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

              Sunday, May 17, 2020, Vol. 24, No. 137

                            Headlines

1211 AVENUE 2015-1211: Fitch Affirms Class E Certs at 'BBsf'
ACC TRUST 2019-1: Moody's Reviews B2 on Class C Notes for Downgrade
AMERICREDIT AUTOMOBILE 2018-1: Fitch Affirms Class E Debt at BBsf
BAMLL COMMERCIAL 2016-SS1: DBRS Hikes F Certs Rating to BB(low)
BEAR STEARNS 2007-TOP26: DBRS Confirms C Rating on 3 Tranches

CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms Class F Debt at B-sf
COMM 2015-3BP: DBRS Assigns BB(low) Rating on Class F Certs
COMM 2016-GCT: DBRS Assigns B(low) Rating on Class F Certs
CSWF TRUST 2018-TOP: DBRS Assigns B(low) Rating on Class H Certs
DBJPM 2016-C3: Fitch Corrects May 5 Press Release

FREED ABS 2020-1: Moody's Reviews Ba3 on C Notes for Downgrade
GOLDMAN SACHS 2011-GC5: Fitch Cuts Rating on 2 Tranches to CCC
HERTZ VEHICLE 2017-2: Fitch Puts Ratings on Watch Negative
HERTZ VEHICLE II: DBRS Puts BB Rating on 10 Classes Under Review
JP MORGAN 2007-LDP11: Moody's Cuts Class A-J Certs Rating to Ca

LEGACY MORTGAGE 2020-RPL1: DBRS Assigns B Rating on Class B2 Notes
NEW RESIDENTIAL 2020-2: DBRS Assigns BB Rating on 10 Classes Notes
PHC 2015-CIBOLO: Moody's Cuts Rating on 2015A Certs to Ba1
TOWD POINT 2020-2: DBRS Finalizes B Rating on Class B2 Notes
VNDO TRUST 2016-350P: DBRS Assigns BB(low) Rating on Class E Certs

WAMU MORTGAGE 2004-AR2: Moody's Cuts Class A Certs Rating to B1
[*] Fitch Affirms Ratings on Distressed Bonds From 4 US CMBS Deals
[*] Fitch Alters Outlook on 31 Tranches From 17 CMBS Deals to Neg.
[*] Fitch Cuts Rating on 44 Notes From 11 Hertz Vehicle Securities
[*] Fitch Takes Action on 58 Tranches From 8 Trust Preferred CDOs

[*] Moody's Reviews 215 Tranches From 52 RMBS Deals for Downgrade

                            *********

1211 AVENUE 2015-1211: Fitch Affirms Class E Certs at 'BBsf'
------------------------------------------------------------
Fitch Ratings has affirmed eight classes of 1211 Avenue of the
Americas Trust 2015-1211 commercial mortgage pass-through
certificates.

The certificates represent the beneficial interests in the mortgage
loan securing the fee interest in the 1211 Avenue of the Americas
office property in New York, NY. The mortgage loan is secured by
the borrower's fee simple interest in a 45-story office building
totaling approximately 2.0 million sf of office and retail space,
located at 1211 Avenue of the Americas in New York, NY. The
10-year, fixed-rate, interest-only loan matures in August 2025.

1211 Avenue of the Americas Trust 2015-1211      

  - Class A-1A1 90117PAA3; LT AAAsf; Affirmed

  - Class A-1A2 90117PAC9; LT AAAsf; Affirmed

  - Class B 90117PAJ4; LT AA-sf; Affirmed

  - Class C 90117PAL9; LT A-sf; Affirmed

  - Class D 90117PAN5; LT BBB-sf; Affirmed

  - Class E 90117PAQ8; LT BBsf; Affirmed

  - Class X-A 90117PAE5; LT AAAsf; Affirmed

  - Class X-B 90117PAG0; LT AA-sf; Affirmed

KEY RATING DRIVERS

Stable to Improved Cash Flow Since Issuance: The property continues
to maintain high occupancy, at 95.7% as of December 2019, up from
94.6% at YE18 and 91.5% at issuance. The most recent
servicer-reported year-to-date September 2019 net cash flow debt
service coverage ratio was 2.64x, compared with 2.43x for YE18.
Fitch's cash flow has improved to $102.7 million from $95.5 million
at issuance.

Above-Average Property Quality in Strong Location: 1211 Avenue of
the Americas consists of a 45-story, class A office building
located in Midtown Manhattan. The property is adjacent to
Rockefeller Center and in close proximity to subway lines and major
transportation hubs.

Strong Historical Occupancy and High-Quality Tenancy: Occupancy has
remained above 90% since 2012. The top five tenants account for
approximately 87% of the NRA and include Twenty-First Century Fox,
Inc. (59.2% of NRA; rated A-; lease expiry in November 2025), Ropes
& Gray (16.4% of NRA; lease expiry in March 2027), Axis Reinsurance
(6.1% of NRA; rated A+; lease expiry in August 2023), RBC (3.1% of
NRA; rated AA; lease expiry in December 2026) and Nordea (2.2% of
NRA; rated AA-; lease expiry in April 2031).Tenants with
investment-grade credit ratings account for approximately 70.6% of
the NRA. Approximately 10% of the NRA expires before loan
maturity.

Fitch Leverage: The $1.035 billion mortgage loan has a Fitch DSCR
and loan to value ratio of 1.27x and 69.0%, respectively, and debt
of $514psf.

Sponsorship and Property Manager: The loan sponsor is Ivanhoé
Cambridge Inc. The property is submanaged by Cushman & Wakefield
and Callahan Capital Properties LLC.

Single Asset: The transaction is secured by a single property and
is, therefore, more susceptible to single-event risks related to
the market, sponsor or the largest tenants occupying the property.

Coronavirus Exposure: Fitch reviewed the sponsor and tenant profile
of the subject property and viewed the collateral to have a limited
impact from the coronavirus pandemic due to the high concentration
of investment-grade tenancy and the longer-term nature of the
leases. Fitch will continue to monitor any declines in loan
performance and will adjust ratings and Rating Outlooks
accordingly.

RATING SENSITIVITIES

The Rating Outlook for all classes remains Stable due to stable to
improved performance since issuance.

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

  -- Fitch rates classes A-1A1 and A-1A2 at 'AAAsf'; therefore,
upgrades are not possible. Upgrades to classes B through E are
possible with stable to improved occupancy, sustained cash flow
improvement and further clarity on the reason behind the volatility
with respect to certain expense line items and other income.

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

  -- Factors that lead to downgrades include a significant and
sustained decline in occupancy and/or property cash flow.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


ACC TRUST 2019-1: Moody's Reviews B2 on Class C Notes for Downgrade
-------------------------------------------------------------------
Moody's Investors Service has placed three tranches from two
asset-backed securitizations backed by non-prime auto leases on
review for possible downgrade. The bonds are backed by pools of
auto lease contracts originated by RAC King, LLC and serviced by
RAC Servicer, LLC.

The complete rating actions are as follows:

Issuer: ACC Trust 2019-1

Class C Notes, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 28, 2019 Definitive Rating Assigned B2 (sf)

Issuer: ACC Trust 2019-2

Class B Notes, Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on Nov 21, 2019 Definitive Rating Assigned
Baa3 (sf)

Class C Notes, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 21, 2019 Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

The rating action reflects an increased likelihood of deterioration
in the performance of the underlying auto leases as a result of a
slowdown in US economic activity and increase in unemployment due
to the coronavirus outbreak.

ACC Trust 2019-1 and 2019-2 are backed by pool of non-prime
closed-end retail automobile leases originated by RAC King, LLC. In
its analysis, Moody's considered up to a 20% increase in remaining
expected credit losses on the underlying pool to evaluate the
resiliency of the ratings. Moody's also analyzed the residual risk
of the pool based on exposure to residual value risk, the
historical turn-in rate and historical residual value performance.
The potential increase in expected loss reflects the increased
volatility caused by the coronavirus outbreak. Non-prime auto
leases are more susceptible to this economic slowdown due to the
relatively weak credit quality of the underlying obligors. In its
analysis, Moody's factored individual transaction specifics such as
overcollateralization, reserve fund targets and availability of
excess spread of the deal in the coming months.

During the review period, Moody's will evaluate effects of ongoing
and projected macroeconomic conditions, as well as impact of
various parties including the government, servicer and issuer on
the performance of underlying pools to update its cumulative net
loss projection on the pools. Unemployment and used vehicle values
are key indicators of performance for auto lease ABS. Weaknesses in
these factors are likely to have a negative impact on the future
performance of the leases. Rating actions on the bonds, due to the
revised projections, will vary for the different shelves and
reflect individual transaction considerations.

Its analysis has considered the effect of the coronavirus outbreak
on the US economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of consumer assets. Specifically, for US Auto
lease deals, the softening of the used car market will impact
residual value performance on leases. In addition, performance will
weaken due to the unprecedented spike in the unemployment rate,
which may limit borrowers' income and their ability to service
debt, also a credit negative. Furthermore, borrower assistance
programs such as lease extensions may adversely impact scheduled
cash flows to bondholders.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

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 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.


AMERICREDIT AUTOMOBILE 2018-1: Fitch Affirms Class E Debt at BBsf
-----------------------------------------------------------------
Fitch Ratings has affirmed all outstanding classes in Americredit
Automobile Receivables Trusts and revised three Outlooks to Stable
from Positive. The market disruption caused by the coronavirus and
related containment measures did not negatively affect the ratings
because there is sufficient credit enhancement to cover higher
cumulative net losses projected after more severe assumptions were
applied. The sensitivity of the ratings to scenarios more severe
than currently expected is provided in Rating Sensitivities.

AmeriCredit Automobile Receivables Trust 2019-2      

  - Class A-2-A 03066KAC4; LT AAAsf; Affirmed

  - Class A-2-B 03066KAD2; LT AAAsf; Affirmed

  - Class A-3 03066KAE0; LT AAAsf; Affirmed

  - Class B 03066KAF7; LT AAsf; Affirmed

  - Class C 03066KAG5; LT Asf; Affirmed

  - Class D 03066KAH3; LT BBBsf; Affirmed

  - Class E 03066KAA8; LT BBsf; Affirmed

AmeriCredit Automobile Receivables Trust 2018-1      

  - Class A-3 03066HAD9; LT AAAsf; Affirmed

  - Class B 03066HAE7; LT AAAsf; Affirmed

  - Class C 03066HAF4; LT AAsf; Affirmed

  - Class D 03066HAG2; LT Asf; Affirmed

  - Class E 03066HAH0; LT BBBsf; Affirmed

KEY RATING DRIVERS

The rating actions are based on available CE and CNL performance to
date. The collateral pools continue to perform within Fitch's
expectations, and hard CE is building for the notes. The securities
are able to withstand stress scenarios consistent with or higher
than their current ratings, and make full payments to investors in
accordance with the terms of the documents. The Stable Outlooks
reflect Fitch's expectation that the classes have sufficient levels
of credit protection to withstand potential deterioration in credit
quality of the portfolios in stress scenarios and loss coverage
will continue to increase as the transaction amortizes.

As of the April 2020 payment report, 61+ day delinquencies were
2.23% and 1.84% of the remaining collateral balance for 2018-1 and
2019-2, respectively, and CNLs were 4.11% and 1.92%. CNLs for both
transactions are tracking below Fitch's initial base case of 10.50%
and 11.00%. Further, hard CE has grown for both transactions from
close, respectively. Class E hard CE remains at its target of
14.75%.

Fitch has made assumptions about the spread of coronavirus and the
economic impact of the related containment measures. As a base-case
scenario, Fitch assumes a global recession in 1H20 driven by sharp
economic contractions in major economies with a rapid spike in
unemployment, followed by a recovery that begins in 3Q20 as the
health crisis subsides. As a downside (sensitivity) scenario
provided in the Rating Sensitivities section, Fitch considers a
more severe and prolonged period of stress with a halting recovery
beginning in 2Q21.

To account for potential increases in delinquencies and losses,
utilizing the base case coronavirus ratings scenario, Fitch applied
conservative assumptions in deriving the updated base case proxy.
For both transactions, the base case proxies were increased from
the prior review by utilizing recessionary static managed portfolio
performance along with projections based on current performance.
Given the current economic environment, Fitch deemed it
appropriately conservative to utilize these approaches for both
transactions.

For 2018-1, the base case lifetime CNL proxy was increased to 9.50%
from 9.00% at the prior review. Under Fitch's stressed cash flow
assumptions, loss coverage for classes A and B support multiples in
excess of 3.25x for 'AAAsf'. Classes C, D, and E loss coverage
supports multiples in excess of 2.75x, 2.25x, and 1.75x for 'AAsf',
'Asf', and 'BBBsf', respectively.

For 2019-2, the base case lifetime CNL proxy was increased to
12.00% from the initial proxy of 11.00%. Under Fitch's stressed
cash flow assumptions, loss coverage for classes A and B support
multiples in excess of 3.25x and 2.75x for 'AAAsf' and 'AAsf',
respectively. Further, class C, D, and E loss coverage supports
multiples in excess of 2.25x, 1.75x, and 1.50x for 'Asf', 'BBBsf',
and 'BBsf', respectively.

RATING SENSITIVITIES

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CNL is 20% less than projected CNL
proxy, the ratings could be upgraded by up to one category for the
subordinate notes or affirmations of ratings with stronger
multiples.

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

Conversely, unanticipated increases in the frequency of defaults
could produce default levels higher than the current projected base
case default proxy, and impact available loss coverage and
multiples levels for the transaction. Weakening asset performance
is strongly correlated to increasing levels of delinquencies and
defaults that could negatively impact CE levels. Lower loss
coverage could impact ratings and Rating Outlooks, depending on the
extent of the decline in coverage.

In Fitch's initial review, the notes were found to have some
sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss
expectation for each transaction. The 2.0x scenario was updated and
is considered Fitch's coronavirus downside rating sensitivity. This
sensitivity suggests ratings for the outstanding notes could be
downgraded by one to two rating categories. To date, the
transactions have experienced strong performance with losses within
Fitch's initial expectations with adequate loss coverage and
multiple levels. Therefore, a material deterioration in performance
would have to occur within the asset collateral to have potential
negative impact on the outstanding ratings.

Due to the uncertainty surrounding the coronavirus outbreak, Fitch
ran additional sensitivities to account for potential increases in
delinquencies. The transactions are able to withstand the added
stresses with loss coverage consistent with ratings in their
respective notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


BAMLL COMMERCIAL 2016-SS1: DBRS Hikes F Certs Rating to BB(low)
---------------------------------------------------------------
DBRS Limited upgraded the ratings on the following classes of the
Commercial Mortgage Pass-Through Certificates issued by BAMLL
Commercial Mortgage Securities Trust 2016-SS1 as follows:

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

DBRS Morningstar also confirmed the ratings on the following
classes:

-- Class A at AAA (sf)
-- Class X-A at AAA (sf)

All trends are Stable. The ratings have been removed from Under
Review with Developing Implications, where they were placed on
November 14, 2019.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

Prior to the finalization of the NA SASB Methodology, the DBRS
Morningstar ratings for the subject transaction and all other DBRS
Morningstar-rated transactions subject to the methodology in
question were previously placed Under Review with Developing
Implications, as the proposed methodology changes were material.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

The rating upgrades were driven by the updated NA SASB Methodology
applied during this review. This transaction closed in February
2016 and is secured by the fee and leasehold interests in One
Channel Center. The property is located in the Seaport submarket of
Boston and consists of a 501,650-square-foot Class A office
building and the adjacent Channel Center Garage containing 965
parking spaces. The $166.0 million fixed-rate loan is fully
interest only (IO) through the 10-year term.

The property was constructed in 2014 and has remained fully
occupied by State Street Corporation (State Street), an
investment-grade tenant rated AA with a Stable trend by DBRS
Morningstar. State Street's lease runs through December 2029, which
is more than three years past loan maturity with no early
termination options available. State Street is currently paying a
triple net rental rate of $27.50, with the next rent step occurring
in January 2025. The Channel Center Garage was operating under a
three-year lease with VPNE Parking Solutions Inc. (VPNE), which was
extended twice, with the most recent taking the expiration date to
2021. As this is the tenant's second extension, DBRS Morningstar
has requested updated leasing terms. VPNE previously paid an annual
base rent of $2.2 million and 50.0% of annual gross revenue above
$2.7 million, and the garage had a minimum occupancy of at least
25.9% at all times since State Street was required to lease 250
spaces. At issuance, DBRS Morningstar noted that the development
boom in the area in recent years has reduced the number of
available surface lots. This factor, combined with the relatively
limited parking structure development in the area, suggests
significant upside for income from the parking structure as the
area continues to grow and parking demands increase.

The loan reported a YE2019 place debt service coverage ratio (DSCR)
of 1.92 times (x) compared with the DSCR derived at issuance of
2.05x. The net cash flow (NCF) decline from the DBRS Morningstar
issuance figure is attributed to DBRS Morningstar's long-term
credit tenant treatment of State Street, with the contractual rent
included on a straight-line basis in the DBRS Morningstar NCF
analysis. According to Reis, Class A office properties in the
Seaport submarket reported a vacancy rate of 6.9% and an
availability rate of 9.5% as of January 2019, compared with the
January 2018 vacancy rate of 5.8% and an average vacancy of 6.9%,
suggesting significant potential rent upside for the loan.

In the analysis for these rating actions, the DBRS Morningstar NCF
figure of $14.4 million derived at issuance was accepted and a cap
rate of 7.0% was applied, resulting in a DBRS Morningstar Value of
$206.2 million, a variance from the appraised value of $322.0
million. The DBRS Morningstar Value implies an LTV of 80.5%, as
compared with the LTV on the issuance appraised value of 51.6%.

The NCF figure applied as part of the analysis represents a 10.4%
positive variance from the Issuer's NCF. As of YE2019, the servicer
reported a NCF figure of $13.7 million, a 5.4% variance from the
DBRS Morningstar NCF, primarily driven by the straight-line credit
DBRS Morningstar applied at issuance.

The cap rate applied is at the middle of the range of DBRS
Morningstar Cap Rate Ranges for office properties, reflective of
the long-term, investment-grade tenant as well as the property's
vintage, condition, and location. The property has exhibited strong
historical performance with no vacancy since issuance as a result
of its long-term, single-tenant lease. In addition, the 7.0% cap
rate applied is substantially above the implied cap rate of 4.1%
based on the Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 5.25%
to account for cash flow volatility, property quality, and market
fundamentals.

Classes X-A and X-B 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.


BEAR STEARNS 2007-TOP26: DBRS Confirms C Rating on 3 Tranches
-------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2007-TOP26 issued by Bear Stearns
Commercial Mortgage Securities Trust, Series 2007-TOP26 (the Trust)
as follows:

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

DBRS Morningstar maintained the Interest in Arrears designation for
Classes A-J, B, and C. Class A-M has a Stable trend and is the only
class with a rating that carries a trend.

The rating actions are largely reflective of DBRS Morningstar's
outlook for the largest and second-largest loans remaining in the
pool. The largest loan in the pool, One Dag Hammarskjöld Plaza
(Prospectus ID#1; 56.7% of the pool), has been fully defeased as of
the April 2019 remittance. The second-largest loan, One AT&T Center
(Prospectus ID#2; 40.5% of the pool), is secured by a 1.5
million-square-foot office building in Downtown St. Louis and has
been in default since May 2017. Given the combined loan balance
that represents over 97.0% of the pool balance, the overall outlook
hinges directly on these two loans.

As of the March 2020 remittance, there had been a collateral
reduction of 87.4% since issuance because of scheduled loan
amortization, repayments, and liquidations. Of the original 237
loans secured at issuance, there are only seven loans remaining in
the pool, with an outstanding principal balance of $264.6 million.
There were no loans on the servicer's watchlist, and one loan,
representing 40.5% of the pool, in special servicing.

The specially serviced loan, One AT&T Center, was transferred to
the special servicer in May 2017. The building remains vacant and
is real estate owned, with the special servicer working to sell the
property through a second auction that was scheduled to conclude in
April 2020 after the April 2019 auction failed to secure a buyer.
According to the most recent finalized appraisal from May 2018, the
property was valued at $21.1 million, well below the issuance value
of $207.0 million. The limited parking at the property will
continue to be a hurdle, and a potential buyer would need to incur
significant capital expenditures to sufficiently redevelop the
property in order to release it. Given the drastic value decline
from issuance and the property's fully vacant status that has held
over several years, DBRS Morningstar expects this loan to be
disposed of from the Trust at a loss severity possibly exceeding
100.0%. For additional information on this loan, please see the
loan commentary on the DBRS Viewpoint platform, for which
information is provided below.

In anticipation of One AT&T Center's eventual liquidation, DBRS
Morningstar expects remaining Classes B and C to be completely
wiped out, with additional losses flowing through into Class A-J.
However, as One Dag Hammarskjöld Plaza is fully defeased and has a
current trust balance of $150.0 million, Class A-M will be fully
insulated from potential losses, supporting the confirmation of the
AAA (sf) rating for that class.

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


CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms Class F Debt at B-sf
----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust 2016-P4. Fitch also revised the Rating Outlook from
Stable to Negative on class E.

CGCMT 2016-P4      

  - Class A-1 29429EAA9; LT AAAsf; Affirmed

  - Class A-2 29429EAB7; LT AAAsf; Affirmed

  - Class A-3 29429EAC5; LT AAAsf; Affirmed

  - Class A-4 29429EAD3; LT AAAsf; Affirmed

  - Class A-AB 29429EAE1; LT AAAsf; Affirmed

  - Class A-S 29429EAH4; LT AAAsf; Affirmed

  - Class B 29429EAJ0; LT AA-sf; Affirmed

  - Class C 29429EAK7; LT A-sf; Affirmed

  - Class D 29429EAL5; LT BBB-sf; Affirmed

  - Class E 29429EAN1; LT BB-sf; Affirmed

  - Class F 29429EAQ4; LT B-sf; Affirmed

  - Class X-A 29429EAF8; LT AAAsf; Affirmed

  - Class X-B 29429EAG6; LT AA-sf; Affirmed

  - Class X-C 29429EAW1; LT BBB-sf; Affirmed

KEY RATING DRIVERS

Increased Loss Expectations: A majority of the pool continues to
perform as expected at issuance. However, loss expectations
increased since Fitch's last rating action. While there have been
no specially serviced loans since issuance, Fitch identified 18
(39.5%) Fitch Loans of Concern, including six in the top 15. The
loans were flagged for declining performance, the loss of large
tenants and/or expected declines in performance due to the
reduction in commerce and travel as a result of the coronavirus
pandemic.

Fitch Loans of Concern: The largest contributor to expected losses
is the 401 South State Street loan (4.3%), which is secured by two
properties: a 479,500sf building and a 7,500sf adjacent office
property located in the South Loop submarket in downtown Chicago.
Both properties are 100% vacant. The larger property was occupied
by Robert Morris University - Illinois, which has accounted for 75%
of the total net rentable area since issuance, while the smaller
property has been vacant since August 2017. RMU recently vacated
all of its space in April 2020, prior to its June 2024 lease
expiration, and ceased rental payments. As a result, the property
is 100% vacant with no rental income. The borrower is seeking legal
action against the tenant. A cash flow sweep was triggered by the
tenant's departure. Fitch's base case analysis was based on a dark
valuation which assumed at least 12 months of 100% vacancy, market
rents and the properties' stabilized occupancy of 75%.

Swedesford Office (4%) is secured by an approximately 258,000sf
portfolio of three suburban office buildings located in Wayne, PA.
Occupancy fell from 81% to 71% in June 2018 when Laser Spine
Institute (10% NRA) vacated ahead of its September 2028 lease
expiration. As of the December 2019 rent roll, occupancy increased
to 79% as of a result of backfilling several smaller vacancies. As
of the trailing 12-month period ended June, NOI DSCR was a reported
1.06x, down from 1.19x at YE 2017 and 1.38x at YE 2016. Performance
struggled due to a combination of lower revenues and higher
expenses. The loan entered cash management after the DSCR fell
below its trigger threshold.

Both Harbor Point (2.5%) and Highridge Crossing (2.4%) are within
the top 15, and both are secured by retail properties. Fitch
expects both properties to suffer significant cash flow declines
due to the effects of the coronavirus pandemic. Harbor Point is
located in Garland, TX and is anchored by Bass Pro Shops (69% NRA,
expiring November 2031). The property also has sizable exposure to
restaurant tenants. NOI DSCR fell to 1.21x as of YE 2019 from 1.71x
at YE 2017, primarily driven by increased operating expenses.
Occupancy fell to 93% from 95.5% over the same period. Highridge
Crossing is located in Santa Clarita, CA and is anchored by Office
Depot (27.8% NRA, expiring December 2020). According to the
servicer, renewal negotiations are ongoing. NOI DSCR fell from
1.71x at YE 2017 to 1.52x at YE 2018, due to an increase in debt
service as the loan began amortizing in 2018. Occupancy was 90% per
the September 2019 rent roll.

Both Hyatt Regency Huntington Beach Resort & Spa (8.5%) and
Marriott Savannah Riverfront (2.2%) are secured by hotel
properties. Fitch is concerned about performance of hotel assets
given the worldwide reduction in travel following the coronavirus
outbreak. Hyatt Regency Huntington Beach Resort & Spa is secured by
a 517-key full-service hotel located in Huntington Beach, CA. The
property is well-located along the Pacific Coast Highway and
overlooks the Pacific Ocean. The hotel generates a sizable portion
of its total revenue from non-room revenue such as food and
beverage outlets. The management agreement with Hyatt expires in
December 2028, two years after the loan matures. The agreement has
one five-year extension option. Marriott Savannah Riverfront is
secured by a 317-key full-service hotel located in Savannah, GA.
The hotel has operated under the Marriott flag since 1994, and the
current franchise agreement expires in July 2034. The property is
located on the edge of the tourist-heavy downtown Savannah Historic
District. At issuance it was noted that due to its perimeter
location there are several more favorable hotels centrally located
within the area.

The remaining 12 loans are all outside of the top 15; the largest
accounts for 2.1% of the pool balance. Similarly, these loans were
identified as FLOCs due to occupancy declines resulting from the
loss of large tenants and/or expected performance issues as a
result of the coronavirus pandemic. Fitch will continue to monitor
all the FLOCs for prolonged performance declines.

Limited Improvement in Credit Enhancement: There have been minimal
increases in credit enhancement since issuance. As of the April
2020 distribution date, the pool has paid down approximately 2.5%,
to $703 million from $721 million at issuance. There are no loans
in that have defeased. Six loans (23.7%) are full-term interest
only. There were 25 loans (49.9%) structured with partial interest
only periods; only three (16.8%) of which remain in their interest
only period. In terms of the maturity schedule, three loans (8.8%)
mature in 2021 while the remaining 41 loans (91.2%) mature in 2026.
The transaction has not experienced any principal losses to date.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail, and multifamily properties is expected from the
coronavirus pandemic due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
on the potential duration of the pandemic. The pandemic has already
prompted the closure of several hotel properties in gateway cities
as well as malls, entertainment venues and individual stores.
Fitch's base case analysis applied an additional NOI stress to five
hotel loans (15.5%) and 10 retail loans (14.2%), which did not meet
certain performance thresholds.

While not identified as a FLOC, Fitch will continue to monitor the
largest loan in the pool, Opry Mills (9.9%). The loan is secured by
a 1.2 million sf regional mall located in Nashville, TN. The
largest tenants at the mall include Bass Pro Shops (11% NRA,
expiring April 2025), Regal Cinemas (8.6% NRA, expiring May 2025),
and Dave & Busters (4.9% NRA, expiring May 2026). The mall's
operator, Simon Property Group, Inc. (A/Negative), recently
announced plans to re-open 49 in the coming weeks. Opry Mills was
not on the list of expected re-openings.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E and F are primarily due
to increased loss expectations with respect to 401 South State
Street and expectation the loan will transfer to special servicing.
Downgrades of one category or more are possible upon receipt of
updated valuations and/or with no progress on re-leasing the vacant
space. Performance concerns, particularly of hotel and retail
properties, as a result of the economic slowdown stemming from the
coronavirus pandemic have also been factored into Fitch's analysis.
The Stable Rating Outlooks on classes A-1 through D reflect
increasing credit enhancement, continued amortization and stable
performance for a majority of the loans in the pool.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade:

Sensitivity Factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades to classes B and C would likely occur with significant
improvement in credit enhancement and/or defeasance. However,
adverse selection, increased concentrations or the underperformance
of particular loan(s) may limit the potential for future upgrades.
An upgrade to class D is considered unlikely and would be limited
based on the sensitivity to concentrations or the potential for
future concentrations. Classes would not be upgraded above 'Asf' if
there is a likelihood for interest shortfalls. Upgrades to classes
E and F are not likely until the later years of the transaction,
and only if the performance of the remaining pool is stable and/or
properties vulnerable to the coronavirus return to pre-pandemic
levels, and there is sufficient credit enhancement to the class.

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade:

Sensitivity Factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to the senior A-1, A-2, A-3, A-4, A-AB, A-S classes,
along with class B are not expected given the position in the
capital structure, but may occur should interest shortfalls occur.
A downgrade to classes C and D may occur should several loans
transfer to special servicing and/or as pool losses significantly
increase. A downgrade to classes E and F (both with current Rating
Outlook Negatives) would occur as losses materialize or if property
performance, specifically of the FLOCs, fail to stabilize in a
prolonged economic slowdown.

Deutsche Bank is the trustee for the transaction and also serves as
the backup advancing agent. Fitch's Issuer Default Rating for
Deutsche Bank is currently 'BBB'/'F2'/Rating Watch Negative. Fitch
relies on the Master Servicer, Wells Fargo Bank, N.A., a division
of Wells Fargo & Company (A+/F1/Negative), which is currently the
primary advancing agent, as a direct counterparty. Fitch affirmed
the ratings on April 22, 2020.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


COMM 2015-3BP: DBRS Assigns BB(low) Rating on Class F Certs
-----------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2015-3BP issued by COMM 2015-3BP Mortgage
Trust as follows:

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

All trends are Stable.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about May 12, 2020. In accordance
with MCR's engagement letter covering these certificates, upon
withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis. The deal is collateralized by a single
loan secured by Three Bryant Park, a Class A, 1.2
million-square-foot (sf) office tower and adjacent retail building
in Midtown Manhattan in New York. The 41-story building is located
across from Bryant Park at the corner of West 42nd Street and
Avenue of the Americas. The property comprises multiple condominium
units, of which the borrower owns all of the retail space and most
of the office space, excluding floors seven through 12. The
building is a high-quality asset that has received more than $400
million in capital improvements between 2007 and 2014.

The 10-year $1.13 billion interest-only (IO) loan was used to
facilitate the acquisition of the property. The sponsor is an
entity controlled by Ivanhoe Cambridge Inc., a Canadian real estate
company with assets around the world. There is a $215 million
mezzanine loan that is coterminous with the trust mortgage.

The top five tenants occupy 78% of the total leasable space in the
property. The property's largest tenant, MetLife, Inc., occupies
35.7% of the net rentable area (NRA) through April 2029 with no
termination options; however, the tenant vacated and subleased the
space to various tenants including the building's new namesake,
Salesforce.com, Inc., which has made Three Bryant Park its
headquarters. Dechert LLP (Dechert), the second-largest tenant with
20.1% of NRA, has a lease expiration date in 2023, two years prior
to maturity. Dechert's rollover concern is mitigated by the
tenant's lease renewal option containing an 18-month notice period,
giving the borrower time to market the space. Failure to renew
during this time period will trigger a cash flow sweep. Other large
tenants include Standard Chartered Bank, accounting for 9.2% of the
space leased through 2026, and Instinet Group LLC, accounting for
8.8% space, with a lease expiration in August 2020. The retail
space is anchored by a 42,818-sf Whole Foods, which provides an
attractive amenity to the property and drives pedestrian traffic to
the building. The 20-year lease expires in 2037.

While the property has maintained strong occupancy, the year-end
2019 NCF is down 10.8% from the Issuer's NCF and is down 6% from
DBRS Morningstar's assumed NCF. The main driver for the lower NCF
is contractual rent increases for several large tenants have not
yet risen to the level assumed at issuance.

The resulting NCF figure was $83.7 million and a cap rate of 6.5%
was applied, resulting in a DBRS Morningstar Value of $1.29
billion, a variance of 42% from the appraised value at issuance of
$2.20 billion. The DBRS Morningstar Value implies an LTV of 87.3%,
as compared with the LTV on the issuance appraised value of 51.1%.
The NCF figure applied as part of the analysis represents a 11%
variance from the Issuer's NCF, primarily driven by unrealized rent
steps for a large number tenants.

The cap rate applied is at the middle-end of the range of DBRS
Morningstar Cap Rate Ranges for Midtown Manhattan office
properties, reflective of the prime location and solid tenant base.
In addition, the 6.5% cap rate applied is substantially above the
implied cap rate of 4.3% based on the Issuer's underwritten NCF and
appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 5% to
account for cash flow volatility, property quality, and market
fundamentals.

Class XA is an IO certificate that references 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.


COMM 2016-GCT: DBRS Assigns B(low) Rating on Class F Certs
----------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2016-GCT issued by COMM 2016-GCT Mortgage
Trust (the Issuer) as follows:

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

All trends are Stable.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about May 15, 2020. In accordance
with MCR's engagement letter covering these certificates, upon
withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

The transaction is secured by the borrower's fee simple interest in
The Gas Company Tower, a 1.4 million square foot (sf) Class A
office building and parking garage in the Bunker Hill District of
downtown Los Angeles. The borrower used the five-year $319.0
million interest-only (IO) loan to refinance previous debt. The
trust debt totals $264.0 million, which is split between senior
debt totaling $89.0 million and junior subordinate debt totaling
$175.0 million. The whole-loan balance includes two non-trust
senior companion notes totaling $55.0 million that are pari passu
with the senior trust debt notes. There is also a $131.0 million
mezzanine loan that is coterminous with the trust debt. The
sponsor, Brookfield DTLA Holdings LLC (Brookfield DTLA), indirectly
owns 100% of the property. Brookfield DTLA is approximately 47%
owned and 100% controlled by Brookfield Office Properties Inc.
(rated BBB with a Negative trend by DBRS Morningstar), which is
100% owned by Brookfield Property Partners L.P. (rated BBB with a
Negative trend by DBRS Morningstar).

The top five tenants represent 68% of the net rentable area (NRA).
The Southern California Gas Company (SCGC) is the largest tenant,
occupying approximately 34% of the NRA on a lease that extends
through 2026. The subject serves as SCGC's corporate headquarters.
The tenant has a remaining termination option for 374,000 sf in
2020 and open ongoing termination options on several smaller
spaces. Termination option notice is due in May 2020 and would take
effect 18 months later. SCGC has four five-year renewal options
remaining on its lease. The subject is also home to the Los Angeles
offices of Sidley Austin LLP, which represents 12.0% of net
rentable area (NRA), and Latham & Watkins LLP, which represents
7.1% of NRA. In 2015, Deloitte US, which represents 8.2% of NRA,
relocated its Los Angeles operations to the subject and became the
first tenant to affix its logo to the building's peak. The
fifth-largest tenant is WeWork, occupying 6.7% of NRA on a lease
that extends through 2033.

The DBRS Morningstar net cash flow (NCF) derived at issuance was
reanalyzed for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $24.7
million and a cap rate of 7.0% was applied, resulting in a DBRS
Morningstar Value of $352.9 million, a variance of -42.2% from the
appraised value at issuance of $611 million. The DBRS Morningstar
Value implies a senior debt LTV of 90.4% and a total debt LTV of
127.5% compared with the LTV of 52.2% on the appraised value at
issuance. The NCF figure applied as part of the analysis represents
a -6.8% variance from the Issuer's NCF, primarily driven by
vacancy, rent steps, and management fees. As of YE2018, the
servicer reported an NCF figure of $30.2 million, a 22.4% variance
from the DBRS Morningstar NCF figure, primarily a factor of base
rent, rent steps, and management fee.

DBRS Morningstar applied a cap rate at the middle-end of the DBRS
Morningstar Cap Rate Ranges for downtown Los Angeles office
properties, reflecting the prime location and solid tenant base. In
addition, the 7.0% cap rate DBRS Morningstar applied is
substantially above the implied cap rate of 4.3% based on the
Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 3% to
account for property quality and market fundamentals.

Class X-A is an IO certificate that references 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.


CSWF TRUST 2018-TOP: DBRS Assigns B(low) Rating on Class H Certs
----------------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2018-TOP issued by CSWF Trust 2018-TOP (the
Issuer) as follows:

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

All trends are Stable.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about May 11, 2020. In accordance
with MCR's engagement letter covering these certificates, upon
withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

The transaction sponsor, TPG Real Estate's TPG Real Estate Partners
Fund II, used the collateral loan to acquire and recapitalize the
fee simple and leasehold interests in a portfolio of 15 mostly
single-tenant Class A office properties totaling 3.1 million square
feet in 11 states. The loan facilitated the sponsor's (1) buyout of
Gramercy Property Trust's (GPT) interest in Strategic Office
Partners, a joint venture between the sponsor and GPT, and (2) its
acquisition of four assets included in the portfolio. Since loan
closing, three properties were released from the portfolio, which
reduced the current loan balance to $410.4 million from the initial
loan balance of $530 million. The sponsor applied these proceeds on
a pro-rata basis throughout the bond stack.

Major tenants in the portfolio include Amazon.com, Inc.; Microsoft
Corporation; Wells Fargo; Bristol Myers Squibb Company; and Blue
Cross Blue Shield. The assets are located primarily in secondary
markets across the U.S., including Redmond, Washington; Charlotte,
North Carolina; Tampa, Florida; San Bernardino, California; San
Antonio, Texas; Tempe, Arizona; Chantilly, Virginia; Henderson,
Nevada; Burbank, California; Lawrenceville, Georgia; and Nashville,
Tennessee.

The DBRS Morningstar net cash flow (NCF) was reanalyzed for the
subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The NCF figure applied as part of the analysis reflects
the release of three properties after issuance. DBRS Morningstar
deducted its NCF for the released properties from its original NCF,
resulting in a concluded NCF of $36.5 million, which represents a
-4.5% variance from the Issuer's NCF for the remaining properties.

DBRS Morningstar applied a cap rate at the middle of the DBRS
Morningstar Cap Rate Ranges for secondary-market single-tenant
office properties, reflecting the suburban locations. In addition,
the 7.95% cap rate DBRS Morningstar applied is substantially above
the implied cap rate of 5.2% based on the Issuer's underwritten NCF
and appraised value at issuance.

DBRS Morningstar made negative qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling -4%
to account for cash flow volatility, property quality, and market
fundamentals.

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


DBJPM 2016-C3: Fitch Corrects May 5 Press Release
-------------------------------------------------
Fitch Ratings replaced a ratings release published on May 5, 2020
to correct the name of the obligor for the bonds. It corrects the
Rating Outlooks on three classes from DBJPM 2016-C3, which were
revised to Stable from Positive.

Fitch Ratings has revised the Rating Outlooks to Negative from
Stable on 95 classes from 37 U.S. CMBS conduit transactions from
the 2016 vintage. In addition, 16 classes from two transactions
were removed from Rating Watch Negative, affirmed and assigned
Negative Outlooks. Fitch has also revised the Rating Outlooks to
Stable from Positive on three classes from one transaction.

Three 2016 transactions, MSC 2016-UBS11, CSAIL 2016-C6 and CFCRE
2016-C4, were reviewed by Fitch within the past two weeks, and
Negative Rating Outlooks were assigned; no further actions on these
three deals were taken in this review.

As part of the review, Fitch analyzed its entire portfolio of 2016
U.S. CMBS conduit transactions, which consists of 55 deals. The
review focused solely on the impact of the coronavirus pandemic on
the transactions. Including the transactions listed above, 43
transactions from the 2016 vintage now have at least one class with
a Negative Outlook. Twelve transactions have Stable Rating Outlooks
on all outstanding classes.

CGCMT 2016-P6      

  - Class F 17291EAE1; LT B-sf Revision Outlook   

WFCM 2016-NXS6      

  - Class F 95000KAN5; LT B-sf Revision Outlook   

COMM 2016-DC2 Mortgage Trust      

  - Class E 12594CAN0; LT BB+sf Revision Outlook   

CGCMT 2016-GC36      

  - Class E 17324TAQ2; LT BB-sf Revision Outlook   

  - Class F 17324TAS8; LT B-sf Revision Outlook   

MSC 2016-BNK2      

  - Class EF 61690YAU6; LT B-sf Revision Outlook   

  - Class F 61690YAS1; LT B-sf Revision Outlook   

DBJPM 2016-C1      

  - Class A-M 23312LAT5; LT AAAsf Revision Outlook   

  - Class B 23312LAU2; LT AA-sf Affirmed   

  - Class C 23312LAV0; LT A-sf Affirmed   

  - Class D 23312LAG3; LT BBB-sf Affirmed   

  - Class E 23312LAH1; LT BB-sf Affirmed   

  - Class F 23312LAJ7; LT B-sf Affirmed   

  - Class X-A 23312LAW8; LT AAAsf Revision Outlook   

  - Class X-B 23312LAB4; LT A-sf Affirmed   

  - Class X-C 23312LAC2; LT BBB-sf Affirmed   

  - Class X-D 23312LAD0; LT BB-sf Affirmed   

DBJPM 2016-C3      

  - Class B 23312VAJ5; LT AA-sf Revision Outlook   

  - Class C 23312VAK2; LT A-sf Revision Outlook   

  - Class X-B 23312VAL0; LT AA-sf Revision Outlook   

WFCM 2016-NXS5      

  - Class F 95000CAL7; LT BB-sf Revision Outlook   

  - Class X-F 95000CAC7; LT BB-sf Revision Outlook   

CSAIL 2016-C7      

  - Class E 12637UAJ8; LT BB-sf Revision Outlook   

  - Class X-E 12637UAA7; LT BB-sf Revision Outlook   

CGCMT 2016-C1      

  - Class E 17290YAC2; LT BB-sf Revision Outlook   

  - Class F 17290YAE8; LT B-sf Revision Outlook   

GSMS 2016-GS3      

  - Class E 36251PAR5; LT BB-sf Revision Outlook   

  - Class F 36251PAT1; LT B-sf Revision Outlook   

MSC 2016-UBS12      

  - Class A-S 61691EBD6; LT AAAsf Revision Outlook   

  - Class B 61691EBE4; LT AA-sf Revision Outlook   

  - Class C 61691EBF1; LT A-sf Revision Outlook   

  - Class D 61691EAJ4; LT BBB-sf Revision Outlook   

  - Class E 61691EAL9; LT BB-sf Revision Outlook   

  - Class F 61691EAN5; LT B-sf Revision Outlook   

  - Class X-B 61691EBC8; LT AA-sf Revision Outlook   

  - Class X-D 61691EAA3; LT BBB-sf Revision Outlook   

  - Class X-E 61691EAC9; LT BB-sf Revision Outlook   

  - Class X-F 61691EAE5; LT B-sf Revision Outlook   

MSBAM 2016-C32      

  - Class E 61691GAE0; LT BB-sf Revision Outlook   

  - Class F 61691GAG5; LT B-sf Revision Outlook   

WFCM 2016-C36      

  - Class A-S 95000MBR1; LT AAAsf Revision Outlook   

  - Class B 95000MBU4; LT AA-sf Revision Outlook   

  - Class C 95000MBV2; LT A-sf Revision Outlook   

  - Class D 95000MAC5; LT BBB-sf Revision Outlook   

  - Class X-B 95000MBT7; LT AA-sf Revision Outlook   

  - Class X-D 95000MAA9; LT BBB-sf Revision Outlook   

CFCRE 2016-C7      

  - Class E 12532BAN7; LT BB-sf Revision Outlook   

  - Class X-E 12532BAW7; LT BB-sf Revision Outlook   

COMM 2016-COR1      

  - Class F 12594MAQ1; LT B-sf Revision Outlook   

  - Class X-F 12594MAG3; LT B-sf Revision Outlook   

CD 2016-CD1      

  - Class F 12514MAQ8; LT B-sf Revision Outlook   

  - Class X-E 12514MAG0; LT B-sf Revision Outlook   

WFCM 2016-C35      

  - Class E 95000FAE6; LT BBsf Revision Outlook   

CSMC 2016-NXSR      

  - Class D 12594PAG6; LT BBB-sf Revision Outlook   

  - Class V1-D 12594PBF7; LT BBB-sf Revision Outlook   

JPMCC 2016-JP4      

  - Class E 46645UAE7; LT BB-sf Revision Outlook   

CD 2016-CD2      

  - Class E 12515AAQ3; LT BB-sf Revision Outlook   

  - Class F 12515AAS9; LT B-sf Revision Outlook   

  - Class X-E 12515AAG5; LT BB-sf Revision Outlook   

  - Class X-F 12515AAJ9; LT B-sf Revision Outlook   

CFCRE 2016-C3      

  - Class F 12531WAQ5; LT BB-sf Revision Outlook   

  - Class X-F 12531WAE2; LT BB-sf Revision Outlook   

CGCMT 2016-C3      

  - Class E 17325GAN6; LT BB-sf Revision Outlook   

  - Class F 17325GAQ9; LT B-sf Revision Outlook   

  - Class X-E 17325GAW6; LT BB-sf Revision Outlook   

  - Class X-F 17325GAY2; LT B-sf Revision Outlook   

MSBAM 2016-C29      

  - Class E 61766EAN5; LT BB-sf Revision Outlook   

  - Class F 61766EAQ8; LT B-sf Revision Outlook   

  - Class X-E 61766EAC9; LT BB-sf Revision Outlook   

  - Class X-F 61766EAE5; LT B-sf Revision Outlook   

CGCMT 2016-P3      

  - Class D 29429CAM7; LT BBB-sf Revision Outlook   

  - Class X-D 29429CAV7; LT BBB-sf Revision Outlook   

GSMS 2016-GS2      

  - Class D 36252TAA3; LT BBB-sf Revision Outlook   

  - Class E 36252TAE5; LT BB-sf Revision Outlook   

  - Class F 36252TAG0; LT B-sf Revision Outlook   

  - Class X-D 36252TAC9; LT BBB-sf Revision Outlook   

MSBAM 2016-C28      

  - Class E 61766LAJ8; LT BB-sf Revision Outlook   

  - Class E-1 61766LAE9; LT BBsf Revision Outlook   

  - Class E-2 61766LAG4; LT BB-sf Revision Outlook   

  - Class EF 61766LAS8; LT B-sf Revision Outlook   

  - Class F 61766LAQ2; LT B-sf Revision Outlook   

JPMCC 2016-JP3      

  - Class E 46590RAR0; LT BBsf Revision Outlook   

  - Class F 46590RAT6; LT B-sf Revision Outlook   

CGCMT 2016-P4      

  - Class F 29429EAQ4; LT B-sf Revision Outlook   

MSBAM 2016-C31      

  - Class A-S 61766RBC9; LT AAAsf Revision Outlook   

  - Class B 61766RBD7; LT AA-sf Revision Outlook   

  - Class X-B 61766RBB1; LT AA-sf Revision Outlook   

WFCM 2016-C33      

  - Class F 95000LAN3; LT B-sf Revision Outlook   

JPMBB 2016-C1      

  - Class F 46645LAL1; LT B-sf Revision Outlook   

CFCRE 2016-C6      

  - Class E 12532AAC3; LT BB-sf Revision Outlook   

  - Class F 12532AAE9; LT B-sf Revision Outlook   

  - Class X-E 12532AAL3; LT BB-sf Revision Outlook   

  - Class X-F 12532AAN9; LT B-sf Revision Outlook   

JPMDB 2016-C4      

  - Class F 46646RAD5; LT B-sf Revision Outlook   

WFCM 2016-BNK1      

  - Class A-S 95000GBA1; LT AAAsf Revision Outlook   

WFCM 2016-C37      

  - Class E 95000PAZ7; LT BB+sf Revision Outlook   

  - Class F 95000PBB9; LT BB-sf Revision Outlook   

  - Class G 95000PBD5; LT B-sf Revision Outlook   

  - Class X-EF 95000PAP9; LT BB-sf Revision Outlook   

  - Class X-G 95000PAR5; LT B-sf Revision Outlook   

CGCMT 2016-GC37      

  - Class A-S 17290XAV2; LT AAAsf Revision Outlook   

  - Class B 17290XAW0; LT AA-sf Affirmed   

  - Class C 17290XAX8; LT A-sf Affirmed   

  - Class D 17290XAA8; LT BBB-sf Affirmed   

  - Class E 17290XAC4; LT BB-sf Affirmed   

  - Class EC 17290XBA7; LT A-sf Affirmed   

  - Class F 17290XAE0; LT B-sf Affirmed   

  - Class X-A 17290XAY6; LT AAAsf Revision Outlook   

  - Class X-B 17290XAZ3; LT AA-sf Affirmed   

  - Class X-D 17290XAL4; LT BBB-sf Affirmed   

WFCM 2016-C34      

  - Class A-S 95000DBF7; LT AAAsf Revision Outlook   

  - Class B 95000DBJ9; LT AA-sf Revision Outlook   

  - Class X-A 95000DBG5; LT AAAsf Revision Outlook   

  - Class X-B 95000DBH3; LT AA-sf Revision Outlook   

KEY RATING DRIVERS

The Negative Rating Outlooks reflect the potential for future
downgrades stemming from an increase in expected losses due to
Fitch's anticipation of a significant negative economic impact and
property performance deterioration due to the coronavirus pandemic.
Near-term cash flow performance is expected to decline on certain
properties. However, it is difficult to discern at this time which
loans will ultimately default and whether the default will result
in losses to the trust given the lack of clarity about the length
of the pandemic and permanence of the performance declines.

As described in Fitch's "Update on Response on Coronavirus Related
Reviews for North American CMBS", published on April 13, 2020,
Fitch continues to incorporate the baseline scenario from its
Global Economic Outlook into its analysis.

For property sectors highly vulnerable to the coronavirus pandemic,
Fitch has assumed significant declines in cash flow occurring over
the next two to four months: for hotel, a 65% decline; for retail,
a 45% decline; and for multifamily, a 20% decline. After applying
such declines to cash flow, Fitch assumed any loan with a resulting
debt service coverage ratio less than 0.95x would have a 75%
probability of default. For hotel, this cash flow stress is roughly
equivalent to a loan with the most recent servicer-reported DSCR of
2.75x moving to 0.95x; for retail, the most recent
servicer-reported DSCR of 1.75x moving to 0.95x; and for
multifamily, the most recent servicer-reported DSCR of 1.20x moving
to 0.95x. Although Fitch expects significant defaults among those
properties that suffer the harshest short-term cash flow declines,
some well-capitalized sponsors will be willing and able to support
their properties through this period, particularly those in high
demand locations. Fitch does not expect loans to be liquidated in
any great number prior to the end of 2Q21 when its Global Economic
Outlook envisages a slow recovery will be under way. The expected
losses for the loans assumed to default were calculated by applying
Fitch's stressed cap rate to the most recent servicer-reported net
operating income less a haircut of 26% for hotel, 20% for retail
and 15% for multifamily. Fitch's stressed cap rates generally range
between 10.25%-13.50% for hotel, 8.00%-11.25% for retail, and
8.00%-10.00% for multifamily.

Fitch did not apply distinct coronavirus stresses for office and
industrial properties; however, individual factors such as tenancy,
lease term, demand drivers and location were considered. For
example, single-tenant office properties with unrated tenants and
office properties with significant exposure to co-working tenants
were assumed likely to default.

The rating actions at this time were limited to Negative Rating
Outlooks. Over the next few months, Fitch will monitor the
performance of the loans in the transactions to evaluate if actual
defaults are occurring in line with Fitch's expectations. A
significant divergence to the downside may accelerate ratings
downgrades. Otherwise, ratings changes, if any, will likely occur
in 2021 with a clearer view of how an economic recovery is
affecting property performance and values.

Additionally, all of the transactions will be subject to their
annual review over the next 12 months, and Fitch's analysis will
incorporate adjustments, both less and more stressful, if
warranted, based on idiosyncratic features of the loans and
properties.

The transactions that were not assigned Negative Rating Outlooks
had several common factors including increased credit enhancement
from paydowns and/or defeasance, lower concentrations of loans to
sectors vulnerable to the pandemic and/or higher DSCRs relative to
Fitch's assumptions on default risk.

By rating category, the follow is a summary of the current ratings
and transaction characteristics of the 111 classes from the 37
transactions with Negative Outlook revisions or assignments:

Ten classes from seven transactions in the 'AAAsf' category.

  -- These seven transactions include: WFCM 2016-BNK1, CGCMT
2016-GC37, DBJPM 2016-C1, MSBAM 2016-C31, MSC 2016-UBS12, WFCM
2016-C34 and WFCM 2016-C36;

  -- Average hotel concentration of 16% (ranging between 12%-21%);

  -- Average retail concentration of 32% (ranging between
20%-39%).

Eleven classes from six transactions in the 'AAsf' category.

  -- These six transactions include: MSBAM 2016-C31, WFCM 2016-C34,
CGCMT 2016-GC37, DBJPM 2016-C1, MSC 2016-UBS12, and WFCM 2016-C36;

  -- Average hotel concentration of 16% (ranging between 12%-21%);

  -- Average retail concentration of 33% (ranging between
20%-39%).

Six classes from four transactions in the 'Asf' category.

  -- These four transactions include: CGCMT 2016-GC37, DBJPM
2016-C1, MSC 2016-UBS12, and WFCM 2016-C36;

  -- Average hotel concentration of 16% (ranging between 12%-21%);

  -- Average retail concentration of 31% (ranging between
20%-37%).

Fourteen classes from seven transactions in the 'BBBsf' category.

  -- These seven transactions include: CGCMT 2016-P3, CSMC
2016-NXSR, GSMS 2016-GS2, CGCMT 2016-GC37, DBJPM 2016-C1, MSC
2016-UBS12 and WFCM 2016-C36;

  -- Average hotel concentration of 16% (ranging between 12%-21%);

  -- Average retail concentration of 33% (ranging between
20%-44%).

  -- Thirty-six classes from 22 transactions in the 'BBsf'
category; this represents 43% of the total number of classes rated
in the 'BBsf' category from the 2016 vintage.

  -- Average hotel concentration of 15% (ranging between 3%-21%);

  -- Average retail concentration of 33% (ranging between
13%-44%).

   -- Thirty-four classes from 24 transactions in the 'Bsf'
category; this represents 52% of the total number of classes rated
in the 'Bsf' category from the 2016 vintage.

  -- Average hotel concentration of 14% (ranging between 3%-23%);

  -- Average retail concentration of 29% (ranging between
11%-44%).

The Rating Outlooks on three classes from the DBJPM 2016-C3
transaction were revised to Stable from Positive.

Fitch will be reviewing its entire portfolio and expects to release
updated rating actions for each vintage with the 2017 and 2018
vintage transactions to follow.

RATING SENSITIVITIES

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

Upgrades, although not likely in the near term, would occur with
stable to improved asset performance coupled with paydown and/or
defeasance. The Negative Rating Outlooks may be revised back to
Stable if overall pool performance and/or properties vulnerable to
the coronavirus stabilize to pre-pandemic levels. Classes with
Negative Outlooks in the 'AAAsf', 'AAsf' and 'Asf' categories may
be more likely to be revised back to Stable should CE or defeasance
increase significantly. Prior to any classes being upgraded,
adverse selection, sensitivity to concentrations and/or the
potential for future concentration would be taken into
consideration. Classes would not be upgraded above 'Asf' if there
is likelihood for interest shortfalls.

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

Factors that could lead to downgrades include an increase in
expected pool level losses from underperforming or specially
serviced loans. Downgrades of one category or more to the classes
assigned Negative Rating Outlooks would occur if expected losses
increase, or a high proportion of the pool defaults and/or
properties vulnerable to the coronavirus fail to return to
pre-pandemic levels. The severity of the downgrades would be based
on the level of CE relative to losses. Below-investment grade
classes with Negative Outlooks would likely be downgraded first, as
losses would impact these classes sooner.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
that a greater percentage of classes may be assigned a Negative
Rating Outlook and/or those with Negative Rating Outlooks may be
downgraded by a greater magnitude.

BEST/WORST CASE RATING SCENARIO

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


FREED ABS 2020-1: Moody's Reviews Ba3 on C Notes for Downgrade
--------------------------------------------------------------
Moody's Investors Service has placed four classes of bonds issued
by three consumer loan securitizations on review for possible
downgrade. The bonds are backed by pools of unsecured consumer
installment loan contracts originated and serviced by multiple
parties.

The complete rating actions are as follows:

Issuer: FREED ABS Trust 2019-2

Class B Notes, Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on Oct 17, 2019 Definitive Rating Assigned
Baa3 (sf)

Issuer: FREED ABS Trust 2020-1

Class B Notes, Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on Jan 30, 2020 Definitive Rating Assigned
Baa3 (sf)

Class C Notes, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 30, 2020 Definitive Rating Assigned Ba3 (sf)

Issuer: Prosper Marketplace Issuance Trust, Series 2018-2

Class C Notes, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 29, 2018 Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

The rating action reflects an increased likelihood of deterioration
in the performance of the underlying consumer installment loans as
a result of a slowdown in economic activity and increase in
unemployment due to the coronavirus outbreak.

The Prosper transaction is backed by a pool of unsecured consumer
installment loans originated by Prosper Funding LLC (Prosper) in
partnership with WebBank, a Utah state-chartered industrial bank,
and serviced through the online platform operated by Prosper. FREED
transactions are backed by unsecured consumer installment loans
originated by Cross River Bank, a New Jersey state-chartered
commercial bank, through a loan program established by Freedom
Financial Asset Management, LLC, who also acts as the servicer of
the loans.

In its analysis, Moody's considered up to an approximately 50%
increase in remaining expected losses on the underlying pools to
evaluate the resiliency of the ratings amid the uncertainty
surrounding the pools' performance. Moody's also factored
individual transaction specifics such as overcollateralization,
reserve fund targets, availability of excess spread and continued
deleveraging of the deals in the coming months. The potential
increase in expected loss reflects the increased volatility caused
by the coronavirus outbreak, which negatively affects the
macroeconomic conditions that influence consumer credit
performance. In estimating the higher loss, Moody's considered the
increase in losses on other unsecured consumer asset classes during
the 2007 to 2009 economic downturn.

During the review period, Moody's will evaluate effects of ongoing
and projected macroeconomic conditions, as well as impact of
various parties including the government, servicers and issuers on
the performance of underlying pools to update its cumulative net
loss projection on the pools. Unemployment is a key indicator of
performance for consumer loan ABS. High unemployment with
additional downside risk is likely to have a material negative
impact on the performance of consumer loans. Rating actions on the
bonds, due to the revised loss projections, will vary for the
different shelves and reflect individual transaction
considerations.

Its analysis has considered the effect of the coronavirus outbreak
on the US economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of consumer assets. Specifically, for US
consumer loan ABS, performance will weaken due to the unprecedented
spike in the unemployment rate, which may limit borrowers' income
and their ability to service debt. Furthermore, borrower assistance
programs to affected borrowers, such as payment deferrals, may
adversely impact scheduled cash flows to bondholders.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high.

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

PRINCIPAL METHODOLOGY

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

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

Up

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

Down

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


GOLDMAN SACHS 2011-GC5: Fitch Cuts Rating on 2 Tranches to CCC
--------------------------------------------------------------
Fitch Ratings has downgraded three classes, revised Rating Outlooks
on two classes and affirmed six classes of Goldman Sachs Commercial
Mortgage Capital, LP, series 2011-GC5 commercial mortgage
pass-through certificates.

GSMS 2011-GC5      

  - Class A-3 36191YBA5; LT AAAsf; Affirmed

  - Class A-4 36191YBB3; LT AAAsf; Affirmed

  - Class A-S 36191YAE8; LT AAAsf; Affirmed

  - Class B 36191YAG3; LT AAsf; Affirmed

  - Class C 36191YAJ7; LT Asf; Affirmed

  - Class D 36191YAL2; LT Bsf; Downgrade

  - Class E 36191YAN8; LT CCCsf; Downgrade

  - Class F 36191YAQ1; LT CCCsf; Downgrade

  - Class X-A 36191YAA6; LT AAAsf; Affirmed

KEY RATING DRIVERS

High Loss Expectations: Loss expectations have increased due to the
increasing number of Fitch Loans of Concern. Additionally, there
are refinance risk concerns given all of the remaining loans in the
pool mature in 2021. Six loans (33.8% of the pool) are considered
Fitch Loans of Concern due to declining performance, significant
upcoming rollover and/or declining tenant sales. Nine loans (26.2%
of the pool) failed to meet certain net operating income debt
service coverage ratio tolerance thresholds related to the expected
declines in performance due to the coronavirus pandemic, which
contributed to the downgrades of classes D, E and F and the
Negative Outlooks revised to classes B and C.

The largest FLOC, Park Place Mall (15.3% of the pool), is secured
by 478,333 square feet (sf) of a 1.1 million sf regional mall
located in Tuscon, AZ. The property is anchored by a non-collateral
Dillard's, Macy's and Sears. The Sears store closed in July 2018
and has since been re- tenanted by Round 1 Entertainment. The
collateral is anchored by a Cinemark Theater (15.3% of the net
rentable area). There is approximately 53% of upcoming rollover
between 2020 and 2021, including the property's top collateral
tenant, Cinemark, whose lease expires in August 2021.

The second largest FLOC, Parkdale Mall & Crossing (6.8% of the
pool), is secured by 743,175 sf of a 1.4 million sf regional mall
located in Beaumont, TX. The property is anchored by a
non-collateral Dillard's, JCPenney and Sears. The Sears store
closed in February 2020 and a previous non-collateral Macy's also
closed in March 2017. The Sears space remains vacant. The Macy's
space has since been leased to Dick's Sporting Goods, HomeGoods and
Five Below. The collateral is anchored by a 12-screen Hollywood
Theaters. As of year-end 2019, the property's occupancy declined to
84.9% from 91.6% at 2018 due to the departure of multiple tenants,
including the former top tenant Brightwood College. Additionally,
tenant sales have also declined and remained in the low $200 per
square foot (psf) range.

The third largest FLOC, Cole Portfolio (4.2% of the pool), is
secured by a portfolio of seventeen retail properties totaling
496,618 sf located throughout the United States. The portfolio's
occupancy has declined to 66.2% as of YE 2019 from 67.2% at YE 2018
and 86.4% at YE 2017 due to the Volusia Square property, which is
currently 31% occupied.

The fourth largest FLOC, Ashland Town Center (3.2% of the pool), is
secured by a 434,131 sf retail property located in Ashland, KY. The
collateral is secured by JCPenney, Belk and Cinemark. The
property's occupancy has been historically high in the mid-90's
range with an NOI DSCR above 2.0x; however, tenant sales excluding
the anchors as of the trailing twelve months ended November 2019
remain relatively stable at $329 psf compared to $319 psf at YE
2018 and $325 psf as of the TTM ended November 2017.

The fifth largest FLOC, Champlain Centre (2.7% of the pool), is
secured by a 484,556 sf retail property located in Plattsburgh, NY.
The property is shadow anchored by a non-collateral Target. The
collateral was previously anchored by Sears, which closed in 2016
and the space was partially leased to major tenant Hobby Lobby. The
property's occupancy has improved to 82.8% at YE 2019 from 75.4% at
YE 2018 since Kohl's took occupancy in 2019. However, the most
recent rent roll indicates the third largest tenant, Gander
Outdoors (10.6% of the NRA), went dark in November 2019 and
occupancy is expected to decline to 72.1%. Additionally, tenant
sales at the property have declined to $271 psf from $289 psf as of
the TTM ended January 2019 and $297 psf at YE 2017.

The final FLOC, Harrison Executive Park (1.6% of the pool), is
secured by a 160,779 sf office park located in Purchase, NY. The
property continues to suffer declining performance since 2015 with
an NOI DSCR below 1.0x and occupancy hovering around 70%.

Increasing Credit Enhancement/Defeasance: As of the April 2020
remittance, forty-nine of the original 74 loans remain. The pool's
aggregate principal balance has been reduced by 36.4% to $1.109
billion from $1.745 billion at issuance. Eighteen loans (26% of the
pool) are defeased. There are no delinquent or specially serviced
loans. Four loans (26.9% of the pool) are interest only, including
three that are within the top 15. Four loans (2.1% of the pool)
have partial interest only payments, all of which are now
amortizing. The remaining loans in the pool (70.9% of the pool) are
amortizing.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail and multifamily properties is expected from the
coronavirus pandemic, due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
at this time on the potential length of the impact. The pandemic
has already prompted the closure of several hotel properties in
gateway cities as well as malls, entertainment venues and
individual stores. Four loans (5.4% of the pool) are secured by
hotel properties. The weighted average debt service coverage ratio
for all hotel loans in the pool is approximately 2.32x. On average,
the hotel loans could sustain a 58.9% decline in NOI before the
actual DSCR would fall below 0.95x coverage.

Seventeen loans (59.0% of the pool) are secured by retail
properties. The WADSCR for the retail loans is approximately 1.96x
and could sustain a 52.8% decline in NOI before the actual NOI DSCR
would fall below 0.95x. As part of its base case scenario, Fitch
applied additional stresses to four hotel loans and five retail
loans to address the expected declines related to the coronavirus
pandemic; these stresses contributed to the downgrades of classes
D, E and F and the Negative Outlooks revised to classes B and C.

RATING SENSITIVITIES

The downgrades of classes D, E and F and Negative Outlooks on
classes B, C and D reflect performance concerns with the FLOCs as
well as the hotel and retail properties due to the decline in
travel and commerce as a result of the coronavirus pandemic.
Factors that could, individually or collectively, lead to positive
rating action/upgrade: Factors that could lead to upgrades would
include stable to improved asset performance, coupled with
additional pay down and/or defeasance. Upgrades to the 'Asf' and
'AAsf' rated classes are not expected but would likely occur with
significant improvement in CE and/or defeasance and/or the
stabilization to the properties impacted from the coronavirus
pandemic. Upgrades of the 'BBsf' and below-rated classes are
considered unlikely and would be limited based on the sensitivity
to concentrations or the potential for future concentrations.
Classes would not be upgraded above 'Asf' if there is a likelihood
for interest shortfalls. An upgrade to the 'Bsf' and 'CCCsf' rated
classes is not likely unless the performance of the remaining pool
stabilizes and the senior classes pay off. Factors that could,
individually or collectively, lead to negative rating
action/downgrade: Factors that could lead to downgrades include an
increase in pool level losses due to underperforming loans.
Downgrades to the 'AAAsf' classes are not likely due to the
position in the capital structure and the high credit enhancement.
Downgrades to classes B, C and D are possible should loans
susceptible to the coronavirus pandemic not stabilize. The Rating
Outlooks on classes B through D may be revised back to Stable if
performance of the FLOCs improves and/or properties vulnerable to
the coronavirus stabilize once the pandemic is over. Classes rated
'CCCsf' are expected to be downgraded as losses are realized. In
addition to its baseline scenario, Fitch also envisions a downside
scenario where the health crisis is prolonged beyond 2021; should
this scenario play out, classes with Negative Rating Outlooks will
be downgraded one or more categories. For more information on
Fitch's original rating sensitivity on the transaction, please
refer to the new issuance report. Deutsche Bank is the trustee for
the transaction, and also serves as the backup advancing agent.
Fitch's Issuer Default Rating for Deutsche Bank is currently
'BBB'/'F2'/Rating Watch Negative. Fitch relies on the master
servicer, Wells Fargo, N.A., a division of Wells Fargo & Company
(A+/F1/Negative), which is currently the primary advancing agent,
as counterparty. Fitch provided ratings confirmation on Jan. 24,
2018.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The transaction has an ESG Relevance Score of 4 for Exposure to
Social Impacts due to the high exposure to retail properties that
are underperforming as a result of changing consumer preference to
shopping, which has a negative impact on the credit profile, and is
highly relevant to the rating, resulting in a change to the
downgrades of classes D, E and F and the Negative Outlooks on
classes B, C and D.

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - 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).


HERTZ VEHICLE 2017-2: Fitch Puts Ratings on Watch Negative
----------------------------------------------------------
Fitch Ratings has placed the outstanding asset-backed securities
issued by Hertz Vehicle Financing II LP on Rating Watch Negative
from Stable Outlook, driven by the failure of The Hertz Corporation
(not rated by Fitch) to make a $498.9 million required monthly
trust operating lease payment due on April 27, 2020 for the March
2020 collection period. The failure to pay the monthly lease
payment was due to challenges around Hertz's ongoing lack of
corporate liquidity/cash impairing their ability to make such
payment.

These rating actions impact a total of $6.04 billion outstanding
notes issued from 11 series by HVF II. Hertz is not rated by Fitch,
and is the servicer, administrator, lessee and guarantor for HVF
II.

The RWN action is a result of the ongoing coronavirus impact on the
travel sector and Hertz's operating business and revenues, as well
as the pandemic's impact driving vehicle depreciation higher and
values lower across their fleet in the past four to six weeks.
Further, the ongoing dislocation, closures of and limited activity
in the wholesale market across vehicle auctions nationwide is
creating unique challenges for Hertz in defleeting, and generating
disposition proceeds negatively impacting their monthly operating
lease liabilities. The RWN also reflects expected additional
pressure in line with Fitch's current U.S. economic outlook for the
coronavirus.

Importantly, Fitch's ABS criteria delink the credit profile of
Hertz and assumes an immediate rental car company bankruptcy, and
subsequent liquidation of the fleet over several months under
stressed wholesale market conditions and values. While the current
situation is ultimately reflected in Fitch's analysis of the notes
and available credit enhancement, the current pandemic is an
unprecedented occurrence and as such may have an outsized impact
the Fitch derived series-level Expected Loss rates which range, at
the 'AAA' level, from 20%-36%.

Hertz Vehicle Financing II LP, Series 2017-2   

  - Class A 42806DBG3; LT AAAsf; Rating Watch On

  - Class B 42806DBH1; LT Asf; Rating Watch On

  - Class C 42806DBJ7; LT BBBsf; Rating Watch On

  - Class D 42806DBK4; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2016-4   

  - Class A 42806DBC2; LT AAAsf; Rating Watch On

  - Class B 42806DBD0; LT Asf; Rating Watch On

  - Class C 42806DBE8; LT BBBsf; Rating Watch On

  - Class D 42806DBF5; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2018-1   

  - Class A 42806DBQ1; LT AAAsf; Rating Watch On

  - Class B 42806DBR9; LT Asf; Rating Watch On

  - Class C 42806DBS7; LT BBBsf; Rating Watch On

  - Class D 42806DBT5; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2018-2   

  - Class A 42806DBV0; LT AAAsf; Rating Watch On

  - Class B 42806DBW8; LT Asf; Rating Watch On

  - Class C 42806DBX6; LT BBBsf; Rating Watch On

  - Class D 42806DBY4; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2019-3   

  - Class A 42806DCN7; LT AAAsf; Rating Watch On

  - Class B 42806DCP2; LT Asf; Rating Watch On

  - Class C 42806DCQ0; LT BBBsf; Rating Watch On

  - Class D 42806DCR8; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2018-3   

  - Class A 42806DBZ1; LT AAAsf; Rating Watch On

  - Class B 42806DCA5; LT Asf; Rating Watch On

  - Class C 42806DCB3; LT BBBsf; Rating Watch On

  - Class D 42806DCC1; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2019-1   

  - Class A 42806DCD9; LT AAAsf; Rating Watch On

  - Class B 42806DCE7; LT Asf; Rating Watch On

  - Class C 42806DCF4; LT BBBsf; Rating Watch On

  - Class D 42806DCG2; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2017-1   

  - Class A 428040CU1; LT AAAsf; Rating Watch On

  - Class B 428040CV9; LT Asf; Rating Watch On

  - Class C 428040CW7; LT BBBsf; Rating Watch On

  - Class D 428040CX5 LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2019-2   

  - Class A 42806DCH0; LT AAAsf; Rating Watch On

  - Class B 42806DCJ6; LT Asf; Rating Watch On

  - Class C 42806DCK3; LT BBBsf; Rating Watch On

  - Class D 42806DCL1; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2015-3   

  - Class A 42806DAH2; LT AAAsf; Rating Watch On

  - Class B 42806DAJ8; LT Asf; Rating Watch On

  - Class C 42806DAK5; LT BBBsf; Rating Watch On

  - Class D 42806DAL3; LT BBsf; Rating Watch On

Hertz Vehicle Financing II LP, Series 2016-2   

  - Class A 42806DAU3; LT AAAsf; Rating Watch On

  - Class B 42806DAV1; LT Asf; Rating Watch On

  - Class C 42806DAW9; LT BBBsf; Rating Watch On

  - Class D 42806DAX7; LT BBsf; Rating Watch On

KEY RATING DRIVERS

Near Term Factors Pressuring Ratings

Negative rating actions could occur in the immediate term were
current rental and wholesale vehicle market conditions to
deteriorate further, and drive Fitch's initial base case
assumptions and stresses beyond initial assumptions. This includes
stressed depreciation and disposition losses assumed, and resulting
series' EL levels under a liquidation scenario of the trust fleet,
and any future resulting impairment to CE.

Rating actions will be dependent in coming weeks on performance
metrics including ongoing wholesale market conditions, vehicle
values and depreciation rates which continue to be at peak rates,
and Hertz's ability to meet their operating lease obligations.
Importantly, Hertz's ability to pay the outstanding March operating
lease payment by May 4 can pressure ratings further, as well as the
upcoming April-June payments and going forward.

As it relates to wholesale market conditions, the ability to
defleet vehicles is key for Hertz in raising cash, so accessing the
auction houses for vehicle dispositions is a key factor in coming
months. Were vehicle value/depreciation rates to remain elevated,
Fitch can apply additional stress to these base assumptions if
appropriate to address any acceleration in depreciation or values.
Further, Fitch can apply additional stress to assumed liquidation
timing assumptions stretching those out beyond criteria periods
(i.e. eight plus months and beyond), and stress disposition losses
beyond stated levels in criteria (24%-32%). These moves will result
in driving the EL levels beyond current base cases in a fleet
liquidation assumed by Fitch.

Rating actions will be dependent in coming weeks on these
performance metrics, ongoing wholesale market conditions and impact
to values, and Hertz's ability to meet their operating lease
obligations. As well as Hertz ability to adhere to trust
requirement around minimum monthly depreciation levels required,
mark-to-market (MTM) and disposition tests.

If deemed appropriate, Fitch may revise and stress assumptions
further around the fleet liquidation timelines applied (for example
six to eight months at the AAAsf rating scenario), to reflect
greater pressure and challenges of disposition of vehicles in the
wholesale markets through auto auction houses.

Additionally, assumed base vehicle depreciation rates may be
stressed higher to reflect ongoing market trends in its liquidation
scenario, were they move beyond historical levels. Lastly,
disposition losses can be stressed higher to the peak criteria
range (32% for AAAsf ratings) or beyond. All of the levers applied
individually and/or combined, can result in pressure on ratings,
including near term rating downgrades of the outstanding ABS
notes.

Hertz's 8-K Filing - Report of Unscheduled Material Events or
Corporate Event

On April 29, 2020, Hertz Global Holdings, Inc., the parent of
Hertz, filed an 8-K detailing that they are currently in ongoing
discussions with certain of their senior credit facility lenders
and holders of its vehicle finance subsidiary's notes, among other
things, to temporarily reduce the required payments under the
operating lease.

The filing stated that if this outstanding lease payment remains
unpaid beyond the five-day grace period of May 4, 2020, and a
sufficient amount of Hertz' Senior Credit Lenders and VFN
Noteholders do not agree to waive any resulting default or forbear
from exercising remedies, Hertz could be materially and negatively
impacted.

Further, the 8-K language mentioned that although Hertz has
received the required support from VFN Noteholders, it has not yet
received sufficient support for the required waivers from other
required lenders, and the company is continuing to engage in
ongoing discussions with such lenders to reduce its obligations
under the operating lease and avoid certain consequences of the
payments not made on April 27, 2020 under the operating lease. If
this were to occur, it would constitute an EOD under the operating
lease supporting the ABS notes. This EOD would then lead to an
early amortization event occurring for each outstanding series of
ABS notes that Fitch rates, and also for those series NR by Fitch.

If this EOD continues for 30 consecutive days through June 25, this
will then trigger a fleet liquidation event in which the trust may
liquidate the existing vehicles in the trust upon noteholder
consent, including both program vehicles and non-program vehicles,
to pay off all outstanding principal and interest balances for each
series of notes.

Monthly operating lease rent payments are paid by Hertz and its
subsidiaries' rental revenues and available company cash/liquidity
and its subsidiaries, return PV to auto manufacturers per program
agreements, as well as NPV fleet vehicle sales the secondary market
including Hertz's own retail dealer locations.

HVF II Trust ABS Performance Metrics

As vehicle values decline, Hertz is obligated to depreciate
vehicles in the ABS trust concurrently, leading to increased
monthly rent payments which occurred during the March collection
period. If not adequately depreciated, the mechanics of the trust
require additional CE to be provided to each series of notes in the
form of additional collateral, letters of credit, or cash reserve
accounts.

Thus far in 2020, the trust's MTM and disposition proceeds test
results, meant to gauge depreciation on fleet vehicles and sales
proceeds to net book value, have remained relatively stable, with
Hertz maintaining the ratio at an average of 100.28% since the
beginning of 2020, at 100.68% for the March reporting period. The
disposition proceeds test is run once a cumulative number of
vehicles have been sold over a period of several months. The
previous time the threshold was met was in January of this year,
wherein the disposition proceeds ratio to NBV was 114.13%. It is
expected that April will represent the next measurement month for
the trust, as 12,581 vehicles were sold in February-March period.

It is important to note that any notable recovery in vehicle values
will not be reflected in the NBV of the vehicles currently in
Hertz's fleet. If these vehicles are liquidated at a time in which
vehicle values have recovered, they will show a significant amount
of disposition proceeds, and recovered vehicle values may
ultimately benefit the pay down of the outstanding series.

Depreciation Driving HVF II Risks

The $498.9 million rent payment due for the March 2020 collection
period jumped markedly by approximately $114 million compared to
the February collection period, driven by notably higher vehicle
depreciation. In the current ongoing environment, it is apparent
that elevated depreciation rates will continue to occur in coming
weeks due to negative demand and supply mechanics in the wholesale
vehicle market, including closure of many auctions, pressuring
ongoing vehicle values.

While Hertz may have sufficient liquidity to make the current
payment on the lease due by the May 4 deadline, corporate liquidity
is expected to remain strained.

RATING SENSITIVITIES

Unanticipated increases in depreciation, declines in vehicle values
and higher disposition losses in a fleet liquidation scenario, can
all combine to produce EL levels higher than those currently
determined in Fitch's fleet liquidation scenario. Weakening rental
market operations put the lease at risk of default in the future,
and pressure a rental car company's ability to meet its trust
operating lease obligations, including adding in CE to cover
unexpected jumps in depreciation levels as an example. Higher
expected losses could affect ratings and Rating Outlooks, depending
on the extent of the decline in coverage.

Down Sensitivity

Factors that could, individually or collectively, lead to negative
rating action/upgrade would include extended fleet liquidation
timing scenarios, depreciation costs outside of historical levels,
and severe disposition losses. Fitch's rating sensitivity analysis
at the issuance of notes focuses on two scenarios involving extreme
market disruptions that would force the agency to redefine its
stress assumptions.

The first examines the effect of moving Fitch's
bankruptcy/liquidation timing scenario to eight months at 'AAAsf'
with subsequent increases to each rating level. The second
considers the effect of moving the disposition stresses to the
higher end of the range at each rating level for a diverse fleet.
For example, the 'AAAsf' stress level would move to 28% from 24%.
Fitch also contemplates the impact of both stresses on the
structure.

A sufficient increase within criteria levels in either the timing
of the liquidation of the fleet or increases to disposition fees
could cause a downgrade of the outstanding notes. Increased
stresses as mentioned will lead to senior class A notes, currently
rated 'AAAsf', to a potential downgrade of two to three notches to
the 'AAsf' rating level or below. Class B notes currently rated
'Asf', class C notes rated 'BBBsf', and the class D notes rated
'BBsf' for each series, are all susceptible to rating pressure from
increased stresses applied, and would likely see downgrades one to
two categories lower than their current ratings. In a combined
scenario as mentioned herein, these ratings could be impacted.

For the senior class A notes to approach non-investment-grade
rating levels or move down to 'CCCsf', in addition to the combined
scenario described above, depreciation costs would need to increase
to previously unseen levels for the platform, increasing at least
to two times the highest monthly depreciation levels seen for both
the program and non-program vehicles at the height of the
recession.

As an example, vehicle depreciation has been around or over 1% per
week for four to five weeks in a row, and were this trajectory to
continue to another one to two months, and this could test Fitch's
peak monthly assumption and thus heighten pressure on ratings. As
per Black Book USA, their forecast is for around 17% decline in
wholesale values in the remainder of 2020 in under their most
likely scenario, while a severe scenario would experience declines
in the range of 25%.

Up Sensitivity

Factors that could, individually or collectively, lead to positive
rating action/upgrade would include overall improvement in the
secondary market, lower than expected depreciation versus
historical levels. There is limited upgrade potential for rated
rental fleet ABS notes given the revolving nature of the structure,
where collateral changes on a daily basis through fleet purchases
and dispositions, as well as trust concentration limits in place.
Therefore, upgrades are very limited if at all, as the composition
of the fleet changes daily which includes PV versus NPV, and OEM
brand/segment/model concentrations.

BEST/WORST CASE RATING SCENARIO

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


HERTZ VEHICLE II: DBRS Puts BB Rating on 10 Classes Under Review
----------------------------------------------------------------
DBRS, Inc. placed the following classes of securities issued by
Hertz Vehicle Financing II LP Under Review with Negative
Implications:

-- Series 2013-A, Class A rated AAA (sf)
-- Series 2013-A, Class B rated AA (sf)
-- Series 2013-A, Class C rated A (sf)
-- Series 2013-A, Class D rated BBB (sf)
-- Series 2015-3, Class A rated AAA (sf)
-- Series 2015-3, Class B rated A (sf)
-- Series 2015-3, Class C rated BBB (sf)
-- Series 2016-2, Class A rated AAA (sf)
-- Series 2016-2, Class B rated A (sf)
-- Series 2016-2, Class C rated BBB (sf)
-- Series 2016-2, Class D rated BB (sf)
-- Series 2016-4, Class A rated AAA (sf)
-- Series 2016-4, Class B rated A (sf)
-- Series 2016-4, Class C rated BBB (sf)
-- Series 2016-4, Class D rated BB (sf)
-- Series 2017-1, Class A rated AAA (sf)
-- Series 2017-1, Class B rated A (sf)
-- Series 2017-1, Class C rated BBB (sf)
-- Series 2017-1, Class D rated BB (sf)
-- Series 2017-2, Class A rated AAA (sf)
-- Series 2017-2, Class B rated A (sf)
-- Series 2017-2, Class C rated BBB (sf)
-- Series 2017-2, Class D rated BB (sf)
-- Series 2018-1, Class A rated AAA (sf)
-- Series 2018-1, Class B rated A (sf)
-- Series 2018-1, Class C rated BBB (sf)
-- Series 2018-1, Class D rated BB (sf)
-- Series 2018-2, Class A rated AAA (sf)
-- Series 2018-2, Class B rated A (sf)
-- Series 2018-2, Class C rated BBB (sf)
-- Series 2018-2, Class D rated BB (sf)
-- Series 2018-3, Class A rated AAA (sf)
-- Series 2018-3, Class B rated A (sf)
-- Series 2018-3, Class C rated BBB (sf)
-- Series 2018-3, Class D rated BB (sf)
-- Series 2019-1, Class A rated AAA (sf)
-- Series 2019-1, Class B rated A (sf)
-- Series 2019-1, Class C rated BBB (sf)
-- Series 2019-1, Class D rated BB (sf)
-- Series 2019-2, Class A rated AAA (sf)
-- Series 2019-2, Class B rated A (sf)
-- Series 2019-2, Class C rated BBB (sf)
-- Series 2019-2, Class D rated BB (sf)
-- Series 2019-3, Class A rated AAA (sf)
-- Series 2019-3, Class B rated A (sf)
-- Series 2019-3, Class C rated BBB (sf)
-- Series 2019-3, Class D rated BB (sf)

In a commentary published on March 18, 2020, DBRS Morningstar
discussed some of the challenges facing the rental car sector and
concluded that despite these challenges, the outlook for rental car
asset-backed securities (ABS) performance remained stable. In a
subsequent commentary published on April 21, 2020, the outlook for
the rental car ABS sector was revised to negative. The primary
reason cited for the revised outlook was that the rapidity and
severity of negative developments related to the Coronavirus
Disease (COVID-19) that have directly affected the rental car
business were observed to be greater than originally anticipated.

In a commentary titled "Global Macroeconomic Scenarios:
Implications for Credit Ratings" published on April 16, 2020, DBRS
Morningstar explains its belief that in a Moderate Scenario
coronavirus will most likely be contained in Q2 2020, resulting in
a gradual relaxation of restrictions, thus enabling most economies
to begin a gradual economic recovery in Q3 2020. However, negative
developments in the travel and tourism and automotive sectors have
been particularly damaging to The Hertz Corporation's (Hertz or the
Company; rated CCC (high), Under Review with Negative Implications,
by DBRS Morningstar) rental car business, resulting in the present
rating actions.

The rating actions by DBRS Morningstar are based on the following
analytical considerations:

Nonessential business closures have limited the Company's ability
to reduce fleet commensurate with demand, adversely affecting fleet
utilization. As a result, company liquidity has been and may
continue to be impaired due to requirements in their ABS financing
arrangements whereby lease payments are required on vehicles
regardless of their revenue or nonrevenue producing status.

The information about the extent of the impact of coronavirus on
Hertz's rental car operations to date, which was shared with DBRS
Morningstar by the Company.

Provisions in ABS financing documents, which cover a substantial
portion of the Company's fleet, specify that incremental credit
enhancement is provided based upon certain mark to market and
disposition proceeds test. While there is a time lag associated
with the likely impact of these tests, based upon DBRS
Morningstar's evaluation of the potential impact of these tests in
the upcoming months, the negative impact on the Company's liquidity
could be significant.

The failure or inability to adjust the credit enhancement as
indicated under the ABS financing documents, combined with a
potential deterioration in the used vehicle market beyond original
expectations, could result in losses upon disposition for
nonprogram vehicles that are inconsistent with original
expectations and current ratings.

Concern that recovery in the tourism and travel sector, a
significant driver of the rental business, could be protracted to
the extent individuals are wary of resuming normal travel
patterns.

DBRS Morningstar downgraded Hertz's ratings, including Hertz's
Long-Term Issuer Rating to CCC (high) from B (high). The Company's
ratings remain Under Review with Negative Implications.
When a rating is placed Under Review with Negative Implications,
DBRS Morningstar seeks to complete its assessment and remove the
rating from this status as soon as appropriate. Upon the resolution
of the Under Review with Negative Implications status, DBRS
Morningstar may confirm or downgrade the ratings on the affected
classes.


JP MORGAN 2007-LDP11: Moody's Cuts Class A-J Certs Rating to Ca
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on one class
and affirmed the rating on one class in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2007-LDP11, Commercial
Mortgage Pass-Through Certificates, Series 2007-LDP11 as follows:

Cl. A-J, Downgraded to Ca (sf); previously on Aug 24, 2018 Affirmed
Caa3 (sf)

Cl. B, Affirmed C (sf); previously on Aug 24, 2018 Affirmed C (sf)

RATINGS RATIONALE

The rating on Cl. A-J was downgraded due to the decline of the
class' credit support as well as the anticipated losses and ongoing
interest shortfalls from the deal's exposure to specially serviced
and previously modified loans.

The rating on Cl. B was affirmed because the ratings are consistent
with Moody's expected loss plus realized losses. Class B has
already experienced a 93% realized loss as a result of previously
liquidated loans.

Moody's rating action reflects a base expected loss of 77.6% of the
current pooled balance, compared to 41.6% at Moody's last review.
Moody's base expected loss plus realized losses are now 15.5% of
the original pooled balance, compared to 15.3% at last review.

Its analysis has considered the effect of the coronavirus outbreak
on the US economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of commercial real estate. Stress on commercial
real estate properties will be most directly stemming from declines
in hotel occupancies (particularly related to conference or other
group attendance) and declines in foot traffic and sales for
non-essential items at retail properties.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

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

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 98.7% of the pool is
either currently in special servicing or has been previously
modified. 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 and troubled loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.

DEAL PERFORMANCE

As of the April 15, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 95.6% to $236.8
million from $5.41 billion at securitization. The certificates are
collateralized by six remaining mortgage loans, which include two
hope notes that were created as part of previous loan
modifications.

Sixty-seven loans have been liquidated from the pool, resulting in
an aggregate realized loss of $654 million (for an average loss
severity of 48%). One loan, constituting 2.1% of the pool, is
currently in special servicing. The loan is secured by a suburban
office building in Lisle, Illinois that is currently REO.

The largest loan is the Franklin Mills -- A Note Loan ($107.7
million -- 45.5% of the pool), which represents a pari passu
portion of a $179.5 million A Note senior mortgage. The loan is
secured by a super-regional mall located in Philadelphia,
Pennsylvania, and has rebranded under the name "Philadelphia
Mills." As of December 2019, the total property was 84% leased,
while in-line occupancy was 72%. For the December 2019
trailing-twelve month period, comparable in-line sales for stores
less than 10,000 square feet were $273 (excluding jewelry and F&B
outlets), down from $277 in 2018. JC Penney vacated their 100,200
SF store at this location but are continuing to make lease payments
with a lease expiration date in February 2022. The loan was
initially modified in November 2012 with an A/B Note split. The
modification included the creation of a B note totaling $90.0
million, $54 million of which is contributed to this trust and the
maturity date was extended until June 2019. In March 2019, the loan
transferred back into special servicing due to imminent default.
The most recent modification included a principal paydown of the A
note and an extension of the loan maturity date until June 2024.
Due to the historical performance of the property as well as the
multiple loan modifications, Moody's has identified both the A and
B note as troubled loans.

The next largest loan is the former Healthnet Headquarters - A Note
Loan ($33.4 million -- 14.1% of the pool), which is secured by a
327,327 SF Class B suburban office building located in Shelton,
Connecticut approximately 35 miles north of Stamford. The property
was previously 100% leased to Healthnet Services through April
2017. During its lease term, Healthnet Services vacated the
property and subleased its space to Sikorsky Aircraft (a subsidiary
of Lockheed Martin). Sikorsky Aircraft has since signed a lease
extending through June 2022 with multiple extension options. The
loan previously transferred to special servicing and was modified
in September 2016, creating a $33.7 million B Note and extending
loan maturity to April 2027. Due to single tenant exposure, Moody's
value is based on a lit/dark analysis. Moody's LTV and stressed
DSCR on the A-Note are 146% and 0.74X, respectively. Moody's has
identified the B note as a troubled loan and anticipated a
significant loss.

The remaining performing loan is the Las Colinas Loan ($3.1 million
-- 1.3% of the pool), which is secured by a 23,000 SF single tenant
office property located in Irving, Texas. The property is 100%
leased to Siplast, Inc., a commercial roof manufacturer through
April 2022. Due to single tenant exposure, Moody's value is based
on a lit/dark analysis. Moody's LTV and stressed DSCR are 135% and
0.84X, respectively.


LEGACY MORTGAGE 2020-RPL1: DBRS Assigns B Rating on Class B2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned new ratings to the following Mortgaged-Backed
Notes, Series 2020-RPL1 (the Notes) issued by Legacy Mortgage Asset
Trust 2020-RPL1 (LMAT 2020-RPL1 or the Trust):

-- $279.9 million Class A-1 Notes at AAA (sf)
-- $31.0 million Class A-2 Notes at AA (sf)
-- $310.8 million Class A-3 Notes at AA (sf)
-- $332.6 million Class A-4 Notes at A (sf)
-- $355.3 million Class A-5 Notes at BBB (sf)
-- $21.8 million Class M-1 Notes at A (sf)
-- $22.7 million Class M-2 Notes at BBB (sf)
-- $14.2 million Class B-1 Notes at BB (sf)
-- $14.0 million Class B-2 Notes at B (sf)

The Class A-3, A-4, and A-5 Notes are exchangeable. These classes
can be exchanged for combinations of initial exchangeable notes as
specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 39.00% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 32.25%, 27.50%,
22.55%, 19.45%, and 16.40% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned
performing and reperforming, primarily first-lien residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 2,368 loans with a total principal balance of $482,940,786 as of
the Cut-Off Date (February 29, 2020).

The portfolio is approximately 158 months seasoned and contains
94.4% modified loans. The modifications happened more than two
years ago for 79.7% of the modified loans. Within the pool, 859
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 9.4% of the total principal balance. There are no
Home Affordable Modification Program and proprietary principal
forgiveness amounts included in the deferred amounts.

As of the Cut-Off Date, 95.6% of the loans in the pool are current.
Approximately 3.3% is 30 days delinquent, 0.1% is 60 days
delinquent under the Mortgage Bankers Association (MBA) delinquency
method, and 1.0% is in bankruptcy (all bankruptcy loans are
performing or 30 days delinquent). Approximately 62.2% of the
mortgage loans have been zero times 30 days delinquent for at least
the past 24 months under the MBA delinquency method.

The majority of the pool (99.1%) is exempt from the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. The loans subject to the ATR rules are
designated as QM Safe Harbor (0.7%) and Non-QM (0.2%).

The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC;
82.8% of the loans) and MTGLQ Investors, L.P. (17.2% of the loans),
acquired the mortgage loans in various transactions prior to the
Closing Date from various mortgage loan sellers or from an
affiliate, GS Mortgage Securities Corp., which will contribute the
loans to the Trust. As the Sponsor, GSMC, or a majority-owned
affiliate, will retain an eligible vertical interest in the
transaction consisting of an uncertificated interest (the Retained
Interest) in the Trust representing the right to receive at least
5.0% of the amounts collected on the mortgage loans, net of the
Trust's fees, expenses, and reimbursements and paid on the Notes
(other than the Class R Notes) and the Retained Interest to satisfy
the credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder. These loans were originated and previously serviced by
various entities through purchases in the secondary market.

The loans will be serviced by Rushmore Loan Management Services LLC
(53.8%) and Select Portfolio Servicing, Inc. (46.2%). The initial
aggregate servicing fee for the LMAT 2020-RPL1 portfolio will be
0.25% per annum.

There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicers or any other party to the
transaction; however, the Servicers are obligated to make advances
in respect to the preservation, inspection, restoration,
protection, and repair of a mortgaged property, which includes
delinquent tax and insurance payments, the enforcement or judicial
proceedings associated with a mortgage loan, and the management and
liquidation of properties (to the extent that the Servicers deem
such advances to be recoverable).

When the aggregate pool balance of the mortgage loans is reduced to
less than 25% of the Cut-Off Date balance, the Controlling Holder
will have the option to purchase all remaining loans at a specified
minimum price.

As a loss mitigation alternative, the Servicers may sell mortgage
loans that are in early-stage or advanced default to maximize
proceeds on such defaulted loans on a net present value basis.

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

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many residential mortgage-backed
security (RMBS) asset classes, some meaningfully.

RPL is a traditional RMBS asset class that consists of
securitizations backed by pools of seasoned performing and
re-performing residential home loans. Although borrowers in these
pools may have experienced delinquencies in the past, the loans
have been largely performing for the past six to 24 months since
issuance. Generally, these pools are highly seasoned and contain
sizable concentrations of previously modified loans.

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies and loans on forbearance plans, slower voluntary
prepayment rates, and a potential near-term decline in the values
of the mortgaged properties. Such deteriorations may adversely
impact borrowers' ability to make monthly payments, refinance their
loans, or sell properties in an amount sufficient to repay the
outstanding balance of their loan.

In conjunction with its commentary, "Global Macroeconomic
Scenarios: Implications for Credit Ratings," published on April 16,
2020, DBRS Morningstar updated its baseline stresses (baseline
coronavirus stress) for the RPL asset class that correspond to the
moderate macroeconomic scenario outlined in the commentary. The
baseline coronavirus stresses include a combination of increased
unemployment rates, lower voluntary prepayment rates, and more
conservative home price assumptions from the stresses DBRS
Morningstar previously used.

In the RPL asset class, while the full effect of the coronavirus
may not be seen until a few performance cycles later, DBRS
Morningstar generally believes that loans which were previously
delinquent, recently modified, or have higher updated loan-to-value
ratios (LTVs) may be more sensitive to economic hardships resulting
from higher unemployment rates and lower incomes. Borrowers with
previous delinquencies or recent modifications have exhibited
difficulty in fulfilling payment obligations in the past and may
revert back to spotty payment patterns in the near term. Higher LTV
borrowers with lower equity in their properties generally have
fewer refinance opportunities and, therefore, slower prepayments.

When applied to LMAT 2020-RPL1, the baseline coronavirus stresses
resulted in higher expected losses on the collateral pool and
correspondingly higher credit enhancement compared with the
assumptions DBRS Morningstar previously used.

The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the
timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related Notes. The DBRS Morningstar ratings of A
(sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
Notes.

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


NEW RESIDENTIAL 2020-2: DBRS Assigns BB Rating on 10 Classes Notes
------------------------------------------------------------------
DBRS, Inc. assigned new ratings to the following classes of
Mortgage-Backed Notes, Series 2020-2 (the Notes) issued by New
Residential Mortgage Loan Trust 2020-2 (NRMLT 2020-2 or the
Trust):

-- $336.9 million Class A-1S at AAA (sf)
-- $37.3 million Class A-1M at AAA (sf)
-- $336.9 million Class A1-IOS at AAA (sf)
-- $37.3 million Class A1-IOM at AAA (sf)
-- $374.2 million Class A-1D at AAA (sf)
-- $374.2 million Class A-1E at AAA (sf)
-- $374.2 million Class A-1F at AAA (sf)
-- $374.2 million Class A-1G at AAA (sf)
-- $374.2 million Class A1-IOD at AAA (sf)
-- $374.2 million Class A1-IOE at AAA (sf)
-- $374.2 million Class A1-IOF at AAA (sf)
-- $374.2 million Class A1-IOG at AAA (sf)
-- $13.3 million Class B-1E at AA (sf)
-- $13.3 million Class B-1F at AA (sf)
-- $13.3 million Class B-1G at AA (sf)
-- $13.3 million Class B-1H at AA (sf)
-- $13.3 million Class B1-IOD at AA (sf)
-- $13.3 million Class B1-IOE at AA (sf)
-- $13.3 million Class B1-IOF at AA (sf)
-- $13.3 million Class B1-IOG at AA (sf)
-- $14.6 million Class B-2E at A (sf)
-- $14.6 million Class B-2F at A (sf)
-- $14.6 million Class B-2G at A (sf)
-- $14.6 million Class B-2H at A (sf)
-- $14.6 million Class B2-IOD at A (sf)
-- $14.6 million Class B2-IOE at A (sf)
-- $14.6 million Class B2-IOF at A (sf)
-- $14.6 million Class B2-IOG at A (sf)
-- $14.6 million Class B-3D at BBB (sf)
-- $14.6 million Class B-3E at BBB (sf)
-- $14.6 million Class B-3F at BBB (sf)
-- $14.6 million Class B-3G at BBB (sf)
-- $14.6 million Class B-3H at BBB (sf)
-- $14.6 million Class B3-IOD at BBB (sf)
-- $14.6 million Class B3-IOE at BBB (sf)
-- $14.6 million Class B3-IOF at BBB (sf)
-- $14.6 million Class B3-IOG at BBB (sf)
-- $10.8 million Class B-4D at BB (sf)
-- $10.8 million Class B-4E at BB (sf)
-- $10.8 million Class B-4F at BB (sf)
-- $10.8 million Class B-4G at BB (sf)
-- $10.8 million Class B-4H at BB (sf)
-- $10.8 million Class B4-IO at BB (sf)
-- $10.8 million Class B4-IOD at BB (sf)
-- $10.8 million Class B4-IOE at BB (sf)
-- $10.8 million Class B4-IOF at BB (sf)
-- $10.8 million Class B4-IOG at BB (sf)

DBRS Morningstar finalized its provisional ratings to the following
Notes issued by the Trust:

-- $374.2 million Class A-1 at AAA (sf)
-- $374.2 million Class A1-IO at AAA (sf)
-- $374.2 million Class A-1A at AAA (sf)
-- $374.2 million Class A-1B at AAA (sf)
-- $374.2 million Class A-1C at AAA (sf)
-- $374.2 million Class A1-IOA at AAA (sf)
-- $374.2 million Class A1-IOB at AAA (sf)
-- $374.2 million Class A1-IOC at AAA (sf)
-- $374.2 million Class A-2 at AAA (sf)
-- $387.4 million Class A-3 at AA (sf)
-- $402.0 million Class A-4 at A (sf)
-- $387.4 million Class A-5 at AA (sf)
-- $402.0 million Class A-6 at A (sf)
-- $402.0 million Class IO at A (sf)
-- $13.3 million Class B-1 at AA (sf)
-- $13.3 million Class B1-IO at AA (sf)
-- $13.3 million Class B-1A at AA (sf)
-- $13.3 million Class B-1B at AA (sf)
-- $13.3 million Class B-1C at AA (sf)
-- $13.3 million Class B-1D at AA (sf)
-- $13.3 million Class B1-IOA at AA (sf)
-- $13.3 million Class B1-IOB at AA (sf)
-- $13.3 million Class B1-IOC at AA (sf)
-- $14.6 million Class B-2 at A (sf)
-- $14.6 million Class B2-IO at A (sf)
-- $14.6 million Class B-2A at A (sf)
-- $14.6 million Class B-2B at A (sf)
-- $14.6 million Class B-2C at A (sf)
-- $14.6 million Class B-2D at A (sf)
-- $14.6 million Class B2-IOA at A (sf)
-- $14.6 million Class B2-IOB at A (sf)
-- $14.6 million Class B2-IOC at A (sf)
-- $27.8 million Class B-IO at A (sf)
-- $14.6 million Class B-3 at BBB (sf)
-- $14.6 million Class B3-IO at BBB (sf)
-- $14.6 million Class B-3A at BBB (sf)
-- $14.6 million Class B-3B at BBB (sf)
-- $14.6 million Class B-3C at BBB (sf)
-- $14.6 million Class B3-IOA at BBB (sf)
-- $14.6 million Class B3-IOB at BBB (sf)
-- $14.6 million Class B3-IOC at BBB (sf)
-- $10.8 million Class B-4 at BB (sf)
-- $10.8 million Class B-4A at BB (sf)
-- $10.8 million Class B-4B at BB (sf)
-- $10.8 million Class B-4C at BB (sf)
-- $10.8 million Class B4-IOA at BB (sf)
-- $10.8 million Class B4-IOB at BB (sf)
-- $10.8 million Class B4-IOC at BB (sf)
-- $6.1 million Class B-5 at B (sf)
-- $6.1 million Class B-5A at B (sf)
-- $6.1 million Class B-5B at B (sf)
-- $6.1 million Class B-5C at B (sf)
-- $6.1 million Class B-5D at B (sf)
-- $6.1 million Class B5-IOA at B (sf)
-- $6.1 million Class B5-IOB at B (sf)
-- $6.1 million Class B5-IOC at B (sf)
-- $6.1 million Class B5-IOD at B (sf)
-- $16.8 million Class B-7 at B (sf)

Classes A1-IO, A1-IOA, A1-IOB, A1-IOC, A1-IOD, A1-IOE, A1-IOF,
A1-IOG, A1-IOS, A1-IOM, IO, B1-IO, B1-IOA, B1-IOB, B1-IOC, B1-IOD,
B1-IOE, B1-IOF, B1-IOG, B2-IO, B2-IOA, B2-IOB, B2-IOC, B2-IOD,
B2-IOE, B2-IOF, B2-IOG, B-IO, B3-IO, B3-IOA, B3-IOB, B3-IOC,
B3-IOD, B3-IOE, B3-IOF, B3-IOG, B4-IO, B4-IOA, B4-IOB, B4-IOC,
B4-IOD, B4-IOE, B4-IOF, B4-IOG, B5-IOA, B5-IOB, B5-IOC, and B5-IOD
are interest-only notes. The class balances represent notional
amounts.

Classes A-1S, A-1M, A-1A, A-1B, A-1C, A-1D, A-1E, A-1F, A-1G,
A1-IOA, A1-IOB, A1-IOC, A1-IOD, A1-IOE, A1-IOF, A1-IOG, A1-IOS,
A1-IOM, A-2, A-3, A-4, A-5, A-6, B-1A, B-1B, B-1C, B-1D, B-1E,
B-1F, B-1G, B-1H, B1-IOA, B1-IOB, B1-IOC, B1-IOD, B1-IOE, B1-IOF,
B1-IOG, B-2A, B-2B, B-2C, B-2D, B-2E, B-2F, B-2G, B-2H, B2-IOA,
B2-IOB, B2-IOC, B2-IOD, B2-IOE, B2-IOF, B2-IOG, B-IO, B-3A, B-3B,
B-3C, B-3D, B-3E, B-3F, B-3G, B-3H, B3-IOA, B3-IOB, B3-IOC, B3-IOD,
B3-IOE, B3-IOF, B3-IOG, B-4A, B-4B, B-4C, B-4D, B-4E, B-4F, B-4G,
B-4H, B4-IOA, B4-IOB, B4-IOC, B4-IOD, B4-IOE, B4-IOF, B4-IOG, B-5A,
B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD, and B-7 are
exchangeable notes. These classes can be exchanged for combinations
of initial exchangeable notes as specified in the offering
documents.

The AAA (sf) ratings on the Notes reflect 16.70% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 13.75%, 10.50%,
7.25%, 4.85%, and 3.50% of credit enhancement, respectively.

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

This transaction is a securitization of a seasoned portfolio of
performing and reperforming first-lien residential mortgages funded
by the issuance of the Notes. The Notes are backed by 4,090 loans
with a total principal balance of $449,189,814 as of the Cut-Off
Date (April 1, 2020).

The loans are significantly seasoned, with a weighted-average age
of 187 months. As of the Cut-Off Date, 92.9% of the pool is
current, 6.7% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method, and 0.4% is in bankruptcy
(all bankruptcy loans are performing or 30 days delinquent).
Approximately 67.2% and 77.1% of the mortgage loans have been zero
times 30 days delinquent (0 x 30) for the past 24 months and 12
months, respectively, under the MBA delinquency method.

The portfolio contains 5.0% modified loans. The modifications
happened more than two years ago for 88.3% of the modified loans.
All but three loans are exempt from the Consumer Financial
Protection Bureau's ability-to-repay/qualified mortgage rules
because of loan seasoning.

The Seller, NRZ Sponsor IX LLC (NRZ), acquired the loans prior to
the Closing Date in connection with the termination of various
securitization trusts and whole loan purchases. Upon acquiring the
loans, NRZ, through an affiliate, New Residential Funding 2020-2
LLC (the Depositor), will contribute the loans to the Trust. As the
Sponsor, New Residential Investment Corp., through a majority-owned
affiliate, will acquire and retain a 5% eligible vertical interest
in each class of securities to be issued (other than the residual
notes) to satisfy the credit risk-retention requirements under
Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder. These loans were originated and
previously serviced by various entities through purchases in the
secondary market.

As of the Cut-Off Date, 49.4% of the pool is serviced by Nationstar
Mortgage LLC (Nationstar) doing business as (dba) Mr. Cooper Group,
Inc., 37.5% by PHH Mortgage Corporation, 6.9% by NewRez LLC dba
Shellpoint Mortgage Servicing (SMS), 4.0% by Wells Fargo Bank, and
2.1% by Select Portfolio Servicing. Nationstar will also act as the
Master Servicer, and SMS will act as the Special Servicer.

The Seller will have the option to repurchase any loan that becomes
60 or more days delinquent under the MBA method or any real estate
owned property acquired in respect of a mortgage loan at a price
equal to the principal balance of the loan (Optional Repurchase
Price), provided that such repurchases will be limited to 10% of
the principal balance of the mortgage loans as of the Cut-Off
Date.

Unlike other seasoned reperforming loan (RPL) securitizations, the
Servicers in this transaction will advance principal and interest
on delinquent mortgages to the extent such advances are deemed
recoverable. The transaction employs a senior-subordinate,
shifting-interest cash flow structure that is enhanced from a
pre-crisis structure.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many residential mortgage-backed
securities (RMBS) asset classes, some meaningfully.

RPL is a traditional RMBS asset class that consists of
securitizations backed by pools of seasoned performing and
reperforming residential home loans. Although borrowers in these
pools may have experienced delinquencies in the past, the loans
have been largely performing for the past six to 24 months since
issuance. Generally, these pools are highly seasoned and contain
sizable concentrations of previously modified loans.

As a result of the coronavirus pandemic, DBRS Morningstar expects
increased delinquencies and loans on forbearance plans, slower
voluntary prepayment rates, and a potential near-term decline in
the values of the mortgaged properties. Such deteriorations may
adversely affect borrowers' ability to make monthly payments,
refinance their loans, or sell properties in an amount sufficient
to repay the outstanding balance of their loans.

In conjunction with DBRS Morningstar's commentary "Global
Macroeconomic Scenarios: Implications for Credit Ratings,"
published on April 16, 2020, it has updated its baseline stresses
(baseline coronavirus stresses) for the RPL asset class that
correspond to the moderate macroeconomic scenario outlined in the
commentary. The baseline coronavirus stresses include a combination
of increased unemployment rates, lower voluntary prepayment rates,
and more conservative home price assumptions from the stresses DBRS
Morningstar used previously.

In the RPL asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes loans that have been previously
delinquent, recently modified, or have higher updated
loan-to-values (LTVs) may be more sensitive to economic hardships
resulting from higher unemployment rates and lower incomes.
Borrowers with previous delinquencies or recent modifications have
exhibited difficulties in fulfilling payment obligations in the
past and may revert back to spotty payment patterns in the near
term. Higher LTV borrowers, with lower equity in their properties,
generally have fewer refinance opportunities and slower
prepayments.

When applied to NRMLT 2020-2, the baseline coronavirus stresses
resulted in higher expected losses on the collateral pool and
correspondingly higher credit enhancement when compared with the
assumptions DBRS Morningstar used previously.

For more information regarding rating methodologies and the
coronavirus, please see the following DBRS Morningstar press
releases: "DBRS Morningstar Provides Update on Rating Methodologies
in Light Of Measures to Contain Coronavirus Disease (COVID-19),"
dated March 12, 2020; "DBRS Morningstar Global Structured Finance
Rating Methodologies and Coronavirus Disease (COVID-19)," dated
March 20, 2020; and "Global Macroeconomic Scenarios: Implications
for Credit Ratings," dated April 16, 2020.

The ratings reflect transactional strengths that include underlying
assets with significant seasoning and robust loan attributes such
as product types and LTVs.

The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers, and fewer mortgage
loan representations relative to DBRS Morningstar's criteria for
seasoned pools.

Although limited, third-party due diligence was performed on the
pool for regulatory compliance, data integrity, title/lien, and
payment history. The transaction included updated Home Data Index
and/or broker price opinions; however, there was no reconciliation
on the updated values.

Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the Servicers, DBRS
Morningstar believes that the risk of impeding or delaying
foreclosure is remote.

The DBRS Morningstar ratings address the timely payment of interest
and full payment of principal by the legal final maturity date in
accordance with the terms and conditions of the related Notes.

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


PHC 2015-CIBOLO: Moody's Cuts Rating on 2015A Certs to Ba1
----------------------------------------------------------
Moody's Investors Service has downgraded PHC 2015 - Cibolo Canyons
Special Improvement District, TX Revenue Pass Through Senior Trust
Certificates, Series 2015A rating to Ba1 from Baa3. This action
concludes the review for downgrade that was initiated on April 10,
2020. Moody's will withdraw the rating for lack of enough
information the next business day.

RATINGS RATIONALE

The downgrade to Ba1 reflects the expected material weakening of
debt service coverage from a substantial reduction in hotel
occupancy rates and sales tax revenue, the pledged revenues,
because of the COVID-19 pandemic. Revenues used to pay the Senior
Trust Certificates are very narrow and are dependent on operations
of one hotel which is temporarily closed, two PGA Tour golf courses
which are closed to nonmembers, and retail development.

The rapid and widening spread of the coronavirus outbreak,
deteriorating global economic outlook, falling oil prices, and
financial market declines are creating a severe and extensive
credit shock across many sectors, regions and markets. The combined
credit effects of these developments are unprecedented. Moody's
regards the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety. Its rating action reflects the impact of the crisis on PHC
2015 - Cibolo Canyons Special Improvement District Revenue Pass
Through Senior Trust Certificates, Series 2015A. Current economic
conditions will have a significant impact on pledged revenue, which
is very narrow in nature, and will result in weakened debt service
coverage.

Moody's has decided to withdraw the rating because it believes it
has insufficient or otherwise inadequate information to support the
maintenance of the rating.

RATING OUTLOOK

Outlooks are usually not assigned to local government credits with
this amount of debt outstanding.

LEGAL SECURITY

The Senior Trust Certificates are secured by a first lien on the
revenues of the PHC Pass Through Trust, which generally consist of
the amounts received and pledged to the payment of the underlying
Cibolo Canyons Special Improvement District, Hotel Occupancy Tax
and Sales and Use Tax Revenue Bonds, Taxable Series 2014 (not
rated).

The Cibolo Canyons SID Bonds are secured by a pledge of the
revenues received by the district from the hotel occupancy tax
imposed on and equal to 9% of the cost of the taxable hotel room
rentals in the district and the sales and use tax imposed on all
taxable transactions within the district, excluding alcohol sales,
at a rate of 1.5%.

PROFILE

Cibolo Canyons Special Improvement District is a conservation and
reclamation district within Bexar County, Texas (Aaa stable)
established in September 2005. The district consists of 2,800 acres
of land within the Cibolo Canyons master planned community and is
approximately 20 miles north of downtown San Antonio (Aaa stable).
The area lies within the extraterritorial jurisdiction of San
Antonio, although the city has agreed not to seek annexation prior
to January 28, 2034.

The district is empowered to exercise the powers of a road
district, construct water, wastewater, and drainage facilities,
enter into economic development agreements, levy ad valorem, hotel
occupancy and sales and use taxes, borrow money and issue bonds and
other obligations.


TOWD POINT 2020-2: DBRS Finalizes B Rating on Class B2 Notes
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on Asset-Backed
Securities, Series 2020-2 (the Notes) issued by Towd Point Mortgage
Trust 2020-2 (TPMT 2020-2 or the Trust) as follows:

-- $748.9 million Class A1A1 at AAA (sf)
-- $132.2 million Class A1A2 at AAA (sf)
-- $51.2 million Class A1B at AAA (sf)
-- $58.3 million Class A2 at AA (sf)
-- $44.1 million Class M1 at A (sf)
-- $33.3 million Class M2 at BBB (sf)
-- $25.0 million Class B1 at BB (sf)
-- $22.6 million Class B2 at B (sf)
-- $932.3 million Class A1 at AAA (sf)
-- $881.1 million Class A1A at AAA (sf)
-- $58.3 million Class A2A at AA (sf)
-- $58.3 million Class A2AX at AA (sf)
-- $58.3 million Class A2B at AA (sf)
-- $58.3 million Class A2BX at AA (sf)
-- $44.1 million Class M1A at A (sf)
-- $44.1 million Class M1AX at A (sf)
-- $44.1 million Class M1B at A (sf)
-- $44.1 million Class M1BX at A (sf)
-- $33.3 million Class M2A at BBB (sf)
-- $33.3 million Class M2AX at BBB (sf)
-- $33.3 million Class M2B at BBB (sf)
-- $33.3 million Class M2BX at BBB (sf)
-- $990.6 million Class A3 at AA (sf)
-- $1,034.7 million Class A4 at A (sf)
-- $1,068.0 million Class A5 at BBB (sf)

Classes A2AX, A2BX, M1AX, M1BX, M2AX, and M2BX are interest-only
(IO) notes. The class balances represent a notional amount.

Classes A1, A1A, A2A, A2AX, A2B, A2BX, M1A, M1AX, M1B, M1BX, M2A,
M2AX, M2B, M2BX, A3, A4, and A5 are exchangeable notes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 21.70% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 16.80%, 13.10%,
10.30%, 8.20%, and 6.30% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned
performing and reperforming primarily first-lien mortgages funded
by the issuance of the Notes. The Notes are backed by 7,170 loans
with a total principal balance of $1,190,671,100 as of the Cut-Off
Date (March 31, 2020).

The Notes are backed by 7,358 loans with a total principal balance
of $1,228,047,667 as of the Statistical Calculation Date (February
29, 2020). Unless specified otherwise, all the statistics regarding
the mortgage loans in this report are based on the Statistical
Calculation Date.

The portfolio is approximately 161 months seasoned and contains
97.8% modified loans. The modifications happened more than two
years ago for 95.3% of the modified loans. Within the pool, 2,280
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 7.3% of the total principal balance. There are no
Home Affordable Modification Program (HAMP) and proprietary
principal forgiveness amounts included in the deferred amounts.

As of the Statistical Calculation Date, 93.1% of the pool is
current, 5.6% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method, and 1.3% is in bankruptcy
(all bankruptcy loans are performing or 30 days delinquent).
Approximately 75.0% of the mortgage loans have been zero times 30
days delinquent (0 x 30) for at least the past 24 months under the
MBA delinquency method.

All but one loan in the pool is exempt from the Consumer Financial
Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage
(QM) rules. This loan is subject to the ATR rules and is designated
as non-QM.

FirstKey Mortgage, LLC (FirstKey) will acquire the loans from
various transferring trusts on or prior to the Closing Date. The
transferring trusts acquired the mortgage loans between July 2017
and March 2020 and are beneficially owned by funds managed by
affiliates of Cerberus Capital Management, L.P. (Cerberus). Upon
acquiring the loans from the transferring trusts, FirstKey, through
a wholly-owned subsidiary, Towd Point Asset Funding, LLC (the
Depositor), will contribute loans to the Trust. As the Sponsor,
FirstKey, through a majority-owned affiliate, will acquire and
retain a 5% eligible vertical interest in each class of securities
to be issued (other than any residual certificates) to satisfy the
credit risk-retention requirements. These loans were originated and
previously serviced by various entities through purchases in the
secondary market.

The loans will be serviced by Select Portfolio Servicing, Inc.
(SPS; 97.9%), and Specialized Loan Servicing LLC (SLS; 2.1%). The
initial aggregate servicing fee for the TPMT 2020-2 portfolio will
be 0.1538% per year, lower than transactions backed by similar
collateral. DBRS Morningstar stressed such servicing expenses in
its cash flow analysis to account for a potential fee increase in a
distressed scenario.

There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
in respect of homeowner association fees, taxes, and insurance,
installment payments on energy improvement liens, and reasonable
costs and expenses incurred in the course of servicing and
disposing of properties.

FirstKey, as the asset manager, has the option to sell certain
nonperforming loans or real estate owned (REO) properties to
unaffiliated third parties individually or in bulk sales. Bulk
sales require an asset sale price to at least equal a minimum
reserve amount of the product of (1) 65.26% and (2) the current
principal amount of the mortgage loans or REO properties as of the
bulk sale date.

When the aggregate pool balance of the mortgage loans is reduced to
less than 30.0% of the Cut-Off Date balance, the holders of more
than 50% of the Class X Certificates will have the option to cause
the Issuer to sell all of its remaining property (other than
amounts in the Breach Reserve Account) to one or more third-party
purchasers so long as the aggregate proceeds meet a minimum price.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-off Date, the majority representative as
appointed by the holder(s) of more than 50% of the notional amount
of the Class X Certificates or their affiliates may purchase all of
the mortgage loans, REO properties, and other properties from the
Issuer, as long as the aggregate proceeds meet a minimum price.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M1
and more subordinate bonds will not be paid from principal proceeds
until the Class A1A1, A1A2, A1B, and A2 Notes are retired.

The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the
timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related notes. The DBRS Morningstar ratings of A
(sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
notes.

The full descriptions of the strengths, challenges, and mitigating
factors are detailed in the related report.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many RMBS asset classes, some
meaningfully.

RPL is a traditional RMBS asset class that consists of
securitizations backed by pools of seasoned performing and
re-performing residential home loans. Although borrowers in these
pools may have experienced delinquencies in the past, the loans
have been largely performing for the past six to 24 months since
issuance. Generally, these pools are highly seasoned and contain
sizable concentrations of previously modified loans.

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies and loans on forbearance plans, slower voluntary
prepayment rates, and a potential near-term decline in the values
of the mortgaged properties. Such deteriorations may adversely
impact borrowers' ability to make monthly payments, refinance their
loans, or sell properties in an amount sufficient to repay the
outstanding balance of their loan.

In conjunction with its commentary, "Global Macroeconomic
Scenarios: Implications for Credit Ratings," published on April 16,
2020, DBRS Morningstar updated its baseline stresses (baseline
coronavirus stress) for the RPL asset class that correspond to the
moderate macroeconomic scenario outlined in the commentary. The
baseline coronavirus stresses include a combination of increased
unemployment rates, lower voluntary prepayment rates, and more
conservative home price assumptions from the stresses DBRS
Morningstar previously used.

In the RPL asset class, while the full effect of the coronavirus
may not be seen until a few performance cycles later, DBRS
Morningstar generally believes that loans which were previously
delinquent, recently modified, or have higher updated loan-to-value
ratios (LTVs) may be more sensitive to economic hardships resulting
from higher unemployment rates and lower incomes. Borrowers with
previous delinquencies or recent modifications have exhibited
difficulty in fulfilling payment obligations in the past and may
revert back to spotty payment patterns in the near term. Higher LTV
borrowers with lower equity in their properties generally have
fewer refinance opportunities and, therefore, slower prepayments.

When applied to TPMT 2020-2, the baseline coronavirus stresses
resulted in higher expected losses on the collateral pool and
correspondingly higher credit enhancement compared with the
assumptions DBRS Morningstar previously used.

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


VNDO TRUST 2016-350P: DBRS Assigns BB(low) Rating on Class E Certs
------------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2016-350P issued by VNDO Trust
2016-350P as follows:

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

All trends are Stable.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about May 15, 2020. In accordance
with MCR's engagement letter covering these certificates, upon
withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

The underlying loan is a first mortgage on 350 Park Avenue, a Class
A office property located in the Plaza District submarket of
Midtown Manhattan, New York, between 51st and 52nd Streets. The
30-story property totals 570,784 square feet (sf), including four
ground-floor retail spaces totaling 17,144 sf and no on-site
parking. Originally built in 1961, the property was last renovated
in 2012, with several other capital improvement projects undertaken
since.

The collateral for the trust consists of a $233.3 million portion
of a $400.0 million whole loan amount, represented by four pari
passu A notes ($296.0 million) and two subordinate B notes ($104.0
million). The trust collateral consists of two senior A notes
totaling $129.3 million and the two subordinate B notes. The two
remaining A notes, totaling $166.7 million, were contributed to the
GSMS 2017-GS5 ($100.0 million) and JPMDB 2017-C5 ($66.7 million)
transactions; DBRS Morningstar rates GSMS 2017-GS5. The
interest-only (IO) fixed-rate loan, has a term of 10 years and one
month, with maturity scheduled in January 2027. Whole loan proceeds
$400.0 million were used to refinance existing debt and return
$106.9 million of equity to the borrower. Based on the issuance
appraisal of $710.0 million, the borrower had $310.0 million of
implied equity remaining in the deal. The sponsor, Vornado Realty
Trust (Vornado), is one of the largest publicly traded real estate
investment trusts in the United States. Including 350 Park Avenue,
which Vornado acquired in 2006, the sponsor currently owns 34
office properties in Manhattan that comprise nearly 20.0 million
sf.

The most significant risk is the property's tenant concentration,
as the five largest tenants represent 81.5% of the net rentable
area (NRA). These tenants include Ziff Brothers Investments (Ziff
Brothers; 50.3% of NRA, expiring April 2021), Manufacturers &
Traders (18.0% of NRA, expiring March 2023), Marshall Wace North
America (4.9% of NRA, expiring August 2024), Egon Zehnder
International (4.6% of NRA, expiring May 2022), and MFA Financial
(3.7% of NRA, expiring June 2021).

The loan was added to the servicer's watchlist in December 2019
following the announcement that Ziff Brothers would be vacating
upon lease expiration in April 2021. While this suggests the
possibility of a significant decline in the property's leased rate
in the near term, Ziff Brothers had slowly been reducing its
footprint in the building over the last decade, and as of November
2019, had sublet approximately 65% of their space to other tenants.
According to the servicer, a number of the tenants currently
subletting have already signed direct leases while discussions are
ongoing for others. The loan was also structured with a springing
cash flow sweep to mitigate the Ziff Brothers' lease rollover,
subject to a cap of $25.0 million ($87 per sf (psf)). The cash
sweep has been triggered, and as the April 2020 reporting, had
built to a reserve amount of $16.9 million ($59 psf).

According to the January 2020 rent roll, the property had an
occupancy rate of 8.9% and an average rental rate of $99.20 psf. As
of Q4 2019, Reis reported that comparable Class A offices within a
0.25-mile radius of the subject had average rental and asking rates
of $88.11 psf and $106.19 psf, respectively, and an average vacancy
rate of 10.9%. As of the January 2020 rent roll, Ziff Brothers paid
an average rental rate of $88.08 psf, indicating that there could
be potential rental upside as the borrower signs direct leases and
backfills the space, with tenant improvements and leasing
commission costs mitigated by the availability of reserve funds.
Several news articles located by DBRS Morningstar noted the
sponsor's plan to redevelop the subject site with a 1,500-foot
tower to be built once all existing leases ended; however, those
plans may have changed with the economic impact of the ongoing
Coronavirus Disease (COVID-19) pandemic.

The DBRS Morningstar NCF derived at issuance was re-analyzed for
the subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure of $29.7 million and a cap rate
of 6.75% was applied, resulting in a DBRS Morningstar Value of
$439.5 million, a variance of 38.0% from the appraised value at
issuance of $710.0 million. The DBRS Morningstar Value implies an
LTV of 91.0%, as compared with the LTV on the issuance appraised
value of 56.3%. The NCF figure applied as part of the analysis
represents a -15.3% variance from the Issuer's NCF, primarily
driven by vacancy loss and tenant improvement and leasing
commission (TI/LC) costs. As of YE2019, the servicer reported a NCF
figure of $34.3, a 15.5% variance from the DBRS Morningstar NCF
figure, primarily a factor of vacancy loss and TI/LC costs.

The cap rate applied is at the lower end of the range of DBRS
Morningstar Cap Rate Ranges for office properties, reflective of
the location, quality, and trophy-asset status. In addition, the
6.75% cap rate applied is above the implied cap rate of 5.1% based
on the Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 3.5%
to account for cash flow volatility, property quality, and market
fundamentals.

Class X-A is an IO certificate that references 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.


WAMU MORTGAGE 2004-AR2: Moody's Cuts Class A Certs Rating to B1
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches, from three RMBS transactions, backed by Prime Jumbo and
Option ARM loans, issued by Washington Mutual.

The complete rating action is as follows:

Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR2
Trust

Cl. A, Downgraded to B1 (sf); previously on Feb 3, 2017 Upgraded to
Ba1 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2003-AR5

Cl. B-1, Downgraded to B2 (sf); previously on Apr 11, 2012
Downgraded to Ba3 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR11

Cl. X*, Downgraded to Caa1 (sf); previously on Dec 20, 2017
Confirmed at B3 (sf)

* Reflects Interest-Only Class

RATINGS RATIONALE

The rating downgrades are primarily due to a deterioration in the
performance of the underlying collteral and a decline in the credit
enhancement available to the principal and interest bonds. The
rating actions also reflect the recent performance and Moody's
updated loss expectations on the underlying pools.

Its analysis has considered the effect of the coronavirus outbreak
on the US economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of consumer assets. Specifically, for US RMBS,
loan performance will weaken due to the unprecedented spike in the
unemployment rate, which may limit borrowers' income and their
ability to service debt. The softening of the housing market will
reduce recoveries on defaulted loans, also a credit negative.
Furthermore, borrower assistance programs such as forbearance, may
adversely impact scheduled cash flows to bondholders.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

The principal methodology used in rating all classes except
interest-only classes was "US RMBS Surveillance Methodology"
published in February 2019.

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

Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
Moody's expects unemployment rate to rise to about 9% in the second
quarter, and decline thereafter with a slow pace of rehiring,
resulting in an unemployment rate of around 6.5% by the end of
2020. However, there is significant uncertainty around this
forecast and risks are firmly to the downside. House prices are
another key driver of US RMBS performance. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.


[*] Fitch Affirms Ratings on Distressed Bonds From 4 US CMBS Deals
------------------------------------------------------------------
Fitch Ratings, on May 12, 2020, affirmed already distressed bonds
across four U.S. commercial mortgage-backed securities
transactions.

ML-CFC Commercial Mortgage Trust 2007-9    

  - Class AJ 60688CAJ5; LT Dsf; Affirmed

AJ-A 60688CAK2; LT Dsf Affirmed

  - Class B 60688CAL0; LT Dsf; Affirmed

  - Class C 60688CAM8; LT Dsf; Affirmed

  - Class D 60688CAN6; LT Dsf; Affirmed

  - Class E 60688CAP1; LT Dsf; Affirmed

  - Class F 60688CAQ9; LT Dsf; Affirmed

  - Class G 60688CAX4; LT Dsf; Affirmed

  - Class H 60688CAY2; LT Dsf; Affirmed

  - Class J 60688CAZ9; LT Dsf; Affirmed

  - Class K 60688CBA3; LT Dsf; Affirmed

  - Class L 60688CBB1; LT Dsf; Affirmed

  - Class M 60688CBC9; LT Dsf; Affirmed

  - Class N 60688CBD7; LT Dsf; Affirmed

Credit Suisse Commercial Mortgage Trust 2006-C4    

  - Class C 22545MAJ6; LT Dsf; Affirmed

  - Class D 22545MAK3; LT Dsf; Affirmed

  - Class E 22545MAL1; LT Dsf; Affirmed

  - Class F 22545MAM9; LT Dsf; Affirmed

  - Class G 22545MAN7; LT Dsf; Affirmed

  - Class H 22545MAP2; LT Dsf; Affirmed

  - Class J 22545MAQ0; LT Dsf; Affirmed

  - Class K 22545MAR8; LT Dsf; Affirmed

  - Class L 22545MAS6; LT Dsf; Affirmed

  - Class M 22545MAT4; LT Dsf; Affirmed

  - Class N 22545MAU1; LT Dsf; Affirmed

  - Class O 22545MAV9; LT Dsf; Affirmed

  - Class P 22545MAW7; LT Dsf; Affirmed

  - Class Q 22545MAX5; LT Dsf; Affirmed

Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24    

  - Class B 07388NAH9; LT Dsf; Affirmed

  - Class C 07388NAJ5; LT Dsf; Affirmed

  - Class D 07388NAK2; LT Dsf; Affirmed

  - Class E 07388NAL0; LT Dsf; Affirmed

  - Class F 07388NAM8; LT Dsf; Affirmed

  - Class G 07388NAN6; LT Dsf; Affirmed

  - Class H 07388NAP1; LT Dsf; Affirmed

  - Class J 07388NAQ9; LT Dsf; Affirmed

  - Class K 07388NAR7; LT Dsf; Affirmed

  - Class L 07388NAS5; LT Dsf; Affirmed

  - Class M 07388NAT3; LT Dsf; Affirmed

  - Class N 07388NAU0; LT Dsf; Affirmed

  - Class O 07388NAV8; LT Dsf; Affirmed

Morgan Stanley Capital I Trust 2003-IQ4    

  - Class L 61745MQE6; LT Dsf; Affirmed

  - Class M 61745MQF3; LT Dsf; Affirmed

  - Class N 61745MQH9; LT Dsf; Affirmed

KEY RATING DRIVERS

Fitch has affirmed 44 bonds in four U.S. CMBS transactions at
'Dsf'. All of the classes have previously incurred principal
losses. Additionally, these bonds are the only remaining bonds in
each of the four deals.

RATING SENSITIVITIES

Its rating action is limited to the bonds that have incurred
losses. Any remaining bonds in the transactions have not been
analyzed as part of this review. No further rating changes are
expected as these bonds have incurred principal realized losses.
While the bonds that have defaulted are not expected to recover any
material amount of lost principal in the future, there is a limited
possibility this may happen. In this unlikely scenario, Fitch would
further review the affected classes. As these are the last rated
bonds in the transaction, Fitch expects to withdraw the ratings
within the next year.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


[*] Fitch Alters Outlook on 31 Tranches From 17 CMBS Deals to Neg.
------------------------------------------------------------------
Fitch Ratings has revised the Rating Outlooks to Negative from
Stable on 31 classes from 17 U.S. CMBS conduit transactions from
the 2019 vintage. In addition, five classes from one transaction
were removed from Rating Watch Negative, affirmed and assigned
Stable Rating Outlooks, while three classes from that transaction
were removed from Rating Watch Negative, affirmed and assigned
Negative Rating Outlooks.

Fitch analyzed its entire portfolio of 2019 U.S. CMBS conduit
transactions, which consists of 52 deals. The review focused solely
on the impact of the coronavirus pandemic on the transactions. In
total, 18 transactions from the 2019 vintage now have at least one
class with a Negative Rating Outlook and 34 transactions that have
Stable Rating Outlooks on all outstanding classes.

MSC 2019-H7    

  - Class F-RR 61771MAG5; LT BB-sf; Revision Outlook

  - Class G-RR 61771MAJ9; LT B-sf; Revision Outlook

Benchmark 2019-B11    

  - Class G 08162BAQ5; LT B-sf; Revision Outlook

  - Class X-G 08162BAE2; LT B-sf; Revision Outlook

GSMS 2019-GC38    

  - Class H-RR; LT B-sf; Revision Outlook

CF 2019-CF1    

  - Class G 12529MDB1; LT B-sf; Revision Outlook

  - Class X-G 12529MCX4; LT B-sf; Revision Outlook

BMARK 2019-B9    

  - Class G 08160JBE6; LT B-sf; Revision Outlook

  - Class X-G 08160JAS6; LT B-sf; Revision Outlook

MSC 2019-L2    

  - Class F-RR 61768HAG1; LT BB-sf; Revision Outlook

  - Class G-RR 61768HAJ5; LT B-sf; Revision Outlook

BANK 2019-BNK16    

  - Class G 065405AS1; LT B-sf; Revision Outlook

  - Class X-G 065405BC5; LT B-sf; Revision Outlook

CSAIL 2019-C16    

  - Class B 12596WAH7; LT AA-sf; Affirmed

  - Class C 12596WAJ3; LT A-sf; Affirmed

  - Class D 12596WAM6; LT BBB-sf; Affirmed

  - Class E-RR 12596WAP9; LT BBB-sf; Affirmed

  - Class F-RR 12596WAR5; LT BB-sf; Affirmed

  - Class G-RR 12596WAT1; LT B-sf; Affirmed

  - Class X-B 12596WAF1; LT A-sf; Affirmed

  - Class X-D 12596WAK0; LT BBB-sf; Affirmed

WFCM 2019-C49    

  - Class G-RR 95001WAJ7; LT BB-sf; Revision Outlook

  - Class H-RR 95001WAL2; LT B-sf; Revision Outlook

CD 2019-CD8    

  - Class F 12515BAV0; LT BB-sf Revision Outlook

  - Class G-RR 12515BAX6; LT B-sf; Revision Outlook

  - Class X-F 12515BAP3; LT BB-sf; Revision Outlook

JPMCC 2019-COR4    

  - Class G-RR 48128YAJ0; LT BB-sf; Revision Outlook

  - Class H-RR 48128YAL5; LT B-sf; Revision Outlook

UBS 2019-C16    

  - Class H-RR 90276YAY9; LT B-sf; Revision Outlook

  - Class WFCM 2019-C50    

  - Class G 95001XAQ9; LT B-sf; Revision Outlook

  - Class X-G 95001XAE6; LT B-sf; Revision Outlook

CSAIL 2019-C15    

  - Class F-RR 22945DBC6; LT BB-sf; Revision Outlook

  - Class G-RR 22945DBE2; LT B-sf; Revision Outlook

Benchmark 2019-B14    

  - Class G-RR 08162YAV4; LT B-sf; Revision Outlook

MSC 2019-H6    

  - Class J-RR 61769JAN1; LT B-sf; Revision Outlook

BMARK 2019-B13    

  - Class F 08162DAV0; LT BB-sf; Revision Outlook

  - Class G-RR 08162DAX6; LT B-sf; Revision Outlook

  - Class X-F 08162DAP3; LT BB-sf; Revision Outlook

COMM 2019-GC44    

  - Class G-RR 12655TAN9; LT B-sf; Revision Outlook

KEY RATING DRIVERS

The Negative Rating Outlooks reflect the potential for future
downgrades over the next one- to two-year period should the
significant economic impact and property performance deterioration
due to the coronavirus pandemic continue and increased loss
expectations be sustained. Near-term cash flow performance declines
on certain properties are expected. However, it is difficult to
discern at this time which loans will ultimately default and
whether the default will result in losses to the trust, given the
lack of clarity about the length of the pandemic and permanence of
the performance declines.

As described in Fitch's "Update on Response on Coronavirus Related
Reviews for North American CMBS", published on April 13, 2020, it
continues to incorporate Fitch's baseline scenario from its "Global
Economic Outlook" into its analysis.

For property sectors highly vulnerable to the coronavirus pandemic,
Fitch has assumed significant declines in cash flow occurring over
the next two to four months: for hotel, a 65% decline, for retail,
a 45% decline and for multifamily, a 20% decline. Due to a lack of
updated financial reporting for most of the loans in this recent
vintage review, the stresses were generally applied to the issuer's
net operating income at securitization. After applying such
declines, Fitch assumed any loan with a resulting interest-only
(IO) debt service coverage ratio of less than 0.95x would have a
75% probability of default. For hotel, this cash flow stress is
roughly equivalent to a loan with a DSCR of 2.75x moving to 0.95x;
for retail, a DSCR of 1.75x moving to 0.95x; and for multifamily, a
DSCR of 1.20x moving to 0.95x.

Although Fitch expects significant defaults among those properties
that suffer the harshest short-term cash flow declines, some
well-capitalized sponsors will be willing and able to support their
properties through this period, particularly those in high-demand
locations.

Fitch does not expect loans to be liquidated in any great number
prior to the end of the second quarter of 2021, when its "Global
Economic Outlook" envisages a slow recovery will be under way. The
expected losses for the loans assumed to default were calculated by
applying Fitch's stressed cap rate to the issuer's net operating
income at securitization less a haircut of 26% for hotels, 20% for
retail and 15% for multifamily. Fitch's stressed cap rates
generally range between 10.25% and 13.50% for hotels; 8.00% and
11.25% for retail; and 8.00% and 10.00% for multifamily.

Fitch did not apply any distinct coronavirus stresses to office and
industrial properties; however, single-tenant properties with low-
or non-rated tenants, single-tenant properties with near-term
rollover and tenants exposed to industries most affected by the
pandemic, as well as office properties with significant exposure to
co-working tenants, were assumed likely to default.

The rating actions at this time were limited to Negative Rating
Outlooks. Over the next few months, Fitch will monitor the
performance of the loans in the transactions to evaluate if actual
defaults are occurring in line with Fitch's expectations. A
significant divergence to the downside may accelerate ratings
downgrades. Otherwise, ratings changes, if any, will likely occur
in 2021 with a clearer view of how an economic recovery is
affecting property performance and values.

Additionally, all the transactions will be subject to their annual
review over the next 12 months, and Fitch's analysis will
incorporate adjustments, both less and more stressful, as
warranted, based on idiosyncratic features of the loans and
properties.

The transactions that were not assigned Negative Rating Outlooks
had several common factors including lower concentrations of loans
to sectors vulnerable to the pandemic and/or higher DSCRs relative
to Fitch's assumptions on default risk.

By rating category, the following is a summary of the current
ratings and transaction characteristics of the 36 classes from 18
transactions with Negative Rating Outlook assignments.

Nine classes from seven transactions in the 'BBsf' category; this
represents 9.9% of the total number of classes rated in the 'BBsf'
category from the 2019 vintage.

  -- These seven transactions include JPMCC 2019-COR4, WFCM
2019-C49, CSAIL 2019-C15, MSC 2019-L2, MSC 2019-H7, CD 2019-CD8 and
BMARK 2019-B13.

  -- Average hotel concentration of 18.6% (ranging between 10.7%
and 23.8%).

  -- Average retail concentration of 32.6% (ranging between 21.8%
and 37.4%).
  
22 classes from 17 transactions in the 'Bsf' category; this
represents 31.9% of the total number of classes rated in the 'Bsf'
category from the 2019 vintage.

  -- These 17 transactions include BMARK 2019-B9, BANK 2019-BNK16,
GSMS 2019-GC38, JPMCC 2019-COR4, WFCM 2019-C49, CSAIL 2019-C15, MSC
2019-L2, UBS 2019-C16, CF 2019-CF1, WFCM 2019-C50, BMARK 2019-B11,
MSC 2019-H6, MSC 2019-H7, CD 2019-CD8, BMARK 2019-B13, BMARK
2019-B14 and COMM 2019-GC44.

  -- Average hotel concentration of 14.2% (ranging between 3.2% and
23.8%).

  -- Average retail concentration of 28.1% (ranging between 6.0%
and 37.4%).

Additionally, Fitch removed from Rating Watch Negative, affirmed
and assigned Negative Rating Outlooks to three classes from the
CSAIL 2019-C16 transaction. Fitch also removed from Rating Watch
Negative, affirmed and assigned Stable Rating Outlooks to five
classes from the CSAIL 2019-C16 transaction. This transaction has a
hotel concentration of 30.6% and retail concentration of 30.5%.

Fitch will be reviewing its entire portfolio and expects to release
updated rating actions for each vintage with the 2020 vintage
transactions to follow.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating actions/upgrades:

Upgrades, although not likely in the near term, would occur with
stable to improved asset performance coupled with paydown and/or
defeasance. The Negative Rating Outlooks may be revised back to
Stable if overall pool performance and/or properties vulnerable to
the coronavirus stabilize to pre-pandemic levels. Classes with
Negative Rating Outlooks at 'AAAsf', 'AAsf' and 'Asf' may be more
likely to be revised back to Stable should credit enhancement or
defeasance increase significantly. Prior to any classes being
upgraded, adverse selection, sensitivity to concentrations and/or
the potential for future concentration would be taken into
consideration. Classes would not be upgraded above 'Asf' if there
is likelihood for interest shortfalls.

Factors that could, individually or collectively, lead to negative
rating actions/downgrades:

Factors that could lead to downgrades include an increase in
expected pool-level losses from underperforming or specially
serviced loans. Downgrades of one category or more to the classes
assigned Negative Rating Outlooks would occur if expected losses
increase, or a high proportion of the pool defaults and/or
properties vulnerable to the coronavirus fail to return to
pre-pandemic levels. The severity of the downgrades would be based
on the level of CE relative to losses. Below-investment-grade
classes with Negative Rating Outlooks would likely be downgraded
first as losses would impact these classes sooner.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
that a greater percentage of classes may be assigned a Negative
Rating Outlook and/or those with Negative Rating Outlooks may be
downgraded by a greater magnitude.

BEST/WORST CASE RATING SCENARIO

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


[*] Fitch Cuts Rating on 44 Notes From 11 Hertz Vehicle Securities
------------------------------------------------------------------
Fitch Ratings, on May 12, 2020, downgraded all the outstanding
asset-backed securities issued by Hertz Vehicle Financing II LP,
totaling $6.04 billion notes issued from 11 series. The notes
remain on Rating Watch Negative. The rating actions are driven by
elevated risks to the ABS notes stemming from The Hertz Corporation
acting as servicer, administrator, lessee and guarantor for HVF II
and the continued failure to pay the issuer's ongoing monthly
operating lease obligations in full, along with the seemingly high
possibility of their inability to meet future ABS liabilities when
due.

Fitch's global rental car ABS criteria de-links the credit profile
of Hertz and in its base scenario assumes an immediate company
bankruptcy and subsequent liquidation of the fleet over several
months under stressed wholesale market conditions. Given the risks
mentioned, Fitch stressed the base scenario ABS Expected Loss
levels higher for each series in this review versus initial levels.
This resulted in impairments to current credit enhancement for each
series, and downgrades of all ABS notes.

The rating actions encompass the unprecedented impact of the
coronavirus pandemic on the travel sector, and Hertz's operating
cash flow generation threatening their ability to service the ABS
notes, as well as the pandemic's impact in driving Hertz's fleet
depreciation higher and values lower in the past two months. The
pandemic continues to place unforeseen pressure on the U.S.
economic outlook and RC sector.

The ongoing dislocation, closures of and limited activity in the
wholesale market across vehicle auctions nationwide is creating
unique challenges for Hertz in de-fleeting to generate disposition
proceeds, negatively affecting their monthly operating lease
liabilities, and threatening their ongoing corporate health and
viability, driving them closer to bankruptcy. These heightened
risks, along with the uncertainties of how a potential Hertz
bankruptcy may unfold, contributed to the ABS note downgrades.

Hertz is wholly owned by its parent, Hertz Global Holdings, Inc.
(Hertz Holdings), both not rated (NR) by Fitch.

On April 29, 2020, Hertz filed an 8-K disclosing that on April 27
they failed to make the full operating lease payment, including
interest and principal on the ABS notes. Hertz did not make the
required lease obligation of $498 million for the March collection
period. This event triggered an amortization event of the
outstanding ABS notes on May 1, following a short grace period. In
an amortization event, all proceeds from Hertz's vehicle sales are
directed towards paying down principal of the notes going forward.

Following this failure to pay event, Hertz obtained forbearance on
the fleet liquidation event from its HVF II 2013-A variable funding
note (VFN, NR by Fitch) noteholders, and a waiver from its senior
credit facility lenders (Senior Lenders) to delay such payment
event to May 22, as disclosed in an 8-K filing on May 5. This
forbearance allowed Hertz time to potentially workout additional
financing solutions for or restructurings of the Issuer liabilities
outside of a fleet liquidation event, in which all vehicles will be
sold to pay-off the outstanding VFN (NR) and ABS notes. It is
uncertain if such waivers/forbearance and process thereof, as well
as an additional forbearance required from ABS noteholders, will
proceed in coming weeks.

Subsequently, Hertz made an ABS note interest payment on or around
May 5 to the Issuer for the March 2020 collection period lease
obligation, but the principal payment remains unpaid.

Hertz Vehicle Financing II LP, Series 2017-2    

  - Class A 42806DBG3; LT Asf; Downgrade

  - Class B 42806DBH1; LT BB-sf; Downgrade

  - Class C 42806DBJ7; LT B-sf; Downgrade

  - Class D 42806DBK4; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2016-4    

  - Class A 42806DBC2; LT Asf; Downgrade

  - Class B 42806DBD0; LT BB-sf; Downgrade

  - Class C 42806DBE8; LT B-sf; Downgrade

  - Class D 42806DBF5; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2018-1    

  - Class A 42806DBQ1; LT Asf; Downgrade

  - Class B 42806DBR9; LT BB-sf; Downgrade

  - Class C 42806DBS7; LT B-sf; Downgrade

  - Class D 42806DBT5; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2018-2    

  - Class A 42806DBV0; LT Asf; Downgrade

  - Class B 42806DBW8; LT BB-sf; Downgrade

  - Class C 42806DBX6; LT B-sf; Downgrade

  - Class D 42806DBY4; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2019-3    

  - Class A 42806DCN7; LT Asf; Downgrade

  - Class B 42806DCP2; LT BB-sf; Downgrade

  - Class C 42806DCQ0; LT B-sf; Downgrade

  - Class D 42806DCR8 LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2018-3    

  - Class A 42806DBZ1; LT Asf; Downgrade

  - Class B 42806DCA5; LT BB-sf; Downgrade

  - Class C 42806DCB3; LT B-sf; Downgrade

  - Class D 42806DCC1; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2019-1    

  - Class A 42806DCD9; LT Asf; Downgrade

  - Class B 42806DCE7; LT BB-sf; Downgrade

  - Class C 42806DCF4; LT B-sf; Downgrade

  - Class D 42806DCG2; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2017-1    

  - Class A 428040CU1; LT Asf; Downgrade

  - Class B 428040CV9; LT BB-sf; Downgrade

  - Class C 428040CW7; LT B-sf; Downgrade

  - Class D 428040CX5; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2019-2    

  - Class A 42806DCH0; LT Asf; Downgrade

  - Class B 42806DCJ6; LT BB-sf; Downgrade

  - Class C 42806DCK3; LT B-sf; Downgrade

  - Class D 42806DCL1; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2015-3    

  - Class A 42806DAH2; LT Asf; Downgrade

  - Class B 42806DAJ8; LT BB-sf; Downgrade

  - Class C 42806DAK5; LT B-sf; Downgrade

  - Class D 42806DAL3; LT CCCsf; Downgrade

Hertz Vehicle Financing II LP, Series 2016-2    

  - Class Class A 42806DAU3; LT Asf; Downgrade

  - Class Class B 42806DAV1; LT BB-sf; Downgrade

  - Class Class C 42806DAW9; LT B-sf; Downgrade

  - Class Class D 42806DAX7; LT CCCsf; Downgrade

KEY RATING DRIVERS

Fitch's Updated HVF II Expected Loss Analysis

While it is unclear exactly how the pandemic and a Hertz bankruptcy
will evolve, Fitch's ABS analysis assumes that Hertz will continue
to operate via a Chapter 11 bankruptcy filing, and not proceed to
liquidate the company and its assets via a Chapter 7 filing.
Therefore, Fitch would expect that the process would involve Hertz
continuing to operate and maintain a notably smaller fleet, versus
a complete liquidation and dumping of their entire portfolio into
the wholesale vehicle markets and auctions at once in such a
stressed environment currently. The strategy of operating in
bankruptcy with a smaller fleet may alleviate the severity of the
values declines in their fleet to some extent.

The issuer is structured such that, in the current ongoing
amortization event, all outstanding series, including the VFN,
receive a pro rata share of vehicle liquidations which then pay
down the notes in each series by order of seniority.

Fitch's revised base EL scenario analysis compares the vehicle
liquidation disposition losses that can be sustained as a
percentage of fleet net book value versus the EL at each rating
level, driving ratings for each class of notes. The analysis is
described herein, and ultimately the current liquidation proceeds
from such a forced fleet disposition event did not cover the
respective EL levels resulting in downgrades to each outstanding
note.

An ABS fleet liquidation is assumed and as of the last March 31,
2020 servicer report, the HVF II vehicle fleet totaled
approximately $12.0 billion. The fleet was comprised of 82.5%
non-program/risk vehicles, and 17.5% program vehicles backed by
program vehicles under agreement with auto manufacturers (original
equipment manufacturers, or OEMs) that carry little to no residual
risks.

As it is now early May, Fitch assumed an additional month of
depreciation on the outstanding fleet balance utilizing
depreciation forecasts for 2020 at a conservative 30% annual rate.
The resulting fleet balance was thus reduced by 2.50% depreciation
(30% divided by 12 months) to $11.7 billion.

Fitch then assumed a Hertz fleet liquidation to take up to six
months at the 'AAAsf' level stress, consistent with previous
analyses. This time period was utilized on the assumption that
Hertz continues to operate after filing a Chapter 11 bankruptcy
while continuing to liquidate their fleet to a more sustainable
ongoing operating level under the Issuer early amortization event.
Uncertainty exists around such a liquidation scenario timeline,
whether in or out of a Hertz bankruptcy, and may drive Fitch to
revise such a base six-month liquidation period out longer, which
may then affect ABS ratings negatively. Therefore, a sensitivity
scenario around such liquidation risk was conducted utilizing a
more stressful nine-month period.

Fitch applied PV and NPV weighted-average depreciation of 2.32% per
month under its assumed fleet liquidation scenario of six months. A
1.45% depreciation rate was applied to PV, consistent with Fitch's
initial analysis applied for the series 2019-3 rated in late 2019.
The NPV rate of depreciation was stressed higher to 2.50% versus
2.05% utilized in the previous analysis for 2019-3, to reflect
ongoing stressed market depreciation trends.

Hertz's fleet is classified 'diverse' given the OEM/brand, vehicle
segment and model diversification present therein. Fitch thus
assumed criteria-driven fleet NPV disposition losses to the fleet,
but ramped losses up to peak levels for this review to reflect
ongoing stressed values when disposing of the fleet into a
depressed wholesale vehicle market. This resulted in an 'AAAsf'
disposition loss assumption of 28% up from 24%, and commensurate
increases for lower rating scenarios in line with criteria.

Fitch assumed that Hertz will manage PV adequately as per the
operating OEM agreements while OEMs will honor repurchase
obligations. Therefore, PV disposition losses were assumed at 1%
for all rating scenarios down from prior analyses, but this rate
still reflects Hertz's historically peak disposition losses from
the prior economic recession.

Note interest costs, servicing and administrative fees were then
applied across the six-month liquidation period, and this combined
with assumed monthly depreciation and disposition losses resulted
in a higher EL levels for each rating scenario. As an example, for
'AAAsf' ratings the NPV EL rose to 40.6% from 35.1% initially,
while for 'BBsf' ratings the NPV EL was 22.5% up from 17.2%
initially.

EL coverage levels for 'AAAsf' to 'BBsf' rating levels range for
the current fleet range from 36% at 'AAAsf' to 20% at 'BBsf'. A
complete liquidation of the current fleet NBV as discussed prior
can cover approximately 29% of losses to fully pay off the class A
notes outstanding from the issuer across all series, including the
VFN, and only sustain 8% losses to fully pay off the outstanding
class D notes.

RATING SENSITIVITIES

The potential bankruptcy of Hertz and ongoing uncertainty and
resulting implications on the Issuer and its assets, and ultimately
the rated notes, are key rating drivers. This includes Hertz's
ability to meet its operating lease obligations in or out of
bankruptcy, as well as Hertz's ability to adhere to issuer
requirements around minimum monthly depreciation levels required.
Monthly mark-to-market and disposition tests are also key as
Hertz's looks to de-fleet and sell down vehicles through various
disposition channels.

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

Additional negative rating actions could occur in the immediate
term were current rental and wholesale vehicle market conditions to
deteriorate even further, and drive Fitch's initial base-case
assumptions and stresses beyond current assumptions. This includes
additional higher levels of depreciation and disposition losses
assumed, which drive Fitch's series derived EL rates higher and any
future resulting impairment to CE.

As it relates to wholesale market conditions, the ability to
de-fleet vehicles is key for Hertz in raising cash so accessing the
auction houses for vehicle dispositions is a crucial factor in
coming months. This is a critical factor for Hertz to meet and pay
down the ABS notes' liabilities, whether in or out of a
bankruptcy.

Due to the uncertainty of the vehicle market, Fitch assumed a
consistent liquidation timeline by rating level as at the time of
issuance for the expected loss level to determine rating actions,
with an additional sensitivity of a nine-month liquidation timeline
at the 'AAAsf' level. This additional stress contributes to three
more months of depreciation, interest and other fees, driving the
EL rate higher by between 5%-7%, versus a six-month base scenario
period assumed. Movements of this magnitude in the EL rates for
each series would likely result in note downgrades of two or three
categories lower. For example, the 'Asf' rated class A notes could
migrate to the 'BBsf' level or lower.

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

These include overall improvement in the wholesale vehicle market
and values, and lower depreciation rates. There is limited upgrade
potential for rated rental fleet ABS notes at this time given the
revolving nature of the structure, where collateral changes on a
daily basis through fleet purchases and dispositions, as well as
issuer concentration limits in place. Therefore, upgrades are very
limited if at all, as the composition of the fleet changes daily,
which includes PV versus NPV, and OEM brand, segment and model
concentrations.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


[*] Fitch Takes Action on 58 Tranches From 8 Trust Preferred CDOs
-----------------------------------------------------------------
Fitch Ratings has affirmed 42, upgraded nine, and revised or
assigned Rating Outlooks to seven tranches from eight
collateralized debt obligations backed primarily by trust preferred
securities issued by banks, insurance companies, and to smaller
extent, structured finance issuers. Rating actions and performance
metrics for each CDO are reported in the accompanying rating action
report.

Fitch expects underlying portfolio quality to deteriorate, driven
by the likely future rise in non-current loans and low interest
rates. In addition to the standard analytical framework, described
in the "U.S. Trust Preferred CDOs Surveillance Rating Criteria",
this review applied a COVID-19 stress scenario. Under this
scenario, all issuers in the pool were downgraded either by 0.5 for
private bank scores or one notch for publicly rated banks and
insurance issuers with a mapped rating. Due to the application of
performing credit enhancement caps under the TruPS CDO Criteria, no
class of notes from CDOs in this review was impacted by this
scenario.

ALESCO Preferred Funding XIII, Ltd./Inc.      

  - Class A-1 014495AB1; LT AAsf; Upgrade

  - Class A-2 014495AC9; LT BBBsf; Affirmed

  - Class B 014495AD7; LT CCCsf; Affirmed

  - Class C-1 014495AE5; LT Csf; Affirmed

  - Class C-2 014495AF2; LT Csf; Affirmed

  - Class D-1 014495AG0; LT Csf; Affirmed

  - Class D-2 014495AH8; LT Csf; Affirmed

Trapeza CDO IX, Ltd./Inc.      

  - Class A-1 89413AAA9; LT Asf; Affirmed

  - Class A-2 89413AAB7; LT BBBsf; Affirmed

  - Class A-3 89413AAC5; LT BBsf; Affirmed

  - Class B-1 89413AAD3; LT CCCsf; Upgrade

  - Class B-2 89413AAE1; LT CCCsf; Upgrade

  - Class B-3 89413AAF8; LT CCCsf; Upgrade

  - Class C 89413AAG6; LT Csf; Affirmed

ALESCO Preferred Funding XI, Ltd./Inc.      

  - Class A-1 01450AAA8; LT AAsf; Upgrade

  - Class A-1B 01450AAF7; LT AAsf; Upgrade

  - Class A-2 01450AAB6; LT BBBsf; Affirmed

  - Class B 01450AAC4; LT BBsf; Upgrade

  - Class C-1 01450AAD2; LT Csf; Affirmed

  - Class C-2 01450AAE0; LT Csf; Affirmed

  - Class C-3 01450AAH3; LT Csf; Affirmed

  - Class D 01449YAA0; LT Csf; Affirmed

InCapS Funding I. Ltd./Corp.      

  - Class B-1 453247AC2; LT Bsf; Affirmed

  - Class B-2 453247AD0; LT Bsf; Affirmed

  - Class C 453247AE8; LT CCCsf; Affirmed

ALESCO Preferred Funding XIV, Ltd./Inc.      

  - Class A-1 014498AB5; LT Asf; Affirmed

  - Class A-2 014498AC3; LT BBsf; Affirmed

  - Class B 014498AD1; LT CCCsf; Affirmed

  - Class C-1 014498AE9; LT Csf; Affirmed

  - Class C-2 014498AF6; LT Csf; Affirmed

  - Class C-3 014498AH2; LT Csf; Affirmed

  - Class D-1 014498AG4; LT Csf; Affirmed

  - Class D-2 014498AJ8; LT Csf; Affirmed

ALESCO Preferred Funding X, Ltd./Inc.      

  - Class A-1 01449WAA4; LT AAsf; Affirmed

  - Class A-2A 01449WAB2; LT BBBsf; Affirmed

  - Class A-2B 01449WAG1; LT BBBsf; Affirmed

  - Class B 01449WAC0; LT BBsf; Affirmed

  - Class C-1 01449WAD8; LT Csf; Affirmed

  - Class C-2 01449WAE6; LT Csf; Affirmed

  - Class D-1 01449WAF3; LT Csf; Affirmed

  - Class D-2 01449WAH9; LT Csf; Affirmed

  - Class D-3 01449WAJ5; LT Csf; Affirmed

ALESCO Preferred Funding XII, Ltd./Inc.      

  - Class A-1 01450DAB0; LT Asf; Affirmed

  - Class A-2 01450DAC8; LT BBBsf; Affirmed

  - Class B 01450DAD6; LT Bsf; Upgrade

  - Class C-1 01450DAE4; LT Csf; Affirmed

  - Class C-2 01450DAF1; LT Csf; Affirmed

  - Class D 01450DAG9; LT Csf; Affirmed

Regional Diversified Funding 2005-1 Ltd./Corp.      

  - Class A-2 Floating Rate Senior Note 75903AAC1; LT Asf Upgrade

  - Class B-1 Floating Rate Senior Sub 75903AAD9; LT Csf; Affirmed


  - Class B-2 Fixed Rate Senior Sub 75903AAE7; LT Csf; Affirmed

KEY RATING DRIVERS

The main driver behind the upgrades was deleveraging from
collateral redemptions and excess spread, which resulted in
paydowns to the senior most notes, ranging between 2% and 30% of
their balances at last review. The magnitude of the deleveraging
for each CDO is reported in the accompanying rating action report.

For five transactions, the credit quality of the collateral
portfolios, as measured by a combination of Fitch's bank scores and
public ratings, exhibited negative credit migration, with the other
three remaining stable or improving. There were two new cures
across three CDOs and one new default since last review. No new
deferrals have been reported.

The ratings on 23 classes of notes in the eight transactions have
been capped based on the application of the performing CE cap as
described in Fitch's TruPS CDO Criteria.

RATING SENSITIVITIES

Ratings of the notes issued by these CDOs remain sensitive to
significant levels of defaults, deferrals, cures, and collateral
redemptions. To address potential risks of adverse selection and
increased portfolio concentration, Fitch applied a sensitivity
scenario, as described in the criteria, to applicable
transactions.

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

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

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

Downgrades to the rated notes may occur if a significant share of
the portfolio issuers defers or defaults on their TruPS
instruments, which would cause a decline in performing CE levels.
If the pandemic inflicted disruptions become more prolonged, Fitch
will formulate a sensitivity scenario that represents a more severe
impact on the banking and insurance sectors than the scenario.

BEST/WORST CASE RATING SCENARIO

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

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

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


[*] Moody's Reviews 215 Tranches From 52 RMBS Deals for Downgrade
-----------------------------------------------------------------
Moody's Investors Service has placed the ratings of 215 mezzanine
and junior tranches from 52 residential mortgage backed securities
on review for possible downgrade. The ratings of the affected
tranches are sensitive to the performance deterioration of the
underlying collateral in light of the coronavirus outbreak.

The transactions, issued between 2015-2020, are backed by seasoned
performing and modified re-performing residential mortgage loans.
The collateral has multiple servicers.

The complete rating actions are as follows:

Issuer: Mill City Mortgage Loan Trust 2019-GS1

Cl. B1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 17, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B1A, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 17, 2019 Definitive Rating Assigned Ba1 (sf)

Cl. B1B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 17, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B2A, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 17, 2019 Definitive Rating Assigned B1 (sf)

Cl. M3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 17, 2019 Definitive Rating Assigned Baa3 (sf)

Cl. M3B, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 17, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: MILL CITY MORTGAGE LOAN TRUST 2019-GS2

Cl. B1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 28, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B1A, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 28, 2019 Definitive Rating Assigned Ba1 (sf)

Cl. B1B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 28, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. M3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 28, 2019 Definitive Rating Assigned Baa3 (sf)

Cl. M3A, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 28, 2019 Definitive Rating Assigned Baa1 (sf)

Cl. M3B, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 28, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: New Residential Mortgage Loan Trust 2016-1

Cl. B-5, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to Ba2 (sf)

Issuer: New Residential Mortgage Loan Trust 2016-2

Cl. B-4, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to Baa3 (sf)

Cl. B-5, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to Ba3 (sf)

Issuer: New Residential Mortgage Loan Trust 2017-4

Cl. B-4, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-4A, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-4B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-4C, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-4-IOA*, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-4-IOB*, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-4-IOC*, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-5, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5A, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5B, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5C, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5D, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5-IOA*, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5-IOB*, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5-IOC*, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-5-IOD*, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Cl. B-7, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 30, 2017 Definitive Rating Assigned B1 (sf)

Issuer: New Residential Mortgage Loan Trust 2017-5

Cl. B-4, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Baa1 (sf)

Cl. B-4A, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Baa1 (sf)

Cl. B-4B, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Baa1 (sf)

Cl. B4-IOA*, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Baa1 (sf)

Cl. B4-IOB*, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Baa1 (sf)

Cl. B-5, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B-5A, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B-5B, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B5-IOA*, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B5-IOB*, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Issuer: New Residential Mortgage Loan Trust 2017-6

Class B-5, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba3 (sf)

Class B-5A, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba3 (sf)

Class B-5B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba3 (sf)

Class B-5C, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba3 (sf)

Class B-5D, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba3 (sf)

Class B-7, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba2 (sf)

Issuer: New Residential Mortgage Loan Trust 2018-2

Cl. B-5, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B-5A, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B-5B, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B-5C, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B-5D, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Cl. B-7, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 22, 2020 Upgraded to Ba1 (sf)

Issuer: New Residential Mortgage Loan Trust 2018-4

Cl. B-4, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned Ba1 (sf)

Cl. B-4A, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned Ba1 (sf)

Cl. B-4B, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned Ba1 (sf)

Cl. B-4C, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned Ba1 (sf)

Cl. B-5, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned B3 (sf)

Cl. B-5A, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned B3 (sf)

Cl. B-5B, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned B3 (sf)

Cl. B-5C, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned B3 (sf)

Cl. B-5D, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned B3 (sf)

Cl. B-7, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 15, 2018 Definitive Rating Assigned B2 (sf)

Issuer: New Residential Mortgage Loan Trust 2019-2

Cl. B-3, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa1 (sf)

Cl. B-3A, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa1 (sf)

Cl. B-3B, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa1 (sf)

Cl. B-3C, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa1 (sf)

Cl. B-3D, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa1 (sf)

Cl. B-4, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa3 (sf)

Cl. B-4A, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa3 (sf)

Cl. B-4B, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa3 (sf)

Cl. B-4C, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Baa3 (sf)

Cl. B-5, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Ba2 (sf)

Cl. B-5A, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Ba2 (sf)

Cl. B-5B, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Ba2 (sf)

Cl. B-5C, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Ba2 (sf)

Cl. B-5D, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Ba2 (sf)

Cl. B-7, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 31, 2020 Upgraded to Ba2 (sf)

Issuer: New Residential Mortgage Loan Trust 2019-3

Cl. B-4, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-4A, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-4B, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-4C, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-5, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned B1 (sf)

Cl. B-5A, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned B1 (sf)

Cl. B-5B, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned B1 (sf)

Cl. B-5C, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned B1 (sf)

Cl. B-5D, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned B1 (sf)

Cl. B-7, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 12, 2019 Definitive Rating Assigned Ba3 (sf)

Issuer: New Residential Mortgage Loan Trust 2019-4

Cl. B-3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Baa2 (sf)

Cl. B-3A, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Baa2 (sf)

Cl. B-3B, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Baa2 (sf)

Cl. B-3C, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Baa2 (sf)

Cl. B-3D, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-4A, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-4B, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-4C, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-5, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned B2 (sf)

Cl. B-5A, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned B2 (sf)

Cl. B-5B, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned B2 (sf)

Cl. B-5C, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned B2 (sf)

Cl. B-5D, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned B2 (sf)

Cl. B-7, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2019 Definitive Rating Assigned B1 (sf)

Issuer: New Residential Mortgage Loan Trust 2019-5

Cl. B-4, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba1 (sf)

Cl. B-4A, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba1 (sf)

Cl. B-4B, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba1 (sf)

Cl. B-4C, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba1 (sf)

Cl. B-5, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-5A, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-5B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-5C, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-5D, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-6, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-6A, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-6B, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-6C, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-8, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 9, 2019 Definitive Rating Assigned B2 (sf)

Issuer: New Residential Mortgage Loan Trust 2019-RPL2

Cl. B-1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 2, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-2, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 2, 2019 Definitive Rating Assigned B3 (sf)

Issuer: New Residential Mortgage Loan Trust 2019-RPL3

Cl. B-1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 4, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B-2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 4, 2019 Definitive Rating Assigned B1 (sf)

Issuer: CIM Trust 2019-R2

Cl. B1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 11, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B2, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 11, 2019 Definitive Rating Assigned B3 (sf)

Cl. M3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 11, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: CIM Trust 2019-R5

Cl. B1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2019 Definitive Rating Assigned Ba2 (sf)

Cl. B2, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2019 Definitive Rating Assigned B3 (sf)

Cl. M3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-A

Cl. B-4, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to Ba1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2018-RP2

Cl. B-1, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to Ba1 (sf)

Cl. B-2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to B1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2018-RP3

Cl. B-1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Upgraded to Ba2 (sf)

Cl. B-2, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 9, 2018 Definitive Rating Assigned B3 (sf)

Cl. M-3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 9, 2018 Definitive Rating Assigned Baa3 (sf)

Issuer: Citigroup Mortgage Loan Trust 2019-RP1

Class B-1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2019 Definitive Rating Assigned Ba3 (sf)

Class B-2, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2019 Definitive Rating Assigned B3 (sf)

Class M-3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2016-1

Cl. M-2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Upgraded to Ba3 (sf)

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-1

Cl. M-1, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Upgraded to Baa3 (sf)

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-2

Cl. M-1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Upgraded to Ba2 (sf)

Issuer: GCAT 2019-RPL1 Trust

Cl. B-1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 29, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-2, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 29, 2019 Definitive Rating Assigned B3 (sf)

Cl. M-3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 29, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: Mill City Mortgage Loan Trust 2019-1

Cl. A4, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 13, 2019 Definitive Rating Assigned Baa1 (sf)

Cl. B1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 13, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. M3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 13, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: New Residential Mortgage Loan Trust 2019-6

Cl. B-4, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-4A, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-4B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-4C, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B-5, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-5A, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-5B, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-5C, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-5D, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned B3 (sf)

Cl. B-7, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 3, 2019 Definitive Rating Assigned B2 (sf)

Issuer: New Residential Mortgage Loan Trust 2020-1

Cl. B-3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Baa2 (sf)

Cl. B-3A, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Baa2 (sf)

Cl. B-3B, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Baa2 (sf)

Cl. B-3C, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Baa2 (sf)

Cl. B-3D, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Ba2 (sf)

Cl. B-4A, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Ba2 (sf)

Cl. B-4B, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Ba2 (sf)

Cl. B-4C, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned Ba2 (sf)

Cl. B-5, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned B2 (sf)

Cl. B-5A, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned B2 (sf)

Cl. B-5B, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned B2 (sf)

Cl. B-5C, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned B2 (sf)

Cl. B-5D, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned B2 (sf)

Cl. B-7, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 14, 2020 Definitive Rating Assigned B1 (sf)

Issuer: New Residential Mortgage Loan Trust 2020-RPL1

Cl. B-1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Definitive Rating Assigned Ba2 (sf)

Cl. B-2, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Definitive Rating Assigned B2 (sf)

Cl. M-2, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Definitive Rating Assigned Baa3 (sf)

Issuer: Towd Point Mortgage Trust 2015-1

Cl. B1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2015-2

Cl. 1-B3, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to B1 (sf)

Issuer: Towd Point Mortgage Trust 2015-3

Cl. B2, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 18, 2019 Upgraded to Baa1 (sf)

Cl. B3, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned B2 (sf)

Issuer: Towd Point Mortgage Trust 2015-4

Cl. B3, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned B2 (sf)

Issuer: Towd Point Mortgage Trust 2015-5

Cl. B3, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 31, 2018 Upgraded to B3 (sf)

Issuer: Towd Point Mortgage Trust 2015-6

Cl. B2, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to Baa1 (sf)

Issuer: Towd Point Mortgage Trust 2016-1

Cl. B3, B2 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to B2 (sf)

Issuer: Towd Point Mortgage Trust 2016-3

Cl. B3, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Ba1 (sf)

Issuer: Towd Point Mortgage Trust 2016-4

Cl. B4, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned B3 (sf)

Issuer: Towd Point Mortgage Trust 2016-5

Cl. B2, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to Ba1 (sf)

Cl. B3, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned B1 (sf)

Issuer: Towd Point Mortgage Trust 2017-1

Cl. B1, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to Baa1 (sf)

Cl. B2, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Baa3 (sf)

Cl. B3, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned B3 (sf)

Issuer: Towd Point Mortgage Trust 2017-2

Cl. B3, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2017-3

Cl. B2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 30, 2018 Upgraded to Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2017-5

Cl. B3, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2017-6

Cl. B1, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to Baa3 (sf)

Cl. B2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2018-1

Cl. B2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on May 7, 2019 Upgraded to Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2018-2

Cl. B1, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to Ba1 (sf)

Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 16, 2020 Upgraded to B1 (sf)

Issuer: Towd Point Mortgage Trust 2018-5

Cl. M2, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2018-6

Cl. M1, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Baa3 (sf)

Cl. M2, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2019-1

Cl. M1, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Baa3 (sf)

Cl. M2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 7, 2020 Assigned Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2019-4

Cl. A5, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned Baa1 (sf)

Cl. B1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B1A, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B1B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned Ba3 (sf)

Cl. B2, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned B3 (sf)

Cl. M2, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned Baa3 (sf)

Cl. M2A, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned Baa3 (sf)

Cl. M2B, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 8, 2019 Definitive Rating Assigned Baa3 (sf)

Issuer: Towd Point Mortgage Trust 2019-HY2

Cl. B1, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 21, 2019 Upgraded to Ba1 (sf)

Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2019 Definitive Rating Assigned B1 (sf)

Issuer: CSMC 2017-FHA1 Trust

Cl. B-1, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on May 31, 2017 Definitive Rating Assigned Baa2 (sf)

Cl. B-2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on May 31, 2017 Definitive Rating Assigned Ba3 (sf)

Cl. B-3, B3 (sf) Placed Under Review for Possible Downgrade;
previously on May 31, 2017 Definitive Rating Assigned B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

The rating action reflects an increased likelihood of performance
deterioration of the underlying mortgage loans as a result of a
slowdown in US economic activity in 2020 due to the coronavirus
outbreak. Specifically, Moody's expects an increase in
delinquencies, forbearance and deferrals to result in higher
realized losses or interest shortfalls or both.

In its analysis, Moody's considered an increase in the baseline
loss of up to 20% to evaluate the resiliency of the ratings amid
the uncertainty surrounding the pools' performance. The sensitivity
scenarios Moody's considered reflect the increased volatility
caused by the coronavirus outbreak, which negatively affects the
macroeconomic conditions that influence consumer credit
performance. It also accounted for the seasoned profile of the
underlying borrowers, equity built up in the properties and the
notes' payment priorities.

The rating actions also reflect the elevated risk of interest
shortfalls. Transactions from all shelves in this rating action,
except New Residential Mortgage Loan Trust transactions with
shifting interest structures, do not require servicers to advance
missed principal and interest payments, thereby increasing the
likelihood of interest shortfalls in the current environment. The
transaction documents do allow for reimbursement of missed interest
payments using excess interest or principal collections or both.
However, for the junior bonds principal collections can't be
redirected to cover missed interest unless the higher priority
bonds have been paid off in full, thereby delaying the recoupment
of missed interest. As a result, any interest shortfall on a bond,
once incurred, could be outstanding for an extended period.

Transactions from NRMLT with shifting interest structures have
protection against the risk of interest shortfalls. These deals not
only require servicers to advance missed P&I payments, but
principal collections can also be redirected to pay missed
interest. While reducing the risk of interest shortfalls, these
features can increase the risk of principal write-downs for the
junior notes.

In addition to the increased risk of interest shortfalls, certain
transaction documents require that deferred balances be treated as
a realized loss, leading to a write-down of the junior notes. At
the end of the forbearance period, servicers can defer the forborne
amount as a non-interest-bearing balance, due at maturity of the
loan as a balloon payment. This deferred balance is treated as an
up-front realized loss to the trust in all NRMLT deals, as well as
in seasoned deals issued between 2015 and 2017 for the affected
shelves, such as Mill City Mortgage Loan Trust, Citigroup Mortgage
Loan Trust, Freddie Mac Seasoned Credit Risk Transfer and Towd
Point Mortgage Trust. In deals for which the documents are silent
about the treatment of deferred balance, servicer practices will
also influence whether deferred balances are recognized as an
up-front loss. The magnitude of the write-down will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral.

During the review period, it will evaluate the effects of ongoing
and projected macroeconomic conditions and the impact of actions
from the government and private organizations, such as servicers
and issuers, on collateral performance. Specifically, it will
review the proportion of borrowers that are offered forbearance or
deferrals and the treatment of deferrals with respect to losses.
Based on the impact these factors will have on the performance of
the affected transactions, it will update its loss expectations and
resolve the review. Rating actions on the bonds due to the revised
loss projections will vary for the different shelves and reflect
individual transaction considerations.

Its analysis has considered the effect of the coronavirus outbreak
on the US economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of consumer assets. Specifically, for US RMBS,
loan performance will weaken due to the unprecedented spike in the
unemployment rate, which may limit borrowers' income and their
ability to service debt. The softening of the housing market will
reduce recoveries on defaulted loans, also a credit negative.
Furthermore, borrower assistance programs such as forbearance, may
adversely impact scheduled cash flows to bondholders. The
contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high.

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

  - Principal Methodologies

The methodologies used in rating all classes except CSMC 2017-FHA1
Trust Cl. B-1, Cl. B-2, & Cl. B-3 and interest-only classes were
"US RMBS Surveillance Methodology" published in February 2019.

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.


                            *********

Monday's edition of the TCR delivers a list of indicative prices
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Troubled Company Reporter is a daily newsletter co-published
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