RR 'B-sf'; Outlook Stable;

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

  -- $27,477,162ce class NR-RR;

  -- $27,500,000cd class VRR Interest.

(a) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $433,938,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-4 balance range is $100,000,000 to $170,000,000, and the
expected class A-5 balance range is $263,938,000 to $333,938,000.

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

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

(d) Represents the non-offered, eligible vertical credit-risk
retention interest.

(e) Horizontal risk retention.

TRANSACTION SUMMARY

The expected ratings are based on information provided by the
issuer as of Feb. 27, 2020.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 35 loans secured by 160
commercial properties having an aggregate principal balance of
$943,376,162 as of the cut-off date. The loans were contributed to
the trust by Citi Real Estate Funding Inc., JPMorgan Chase Bank,
National Association and German American Capital Corporation.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.2% of the properties
by balance, cash flow analysis of 89.7% and asset summary reviews
on 100% of th pool.


KEY RATING DRIVERS

Fitch Leverage: The pool's Fitch DSCR of 1.33x is slightly lower
than the 2020 YTD average of 1.35x and higher than the 2019 average
of 1.26x. The pool's Fitch LTV of 92.7% is lower than the 2020 YTD
and 2019 averages of 96.9% and 103.0%, respectively. Excluding
investment-grade credit opinion loans, the pool has a Fitch DSCR
and LTV of 1.29x and 110.0%, respectively.

Limited Amortization: Based on the scheduled balance at maturity,
the pool will pay down by only 2.2%, which is below the respective
2019 and 2020 YTD averages of 5.9% and 3.7%, respectively.
Twenty-seven loans totaling 85.5% of the deal are full
interest-only (IO) loans, which is higher than the 2019 and 2020
YTD averages of 60.3%% and 76.5%, respectively. Another six loans,
representing 12.4% of the pool, are partial IO loans.

Credit Opinion Loans: Eight loans, representing 39.9% of the pool,
have investment-grade credit opinions. This is above the 2020 YTD
and 2019 averages of 31.0% and 14.2%, respectively. Five loans
including Moffett Towers (8.4% of the pool), 1633 Broadway (5.3%),
650 Madison Avenue (5.3%), CBM Portfolio (5.3%) and Bellagio Hotel
(4.2%) received stand-alone credit opinions of 'BBB-sf*'. 1501
Broadway (5.3%) and Stonemont Net Lease Portfolio (2.7%) received
stand-alone credit opinions of 'A-sf*'. Kings Plaza (3.4%) received
a stand-alone credit opinion of 'BBBsf*'.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 23.1% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to the
BMARK 2020-B17 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'AAsf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'Asf' could
result.


BRISTOL PARK: Moody's Assigns Ba3 Rating on $24.8MM Cl. E-R Notes
-----------------------------------------------------------------
Moody's Investors Service assigned ratings to five classes of CLO
refinancing notes issued by Bristol Park CLO, Ltd.

Moody's rating action is as follows:

US$357,500,000 Class A-R Senior Secured Floating Rate Notes due
2029 (the "Class A-R Notes"), Assigned Aaa (sf)

US$60,500,000 Class B-R Senior Secured Floating Rate Notes due 2029
(the "Class B-R Notes"), Assigned Aa2 (sf)

US$33,000,000 Class C-R Secured Deferrable Floating Rate Notes due
2029 (the "Class C-R Notes"), Assigned A2 (sf)

US$31,500,000 Class D-R Secured Deferrable Floating Rate Notes due
2029 (the "Class D-R Notes"), Assigned Baa3 (sf)

US$24,875,000 Class E-R Secured Deferrable Floating Rate Notes due
2029 (the "Class E-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.

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

GSO / Blackstone Debt Funds Management LLC 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 remaining two year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

The Issuer has issued the Refinancing Notes on February 27, 2020 in
connection with the refinancing of all classes of secured notes
originally issued on December 8, 2016. On the Refinancing Date, the
Issuer used the proceeds from the issuance of the Refinancing Notes
to redeem in full the Refinanced Original Notes. On the Original
Closing Date, the issuer also issued one class of subordinated
notes that remains outstanding.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include extension of the non-call period,
changes to certain collateral quality tests, and change to the
interest diversion test level.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions

Performing par and principal proceeds balance: $546,349,243

Defaulted par: $2,131,052

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3001 (corresponding to a
weighted average default probability of 26.56%)

Weighted Average Spread (WAS): 3.40%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 7.00 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
March 2019.

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.



BX COMMERCIAL 2020-VIVA: Moody's Rates Class E Certs '(P)Ba2'
-------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to six
classes of CMBS securities, issued by BX Commercial Mortgage Trust
2020-VIVA, Commercial Mortgage Pass-Through Certificates, Series
2020-VIVA:

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

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

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

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

Cl. E, Assigned (P)Ba2 (sf)

Cl. X*, Assigned (P)A1 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single loan backed by
first priority deeds of trust collateralized by the borrowers' fee
simple interests in two properties, the MGM Grand Hotel and Casino
and Mandalay Bay Resort and Casino ("Mandalay Bay") in Las Vegas,
NV. Its ratings are based on the credit quality of the loans and
the strength of the securitization structure.

The MGM Grand is a AAA Four-Diamond, full-service luxury resort and
casino property. It is the third largest hotel in the world,
situated on over 101.9 acres of land and consisting of 4,998
guestrooms. The guestroom mix includes 4,270 standard guestrooms,
554 suites, 88 luxury suites, 51 Skyloft Suites (excluding one
additional office unit), 30 Mansion Villas (lodging targeted for
high-end gamblers), and four entourage rooms associated with the
Mansion Villas. The hotel features approximately 177,268 SF of
casino space that houses 1,553 slot machines and 128 gaming tables,
numerous restaurants, approximately 748,325 SF of meeting space, an
approximately 23,000 SF spa, four swimming pools and approximately
41,800 SF of retail space featuring 31 retailers. The MGM Grand is
also home to multiple shows including Cirque du Soleil's "Ka", an
acrobatic theater production that has been in residence at the MGM
Grand since October 2004. The MGM Grand also has the David
Copperfield Theatre, Hakkasan Nightclub and the MGM Grand Garden
Arena, which has seating capacity of over 16,000 and hosts premier
concerts, award shows, sporting events including championship
boxing, and other special events.

The Mandalay Bay is a AAA Four-Diamond, full-service luxury resort
and casino property. It is the premier conference hotel in Las
Vegas with over 2.1 million SF of convention, ballroom, and meeting
space, making it the 5th largest event space in the United States.
Mandalay Bay is situated on over 124.1 acres of land and consists
of 4,750 guestrooms. Included in the Mandalay Bay are (i) a Four
Seasons Hotel with its own lobby, restaurants, pool, and spa, and
(ii) The Delano, which is an all-suite hotel tower wihtin the
complex including its own spa, fitness center, lounge and
restaurants. Mandalay Bay features 152,159 SF of casino space that
houses over 1,232 slot machines and 71 gaming tables, numerous
restaurants, an approximately 30,000 SF spa, 10 swimming pools, and
approximately 54,000 SF of retail space featuring 41 retailers.
Mandalay Bay is home to Cirque du Solieil's Michael Jackson "One",
which has been in residence in a 1,805-seat showroom since 2013, a
12,000-seat special events arena, the House of Blues, and the Shark
Reef Aquarium. Additionally, Mandalay Bay's expansive pool and
beach area plays host to an array of evening open air concerts
during the pool season, a large wave pool, and Moorea, a
European-style "ultra" beach and Daylight Beach Club.

Moody's approach to rating this transaction involved the
application of both its Large Loan and Single Asset/Single Borrower
CMBS methodology and its IO Rating methodology. The rating approach
for securities backed by a single loan compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.

The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.

The whole loan first mortgage balance of $3,000,000,000 represents
a Moody's LTV of 79.6%. The Moody's First Mortgage Actual DSCR is
4.07X and Moody's First Mortgage Actual Stressed DSCR is 1.56X.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. Each property received
a property quality grade of 1.75, however, the Four Season's within
the Mandalay Bay received a property quality grade of 1.50.

Positive features of the transaction include the asset quality,
recent refurbishments, location and strong sponsorship. Offsetting
these strengths are property type volatility, lack of
diversification, new supply, dependence on tourism, and credit
negative legal features.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.


CFK TRUST 2020-MF2: Moody's Assigns (P)B3 Rating on Class F Certs
-----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to seven
classes of CMBS securities, issued by CFK Trust 2020-MF2,
Commercial Mortgage Pass-Through Certificates, Series 2020-MF2:

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

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

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

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

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

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

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

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to a portfolio of 17
multifamily properties, 9 mixed-use properties with multifamily and
retail and 1 mixed-use property with office and retail located in
the boroughs of Manhattan and Brooklyn in New York. Its ratings are
based on the credit quality of the loan and the strength of the
securitization structure.

Moody's approach to rating this transaction involved the
application of both its Large Loan and Single Asset/Single Borrower
CMBS methodology and its IO Rating methodology. The rating approach
for securities backed by a single loan compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.

The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.

The whole loan first mortgage balance of $324,000,000 represents a
Moody's LTV of 127.8%. The Moody's First Mortgage Actual DSCR is
1.69X and Moody's First Mortgage Actual Stressed DSCR is 0.63X.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 1.00.

Positive features of the transaction include the property type,
multiple property pooling, strong locations, and capital
investment. Offsetting these strengths are high Moody's LTV, lack
of asset diversification, property age, amount of rent
stabilized/controlled multifamily units, and credit negative legal
features.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.

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

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


CIFC FUNDING 2015-II: Moody's Rates $19.125MM Class E-R2 Notes Ba3
------------------------------------------------------------------
Moody's Investors Service assigned ratings to five classes of CLO
refinancing notes issued by CIFC Funding 2015-II, Ltd.

Moody's rating action is as follows:

US$272,000,000 Class A-R2 Senior Secured Floating Rate Notes Due
2030 (the "Class A-R2 Notes"), Assigned Aaa (sf)

US$51,000,000 Class B-R2 Senior Secured Floating Rate Notes Due
2030 (the "Class B-R2 Notes"), Assigned Aa2 (sf)

US$23,375,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate
Notes Due 2030 (the "Class C-R2 Notes"), Assigned A2 (sf)

US$25,500,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate
Notes Due 2030 (the "Class D-R2 Notes"), Assigned Baa3 (sf)

US$19,125,000 Class E-R2 Junior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class E-R2 Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

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

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

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

The Issuer has issued the Refinancing Notes on March 5, 2020 in
connection with the refinancing of all classes of the secured notes
previously refinanced on December 21, 2017 and originally issued on
May 21, 2015. On the Refinancing Date, the Issuer used proceeds
from the issuance of the Refinancing Notes to redeem in full the
Refinanced Original Notes. On the Original Closing Date, the issuer
also issued one class of subordinated notes that remains
outstanding.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period and extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels.

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 March 2019.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Portfolio par: $425,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3023

Weighted Average Spread (WAS): 3.35%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 7.08 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
March 2019.

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

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


CITIGROUP 2020-GC46: DBRS Finalizes BB Rating on G-RR Certs
-----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2020-GC46 issued by Citigroup Commercial Mortgage Trust 2020-GC46:

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

All trends are Stable. Class X-B, Class X-D, Class X-F, Class D,
Class E, Class F, and Class G-RR will be privately placed.

The collateral consists of 46 fixed-rate loans secured by 139
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the final ratings, reflecting the long-term
probability of loan default within the term and its liquidity at
maturity. When the cut-off loan balances were measured against the
DBRS Morningstar Stabilized Net Cash Flow and their respective
actual constants, the initial DBRS Morningstar weighted-average
(WA) DSCR of the pool was 2.48 times (x). Five of the loans,
representing 5.1% of the pool, had a DBRS Morningstar Term DSCR
below 1.32x, a threshold indicative of a higher likelihood of
mid-term default. The pool additionally includes 18 loans,
representing 28.4% of the pool by allocated loan balance, with
issuance loan-to-value (LTV) ratios higher than 67.1%, a threshold
historically indicative of above-average default frequency. The WA
LTV of the pool at issuance was 55.7% and the pool is scheduled to
amortize down to a WA LTV of 52.1% at maturity.

The transaction includes eight loans, representing a combined 36.2%
of the total pool balance, that is shadow-rated investment grade by
DBRS Morningstar, including 1633 Broadway, 650 Madison Avenue,
Parkmerced, Bellagio Hotel and Casino, 805 Third Avenue,
Southcenter Mall, CBM Portfolio, and 510 East 14th Street. Bellagio
Hotel and Casino and Southcenter Mall both exhibit credit
characteristics consistent with an AAA shadow rating, Parkmerced
exhibits credit characteristics consistent with a AA (high) shadow
rating, DBRS Morningstar shadow rated CBM Portfolio at AA (low),
and 1633 Broadway exhibits credit characteristics consistent with A
(low) shadow rating. DBRS Morningstar shadow rated 805 Third Avenue
was shadow rated BBB (high), while 650 Madison Avenue and 510 East
14th Street both exhibited characteristics consistent with BBB
(low) shadow ratings.

Ten sampled loans, representing 39.7% of the pool balance, had
Average (+), Above Average, or Excellent property quality.
Additionally, no loan had Below Average property quality. Three of
the five largest loans in the pool, representing 23.3% of the pool
balance, have Above Average property quality.

The pool benefits from a fairly large amount of loans secured by
properties in urban, liquid markets. Loans secured by properties in
DBRS Market Ranks 7 and 8 represent 32.2% of the pool, which is
higher than many recent conduit transactions. In addition, the WA
DBRS Market Rank of 4.73 is considered relatively high. 23 loans,
representing a combined 66.4% of the cutoff pool balance, are
structured with full-term interest-only (IO) periods and an
additional 13 loans, representing 25.4% of the pooled cutoff
balance, are structured with partial-IO terms ranging from 24
months to 60 months. Seven of the loans structured with full-term
IO periods are shadow-rated investment grade by DBRS Morningstar
and represent more than half of the 66.4% Full IO concentration.
The WA DBRS Morningstar LTV of the full-term IO loans is extremely
low at 48.8%.

Classes X-A, X-B, X-D, and X-F are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated applicable reference
obligation tranche adjusted upward by one notch if senior in the
waterfall.

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


CONNECTICUT AVENUE 2020-SBT1: Fitch to Rate 13 Tranches 'B(EXP)'
----------------------------------------------------------------
Fitch Ratings expects to rate classes 1M-2A, 1M-2B, 1M-2C, 1M-2D,
1M-2E, 1M-2F, 2M-2G, 2M-2H, 2M-2J, 2M-2K, 2M-2L and related
exchangeable classes from Fannie Mae's risk transfer transaction
Connecticut Avenue Securities Trust, 2020-SBT1. This is Fannie
Mae's first risk transfer transaction in which Fannie Mae is
transferring credit risk from previously issued CAS Class B
tranches.

CAS 2020-SBT1

Class 1A-AH; LT NR(EXP)sf; Expected Rating

Class 1A-BH; LT NR(EXP)sf; Expected Rating

Class 1A-CH; LT NR(EXP)sf; Expected Rating

Class 1A-DH; LT NR(EXP)sf; Expected Rating

Class 1A-EH; LT NR(EXP)sf; Expected Rating

Class 1A-FH; LT NR(EXP)sf; Expected Rating

Class 1B-1;  LT NR(EXP)sf; Expected Rating

Class 1B-1A; LT NR(EXP)sf; Expected Rating

Class 1B-1B; LT NR(EXP)sf; Expected Rating

Class 1B-1C; LT NR(EXP)sf; Expected Rating

Class 1B-1D; LT NR(EXP)sf; Expected Rating

Class 1B-1E; LT NR(EXP)sf; Expected Rating

Class 1B-1F; LT NR(EXP)sf; Expected Rating

Class 1M-2;  LT B(EXP)sf;  Expected Rating

Class 1M-2A; LT B(EXP)sf;  Expected Rating

Class 1M-2B; LT B(EXP)sf;  Expected Rating

Class 1M-2C; LT B(EXP)sf;  Expected Rating

Class 1M-2D; LT B(EXP)sf;  Expected Rating

Class 1M-2E; LT B(EXP)sf;  Expected Rating

Class 1M-2F; LT B(EXP)sf;  Expected Rating

Class 1X-AH; LT NR(EXP)sf; Expected Rating

Class 1X-BH; LT NR(EXP)sf; Expected Rating

Class 1X-CH; LT NR(EXP)sf; Expected Rating

Class 1X-DH; LT NR(EXP)sf; Expected Rating

Class 1X-EH; LT NR(EXP)sf; Expected Rating

Class 1X-FH; LT NR(EXP)sf; Expected Rating

Class 2A-GH; LT NR(EXP)sf; Expected Rating

Class 2A-HH; LT NR(EXP)sf; Expected Rating

Class 2A-JH; LT NR(EXP)sf; Expected Rating

Class 2A-KH; LT NR(EXP)sf; Expected Rating

Class 2A-LH; LT NR(EXP)sf; Expected Rating

Class 2B-1;  LT NR(EXP)sf; Expected Rating

Class 2B-1G; LT NR(EXP)sf; Expected Rating

Class 2B-1H; LT NR(EXP)sf; Expected Rating

Class 2B-1J; LT NR(EXP)sf; Expected Rating

Class 2B-1K; LT NR(EXP)sf; Expected Rating

Class 2B-1L; LT NR(EXP)sf; Expected Rating

Class 2M-2;  LT B(EXP)sf;  Expected Rating

Class 2M-2G; LT B(EXP)sf;  Expected Rating

Class 2M-2H; LT B(EXP)sf;  Expected Rating

Class 2M-2J; LT B(EXP)sf;  Expected Rating

Class 2M-2K; LT B(EXP)sf;  Expected Rating

Class 2M-2L; LT B(EXP)sf;  Expected Rating

Class 2X-GH; LT NR(EXP)sf; Expected Rating

Class 2X-HH; LT NR(EXP)sf; Expected Rating

Class 2X-JH; LT NR(EXP)sf; Expected Rating

Class 2X-KH; LT NR(EXP)sf; Expected Rating

Class 2X-LH; LT NR(EXP)sf; Expected Rating

Class B-1AH; LT NR(EXP)sf; Expected Rating

Class B-1BH; LT NR(EXP)sf; Expected Rating

Class B-1CH; LT NR(EXP)sf; Expected Rating

Class B-1DH; LT NR(EXP)sf; Expected Rating

Class B-1EH; LT NR(EXP)sf; Expected Rating

Class B-1FH; LT NR(EXP)sf; Expected Rating

Class B-1GH; LT NR(EXP)sf; Expected Rating

Class B-1HH; LT NR(EXP)sf; Expected Rating

Class B-1JH; LT NR(EXP)sf; Expected Rating

Class B-1KH; LT NR(EXP)sf; Expected Rating

Class B-1LH; LT NR(EXP)sf; Expected Rating

Class B-2AH; LT NR(EXP)sf; Expected Rating

Class B-2BH; LT NR(EXP)sf; Expected Rating

Class B-2CH; LT NR(EXP)sf; Expected Rating

Class B-2DH; LT NR(EXP)sf; Expected Rating

Class B-2EH; LT NR(EXP)sf; Expected Rating

Class B-2FH; LT NR(EXP)sf; Expected Rating

Class B-2GH; LT NR(EXP)sf; Expected Rating

Class B-2HH; LT NR(EXP)sf; Expected Rating

Class B-2JH; LT NR(EXP)sf; Expected Rating

Class B-2KH; LT NR(EXP)sf; Expected Rating

Class B-2LH; LT NR(EXP)sf; Expected Rating

Class M-1AH; LT NR(EXP)sf; Expected Rating

Class M-1BH; LT NR(EXP)sf; Expected Rating

Class M-1CH; LT NR(EXP)sf; Expected Rating

Class M-1DH; LT NR(EXP)sf; Expected Rating

Class M-1EH; LT NR(EXP)sf; Expected Rating

Class M-1FH; LT NR(EXP)sf; Expected Rating

Class M-1GH; LT NR(EXP)sf; Expected Rating

Class M-1HH; LT NR(EXP)sf; Expected Rating

Class M-1JH; LT NR(EXP)sf; Expected Rating

Class M-1KH; LT NR(EXP)sf; Expected Rating

Class M-1LH; LT NR(EXP)sf; Expected Rating

Class M-2AH; LT NR(EXP)sf; Expected Rating

Class M-2BH; LT NR(EXP)sf; Expected Rating

Class M-2CH; LT NR(EXP)sf; Expected Rating

Class M-2DH; LT NR(EXP)sf; Expected Rating

Class M-2EH; LT NR(EXP)sf; Expected Rating

Class M-2FH; LT NR(EXP)sf; Expected Rating

Class M-2GH; LT NR(EXP)sf; Expected Rating

Class M-2HH; LT NR(EXP)sf; Expected Rating

Class M-2JH; LT NR(EXP)sf; Expected Rating

Class M-2KH; LT NR(EXP)sf; Expected Rating

Class M-2LH; LT NR(EXP)sf; Expected Rating

KEY RATING DRIVERS

High Credit Quality (Positive): The underlying reference pools
backing each security (excluding the Related Combinable and
Recombinable [RCR] classes) consist of either a Fannie Mae high or
low loan-to-value (LTV), CAS actual loss transaction issued in 2015
or 2016. All of the reference pools are of high quality having a
weighted average original FICO score of 749 with no pool having a
current FICO of less than 739. The deals had LTVs ranging from 61%
to 97% at close but through a combination of loan amortization and
strong home price growth, the current weighted average LTVs now
range from 56% to 69%.

Seasoned Mortgage Pools (Positive): The related CAS legacy
transactions referenced as part of this transaction were issued
between 2015 and 2016 and have a weighted average deal age ranging
from 38 to 51 months. Over this time period, there has been
meaningful home price appreciation ranging from 22% to 32%. Credit
events and realized losses to date have been minimal and the pools
are more than 98% current on average. Furthermore, the deals have
seen material pay downs as the largest outstanding pool factor is
62.3%.

Twenty Year Legal Maturity (Neutral): A key difference between the
SBT1 securities and the related CAS legacy transactions is that the
underlyings were structured to a legal final maturity date of 12.5
years at issuance. The SBT1 securities have a 20-year legal final
maturity with a seven-year optional call. As a result, the SBT1
transaction is expected to survive the termination of the
underlying deals but the reference pools will remain intact. Given
the longer maturity date of the SBT1 rated classes, Fitch did not
apply any maturity benefit to its loss expectations.

Sequential Pay Structure (Positive): Principal payments to the SBT1
securities for each reference pool will be based on the performance
and payments on the underlying reference pools. The structure
distributes principal payments pro-rata between the senior
reference tranche and both the hypothetical and offered subordinate
classes. The most senior subordinate class currently outstanding
for each reference pool will receive the entire portion of
principal allocated to the subordinate bonds until its balance has
been reduced to zero. No principal payments will be allocated to a
subordinate bond associated with a reference pool (excluding RCR
classes) as long as there are still subordinate classes outstanding
with a higher payment priority associated with the same reference
pool. The rated classes associated with the payments of each
reference pool will not receive any principal payments until the
corresponding 'X-H' and 'M-1H' hypothetical tranches have paid off.
There is no cross collateralization among the reference pools and
the transaction operates with an independent waterfall for each
reference pool and related set of securities.

Guaranteed Interest Payments (Positive): Interest payments on the
bonds are made from interest earned from eligible investments, with
Fannie Mae covering any potential shortfalls. Interest payments are
made regardless of pool delinquency and are guaranteed by a 'AAA'
counterparty, so no delinquency stress was run. Principal payments
on the bonds are made from the release of money in the cash
collateral account, which is funded by the sale of the securities
at close.

No Subordination Floor (Positive): The lack of subordination floor
is a positive for the rated classes related to this transaction.
Since Fitch is rating the subordinate bonds, having a credit
enhancement floor would lock out the rated bonds and extend their
maturity. The current structure allows for principal payments to
the subordinate classes as long as the triggers for each
corresponding reference pool are passing.

Very Low Operational Risk (Positive): Fitch considers this
transaction to have very low operational risk. Fannie Mae is an
industry leader in residential mortgage activities and is as
assessed as an 'Above-Average' aggregator due to the GSE's strong
seller oversight and risk management controls.

Strong Lender Review and Acquisition Processes (Positive): Based on
its review of Fannie Mae's aggregator platform, Fitch believes that
Fannie Mae has a well-established and disciplined credit-granting
process in place and views its lender approval and oversight
processes for minimizing counterparty risk and ensuring sound loan
quality acquisitions as positive. Loan quality control (QC) review
processes are thorough and indicate a tight control environment.
Tight controls lower operational risk and improve overall loan
quality. The lower risk was accounted for by Fitch by applying a
lower default estimate for each reference pool of 5%.

Due Diligence Review Results (Neutral): While there was no
diligence performed in connection with this transaction, diligence
reviews were performed at the time of the initial rating of the
respective CAS transactions. Fitch has not noted any material
issues over the years with Fannie Mae's processes and no
adjustments have been made in connection with the diligence
results.

Representation Framework (Neutral): The mortgage loans making up
the reference pools are not pledged to secure the securities, and
Fannie Mae is not making R&W regarding the loans. However, because
Fannie Mae's QC review of loan files is limited in scope and does
not include a review of the loan file for compliance with most
local, state and federal laws, significant reliance is placed on
the reps and warranties made by the loan sellers to Fannie Mae. The
substance of the reps made to Fannie Mae by the lenders is
consistent with Fitch's criteria. No adjustment was made to the
expected losses.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper MVDs than assumed at the MSA
level. The implied rating sensitivities are only an indication of
some of the potential outcomes and do not consider other risk
factors that the transaction may become exposed to or may be
considered in the surveillance of the transaction. Three sets of
sensitivity analyses were conducted at the state and national
levels to assess the effect of higher MVDs for the subject pool.

This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
average model-projected 15.0% at the 'Bsf' level As shown in the
table, the analysis indicates that there is some potential rating
migration with higher MVDs compared to the model projection.

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

No due diligence was received in connection with this transaction.


CREDIT SUISSE 2007-C2: Moody's Hikes Class A-J Certs to Ba1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on seven classes in Credit Suisse
Commercial Mortgage Trust Series 2007-C2, Commercial Mortgage
Pass-Through Certificates, Series 2007-C2 as follows:

Cl. A-J, Upgraded to Ba1 (sf); previously on Sep 27, 2018 Upgraded
to Ba3 (sf)

Cl. B, Upgraded to B1 (sf); previously on Sep 27, 2018 Upgraded to
B3 (sf)

Cl. C, Affirmed Caa2 (sf); previously on Sep 27, 2018 Affirmed Caa2
(sf)

Cl. D, Affirmed Caa3 (sf); previously on Sep 27, 2018 Affirmed Caa3
(sf)

Cl. E, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C (sf)

Cl. F, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C (sf)

Cl. G, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C (sf)

Cl. H, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C (sf)

Cl. A-X*, Affirmed C (sf); previously on Sep 27, 2018 Affirmed C
(sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 24% since Moody's last
review.

The ratings on six P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.

The rating on the IO class was affirmed based on the credit quality
of the referenced classes.

Moody's rating action reflects a base expected loss of 36.9% of the
current pooled balance, compared to 38.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.8% of the
original pooled balance, the same as at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 88% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).

DEAL PERFORMANCE

As of the February 18, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $209 million
from $3.30 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from less
than 1% to 61% of the pool.

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

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

Forty-two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $179 million (for an average loss
severity of 34%). Four loans, constituting 88% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Two North LaSalle Loan ($127.4 million -- 60.9% of the
pool), which is secured by a 26-story, 691,410 square foot (SF)
Class A office building in Chicago's downtown loop. The structure
was built in 1978 and renovated in 2001. Following a loan
modification, the loan was returned to the master servicer as a
performing loan in March 2017. As part of the modification, the
borrower contributed $22 million of new equity, $19 million into a
TI/LC reserve and the remaining $3 million into an interest
reserve. Furthermore, the maturity date was extended by three
years, with two additional extension options, and the interest rate
was reduced. In November 2019, the loan transferred to special
servicing for maturity default.

The second largest specially serviced loan is the 300-318 East
Fordham Road Loan ($30.0 million A note - 14.3% of the pool; and
$17.7 million B note -- 8.5% of the pool), which is secured by a
street level retail space in the Bronx, New York. The loan was
previously modified in 2012, bifurcating the original loan balance
of $47 million into a $30 million A-Note and a $17.7 million
B-Note. The loan transferred back to special servicing for the
second time due to delinquency in April 2015. Ongoing litigation
between the borrower and lender has precluded the special servicer
from obtaining an updated appraisal for the property.

The third largest specially serviced loan is the Elgin O'Hare
Commerce Center Loan ($9.3 million -- 4.5% of the pool), which is
secured by an industrial property located in Elgin, Illinois. The
special servicer indicates that the collateral does not cover all
the parking that is seemingly attached to the property. The special
servicer is pursuing a put-back claim against the loan's
originator.

Moody's estimates an aggregate loss of $77.2 million for the
specially serviced loans (42% expected loss on average).

As of the February 18, 2020 remittance statement cumulative
interest shortfalls were $111 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 largest conduit loan is the University Commons Loan ($21.6
million -- 10.3% of the pool), which is secured by a 227,689 SF
retail property located in Burlington, North Carolina. The property
was 96% leased as of September 2019. The loan is fully amortizing
and has amortized 34% since securitization. Performance has been
stable. Moody's LTV and stressed DSCR are 74% and 1.32X,
respectively, compared to 80% and 1.21X at the last review.

All other conduit loans represent less than 1% of the pool and are
fully amortizing loans secured by unanchored retail properties that
have amortized by more than 40%.


CREDIT SUISSE 2018-CX11: Fitch Affirms Class G-RR Certs at B-sf
---------------------------------------------------------------
Fitch Ratings affirmed all classes of Credit Suisse CSAIL 2018-CX11
Commercial Mortgage Trust Commercial Mortgage Pass-Through
Certificates Series 2018-CX11.

RATING ACTIONS

CSAIL 2018-CX11

Class A-1 12652UAQ2;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 12652UAR0;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 12652UAS8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 12652UAT6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-5 12652UAU3;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 12652UAY5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 12652UAV1; LT AAAsf Affirmed;  previously at AAAsf

Class B 12652UAZ2;    LT AA-sf Affirmed;  previously at AA-sf

Class C 12652UBA6;    LT A-sf Affirmed;   previously at A-sf

Class D 12652UAC3;    LT BBB-sf Affirmed; previously at BBB-sf

Class E-RR 12652UAE9; LT BBB-sf Affirmed; previously at BBB-sf

Class F-RR 12652UAG4; LT BB-sf Affirmed;  previously at BB-sf

Class G-RR 12652UAJ8; LT B-sf Affirmed;   previously at B-sf

Class X-A 12652UAW9;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 12652UAX7;  LT AA-sf Affirmed;  previously at AA-sf

Class X-D 12652UAA7;  LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Performance and loss expectations for the
majority of the pool have remained stable since issuance. There
have been no realized losses or specially serviced loan transfers
to date. While six loans (6.6%) were on the servicer's watch list
primarily due to performance triggers, none were flagged as a Fitch
Loan of Concern.

Minimal Change in Credit Enhancement: As of the February 2020
distribution date, the pool's aggregate principal balance has paid
down by 1.1% to $942.7 million from $952.9 million at issuance.
Twenty loans (44.9% of pool) are full-term, interest-only, and 14
loans (22.6%) are partial interest-only (six loans representing
9.3% have begun amortizing). The pool is scheduled to amortize 8.5%
prior to maturity.

Investment-Grade Credit Opinion Loans: There are four loans with
investment-grade credit opinions totaling 11.7% of the pool. These
loans include One State Street Plaza (BBB+sf*; 5.3% of the pool),
Moffett Towers II - Building 2 (BBB-sf*; 3.2% of the pool),
Yorkshire and Lexington Towers (BBBsf*; 2.1% of the pool) and 111
West Jackson (BBB+sf*, 1.2% of the pool).

High Hotel Exposure: Loans secured by hotel properties represent
20.7% of the pool by balance. Two of the top 10 loans are backed by
hotel properties. At issuance it was noted total hotel
concentration exceeded the 2017 average of 15.8% and 2016 average
of 16.0%.

Pari Passu Loans: 13 loans (47.8%) of the pool including 10 loans
(43.8%) in the top 15 have pari passu loan pieces.

RATING SENSITIVITIES

The Rating Outlooks on all classes remain Stable given the
relatively stable performance of the transaction since issuance.
Fitch does not foresee positive or negative ratings migration until
a material economic or asset-level event changes the transaction's
overall portfolio level metrics.

Factors that would lead to upgrades include stable to improved
asset performance coupled with pay down and/or defeasance.

Factors that lead to downgrades would include an increase in pool
level losses from underperforming and/or specially serviced loans.


CSAIL 2020-C19: Fitch to Rate $9.325MM Cl. G-RR Debt to B-
----------------------------------------------------------
Fitch Ratings issued a presale report on CSAIL 2020-C19 Commercial
Mortgage Trust Series 2020-C19.

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

  -- $20,253,000e class A-1 'AAAsf'; Outlook Stable;

  -- $162,500,000ae class A-2 'AAAsf'; Outlook Stable;

  -- $363,984,000ae class A-3 'AAAsf'; Outlook Stable;

  -- $33,510,000e class A-SB 'AAAsf'; Outlook Stable;

  -- $58,025,000e class A-S 'AAAsf'; Outlook Stable;

  -- $638,272,000be class X-A 'AAAsf'; Outlook Stable;

  -- $48,699,000e class B 'AA-sf'; Outlook Stable;

  -- $34,193,000e class C 'A-sf'; Outlook Stable;

  -- $82,892,000be class X-B 'A-sf'; Outlook Stable;

  -- $21,760,000ce class D 'BBBsf'; Outlook Stable;

  -- $18,650,000cef class E 'BBB-sf'; Outlook Stable;

  -- $40,410,000bcef class X-D 'BBB-sf'; Outlook Stable;

  -- $21,760,000cdef class F-RR 'BB-sf'; Outlook Stable;

  -- $9,325,000cde class G-RR 'B-sf'; Outlook Stable.

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

  -- $36,266,035de class NR-RR.

(a)The exact initial certificate balances of the class A-2 and
class A-3 certificates are unknown and expected to be $526,484,000
in aggregate plus or minus 5%. The certificate balances will be
determined based on the pricing of those classes of certificates.
The expected class A-2 balance range is $75,000,000 to $250,000,000
and the expected class A-3 balance range is $276,484,000 to
$451,484,000. The certificate balances for class A-2 and class A-3
are assumed at the midpoint of the range for each class.

(b) Notional amount and interest only.

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

(d)Class includes horizontal credit risk retention interest
representing no less than 3.33% of the approximate initial
certificate balance.

(e)Class includes vertical credit risk retention interest
representing no less than 1.72% of the approximate initial
certificate balance.

(f)The initial certificate balance of each of the class E and class
F-RR and the initial notional amount of the class X-D is subject to
change based on final pricing of all certificates and the final
determination of the class E and class F-RR certificates.

TRANSACTION SUMMARY

The expected ratings are based on information provided by the
issuer as of March 2, 2020.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 30 loans secured by 60
commercial properties having an aggregate principal balance of
$828,925,035 as of the cut-off date. The loans were contributed to
the trust by 3650 REIT Loan Funding 1 LLC and Column Financial
Inc.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 75.0% of the properties
by balance, cash flow analysis of 89.2% and asset summary reviews
on 100% of the pool.

KEY RATING DRIVERS

High Fitch Leverage: The transaction has higher leverage relative
to recent transactions. Fitch's trust debt LTV of 105.6% (116.3% on
total debt) is higher than the 2020 YTD and 2019 LTVs of 97.9% and
103.0% for the trust debt (109.8% and 110.3% for the total debt
stack, respectively.) Fitch's debt service coverage ratio (DSCR) of
1.24x (1.08x for total debt) is lower than the 2020 YTD and 2019
average trust DSCR of 1.33x and 1.26x, respectively (1.18x and
1.17x respectively for the total debt stack).

High Pool Concentration: The overall pool is made up of 30 loans,
significantly less than the averages of 51 and 50 for 2020 YTD and
2019, respectively. The top 10 loans total 62.8% of the overall
pool, higher than 2020 YTD and 2019 averages, which were 49.6% and
51.0%, respectively. The LCI and SCI were 495 and 593, higher than
the LCI and SCI of 2020 YTD (364 and 367) and of 2019 (379 and
403).

Favorable Property Type Concentration: The pool has a high
multifamily concentration compared with recent Fitch rated
transactions. Loans secured by multifamily properties represent
31.2% of the pool by balance compared with 20.0% and 16.9% for the
2020YTD and 2019 periods, respectively. Three of the top 10 loans
are backed by multifamily properties. All else equal, multifamily
properties have a lower probability of default in the Fitch
multiborrower model than all other property types except
manufactured housing and self-storage. The pool also has low hotel
exposure (6.7%) compared with the 2020YTD and 2019 averages of
13.4% and 12.0%, respectively. Hospitality properties have
historically demonstrated performance volatility and, therefore,
have higher default probabilities, all else equal in the Fitch
multiborrower model.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 11.0% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to the
CSAIL 2020-C19 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.


EXANTAS CAPITAL 2020-RSO8: DBRS Gives Prov. B Rating on G Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes (the Notes) to be issued by Exantas Capital Corp. 2020-RSO8,
Ltd. (the Issuer):

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

All trends are Stable. Classes F and G will be privately placed.

The initial collateral consists of 32 floating-rate mortgage loans
secured by 35 transitional properties totaling $522.6 million (93%
of the total fully funded balance), excluding $36.9 million of
remaining future funding commitments. The asset classes in the pool
are office properties (15.0%), multifamily properties (76.6%),
manufactured housing properties (3.1%), self-storage (2.6%), and a
limited-service hotel (2.7%). The loans are mostly secured by
cash-flowing assets, most of which are in a period of transition
with plans to stabilize and improve the asset value. Of these
loans, 28 have remaining future funding participations totaling
$36.9 million, which the Issuer may acquire in the future. The
Issuer may direct principal proceeds to acquire a portion of one or
more companion participations without rating agency confirmation
(RAC), subject to the Replenishment Criteria. The Replenishment
Criteria requires, among other things, for the underlying mortgage
loan not to be a defaulted mortgage loan or specially serviced
loan, for no event of default to have occurred or been continuing,
and for certain note protection tests to be satisfied. Commercial
real estate collateralized loan obligation transactions often allow
for principal prepayment proceeds to be held in an account and used
to purchase pari passu companion participation of existing trust
assets instead of being used to pay down bonds. Typically, if a RAC
is not required to acquire these participations, DBRS Morningstar
performs a paydown analysis whereby it assumes the loans in the
pool with the lowest expected loss (EL) that have no future funding
pay off, and then all future funding is brought in, with the pool
balance staying constant. The effect of this paydown analysis is
that the EL migrates to a higher level, as DBRS Morningstar assumes
a worst-case scenario where only good loans pay off. As a result,
the pool loss levels are higher than they would be on the pool as
it stands at closing.

Given the floating-rate nature of the loans, the index DBRS
Morningstar used (one-month Libor) was the lower of DBRS
Morningstar's stressed rate that corresponded to the remaining
fully extended term of the loans and 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
measuring the cutoff date balances against the DBRS Morningstar
As-Is NCF, 25 loans, representing 78.2% of the mortgage loan cutoff
date balance, had a DBRS Morningstar As-Is DSCR below 1.00x, a
threshold indicative of default risk. Additionally, the DBRS
Morningstar Stabilized DSCR for 15 loans, comprising 50.5% of the
initial pool balance, is below 1.00x, which indicates elevated
refinance risk. The properties are often transitioning with
potential upside in cash flow; however, DBRS Morningstar does not
give full credit to the stabilization if there are no holdbacks or
if the other loan structural features are insufficient to support
such treatment. Furthermore, even if the structure is acceptable,
DBRS Morningstar generally does not assume the assets will
stabilize above market levels. The transaction will have a
sequential-pay structure.

The pool benefits from relatively strong diversity for a commercial
real estate collateralized loan obligation, with a Herfindahl score
of 22.3. Texas, Georgia, Florida, South Carolina, Nevada, and
California have the largest percentages of property concentrations,
with 18.3%, 16.6%, 11.1%, 10.8%, 7.8%, and 7.7%, respectively.

Twenty-six loans, comprising 75.9% of the initial trust balance,
represent acquisition financing wherein sponsors contributed
material cash equity as a source of funding in conjunction with the
mortgage loan. Cash equity infusions from a sponsor in a
transaction typically result in the lender and borrower have a
greater alignment of interests, especially compared with a
refinancing scenario where the sponsor may be withdrawing equity
from the transaction.

The pool benefits from a high multifamily concentration, as 24
loans representing 76.6% of the pool are secured by multifamily
properties. Historically, multifamily properties have defaulted at
much lower rates than the overall CMBS universe.

DBRS Morningstar sampled and visited 18 of the 32 loans in the
pool, representing 75.1% of the pool by allocated cutoff loan
balance. DBRS Morningstar met with the on-site property manager,
leasing agent, or representative of the borrowing entity for 14
loans, comprising 68.3% of the initial pool balance.

The pool consists of mostly transitional assets. DBRS Morningstar
performed physical site inspections, including management meetings.
Also, when DBRS Morningstar analysts visit the markets, they may
actually visit properties more than once to follow the progress (or
lack thereof) toward stabilization. The service is also in constant
contact with the borrowers to track progress.

All of the loans in the pool have floating interest rates. All
loans have floating interest rates and are interest-only during the
initial loan term, which ranges from 36 months to 48 months,
creating interest-rate risk.

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 sponsors will not execute their
business plans 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 loss given default based on the
as-is LTV, assuming the loan is fully funded.

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


FLAGSTAR MORTGAGE 2020-1INV: Moody's Rates Class B-5 Debt 'B2'
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
twenty-seven classes of residential mortgage-backed securities
issued by Flagstar Mortgage Trust 2020-1INV. The ratings range from
Aaa (sf) to B2 (sf).

Issuer: Flagstar Mortgage Trust 2020-1INV

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 Aa1 (sf)

Cl. A-15, Definitive Rating Assigned Aa1 (sf)

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

Cl. A-17, Definitive Rating Assigned Aa1 (sf)

Cl. A-18, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

Cl. RR-A2, Definitive Rating Assigned Aa2 (sf)

RATINGS RATIONALE

Summary credit analysis

Moody's expected losses in a base case scenario are 1.04% and reach
9.09% at a stress level consistent with its Aaa rating scenario.

Its securitized collateral pool as of the cut-off date using
Moody's Individual Loan Level Analysis model. Its loss levels and
ratings on the certificates also took into consideration
qualitative factors such as the servicing arrangement, alignment of
interest of the sponsor with investors, the representations and
warranties framework, and the transaction's legal structure and
documentation.

Collateral description

Flagstar Mortgage Trust 2020-1INV is the first issue from Flagstar
Mortgage Trust in 2020 and the fourth with investor-property loans.
Flagstar Bank, FSB is the sponsor of the transaction.

FSMT 2020-1INV is a securitization of GSE eligible first-lien
investment property mortgage loans. 44.4% of the pool by loan
balance were originated by loanDepot.com, LLC and 55.6% Flagstar
Bank, FSB. All of the loans are underwritten in accordance with
Freddie Mac or Fannie Mae guidelines, which take into
consideration, among other factors, the income, assets, employment
and credit score of the borrower as well as loan-to-value. The
loans were run through one of the government-sponsored enterprises'
automated underwriting systems and received an "Approve" or
"Accept" recommendation. The sponsor has represented that none of
the mortgage loans (except for cash-out loans used for personal
use) in FSMT 2020-1INV are subject to the Truth in Lending Act or
the Ability-To Prepay rules because each mortgage loan is an
extension of credit primarily for a business or commercial purpose
and is not a "covered transaction" as defined in Section
1026.43(b)(1) of Regulation Z.

As of the cut-off date of February 1, 2020, the $340,067,818 pool
consisted of 1,124 mortgage loans secured by first liens on
residential investment properties. The average stated principal
balance is $302,551 and the weighted average current mortgage rate
is 4.49%. The majority of the loans have a 30-year term, with 5
loans with terms ranging from 20 to 25 years. All of the loans have
a fixed rate. The WA original credit score is 765 and the WA
combined original LTV is 66.5%. The WA original debt-to-income
ratio is 35.4%. Approximately, 11.9% by loan balance of the
borrowers have more than one mortgage loan in the mortgage pool.
The mortgage loans have a WA seasoning of three months.

All of the mortgage loans originated by Flagstar were either
directly or indirectly originated through correspondents and
brokers.

Approximately half of the mortgage loans by loan balance (49.7%)
are backed by properties located in California. The next largest
geographic concentration of properties are New York, which
represents 6.2% by loan balance and Washington which represents
4.1% by loan balance. All other states each represent less than 4%
by loan balance. Approximately 21.0% (by loan balance) of the pool
is backed by properties that are 2-4 unit residential properties
whereas loans backed by single family residential properties
represent 47.9% (by loan balance) of the pool.

Third-party review and representation & warranties

The credit, compliance, property valuation, and data integrity
portion of the third party review was conducted on a total of
approximately 58% of the pool (by loan count). Consolidated
Analytics, Inc. conducted due diligence for a total random sample
of 252 loans originated by Flagstar (35% by Flagstar population
loan count) in this transaction and Opus Capital Markets
Consultants, LLC conducted due diligence for all of the 404 loans
originated by loanDepot in this transaction. With sampling, there
is a risk that loans with grade C or grade D issues remain in the
pool and that data integrity issues were not corrected prior to
securitization for all of the loans in the pool. Moreover,
vulnerabilities of the R&W framework, such as the financial
condition of the R&W provider, may be amplified due to the TPR
sample. The sample size meets its credit neutral criteria,
therefore, it did not make an adjustment to loss levels.

Although the loan-level R&Ws themselves meet or exceed its baseline
set of R&Ws, it took into account the financial condition of the
R&W provider. Furthermore, a cash-out refinance investor loan could
be subject to TILA and ATR if the borrower uses the cash proceeds
for non-business purposes. This issue is mitigated by the tests
related to TILA, which require the independent reviewer to test the
cash-out personal loans originated by Flagstar and loanDepot for
TILA compliance. As a result, a breach of TILA related
representations would require the Sponsor to repurchase the loans
if a cash-out refinance loan incurs a TILA or ATR violation. It
made an adjustment to its loss levels to account for financial
condition of the R&W provider.

Servicing arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate. Flagstar will service the mortgage loans. Servicing
compensation is subject to a step-up incentive fee structure. Wells
Fargo Bank, N.A. will be the master servicer. Flagstar will be
responsible for principal and interest advances as well as
servicing advances. The master servicer will be required to make
principal and interest advances if Flagstar is unable to do so.

Servicing compensation for loans in this transaction is based on a
fee-for-service incentive structure. The fee-for-service incentive
structure includes an initial monthly base fee of $20.5 for all
performing loans and increases according to certain delinquent and
incentive fee schedules. By establishing a base servicing fee for
performing loans that increases with the delinquency of loans, the
fee-for-service structure aligns monetary incentives to the
servicer with the costs of the servicer. The fee-for-service
compensation is reasonable and adequate for this transaction. It
also better aligns the servicer's costs with the deal's performance
and structure. The Class B-6-C is first in line to absorb any
increase in servicing costs above the base servicing costs.
Delinquency and incentive fees will be deducted from the Class
B-6-C interest payment amount first and could result in interest
shortfall to the certificates depending on the magnitude of the
delinquency and incentive fees.

Trustee and master servicer

The transaction trustee is Wilmington Savings Fund Society, FSB.
The custodian functions will be performed by Wells Fargo Bank, N.A.
The paying agent and cash management functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells
Fargo, as master servicer, is responsible for servicer oversight,
and termination of servicers and for the appointment of successor
servicers. The master servicer will be required to make principal
and interest advances if Flagstar is unable to do so.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility, as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.30% of the closing pool balance and
a subordination lock-out amount equal 0.90% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to its methodology.

Transaction structure

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

For the first five years, the senior principal distribution amount
will include pro-rata share of the scheduled principal and 100% of
prepayments, leading to a faster buildup of super senior credit
enhancement. After five years, so long as the step-down test is
satisfied, the portion of unscheduled principal collections
allocated to the senior certificates gradually reduces.

All certificates (except Class B-6-C) in this transaction are
subject to a net WAC cap. Class B-6-C will accrue interest at the
net WAC minus the aggregate delinquent servicing and aggregate
incentive servicing fee. For any distribution date, the net WAC
will be the greater of (1) zero and (2) the weighted average net
mortgage rates minus the capped trust expense rate.

Realized losses are allocated reverse sequentially among the
subordinate, starting with most junior, and senior support
certificates and on a pro-rata basis among the super senior
certificates.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
October 2019.

The Credit Rating for Flagstar Mortgage Trust 2020-1INV Trust was
assigned in accordance with Moody's existing Methodology entitled
"Moody's Approach to Rating US RMBS Using the MILAN Framework,"
dated October 2019. Please note that on December 9, 2019, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology to expand the
scope to include private label non-prime first-lien mortgage loans
originated during or after 2009. If the revised Methodology is
implemented as proposed, the Credit Rating on Flagstar Mortgage
Trust 2020-1INV Trust will not be affected.


FREDDIE MAC 2020-HQA2: Moody's Rates 6 Debt Tranches '(P)Ba2'
-------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 23
classes of credit risk transfer notes issued by Freddie Mac STACR
REMIC Trust 2020-HQA2. The ratings range from (P)Baa1 (sf) to (P)B1
(sf).

Freddie Mac STACR REMIC Trust 2020-HQA2 (STACR 2020-HQA2) is the
second transaction of 2020 in the HQA series issued by the Federal
Home Loan Mortgage Corporation (Freddie Mac) to share the credit
risk on a reference pool of mortgages with the capital markets. The
transaction is structured as a real estate mortgage investment
conduit (REMIC).

The notes in STACR 2020-HQA2 receive principal payments as the
loans in the reference pool amortize or prepay. Principal payments
to the notes are paid from assets in the trust account established
from proceeds of the notes issuance. Interest payments to the notes
are paid from a combination of investment income from trust assets,
an asset of the trust known as the interest-only (IO) Q-REMIC
interest, and Freddie Mac. Freddie Mac is responsible to cover (1)
any interest owed on the notes not covered by the investment income
from the trust assets and the yield on the IO Q-REMIC interest and
(2) to reimburse the trust for any investment losses from sales of
the trust assets.

Investors have no recourse to the underlying reference pool. The
credit risk exposure of the notes depends on the actual realized
losses and modification losses incurred by the reference pool.
Freddie Mac is obligated to pay off the notes in March 2050 if any
balances remain outstanding.

The complete rating actions are as follows:

Issuer: Freddie Mac STACR REMIC Trust 2020-HQA2

Cl. M-1, Assigned (P)Baa1 (sf)

Cl. M-2, Assigned (P)Ba2 (sf)

Cl. M-2A, Assigned (P)Baa3 (sf)

Cl. M-2AI*, Assigned (P)Baa3 (sf)

Cl. M-2AR, Assigned (P)Baa3 (sf)

Cl. M-2AS, Assigned (P)Baa3 (sf)

Cl. M-2AT, Assigned (P)Baa3 (sf)

Cl. M-2AU, Assigned (P)Baa3 (sf)

Cl. M-2B, Assigned (P)B1 (sf)

Cl. M-2BI*, Assigned (P)B1 (sf)

Cl. M-2BR, Assigned (P)B1 (sf)

Cl. M-2BS, Assigned (P)B1 (sf)

Cl. M-2BT, Assigned (P)B1 (sf)

Cl. M-2BU, Assigned (P)B1 (sf)

Cl. M-2I*, Assigned (P)Ba2 (sf)

Cl. M-2R, Assigned (P)Ba2 (sf)

Cl. M-2RB, Assigned (P)B1 (sf)

Cl. M-2S, Assigned (P)Ba2 (sf)

Cl. M-2SB, Assigned (P)B1 (sf)

Cl. M-2T, Assigned (P)Ba2 (sf)

Cl. M-2TB, Assigned (P)B1 (sf)

Cl. M-2U, Assigned (P)Ba2 (sf)

Cl. M-2UB, Assigned (P)B1 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.98%
and reaches 5.55% at a Aaa stress level.

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis (MILAN) GSE model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included, but were not limited to,
qualitative adjustments for origination quality and third-party
review (TPR) scope.

Collateral Description

The reference pool consists of over one-hundred thirty three
thousand prime, fixed-rate, one- to four-unit, first-lien
conforming mortgage loans acquired by Freddie Mac. The loans were
originated on or after January 1, 2015 with a weighted average
seasoning of six months. Each of the loans in the reference pool
had a loan-to-value (LTV) ratio at origination that was greater
than 80% and less than or equal to 97%. 21.8% of the pool are loans
underwritten through Freddie Mac's Home Possible program and 98.8%
of loans in the pool are covered by mortgage insurance.

Aggregation/Origination Quality

Moody's considers Freddie Mac's overall seller management and
aggregation practices to be adequate and Moody's did not apply a
separate loss-level adjustment for aggregation quality.

Underwriting

Freddie Mac uses a delegated underwriting process to purchase
loans. Sellers are required to represent and warrant that loans are
made in accordance with negotiated terms or Freddie Mac's guide.
Numerous checks in the selling system ensures that loans with the
correct characteristics are delivered to Freddie Mac. Sellers are
required to cure, make an indemnification payment or repurchase the
loans if a material underwriting defect is discovered subject to
certain limits. In certain cases, Freddie Mac may elect to waive
the enforcements of the repurchase if an alternative such as an
indemnification payment is provided.

Quality control

Freddie Mac monitors each seller's risk exposure both on an
aggregated basis as well as by product lines. A surveillance team
reviews sellers' financials at least on an annual basis, monitors
exposure limits, risk ratings, lenders QC reports and internal
audit results and may adjust credit limits, require additional
loan/operational reviews or put the seller on a watch list, as
needed.

Home Possible loans: Approximately 21.8% of the loans by Cut-off
Date Balance were originated under the Home Possible program. The
program is designed to make responsible homeownership accessible to
more first-time homebuyers and other qualified borrowers, offer
mortgages requiring low down payments for low- to moderate-income
homebuyers or buyers in high-cost or underserved communities, and,
in certain circumstances, allow for lower than standard mortgage
insurance coverage. Home Possible loans in STACR 2020-HQA2's
reference pool have a WA FICO of 745 and WA LTV of 93.8%, versus WA
FICO of 752 and WA LTV of 91.6% for the rest of the loans in the
pool. While key characteristics such as lower FICO, higher LTV and
lower MI coverage requirement are captured by the MILAN model,
Moody's applied an additional adjustment to loss levels for Home
Possible loans to address additional risks due to less stringent
underwriting including flexible source of funds and lower risk
adjusted pricing.

Enhanced Relief Refinance (ERR)

At the direction of FHFA and in coordination with Fannie Mae,
Freddie Mac introduced a high LTV ratio refinance program for
mortgage loans originated on or after October 1, 2017, designed to
offer refinance opportunities to borrowers with existing Freddie
Mac mortgage loans who are current in their mortgage payments by
refinancing into a mortgage with lower monthly payment through
various options including rate reduction or maturity extension.

The mortgage loan being refinanced has to meet certain
qualifications for ERR, including (i) be a first-lien, conventional
mortgage loan owned or securitized by Freddie Mac; (ii) originated
or after Oct. 1, 2017; (iii) have been originated at least 15
months prior to the refinance note date; (iv) have had no 30-day
delinquency in the immediately preceding six months, and no more
than one 30-day delinquency in the immediately preceding 12 months;
and (v) has a minimum LTV ratio of 97.01% (for primary residence 1
unit).

STACR 2020-HQA2's reference pool does not include ERR loans at
closing, however, transaction documents allow for the replacement
of loans in the reference pool with ERR loans in the future. The
replacement will not constitute a prepayment on the replaced loan,
credit event or a modification event.

Moody's made no adjustment to the existence of the ERR program in
particular. Moody's believes the ERR program is overall beneficial
to loans in the pool, especially during an economic downturn when
negative equity borrowers may have limited refinancing
opportunities. However, given that ERR loans are likely to have
extended maturities and slower prepayment than the rest of the
loans in the pool, the reference pool is at the risk of higher
concentration of high LTV loans at the tail end of the
transaction's life if a significant portion of loans refinance into
ERR. We'll monitor ERR loans in the reference pool and may make an
additional adjustment if the proportion of ERR loans become
substantial after transaction closing.

Servicing arrangement

As master servicer, Freddie Mac has strong servicer oversight and
monitoring processes. Generally, Freddie Mac does not itself
conduct servicing activities. When a mortgage loan is sold to
Freddie Mac, the seller enters into an agreement to service the
mortgage loan for Freddie Mac in accordance with a comprehensive
servicing guide for servicers to follow. Freddie Mac monitors
primary servicer performance and compliance through its Servicer
Success Program, scorecard and servicing quality assurance group.
Freddie Mac also reviews individual loan files to identify
servicing performance gaps and trends.

Moody's considers the servicing arrangement to be adequate and
Moody's did not make any adjustments to its loss levels based on
Freddie Mac's servicer management.

Third-party Review

Moody's considers the scope of the TPR based on Freddie Mac's
acquisition and QC framework to be adequate. Moody's assessed an
adjustment to loss at a Aaa stress level due to lack of compliance
review on TILA-RESPA Integrated Disclosure (TRID) violations.

The results and scope of the pre-securitization third-party,
loan-level review (due diligence) suggest a heavier reliance on
sellers' representations and warranties (R&Ws) compared with
private label securitizations. The scope of the TPR, for example,
is weaker because the sample size is small (only 0.35% of the total
loans in the reference pool). To the extent that the TPR firm
classifies certain credit or valuation discrepancies as 'findings',
Freddie Mac will review and may provide rebuttals to those
findings, which could result in the change of event grades by the
review firm.

The third-party due diligence scope focuses on the following:

Compliance: The diligence firm reviewed 333 loans for compliance
with federal, state and local high cost Home Ownership and Equity
Protection Act (HOEPA) regulations (297 loans were reviewed for
compliance plus 36 loans were reviewed for both credit/valuation
and compliance). None were deemed to be noncompliant.

Appraisals: The third-party diligence provider also reviewed
property valuation on 999 loans in the sample pool (963 loans were
reviewed for credit/valuation plus 36 loans were reviewed for both
credit/valuation and compliance). Six loans received final
valuation grades of "C". The third-party diligence provider was not
able to obtain property appraisal risk reviews on 2 mortgage loans
due to properties located in Guam. The remaining 4 loans had
Appraisal Desktop with Inspections (ADI) which did not support the
original appraised value within the 10% tolerance.

Credit: The third-party diligence provider reviewed credit on 999
loans in the sample pool. Four loans had final grades of "D" and 13
loans had final grades of "C" due to underwriting defects. These
loans were removed from the reference pool. The results were
consistent with prior STACR transactions Moody's rated.

Data integrity: The third-party review firm analyzed the sample
pool for data calculation and comparison to the imaged file
documents. The review revealed 54 data discrepancies on 51 loans,
with 21 discrepancies related to DTI and 18 discrepancies related
to first time home buyers.

Unlike private label RMBS transactions, a review of TRID violation
was not part of Freddie Mac's due diligence scope. A lack of
transparency regarding how many loans in the transaction contain
material violations of the TRID rule is a credit negative. However,
since Moody's expects overall losses on STACR transactions owing to
TRID violations to be fairly minimal, Moody's only made a slight
qualitative adjustment to losses under a Aaa scenario. Furthermore,
lender R&Ws and the GSEs' ability to remove defective loans from
the transactions will likely mitigate some of aforementioned
concerns.

Reps & Warranties Framework

Freddie Mac is not providing loan level (R&Ws for this transaction
because the notes are a direct obligation of Freddie Mac. The
reference obligations are subject to R&Ws made by the sellers. As
such, Freddie Mac commands robust R&Ws from its seller/servicers
pertaining to all facets of the loan, including but not limited to
compliance with laws, compliance with all underwriting guidelines,
enforceability, good property condition and appraisal procedures.
Freddie Mac will be responsible for enforcing the R&Ws made by the
sellers/lenders in the reference pool. To the extent that Freddie
Mac discovers a confirmed underwriting defect or a major servicing
defect, the respective loan will be removed from the reference
pool. Since Freddie Mac retains a significant portion of the risk
in the transaction, it will likely take necessary steps to address
any breaches of R&Ws. For example, Freddie Mac undertakes quality
control reviews and servicing quality assurance reviews of small
samples of the mortgage loans that sellers deliver to Freddie Mac.
These processes are intended to determine, among other things, the
accuracy of the R&Ws made by the sellers in respect of the mortgage
loans that are sold to Freddie Mac. Moody's made no adjustments to
the transaction regarding the R&W framework.

The Notes

Moody's refers to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B
notes as the original notes, and the M-2, M-2R, M-2S, M-2T, M-2U,
M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT,
M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-2, B-1AR, B-1AI,
B-2AR and B-2AI notes as the Modifiable and Combinable REMICs
(MACR) notes; together Moody's refers to them as the notes.

The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and
M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes.

The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS
and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes.

The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS
and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes.

Classes M-2I , M-2AI, M-2BI, B-1AI and B-2AI are interest only
tranches referencing to the notional balances of Classes M-2, M-2A,
M-2B, B-1A and B-2A, respectively.

Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for
two classes that are initially offered at closing. Its ratings of
M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B
only, disregarding the rating of M-2AI. This is the case because
Class M-2AI's cash flow represents an insignificant portion of the
overall promise. In the event Class M-2B gets written down through
losses and Class M-2AI is still outstanding, Moody's would continue
to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class
M-2B's last outstanding rating so long as Classes M-2RB, M-2SB,
M-2TB and M-2UB are still outstanding.

Transaction Structure

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. Realized
losses are allocated in a reverse sequential order starting with
the Class B-3H reference tranche.

Interest due on the notes is determined by the outstanding
principal balance and the interest rate of the notes. The interest
payment amount is the interest accrual amount of a class of notes
minus any modification loss amount allocated to such class on each
payment date, plus any modification gain amount. The modification
loss and gain amounts are calculated by taking the respective
positive and negative difference between the original accrual rate
of the loans, multiplied by the unpaid balance of the loans, and
the current accrual rate of the loans, multiplied by the interest
bearing unpaid balance.

So long as the senior reference tranche is outstanding, and no
performance trigger event occurs, the transaction structure
allocates principal payments on a pro-rata basis between the senior
and non-senior reference tranches. Principal is then allocated
sequentially amongst the non-senior tranches.

The STACR 2020-HQA2 transaction allows for principal distribution
to subordinate notes by the supplemental subordinate reduction
amount even if performance triggers fail. The supplemental
subordinate reduction amount equals the excess of the offered
reference tranche percentage over 6.15%. The distribution of the
supplemental subordinated reduction amount would reduce principal
balances of the offered reference tranche and correspondingly limit
the credit enhancement of class A note to be always below 6.15%
plus the note balance of B-3H. This feature is beneficial to the
offered certificates.

Credit Events and Modification Events

Reference tranche write-downs occur as a result of loan level
credit events. A credit event with respect to any loan means any of
the following events: (i) a short sale with respect to the related
mortgaged property is settled, (ii) a related seriously delinquent
mortgage note is sold prior to foreclosure, (iii) the mortgaged
property that secured the related mortgage note is sold to a third
party at a foreclosure sale, (iv) an REO disposition occurs, or (v)
the related mortgage note is charged-off. As a result, the
frequency of credit events will be the same as actual loan default
frequency, and losses will impact the notes similar to that of a
typical RMBS deal.

Loans that experience credit events that are subsequently found to
have an underwriting defect, a major servicing defect or are deemed
ineligible will be subject to a reverse credit event. Reference
tranche balances will be written up for all reverse credit events
in sequential order, beginning with the most senior tranche that
has been subject to a previous write-down. In addition, the amount
of the tranche write-up will be treated as an additional principal
recovery and will be paid to noteholders in accordance with the
cash flow waterfall.

If a loan experiences a forbearance or mortgage rate modification,
the difference between the original mortgage rate and the current
mortgage rate will be allocated to the reference tranches as a
modification loss. The Class B-3H reference tranche, which
represents 0.10% of the pool, will absorb modification losses
first. The final coupons on the notes will have an impact on the
amount of interest available to absorb modification losses from the
reference pool.

Tail Risk

Similar to prior STACR transactions, the initial subordination
level of 4.00% is lower than the deal's minimum credit enhancement
trigger level of 4.25%. The transaction begins by failing the
minimum credit enhancement test, leaving the subordinate tranches
locked out of unscheduled principal payments until the deal builds
an additional 0.25% subordination. STACR 2020-HQA2 does not have a
subordination floor. This is mitigated by the sequential principal
payment structure of the deal, which ensures that the credit
enhancement of the subordinate tranches is not eroded early in the
life of the transaction.

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

Down

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings 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.

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 October 2019. The methodologies
used in rating interest-only classes were "Moody's Approach to
Rating US RMBS Using the MILAN Framework" published in October 2019
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019.


GE COMMERCIAL 2005-C4: Moody's Lowers Ratings on 2 Tranches to C
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings on three classes
in GE Commercial Mortgage Corporation 2005-C4:

Cl. A-J, Downgraded to Caa1 (sf); previously on Apr 10, 2019
Downgraded to B1 (sf)

Cl. B, Downgraded to C (sf); previously on Apr 10, 2019 Downgraded
to Caa1 (sf)

Cl. C, Downgraded to C (sf); previously on Apr 10, 2019 Downgraded
to Ca (sf)

RATINGS RATIONALE

The ratings on three P&I classes were downgraded due to an increase
in realized losses from a recently liquidated loan as well as
anticipated losses for the remaining specially serviced loan. The
Design Center of the Americas loan recently liquidated with a $56.8
million loss and the sole remaining loan, the Fireman's Fund loan,
is in the special servicing.

Moody's base expected loss plus realized losses is now 13.8% of the
original pooled balance, compared to 12.4% at the Moody's last
review.

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

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

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization or an
improvement in loan performance.

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.

Moody's analysis also incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for specially serviced loan that it expects
will generate a loss and estimates a loss given default based on a
review of broker's opinions of value (if available), other
information from the special servicer, available market data and
Moody's internal data. The loss given default for a loan also takes
into consideration repayment of servicer advances to date,
estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced to the most junior class(es) and the recovery as a pay
down of principal to the most senior class(es).

DEAL PERFORMANCE

As of the February 10, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $51.0 million
from $2.4 billion at securitization. The certificates are
collateralized by only one remaining mortgage loan which is in
special servicing.

Twenty-four loans have been liquidated from the pool with losses,
resulting in an aggregate realized loss of $294 million (for an
average loss severity of 53%). The most recent liquidation as of
the February 2020 remittance report was the Design Center of
Americas loan, which liquidated with a $56.8 million loss.

The remaining loan in special servicing is the Fireman's Fund Loan
($51.0 million -- 100% of the pool), which represents a pari passu
portion of a $107.8 million first mortgage loan. The loan is
secured by a 710,000 square foot office property located in Novato,
California, approximately 30 miles north of downtown San Francisco.
The property was formerly the corporate headquarters for the
Fireman's Fund Insurance Company which leased the entire property
through November 2018. The tenant vacated the building in December
2015 but continued to pay rent through its November 2018 lease
expiration date. The property remained vacant and the loan was
transferred to special servicing in October 2018 due to imminent
default. The whole loan was structured with two pari passu notes
A-1 and A-2, with the controlling A-1 note originally securitized
in the BACM 2005-5 transaction. In March 2019, the $56.6 million
A-1 note was sold which resulted in an approximately 1% loss to the
BACM 2005-5 transaction. The A-2 remains in this trust. The
property became REO in September 2019 and the special servicer
indicated the property is being actively marketed for sale. The
potential sale proceeds from a disposition will be distributed
pro-rata to A1 note and A2 note, 52.4% / 47.6%, respectively. The
property has been essentially dark since 2015 and the loan has been
deemed non-recoverable. Moody's anticipates a significant loss on
this loan.


GS MORTGAGE 2010-C1: Moody's Cuts Rating on Class F Certs to Caa2
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes,
downgraded the ratings on five classes and placed the ratings on
five classes under review for possible downgrade in GS Mortgage
Securities Corporation II Commercial Mortgages Pass-Through
Certificates Series 2010-C1 as follows:

Cl. A-2, Affirmed Aaa (sf); previously on Oct 8, 2019 Affirmed Aaa
(sf)

Cl. B, Affirmed Aaa (sf); previously on Oct 8, 2019 Affirmed Aaa
(sf)

Cl. C, Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade; previously on Oct 8, 2019 Affirmed Aa2 (sf)

Cl. D, Downgraded to Ba2 (sf) and Placed Under Review for Possible
Downgrade; previously on Oct 8, 2019 Downgraded to Baa1 (sf)

Cl. E, Downgraded to B2 (sf) and Placed Under Review for Possible
Downgrade; previously on Oct 8, 2019 Downgraded to Ba1 (sf)

Cl. F, Downgraded to Caa2 (sf) and Placed Under Review for Possible
Downgrade; previously on Oct 8, 2019 Downgraded to B1 (sf)

Cl. X*, Downgraded to B3 (sf) and Placed Under Review for Possible
Downgrade; previously on Oct 8, 2019 Downgraded to Ba2 (sf)

* Reflects Interest-Only Class

RATINGS RATIONALE

The ratings on two P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value ratio
and Moody's stressed debt service coverage ratio are within
acceptable ranges.

The ratings on four P&I classes were downgraded due to the
continued decline in performance of the Burnsville Center loan,
representing 14% of the pool. The Burnsville Center loan
transferred to special servicing in January 2020.

The rating on the interest-only class was downgraded due to a
decline in the credit quality of its referenced classes.

The ratings on four P&I classes were placed on review for possible
downgrade resulting from uncertainty regarding the upcoming
maturity of Burnsville Center. The rating on one IO class whose
referenced classes include these P&I classes was placed on review
for possible downgrade.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

DEAL PERFORMANCE

As of the February 12, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 43% to $449 million
from $788 million at securitization. The certificates are
collateralized by 13 mortgage loans ranging in size from 1% to 17%
of the pool. The transaction has a high concentration to three
Class B regional malls, representing approximately 34% of the pool
balance. While these three loans have amortized a combined 17% from
securitization, Class B malls in secondary and tertiary locations
have historically exhibited higher cash flow volatility and loss
severity and may face higher refinancing risk compared to other
major property types.

Four loans representing 24% of the pool have defeased and are
secured by US government securities. The defeased loans are The
Mall at Partridge Creek, Oliveira Plaza, Canyon Point Marketplace
and Lakewood Forest Plaza. The trust has not experienced losses or
interest shortfalls since securitization.

Two loans, constituting 23% of the pool, are currently in special
servicing. The largest specially serviced loan is the Burnsville
Center Loan ($64.4 million -- 14.4% of the pool), which is secured
by a portion of a regional mall located in Burnsville, Minnesota, a
suburb located south of Minneapolis and St. Paul. The
non-collateral anchors include Macy's and JC Penney, and collateral
anchor stores include Dick's Sporting Goods and Gordman's. The
property has one vacant non-collateral anchor, a former Sears that
closed in 2017. The mall's performance peaked in 2015 and has
declined since in both occupancy and tenant sales per square foot
(PSF), with a significant drop during 2018. The property was 84%
leased in September 2019, down from 94% in December 2017 and 96% in
December 2016. Mall store sales were $292 PSF in 2018, down from
$320 PSF in 2017 and $339 PSF in 2016. While Burnsville Center is
the only regional mall within the market south of the Minnesota
River, it also competes with Twin Cities Premium Outlets. As a
result of declining revenue, the 2018 reported net operating income
(NOI) was 32% lower than in 2010. The loan matures in July 2020.
The loan transferred to special servicing on January 8, 2020 due to
imminent maturity default. The special servicer indicates that the
borrower has requested a modification and three year extension.

The second largest specially serviced loan is the Mall at Johnson
City Loan ($47.9 million -- 10.7% of the pool), which is secured by
a 571,319 square foot (SF) portion of a regional mall located in
Johnson City, Tennessee. The mall is anchored by JC Penney, Belk,
Dick's Sporting Goods, Forever 21 and formerly a Sears. The Sears
store closed in January 2020. As of December 2018, in-line
(


GS MORTGAGE 2015-GC32: Fitch Affirms Class F Certs at 'Bsf'
-----------------------------------------------------------
Fitch Ratings has affirmed 14 classes of GS Mortgage Securities
Trust 2015-GC32 commercial mortgage pass-through certificates.

GSMS 2015-GC32

  - Class A-2 36250PAB1;  LT   AAAsf  Affirmed

  - Class A-3 36250PAC9;  LT   AAAsf  Affirmed

  - Class A-4 36250PAD7;  LT   AAAsf  Affirmed

  - Class A-AB 36250PAE5; LT   AAAsf  Affirmed

  - Class A-S 36250PAH8;  LT   AAAsf  Affirmed

  - Class B 36250PAJ4;    LT   AA-sf  Affirmed
  
  - Class C 36250PAL9;    LT   A-sf   Affirmed

  - Class D 36250PAM7;    LT   BBB-sf Affirmed

  - Class E 36250PAP0;    LT   BBsf   Affirmed

  - Class F 36250PAR6;    LT   Bsf    Affirmed

  - Class PEZ 36250PAK1;  LT   A-sf   Affirmed

  - Class X-A 36250PAF2;  LT   AAAsf  Affirmed

  - Class X-B 36250PAG0;  LT   AA-sf  Affirmed

  - Class X-D 36250PAN5;  LT   BBB-sf Affirmed

KEY RATING DRIVERS

Stable Loss Expectations: Performance and loss expectations for the
majority of the pool have remained relatively stable since
issuance. No loans have transferred to special servicing since
issuance and there are currently five loans (10.2%) designated as a
Fitch Loans of Concern. There have been no realized losses to
date.

Slight Increase to Credit Enhancement: Credit enhancement has
increased since Fitch's last rating action due to the payoff of two
loans and ongoing scheduled amortization. As of the January 2020
distribution date, the transaction has paid down 8% to $922.8
million from $1 billion at issuance. Two loans (2.2% of the pool
balance) are fully defeased. Six loans (7.1%) are full-term
interest-only and two loans (13.5%) remain in their partial
interest-only period.

Fitch Loans of Concern: Five loans (10.2%) have been flagged as
FLOCs, including two loans in the top 15. The largest FLOC is the
Kaiser Center loan (5.4%), which is secured by a 821,000 sf office
building located in Oakland, CA. The loan has been designated as a
FLOC due to the expectation that the largest tenant, Bay Area Rapid
Transit (BART) (42% NRA) expected to vacate the property at lease
expiry in July 2021. While BART has two five-year renewal options,
in place rents are reported to increase significantly during any
renewal period. BART currently pays approximately 38% below the
current market rent. In an effort to control leasing costs, in
September 2019, the BART Board of Directors approved the purchase
and renovation of a new headquarters in downtown Oakland.

The next largest FLOC is the Hilton Garden Inn Pittsburgh loan
(3.1%), which is secured by a 175-key limited service hotel built
in 2001 and renovated in 2014. It is located in Canonsburg, PA in
the Pittsburgh metro area. The property's significant decline in
performance can be attributed to the slowdown in the local fracking
industry in the Marcellus Shale region. As of the TTM October 2019,
occupancy, ADR and RevPar reported at 60%, $118 and $71,
respectively, indicating penetration of 90%, 112% and 100%
respectively. No other FLOC comprises more than 1% of the pool.

Retail Concentration: 40.4% of the pool balance is collateralized
by retail properties. Bassett Place, the third largest loan in the
pool (7%), was built as a regional mall but has been repositioned
as a power center. The property is performing in line with Fitch's
expectations at issuance and has minimal upcoming rollover.
Alderwood Mall (2.3%), a super-regional mall located in Lynwood, WA
has shown stable to improved performance since issuance. While
Sears (non-collateral) closed in March 2017, local news reports
have indicated that the store was demolished and is being replaced
by two, six-story multi-family apartment buildings with a total of
328 residential units, and retail on the ground floor. Fitch has
requested additional information from the servicer on the
completion of construction but is awaiting response.

Manufactured Housing: Three loans (11.2%), including the largest
loan (10%) in the pool, are collateralized by manufactured housing.
This is higher than the historical average for Fitch-rated
transactions.

RATING SENSITIVITIES

The Outlook on Class F has been revised to Stable from Negative due
to the increased credit enhancement from loan payoffs and scheduled
amortization. The Stable Outlooks reflect the overall stable
performance of the pool and continued amortization.

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or defeasance.

Factors that lead to downgrades include an increase in pool level
losses from underperforming or specially serviced loans. Upgrades
to the senior classes may occur with improved pool performance and
additional paydown or defeasance.

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

No third-party due diligence was provided or reviewed in relation
to this rating action.

ESG CONSIDERATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).


GS MORTGAGE 2020-PJ2: DBRS Finalizes B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2020-PJ2 (the
Certificates) issued by GS Mortgage-Backed Securities Trust
2020-PJ2 (GSMBS 2020-PJ2):

-- $336.4 million Class A-1 at AAA (sf)
-- $336.4 million Class A-2 at AAA (sf)
-- $36.8 million Class A-3 at AAA (sf)
-- $36.8 million Class A-4 at AAA (sf)
-- $252.3 million Class A-5 at AAA (sf)
-- $252.3 million Class A-6 at AAA (sf)
-- $84.1 million Class A-7 at AAA (sf)
-- $84.1 million Class A-8 at AAA (sf)
-- $373.2 million Class A-9 at AAA (sf)
-- $373.2 million Class A-10 at AAA (sf)
-- $373.2 million Class A-X-1 at AAA (sf)
-- $36.8 million Class A-X-3 at AAA (sf)
-- $252.3 million Class A-X-5 at AAA (sf)
-- $84.1 million Class A-X-7 at AAA (sf)
-- $336.4 million Class A-X-8 at AAA (sf)
-- $4.9 million Class B-1 at AA (sf)
-- $6.7 million Class B-2 at A (sf)
-- $5.3 million Class B-3 at BBB (sf)
-- $3.0 million Class B-4 at BB (sf)
-- $792.0 thousand Class B-5 at B (sf)

Classes A-X-1, A-X-3, A-X-5, A-X-7, and A-X-8 are interest-only
certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-8, A-9, A-10, and A-X-8 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates as specified in the offering
documents.

Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior
certificates. These classes benefit from additional protection from
the senior support certificates (Classes A-3 and A-4) with respect
to loss allocation.

The AAA (sf) ratings on the Certificates reflect 5.70% of credit
enhancement provided by subordinated certificates in the pool. The
AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
4.45%, 2.75%, 1.40%, 0.65%, and 0.45% of credit enhancement,
respectively.

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

GSMBS 2020-PJ2 is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 528 loans with a
total principal balance of $395,759,2691 as of the Cut-Off Date
(February 1, 2020).

The originators for the mortgage pool are United Shore Financial
Services, LLC (40.8%); loanDepot.com, LLC (14.6%); and various
other originators, each comprising less than 10.0% of the mortgage
loans. Goldman Sachs Mortgage Company is the Sponsor and the
Mortgage Loan Seller of the transaction. For certain originators,
the related loans were sold to MAXEX Clearing LLC (9.2%) and SG
Capital Partners LLC (0.7%) and were subsequently acquired by the
Mortgage Loan Seller.

NewRez LLC doing business as Shellpoint Mortgage Servicing will
service all mortgage loans within the pool. Wells Fargo Bank, N.A.
(rated AA with a Stable trend by DBRS Morningstar) will act as the
Master Servicer, Securities Administrator, and Custodian. U.S. Bank
Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the Representations and
Warranties (R&W) File Reviewer.

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of three months. Approximately 33.2% of
the pool are conforming high-balance mortgage loans that were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. The remaining 66.8% of the pool are traditional nonagency
prime jumbo mortgage loans. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section in the related rating report.

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

The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers, and a
satisfactory third-party due diligence review.

This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, knowledge qualifiers, and
sunset provisions that allow for certain R&Ws to expire within
three to five years after the Closing Date. To capture the
perceived weaknesses in the R&W framework, DBRS Morningstar reduced
the originator scores in this pool. A lower originator score
results in increased default and loss assumptions and provides
additional cushions for the rated securities.

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


GS MORTGAGE-BACKED 2020-PJ2: Fitch Rates Class B5 Certs 'Bsf'
-------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by GS Mortgage-Backed Securities Trust 2020-PJ2. The
transaction is expected to close on February 28, 2020. The
certificates are supported by 528 conforming and nonconforming
loans with a total balance of approximately $395.76 million as of
the cutoff date.

GSMBS 2020-PJ2

  - Class A1;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A10;  LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class A2;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A3;   LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class A4;   LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class A5;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A6;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A7;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A8;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A9;   LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class AIOS; LT NRsf New Rating;  previously at NR(EXP)sf

  - Class AR;   LT NRsf New Rating;  previously at NR(EXP)sf

  - Class AX1;  LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class AX3;  LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class AX5;  LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class AX7;  LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class AX8;  LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class B1;   LT AAsf New Rating;  previously at AA(EXP)sf

  - Class B2;   LT Asf New Rating;   previously at A(EXP)sf

  - Class B3;   LT BBBsf New Rating; previously at BBB(EXP)sf

  - Class B4;   LT BBsf New Rating;  previously at BB(EXP)sf

  - Class B5;   LT Bsf New Rating;   previously at B(EXP)sf

  - Class B6;   LT NRsf New Rating;  previously at NR(EXP)sf

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists
primarily of 30-year FRM fully amortizing loans, seasoned
approximately two months in aggregate. Generally, all the loans
were originated through the sellers' retail channels. The borrowers
in this pool have strong credit profiles (762 model FICO) and
relatively low leverage (70.9% sLTV). The collateral is a mix of
conforming agency eligible loans (33.2%) and nonconforming
prime-jumbo loans (66.8%). The 215 conforming loans have an average
balance of $611,307, compared with a balance of $844,499 for the
nonconforming loans. The conforming loans have a slightly lower
FICO (757 versus 764), but a lower LTV (67.1% versus 69.2%).

Shifting-Interest Deal Structure (Negative): 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. 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. 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 0.85% of the
original balance will be maintained for the subordinate
certificates.

Representation Framework (Negative): The loan-level representation,
warranty and enforcement framework is consistent with Tier 2
quality. Fitch increased its loss expectations by 47bps at the
'AAAsf' rating category as a result of the Tier 2 framework and the
underlying sellers supporting the repurchase obligations of the
RW&E providers. The Tier 2 framework was driven by the inclusion of
knowledge qualifiers without a clawback provision and the narrow
testing construct, which limits the breach reviewers' ability to
identify or respond to issues not fully anticipated at closing.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Goldman Sachs is assessed as an 'Above
Average' aggregator by Fitch due to its robust sourcing strategy
and seller oversight, experienced senior management and staff,
strong risk management and corporate governance controls. Primary
and master servicing responsibilities are performed by Shellpoint
Mortgage Servicing, which is rated 'RPS2-' by Fitch.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction. Due diligence
was performed by AMC, Opus and Digital Risk, which are assessed by
Fitch as 'Acceptable - Tier 1', 'Acceptable - Tier 2' and
'Acceptable - Tier 2', respectively. The review scope is consistent
with Fitch criteria, and the results are generally similar to those
of prior prime RMBS transactions. Credit exceptions were supported
by strong mitigating factors, and compliance exceptions were
primarily cured with subsequent documentation. Fitch applied a
credit for the high percentage of loan-level due diligence, which
reduced the 'AAAsf' loss expectation by 28bps.

Geographic Concentration (Negative): Almost 60% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles MSA (22.9%), followed by the San Francisco MSA (13.3%)
and San Diego MSA (8.0%). The top three MSAs account for
approximately 44.2% of the pool. This resulted in an increase of
26bps at the 'AAAsf' expected loss.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
may be considered in the surveillance of the transaction. Three
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool. This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 2.6%.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Opus, AMCSitus Diligence, LLC. and Digital Risk. The third-party
due diligence described in Form 15E focused on credit, compliance
and valuation. Fitch considered this information in its analysis
and it did not have an effect on Fitch's analysis or conclusions.
Fitch believes the overall results of the review generally
reflected strong underwriting controls.

ESG CONSIDERDATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).


GS MORTGAGE-BACKED 2020-PJ2: Fitch Rates Class B5 Certs 'Bsf'
-------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by GS Mortgage-Backed Securities Trust 2020-PJ2. The
transaction is expected to close on February 28, 2020. The
certificates are supported by 528 conforming and nonconforming
loans with a total balance of approximately $395.76 million as of
the cutoff date.

GSMBS 2020-PJ2

  - Class A1;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A10;  LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class A2;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A3;   LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class A4;   LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class A5;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A6;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A7;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A8;   LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class A9;   LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class AIOS; LT NRsf New Rating;  previously at NR(EXP)sf

  - Class AR;   LT NRsf New Rating;  previously at NR(EXP)sf

  - Class AX1;  LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class AX3;  LT AA+sf New Rating; previously at AA+(EXP)sf

  - Class AX5;  LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class AX7;  LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class AX8;  LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class B1;   LT AAsf New Rating;  previously at AA(EXP)sf

  - Class B2;   LT Asf New Rating;   previously at A(EXP)sf

  - Class B3;   LT BBBsf New Rating; previously at BBB(EXP)sf

  - Class B4;   LT BBsf New Rating;  previously at BB(EXP)sf

  - Class B5;   LT Bsf New Rating;   previously at B(EXP)sf

  - Class B6;   LT NRsf New Rating;  previously at NR(EXP)sf

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists
primarily of 30-year FRM fully amortizing loans, seasoned
approximately two months in aggregate. Generally, all the loans
were originated through the sellers' retail channels. The borrowers
in this pool have strong credit profiles (762 model FICO) and
relatively low leverage (70.9% sLTV). The collateral is a mix of
conforming agency eligible loans (33.2%) and nonconforming
prime-jumbo loans (66.8%). The 215 conforming loans have an average
balance of $611,307, compared with a balance of $844,499 for the
nonconforming loans. The conforming loans have a slightly lower
FICO (757 versus 764), but a lower LTV (67.1% versus 69.2%).

Shifting-Interest Deal Structure (Negative): 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. 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. 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 0.85% of the
original balance will be maintained for the subordinate
certificates.

Representation Framework (Negative): The loan-level representation,
warranty and enforcement framework is consistent with Tier 2
quality. Fitch increased its loss expectations by 47bps at the
'AAAsf' rating category as a result of the Tier 2 framework and the
underlying sellers supporting the repurchase obligations of the
RW&E providers. The Tier 2 framework was driven by the inclusion of
knowledge qualifiers without a clawback provision and the narrow
testing construct, which limits the breach reviewers' ability to
identify or respond to issues not fully anticipated at closing.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Goldman Sachs is assessed as an 'Above
Average' aggregator by Fitch due to its robust sourcing strategy
and seller oversight, experienced senior management and staff,
strong risk management and corporate governance controls. Primary
and master servicing responsibilities are performed by Shellpoint
Mortgage Servicing, which is rated 'RPS2-' by Fitch.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction. Due diligence
was performed by AMC, Opus and Digital Risk, which are assessed by
Fitch as 'Acceptable - Tier 1', 'Acceptable - Tier 2' and
'Acceptable - Tier 2', respectively. The review scope is consistent
with Fitch criteria, and the results are generally similar to those
of prior prime RMBS transactions. Credit exceptions were supported
by strong mitigating factors, and compliance exceptions were
primarily cured with subsequent documentation. Fitch applied a
credit for the high percentage of loan-level due diligence, which
reduced the 'AAAsf' loss expectation by 28bps.

Geographic Concentration (Negative): Almost 60% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles MSA (22.9%), followed by the San Francisco MSA (13.3%)
and San Diego MSA (8.0%). The top three MSAs account for
approximately 44.2% of the pool. This resulted in an increase of
26bps at the 'AAAsf' expected loss.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
may be considered in the surveillance of the transaction. Three
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool. This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 2.6%.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Opus, AMCSitus Diligence, LLC. and Digital Risk. The third-party
due diligence described in Form 15E focused on credit, compliance
and valuation. Fitch considered this information in its analysis
and it did not have an effect on Fitch's analysis or conclusions.
Fitch believes the overall results of the review generally
reflected strong underwriting controls.

ESG CONSIDERDATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).


HALCYON LOAN 2015-2: Moody's Cuts $10MM Class F Notes to Caa3
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Halcyon Loan Advisors Funding 2015-2
Ltd.:

US$10,000,000 Class F Secured Deferrable Floating Rate Notes due
2027, Downgraded to Caa3 (sf); previously on July 22, 2019
Downgraded to Caa2 (sf)

RATINGS RATIONALE

The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by credit deterioration
observed in the underlying CLO portfolio. Based on the trustee's
January 2020 report, the weighted average rating factor has
deteriorated to 3050, compared to 2733 from June 2019.
Additionally, in Moody's calculation, the current
over-collateralization ratio for the Class F notes has declined to
103.1% from 103.3% in July 2019.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, weighted average recovery rate,
diversity score, and weighted average spread, are based on its
published methodology and could differ from the trustee's reported
numbers. In its base case, Moody's analyzed the collateral pool as
having a performing par and principal proceeds balance of $397.4
million, defaulted par of $23.0 million, a weighted average default
probability of 20.43% (implying a WARF of 3063), a weighted average
recovery rate upon default of 47.46%, a diversity score of 63 and a
weighted average spread of 3.61%.

Methodology Underlying the Rating Action:

The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

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 CLO manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.


JP MORGAN 2011-C5: Moody's Lowers Class G Certs to 'Ca'
-------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on four classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2011-C5, Commercial Mortgage
Pass-Through Certificates, Series 2011-C5 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Sep 28, 2018 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Sep 28, 2018 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Sep 28, 2018 Affirmed
Aaa (sf)

Cl. B, Affirmed Aa1 (sf); previously on Sep 28, 2018 Affirmed Aa1
(sf)

Cl. C, Affirmed A1 (sf); previously on Sep 28, 2018 Affirmed A1
(sf)

Cl. D, Downgraded to Ba1 (sf); previously on Sep 28, 2018 Affirmed
Baa3 (sf)

Cl. E, Downgraded to B2 (sf); previously on Sep 28, 2018 Downgraded
to Ba3 (sf)

Cl. F, Downgraded to Caa1 (sf); previously on Sep 28, 2018
Downgraded to B2 (sf)

Cl. G, Downgraded to Ca (sf); previously on Sep 28, 2018 Downgraded
to Caa2 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Sep 28, 2018 Affirmed
Aaa (sf)

Cl. X-B*, Affirmed B3 (sf); previously on Sep 28, 2018 Downgraded
to B3 (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The ratings on five P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value ratio,
Moody's stressed debt service coverage ratio and the transaction's
Herfindahl Index, are within acceptable ranges.

The ratings on four P&I classes were downgraded due to anticipated
losses from specially serviced and troubled loans.

The ratings on two IO classes were affirmed based on the credit
quality of their referenced classes.

Moody's rating action reflects a base expected loss of 8.9% of the
current pooled balance, compared to 5.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.1% of the
original pooled balance, compared to 4.0% at the last review.

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

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

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 interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in July 2017 and "Moody's Approach to Rating Large
Loan and Single Asset/Single Borrower CMBS" published in July 2017.
The methodologies used in rating interest-only classes were
"Approach to Rating US and Canadian Conduit/Fusion CMBS" published
in July 2017, "Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in February 2019.

DEAL PERFORMANCE

As of the February 17, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 61% to $399 million
from $1.03 billion at securitization. The certificates are
collateralized by 16 mortgage loans ranging in size from less than
1% to 33% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of six, compared to a Herf of 12 at Moody's last
review.

Two loans, constituting 3% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $6.5 million (for an average loss
severity of 26%). One loan, constituting 7% of the pool, is
currently in special servicing. The specially serviced loan is the
LaSalle Select Portfolio ($28.2 million -- 7.1% of the pool), which
was originally secured by a portfolio of four office buildings
located in suburban Atlanta, Georgia. The loan transferred to
special servicing in December 2017 for imminent default and
foreclosed in November 2018. One property was marketed for sale and
sold in August 2019.

Moody's received full year 2018 operating results for 96% of the
pool, and full or partial year 2019 operating results for 99% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 85%, compared to 80% 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
reflects a weighted average haircut of 25% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 10%.

Moody's actual and stressed conduit DSCRs are 1.75X and 1.30X,
respectively, compared to 1.81X and 1.33X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 64% of the pool balance. The
largest loan is the InterContinental Hotel Chicago Loan ($131.3
million -- 32.9% of the pool), which is secured by a 792-key
full-service hotel located on North Michigan Avenue in Chicago,
Illinois. The property includes over 25,000 square feet (SF) of
meeting space, a steakhouse restaurant, full-service spa, and an
indoor pool. The occupancy fell to 65% in 2019 compared to 67% for
the year ended June 2018 and 77% at securitization. Moody's LTV and
stressed DSCR are 106% and 1.05X, respectively, compared to 103%
and 1.08X at the last review.

The second largest loan is the Asheville Mall Loan ($63.6 million
-- 15.9% of the pool), which is secured by a 324,000 SF component
of a larger regional mall located in Asheville, North Carolina. The
mall anchors include Dillard's (non-collateral), JC Penney
(non-collateral), Belk (non-collateral) and Barnes and Noble. The
total mall was 97% leased as of June 2019 compared to 92% leased as
of December 2017. Sears closed its store at the mall in summer 2018
and the owner of the former Sears space has announced plans for a
redevelopment of the non-collateral dark anchor space and adjoining
land. The loan sponsor is CBL & Associates Properties, Inc., a
retail REIT based in Tennessee. Moody's LTV and stressed DSCR are
90% and 1.23X, respectively, compared to 83% and 1.31X at the last
review.

The third largest loan is the SunTrust Bank Portfolio I Loan ($61.4
million -- 15.4% of the pool), which is secured by 78 bank branch
properties located in several Eastern U.S. states from Maryland to
Florida. The properties are 100% leased to Sun Trust as part of a
master lease agreement which had an initial term ended December
2017. Following the master lease renewal 43 properties have been
released from the loan collateral with a commensurate principal
curtailment. Moody's LTV and stressed DSCR are 63% and 1.54X,
respectively, compared to 67% and 1.46X at the last review.


JP MORGAN 2020-2: Moody's Gives B3 Rating on 2 Tranches
-------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 34
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust 2020-2. The ratings range from Aaa (sf) to B3
(sf).

The certificates are backed by 1,105 25-year, 27-year and 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$781,900,561 as of the February 1, 2020 cut-off date. Similar to
prior JPMMT transactions, JPMMT 2020-2 includes agency-eligible
mortgage loans (approximately 41.4% by loan balance) underwritten
to the government sponsored enterprises guidelines in addition to
prime jumbo non-agency eligible mortgages purchased by J.P. Morgan
Mortgage Acquisition Corp., the sponsor and mortgage loan seller,
from various originators and aggregators. United Shore Financial
Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage
and loanDepot.com LLC originated approximately 51.8% and 18.3%
respectively of the mortgage loans (by balance) in the pool. All
other originators accounted for less than 10% of the pool by
balance. With respect to the mortgage loans, each originator or the
aggregator, as applicable, made a representation and warranty that
the mortgage loan constitutes a qualified mortgage under the
qualified mortgage rule.

NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing will service about 17.3% of the mortgage loans on behalf
of JPMorgan Chase Bank, N.A., loanDepot will service about 17.5%
(subserviced by Cenlar, FSB) and United Shore will service about
50.6% (subserviced by Cenlar, FSB). Shellpoint will act as interim
servicer for the JPMCB mortgage loans from the closing date until
the servicing transfer date, which is expected to occur on or about
April 1, 2020 (but which may occur after such date). After the
servicing transfer date, these mortgage loans will be serviced by
JPMCB. Other servicers accounted for less than 10% of the pool, by
balance. The servicing fee for loans serviced by JPMCB (and
Shellpoint, until the servicing transfer date), loanDepot.com and
United Shore will be based on a step-up incentive fee structure and
additional fees for servicing delinquent and defaulted loans.
Quicken Loans Inc., AmeriHome Mortgage Company LLC and USAA Federal
Savings Bank will have the fixed fee servicing framework.
Nationstar Mortgage LLC will be the master servicer and Citibank,
N.A. will be the securities administrator and Delaware trustee.
Pentalpha Surveillance LLC will be the representations and
warranties breach reviewer. Distributions of principal and interest
and loss allocations are based on a typical shifting interest
structure that benefits from senior and subordination floors.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2020-2

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-10-A, 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 Aa1 (sf)

Cl. A-15, Definitive Rating Assigned Aa1 (sf)

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

Cl. A-17, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

Cl. B-5, Definitive Rating Assigned B3 (sf)

Cl. B-5-Y, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.53%
and reaches 5.68% at a stress level consistent with its Aaa
ratings.

Moody's calculated losses on the pool using US Moody's Individual
Loan Analysis model based on the loan-level collateral information
as of the cut-off date. Loan-level adjustments to the model results
included, but were not limited to, adjustments for origination
quality and the financial strength of the representation & warranty
providers.

Collateral Description

JPMMT 2020-2 is a securitization of a pool of 1,105 25-year,
27-year and 30-year, fully-amortizing fixed-rate mortgage loans
with a total balance of $781,900,561 as of the cut-off date, with a
weighted average remaining term to maturity of 357 months, and a WA
seasoning of 3 months. The WA current FICO score is 765 and the WA
original combined loan-to-value ratio is 69.7%. The characteristics
of the loans underlying the pool are generally comparable to those
of other JPMMT transactions backed by prime mortgage loans that it
has rated.

Aggregation/Origination Quality

Moody's considers JPMMAC's aggregation platform to be adequate and
it did not apply a separate loss-level adjustment for aggregation
quality. In addition to reviewing JPMMAC as an aggregator, it has
also reviewed the originator(s) contributing a significant
percentage of the collateral pool (above 10%). As such, for United
Shore, it reviewed United Shore's underwriting guidelines and its
policies and documentation (where available). Additionally, it
increased its base case and Aaa loss expectations for certain
originators of non-conforming loans where it does not have clear
insight into the underwriting practices, quality control and credit
risk management. Moody's did not make an adjustment for
GSE-eligible loans, since those loans were underwritten in
accordance with GSE guidelines. In addition, it reviewed the loan
performance for some of these originators. It viewed the loan
performance as comparable to the GSE loans due to consistently low
delinquencies, early payment defaults and repurchase requests.
United Shore and LoanDepot originated approximately 64.1% and 12.9%
of the non-conforming mortgage loans (by balance) in the pool,
respectively. All other originators accounted for less than 10% of
the non-conforming mortgage loans by balance.

United Shore (originator): Loans originated by United Shore have
been included in several prime jumbo securitizations that it has
rated. United Shore originated approximately 51.8% of the mortgage
loans by pool balance (compared with about 56.6% by pool balance in
JPMMT 2020-1 and 86.9% by pool balance in JPMMT 2019-9). The
majority of these loans were originated under United Shore's High
Balance Nationwide program which are processed using the Desktop
Underwriter automated underwriting system, and are therefore
underwritten to Fannie Mae guidelines. The loans receive a DU
Approve Ineligible feedback due to the loan amount only. It made a
negative origination adjustment (i.e. Moody's increased it loss
expectations) for United Shore's loans due mostly to 1) the lack of
statistically significant program specific loan performance data
and 2) the fact that United Shore's High Balance Nationwide program
is unique and fairly new and no performance history has been
provided to Moody's on these loans. Under this program, the
origination criteria rely on the use of GSE tools (DU/LP) for
prime-jumbo non-conforming loans, subject to Qualified Mortgage
(QM) overlays. More time is needed to assess United Shore's ability
to consistently produce high-quality prime jumbo residential
mortgage loans under this program.

Moody's considers LoanDepot an adequate originator of prime jumbo
loans. As a result, it did not make any adjustments to its loss
levels for these loans.

Servicing Arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar Mortgage LLC
(Nationstar Mortgage Holdings Inc. rated B2) will act as the master
servicer. The servicers are required to advance principal and
interest on the mortgage loans. To the extent that the servicers
are unable to do so, the master servicer will be obligated to make
such advances. In the event that the master servicer, Nationstar,
is unable to make such advances, the securities administrator,
Citibank (rated Aa3) will be obligated to do so to the extent such
advance is determined by the securities administrator to be
recoverable.

Servicing Fee Framework

The servicing fee for loans serviced by United Shore, Shellpoint,
JPMCB and LoanDepot will be based on a step-up incentive fee
structure with a monthly base fee of $40 per loan and additional
fees for servicing delinquent and defaulted loans. Quicken Loans
Inc., AmeriHome Mortgage Company LLC and USAA Federal Savings Bank
will be paid a monthly flat servicing fee equal to one-twelfth of
0.25% of the remaining principal balance of the mortgage loans.
Shellpoint will act as interim servicer for the JPMCB mortgage
loans until the servicing transfer date, April 1, 2020 or such
later date as determined by the issuing entity and JPMCB.

The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that it has rated.
However, while this fee structure is common in non-performing
mortgage securitizations, it is relatively new to rated prime
mortgage securitizations which typically incorporate a flat 25
basis point servicing fee rate structure. By establishing a base
servicing fee for performing loans that increases with the
delinquency of loans, the fee-for-service structure aligns monetary
incentives to the servicer with the costs of the servicer. The
servicer receives higher fees for labor-intensive activities that
are associated with servicing delinquent loans, including loss
mitigation, than they receive for servicing a performing loan,
which is less labor-intensive. The fee-for-service compensation is
reasonable and adequate for this transaction because it better
aligns the servicer's costs with the deal's performance.
Furthermore, higher fees for the more labor-intensive tasks make
the transfer of these loans to another servicer easier, should that
become necessary. By contrast, in typical RMBS transactions a
servicer can take actions, such as modifications and prolonged
workouts, that increase the value of its mortgage servicing
rights.

The incentive structure includes an initial monthly base servicing
fee of $40 for all performing loans and increases according to a
pre-determined delinquent and incentive servicing fee schedule. The
delinquent and incentive servicing fees will be deducted from the
available distribution amount and Class B-6 net WAC. The
transaction does not have a servicing fee cap, so, in the event of
a servicer replacement, any increase in the base servicing fee
beyond the current fee will be paid out of the available
distribution amount.

Third-Party Review

Four third party review firms, AMC Diligence, LLC, Clayton Services
LLC, Digital Risk LLC and Opus Capital Markets Consultants, LLC
(collectively, TPR firms) verified the accuracy of the loan-level
information that it received from the sponsor. These firms
conducted detailed credit, valuation, regulatory compliance and
data integrity reviews on 100% of the mortgage pool. The TPR
results indicated compliance with the originators' underwriting
guidelines for majority of loans, no material compliance issues,
and no appraisal defects. Overall, the loans that had exceptions to
the originators' underwriting guidelines had strong documented
compensating factors such as low DTIs, low LTVs, high reserves,
high FICOs, or clean payment histories. The TPR firms also
identified minor compliance exceptions for reasons such as
inadequate RESPA disclosures (which do not have assignee liability)
and TILA/RESPA Integrated Disclosure violations related to fees
that were out of variance but then were cured and disclosed.

The property valuation review consisted of reviewing the valuation
materials utilized at origination to ensure the appraisal report
was complete and in conformity with the underwriting guidelines.
The TPR firms also reviewed each loan to determine whether a
third-party valuation product was required and if required, that
the third-party product value was compared to the original
appraised value to identify a value variance. In some cases, if a
variance of more than 10% was noted, the TPR firms ensured any
required secondary valuation product was ordered and reviewed. The
property valuation portion of the TPR was conducted using, among
other methods, a field review, a third-party collateral desk
appraisal, field review, automated valuation model or a Collateral
Underwriter risk score. In some cases, a CDA, BPO or AVM was not
provided because these loans were originated under United Shore's
High Balance Nationwide program (i.e. non-conforming loans
underwritten using Fannie Mae's Desktop Underwriter Program) and
had a CU risk score less than or equal to 2.5. Moody's considers
the use of CU risk score for non-conforming loans to be credit
negative due to (1) the lack of human intervention which increases
the likelihood of missing emerging risk trends, (2) the limited
track record of the software and limited transparency into the
model and (3) GSE focus on non-jumbo loans which may lower
reliability on jumbo loan appraisals. It did not apply an
adjustment to the loss for such loans since the statistically
significant sample size and valuation results of the loans that
were reviewed using a CDA or a field review (which it considers to
be a more accurate third-party valuation product) were sufficient.

R&W Framework

JPMMT 2020-2's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework considers the financial strength of the
R&W providers, scope of R&Ws (including qualifiers and sunsets) and
enforcement mechanisms. The R&W providers vary in financial
strength. The creditworthiness of the R&W provider determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment grade rated R&W provider lends substantial
strength to its R&Ws. It analyzes the impact of less creditworthy
R&W providers case by case, in conjunction with other aspects of
the transaction.

Moody's made no adjustments to the loans for which JPMCB (Aa2), its
affiliate, JPMMAC provided R&Ws since they are highly rated and/or
financially stable entities. In contrast, the rest of the R&W
providers are unrated and/or financially weaker entities. It
applied an adjustment to the loans for which these entities
provided R&Ws. JPMMAC will make the mortgage loan representations
and warranties with respect to mortgage loans originated by certain
originators (approx. 2% by loan balance). For loans that JPMMAC
acquired via the MAXEX Clearing LLC (MaxEx) platform, MaxEx under
the assignment, assumption and recognition agreement with JPMMAC,
will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and
assigned to the trust are in line with the R&Ws found in other
JPMMT transactions.

No other party will backstop or be responsible for backstopping any
R&W providers who may become financially incapable of repurchasing
mortgage loans. With respect to the mortgage loan R&Ws made by such
originators or the aggregator, as applicable, as of a date prior to
the closing date, JPMMAC will make a "gap" representation covering
the period from the date as of which such R&W is made by such
originator or the aggregator, as applicable, to the cut-off date or
closing date, as applicable. Additionally, no party will be
required to repurchase or substitute any mortgage loan until such
loan has gone through the review process.

Trustee and Master Servicer

The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance principal and interest if the
servicer fails to do so. If the master servicer fails to make the
required advance, the securities administrator is obligated to make
such advance.

Tail Risk & Subordination Floor

This deal has a standard shifting interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 0.65% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. The
subordinate bonds benefit from a floor as well. When the total
current balance of a given subordinate tranche plus the aggregate
balance of the subordinate tranches that are junior to it amount to
less than 0.55% of the original pool balance, those tranches that
are junior to it do not receive principal distributions. The
principal those tranches would have received is directed to pay
more senior subordinate bonds pro-rata.

In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The credit neutral floor for Aaa rating is $5,008,934 The senior
subordination floor of 0.65% and subordinate floor of 0.55% are
consistent with the credit neutral floors for the assigned
ratings.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.

The Class A-11 Certificates will have a pass-through rate that will
vary directly with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. If the securities administrator
notifies the depositor that it cannot determine one-month LIBOR in
accordance with the methods prescribed in the sale and servicing
agreement and a benchmark transition event has not yet occurred,
one-month LIBOR for such accrual period will be one-month LIBOR as
calculated for the immediately preceding accrual period. Following
the occurrence of a benchmark transition event, a benchmark other
than one-month LIBOR will be selected for purposes of calculating
the pass-through rate on the class A-11 certificates.

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

Down

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings 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.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
October 2019.

The credit rating for J.P. Morgan Mortgage Trust 2020-2 was
assigned accordance with Moody's existing Methodology entitled
"Moody's Approach to Rating US RMBS Using the MILAN Framework,"
dated October 2019. Please note that on December 9, 2019, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology to expand the
scope to include private label non-prime first-lien mortgage loans
originated during or after 2009. If the revised Methodology is
implemented as proposed, the Credit Rating on J.P. Morgan Mortgage
Trust 2020-2 will not be affected.


JP MORGAN 2020-INV1: DBRS Finalizes B(high) Rating on 2 Classes
---------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2020-INV1 (the
Certificates) issued by J.P. Morgan Mortgage Trust 2020-INV1:

-- $422.3 million Class A-1 at AAA (sf)
-- $384.0 million Class A-2 at AAA (sf)
-- $291.8 million Class A-3 at AAA (sf)
-- $291.8 million Class A-3-A at AAA (sf)
-- $291.8 million Class A-3-X at AAA (sf)
-- $218.9 million Class A-4 at AAA (sf)
-- $218.9 million Class A-4-A at AAA (sf)
-- $218.9 million Class A-4-X at AAA (sf)
-- $73.0 million Class A-5 at AAA (sf)
-- $73.0 million Class A-5-A at AAA (sf)
-- $73.0 million Class A-5-X at AAA (sf)
-- $182.5 million Class A-6 at AAA (sf)
-- $182.5 million Class A-6-A at AAA (sf)
-- $182.5 million Class A-6-X at AAA (sf)
-- $109.3 million Class A-7 at AAA (sf)
-- $109.3 million Class A-7-A at AAA (sf)
-- $109.3 million Class A-7-X at AAA (sf)
-- $36.4 million Class A-8 at AAA (sf)
-- $36.4 million Class A-8-A at AAA (sf)
-- $36.4 million Class A-8-X at AAA (sf)
-- $49.6 million Class A-9 at AAA (sf)
-- $49.6 million Class A-9-A at AAA (sf)
-- $49.6 million Class A-9-X at AAA (sf)
-- $23.3 million Class A-10 at AAA (sf)
-- $23.3 million Class A-10-A at AAA (sf)
-- $23.3 million Class A-10-X at AAA (sf)
-- $92.1 million Class A-11 at AAA (sf)
-- $92.1 million Class A-11-X at AAA (sf)
-- $92.1 million Class A-12 at AAA (sf)
-- $92.1 million Class A-13 at AAA (sf)
-- $38.4 million Class A-14 at AAA (sf)
-- $38.4 million Class A-15 at AAA (sf)
-- $321.0 million Class A-16 at AAA (sf)
-- $101.4 million Class A-17 at AAA (sf)
-- $422.3 million Class A-X-1 at AAA (sf)
-- $422.3 million Class A-X-2 at AAA (sf)
-- $92.1 million Class A-X-3 at AAA (sf)
-- $38.4 million Class A-X-4 at AAA (sf)
-- $19.7 million Class B-1 at AA (low) (sf)
-- $19.7 million Class B-1-A at AA (low) (sf)
-- $19.7 million Class B-1-X at AA (low) (sf)
-- $12.7 million Class B-2 at A (low) (sf)
-- $12.7 million Class B-2-A at A (low) (sf)
-- $12.7 million Class B-2-X at A (low) (sf)
-- $9.8 million Class B-3 at BBB (low) (sf)
-- $9.8 million Class B-3-A at BBB (low) (sf)
-- $9.8 million Class B-3-X at BBB (low) (sf)
-- $6.2 million Class B-4 at BB (sf)
-- $1.9 million Class B-5 at B (high) (sf)
-- $42.2 million Class B-X at BBB (low) (sf)
-- $1.9 million Class B-5-Y at B (high) (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X
are interest-only notes. The class balances represent notional
amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14,
A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, and B-5-Y are
exchangeable notes. These classes can be exchanged for combinations
of exchange notes as specified in the offering documents.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-12, and A-13
are super-senior certificates. These classes benefit from
additional protection from the senior support certificates (Classes
A-14 and A-15) with respect to loss allocation.

The AAA (sf) rating on the Certificates reflects 12.00% of credit
enhancement provided by subordinated notes in the pool. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (high)
(sf) ratings reflect 7.90%, 5.25%, 3.20%, 1.90%, and 1.50% of
credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate
investment-property residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 1,320 loans with a
total principal balance of $479,967,349 as of the Cut-Off Date
(February 1, 2020).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of up to 30 years. Approximately 98.0%
of loans are conforming mortgages made to investors for business or
commercial purposes. Consequently, most of the pool (72.5%) is not
subject to the Qualified Mortgage and Ability-to-Repay rules. In
addition, 38 borrowers have multiple mortgages (82 loans in total)
included in the securitized portfolio. About 98.0% of the mortgage
loans in the portfolio were eligible for purchase by Fannie Mae or
Freddie Mac. Details on the underwriting of loans can be found in
the Key Probability of Default Drivers section in the related
rating report.

The originators for the aggregate mortgage pool are United Shore
Financial Services, LLC doing business as (d/b/a) United Wholesale
Mortgage and Shore Mortgage (48.2%), AmeriHome Mortgage Company,
LLC (28.8%), JPMorgan Chase Bank, N.A. (JPMCB; 12.6%), and various
other originators, each comprising less than 2.1% of the mortgage
loans. Approximately 1.06% of the loans sold to the mortgage loan
seller were acquired by MAXEX Clearing LLC, which purchased such
loans from the related originators or an unaffiliated third party
that directly or indirectly purchased such loans from the related
originators.

The mortgage loans will be serviced or sub-serviced by Cenlar FSB
(77.0%), JPMCB (12.6%), NewRez LLC d/b/a Shellpoint Mortgage
Servicing (SMS; 9.0%), and Quicken Loans, Inc. (1.4%).

Servicing will be transferred from SMS to JPMCB (rated AA with a
Stable trend by DBRS Morningstar) on the servicing transfer date
(April 1, 2020, or a later date) as determined by the issuing
entity and JPMCB. For this transaction, the servicing fee payable
for mortgage loans serviced by JPMCB and SMS (which will be
subsequently serviced by JPMCB), is composed of three separate
components: the aggregate base servicing fee, the aggregate
delinquent servicing fee, and the aggregate additional servicing
fee. These fees vary based on the delinquency status of the related
loan and will be paid from interest collections before distribution
to
the securities.

Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will
act as Securities Administrator and Delaware Trustee, JPMCB, and
Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS
Morningstar) will act as Custodians. Pentalpha Surveillance LLC
will serve as the representations and warranties (R&W) Reviewer.

The Seller intends to retain (directly or through a majority-owned
affiliate) a vertical interest in 5% of the principal amount or
notional amount of all the senior and subordinate certificates to
satisfy the credit risk retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder.

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

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

This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, knowledge qualifiers, and
some R&W providers that may experience financial stress that could
result in the inability to fulfill repurchase obligations. DBRS
Morningstar perceives the framework as more limiting than
traditional lifetime R&W standards in certain DBRS
Morningstar-rated securitizations. To capture the perceived
weaknesses in the R&W framework, DBRS Morningstar reduced certain
originator scores in this pool. A lower originator score results in
increased default and loss assumptions and provides additional
cushions for the rated securities.

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


JP MORGAN 2020-INV1: Moody's Gives B3 Rating on Class B-5-Y Debt
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 34
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust 2020-INV1. The ratings range from Aaa (sf) to
B3 (sf). JPMMT 2020-INV1 is the first JPMMT transaction of 2020
backed by 100% investment property loans.

The certificates are backed by 1,320 predominantly 30-year term,
fully-amortizing, fixed-rate investment property mortgage loans
with a total balance of $479,967,349 as of the February 1, 2020
cut-off date. Similar to prior JPMMT transactions, JPMMT 2020-INV1
includes GSE-eligible mortgage loans (97.98% by loan balance)
mostly originated by United Shore Financial Services, LLC d/b/a
United Wholesale Mortgage and Shore Mortgage, AmeriHome Mortgage
Company, LLC and JPMorgan Chase Bank, National Association
underwritten to the government sponsored enterprises guidelines.
The remaining 2.02% is comprised of prime jumbo non-conforming
investor mortgages purchased by J.P. Morgan Mortgage Acquisition
Corp., sponsor and mortgage loan seller, from various originators
and aggregators. United Shore, AmeriHome and JPMCB originated
48.17%, 28.79% and 12.63% of the mortgage pool, respectively. All
other originators comprise of less than 5% of the mortgage pool.

United Shore, JPMCB, NewRez LLC f/k/a New Penn Financial, LLC d/b/a
Shellpoint Mortgage Servicing, Quicken Loans Inc., and AmeriHome
are the servicers. Shellpoint will act as interim servicer for the
JPMCB mortgage loans until the servicing transfer date, which is
expected to occur on or about April 1, 2020. After the servicing
transfer date, these mortgage loans will be serviced by JPMCB. With
respect to the mortgage loans serviced by United Shore and
AmeriHome, Cenlar FSB will be the subservicer.

The servicing fee for loans serviced by JPMCB, Shellpoint and
United Shore will be based on a step-up incentive fee structure
with a monthly base fee of $40 per loan and additional fees for
delinquent or defaulted loans. All other servicers will be paid a
monthly flat servicing fee equal to one-twelfth of 0.25% of the
remaining principal balance of the mortgage loans. Nationstar
Mortgage LLC (Nationstar, Nationstar Mortgage Holdings Inc. rated
B2) will be the master servicer and Citibank, N.A. will be the
securities administrator and Delaware trustee. Pentalpha
Surveillance LLC will be the representations and warranties breach
reviewer. Distributions of principal and interest and loss
allocations are based on a typical shifting interest structure that
benefits from senior and subordination floors.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2020-INV1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-10-A, 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 Aa1 (sf)

Cl. A-15, Definitive Rating Assigned Aa1 (sf)

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

Cl. A-17, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

Cl. B-5, Definitive Rating Assigned B3 (sf)

Cl. B-5-Y, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 1.26%
and reaches 9.99% at a stress level consistent with its Aaa
ratings.

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included, but were not limited to, adjustments for
origination quality, and the financial strength of the
representation & warranty providers.

Collateral Description

The JPMMT 2020-INV1 transaction is a securitization of 1,320
investment property mortgage loans secured by fixed rate, first
liens on one-to-four family residential investment properties,
planned unit developments, condominiums and townhouses with an
unpaid principal balance of $479,967,349. With the exception of
personal-use loans and the prime jumbo non-conforming, all other
mortgage loans in the pool are not subject to TILA (72.48%) because
each such mortgage loan is an extension of credit primarily for a
business purpose and is not a "covered transaction" as defined in
Section 1026.43(b)(1) of Regulation Z. All the personal-use loans
are "qualified mortgages" under Regulation Z as result of the
temporary provision allowing qualified mortgage status for loans
eligible for purchase, guaranty, or insurance by Fannie Mae and
Freddie Mac (and certain other federal agencies). The sponsor,
directly or through a majority-owned affiliate, intends to retain
an eligible vertical residual interest with a fair value of at
least 5% of the aggregate fair value of the notes issued by the
trust. Such retained classes may be held in the form of one or more
exchangeable certificates.

All the loans have a 20-year (5 loans or 0.26% of UPB), 21-year (1
loan or 0.09% of UPB) 25-year (1 loan or 0.07% of UPB) or a 30-year
original term (1,313 loans or 99.57% of UPB). The weighted average
seasoning of the mortgage pool is 2.68 months. The loans have
strong borrower characteristics with a WA original primary borrower
FICO score of 761 and a WA original combined loan-to-value ratio of
67.6%. In addition, 27.0% of the borrowers are self-employed and
refinance loans comprise about 56.0% of the aggregate pool. The
pool has a high geographic concentration with 48.1% of the
aggregate pool located in California, with 19.0% located in the Los
Angeles-Long Beach-Anaheim, CA MSA and 7.5% located in San
Francisco-Oakland-Hayward, CA MSA. The characteristics of the loans
underlying the pool are generally comparable to other recent prime
RMBS transactions backed primarily by 100% investment property
30-year mortgage loans that it has rated.

Aggregation/Origination Quality

Moody's considers JPMMAC's aggregation platform to be adequate and
it did not apply a separate loss-level adjustment for aggregation
quality. In addition to reviewing JPMMAC as an aggregator, it has
also reviewed the originator(s) contributing a significant
percentage of the collateral pool (above 10%). With two exception
noted below, it did not make an adjustment for GSE-eligible loans,
regardless of the originator, since those loans were underwritten
in accordance with GSE guidelines. Moody's applied an adjustment to
the loss levels for loans originated by Home Point Financial
Corporation (0.86% by balance) due to limited historical
performance data, reduced retail footprints which will limit the
seller's oversight on originations and lack of strong controls to
support recent rapid growth. Furthermore, Quicken (1.42% by
balance) has a higher percentage of early payment defaults than its
peers based on the Fannie Mae and Freddie Mac database. Moody's
applied an adjustment to the loss levels for loans originated by
Quicken due to the relatively worse performance of their
agency-eligible investment property mortgage loans compared to
similar loans from other originators in the Freddie Mac and Fannie
Mae database.

Servicing Arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. In this
transaction, Nationstar Mortgage LLC (Nationstar Mortgage Holdings
Inc. rated B2) will act as the master servicer. The servicers are
required to advance principal and interest on the mortgage loans.
To the extent that the servicers are unable to do so, the master
servicer will be obligated to make such advances. In the event that
the master servicer, Nationstar, is unable to make such advances,
the securities administrator, Citibank (rated Aa3) will be
obligated to do so to the extent such advance is determined by the
securities administrator to be recoverable.

Servicing Fee Framework

The servicing fee for loans serviced by JPMCB, Shellpoint (prior to
the servicing transfer date) and United Shore will be based on a
step-up incentive fee structure with a monthly base fee of $40 per
loan and additional fees for servicing delinquent and defaulted
loans. The incentive structure includes an initial monthly base
servicing fee of $40 for all performing loans and increases
according to a pre-determined delinquent and incentive servicing
fee schedule. The delinquent and incentive servicing fees will be
deducted from the available distribution amount and Class B-6 net
WAC. The other servicers, Quicken and AmeriHome, will be paid a
monthly flat servicing fee equal to one-twelfth of 0.25% of the
remaining principal balance of the mortgage loans. Shellpoint will
act as interim servicer for the JPMCB mortgage loans until the
servicing transfer date, April 1, 2020 or such later date as
determined by the issuing entity and JPMCB.

The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that Moody's has rated.
By establishing a base servicing fee for performing loans that
increases with the delinquency of loans, the fee-for-service
structure aligns monetary incentives to the servicer with the costs
of the servicer. The servicer receives higher fees for
labor-intensive activities that are associated with servicing
delinquent loans, including loss mitigation, than they receive for
servicing a performing loan, which is less labor-intensive. The
fee-for-service compensation is reasonable and adequate for this
transaction because it better aligns the servicer's costs with the
deal's performance. Furthermore, higher fees for the more
labor-intensive tasks make the transfer of these loans to another
servicer easier, should that become necessary. By contrast, in
typical RMBS transactions a servicer can take actions, such as
modifications and prolonged workouts, that increase the value of
its mortgage servicing rights. The transaction does not have a
servicing fee cap, so, in the event of a servicer replacement, any
increase in the base servicing fee beyond the current fee will be
paid out of the available distribution amount.

Third-Party Review

Three third party review firms, AMC Diligence, LLC, Inglet Blair,
LLC and Opus Capital Markets Consultants, LLC (collectively, TPR
firms) verified the accuracy of the loan-level information that
Moody's received from the sponsor. These firms conducted detailed
credit, valuation, regulatory compliance and data integrity reviews
on 100% of the mortgage pool. The TPR results indicated compliance
with the originators' underwriting guidelines for majority of
loans, no material compliance issues, and no appraisal defects.
Overall, the loans that had exceptions to the originators'
underwriting guidelines had strong documented compensating factors
such as low DTIs, low LTVs, high reserves, high FICOs, or clean
payment histories. The TPR firms also identified minor compliance
exceptions for reasons such as inadequate RESPA disclosures (which
do not have assignee liability) but then were cured and disclosed.
Moody's did not make any adjustments to its credit enhancement for
credit quality or regulatory compliance issues.

Furthermore, the property valuation review consisted of reviewing
the valuation materials utilized at origination to ensure the
appraisal report was complete and in conformity with the
underwriting guidelines. The TPR firms also compared third-party
valuation products to the original appraised value to identify a
value variance. The property valuation portion of the TPR was
conducted using, among other third-party valuation methods, a field
review, a third-party collateral desk appraisal, broker price
opinion, automated valuation model or a Collateral Underwriter risk
score. While the TPR secondary third-party valuation product
results generally substantiated the original valuations, certain
loans had secondary valuation review which were performed using
AVMs only. Moody's took this framework into consideration (it
considers AVM valuations to be less accurate than desk reviews and
field reviews) but did not apply a loan level adjustment to the
loss for such loans, since the sample size and valuation result of
the loans that were reviewed using a CDA or a field review (a more
accurate third-party valuation product) and a CU risk score less
than or equal to 2.5 (applicable to GSE-eligible loans only) were
sufficient.

R&W Framework

JPMMT 2020-INV1's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework considers the financial strength of the
R&W providers, scope of R&Ws (including qualifiers and sunsets) and
enforcement mechanisms. The R&W providers vary in financial
strength. The creditworthiness of the R&W provider determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment grade rated R&W provider lends substantial
strength to its R&Ws. It analyzes the impact of less creditworthy
R&W providers case by case, in conjunction with other aspects of
the transaction.

Moody's made no adjustments to the loans for which JPMCB (Aa2), its
affiliate, JPMMAC provided R&Ws since they are highly rated and/or
financially stable entities. Furthermore, the R&W provider,
Quicken, is rated Ba1, has a strong credit profile and is a
financially stable entity. However, it applied an adjustment to its
expected losses to account for the risk that Quicken may be unable
to repurchase defective loans in a stressed economic environment in
which a substantial portion of the loans breach the R&Ws, given
that it is a non-bank entity with a monoline business (mortgage
origination and servicing) that is highly correlated with the
economy. It tempered this adjustment by taking into account
Quicken's relative financial strength and the strong TPR results
which suggest a lower probability that poorly performing mortgage
loans will be found defective following review by the independent
reviewer.

In contrast, the rest of the R&W providers are unrated and/or
financially weaker entities. It applied an adjustment to the loans
for which these entities provided R&Ws. JPMMAC will make the
mortgage loan representations and warranties with respect to
mortgage loans originated by certain originators (27 loans or
approx. 2.19% by loan balance). For loans that JPMMAC acquired via
the MAXEX Clearing LLC platform, MaxEx under the assignment,
assumption and recognition agreement with JPMMAC, will make the
R&Ws. The R&Ws provided by MaxEx to JPMMAC and assigned to the
trust are in line with the R&Ws found in other JPMMT transactions.

No other party will backstop or be responsible for backstopping any
R&W providers who may become financially incapable of repurchasing
mortgage loans. With respect to the mortgage loan R&Ws made by such
originators or the aggregator, as applicable, as of a date prior to
the closing date, JPMMAC will make a "gap" representation covering
the period from the date as of which such R&W is made by such
originator or the aggregator, as applicable, to the cut-off date or
closing date, as applicable. Additionally, no party will be
required to repurchase or substitute any mortgage loan until such
loan has gone through the review process.

Trustee and Master Servicer

The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance principal and interest if the
servicer fails to do so. If the master servicer fails to make the
required advance, the securities administrator is obligated to make
such advance.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.85% of the closing pool balance,
and a subordination lock-out amount of 0.75% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to its methodology.

In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below
12.00% of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.

The Class A-11 Certificates will have a pass-through rate that will
vary directly with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. The floating rate note coupons
reference LIBOR which is earmarked for withdrawal after 2021.
Intending to facilitate transition to an alternative reference
rate, the transaction documents incorporate fallback language
addressing both the timing of transition and the choice of
alternative reference rate. The fallback language is generally
consistent with the Federal Reserve's Alternative Reference Rates
Committee template language, published on May 31, 2019.

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

Down

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings 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.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
October 2019.


LBUBS COMMERCIAL 2006-C6: Moody's Affirms Class A-J Certs at Caa3
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in LBUBS Commercial Mortgage Trust 2006-C6, Commercial Mortgage
Pass-Through Certificates, Series 2006-C6 as follows:

Class A-J, Affirmed Caa3 (sf); previously on November 14, 2019
Downgraded to Caa3 (sf)

Class X-CL*, Affirmed C (sf); previously on November 14, 2019
Affirmed C (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The rating on the P&I class was affirmed because the rating is
consistent with Moody's expected loss.

The rating on the IO class was affirmed based on the credit quality
of the referenced classes.

Moody's rating action reflects a base expected loss of 35.4% of the
current pooled balance, compared to 21.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 15.0% of the
original pooled balance, compared to 14.5% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 60% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class and the
recovery as a pay down of principal to the most senior class.

DEAL PERFORMANCE

As of the February 18, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 96.4% to $108.1
million from $3.0 billion at securitization. The certificates are
collateralized by 3 mortgage loans ranging in size from less than
1% to 60% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, the same as at Moody's last review.

Two loans, constituting 40% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

Thirty-eight loans have been liquidated from the pool, resulting in
an aggregate realized loss of $417.7 million (for an average loss
severity of 64.6%). One loan, constituting 60% of the pool, is
currently in special servicing. The specially serviced loan is the
is the Greenbrier Mall Loan ($64.5 million -- 59.6% of the pool),
which is secured by an 896,000 square foot (SF) regional mall in
Chesapeake, Virginia. The mall is anchored by J.C. Penney, Macy's
and Dillard's, of which J.C. Penney and Macy's are part of the
collateral. There is also one vacant non-collateral anchor, which
was a former Sears that closed in 2018. The loan first transferred
to special servicing in May 2016 for imminent default and was
modified with a three-year maturity extension through December
2019. The loan returned to the master servicer in May 2017.
However, the loan transferred back to special servicing in May 2019
due to imminent default. As of September 2019, the property was 95%
leased, compared to 96% in December 2018. CBL, the sponsor,
categorized the mall as a Tier 2 Asset, indicating the property's
sales per square foot (psf) are between $300 and $375 psf. The
property faces strong competition as there are four other malls
within a fifteen-mile radius.

The two performing loans represent 40.4% of the pool balance. The
largest loan is the Eagle Road Shopping Center Loan ($43.7 million
-- 40.4% of the pool), which is secured by a 242,000 SF anchored
retail center located in Danbury, Connecticut. As of September
2019, the property was 100% leased, unchanged since securitization.
The three tenants at the property are Lowe's, Best Buy, and
Prestone Products. The loan has remained current on its debt
service payments. Moody's LTV and stressed DSCR are 118% and 0.85X,
respectively, unchanged since the last review.

The second performing loan is the Rite Aid -- Elko Loan ($34,931 --
0.01% of the pool), which is secured by a 29,860 SF retail property
which is 100% leased to Rite Aid and subleased to Cal Ranch Stores.
Discussions are underway with the subtenant to take over the space
when the lease expires. Due to the single tenant exposure, Moody's
value utilized a lit/dark analysis. The loan is fully amortizing,
has amortized 99% since securitization and matures in March 2020.
Moody's LTV and stressed DSCR are 1% and greater than 4.00X,
respectively.


LUNAR AIRCRAFT 2020-1: Fitch Assigns BBsf Rating on Class C Debt
----------------------------------------------------------------
Fitch Ratings assigned final ratings to Lunar Aircraft 2020-1
Limited.

RATING ACTIONS

Lunar Aircraft 2020-1 Limited

Class A; LT Asf New Rating;   previously at A(EXP)sf

Class B; LT BBBsf New Rating; previously at BBB(EXP)sf

Class C; LT BBsf New Rating;  previously at BB(EXP)sf

TRANSACTION SUMMARY

Fitch rates the aircraft operating lease ABS secured notes issued
by LUNAR Aircraft 2020-1 Limited (LUNAR Ireland) and LUNAR Aircraft
2020-1 LLC (LUNAR USA), collectively LUNAR. LUNAR uses proceeds of
the initial notes to acquire a pool of 18 midlife aircraft from
LUNAR Aircraft HoldCo Limited (LAHL) and certain of its
subsidiaries or affiliates and LUNAR Ireland.

The pool will be serviced by DVB Bank SE, London Branch Aviation
Asset Management (DVB), with the notes secured by each aircraft's
future lease payments and residual cash flows. Additionally, an
affiliate of Sculptor Asset Management will act as the asset
manager for the investor and will acquire the E notes.

This is the first Fitch-rated aircraft ABS serviced by DVB and
third ABS transaction serviced by DVB. In 2019, DVB was acquired by
MUFG Bank Ltd. (MUFG; A/Negative), a subsidiary of Mitsubishi UFJ
Financial Group, Inc. and BOT Lease, Co., Ltd (BOT Lease), an
affiliate of MUFG. The acquisition is expected to be completed in
1H20.

KEY RATING DRIVERS

Asset Quality — Mostly Liquid Narrowbody — Positive: The pool
is largely composed of liquid B737 and A320 family current
generation aircraft including 17 in-demand narrowbodies and one
widebody ranging from mid to end-of-life, with a weighted average
(WA) age of 9.2 years. The single widebody aircraft is a 10.7 year
old A330-300 totaling 12.75% of the pool, on lease to Finnair with
a remaining term of 6.1 years. Widebodies are prone to higher
transition costs, and this variant is considered a Tier 1 asset
given current demand and production dynamics.

Lease Term and Maturity Schedule — Concentrated: The WA remaining
lease term is 3.9 years, lower than recently Fitch-rated
transactions. Two leases comes due in 2020 totaling 11.5% of the
pool, four (17.6%) in 2021, and three (15.3%) in 2022. The
Finnair-leased A330-300 lease expires in 2026, and has the largest
contracted cash flow of 23.3% for the pool.

Operational and Servicing Risk — Adequate Servicing Capability:
Fitch believes DVB, supported by their related DVB aviation finance
groups, will be able to collect lease payments, remarket and
repossess aircraft in an event of lessee default, and procure
maintenance to retain values and ensure stable performance. Fitch
considers DVB to be a capable servicer as evidenced by their
servicing experience and performance of two serviced ABS
transactions and other managed aviation assets. MUFG, the parent of
DVB, is currently rated 'A'/Outlook Negative by Fitch.

Lessee Credit Risk — Weak Credits: The pool includes 16 lessees
with two airlines rated by Fitch (WestJet, rated BB-/Positive, and
TigerAir Australia [Parent Virgin Australia, rated B+/Stable]) with
three aircraft totaling 19.0%, and two flag carriers (Finnair and
Kenya Airlines). The majority of airlines are either unrated or
speculative-grade credits, typical of aircraft ABS. Fitch assumed a
'B' or 'CCC' Issuer Default Rating (IDR) for unrated lessees and
stressed IDRs downward in recessions, to reflect default risk in
the pool. Ratings were further stressed during future assumed
recessions and once aircraft reach Tier 3 classification. The
assumed 'CCC' concentration in the pool is 31.9%, in line with
recently rated aircraft ABS.

Country Credit Risk — Neutral: The largest country concentration
is Russia (13.4%; Long-Term IDR BBB-/Stable) comprised of two
aircraft leased to Nordwind Airlines (9.2%) and S7 Airlines (4.2%).
The second largest is the Finland (12.6%) with one aircraft,
followed by India (12.1%), Turkey (10.0%) and Chile (7.9%). The top
five countries total 55.9% with 74.7% of lessees concentrated in
emerging markets, with 28.6% in Emerging Asia Pacific (APAC) and
25.4% in Emerging Europe and CIS.

Transaction Structure — Consistent: Credit enhancement comprises
overcollateralization, a liquidity facility and a cash reserve. The
initial loan to value ratios for series A, B and C notes are 66.9%,
77.9% and 84.0%, respectively, based on the average of the
maintenance-adjusted base values.

Structural Protections — Adequate: Each series of notes makes
full payment of interest and principal in the primary scenarios,
commensurate with their expected ratings after applying Fitch's
stressed asset and liability assumptions. Fitch has also created
multiple alternative cash flows to evaluate the structure
sensitivity to different scenarios, detailed later in the report.

Aviation Market Cyclicality: Commercial aviation has been subject
to significant cyclicality due to macroeconomic and geopolitical
events. Fitch's analysis assumes multiple periods of significant
volatility over the life of the transaction. Downturns are
typically marked by reduced aircraft utilization rates, values and
lease rates, as well as deteriorating lessee credit quality. Fitch
employs aircraft value stresses in its analysis, which takes into
account age and marketability of aircraft in the portfolio to
simulate the decline in lease rates expected over the course of an
aviation market downturn and the corresponding decrease to
potential residual sales proceeds.

Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum cap of 'Asf' due to the factors discussed and the
potential volatility they produce.

RATING SENSITIVITIES

The performance of aircraft operating lease securitizations can be
affected by various factors, which, in turn, could have an impact
on the assigned ratings. Fitch conducted multiple rating
sensitivity analyses to evaluate the impact of changes to a number
of the variables in the analysis. As stated, these sensitivity
scenarios were also considered in determining Fitch's expected
ratings.

Technological Cliff Stress Scenario

All aircraft in the pool face replacement programs over the next
decade. Fitch believes the current generation aircraft in the pool
remain well insulated due to large operator bases and long lead
times for full replacement. This scenario simulates a drop in
demand (and associated values). The first recession was assumed to
occur two years following close and all recessionary value decline
stresses were increased by 10% at each rating category. Fitch
additionally utilized a 25% residual assumption rather than the
base level of 50% to stress end-of-life proceeds for each asset in
the pool. Lease rates drop under this scenario, and aircraft are
sold for scrap at end of useful lives.

Under this scenario, all classes fail at their respective rating
category. As a result, class A would result in multiple categories
of downgrades, while class B and C would result in one level below
their rating category. This is the most stressful sensitivity to
this transaction because of the heavier reliance of residual
proceeds.

LRF Stress Scenarios

Fitch ran a sensitivity scenario that capped LRFs for all aircraft.
Fitch capped all leases at a 1.00% LRF. This is the
criteria-assumed LRF at age eight. After this point, leases in
prior pools have fallen notably below Fitch's curve. While the
curve normally increases and is then capped at 1.65% in runs under
these scenarios, no lease will be executed at a LRF above 1.00%.

Under this scenario, all classes fail at their respective rating
category. As a result, such a result could result in a one level
category downgrade of each class below their rating category.

Coronavirus Stress Scenario

Health outbreaks, such as the Coronavirus, can deter and restrict
travel to certain regions. To account for the most recent health
outbreak, with the vast majority of cases in Asia, more
specifically China, Fitch ran a sensitivity that stressed the
assumed ratings of any APAC lessees to 'CCC' and any lessees in
China to 'D'. This pool has over 16% exposure to the APAC region
more closely associated with China.

Under this scenario, all classes are able to pass at their
respective ratings.


MERRILL LYNCH 2008-C1: Moody's Lowers Class G Certs to Caa2
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the ratings on two classes in Merrill Lynch Mortgage
Trust 2008-C1, Commercial Mortgage Pass-Through Certificates,
Series 2008-C1, as follows:

Cl. F, Downgraded to B2 (sf); previously on Apr 9, 2019 Affirmed
Ba3 (sf)

Cl. G, Downgraded to Caa2 (sf); previously on Apr 9, 2019
Downgraded to B3 (sf)

Cl. H, Affirmed C (sf); previously on Apr 9, 2019 Downgraded to C
(sf)

Cl. J, Affirmed C (sf); previously on Apr 9, 2019 Affirmed C (sf)

Cl. X*, Affirmed C (sf); previously on Apr 9, 2019 Downgraded to C
(sf)

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on two classes, Class H and Class J, were affirmed
because the ratings are consistent with Moody's expected loss.

The ratings on two classes, Class F and Class G, were downgraded
due to higher anticipated losses and interest shortfalls concerns
due to the pool's significant exposure to specially serviced loans.
Two of the remaining four loans, or 89% of the pool balance, are in
special servicing.

The rating on the IO Class, Class X, was affirmed based on the
credit quality of the referenced classes.

Moody's rating action reflects a base expected loss of 55.0% of the
current pooled balance, compared to 46.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.0% of the
original pooled balance, compared to 7.7% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only class was "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating the interest-only class were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 88.8% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior classes and the recovery
as a pay down of principal to the most senior classes.

DEAL PERFORMANCE

As of the February 14, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $33.9 million
from $948.8 million at securitization. The certificates are
collateralized by 4 mortgage loans. One loan, constituting 6.6% of
the pool, has defeased and is secured by US government securities.
Two loans, constituting 88.8% of the pool, are currently in special
servicing and both loans have been deemed non-recoverable by the
master servicer.

Seventeen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $57.7 million (for an average loss
severity of 41.7%). As of the February 2020 remittance statement,
cumulative interest shortfalls impacted all the remaining principal
and interest classes. Moody's anticipates interest shortfalls will
continue because of the exposure to specially serviced loans that
have been deemed non-recoverable. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal entitlement reductions, loan modifications and
extraordinary trust expenses.

The largest specially serviced loan is the Landmark Towers Loan
($16.0 million -- 47.7% of the pool), which is secured by the
commercial/office portion of a 25-story building and an adjacent
parking structure. The building includes a residential component on
floors 21-25, which is not part of the collateral. The loan
transferred to special servicing in June 2017 due to imminent
default after property's former largest tenant gave notice they
vacate at their lease expiration. The loan had an original maturity
date in January 2018. As of December 2019, the property was only
23% leased, compared to 44% in December 2018. The foreclosure sale
was held in April 2019 and the property is now REO. The special
servicer indicated they are working to lease up and stabilize the
asset.

The second largest specially serviced loan is the Stony Brook South
Loan ($14.1 million -- 41.6% of the pool), which is secured by a
145,000 SF retail property in Louisville, Kentucky. The loan most
recently transferred to special servicing in August 2017 due to
imminent default ahead of its October 2017 maturity date. A
receiver was then appointed in January 2018 and subsequently
extended Planet Fitness, the property's second largest tenant, an
additional five years. As of September 2019, the property was 99%
leased, compared to 95% in December 2017. The special servicer
indicated that the receiver entered into a purchase and sale
agreement and are working to correct document defects in order to
finalize a closing date.

The one non-defeased, performing loan in the pool is the Beehive
Self Storage Loan ($1.6 million -- 4.6% of the pool), which is
secured by a self-storage facility located in Tooele, Utah. As of
September 2018, the property was 98% occupied, unchanged from prior
review. The loan is fully amortized, has amortized 44% since
securitization and matures in January 2027. Moody's LTV and
stressed DSCR are 41% and 2.58X, respectively.


MORGAN STANLEY 2007-TOP25: Fitch Affirms D Ratings on 11 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I
Trust 2007-TOP25 commercial mortgage pass-through certificates.

Morgan Stanley Capital I Trust 2007-TOP25

  - Class A-J 61751XAG5; LT Bsf Affirmed

  - Class B 61751XAH3;   LT  CCCsf Affirmed

  - Class C 61751XAJ9;   LT  Csf Affirmed

  - Class D 61751XAK6;   LT  Dsf Affirmed

  - Class E 61751XAL4;   LT  Dsf Affirmed

  - Class F 61751XAM2;   LT  Dsf Affirmed

  - Class G 61751XAN0;   LT  Dsf Affirmed

  - Class H 61751XAP5;   LT  Dsf Affirmed

  - Class J 61751XAQ3;   LT  Dsf Affirmed

  - Class K 61751XAR1;   LT  Dsf Affirmed

  - Class L 61751XAS9;   LT  Dsf Affirmed

  - Class M 61751XAT7;   LT  Dsf Affirmed

  - Class N 61751XAU4;   LT  Dsf Affirmed

  - Class O 61751XAV2;   LT  Dsf Affirmed

KEY RATING DRIVERS

Stable Loss Expectations/High Concentration of Specially Serviced
Loans/Assets: The affirmations are due to the stable, but high loss
expectations and the greater certainty of losses from the specially
serviced assets affecting the remaining classes. The pool is
adversely selected with only eight individual loans or assets
remaining. The remaining pool is either REO (16.3% of the remaining
pool balance), in foreclosure (64.9%), or performing (18.9%). The
performing loans include one defeased loan (0.2%), two fully
amortizing loans (4.2%), and three performing balloon loans
(14.4%). Due to the highly concentrated nature of the pool, Fitch
performed a sensitivity and liquidation analysis, which grouped the
remaining loans based on their current status and collateral
quality and ranked them by their perceived likelihood of repayment
and/or loss expectations. The ratings reflect this sensitivity
analysis.

Increased Credit Enhancement: Credit enhancement has improved since
Fitch's last rating action due to the disposition of two loans
(8.5%) with better than expected recoveries. As of the February
2020 distribution date, the pool's aggregate principal balance has
been reduced by 93.0% to $108.1 million from $1.6 billion at
issuance. To date, the pool has experienced $97.8 million in
realized losses with interest shortfalls affecting classes D, E, F,
and P.

Two Largest Loans/Assets are in Special Servicing: The largest
remaining loan, Shoppes at Park Place (64.9%) is a 325,270 sf
retail center in Pinellas Park, FL. The property is shadow-anchored
by Target and Home Depot. Major collateral tenants include Regal
Cinemas, American Signature Furniture and Marshalls. Per the
October 2019 rent roll, the property is 95% occupied with nine
leases (19.3% of NRA) rolling in 2020 and eleven leases (30.9% of
NRA), including American Signature Furniture and Marshalls, rolling
in 2021. The loan transferred to special servicing in January 2017
for maturity default and the servicer is pursuing foreclosure.
Litigation between the borrower and the servicer went to trial in
late 2019 and is expected to be resolved in early 2020.

The second largest remaining asset is Romeoville Towne Center
(16.3%), a 108,242 sf retail center in the Chicago metropolitan
area. The loan transferred to special servicing in March 2013 after
the property's grocery anchor, Dominick's (60.5% NRA), went dark.
The property became REO in February 2019 and the servicer is
working to lease up the empty anchor space. Per the February 2019
rent roll, the property is 36% occupied.

RATING SENSITIVITIES

The Negative Outlook on class A-J reflects the continued concerns
with the largest remaining loan, Shoppes at Park Place, where there
is significant upcoming tenant rollover and pending litigation
between the borrower and the special servicer.

Factors that lead to downgrades include an increase in pool level
losses from underperforming or specially serviced loans/assets.

A downgrade of class A-J is likely with continued declining
performance of the specially serviced loans/assets, or if
performing loans transfer to special servicing. Downgrades of the
distressed classes to 'Dsf' are expected when losses on the
specially serviced loans are realized.

Factors that lead to upgrades include stable to improved asset
performance or better than expected recoveries on specially
serviced assets coupled with paydown and/or defeasance.

Upgrades to class A-J and the distressed classes are unlikely due
to the portfolio's concentration, adverse selection and significant
percentage of specially serviced loans.

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

No third-party due diligence was provided to or reviewed by Fitch
in relation to this rating action.

ESG CONSIDERATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).


MORGAN STANLEY 2015-C22: Fitch Affirms Class F Certs at 'CCCsf'
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of
America Merrill Lynch Trust 2015-C22 commercial mortgage
pass-through certificates.

MSBAM 2015-C22

  - Class A-1 61690FAH6; LT PIFsf Paid In Full

  - Class A-2 61690FAJ2; LT AAAsf Affirmed

  - Class A-3 61690FAL7; LT AAAsf Affirmed

  - Class A-4 61690FAM5; LT AAAsf Affirmed

  - Class A-S 61690FAP8; LT AAAsf Affirmed

  - Class A-SB 61690FAK9; LT AAAsf Affirmed
  
  - Class B 61690FAQ6; LT AA-sf Affirmed

  - Class C 61690FAS2; LT A-sf Affirmed

  - Class D 61690FAB9; LT BBB-sf Affirmed
  
  - Class E 61690FAC7; LT Bsf Affirmed

  - Class F 61690FAD5; LT CCCsf Affirmed

  - Class PST 61690FAR4; LT A-sf Affirmed

  - Class X-A 61690FAN3; LT AAAsf Affirmed

  - Class X-B 61690FAA1; LT AA-sf Affirmed

KEY RATING DRIVERS

Increasing Loss Expectations: While the majority of the pool
continues to exhibit generally stable performance, Fitch's loss
expectations have increased since the last rating action, primarily
due to continued performance declines surrounding the Fitch Loans
of Concern. Fitch has designated six loans (7.8% of pool) as FLOCs,
including two specially serviced loans (4.9%), the largest of which
is a new transfer since the last rating action in March 2019. The
higher loss expectations are slightly offset by the increased
defeasance and continued amortization since the last rating action.
Additionally, since Fitch's last rating action, the Saucon Valley
Plaza loan (1.3%) was resolved and returned to the master servicer
in June 2019 after spending less than one year in special servicing
following a technical default. The loan remains current and is
scheduled to mature in April 2020. The servicer-reported NOI debt
service coverage ratio (DSCR) for the nine months ended September
2019 improved to 1.57x from 1.40x at YE 2018.

Slight Improvement in Credit Enhancement: As of the February 2020
distribution date, the pool's aggregate principal balance has paid
down by 5% to $1.04 billion from $1.11 billion at issuance. Six
loans (4.6% of pool) have been defeased, up from three loans (3.6%)
at the last rating action. The pool has experienced $10.8 million
(1% of original pool balance) in realized losses since issuance
from the liquidation of the Pathmark - Linden asset in June 2018.
As a result of this liquidation, credit enhancement for most of the
junior classes remains below issuance levels. Six loans (28.8%) are
full-term, interest-only, and 11 loans (11.8%) still have a partial
interest-only component during their remaining loan term, compared
with 34.5% of the original pool at issuance.

Three loans are scheduled to mature in 2020 (6.3%), including the
Hilton Houston Westchase (4.2%), Saucon Valley Plaza (1.3%) and
Towamencin Corporate Center (0.9%).

Specially Serviced Loans: The fifth largest loan in the pool,
Hilton Houston Westchase (4.2% of pool), was transferred to special
servicing in February 2020 for imminent maturity default. The loan
is secured by a 297-key, full-service Hilton hotel located in
Houston's Energy Corridor. The loan, which remains current, had
been on the servicer's watchlist since February 2018, most recently
due to DSCR declines and its upcoming scheduled maturity date in
March 2020. As property performance has declined substantially
since issuance, Fitch expects that the loan will default at its
maturity date. The YE 2019 NOI was approximately 56% below the
issuer's underwritten NOI, largely mirroring a market-wide trend as
a result of the decline in oil and gas prices. RevPAR for the
property's competitive set as of the TTM period ended October 2019
had declined approximately 29% from TTM January 2015. The
property's occupancy, ADR and RevPAR for the TTM October 2019
period were 72.8%, $116 and $84, respectively, compared to 71.1%,
$119 and $85 at YE 2018; 66%, $135 and $89 at YE 2017; 70.1%, $133
and $93 at YE 2016; and 81.3%, $145 and $118 as of TTM January 2015
at the time of issuance. The servicer-reported NOI DSCR was 0.87x
as of TTM September 2019, compared to 0.84x at YE 2018, 1.15x at YE
2017 and 1.40x at YE 2016. The partial interest-only loan began
amortizing in April 2017. The sponsor continues to fund the debt
service shortfalls despite continued market and property-level
performance declines. According to servicer commentary, the
borrower has implemented an action plan for the property to
increase performance.

The Sheraton Four Points College Station loan (0.7% of pool) is
secured by a 126-key, full-service hotel located in College
Station, TX, near Texas A&M University. The loan was transferred to
special servicing in February 2019 for payment default and remains
delinquent for its December 2018 payment. Property-level
performance has declined substantially since issuance, as the hotel
reported negative cash flow for the nine months ended September
2019. The servicer-reported YTD September 2019 NOI DSCR was -0.92x,
down significantly from 1.46x at YE 2018. According to the special
servicer, a receiver was appointed in April 2019 and is addressing
capital issues and repairs, staffing and sales at the property. The
special servicer continues to determine the workout strategy at
this time, but anticipates either a receiver's sale within the next
six months, or the asset will be taken REO with the possibility of
reflagging and stabilizing prior to an REO sale.

Fitch Loans of Concern: Four additional, non-specially serviced
loans (combined, 2.9% of pool) were flagged as FLOCs due to cash
flow and/or occupancy declines. The largest non-specially serviced
FLOC, DoubleTree by Hilton Hotel Chicago - Alsip (1.5% of pool), is
secured by a 193-key, full-service hotel located in Alsip, IL,
approximately 20 miles south of the Chicago CBD. The loan has been
on the servicer's watchlist since October 2019 for DSCR declines.
According to the servicer, cash flow has recently declined due to
lower food and beverage revenue and room revenue, along with
increased general and administrative expenses. The
servicer-reported TTM September 2019 NOI was down 16% from YE 2018.
The servicer-reported TTM September 2019 NOI DSCR was 1.42x, down
from 1.70x at YE 2018. Servicer commentary indicates that the
property's performance is average in comparison to similar hotels
in the area. As of the November 2019 STR report, the hotel was
outperforming its competitive set in terms of occupancy, ADR and
RevPAR. The hotel reported TTM November 2019 occupancy, ADR and
RevPAR of 76.2%, $123 and $94, respectively, compared to 77.6%,
$122 and $95 at YE 2018.

The other non-specially serviced FLOCs outside of the top 15
(combined, 1.5%) include two loans secured by retail properties and
one loan secured by a hotel property that were flagged for declines
in occupancy and/or cash flow.

Pool and Loan Concentrations: Loans secured by retail properties
represent 32% of the pool, including four loans (14.6%) in the top
15. However, none of the loans are secured by regional mall
properties. Loans secured by hotel properties represent 23.2% of
the pool by balance, including four loans (18.7% of pool) in the
top 15.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes A-2 through C reflect the
relatively stable performance of the majority of the pool. Factors
that lead to upgrades would include stable to improved asset
performance coupled with paydown and/or defeasance. Upgrades of
classes B through D may occur with significant improvement in
credit enhancement and/or defeasance but would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is a likelihood for interest shortfalls. Upgrades to the
below-investment grade rated classes are not likely given the
additional losses expected from the specially serviced Hilton
Houston Westchase and Four Points College Station loans, but may
occur in the later years of the transaction should credit
enhancement increase and there are minimal FLOCs.

The Negative Rating Outlooks on classes D and E reflect the
reduction in credit enhancement, the transfer of the Hilton Houston
Westchase loan to special servicing since the last rating action,
as well as the continued performance issues with the FLOCs. Factors
that lead to downgrades include an increase in pool level losses
from underperforming or specially serviced loans. Downgrades to the
senior classes A-2 through C are not likely due to the position in
the capital structure and the high credit enhancement or
defeasance. Downgrades to class F would occur as losses are
realized. Should the specially serviced loans get resolved, the
Negative Rating Outlooks on classes D and E may return to Stable
Outlooks.

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

No third-party due diligence was provided or reviewed in relation
to this rating.

ESG CONSIDERATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).


NEW RESIDENTIAL 2020-2: Moody's Gives (P)Ba2 Rating to Cl. B-7 Debt
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 33
classes of notes issued by New Residential Mortgage Loan Trust
2020-2. New Residential Mortgage Loan Trust 2020-2 is a
securitization of seasoned performing and re-performing
adjustable-rate residential mortgage loans which the seller has
previously purchased or will purchase on the closing date. Most of
the collateral was purchased in connection with the termination of
various securitization trusts. The collateral pool is comprised of
4,296 mortgage loans with an aggregate outstanding balance of
$476,613,725 (excluding deferred portion of $236,555). There is no
PRA balance for this pool.

As in other New Residential deals, the collateral is highly
seasoned with a significant history of loan performance. Weighted
average loan seasoning is 185 months, the weighted average updated
FICO score is 702 and the weighted average current loan to value
ratio is 50.07%.

The complete rating action is as follows:

Issuer: New Residential Mortgage Loan Trust 2020-2

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

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

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

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

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

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

Cl. A-4, Provisional Rating Assigned (P)Aa2 (sf)

Cl. A-5, Provisional Rating Assigned (P)Aa1 (sf)

Cl. A-6, Provisional Rating Assigned (P)Aa2 (sf)

Cl. B-1, Provisional Rating Assigned (P)Aa1 (sf)

Cl. B-1A, Provisional Rating Assigned (P)Aa1 (sf)

Cl. B-1B, Provisional Rating Assigned (P)Aa1 (sf)

Cl. B-1C, Provisional Rating Assigned (P)Aa1 (sf)

Cl. B-1D, Provisional Rating Assigned (P)Aa1 (sf)

Cl. B-2, Provisional Rating Assigned (P)Aa3 (sf)

Cl. B-2A, Provisional Rating Assigned (P)Aa3 (sf)

Cl. B-2B, Provisional Rating Assigned (P)Aa3 (sf)

Cl. B-2C, Provisional Rating Assigned (P)Aa3 (sf)

Cl. B-2D, Provisional Rating Assigned (P)Aa3 (sf)

Cl. B-3, Provisional Rating Assigned (P)A3 (sf)

Cl. B-3A, Provisional Rating Assigned (P)A3 (sf)

Cl. B-3B, Provisional Rating Assigned (P)A3 (sf)

Cl. B-3C, Provisional Rating Assigned (P)A3 (sf)

Cl. B-4, Provisional Rating Assigned (P)Baa3 (sf)

Cl. B-4A, Provisional Rating Assigned (P)Baa3 (sf)

Cl. B-4B, Provisional Rating Assigned (P)Baa3 (sf)

Cl. B-4C, Provisional Rating Assigned (P)Baa3 (sf)

Cl. B-5, Provisional Rating Assigned (P)Ba3 (sf)

Cl. B-5A, Provisional Rating Assigned (P)Ba3 (sf)

Cl. B-5B, Provisional Rating Assigned (P)Ba3 (sf)

Cl. B-5C, Provisional Rating Assigned (P)Ba3 (sf)

Cl. B-5D, Provisional Rating Assigned (P)Ba3 (sf)

Cl. B-7, Provisional Rating Assigned (P)Ba2 (sf)

RATINGS RATIONALE

Its losses on the collateral pool equal 2.00% in an expected
scenario and reach 12.00% at a stress level consistent with the Aaa
ratings on the senior classes. Moody's based its expected losses
for the pool on its estimates of (1) the default rate on the
remaining balance of the loans and (2) the principal recovery rate
on the defaulted balances. The final expected losses for the pool
reflect the third-party review (TPR) findings and its assessment of
the representations and warranties framework for this transaction.
Also, the transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest. As
a result of this provision, Moody's increased its expected losses
for the pool.

To estimate the losses on the pool, Moody's used an approach
similar to its surveillance approach. Under this approach, it
applies expected annual delinquency rates, conditional prepayment
rates, loss severity rates and other variables to estimate future
losses on the pool. Its assumptions on these variables are based on
the observed performance of seasoned modified and non-modified
loans, the collateral attributes of the pool including the
percentage of loans that were delinquent in the past 36 months. For
this pool, Moody's used default burnout assumptions similar to
those detailed in its "US RMBS Surveillance Methodology" for Alt-A
loans originated pre-2005. It then aggregated the delinquencies and
converted them to losses by applying pool-specific lifetime default
frequency and loss severity assumptions.

Collateral Description

NRMLT 2020-2 is a securitization of 4,296 seasoned performing and
re-performing fixed-rate residential mortgage loans which the
seller, NRZ Sponsor IX LLC, has purchased in connection with the
termination of various securitization trusts. Similar to prior
NRMLT transactions it has rated, nearly all of the collateral was
sourced from terminated securitizations. Approximately 4.9% of the
loans had previously been modified.

The updated value of properties in this pool were provided by a
third-party firm using a home data index and/or an updated broker
price opinion. BPOs were provided for a sample of 682 out of the
4,296 properties contained within the securitization. HDI values
were provided for all properties contained within the
securitization. The weighted average updated LTV ratio on the
collateral is 50.07% (weighted average updated LTV ratio is
calculated using the issuer provided updated BPOs or haircutted
HDI), implying an average of 49.93% borrower equity in the
properties.

Third-Party Review and Representations & Warranties

Two third-party due diligence providers, AMC and Recovco, conducted
a regulatory compliance review on a sample of 1,258 and 657
seasoned mortgage loans respectively for the initial due diligence
pool. The regulatory compliance review consisted of a review of
compliance with the federal Truth in Lending Act as implemented by
Regulation Z, the federal Real Estate Settlement Procedures Act as
implemented by Regulation X, the disclosure requirements and
prohibitions of Section 50(a)(6), Article XVI of the Texas
Constitution, federal, state and local anti-predatory regulations,
federal and state specific late charge and prepayment penalty
regulations, and document review.

AMC found that 374 out of 1,258 loans had compliance exceptions
with rating agency grade C or D. Recovco reviewed 657 loans and 108
loans have ratings of C or D. Based on its analysis of the TPR
reports, Moody's determined that a portion of the loans with some
cited violations are at enhanced risk of having violated TILA
through an under-disclosure of the finance charges or other
disclosure deficiencies. Although the TPR report indicated that the
statute of limitations for borrowers to rescind their loans has
already passed, borrowers can still raise these legal claims in
defense against foreclosure as a set off or recoupment and win
damages that can reduce the amount of the foreclosure proceeds.
Such damages include up to $4,000 in statutory damages, borrowers'
legal fees and other actual damages. Moody's increased its losses
for these loans to account for such damages.

AMC and Recovco reviewed the findings of various title search
reports covering 436 and 293 mortgage loans respectively in the
preliminary sample population in order to confirm the first lien
position of the related mortgages. Overall, AMC's review confirmed
that 434 mortgages were in first lien position. For the two
remaining loans reviewed by AMC supplemental searches and the final
title policy at loan origination was accepted to be proof of a
first lien position. Recovco reported that the 293 out of 293
mortgage loans it reviewed were in first-lien position.

The seller, NRZ Sponsor IX LLC, is providing a representation and
warranty for missing mortgage files. To the extent that the master
servicer, related servicer or depositor has actual knowledge, or a
responsible officer of the Indenture Trustee has received written
notice, of a defective or missing mortgage loan document or a
breach of a representation or warranty regarding the completeness
of the mortgage file or the accuracy of the mortgage loan
documents, and such missing document, defect or breach is
preventing or materially delaying the (a) realization against the
related mortgaged property through foreclosure or similar loss
mitigation activity or (b) processing of any title claim under the
related title insurance policy, the party with such actual
knowledge will give written notice of such breach, defect or
missing document, as applicable, to the seller, indenture trustee,
depositor, master servicer and related services. Upon notification
of a missing or defective mortgage loan file, the seller will have
120 days from the date it receives such notification to deliver the
missing document or otherwise cure the defect or breach. If it is
unable to do so, the seller will be obligated to replace or
repurchase the mortgage loan.

Trustee, Custodians, Paying Agent, Servicers, Master Servicer,
Successor Servicer and Special Servicer

The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A and U.S. Bank National Association. The paying
agent and cash management functions will be performed by Citibank,
N.A. In addition, Nationstar, as master servicer, is responsible
for servicer oversight, termination of servicers, and the
appointment of successor servicers. Having Nationstar as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Shellpoint will serve as the
special servicer and, as such, will be responsible for servicing
mortgage loans that become 60 or more days delinquent. Nationstar
will serve as the designated successor servicer.

MR. COOPER GROUP INC, PHH Mortgage Corporation, Shellpoint Mortgage
Servicing (Shellpoint), Wells Fargo Bank, N.A., and Select
Portfolio Servicing, Inc (SPS) are the top five servicers who will
service approximately 49.4%, 37.2%, 7.2%, 4.1% and 2.1% of the
loans (by scheduled balance), respectively. Nationstar will act as
master servicer and successor servicer and Shellpoint will act as
the special servicer. It considers the overall servicing
arrangement to be adequate.

Transaction Structure

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.

Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a senior and
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 2.75% of the cut-off date principal
balance. There is also a provision that prevents subordinate bonds
from receiving principal if the credit enhancement for the Class
A-1 note falls below its percentage at closing, 16.65%. In
addition, there are provisions that "lock out" certain subordinate
bonds and allocate principal to more senior subordinate bonds if,
for a given class, credit enhancement levels decline below their
initial percentages or below 2.75% of the cut-off date principal
balance. These provisions have been incorporated into its cash flow
model and are reflected in its ratings.

Other Considerations

The transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest.
The servicers in the transaction may sell mortgage loans that
become 60 or more days delinquent according to the MBA methodology
to any party in the secondary market in an arms-length transaction
and at a fair market value. For such sale to take place, the
related servicer must determine, in its reasonable commercial
judgment, that such sale would maximize proceeds on a present value
basis. If the sponsor or any of its subsidiaries is the purchaser,
the related servicer must obtain at least two additional
independent bids. The transaction documents provide little detail
on the method of receipt of bids and there is no set minimum sale
price. Such lack of detail creates a risk that the independent bids
could be weak bids from purchasers that do not actively participate
in the market. Furthermore, the transaction documents provide
little detail regarding how servicers should conduct present value
calculations when determining if a note sale should be pursued. The
special servicer, Shellpoint, is an affiliate of the sponsor. The
servicers in the transaction may have a commercial relationship
with the sponsor outside of the transaction. These business
arrangements could lead to conflicts of interest. It took this into
account and adjusted its losses accordingly.

When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular, it
assessed the risk that the indenture trustee would be subject to
lawsuits from investors for a failure to adequately enforce the
R&Ws against the seller. It believes that NRMLT 2020-2 is
adequately protected against such risk primarily because the loans
in this transaction are highly seasoned with a weighted average
seasoning of approximately 185 months. Although some loans in the
pool were previously delinquent and modified, the loans all have a
substantial history of payment performance. This includes payment
performance during the last recession. As such, if loans in the
pool were materially defective, such issues would likely have been
discovered prior to the securitization. Furthermore, third party
due diligence was conducted on a significant random sample of the
loans for issues such as data integrity, compliance, and title. As
such, Moody's did not apply adjustments in this transaction to
account for indemnification payment risk.

In addition, prior to closing, the collateral pool has
approximately $1,360,875 of unreimbursed servicing advances such as
taxes and insurance. The mortgage borrower is responsible for
reimbursing the related servicer for the pre-existing servicing
advances. The related servicer may choose to set the pre-existing
advances as escrow to be repaid by the borrower as part of monthly
mortgage payments. However, in the event the borrower defaults on
the mortgage prior to fully repaying the pre-existing servicing
advances, the related servicer will recoup the outstanding amount
of pre-existing advances from the loan liquidation proceeds. The
amount of pre-existing servicing advances only represents
approximately 29 basis points of total pool balance. As borrowers
make monthly mortgage payments, this amount would likely decrease.
Moreover, its loan loss severity assumption incorporates
reimbursement of servicing advances from liquidation proceeds.

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 its 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. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.

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 its 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.

The methodologies used in these ratings were "Non-Performing and
Re-Performing Loans Securitizations Methodology" published in
January 2020, and "US RMBS Surveillance Methodology" published in
February 2019.


OBX TRUST 2020-EXP1: Fitch Assigns 'Bsf' Rating on Class B-5 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned ratings to OBX 2020-EXP1 Trust.

OBX 2020-EXP1

  - Class 1-A-1; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-2; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-3; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-4; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-5; LT AAAsf New Rating; previously at AAA(EXP)sf
  
  - Class 1-A-IO1; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO2; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO3; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO4; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO5; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO6; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-6; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-7; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-8; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-9; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-10; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-11; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-11X; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-12; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO71; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO72; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO81; LT AAAsf New Rating; previously atAAA(EXP)sf

  - Class 1-A-IO82; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 1-A-IO781; LT AAAsf New Rating; previously at AAA(EXP)sf


  - Class 1-A-IO782; LT AAAsf New Rating; previously at AAA(EXP)sf


  - Class 2-A-1A; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 2-A-1B; LT AAAsf New Rating; previously atmAAA(EXP)sf

  - Class 2-A-1; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 2-A-2; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 2-A-3; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class 2-A-IO; LT AAAsf New Rating; previously at AAA(EXP)sf

  - Class B-1; LT AA-sf New Rating; previously at AA-(EXP)sf

  - Class B1-IO; LT AA-sf New Rating; previously at AA-(EXP)sf

  - Class B1-A; LT AA-sf New Rating; previously at AA-(EXP)sf

  - Class B2-1; LT A+sf New Rating; previously at A+(EXP)sf

  - Class B2-1-IO; LT A+sf New Rating; previously at A+(EXP)sf

  - Class B2-1-A; LT A+sf New Rating; previously at A+(EXP)sf

  - Class B2-2; LT Asf New Rating; previously at A(EXP)sf

  - Class B2-2-IO; LT Asf New Rating; previously at A(EXP)sf

  - Class B2-2-A; LT Asf New Rating; previously at A(EXP)sf

  - Class B-3; LT BBBsf New Rating; previously at BBB(EXP)sf

  - Class B-4; LT BBsf New Rating; previously at BB(EXP)sf

  - Class B-5; LT Bsf New Rating; previously at B(EXP)sf

  - Class B-6; LT NRsf New Rating; previously at NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 722 loans with a total unpaid principal
balance of approximately $467.51 million as of the cutoff date. The
pool consists of fixed-rate mortgages and adjustable-rate mortgages
acquired by Annaly Capital Management, Inc. from various
originators and aggregators. Distributions of principal and
interest and loss allocations are based on a traditional
senior-subordinate, shifting-interest Y-structure.

Each rated bond in this transaction has significant credit
enhancement, and Fitch believes the deal structure provides for
protection against mortgage losses consistent with the bond's
rating. The classes 1-A-2, 1-A-4, 2-A-1B and 2-A-2 take an
immaterial write-down of approximately 1bp in one of the timing
scenarios (back-loaded loss with a flat CPR in an upward interest
rate stress). Fitch did not consider this relevant to the rating.
In all stress scenarios associated with each bond's rating, no
other rated classes experience any principal write-downs.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists primarily
of 30-year fixed-rate and adjustable-rate fully amortizing loans to
borrowers with strong credit profiles, relatively low leverage and
large liquid reserves. The loans are seasoned an average of seven
months.

The pool has a weighted average model FICO score of 755, high
average balance of $647,522 and a low sustainable loan-to-value
ratio of 68.8%.

Investor Properties, Non-QM and Alternative Documentation
(Negative): The pool contains a meaningful amount of investor
properties (20%), nonqualified mortgage (non-QM) loans (65%) and
non-full documentation loans (56%). Fitch's loss expectations
reflect the higher default risk associated with these attributes as
well as loss severity adjustments for potential ability-to-repay
challenges. Higher LS assumptions are assumed for the investor
property product to reflect potential risk of a distressed sale or
disrepair.

Low Operational Risk (Positive): Operational risk is
well-controlled in this transaction. Annaly employs an effective
loan aggregation process and has an 'Average' assessment from
Fitch. The loans are being serviced by Select Portfolio Servicing,
Inc., which is rated 'RPS1-' for this product. The issuer's
retention of at least 5% of the bonds helps ensure an alignment of
interest between issuer and investor.

Representation and Warranty Framework (Negative): Fitch considers
the transaction's representation, warranty and enforcement
mechanism framework to be consistent with Tier 2 quality. The RW&Es
are being provided by Onslow Bay Financial, LLC, which does not
have a financial credit opinion or public rating from Fitch. While
an automatic review can be triggered by loan delinquencies and
losses, the triggers can toggle on and off from period to period.
Additionally, a high threshold of investors is needed to direct the
trustee to initiate a review. The Tier 2 framework and non-rated
counterparty resulted in a loss penalty of 70 bps at 'AAAsf'.

Third-Party Due Diligence (Positive): A very low incidence of
material defects was found in the third-party credit, compliance
and valuation due diligence performed on approximately 100% of the
pool. A third-party review was conducted by AMC, Clayton and
IngletBlair; both AMC and Clayton are assessed by Fitch as
'Acceptable - Tier 1' and IngletBlair is assessed as 'Acceptable -
Tier 2'. The due diligence results are in line with industry
averages, and based on loan count, 99.8% were graded 'A' or 'B'.
Since loan exceptions either had strong mitigating factors or were
accounted for in Fitch's loan loss model, no additional adjustments
were made. The model credit for the high percentage of loan level
due diligence combined with the adjustments for loan exceptions
reduced the 'AAAsf' loss expectation by 32 bps.

Servicing Advancing (Neutral): Advances of delinquent P&I will be
made on the mortgage loans for the first 120 days of delinquency to
the extent such advances are deemed recoverable. P&I advances will
be made from amounts on deposit for future distribution, the excess
servicing strip fee that would otherwise be allocable to the class
A-IO-S notes and the P&I advancing party fee. If such amounts are
insufficient, the P&I advancing party (Onslow Bay Financial LLC)
will be responsible for any remaining amounts. In the event the
underlying obligations are not fulfilled, Wells Fargo Bank, N.A.,
as master servicer, will be required to make advances.

High California Concentration (Negative): Approximately 55.2% of
the pool is located in California, which is higher than many other
recent Fitch-rated transactions. In addition, the metropolitan
statistical area concentration is large, as the top three MSAs (Los
Angeles, New York and San Francisco) account for 55.4% of the pool.
As a result, a geographic concentration penalty of 1.12x was
applied to the probability of default.

Shifting Interest Deal Structure (Negative): 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. While there is
only minimal leakage to the subordinate bonds early on in the
transaction, the structure is more vulnerable to defaults occurring
later on in the life of the deal compared to a sequential or
modified sequential structure. To help mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.80% of the original balance will be
maintained for the notes.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the notes.
Furthermore, the expenses to be paid from the trust are capped at
$275,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines than
assumed at both the MSA and national levels. The implied rating
sensitivities are only an indication of some of the potential
outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.

Fitch conducted sensitivity analysis determining 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 2.4%. The analysis indicates there is some
potential rating migration with higher MVDs, compared with the
model projection.

Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
AMC Diligence, LLC, Clayton Services LLC and Inglet Blair LLC. A
third-party diligence review was completed on 100% of the loans in
this transaction, and the scope was consistent with Fitch's
criteria. The due diligence results did not have an impact on the
expected loss levels.


PRIME STRUCTURED 2020-1: DBRS Finalizes BB(low) Rating on F Certs
-----------------------------------------------------------------
DBRS Limited finalized the provisional ratings on the
Mortgage-Backed Certificates, Series 2020-1 issued by Prime
Structured Mortgage (PriSM) Trust (the Issuer) as follows:

-- AAA (sf) on the Mortgage-Backed Certificates, Class A (the
Class A Certificates)

-- AAA (sf) on the Mortgage-Backed Certificates, Class VFC (the
Class VFC Certificates)

-- AAA (sf) on the Mortgage-Backed Certificates, Class IO (the
Class IO Certificates)

-- AA (sf) on the Mortgage-Backed Certificates, Class B (the Class
B Certificates)

-- AA (low) (sf) on the Mortgage-Backed Certificates, Class C (the
Class C Certificates)

-- A (high) (sf) on the Mortgage-Backed Certificates, Class D (the
Class D Certificates)

-- BBB (high) (sf) on the Mortgage-Backed Certificates, Class E
(the Class E Certificates)

-- BB (low) (sf) on the Mortgage-Backed Certificates, Class F (the
Class F Certificates; together with the Class A Certificates, the
Class VFC Certificates, the Class IO Certificates, the Class B
Certificates, the Class C Certificates, the Class D Certificates,
and the Class E Certificates, the Rated Certificates)

The ratings assigned to the Class A Certificates, the Class VFC
Certificates (together, the Senior Principal Certificates), the
Class B Certificates, the Class C Certificates, the Class D
Certificates, the Class E Certificates, and the Class F
Certificates represent the timely payment of interest to the
holders thereof and the ultimate payment of principal by the Rated
Final Distribution Date under the respective rating stress. The
rating assigned to the Class IO Certificates is an opinion that
addresses the likelihood of the Notional Amount of the Class IO
Certificates' applicable reference certificates (i.e., the Senior
Principal Certificates) being adversely affected by credit losses.

The Mortgage-Backed Certificates, Series 2020-1, Class G (the Class
G Certificates) and Mortgage-Backed Certificates, Series 2020-1,
Class R (collectively with the Class G Certificates and the Rated
Certificates, the Certificates) are not rated by DBRS Morningstar.

The ratings incorporate the following considerations:

(1) The level of credit enhancement provided by subordination is
commensurate with the respective rating levels of each class of
Rated Certificates.

(2) The collateral comprises a pool of approximately $688.3 million
first-lien fixed-rate prime conventional Canadian residential
mortgages underwritten to The Toronto-Dominion Bank's (TD Bank;
rated AA (high)/R-1 (high) with Stable trends by DBRS Morningstar)
third-party lender underwriting policies and compliant with the
Office of the Superintendent of Financial Institutions' Guideline
B-20, with a weighted-average loan-to-value ratio of 69.7% and a
weighted-average credit score of 793, in each case, as of the
Cut-Off Date.

(3) TD Securities Inc. (TDSI), a wholly-owned subsidiary of TD
Bank, is the Seller and Master Servicer and provides
representations and warranties and is ultimately responsible for
all the servicing obligations of the mortgages. Both First National
Financial LP and CMLS Financial Ltd., acting as Sub-Servicers, have
extensive servicing experience in the Canadian residential mortgage
market.

(4) A bankruptcy-remote structure with swap arrangements to
mitigate interest rate mismatch and negative carry risk and a
highly rated Class VFC Committed Purchaser to fully repay the Class
A Certificates on the Targeted Final Distribution Date.

DBRS Morningstar uses the Canadian residential mortgage-backed
securities (RMBS) model that calculates estimated default frequency
(more than 90 days in arrears), loss severity and expected loss on
a loan-level basis. The RMBS model output does not include the risk
of mortgage default at maturity (i.e., balloon risk). DBRS
Morningstar views balloon risk for prime mortgages to be small and
the program documents incorporate renewal and extension features
that reduce the balloon risk. If a Mortgage Loan is renewed by the
Seller (or the related Originator), including loans that are
renewed prior to their maturity date, the Seller is obligated to
purchase (or cause the related Originator to purchase) such
Mortgage Loan on its maturity date. If the Seller (or the related
Originator) does not offer to renew a performing mortgage (at a
rate consistent with Seller's or related Originator's
then-prevailing posted mortgage rates) and the mortgage has not
been renewed by any other lender prior to its maturity date, the
Master Servicer (including a Replacement Master Servicer) will
extend the maturity date up to five years (to no later than the
Rated Final Distribution Date) at a rate equal to the greater of
(1) the Master Servicer's then-prevailing posted rate and (2) the
mortgage rate that was in effect prior to extension, in order to
prevent the mortgage from becoming delinquent or defaulted at
maturity. To assess balloon risk, DBRS Morningstar nevertheless
considers the probability of no lender liquidity at the end of the
loan tenure and a hypothetical percentage of loan defaults as a
result of non-renewal. The balloon risk is in addition to the
credit risk estimated by the RMBS model. When determining the loss
severity of loans that default as a result of non-renewal, since
such borrowers have been current on their mortgage payments and the
timing of default is known, DBRS Morningstar considers scheduled
mortgage payments and a certain level of house price appreciation
during the mortgage term.

With the RMBS model results and adjustment for balloon risk, DBRS
Morningstar runs a proprietary cash flow engine that incorporates
the transaction structure and assumptions for the timing of
default, interest rates, and prepayments. The result was that the
Rated Certificates (excluding the Class IO Certificates), with the
proposed structure, could withstand each stress scenario with no
loss. The Issuer's ability to repay interest and principal of the
Rated Certificates (excluding the Class IO Certificates) is
consistent with the respective ratings. The rating assigned to the
Class IO Certificates is an opinion that addresses the likelihood
of the Notional Amount of the Class IO Certificates' applicable
reference certificates (i.e., the Senior Principal Certificates)
being adversely affected by credit losses.

The Seller and Master Servicer, TDSI, is a wholly-owned subsidiary
of TD Bank. TD Bank ranked as one of the largest banks in Canada as
measured by both assets and deposits as of October 31, 2019, with
$1,415.3 billion in assets and $87.7 billion in total equity.

The ratings assigned to the Class E Certificates and the Class F
Certificates materially deviate from higher ratings implied by the
quantitative results. DBRS Morningstar considers a material
deviation to be a rating differential of three or more notches
between the assigned rating and the rating implied by the
quantitative results that are a substantial component of a rating
methodology. The deviations are warranted as DBRS Morningstar
recognizes the structural subordination of the Class E Certificates
to the Class D Certificates and the structural subordination of the
Class F Certificates to the Class E Certificates.

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


PRIME STRUCTURED 2020-1: Moody's Gives B1 Rating on Class F Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive credit ratings to
the following classes of certificates issued by Prime Structured
Mortgage Trust:

Issuer: Prime Structured Mortgage Trust, Mortgage-Backed
Certificates, Series 2020-1

CAD450,000,000, 1.968% Cl. A, Definitive Rating Assigned Aaa (sf)

CAD205,633,000 Cl. VFC, Definitive Rating Assigned Aaa (sf)

CAD12,046,000 Cl. B, Definitive Rating Assigned Aa1 (sf)

CAD6,883,000 Cl. C, Definitive Rating Assigned Aa2 (sf)

CAD5,162,000 Cl. D, Definitive Rating Assigned A1 (sf)

CAD4,130,000 Cl. E, Definitive Rating Assigned Baa3 (sf)

CAD2,753,000 Cl. F, Definitive Rating Assigned B1 (sf)

This transaction represents the inaugural issuance by Prime
Structured Mortgage Trust, which is sponsored by TD Securities
Inc., a wholly owned subsidiary of The Toronto -Dominion Bank (TD,
Aa1, stable; a1, Aa1(cr); Prime-1). The certificates are supported
by 1,907 prime quality, fixed rate mortgage loans originated by RFA
Bank of Canada, First National Financial LP and CMLS Financial Ltd.
with a total balance of CAD688,328,658 as of the February 1, 2020
cut-off date. All mortgage loans were extended to obligors located
in Canada and are secured by Canadian residential properties.

RATINGS RATIONALE

The ratings of the certificates are based on an analysis of the
characteristics of the underlying portfolio, protection provided by
credit enhancement, and the structural integrity of the
transaction.

In analyzing the portfolio, Moody's determined the MILAN Credit
Enhancement of 5% and the portfolio Expected Loss of 0.45%. The
MILAN CE and portfolio EL are key input parameters for Moody's cash
flow model.

MILAN CE of 5%: This is consistent with the average MILAN CE
assumption for other Canadian prime RMBS and covered bond
transactions and follows Moody's assessment of the loan-by-loan
information taking into account the historical performance and the
pool composition including (i) the relatively low weighted average
current loan-to-value (LTV) ratio of 69.66% (ii) and the high
weighted average credit score of 793.

The MILAN CE may be different from the credit enhancement that is
consistent with a Aaa rating for a tranche, because the MILAN CE
does not take into account the structural features of the
transaction. Moody's took this difference into account in its
ratings of the senior principal certificates.

The Class A and Class VFC certificates together comprise the senior
principal certificates. The Class A certificates are bullet
securities with a targeted final distribution date of February 15,
2023 and the Class VFC are variable funding certificates that have
been purchased by TD Bank (or an asset-backed commercial paper
conduit administered by TDSI). Prior to the Class A targeted final
distribution date, the principal repayments from the mortgages will
be used to repay the principal of the VFC certificates, with any
excess deposited into the principal accumulation account. On the
targeted final distribution date for Class A certificates, it is
intended that the amount on deposit in the principal accumulation
account will be used in conjunction with the issuance of an
additional Class VFC certificates, to repay the Class A
certificates in full. Subsequent to this, the scheduled and
unscheduled principal payments will be used to repay the additional
Class VFC certificates, and then the subordinate classes of
certificates in order of seniority.

Portfolio expected loss of 0.45%: This is based on Moody's
assessment of the lifetime loss expectation for the pool taking
into account (i) the historical performance of the seller's third
party originated uninsured mortgage portfolio; as provided by the
seller; (ii) the current macroeconomic environment in Canada and
(iii) benchmarking with similar RMBS transactions.

Credit Enhancement: Credit enhancement in this transaction is
primarily comprised of subordination provided by the junior
tranches, and excess spread. Under the sequential pay structure,
all scheduled principal payments and prepayments are used to pay
down the certificates in order of seniority.

Operational Risk Analysis: TDSI's is considered to be a strong
master servicer, given TD Bank's credit rating of Aa1(cr)/P-1(cr).
TDSI has also provided representations and warranties and is
ultimately responsible for all the servicing obligations of the
mortgages. It believes that TDSI has adequate controls and
procedures in place to provide high quality servicing.

Balloon Risk Analysis: TDSI is required to (or cause the applicable
originator to) offer to renew or refinance all mortgage loans at
their contractual maturity, provided the borrower is not in default
and satisfies TD's third party lender underwriting criteria at such
time. Upon renewal or refinance of a mortgage loan, TDSI will
repurchase that mortgage loan from the custodian for an amount
equal to the full principal amount of the loan plus accrued
interest. If, prior to the end of the contractual term of a
performing mortgage loan, the related borrower has not received an
offer from TDSI or the originator or entered into an agreement with
another party to renew, refinance, or repay the loan, then TDSI as
master servicer of the portfolio will be required to extend all
such loans at the greater of the prevailing market interest rate
and the rate in force on that loan immediately before the
extension. Mortgage loans that are extended by the master servicer
would continue to be held by the custodian and collections would
continue to flow through to the certificate holders. The
combination of TDSI's conditional obligation to offer to renew all
mortgage loans at the end of their contractual term, and the
requirement on the part of the master servicer to extend any
remaining performing loans at the end of their contractual term,
eliminates the risk that a performing borrower may be pushed into
default by a demand for repayment at the end of the contractual
term. This effectively mitigates the balloon risk associated with
the mortgage pool.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
July 2019.

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

Significantly different loss assumptions compared with its
expectations at close, due to either a change in economic
conditions from its central scenario forecast or idiosyncratic
performance factors would lead to rating actions. For instance,
should economic conditions be worse than forecast, the higher
defaults and loss severities resulting from higher unemployment,
worsening household affordability and a weaker housing market could
result in a downgrade of the ratings. Deleveraging of the capital
structure or conversely a deterioration in the certificate's
available credit enhancement could result in an upgrade or a
downgrade of the rating, respectively.


ROCKFORD TOWER 2017-2: Moody's Rates $26.5MM Class E-R Notes 'Ba3'
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Rockford Tower CLO 2017-2, Ltd.

Moody's rating action is as follows:

US$319,800,000 Class A-R Senior Secured Floating Rate Notes Due
2029 (the "Class A-R Notes"), Assigned Aaa (sf)

US$55,500,000 Class B-R Senior Secured Floating Rate Notes Due 2029
(the "Class B-R Notes"), Assigned Aa2 (sf)

US$24,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2029 (the "Class C-R Notes"), Assigned A2 (sf)

US$33,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2029 (the "Class D-R Notes"), Assigned Baa3 (sf)

US$26,500,000 Class E-R Junior Secured Deferrable Floating Rate
Notes Due 2029 (the "Class E-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.

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

Rockford Tower Capital Management, L.L.C. 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 remaining 1.5-year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

The Issuer has issued the Refinancing Notes on March 4, 2020 in
connection with the refinancing of all classes of secured notes
originally issued on September 8, 2017. On the Refinancing Date,
the Issuer used the proceeds from the issuance of the Refinancing
Notes to redeem in full the Refinanced Original Notes. On the
Original Closing Date, the issuer also issued one class of
subordinated notes that remains outstanding.

In addition to the issuance of the Refinancing Notes, there was a
modification to the weighted average life test and an extension of
the non-call period.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions

Performing par and principal proceeds balance: $500,000,000

Diversity Score: 72

Weighted Average Rating Factor (WARF): 3004 (corresponding to a
weighted average default probability of 26.59%)

Weighted Average Spread (WAS): 3.47%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 7 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
March 2019.

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.


SANTANDER PRIME 2018-A: DBRS Confirms BB Rating on Class E Notes
----------------------------------------------------------------
DBRS, Inc. upgraded one class of notes issued by Santander Prime
Auto Issuance Notes 2018-A as follows:

-- Class B Notes to AAA (sf) from AA (sf)

DBRS Morningstar also confirmed the following classes of notes
issued by Santander Prime Auto Issuance Notes 2018-A as follows:

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

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

-- Transaction capital structure, current ratings, and form and
sufficiency of available credit enhancement.

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

-- The credit quality of the collateral pool and historical
performance as of February 2020.

-- The transaction is a securitization of U.S. auto loans. The
deal benefits from credit enhancement consisting of a reserve
account. As of February 2020, the reserve account was 0.62% of the
current collateral balance. The total note balance is $595,195,539.
The aggregate receivables balance was $595,195,539. Total
delinquencies were 4.91% and cumulative net losses were 2.56%. The
current pool factor was 40.35%.

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


SARANAC CLO VIII: Moody's Assigns Ba3 Rating on $19MM Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service assigned ratings to eight classes of debt
issued by Saranac CLO VIII Limited.

Moody's rating action is as follows:

US$39,000,000 Class A-N Senior Secured Floating Rate Notes due 2033
(the "Class A-N Notes"), Definitive Rating Assigned Aaa (sf)

US$160,000,000 Class A Loans due 2033 (the "Class A Loans"),
Definitive Rating Assigned Aaa (sf)

US$25,000,000 Class A-F Senior Secured Fixed Rate Notes due 2033
(the "Class A-F Notes"), Definitive Rating Assigned Aaa (sf)

US$38,500,000 Class B Senior Secured Floating Rate Notes due 2033
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)

US$14,500,000 Class C-N Secured Deferrable Floating Rate Notes due
2033 (the "Class C-N Notes"), Definitive Rating Assigned A2 (sf)

US$5,000,000 Class C-F Secured Deferrable Fixed Rate Notes due 2033
(the "Class C-F Notes"), Definitive Rating Assigned A2 (sf)

US$21,000,000 Class D Secured Deferrable Floating Rate Notes due
2033 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)

US$19,000,000 Class E Secured Deferrable Floating Rate Notes due
2033 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)

The Class A-N Notes, the Class A Loans, the Class A-F Notes, the
Class B Notes, the Class C-N Notes, the Class C-F Notes, the Class
D Notes, and the Class E Notes are referred to herein,
collectively, as the "Rated Debt."

RATINGS RATIONALE

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

Saranac VIII is a managed cash flow CLO. The issued notes and the
incurred loan 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 senior
unsecured loans, second lien loans, and first-lien last-out
obligations. The portfolio is approximately 74% ramped as of the
closing date.

Saranac CLO Management, LLC 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 Debt, the Issuer issued one class of
income notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt 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 March 2019.

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

Par amount: $350,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2836

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 6.0%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9.0 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
March 2019.

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

The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.


SEQUOIA MORTGAGE 2020-3: Fitch to Rate Class B-4 Certs 'BB-'
------------------------------------------------------------
Fitch Ratings has assigned the following ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2020-3:

Sequoia Mortgage Trust 2020-3

Class A-1;    LT AAA(EXP)sf;  Expected Rating

Class A-10;   LT AAA(EXP)sf;  Expected Rating

Class A-11;   LT AAA(EXP)sf;  Expected Rating

Class A-12;   LT AAA(EXP)sf;  Expected Rating

Class A-13;   LT AAA(EXP)sf;  Expected Rating

Class A-14;   LT AAA(EXP)sf;  Expected Rating

Class A-15;   LT AAA(EXP)sf;  Expected Rating

Class A-16;   LT AAA(EXP)sf;  Expected Rating

Class A-17;   LT AAA(EXP)sf;  Expected Rating

Class A-18;   LT AAA(EXP)sf;  Expected Rating

Class A-19;   LT AAA(EXP)sf;  Expected Rating

Class A-2;    LT AAA(EXP)sf;  Expected Rating

Class A-20;   LT AAA(EXP)sf;  Expected Rating

Class A-21;   LT AAA(EXP)sf;  Expected Rating

Class A-22;   LT AAA(EXP)sf;  Expected Rating

Class A-23;   LT AAA(EXP)sf;  Expected Rating

Class A-24;   LT AAA(EXP)sf;  Expected Rating

Class A-3;    LT AAA(EXP)sf;  Expected Rating

Class A-4;    LT AAA(EXP)sf;  Expected Rating

Class A-5;    LT AAA(EXP)sf;  Expected Rating

Class A-6;    LT AAA(EXP)sf;  Expected Rating

Class A-7;    LT AAA(EXP)sf;  Expected Rating

Class A-8;    LT AAA(EXP)sf;  Expected Rating

Class A-9;    LT AAA(EXP)sf;  Expected Rating

Class A-IO1;  LT AAA(EXP)sf;  Expected Rating

Class A-IO10; LT AAA(EXP)sf;  Expected Rating

Class A-IO11; LT AAA(EXP)sf;  Expected Rating

Class A-IO12; LT AAA(EXP)sf;  Expected Rating

Class A-IO13; LT AAA(EXP)sf;  Expected Rating

Class A-IO14; LT AAA(EXP)sf;  Expected Rating

Class A-IO15; LT AAA(EXP)sf;  Expected Rating

Class A-IO16; LT AAA(EXP)sf;  Expected Rating

Class A-IO17; LT AAA(EXP)sf;  Expected Rating

Class A-IO18; LT AAA(EXP)sf;  Expected Rating

Class A-IO19; LT AAA(EXP)sf;  Expected Rating

Class A-IO2;  LT AAA(EXP)sf;  Expected Rating

Class A-IO20; LT AAA(EXP)sf;  Expected Rating

Class A-IO21; LT AAA(EXP)sf;  Expected Rating

Class A-IO22; LT AAA(EXP)sf;  Expected Rating

Class A-IO23; LT AAA(EXP)sf;  Expected Rating

Class A-IO24; LT AAA(EXP)sf;  Expected Rating

Class A-IO25; LT AAA(EXP)sf;  Expected Rating

Class A-IO26; LT AAA(EXP)sf;  Expected Rating

Class A-IO3;  LT AAA(EXP)sf;  Expected Rating

Class A-IO4;  LT AAA(EXP)sf;  Expected Rating

Class A-IO5;  LT AAA(EXP)sf;  Expected Rating

Class A-IO6;  LT AAA(EXP)sf;  Expected Rating

Class A-IO7;  LT AAA(EXP)sf;  Expected Rating

Class A-IO8;  LT AAA(EXP)sf;  Expected Rating

Class A-IO9;  LT AAA(EXP)sf;  Expected Rating

Class B-1;    LT AA-(EXP)sf;  Expected Rating

Class B-2;    LT A-(EXP)sf;   Expected Rating

Class B-3;    LT BBB-(EXP)sf; Expected Rating

Class B-4;    LT BB-(EXP)sf;  Expected Rating

Class B-5;    LT NR(EXP)sf;   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2020-3. The
certificates are supported by 770 loans with a total balance of
approximately $632.62 million as of the cutoff date. The pool
consists of prime fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. from various mortgage originators.
Distributions of principal and interest and loss allocations are
based on a senior-subordinate, shifting-interest structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year and 25-year, fixed-rate, fully amortizing
loans to borrowers with strong credit profiles, relatively low
leverage and large liquid reserves. The pool has a weighted
averageoriginal model FICO score of 775 and an original WA combined
loan to value ratio of 68%. All the loans in the pool consist of
Safe Harbor Qualified Mortgages.

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature unique to Redwood's program for loans more than
120 days delinquent (a stop-advance loan). Unpaid interest on
stop-advance loans reduces the amount of interest that is
contractually due to bondholders in reverse-sequential order. While
this feature helps limit cash flow leakage to subordinate bonds, it
can result in interest reductions to rated bonds in high-stress
scenarios.

Prioritization of Principal Payments (Positive): The limited
advancing leads to lower loss severities than a full advancing
structure. The unique stop-advance structural feature reduces
interest payments to subordinate bonds but allows for greater
principal recovery than a traditional structure. Furthermore, while
traditional structures determine senior principal distributions by
comparing the senior bond size to the collateral balance, this
transaction structure compares the senior balance to the collateral
balance less any stop-advance loans. In a period of increased
delinquencies, this will result in a larger amount of principal
paid to the senior bonds relative to a traditional structure.

Low Operational Risk (Neutral): The operational risk is well
controlled for in this transaction. Redwood is assessed as an
'Above Average' aggregator. The aggregator has a robust sourcing
strategy, and maintains experienced senior management and staff,
strong risk management and corporate governance controls, and a
robust due diligence process. Primary and master servicing
functions will be performed by entities rated 'RPS2' and 'RMS2+',
respectively.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 60% of loans in the transaction. The
percentage of reviewed loans is lower for this transaction due to
the high concentration of loans from First Republic Bank; Redwood
generally samples loans from this originator for due diligence as
it is an established lender in the market and has a strong seller
relationship with Redwood. However, the sampling methodology and
due diligence review scope is consistent with Fitch criteria and
the results are in line with prior RMBS issued by Redwood. Fitch
applied a credit for the percentage of loan level due diligence,
which reduced the 'AAAsf' loss expectation by 9 bps.

Top Tier Representation and Warranty Framework (Neutral): The
loan-level representation, warranty and enforcement framework is
consistent with Fitch's Tier 1, the highest possible. Fitch applied
a neutral treatment at the 'AAAsf' rating category as a result of
the Tier 1 framework and the internal credit opinion supporting the
repurchase obligations of the ultimate R&W backstop.

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 0.75% of the original balance will be
maintained for the certificates. The floor is more than sufficient
to protect against the five largest loans defaulting at Fitch's
'AAAsf' average loss severity of 43.20%.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
may be considered in the surveillance of the transaction. Three
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.

This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 2.4%. As shown in the table included in the presale
report, the analysis indicates that some potential rating migration
exists with higher MVDs compared with the model projection.

Additionally, the defined rating sensitivities determine the
stresses to MVDs that would reduce a rating by one full category,
to non-investment grade and to 'CCCsf'.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Clayton Services, LLC, SitusAMC, Opus Capital Markets Consultants
and Edge Mortgage Advisory Company. The third-party due diligence
described in Form 15E focused on credit, compliance and valuation.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions. Fitch believes
the overall results of the review generally reflected strong
underwriting controls.


TACONIC PARK: Moody's Rates $20MM Class D-R Notes 'Ba3'
-------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Taconic Park CLO, Ltd.

Moody's rating action is as follows:

US$325,000,000 Class A-1-R Senior Secured Floating Rate Notes Due
2029 (the "Class A-1-R Notes"), Assigned Aaa (sf)

US$55,000,000 Class A-2-R Senior Secured Floating Rate Notes Due
2029 (the "Class A-2-R Notes"), Assigned Aa2 (sf)

US$28,000,000 Class B-R Secured Deferrable Floating Rate Notes Due
2029 (the "Class B-R Notes"), Assigned A2 (sf)

US$32,000,000 Class C-R Secured Deferrable Floating Rate Notes Due
2029 (the "Class C-R Notes"), Assigned Baa3 (sf)

US$20,000,000 Class D-R Secured Deferrable Floating Rate Notes Due
2029 (the "Class D-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.

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

GSO / Blackstone Debt Funds Management LLC will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining two-year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

The Issuer has issued the Refinancing Notes on March 4, 2020 in
connection with the refinancing of all classes of secured notes
originally issued on December 20, 2016. On the Refinancing Date,
the Issuer used the proceeds from the issuance of the Refinancing
Notes to redeem in full the Refinanced Original Notes. On the
Original Closing Date, the issuer also issued one class of
subordinated notes that remains outstanding.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of the non-call period
and changes to matrix and modifiers.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: $499,635,470

Defaulted par: $0

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3064 (corresponding to a
weighted average default probability of 27.13%)

Weighted Average Spread (WAS): 3.42%

Weighted Average Recovery Rate (WARR): 47.22%

Weighted Average Life (WAL): 7 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
March 2019.

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

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


TICP CLO IV: Moody's Lowers $11MM Class F Notes to Caa1(sf)
-----------------------------------------------------------
Moody's Investors Service upgraded the rating on the following
notes issued by TICP CLO IV, Ltd.:

US$61,250,000 Class B-R Senior Secured Floating Rate Notes due
2027, Upgraded to Aa1 (sf); previously on March 1, 2018 Assigned
Aa2 (sf)

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

US$11,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2027, Downgraded to Caa1 (sf); previously on May 13, 2015
Assigned B3 (sf)

TICP CLO IV, Ltd., originally issued in May 2015 and partially
refinanced in March 2018 is a managed cashflow collateralized loan
obligation (CLO). The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2019.

RATINGS RATIONALE

The upgrade rating action is primarily a result of deleveraging of
the senior notes and the expectation that the deal will continue to
pay down the senior notes. The Class A-R notes have been paid down
by approximately 2.33% or $7.45 million since January 2019.

The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes from the par loss in the
underlying CLO portfolio and decrease in over-collateralization
(OC) ratio. Based on Moody's calculation, the collateral par
balance, including recoveries from defaulted securities, is
currently $479.0 million, or $13.6 million less than the the
initial ramp-up target par amount accounting for the paydown of the
Class A-R notes. Based on the trustee's January 2020 report, the OC
ratio for the Class E notes, the most junior OC ratio, is reported
at 106.1% versus the January 2019 level of 108.0%.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $476.5 million, defaulted par of $9.7
million, a weighted average default probability of 21.75% (implying
a WARF of 3019), a weighted average recovery rate upon default of
47.88%, a diversity score of 68 and a weighted average spread of
3.34%.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

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 CLO manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.


TOWD POINT 2020-MH1: Fitch to Rate 5 Tranches 'B(EXP)sf'
--------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to Towd
Point Mortgage Trust 2020-MH1.

TPMT 2020-MH1

  - Class A1;    LT  AAA(EXP)sf   Expected Rating

  - Class A2;    LT  AA(EXP)sf    Expected Rating

  - Class M1;    LT  A(EXP)sf     Expected Rating

  - Class M2;    LT  BBB(EXP)sf   Expected Rating

  - Class B1;    LT  BB(EXP)sf    Expected Rating

  - Class B2;    LT  B(EXP)sf     Expected Rating

  - Class B3;    LT  NR(EXP)sf    Expected Rating

  - Class A1A;   LT  AAA(EXP)sf   Expected Rating

  - Class A1AX;  LT  AAA(EXP)sf   Expected Rating

  - Class A2A;   LT  AA(EXP)sf    Expected Rating

  - Class A2AX;  LT  AA(EXP)sf    Expected Rating

  - Class A2B;   LT  AA(EXP)sf    Expected Rating

  - Class A2BX;  LT  AA(EXP)sf    Expected Rating

  - Class A3;    LT  AA(EXP)sf    Expected Rating

  - Class A4;    LT  A(EXP)sf     Expected Rating

  - Class A5;    LT  BBB(EXP)sf   Expected Rating

  - Class M1A;   LT  A(EXP)sf     Expected Rating

  - Class M1AX;  LT  A(EXP)sf     Expected Rating

  - Class M1B;   LT  A(EXP)sf     Expected Rating

  - Class M1BX;  LT  A(EXP)sf     Expected Rating

  - Class M2A;   LT  BBB(EXP)sf   Expected Rating

  - Class M2AX;  LT  BBB(EXP)sf   Expected Rating

  - Class M2B;   LT  BBB(EXP)sf   Expected Rating

  - Class M2BX;  LT  BBB(EXP)sf   Expected Rating

  - Class B1A;   LT  BB(EXP)sf    Expected Rating

  - Class B1AX;  LT  BB(EXP)sf    Expected Rating

  - Class B1B;   LT  BB(EXP)sf    Expected Rating

  - Class B1BX;  LT  BB(EXP)sf    Expected Rating

  - Class B2A;   LT  B(EXP)sf     Expected Rating

  - Class B2AX;  LT  B(EXP)sf     Expected Rating

  - Class B2B;   LT  B(EXP)sf     Expected Rating

  - Class B2BX;  LT  B(EXP)sf     Expected Rating

  - Class B3A;   LT  NR(EXP)sf    Expected Rating

  - Class B3AX;  LT  NR(EXP)sf    Expected Rating

  - Class B3B;   LT  NR(EXP)sf    Expected Rating

  - Class B3BX;  LT  NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the notes to be issued by Towd Point Mortgage
Trust 2020-MH1. This is the second transaction issued by FirstKey
Mortgage, LLC backed by loans secured by manufactured homes and is
the second post-crisis MH transaction rated by Fitch. The
transaction is expected to close on March 10, 2020. The collateral
pool is backed by 12,555 seasoned MH loans, all of which are
current using OTS methodology as of the cut-off date. The pool
totals $507.1 million, which includes $140,753, or 0.03%, of
non-interest-bearing deferred principal amounts.

Distributions of principal and interest and loss allocations are
based on a traditional senior-subordinate, sequential-pay
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 be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Manufactured Housing Loans (Negative): The transaction is backed by
100% seasoned MH loans, 98% of which are secured by chattel and 2%
by land-home. MH loans typically experience higher default rates
and lower recoveries than site-built residential home loans.
Fitch's loan-level loss model developed specifically for MH loans
is based on the historical observations of more than 1.0 million MH
loans originated from 1993-2002, with performance tracked through
2018.

Significant Seasoning (Positive): Fitch views the significant
seasoning, short remaining lives and current OTS payment status as
the key mitigating factors to the pool's credit risk. On average,
the pool is approximately 9.5 years seasoned. The loans are
amortizing and scheduled to pay in full in approximately 12 years,
on average.

All Loans OTS Current (Positive): 100% of the loans are OTS
current. Fitch received a minimum of 36-month pay strings for all
the loans in the pool. None of the loans are currently OTS
delinquent and only 4.3% have experienced a delinquency in the past
36 months. 95.7% of the pool has been clean for 36 months and,
therefore, received a PD credit to reflect the clean payment
histories. 5.6% of the loans have been modified by means of a
deferral, extension or other modification. The average time since
loss mitigation is approximately three years.

Credit Attributes (Positive): Borrowers in the pool have a weighted
average model FICO score of 722. Of the pool, 98% comprises loans
backed by chattel properties (secured with the structure only) and
the remaining 2% consist of land-home MH. Of the MH units, 86% are
double- or multi-wide. Double- and multi-wide units also have lower
observed defaults than single-wide units. Approximately 94% of the
loans are fixed rate. Additionally, 59% of the loans have 15- or
20-year terms, which also have lower observed default rates.

Third-Party Due Diligence (Negative): A third-party due diligence
review was performed by AMC Mortgage Consultants (Acceptable - Tier
1) on approximately 20% of the pool by loan count / 26% by unpaid
principal balance. The 20% due diligence sample meets Fitch's
criteria as a majority of the loans are non-real estate (chattel)
loans where the Home Ownership and Equity Protection Act (HOEPA)
and other anti-predatory statutes do not apply. Additionally, the
loans are primarily from a single source. The results of the review
showed approximately 27% of the sample were assigned a 'C' or 'D'
overall grade.

A pay history review was conducted on 20% by loan count/27% by UPB
and all of the land-home loans received a tax and title review.
Fitch increased its expected losses by approximately 25bps to
account for loans missing a certificate of title or UCC or is still
pending. The adjustment is intended to account for delays in
repossession due to missing titles and UCCs.

Sequential-Pay Structure with Significant Express Spread
(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. Notably, express
spread will be used to pay down the notes. The structure has a
notable amount of excess spread, which is causing the deal's
initial subordination to be lower than Fitch's expected losses.

Short Remaining Life of Notes (Positive): The notes in this
transaction have short remaining lives and pay down quickly. In a
base case stress scenario, the 'AAAsf' class pays in full in less
than nine years, even when assuming a 5% constant prepayment rate,
which is significantly less than for other seasoned or
re-performing loan transactions.

Realized Loss and Writedown Feature (Positive): Loans delinquent
for 150 days or more under the OTS method will be considered a
realized loss and, therefore, will result in a write-down of the
most subordinated classes beginning with class B3. The feature adds
certainty to liquidation timelines and reduces bond interest to
subordinate bonds expected to be written down. This increases the
cash flow available for more senior classes. As less than 100% loss
severity is assumed, subsequent recoveries recouped after the
writedown at 150 days delinquent will be distributed to bondholders
as principal.

Moderate Operational Risk (Neutral): Operational risk is considered
to be moderate for this transaction. The primary mitigating factors
for operational risk is the loan seasoning of 9.5 years and clean
payment histories as well as the due diligence results which
indicate low risk of loss due to the findings. Additionally,
FirstKey has a well-established track record acquiring
re-performing loan portfolios and has an 'above average' aggregator
assessment from Fitch. Select Portfolio Servicing, Inc. will
perform primary servicing functions for this transaction and is
rated as an RPS1- servicer. The issuer expects to retain at least
5% of the bonds helps to ensure an alignment of interest between
issuer and investor.

Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement mechanism construct for
this transaction to generally be consistent with what it views as a
Tier 2 framework, due to the inclusion of knowledge qualifiers and
the exclusion of certain reps. After a threshold event (which
occurs when realized loss exceeds the class principal balance of
the B1, B2 and B3 notes), reviews for identifying breaches will be
conducted on loans that experience a realized loss of $10,000 or
more. To account for the Tier 2 framework, Fitch increased its base
case loss expectations by roughly 65bps to reflect a potential
increase in defaults and losses arising from weaknesses in the
reps.

Limited Life of Rep Provider (Negative): FirstKey, as rep provider,
will only be obligated to repurchase a loan due to breaches prior
to the payment date in March 2021, with the exception of the REMIC
rep for which the obligation does not sunset. Thereafter, a reserve
fund will be available to cover amounts due to noteholders for
loans identified as having rep breaches. Amounts on deposit in the
reserve fund, as well as the increased level of subordination, will
be available to cover additional defaults and losses resulting from
rep weaknesses or breaches occurring on or after the payment date
in March 2021.

Aggregate Servicing Fee (Positive): The SPS servicing compensation
cap rate is 40bps and the aggregate servicing fee rate (the total
servicing fee taken out of the deal) is 100bps. Fitch views the
aggregate servicing fee of 100bps as sufficient to service MH
loans, and the structure was tested assuming this fee.
Additionally, should a replacement servicer be needed, the
transaction documents allow for the indenture trustee to negotiate
a fee above the stated aggregate servicing fee.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to additional losses. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or that may be considered in the
surveillance of the transaction.

Fitch conducted a sensitivity analysis determining how the ratings
would react to additional losses of 5%, 10% and 15%. The analysis
indicates there is some potential rating migration with an increase
in loss.

Fitch also conducted a sensitivity analysis to determine what
increase in losses would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.

CRITERIA VARIATION

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

The first variation relates updated property values, which Fitch
typically expects to review for loans seasoned over 24 months.
Updated property values are not applicable for MH transactions.
Liquidation records of MHs show that, unlike conventional
site-built homes whose value generally appreciates over time, both
chattel and land-home MHs are depreciating assets. Due to the fact
that valuations on aged MH units is less reliable and economically
infeasible and MH loan borrowers' behavior is believed to be less
driven by equity incentives, Fitch does not look for updated
property values but, instead, relies on loan seasoning, payment
history and structure age to adjust for seasoned MH loan loss
estimation. There was no rating impact due to this variation.

The second variation is that the tax and title review for a portion
of the loans was outdated per Fitch's criteria. Per criteria, an
updated tax and title search is expected to be completed within six
months of the deal's cutoff date. 100% of the land home loans
received a tax and title search; however, for approximately 40% of
the reviewed loans, the review was completed outside the six-month
window. Roughly 94% of the loans reviewed outside the six-month
timeframe were generally completed within 13 months of the cutoff
date. Of the loans with an outdated review, all are currently
current and approximately 92% have been clean for the past 12
months. Additionally, the servicers are monitoring the tax and
title status as part of standard practice and the servicer will
advance where deemed necessary to keep the first lien position of
each loan. There was no rating impact due to this variation.

The third variation relates to Fitch's assessment of the
transaction's R&W framework. While application of Fitch's R&W
scorecard matrix as published in its U.S. RMBS Rating Criteria
would have categorized this R&W framework as a Tier 3 due to the
20% due diligence sample size, the framework was assessed as Tier
2. The sample size meets Fitch's criteria for seasoned MH
collateral primarily from a single source, and the results provided
sufficient confidence to assess potential operational risk. In
addition, the loans are over nine years seasoned and most of the
compliance issues identified from the sample are past the statute
of limitations. The very clean pay histories also point to low risk
from a sampling due diligence. Application of the variation and
Fitch's treatment resulted in a one notch rating impact.

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

A third-party regulatory compliance review was completed on a
random sample of approximately 20% by loan count and 26% by UPB of
the loans in the transaction pool. The due diligence sample size
and scope were determined by the TPR firm (AMC / Tier 1). The
sample size for compliance meets Fitch criteria for seasoned RMBS.
The non-reviewed loans in the pool primarily consisted of loans on
chattel properties primarily from a single source where HOEPA and
other anti-predatory statutes did not apply.

The regulatory compliance review covered applicable federal, state
and local high-cost and/or anti-predatory laws as well as TILA and
RESPA where applicable. Of the loans reviewed, 25.6% (646 loans)
received a 'C' grade. Many of the 'C' grade loans were due to
credit exceptions such as missing installation date, missing
manufacture date, missing final 1003 forms, and missing MH
model/make. The loans graded 'D' were generally due to missing
final HUD1's that are not subject to predatory lending because they
were purchase loans, missing state disclosures, and other
compliance related missing documents. Fitch believes these issues
do not add material risk to bondholders since the statute of
limitations has expired. None of the exceptions warranted a loss
adjustment due to the age of the loans and bond write-down feature
for 150 day delinquent loans.

A tax, title and lien search was performed on 100% of the land-home
loans, plus a small sampling of chattel properties - a total of 2%
by loan count/3% by UPB. Fitch accounted for the unpaid taxes in
the LS, which was increased by approximately 2bps. Additionally,
the servicer is monitoring the tax and title status as part of
standard practice and will advance unpaid taxes to maintain the
first lien position of each loan.

Chattel properties require either a certificate of title or UCC-1
filing (depending on the state) included in the loan file and
delivered to the custodian, to show perfection of security interest
in the loans. For approximately 5.5% of the pool by loan count
(4.6% by UPB) the certificate of title or UCC-1 was missing or the
custodian was still pending receipt. There is concern that if these
units need to be repossessed or if the borrower stops paying, there
will be no recovery. To address this risk, Fitch assumed no
recovery (100% LS) on these loans, which resulted in an
approximately 20bp increase to Fitch's expected loss.

ESG CONSIDERATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).


US AUTO 2019-1: Moody's Upgrades Class C Notes to Ba1(sf)
---------------------------------------------------------
Moody's Investors Service upgraded one tranche from U.S. Auto
Funding Trust 2019-1. The notes are backed by a pool of closed-end
retail automobile loans originated by U.S. Auto Sales, Inc. (not
rated), an affiliate of U.S. Auto Finance. USASF Servicing LLC, a
wholly owned subsidiary of U.S. Auto Finance, is the servicer for
this transaction and U.S. Auto Finance is the administrator.

The complete rating action is as follows:

Issuer: U.S. Auto Funding Trust 2019-1

Class C Notes, Upgraded to Ba1 (sf); previously on Apr 17, 2019
Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

The upgrade is primarily a result of the build-up of credit
enhancement due to the sequential pay structure,
overcollateralization and non-declining reserve account. The
lifetime cumulative net loss expectation for the transaction
remains unchanged at 30%.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
March 2019.

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

Up

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

Down

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


VENTURE 39 CLO: Moody's Assigns (P)Ba3 Rating on $27MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to seven
classes of notes to be issued by Venture 39 CLO, Limited.

Moody's rating action is as follows:

US$2,000,000 Class X Senior Secured Floating Rate Notes due 2033
(the "Class X Notes"), Assigned (P)Aaa (sf)

US$310,000,000 Class A-1 Senior Secured Floating Rate Notes due
2033 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)

US$15,000,000 Class A-2 Senior Secured Floating Rate Notes due 2033
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)

US$50,000,000 Class B Senior Secured Floating Rate Notes due 2033
(the "Class B Notes"), Assigned (P)Aa2 (sf)

US$27,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class C Notes"), Assigned (P)A2 (sf)

US$30,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class D Notes"), Assigned (P)Baa3 (sf)

US$27,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2033 (the "Class E Notes"), Assigned (P)Ba3 (sf)

The Class X Notes, Class A-1 Notes, Class A-2 Notes, the Class B
Notes, the Class C Notes, the Class D Notes, and the Class E Notes
are referred to herein, collectively, as the "Rated Notes."

RATINGS RATIONALE

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

Venture 39 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
senior secured loans, cash, and eligible investments, and up to 10%
of the portfolio may consist of second lien loans and unsecured
loans. Moody's expects the portfolio to be approximately 100%
ramped as of the closing date.

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

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

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

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.

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

Par amount: $500,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2990

Weighted Average Spread (WAS): 3.65%

Weighted Average Recovery Rate (WARR): 46.4%

Weighted Average Life (WAL): 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
March 2019.

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

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


WELLS FARGO 2011-C5: Fitch Affirms Bsf Rating on Class G Certs
--------------------------------------------------------------
Fitch Ratings upgraded one class and affirmed eight classes of
Wells Fargo Bank, N.A. Commercial Mortgage Trust commercial
mortgage pass-through certificates series 2011-C5.

RATING ACTIONS

WFRBS 2011-C5

Class A-3 92936JBA1; LT PIFsf Paid In Full; previously at AAAsf

Class A-4 92936JBB9; LT AAAsf Affirmed;     previously at AAAsf

Class A-S 92936JAE4; LT AAAsf Affirmed;     previously at AAAsf

Class B 92936JAG9;   LT AAAsf Upgrade;      previously at AAsf

Class C 92936JAJ3;   LT Asf Affirmed;       previously at Asf

Class D 92936JAL8;   LT BBB+sf Affirmed;    previously at BBB+sf

Class E 92936JAN4;   LT BBB-sf Affirmed;    previously at BBB-sf

Class F 92936JAQ7;   LT BBsf Affirmed;      previously at BBsf

Class G 92936JAS3;   LT Bsf Affirmed;       previously at Bsf

Class X-A 92936JAA2; LT AAAsf Affirmed;     previously at AAAsf

KEY RATING DRIVERS

Increased Credit Enhancement and Defeasance; Stable Loss
Expectations: The upgrade to class B reflects increased credit
enhancement from loan payoffs, increased defeasance and continued
scheduled amortization since Fitch's last rating action. As of the
February 2019 distribution date, the pool's aggregate principal
balance had paid down by 26.9% to $798 million from $1.1 billion at
issuance; realized losses to date have been de minimis.

While the majority of the pool continues to exhibit stable
performance, the pool is becoming increasingly concentrated, as all
loans in the pool are scheduled to mature by November 2021. Since
Fitch's last rating action, four loans ($28.4 million) were repaid
prior to their scheduled 2020 and 2021 maturity dates.
Additionally, 17 loans (24.4% of pool) have been defeased, compared
with 13 loans (10.3%) at Fitch's last rating action, including the
second largest loan, Puck Building (10.1%). The entire pool is
currently amortizing.

Fitch Loans of Concern: Fitch has designated nine loans (15.7% of
pool) as Fitch Loans of Concern (FLOCs), including four of the top
15 loans (12.5%) and one REO asset (0.5%). This represents a
decrease from 12 loans (28.2% of pool) designated as FLOCs at the
prior rating action.

The largest FLOC, Madonna Plaza (4.4%), secured by a retail center
in San Luis Obispo, CA, has moderate upcoming lease rollover
through 2022, including its grocery anchor tenant in December 2020.
Sugarland Crossing (3.3%), secured by a retail center in Sterling,
VA, has experienced a significant occupancy decline after its
grocery anchor went dark in mid-2018 and stopped paying rent in
June 2019, ahead of its scheduled January 2021 expiration.

Patriot Tech Center (3%), secured by an industrial property in
Spring Garden Township, PA, experienced a significant occupancy
decline after several tenants vacated or downsized their footprint
at the property, including the largest tenant, Johnson Controls.
8301 Professional Place (1.8%), secured by an office property
located in a weak submarket of Landover, MD, continues to report
low occupancy after two major tenants vacated at expiration in
2017. The other non-specially serviced FLOCs outside of the top 15
(2.7%) were flagged for declining occupancy and/or low debt service
coverage ratio (DSCR).

REO Asset: The Candlewood Suites Houston, TX loan (0.5% of pool),
an 81-unit, limited-service hotel property in Houston, TX, had
transferred to special servicing in December 2018 for maturity
default after failing to repay at its scheduled October 2018
maturity date. The asset became REO in May 2019. According to the
special servicer, the asset is currently under contract for sale
and expected to close in late February 2020. Prior to defaulting,
Fitch had designated the loan as a FLOC for low DSCR and
performance declines related to oil and gas exposure.

Alternative Loss Considerations: Fitch's analysis included an
additional sensitivity scenario that factored in the paydown from
the defeased loans and applied a 50% loss severity on the current
balance of the Patriot Tech Center loan to reflect the potential
for outsized losses given the significant occupancy declines at the
property. This sensitivity analysis contributed to the upgrade of
class B and the Negative Rating Outlook maintained on class G.

High Retail Concentration: Loans secured by retail properties
represent 51.2% of the current pool by balance and include five of
the top 15 loans (45%). There is no exposure to enclosed regional
malls, as the retail exposure consists primarily of a lifestyle
center and neighborhood/community shopping centers that have
exhibited generally stable performance since issuance.

Pool and Loan Concentrations: The pool has become increasingly
concentrated with 50 of the original 75 loans remaining. The
largest loan, which represents 22.6% of the current pool, is
secured by The Domain, a lifestyle center comprising retail and
office space located in Austin, TX that has exposure to Macy's and
Dillard's as non-collateral anchors and Neiman Marcus as a
collateral anchor. The loan is sponsored by Simon Property Group
(A/Outlook Stable). Five loans (34.9%) are secured by properties
located in Texas with two of the top 10 loans (31.5%) secured by
properties in Austin, TX.

Upcoming Maturities: All of the remaining 49 non-specially serviced
loans (99.5% of pool) are scheduled to mature between July and
November 2021.

RATING SENSITIVITIES

The Negative Rating Outlook on class G reflects additional
sensitivity analysis and potential downgrade concerns should
performance of the FLOCs, primarily the Patriot Tech Center loan,
continue to deteriorate and/or if these loans fail to pay off at
maturity. The Stable Rating Outlooks for classes A-4 through F and
class X-A reflect increasing credit enhancement and expected
continued paydown. Future upgrades and/or Rating Outlook revisions
to Stable from Negative may occur should performance of the Patriot
Tech Center and/or 8301 Professional Place loans improve and
stabilize, and/or with additional paydown from loans maturing over
the next 18 months or additional defeasance of the pool. Downgrades
may be possible should performance deteriorate significantly.


WELLS FARGO 2020-1: Moody's Assigns B2 Rating on Cl. B-5 Debt
-------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 25 classes
of residential mortgage-backed securities issued by Wells Fargo
Mortgage Backed Securities 2020-1 Trust. The ratings range from Aaa
(sf) to B2 (sf).

WFMBS 2020-1 is the first prime issuance by Wells Fargo Bank, N.A.
(Wells Fargo Bank, the sponsor) in 2020. The non-conforming
mortgage loans for this transaction are originated by Wells Fargo
Bank, through its retail and correspondent channels, in accordance
with its non-conforming underwriting guidelines. In this
transaction, 721 loans (two loans dropped following provisional
ratings) (95.54% by loan balance) are designated as qualified
mortgages (QM) under the QM safe harbor rules, while 43 loans
(4.46% by loan balance) are designated as conforming loans under
GSE Temporary status. These 43 mortgage loans were originated to
either or both of the Federal National Mortgage Association (Fannie
Mae) and Federal Home Loan Mortgage Corporation (Freddie Mac)
guidelines (collectively, GSE eligible loans). All of the mortgage
loans (other than the GSE eligible loans) were originated in
accordance with Wells Fargo Bank, N.A.'s non-conforming
underwriting guidelines.

Wells Fargo Bank will service all the loans and will also be the
master servicer for this transaction. The servicer will be
primarily responsible for funding certain servicing advances and
delinquent scheduled interest and principal payments for the
mortgage loans, unless the servicer determines that such amounts
would not be recoverable. In the event a servicer event of default
has occurred and the Trustee terminates the servicer as a result
thereof, the master servicer shall fund any advances that would
otherwise be required to be made by the terminated servicer (to the
extent the terminated Servicer has failed to fund such advances
until such time as a successor servicer is appointed and commences
servicing the mortgage loans). The master servicer and servicer
will be entitled to be reimbursed for any such monthly advances
from future payments and collections (including insurance and
liquidation proceeds) with respect to those mortgage loans.

The WFMBS 2020-1 transaction is a securitization of 764 primarily
30-year, fixed rate, prime residential mortgage loans with an
unpaid principal balance of $582,534,456 . The pool has strong
credit quality and consists of borrowers with high FICO scores,
significant equity in their properties and liquid cash reserves.
The pool has clean pay history and weighted average seasoning of
approximately 4.93 months.

The securitization has a shifting interest structure with a
five-year lockout period that benefits from a senior floor and a
subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Wells Fargo Mortgage Backed Securities 2020-1 Trust

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-4, Assigned Aaa (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aa1 (sf)

Cl. A-18, Assigned Aa1 (sf)

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A2 (sf)

Cl. B-3, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Due to change in the pool composition (two loans dropped) Moody's
expected loss for this pool in a baseline scenario is 0.27% and
reaches 3.59% at a stress level consistent with the Aaa ratings.

Its loss estimates are based on a loan-by-loan assessment of the
securitized collateral pool as of the cut-off date using Moody's
Individual Loan Level Analysis (MILAN) model. The model combines
loan-level characteristics with economic drivers to determine the
probability of default for each loan, and hence for the portfolio
as a whole. Severity is also calculated on a loan-level basis. The
pool loss level is then adjusted for borrower, zip code, MSA level
concentrations and any other outside model adjustments such as
origination channel.

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

Collateral Description

The WFMBS 2020-1 transaction is a securitization of 764 first lien
residential mortgage loans with an unpaid principal balance of
$582,534,456 . The loans in this transaction have strong borrower
characteristics with a weighted average original FICO score of 779
and a weighted-average original loan-to-value ratio (LTV) of 71.4%.
In addition, 9.2% of the borrowers are self-employed and refinance
loans comprise 52.9% (including construction to permanent loans) of
the aggregate pool. Of note, 8.53% (by loan balance) of the pool
comprised of construction to permanent loans. The construction to
permanent is a two part loan where the first part is for the
construction and then it becomes a permanent mortgage once the
property is complete. For all the loans in the pool, the
construction was complete and because the borrower cannot receive
cash from the permanent loan proceeds or anything above the
construction cost, Moody's treated these loans as a rate term
refinance rather than a cash out refinance loan. The pool has a
high geographic concentration with 49.2% of the aggregate pool
located in California and 15.7% located in the New
York-Newark-Jersey City MSA. The characteristics of the loans
underlying the pool are slightly stronger than recent prime RMBS
transactions backed by 30-year mortgage loans that Moody's has
rated.

Origination Quality

The non-conforming mortgage loans for this transaction are
originated by Wells Fargo Bank, through its retail and
correspondent channels, generally in accordance with its
non-conforming underwriting guidelines. After considering the
non-conforming underwriting guidelines from Wells Fargo Bank,
Moody's made no adjustments to its base case and Aaa loss
expectations. Majority of the loans are originated through retail
channel i.e. 66.6% of the pool and the remaining pool i.e. 33.4% is
originated through correspondent channel.

Third Party Review

One independent third-party review firm, Clayton Services LLC, was
engaged to conduct due diligence for the credit, regulatory
compliance, property valuation, and data accuracy for all of the
764 loans in the initial population of this transaction (100% of
the mortgage pool).

The credit review consisted of a review of the documentation in
each loan file relating to the creditworthiness of the borrowers,
and an assessment of whether the characteristics of the mortgage
loans and the borrowers reasonably conformed to Wells Fargo Bank's
underwriting guidelines. Where there were exceptions to guidelines,
the TPR firm noted compensating factors. Additionally, the TPR firm
evaluated Wells Fargo Bank's discretionary non-conforming
underwriting guidelines and Appendix Q for QM determination and
evidence of the borrower's willingness and ability to repay the
obligation and examined Data Verify/Fraudguard/Interthinx or
similar risk evaluation reports ordered by Wells Fargo Bank or
Clayton.

Clayton Services LLC 's regulatory compliance review consisted of a
review of compliance with the Truth in Lending Act and the Real
Estate Settlement Procedures Act among other federal, state and
local regulations.

The TPR firm's property valuation review consisted of reviewing the
valuation materials utilized at origination to ensure the appraisal
report was complete and in conformity with the underwriting
guidelines. The TPR firm also compared third party valuation
products to the original appraisals where 10% negative variances
were reported and, in some cases, additional appraisals were
performed. The overall TPR results were in line with its
expectations considering the clear underwriting guidelines and
overall processes and procedures that Wells Fargo Bank has in
place. Many of the grade B loans were underwritten using
underwriter discretion where the compensating factors were not
clearly documented in the loan file. Areas of discretion included
length of insufficient cash reserves, mortgage/rental history,
missing verbal verification of employment and explanation for
multiple credit exceptions. The due diligence firm noted that these
exceptions are minor and/or provided an explanation of compensating
factors. Several of the compensating factors listed were sufficient
to explain the underwriting exception. As a result, Moody's did not
make any adjustment to its losses for this.

Representation & Warranties (R&W)

Wells Fargo Bank, as the originator, makes the loan-level
representation and warranties (R&Ws) for the mortgage loans. The
loan-level R&Ws are strong and, in general, either meet or exceed
the baseline set of credit-neutral R&Ws Moody's has identified for
US RMBS. Further, R&W breaches are evaluated by an independent
third party using a set of objective criteria. Similar to J.P.
Morgan Mortgage Trust (JPMMT) transactions, the transaction
contains a "prescriptive" R&W framework. The originator makes
comprehensive loan-level R&Ws and an independent reviewer will
perform detailed reviews to determine whether any R&Ws were
breached when loans become 120 days delinquent, the property is
liquidated at a loss above a certain threshold, or the loan is
modified by the servicer. These reviews are prescriptive in that
the transaction documents set forth detailed tests for each R&W
that the independent reviewer will perform. Moody's believes that
Wells Fargo Bank's robust processes for verifying and reviewing the
reasonableness of the information used in loan origination along
with effectively no knowledge qualifiers mitigates any risks
involved. Wells Fargo Bank has an anti-fraud software tools that
are integrated with the loan origination system (LOS) and utilized
pre-closing for each loan. In addition, Wells Fargo Bank has a
dedicated credit risk, compliance and legal teams oversee fraud
risk in addition to compliance and operational risks. Moody's did
not make any adjustment to its base case and Aaa loss expectations
for R&Ws.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 0.75% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 0.75% of the closing pool
balance.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The senior subordination floor of 0.75% and subordinate floor of
0.75% are consistent with the credit neutral floors for the
assigned ratings.

Transaction structure

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

All certificates in this transaction are subject to a net WAC cap.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.

Other Considerations

In WFMBS 2020-1, unlike other prime jumbo transactions, Wells Fargo
Bank is both the servicer and master servicer for the deal.
However, in the case of the termination of the servicer, the master
servicer must consent to the trustee's selection of a successor
servicer, and the successor servicer must have a net worth of at
least $15 million and be Fannie or Freddie approved. The master
servicer shall fund any advances that would otherwise be required
to be made by the terminated servicer (to the extent the terminated
servicer has failed to fund such advances) until such time as a
successor servicer is appointed. Additionally, in the case of the
termination of the master servicer, the trustee will be required to
select a successor master servicer in consultation with the
depositor. The termination of the master servicer will not become
effective until either the trustee or successor master servicer has
assumed the responsibilities and obligations of the master servicer
which also includes the advancing obligation.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
October 2019.


WELLS FARGO 2020-C55: Fitch Rates Class G Certs 'B-sf'
------------------------------------------------------
Fitch Ratings assigned final ratings and Rating Outlooks on Wells
Fargo Commercial Mortgage Trust 2020-C55, commercial mortgage
pass-through certificates, Series 2020-C55.

  -- $20,310,000d class A-1 'AAAsf'; Outlook Stable;

  -- $18,218,000d class A-2 'AAAsf'; Outlook Stable;

  -- $24,260,000d class A-3 'AAAsf'; Outlook Stable;

  -- $32,314,000d class A-SB 'AAAsf'; Outlook Stable;

  -- $182,940,000d class A-4 'AAAsf'; Outlook Stable;

  -- $395,940,000d class A-5 'AAAsf'; Outlook Stable;

  -- $673,982,000ad class X-A 'AAAsf'; Outlook Stable;

  -- $178,124,000ad class X-B 'A-sf'; Outlook Stable;

  -- $96,283,000d class A-S 'AAAsf'; Outlook Stable;

  -- $44,531,000d class B 'AA-sf'; Outlook Stable;

  -- $37,310,000d class C 'A-sf'; Outlook Stable;

  -- $45,734,000abd class X-D 'BBB-sf'; Outlook Stable;

  -- $20,460,000abd class X-F 'BB-sf'; Outlook Stable;

  -- $9,629,000abd class X-G 'B-sf'; Outlook Stable;

  -- $25,274,000bd class D 'BBBsf'; Outlook Stable;

  -- $20,460,000bd class E 'BBB-sf'; Outlook Stable;

  -- $20,460,000bd class F 'BB-sf'; Outlook Stable;

  -- $9,629,000bd class G 'B-sf'; Outlook Stable.

The following class is not rated by Fitch:

  -- $34,902,711bcd class H-RR.

(a) Notional amount and interest only.

(b) Privately-placed and pursuant to Rule 144a

(c) Horizontal credit-risk retention interest

(d) The eligible vertical risk retention interest will consist of
approximately 4.34% of the certificate balance, notional amount, or
percentage interest of each class of certificates.

The final ratings are based on information provided by the issuer
as of Feb. 27, 2020.

Since Fitch published its presale on Feb. 3, 2020, the class
balances for class A-4 and A-5 have been finalized. At the time
that the expected ratings were published, the initial certificate
balances of classes A-4 and A-5 were unknown and expected to be
approximately $578,880,000 in the aggregate, subject to a 5%
variance. The final class balances for classes A-4 and A-5 are
$182,940,000 and $395,940,000, respectively.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 66 loans secured by 100
commercial properties having an aggregate principal balance of
$962,831,711 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, Barclays
Capital Real Estate, Inc, LMF Commercial, LLC, Ladder Capital
Finance LLC, Rialto Real Estate Fund IV - Debt, LP and Argentic
Real Estate Finance LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 70.0% of the properties
by balance, cash flow analysis of 82.5% of the pool, and asset
summary reviews on 100% of the pool.

KEY RATING DRIVERS

Fitch Leverage: The pool's leverage is higher than that of other
recent Fitch-rated multiborrower transactions. The pool's DSCR of
1.19x is lower than average when compared to the 2019 and 2018
averages of 1.25x and 1.22x, respectively. The pool's trust Fitch
LTV of 103.9% is higher than the 2019 and 2018 averages of 102.9%
and 102.0%, respectively. Excluding credit opinion loans, the
pool's WA DSCR and LTV are 1.18x and 113.7%, respectively.

Diversified Pool: The pool's loan concentration index (LCI) of 309
is well-below the 2019 and 2018 averages of 379 and 373,
respectively. The pool's 10 largest loans represent 44.3% of the
total pool balance, which is below the 2019 and 2018 averages of
51.0% and 50.6%, respectively.

Credit Opinion Loans: Four loans representing 24.2% of the pool by
balance are credit assessed. Kings Plaza (8.6% of the pool by
cutoff balance) received a standalone credit opinion of 'BBBsf'.
1633 Broadway (7.3%), 650 Madison Avenue (4.2%) and F5 Tower (4.2%)
each received standalone credit opinions of 'BBB-sf'.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 14.2% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to the WFCM
2020-C55 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.


WFRBS COMMERCIAL 2012-C7: Moody's Cuts Class G Certs to Caa3
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
and downgraded the ratings on four classes in WFRBS Commercial
Mortgage Trust 2012-C7 as follows:

Cl. A-1, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)

Cl. A-2, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)

Cl. A-FL, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)

Cl. A-FX, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa2 (sf); previously on Nov 9, 2018 Affirmed Aa2
(sf)

Cl. C, Affirmed A2 (sf); previously on Nov 9, 2018 Affirmed A2
(sf)

Cl. D, Affirmed Baa1 (sf); previously on Nov 9, 2018 Affirmed Baa1
(sf)

Cl. E, Downgraded to Ba3 (sf); previously on Nov 9, 2018 Affirmed
Ba1 (sf)

Cl. F, Downgraded to B3 (sf); previously on Nov 9, 2018 Affirmed B1
(sf)

Cl. G, Downgraded to Caa3 (sf); previously on Nov 9, 2018 Affirmed
Caa1 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa
(sf)

Cl. X-B*, Downgraded to B3 (sf); previously on Nov 9, 2018 Affirmed
B1 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The ratings on eight P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value ratio,
Moody's stressed debt service coverage ratio and the transaction's
Herfindahl Index, are within acceptable ranges.

The ratings on three P&I classes were downgraded due to the decline
in performance and upcoming refinance risk of four loans (40.9% of
the pool) secured by regional malls comprising of ; Northridge
Fashion Center, Town Center at Cobb, Florence Mall, and Fashion
Square, and the anticipated losses from troubled loans.

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

The rating on one IO Class (Class X-B) was downgraded due to a
decline in the credit quality of its referenced classes. This IO
class references seven P&I classes including Class H, which is not
rated by Moody's.

Moody's rating action reflects a base expected loss of 5.7% of the
current pooled balance, compared to 3.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.2% of the
original pooled balance, compared to 3.1% at the last review.

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

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

Factors that could lead to an upgrade of the ratings include 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 interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in July 2017 and "Moody's Approach to Rating Large
Loan and Single Asset/Single Borrower CMBS" published in July 2017.
The methodologies used in rating interest-only classes were
"Approach to Rating US and Canadian Conduit/Fusion CMBS" published
in July 2017, Moody's Approach to Rating Large Loan and Single
Asset/Single Borrower CMBS" published in July 2017, and "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in February 2019.

DEAL PERFORMANCE

As of the February 15, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 16% to $925 million
from $1.10 billion at securitization. The certificates are
collateralized by 54 mortgage loans ranging in size from less than
1% to 14.7% of the pool, with the top ten loans (excluding
defeasance) constituting 65.3% of the pool. Fifteen loans,
constituting 14.1% 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 12, compared to 14 at Moody's last review.

Seven loans, constituting 6.8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $5.1 million (for an average loss
severity of 32%). There are no loans currently in special
servicing, however, Moody's has assumed a high default probability
for two poorly performing loans, constituting 4.0% of the pool, and
has estimated an aggregate loss of $16.9 million (a 46% expected
loss on average) from these troubled loans.

The largest troubled loan is the Fashion Square Loan ($34.1 million
-- 3.7% of the pool), which is secured by a 446,000 square foot
(SF) component of a 788,000 SF regional mall located in located in
Saginaw, Michigan. The property is anchored by Macy's and JCPenney,
with only the JCPenney being part of the loan collateral.
Additionally, the non-collateral anchor space formerly occupied by
Sears went dark in October 2019. As of August 2019, the total mall
was 89% leased, however when accounting for the Sears closure, the
occupancy dips to 71%. In July 2016, the former sponsor, CBL &
Associates Properties, sold Fashion Square Mall and The Lakes Mall
in Muskegon, to Namdar Realty for $66.5 million, and Namdar has now
assumed this loan. Prior to the sale, CBL previously listed this
property as a Tier 3 mall on their 10-K report, indicating inline
sales of $285 psf as of December 2015. Moody's anticipates a loss
from this loan. Operating performance of the mall has declined
since securitization and continues to deteriorate.

Moody's received full year 2018 operating results for 97% of the
pool, and full or partial year 2019 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 93%, compared to 90% 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
reflects a weighted average haircut of 18% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.0%.

Moody's actual and stressed conduit DSCRs are 1.61X and 1.23X,
respectively, compared to 1.65X and 1.23X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 37.2% of the pool balance.
The largest loan is the Northridge Fashion Center Loan ($136.1
million -- 14.7% of the pool), which represents a pari-passu
portion of a $213.5 million first-mortgage. The loan is secured by
a 644,000 SF component of a 1.5 million SF, two-story,
super-regional mall located in Northridge, California. The property
is sponsored by Brookfield Property Partners following their
acquisition of General Growth Properties. The mall's non-collateral
anchors include Macy's, Macy's Men and Home and JC Penney. The
non-collateral anchor space formerly occupied by Sears went dark in
2018. In addition, the property has an outparcel housing a
10-screen Pacific Theatres. Other major tenants at the property
include Dave & Busters, Ross Dress for Less, Forever 21, and Old
Navy. The total property was 79% leased as of June 2019. The mall's
inline occupancy was 93% as of June 2019, compared to 96% in
December 2017. Property performance has remained strong since
securitization. The loan benefits from amortization, having
amortized 13.6% since securitization. Moody's LTV and stressed DSCR
are 90% and 1.11X, respectively, compared to 88% and 1.10X at the
last review.

The second largest loan is the Town Center at Cobb Loan ($117.7
million -- 12.7% of the pool), which represents a pari-passu
portion of a $181.0 million first-mortgage. The loan is secured by
a 560,000 SF component of a 1.3 million SF super-regional mall
located in Kennesaw, Georgia. The property, which is sponsored by
Simon Properties, opened in 1985, was expanded in 1996, and
renovated in 2009-2011. The property is anchored by a Macy's,
Macy's Furniture, JCPenney, Sears, and Belk. All of the anchors own
their own boxes, with the exception of Belk and a portion of the
JCPenney space. Property performance has declined over the past
three years, and the year-end 2018 performance was below
underwritten levels. The occupancy of the collateral component of
the property is 84% as of September 2019, compared to 87% in
December 2018. The loan benefits from amortization, having
amortized 9.5% since securitization. Moody's LTV and stressed DSCR
are 116% and 0.91X, respectively, compared to 107% and 0.96X at the
last review.

The third largest loan is the Florence Mall Loan ($90.0 million --
9.7% of the pool), which is secured by a 384,000 SF component of a
957,000 SF regional mall located in Florence, Kentucky,
approximately 12 miles from the Cincinnati CBD. The property, which
is also sponsored by Brookfield following their acquisition of GGP,
is anchored by Macy's, Macy's Home Store, JCPenney, and Cinemark
Theater. With the exception of 14-screen movie theater, all of the
anchor boxes are not part of the loan collateral. Additionally, the
non-collateral anchor space formerly occupied by Sears went dark in
November 2018. Property performance has declined since the last
review and the year-end 2018 performance remains below underwritten
levels. As of September 2019, the total mall was 79% occupied,
compared to 96% as of December 2017 and 92% in September 2016. As
of September 2019, inline occupancy was to 78%, the same as at the
prior review. However, several in-line tenants are on year-to-year
leases. Moody's LTV and stressed DSCR are 122% and 0.97X,
respectively, compared to 105% and 1.10X at the last review.


WFRBS COMMERCIAL 2012-C8: Fitch Affirms Class G Certs at 'Bsf'
--------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Wells Fargo Bank, National
Association, WFRBS Commercial Mortgage Trust 2012-C8 commercial
mortgage pass-through certificates.

WFRBS 2012-C8

Class A-3 92936YAC5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-FL 92936YAH4; LT AAAsf Affirmed;  previously at AAAsf

Class A-FX 92936YBB6; LT AAAsf Affirmed;  previously at AAAsf

Class A-S 92936YAE1;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 92936YAD3; LT AAAsf Affirmed;  previously at AAAsf

Class B 92936YAF8;    LT AAAsf Affirmed;  previously at AAAsf

Class C 92936YAG6;    LT Asf Affirmed;    previously at Asf

Class D 92936YAP6;    LT BBB+sf Affirmed; previously at BBB+sf

Class E 92936YAR2;    LT BBB-sf Affirmed; previously at BBB-sf

Class F 92936YAT8;    LT BBsf Affirmed;   previously at BBsf

Class G 92936YAV3;    LT Bsf Affirmed;    previously at Bsf

Class X-A 92936YAK7;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 92936YAM3;  LT AAAsf Affirmed;  previously at AAAsf

KEY RATING DRIVERS

Stable Loss Expectations: Overall pool loss expectations have
remained stable since the last rating action. Three loans (9.2% of
the pool) have been identified as Fitch Loans of Concern, including
two of the top 15 loans (8.5%) and one specially serviced loan
(0.7%). Outside of the FLOCs, the pool has had relatively stable
performance since issuance.

The largest FLOC, Town Center at Cobb (6.7% of the pool), is
secured by 559,940-sf portion of a 1.3 million-sf regional mall in
Kennesaw, GA. The property is anchored by Belk, JCPenney, Sears,
Macy's and Macy's Home. A portion of the JCPenney is collateral;
both Macy's and Sears are non-collateral. The property has
experienced fluctuating sales and has exposure to JCPenney and
Forever 21 as top tenants. As of this publication, the store is not
listed on recent store closing lists; Fitch will continue to
monitor for further updates.

The second non-specially serviced FLOC, 11800 Tech Road (1.7%), is
secured by a 230,394-sf flex office/industrial facility located in
Silver Spring, MD. The property has experienced performance
declines since issuance due to lower occupancy, falling to a low of
55% by 3Q17 compared to 82% at issuance. The property has had
recent occupancy improvement and leasing momentum, improving to 69%
leased per the December 2019 rent roll compared to 62% in September
2018. Occupancy is expected to improve to 82% factoring in recently
executed leases that were scheduled to commence in January 2020.
NOI debt service coverage ratio improved to 1.58x as of 3Q19 from
1.41x at fiscal year end December 2018, but remains below issuance
at 1.77x.

Specially Serviced Loan: The specially serviced REO asset (0.7% of
the pool) is a 96 room Spring Hill Suites hotel, located in San
Angelo, TX. According to the servicer, the property has been
impacted by the decline in the oil and gas industries and as a
result experienced cash flow issues from declining occupancy. By YE
2016, occupancy fell to 47% with NOI DSCR reporting at 0.26x. The
servicer foreclosed on the property in December 2017, and a new
property manager was put in place and working on Marriot's Property
Improvement Plan (PIP). The PIP was completed in 1Q18, and the
servicer/property manager is working to stabilize the property and
increase occupancy/ADR/RevPAR. The service is projecting a sale in
December 2020. Per the Smith Travel Research report for TTM ended
November 2019, property performance has steadily improved over the
past 12 months. Occupancy, ADR, and RevPAR have seen a 17.3%, 1.6%,
and 19.2% increase over the past 12 months. For the TTM ended
November 2019 period, occupancy reported at 75.7%, ADR at $95.77
and RevPAR at $72.46.

Increasing Credit Enhancement: Credit enhancement has increased
since issuance due to amortization and loan repayments, with 27% of
the original pool balance repaid. Twenty-two loans (18.6% of the
pool) are fully defeased. Over the past 12 months, three loans
(1.3% of original pool balance) have prepaid during their open
period or with yield maintenance. Since issuance, one loan had
liquidated while in special servicing: Shops at Freedom (0.65% of
original pool balance) was disposed in September 2017, with a
$26,689 loss absorbed by class H. Interest shortfalls are currently
affecting class H.

Additional Loss Considerations: Fitch ran two additional
independent sensitivity tests in which it modeled out sized losses
of 25% on the Town Center at Cobb loan (6.7%), and stressed its
pool-level losses by increasing the cap rates and NOI haircuts
applied to all of remaining loans. The analysis also factored in
the expected paydown of the transaction from defeased loans. The
stressed scenario did not result in negative rating actions given
the increased credit enhancement due to paydown and defeasance.

High Retail Concentration and Mall Exposure: Loans backed by retail
properties represent 42.8% of the pool, including eight within the
top 15. Two loans (15.0%) are secured by regional malls, both of
which are anchored by Sears, JCPenney and Macy's (none part of
collateral). Retail properties representing 10% of the pool are
anchored by a grocery tenant greater than 25% of the NRA.

RATING SENSITIVITIES

Rating Outlooks for all classes remain Stable due to relatively
stable performance of the remaining pool, continued amortization,
and increasing defeasance. Rating upgrades of up to a category on
classes C and D may occur with improved pool performance and
additional paydown or defeasance, but may be limited due to
increasing pool concentration and adverse selection, in addition to
the retail concentration. Rating downgrades of a category are
possible, although not expected to classes F and G should overall
pool performance decline.

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

No third-party due diligence was provided or reviewed in relation
to this rating action.

ESG CONSIDERATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).


WILLIS ENGINE V: Fitch Assigns BBsf Rating on Series C Debt
-----------------------------------------------------------
Fitch Ratings assigned final ratings to Willis Engine Structured
Trust V (WEST V).

RATING ACTIONS

Willis Engine Securitization Trust V
   
Series A; LT Asf New Rating;   previously at A(EXP)sf

Series B; LT BBBsf New Rating; previously at BBB(EXP)sf

Series C; LT BBsf New Rating;  previously at BB(EXP)sf

TRANSACTION SUMMARY

The notes issued from WEST V will be secured by lease payments and
disposition proceeds on a pool of 54 aircraft engines and three
airframes acquired by WEST V from Willis Lease Finance Corp. (WLFC)
and certain affiliates. Of the 57 Initial Assets, 29 are already
owned by Willis Engine Securitization Trust II (WEST II), and are
being refinanced with this transaction.

WLFC, as sponsor, servicer and administrative agent, will be
responsible for ongoing leasing activities related to the engines,
including the underwriting and servicing of leases, ongoing
maintenance and engine dispositions note proceeds will finance WEST
V's purchase of the engines from WLFC and its affiliates. Fitch
does not publicly rate WLFC.

WEST V is the fifth aircraft engine operating lease ABS trust
sponsored by WLFC. Fitch has rated all series issued from the prior
trusts. WLFC will retain WEST V's equity, consistent with the prior
trusts, which Fitch views positively.

The timeframe of remedial actions for the liquidity facility is
longer than outlined in Fitch's counterparty criteria, but this is
deemed to be immaterial under primary scenarios.

KEY RATING DRIVERS

Asset Quality — Positive: The majority of the pool comprises
high-quality engines supporting in-production, in-demand aircraft
variants from the A320 current engine option (ceo) and B737 Next
Generation (NG) families. 78.5% of the pool supports narrowbody
aircraft, which is a positive and within range of WEST III and IV.
Additionally, there are three A319-100 narrowbody aircraft totaling
3.2%, which are powered by CFM56-5B engines.

Lease Term and Maturity Schedule — Positive: The weighted average
(WA) remaining lease term of on-lease engines is 2.0 years, in line
with prior WEST pools. This is notably shorter than aircraft ABS
due to the larger presence of short-term leases, a part of WLFC's
strategy since the company's inception. Leases coming due in 2020
total 31.0%, 10.2% in 2021 and 36.0% in 2022. From years 2023-2025,
9.5% of the leases mature with the remaining 2.8% due further out
in year 2029. The concentration of leases expiring in 2022 is
largely attributed to the two GEnx engines (12.5%). Despite the
maturities, the lease term distribution is generally in line with
other WEST transactions.

Operational and Servicing Risk — Adequate Servicing Capability:
Fitch believes WLFC has the ability to remarket engines, underwrite
new leases, procure maintenance and sell engines, among other
responsibilities. Fitch believes WLFC to be a capable servicer,
supported by the company's operating results and historical
performance of both the managed portfolio and prior
securitizations.

Lessee Credit Risk — Weak Credits: There are 24 lessees in WEST
V, with the top three at 29.7%, consistent with 29.6% in WEST IV.
The 'CCC' assumed lessee concentration is 16.5%, up from 15.0% from
WEST IV. Most of the lessees are either unrated or
speculative-grade credits, typical of aircraft ABS. Fitch assumed
unrated lessees would perform consistent with either a 'B' or 'CCC'
Issuer Default Rating (IDR) to reflect pool default risk.

Country Credit Risk — Diversified: The three largest countries
total 38.3%, down from 48.0% in WEST IV and on the lower end of
recent Fitch-rated ABS transactions. The top three countries are
the United States (20.5%), United Kingdom (11.1%) and China
(6.7%).

Transaction Structure — Consistent: Similar to WEST III and IV,
WEST V incorporates structural features not present in WEST or WEST
II, such as turbo features for excess proceeds and debt service
coverage ratio (DSCR) triggers, all positives for noteholders.
Credit enhancement (CE) comprises overcollateralization (OC),
various reserve accounts and a liquidity facility, consistent with
prior series. Initial loan-to-values (LTVs), based on the average
of the pool's maintenance-adjusted base values, are 72.0%, 82.0%
and 87.0% for the series A, B, and C notes, respectively.

Aviation Market Cyclicality: Commercial aviation has been subject
to significant cyclicality due to macroeconomic and geopolitical
events. Fitch's analysis assumes multiple periods of significant
volatility over the life of the transaction. Downturns are
typically marked by reduced asset utilization rates, values and
lease rates, as well as deteriorating lessee credit quality. Fitch
employs asset value stresses in its analysis, which takes into
account age and marketability of aircraft/engines in the portfolio
to simulate the decline in lease rates expected over the course of
an aviation market downturn and the corresponding decrease to
potential residual sales proceeds.

Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum cap of 'Asf' due to the factors discussed above and
the potential volatility they produce.

RATING SENSITIVITIES

The performance of engine operating lease securitizations can be
affected by various factors, which, in turn, could have an impact
on the assigned ratings. Fitch conducted multiple rating
sensitivity analyses to evaluate the impact of changes to a number
of the variables in the analysis. As stated, these sensitivity
scenarios were also considered in determining Fitch's expected
ratings.

Coronavirus Stress Scenario

Fitch assumed domestic Chinese airline operators encounter
significant traffic reduction, resulting in default following
transaction close. This sensitivity scenario is designed to further
stress cash flows for assets tied to these domestic Chinese
airlines (6.7%) to evaluate the potential impact on ratings.

Net cash flows excluding sales decrease in the near term by $5.5
million, but all series of notes remain able to pay in full under
their respective rating scenarios, supportive of the initial
expected ratings. Under this scenario, the cash flows are stressed
but do not result in any rating downgrades.

Technological Cliff Stress Scenario

Fitch assumed the phase 2 length for CFM56-7B, 5B and V2500-A5
engines is shortened to five years rather than the five- to
seven-year range assumption in the primary scenarios. Fitch assumed
5% depreciation for all engines in the pool rather than a 0%
assumption for new engines and those with certain technological
advancements. Fitch assumed a 25% residual value assumption for all
the engines rather than 50% or 65% in the primary scenario.

This sensitivity is meant to create a scenario in which engines
supporting the neo and MAX aircraft gain market share at a far
quicker pace than anticipated. Under this scenario, Airbus and
Boeing production rates would surpass their current schedules and
part-out scenarios would result in lower residual proceeds for the
engines. This scenario is also meant to include a significant rise
in fuel costs, leading airlines and lessors to opt for the more
fuel-efficient neo or MAX aircraft.

Under this scenario, the cash flows are stressed compared to the
primary cash flow runs. The structure is particularly stressed from
the decline in disposition proceeds, but the structure is
sufficiently mitigated to this risk and does not result in a
possible downgrade.

High Short-Term Lease Concentration Scenario

Fitch assumed WLFC increased their future mix of short-term leases
to 75%, significantly up from the current concentration. While
demand for short-term leases has been prone to fluctuations over
the years, it has never reached 75% within WLFC's portfolio. This
sensitivity scenario reflects the possibility of market demand
shifting towards short-term leases and away from long-term leasing.
While short-term leases have higher lease rates, the increased
amount of downtime and expenses would negatively affect the
transaction.

Under this scenario, the cash flows are stressed compared to the
primary run, but the structure is sufficiently mitigated to this
risk and does not result in a possible downgrade.


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
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Monthly Operating Reports are summarized in every Saturday edition
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The Sunday TCR delivers securitization rating news from the week
then-ending.

TCR subscribers have free access to our on-line news archive.
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