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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, February 6, 2022, Vol. 26, No. 36

                            Headlines

A10 BRIDGE 2021-D: DBRS Finalizes B(low) Rating on Class G Notes
AB BSL 1: S&P Assigns BB- (sf) Rating on Class E-R Certificates
AIG CLO 2018-1: Fitch Raises Exchangeable Sec. Notes to 'BB+'
AMERICAN CREDIT 2022-1: S&P Assigns BB+(sf) Rating on Class E Notes
ANGEL OAK 2022-1: Fitch Assigns B(EXP) Rating on Class B-2 Tranche

ARBOR REALTY 2022-FL1: DBRS Gives Prov. B(low) Rating on G Notes
ARROYO MORTGAGE 2022-1: S&P Assigns Prelim 'B' Rating on B-2 Notes
BAMLL COMM 2020-BOC: Fitch Affirms BB Rating on Class E Certs
BAMLL COMMERCIAL 2022-DKLX: Moody's Rates Class F Certs 'B3'
BANK 2017-BNK4: Fitch Affirms B- Rating on 2 Tranches

BANK 2018-BNK14: DBRS Confirms BB Rating on Class F Certs
BANK 2022-BNK39: DBRS Gives Prov. BB(high) Rating on Class F Certs
BBCMS MORTGAGE 2018-C2: DBRS Confirms B(low) Rating on H-RR Certs
BBCMS MORTGAGE 2022-C14: Fitch Rates Class J-RR Certs 'B-'
BELLEMEADE RE 2022-1: DBRS Gives Prov. BB Rating on Cl. M-1C Notes

BELLEMEADE RE 2022-1: Moody's Assigns B3 Rating to Cl. M-2 Notes
BLUEGRASS ABS III: Moody's Ups Rating on $280MM A-1 Notes to Caa3
BMO 2022-C1: Fitch Assigns BB+ Rating on 2 Certificates
BMO 2022-C1: S&P Assigns Prelim B- (sf) Rating on Class X-H Certs
BRAVO RESIDENTIAL 2022-RPL1: Fitch Gives Final B Rating to B-2 Debt

BSPRT 2022-FL8: DBRS Gives Prov. B(low) Rating on Class H Notes
BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Classes
BX TRUST 2022-LBA6: Moody's Assigns B3 Rating to Class F Certs
CD 2017-CD4: DBRS Confirms BB Rating on Class X-F Certs
CHNGE MORTGAGE 2022-1: DBRS Gives Prov. B Rating on Class B2 Certs

CITIGROUP 2015-GC29: Fitch Rates Class F Certs 'B-'
CITIGROUP 2022-J1: Fitch Gives 'B+(EXP)' Rating to Class B-5 Debt
CITIGROUP COMMERCIAL 2017-P7: Fitch Lowers Class F Certs to 'CC'
COLT 2022-1: Fitch Assigns Final B Rating on Class B-2 Certs
CONNECTICUT AVE 2022-R02: Fitch Gives B+(EXP) Rating to 4 Tranches

CPS AUTO 2022-A: DBRS Gives Prov. BB Rating on Class E Notes
CPS AUTO 2022-A: S&P Assigns BB- (sf) Rating on Class E Notes
CSAIL 2016-C7: DBRS Lowers Class F Certs Rating to B(low)
CSMC 2018-SP3: Fitch Corrects January 31 Ratings Release
CSMC 2018-SPL3: Fitch Assigns B Rating on Class M-6 Tranche

CSMC 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes
DEEPHAVEN RESIDENTIAL 2022-1: DBRS Gives Prov. B Rating on B2 Notes
DEEPHAVEN RESIDENTIAL 2022-1: S&P Assigns 'B-' Rating on B-2 Notes
GCAT 2022-HX1: Fitch Rates Class B-2A Certs 'B-(EXP)'
GS MORTGAGE 2013-GCJ16: DBRS Confirms B(low) Rating on G Certs

GS MORTGAGE 2014-GC22: DBRS Lowers Class F Certs Rating to CCC
GS MORTGAGE 2014-GC26: DBRS Lowers Class D Certs Rating to CCC
GS MORTGAGE 2016-GS2: Fitch Affirms CCC Rating on Class F Certs
GS MORTGAGE 2018-GS9: Fitch Affirms B- Rating on Class F-RR Certs
GS MORTGAGE 2022-GR1: Moody's Assigns B3 Rating to Cl. B-5 Certs

GS MORTGAGE 2022-MM1: DBRS Gives Prov. B Rating on Class B-5 Certs
IMPAC SECURED 2004-3: Moody's Ups Rating on Class M-3 Certs to Caa2
JP MORGAN 2022-1: Fitch Assigns B(EXP) Rating on Cl. B-5 Debt
JP MORGAN 2022-INV1: Moody's Assigns B3 Rating to Class B-5 Certs
JPMBB COMMERCIAL 2014-C19: Fitch Affirms CCC Rating on F Debt

KKR INDUSTRIAL 2021-KDIP: DBRS Confirms B(low) Rating on G Certs
LUNAR AIRCRAFT 2020-1: Fitch Affirms B Rating on Class C Notes
MADISON PARK XXXIII: S&P Affirms Class E Notes Rating at B+ (sf)
MELLO MORTGAGE 2022-INV1: DBRS Gives Prov. B Rating on B-5 Certs
MELLO MORTGAGE 2022-INV1: Moody's Gives B3 Rating to Cl. B-5 Certs

MF1 2022-Fl8: DBRS Finalizes B(low) Rating on Class H Notes
MORGAN STANLEY 2012-C5: Fitch Affirms B Rating on Cl. H Certs
MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class X-C Certs
MORGAN STANLEY 2014-C19: DBRS Confirms B Rating on Class X-F Certs
MORGAN STANLEY 2016-C28: DBRS Confirms B Rating on 3 Classes

NEW RESIDENTIAL 2022-NQM1: Fitch Rates Class B-2 Notes 'B'
NYMT LOAN 2022-CP1: DBRS Finalizes B Rating on Class B-2 Notes
REAL ESTATE 2016-2: DBRS Hikes Class G Certs Rating to B(high)
RMF PROPRIETARY 2022-1: DBRS Gives Prov. BB Rating on M-3 Notes
SEQUOIA MORTGAGE 2022-1: Fitch Rates Class B4 Certs 'BB-'

SLC STUDENT 2008-2: S&P Raises Class B Notes Rating to 'BB (sf)'
STARWOOD MORTGAGE 2022-1: Fitch Rates Class B-2 Tranche Final 'B-'
STWD 2022-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes
UBS COMMERCIAL 2017-C1: Fitch Lowers Class F-RR Debt Rating to 'C'
UBS-BARCLAYS 2012-C4: DBRS Confirms BB Rating on Class D Certs

VERUS 2022-1: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes
VITALITY RE XIII: S&P Assigns 'BB+(sf)' Rating on Class B Notes
WELLS FARGO 2014-C24: Fitch Affirms D Rating on 4 Tranches
WELLS FARGO 2015-NXS3: DBRS Confirms B Rating on Class F Certs
WELLS FARGO 2018-C43: DBRS Confirms B(low) Rating on Class F Certs

WELLS FARGO 2018-C44: DBRS Confirms BB Rating on Class F-RR Certs
WELLS FARGO 2020-C55: Fitch Affirms B- Rating on 2 Tranches
WELLS FARGO 2022-1: S&P Assigns B (sf) Rating on Class B-5 Certs
WELLS FARGO 2022-JS2: S&P Assigns Prelim B- (sf) Rating on F Certs
WESTGATE RESORTS 2022-1: DBRS Finalizes BB Rating on Class D Notes

WFRBS COMM 2013-C12: Fitch Affirms CCC Rating on Class F Certs
WFRBS COMMERCIAL 2011-C3: Moody's Lowers Rating on X-B Debt to C
WFRBS COMMERCIAL 2014-C25: DBRS Confirms B Rating on Class F Certs
ZAIS CLO 5: Moody's Upgrades Rating on $18.4MM Class D Notes to B3
[*] Fitch Affirms C Rating on 12 Note Classes

[*] Fitch Takes Actions in Six Distressed CMBS 1.0 Transactions
[*] Moody's Hikes 21 Tranches From 5 US RMBS Deals Issued in 2021

                            *********

A10 BRIDGE 2021-D: DBRS Finalizes B(low) Rating on Class G Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by A10 Bridge Asset Financing 2021-D, LLC
(the Trust):

-- Class A-1 FL at AAA (sf)
-- Class A-1 FX at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The $325.0 million transaction includes an initial trust balance of
$290.3 million, comprising loan assets and $34.7 million held in a
reserve account. The reserve account can be used to fund a
pre-identified additional underlying asset (a $14.1 million loan
secured by The View on the Square, a student housing property in
San Marcos, Texas) or pre-approved future funding companion
participations (collectively, the Post-Closing Underlying Assets).
The Post-Closing Underlying Assets can be brought into the Trust
using funds available in the prefunded reserve account at closing
or principal proceeds as a result of loan payoffs. As existing
loans pay off, available principal proceeds will be distributed
according to the priority of payments. Before distributing
principal proceeds to noteholders, the Issuer has the option to
divert principal proceeds toward pre-approved future funding
companion participations. This option remains with the Issuer
throughout the term of the transaction. To the extent funds are not
used for purchasing pre-identified additional underlying loans or
funding pre-approved future funding companion participations during
the pre-funding period (the period ending on the 90th day following
the closing date), the remaining funds may (1) continue to be held
in the reserve account to purchase pre-approved future funding
companion participations, (2) be distributed to holders of the
senior notes on a pro rata basis based on the then-outstanding note
principal amount, or (3) be distributed to noteholders as principal
proceeds subject to the priority of payments.

The initial collateral consists of 25 fixed- or floating-rate
mortgage loans secured by 30 mostly transitional real estate
properties with a current balance totaling $304.4 million.
Inclusive of the pre-identified additional underlying asset, the
collateral is scheduled to consist of 26 mortgage loans secured by
31 mostly transitional real estate properties with a current
portfolio balance totaling $304.4 million. DBRS Morningstar modeled
the pool with all 26 mortgage loans and $20.6 million of additional
capacity as part of the paydown analysis, which was conducted to
bring future funded facilities into the Trust and provide estimated
credit enhancement levels reflective of the full $325.0 million
targeted pool balance. The loans are generally secured by cash
flowing assets, many of which are in a period of transition with
plans to stabilize and improve asset value. Nineteen of the 26
mortgage loans, representing 74.5% of the current portfolio
balance, are structured with outstanding future funding
participations, which collectively total $81.5 million and may be
acquired by the Issuer at a future date.

The transaction will have sequential-pay structure. Interest can be
deferred for the Class C, D, E, F, and G Notes, and interest
deferral will not result in an Event of Default.

The transaction will be subject to a benchmark (or index) rate
replacement. The current selected benchmark is compounded Secured
Overnight Financing Rate (SOFR). The transaction will be exposed to
a mismatch between the Libor benchmark of the underlying loans in
the transaction and SOFR-pay notes. Currently, A10 Capital, LLC, in
its capacity as designated transaction representative, will
generally be responsible for handling any benchmark rate change to
the underlaying loans and will only be held to a gross negligence
standard with regard to any liability for its actions.

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



AB BSL 1: S&P Assigns BB- (sf) Rating on Class E-R Certificates
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A1-R, B-R,
C-R, D-R, and E-R replacement notes from AB BSL CLO 1 Ltd., a CLO
originally issued in December 2020 that is managed by AB Broadly
Syndicated Loan Manager LLC.

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

-- The replacement class were issued at a lower weighted average
cost of debt than the original notes.

-- The stated maturity and non-call period was extended by two
years.

-- The reinvestment period was extended by three years.

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

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

  Ratings Assigned

  AB BSL CLO 1 Ltd.

  Class A1-R, $252.000 million: AAA (sf)
  Class A2-AR, $4.000 million: Not rated
  Class A2-BR, $4.000 million: Not rated
  Class B-R, $44.000 million: AA (sf)
  Class C-R (deferrable), $24.000 million: A (sf)
  Class D-R (deferrable), $24.000 million: BBB- (sf)
  Class E-R (deferrable), $16.000 million: BB- (sf)
  Subordinated notes, $43.425 million: Not rated

  Ratings Withdrawn

  AB BSL CLO 1 Ltd.

  Class A-1a to not rated from 'AAA (sf)'
  Class A-1b to not rated from 'AAA (sf)'
  Class A-2 to not rated from 'AAA (sf)'
  Class B to not rated from 'AA (sf)'
  Class C to not rated from 'A (sf)'
  Class D to not rated from 'BBB- (sf)'
  Class E to not rated from 'BB- (sf)'



AIG CLO 2018-1: Fitch Raises Exchangeable Sec. Notes to 'BB+'
-------------------------------------------------------------
Fitch Ratings has upgraded the exchangeable secured notes in AIG
CLO 2018-1, LLC and removed the note from Under Criteria
Observation. Additionally, Fitch affirmed the class A-1R and A-2R
notes at their current ratings. The Rating Outlook for all notes
remains Stable.

    DEBT                              RATING           PRIOR
    ----                              ------           -----
AIG CLO 2018-1, LLC

A-1R 00141UAC7                   LT AAAsf  Affirmed    AAAsf
A-2R 00141UAE3                   LT AAAsf  Affirmed    AAAsf
Exchangeable Secured 00141UAQ6   LT BB+sf  Upgrade     BB-sf

TRANSACTION SUMMARY

AIG 2018-1 is a broadly syndicated collateralized loan obligation
(CLO) that is managed by AIG Credit Management, LLC. AIG 2018-1
originally closed in January 2019, refinanced in May 2021, and will
exit its reinvestment period in April 2024. This CLO is secured
primarily by first-lien, senior secured leveraged loans.

KEY RATING DRIVERS

Updated CLO Criteria & FSP analysis

The upgrade mainly reflects the impact of Fitch's recently updated
CLOs and Corporate CDOs Rating Criteria (which includes, among
others, a change in the underlying default assumptions). The
analysis was based on a newly run Fitch Stressed Portfolio (FSP)
since this transaction is still in its reinvestment period.

The rating action is in line with the model-implied ratings (MIRs)
produced in a cash flow model based on the FSP analysis. With
respect to the exchangeable secured notes, credit enhancement (CE)
provided by the class C-R, D-R, E-R and subordinated notes is
sufficient to protect against portfolio default and recovery
assumptions in an 'BB+sf' stress scenario in the FSP analysis.

The FSP analysis adjusts the current portfolio from the latest
trustee report to create a stressed portfolio to account for
permissible concentration limits and collateral quality tests
(CQTs). Among these assumptions, the FSP weighted-average life
(WAL) was 6.3 years and the weighted-average spread level (WAS) was
modelled at the current portfolio WAS of 3.43%, without the benefit
from LIBOR floors. Other FSP assumptions include 10.0% second lien
assets and 5% fixed rate assets.

Asset Credit Quality, Asset Security, Portfolio Management and
Portfolio Composition

As of the January 2022 report, the aggregate portfolio par amount,
when adjusted for trustee-reported recovery amounts on defaulted
assets, was approximately 0.03% below the original target par
amount. The portfolio has a 4.8-year WAL and is composed of 239
obligors, with the largest 10 obligors comprising 9.9% of the
portfolio (not including principal cash). Fitch considered 0.04% of
the portfolio to be defaulted. Additionally, all coverage, CQTs and
concentration limitations were in compliance.

The Stable Outlooks on the notes reflect Fitch's expectation that
the classes have sufficient levels of credit protection to
withstand potential deterioration in the credit quality of the
portfolio in stress scenarios commensurate with the class's
ratings.

RATING SENSITIVITIES

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

-- A 25% increase of the mean default rate across all ratings,
    along with a 25% decrease of the recovery rate at all rating
    levels for the FSP, would lead to downgrades (based on the
    model-implied rating [MIR]) of one notch for the class A-1R
    and two notches for the A-2R notes, and five notches for the
    exchangeable secured notes;

-- Downgrades may occur if realized and projected losses of the
    portfolio are higher than what was assumed at closing and the
    notes' CE do not compensate for the higher loss expectation
    than initially anticipated.

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

-- A 25% reduction of the mean default rate across all ratings,
    along with a 25% increase of the recovery rate at all rating
    levels for the FSP, would lead to an upgrade of the
    exchangeable secured notes to 'BBB+sf' (based on MIRs),
    whereas the class A-1R and A-2R notes are already at the
    highest level on Fitch's scale and cannot be upgraded.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

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

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


AMERICAN CREDIT 2022-1: S&P Assigns BB+(sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to American Credit
Acceptance Receivables Trust 2022-1's asset-backed notes.

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

The ratings reflect S&P's view of:

-- The availability of approximately 62.53%, 55.71%, 48.62%,
41.53%, 36.20%, and 34.23% credit support, including excess spread,
for the class A, B, C, D, E, and F notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
more than 2.35x, 2.10x, 1.70x, 1.48x, 1.29x, and 1.20x coverage of
our expected net loss range of 25.50%-26.50% for the class A, B, C,
D, E, and F notes, respectively.

-- The hard credit enhancement in the form of subordination,
overcollateralization, and a reserve account in addition to excess
spread.

-- The expectation that under a moderate ('BBB') stress scenario
(1.37x S&P's expected loss level), all else being equal, its
ratings on the class A, B, C, D, E, and F notes, will be within the
credit stability limits specified by section A.4 of the Appendix of
"S&P Global Ratings Definitions," published Nov. 10, 2021.

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

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

-- The backup servicing arrangement with Computershare Trust Co.
N.A.

-- The transaction's payment and legal structure.

  Ratings Assigned

  American Credit Acceptance Receivables Trust 2022-1

  Class A, $253.00 million: AAA (sf)
  Class B, $71.87 million: AA (sf)
  Class C, $74.18 million: A (sf)
  Class D, $68.42 million: BBB+ (sf)
  Class E, $53.76 million: BB+ (sf)
  Class F, $22.14 million: BB- (sf)



ANGEL OAK 2022-1: Fitch Assigns B(EXP) Rating on Class B-2 Tranche
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Angel Oak Mortgage
Trust 2022-1 (AOMT 2022-1).

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

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

TRANSACTION SUMMARY

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

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

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

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.3% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

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

ESG CONSIDERATIONS

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

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


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

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

All trends are Stable.

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

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

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

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

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

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

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

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

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

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

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

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

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

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



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

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

The preliminary ratings are based on information as of Feb. 2,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

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

-- The geographic concentration;

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

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

  Preliminary Ratings Assigned

  Arroyo Mortgage Trust 2022-1(i)

  Class A-1, $333,279,000: AAA (sf)
  Class A-2, $20,952,000: AA (sf)
  Class A-3, $27,863,000: A (sf)
  Class M-1, $17,928,000: BBB (sf)
  Class B-1, $12,527,000: BB (sf)
  Class B-2, $9,720,000: B (sf)
  Class B-3, $9,720,498: Not rated
  Class A-IO-S, Notional(ii): Not rated
  XS, Notional(ii): Not rated
  Owner trust certificate, N/A: Not rated

(i)The collateral and structural information in this report
reflects the preliminary term sheet dated Jan. 28, 2022.

(ii)Notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.

N/A--Not applicable.



BAMLL COMM 2020-BOC: Fitch Affirms BB Rating on Class E Certs
-------------------------------------------------------------
Fitch Ratings has affirmed the ratings for BAMLL Commercial
Mortgage Securities Trust 2020-BOC Commercial Mortgage Pass-Through
Certificates, Series 2020-BOC.

   DEBT            RATING            PRIOR
   ----            ------            -----
BAMLL 2020-BOC

A 05551JAA8   LT AAAsf   Affirmed    AAAsf
B 05551JAE0   LT AA-sf   Affirmed    AA-sf
C 05551JAG5   LT A-sf    Affirmed    A-sf
D 05551JAJ9   LT BBB-sf  Affirmed    BBB-sf
E 05551JAL4   LT BBsf    Affirmed    BBsf
X 05551JAC4   LT A-sf    Affirmed    A-sf

KEY RATING DRIVERS

Stable Performance: The single-tenant property continues to exhibit
stable performance as reflected in the most recent servicer
reported TTM September 2021 (TTM 9 2021), which is consistent with
Fitch expectations at issuance. The reported TTM 9 2021 net cash
flow debt service coverage ratio (DSCR) is 2.15x and occupancy
remains at 100%. Fitch's ratings reflect the Fitch analysis from
issuance as the servicer reported financials reflect real estate
taxes as an expense. According to the terms of the lease, the
tenant is responsible for making payments directly to the county
and the expense is not reimbursed. Transient parking has declined
from issuance due to the effects of the pandemic, however, Fitch
expects this income to recover as residual impact from the pandemic
continues to diminish over time.

High-Quality Office Collateral in Strong Location: The Bravern
Office Commons is a 749,694-sf, class A office property located in
downtown Bellevue, WA. Developed in 2009, the property consists of
two buildings (Bravern I and Bravern II) and is part of a mixed-use
development that includes approximately 305,000sf of luxury retail
space (non-collateral) and 455 high-end residential units
(non-collateral). The loan collateral includes a seven-level,
approximately 3,130-stall, subterranean parking garage. Fitch
assigned a property quality grade of 'B+'.

Single-Tenant Lease Exposure and Rollover Risk: The office
buildings are entirely net-leased to Microsoft Corporation
(AAA/F1+/Stable), the world's largest software company with a
$1.038 trillion market cap and $133.8 billion in cash and
short-term investments. Microsoft has invested over $181 million
($241psf) of its own capital to enhance the design and technical
performance specifications of the office buildings.

The Microsoft lease expires during the loan term and has a weighted
average remaining term of 3.5 years. There are two, five-year
renewal options remaining for Bravern I and one, five-year renewal
option remaining for Bravern II. Twelve months' prior written
notice is required, and there are no termination or contraction
options for either space.

Reserves: Upfront reserves of approximately $7.3 million were
funded to address all outstanding landlord obligations, including
tenant improvements and rent differential. The loan includes a cash
flow sweep upon a trigger event, which occurs if Microsoft does not
provide notice to renew within 12 months of lease expiration or
ceases to be in physical occupancy of more than 375,000sf
(approximately 47% of NRA).

Low Fitch Leverage: The $304 million mortgage loan has a Fitch DSCR
and loan-to-value of 1.15x and 77.5%, respectively. The sponsor
acquired the property in December 2019 for $608 million ($811psf).

Institutional Sponsorship: QSuper was founded in 1912 and is a
superannuation benefits fund with approximately AUD113 billion
(USD76.1 billion) in assets under management as of June 30, 2019.
The firm provides its services to employees of Queensland
Government departments, authorities and enterprises. The firm
invests in public equity, fixed-income markets, cash and properties
in Australia and across the globe. Invesco currently serves as
investment advisor to QSuper, pursuant to an investment advisory
and management agreement.

RATING SENSITIVITIES

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

-- A downgrade to classes A and B is not considered likely due to
    the position in the capital structure, but may occur should
    interest shortfalls occur. A downgrade to classes C, D and E
    is considered unlikely given the credit quality of the single
    tenant, but is possible given the binary risk of the property.

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

-- It is unlikely that any classes would be upgraded during the
    remaining loan term, given the single-tenant and non
    amortizing nature of the securitized loan, but is possible
    with significant improvement in cash flow and mitigation of
    rollover risk. Classes would not be upgraded beyond 'Asf' if
    there is any likelihood of interest shortfalls.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


BAMLL COMMERCIAL 2022-DKLX: Moody's Rates Class F Certs 'B3'
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by BAMLL Commercial Mortgage
Securities Trust 2022-DKLX ("BAMLL Trust 2022-DKLX"), Commercial
Mortgage Pass-Through Certificates, Series 2022-DKLX as follows:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. F, Definitive Rating Assigned B3 (sf)

Note: Moody's previously assigned a provisional rating to Class X
-CP of (P) Baa1(sf), described in the prior press release, dated
January 25, 2022. Subsequent to the release of the provisional
ratings for this transaction, Class X-CP was no longer included.
Therefore, Moody's has withdrawn its provisional rating on Class
X-CP.

RATINGS RATIONALE

The certificates are collateralized by a single loan backed by a
first lien commercial mortgage related to a portfolio of 21
industrial properties. Moody's ratings are based on the credit
quality of the loans and the strength of the securitization
structure.

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

The portfolio contains 6.45 million square feet ("SF") of aggregate
net rentable area ("NRA") across the following three property
subtypes -- manufacturing (12 properties; 67.1% of NRA), warehouse
(6 properties; 24.7% of NRA), cold storage (3 properties; 8.3% of
NRA). The portfolio is geographically diverse as the properties are
located across 12 states and 17 markets. The portfolio's
property-level Herfindahl score is 15.8 based on ALA. The largest
state concentration is Kentucky which represents 26.0% of NRA and
17.67% of allocated loan ("ALA") amount. The largest market
concentration is the Houston MSA, which represents 7.0% of NRA and
13.3% of ALA.

Construction dates for properties in the portfolio range between
1965 and 2017, with a weighted average year built by NRA of 1990.
Property sizes for assets range between 124,539 SF and 993,685 SF,
with an average size of 307,570 SF. Clear heights for properties
range between 16 and 95 feet, with a weighted average maximum clear
height for the portfolio of 35 feet. As of December 17, 2021, the
portfolio is 100.0% leased.

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

The Moody's first mortgage DSCR is 3.07x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.81x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 121.5% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 105.3% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 2.129.

Notable strengths of the transaction include: the asset quality and
functionality, geographic and tenant diversity, credit tenant
composition, and acquisition financing by experienced sponsorship.

Notable concerns of the transaction include: the high Moody's
loan-to-value ratio ("MLTV") ratio, property locations, tenant
rollover, floating-rate/interest-only mortgage loan profile,
non-sequential pay features and certain credit negative legal
features.

Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.

The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in November 2021.

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

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

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


BANK 2017-BNK4: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------
Fitch Ratings has affirmed 15 classes of BANK 2017-BNK4 commercial
mortgage pass-through certificates. In addition, Fitch has revised
the Rating Outlooks on two classes to Negative from Stable.

    DEBT              RATING            PRIOR
    ----              ------            -----
BANK 2017-BNK4

A-2 06541FAX7    LT AAAsf   Affirmed    AAAsf
A-3 06541FAZ2    LT AAAsf   Affirmed    AAAsf
A-4 06541FBA6    LT AAAsf   Affirmed    AAAsf
A-S 06541FBD0    LT AAAsf   Affirmed    AAAsf
A-SB 06541FAY5   LT AAAsf   Affirmed    AAAsf
B 06541FBE8      LT AA-sf   Affirmed    AA-sf
C 06541FBF5      LT A-sf    Affirmed    A-sf
D 06541FAJ8      LT BBB-sf  Affirmed    BBB-sf
E 06541FAL3      LT BB-sf   Affirmed    BB-sf
F 06541FAN9      LT B-sf    Affirmed    B-sf
X-A 06541FBB4    LT AAAsf   Affirmed    AAAsf
X-B 06541FBC2    LT A-sf    Affirmed    A-sf
X-D 06541FAA7    LT BBB-sf  Affirmed    BBB-sf
X-E 06541FAC3    LT BB-sf   Affirmed    BB-sf
X-F 06541FAE9    LT B-sf    Affirmed    B-sf

KEY RATING DRIVERS

Increased Loss Expectations: The Negative Outlook revisions reflect
increased pool loss expectations since Fitch's prior rating action,
primarily driven by the third largest loan, One West 34th Street.
Fitch's current ratings incorporate a base case loss of 6.20%.
Losses are marginally higher when factoring additional stresses on
two hotel loans to account for the ongoing business disruption as a
result of the pandemic. The Negative Outlooks reflect continued
performance stabilization of a higher percentage of Fitch Loans of
Concern (FLOCs) since the prior rating action. There are 15 FLOCs
(43.9% of the pool), up previously from 13 FLOCs (32.1%).

The largest contributor to overall loss expectations and the
largest increase in loss since the prior rating action is the One
West 34th Street loan (6.2% of pool), which is secured by a
210,358-sf office property located at the corner of West 34th
Street and Fifth Avenue in Manhattan, across the street from the
Empire State Building. The current largest tenants are CVS (7.2% of
NRA; through January 2034), Olivia Miller Inc (6.3%; July 2024) and
International Inspiration (4.2%; November 2026). Upcoming rollover
includes 3.4% of NRA (five leases) in 2022, 5.3% (eight leases) in
2023 and 18.0% (11 leases) in 2024.

Pre-pandemic occupancy and cash flow at the property had already
been trending downward. The property was 73% occupied as of
September 2021, down from 83% at YE 2020, 90% at YE 2019 and 95% at
issuance. Tenants that have vacated between YE 2020 and September
2021 include TMX Group US (2.5% NRA), Lane Bryant (2.4%), Tri-State
Envelope (1.3%), Charak (0.4%), Resource Innovative (0.4%) and M.
S. Nestorov DDS (0.4%).

YE 2020 NOI fell 34.2% from 2019, primarily due to the lower
occupancy and reduced gross revenues. In addition, during 2Q20, a
significant amount of rent was not collected due to
pandemic-related hardships; the borrower continues to work with
tenants on rent collections, but some have reportedly vacated. The
loan is currently cash managed due to the declining debt service
coverage ratio (DSCR), with approximately $1.7 million in the
excess cash reserve as of December 2021. Fitch's base case loss of
29% reflects an 8% cap rate and 5% stress to the YE 2020 NOI and
was reduced by 50% due to the property's strong Manhattan location
and excellent access to public and mass transit.

The second largest contributor to loss expectations is the Summit
Birmingham loan (6.4%), which is secured by a 681,000-sf outdoor
regional lifestyle center located in Birmingham, AL. Collateral
occupancy was 93.5% as of October 2021, compared to 92% at YE 2020,
95% at YE 2019 and 99% at issuance. Upcoming rollover includes 9.7%
(11 leases) in 2022, 40.5% (12 leases) in 2023 and 12.6% (21
leases) in 2024. The 2023 rollover includes the three largest
collateral tenants, Belk (24% NRA), RSM US LLP (5.3%) and Barnes &
Noble (3.7%) between January and May 2023.

Belk emerged from bankruptcy in February 2021 and there have been
no store closure announcements to date. Despite the anticipated
upcoming scheduled lease expiration for Belk in 2023, this is
considered a dominant shopping center in the market with high sales
reported around the time of issuance. Updated sales were requested,
but not received. Fitch's base case loss of 13% is based on a 9%
cap rate and 10% haircut to the YE 2020 NOI to reflect the upcoming
lease rollover concerns.

Increased Credit Enhancement (CE): As of the January 2022
distribution date, the pool's aggregate principal balance has paid
down by 8.7% to $920.4 million from $1.0 billion at issuance. One
loan, JW Marriott Desert Springs ($54.9 million), was repaid in
full in January 2022. One loan (Dickinson Fiesta MHC; 0.2%) is
defeased. There are 13 loans (53.2%) that are full-term IO and four
loans (3.3%) still have a partial IO component during their
remaining loan term, compared with 13 loans (20.3%) at issuance.
One loan (Merrill Lynch Drive; 4.5%) has an upcoming anticipated
repayment date in February of 2022, with a February 2025 final
maturity; five loans (6.2%) in 2026 and 41 loans (89.3%) in 2027.

Coronavirus Exposure: Loans secured by retail and hotel properties
represent 22.0% (16 loans) and 13.7% (seven loans) of the pool,
respectively. Fitch applied an additional stress to the
pre-pandemic cash flows for two hotel loans (1.2%) given
significant pandemic-related 2020 NOI declines; these additional
stresses, along with the continued stabilization of the FLOCs,
contributed to the Negative Outlooks.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans. Downgrades to classes A-2, A-3, A-4,
    A-SB, X-A, A-S and B are not likely due to the position in the
    capital structure, but may occur should interest shortfalls
    affect these classes. Downgrades to classes C, X-B, D and X-D
    may occur should expected losses for the pool increase
    significantly and/or one or more of the larger FLOCs and/or
    loans susceptible to the coronavirus pandemic experience an
    outsized loss.

-- Downgrades to classes E, X-E, F and X-F may occur should loss
    expectations increase due to a continued performance decline
    of the FLOCs and/or additional loans transfer to special
    servicing and/or default.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional paydown and/or defeasance.
    Upgrades to classes B, C and X-B would only occur with
    significant improvement in CE, defeasance and/or performance
    stabilization of FLOCs and other properties affected by the
    coronavirus pandemic.

-- Classes would not be upgraded above 'Asf' if there were
    likelihood of interest shortfalls. Upgrades to classes D, X-D,
    E, X-E, F and X-F may occur as the number of FLOCs are
    reduced, properties vulnerable to the pandemic return to pre
    pandemic levels and/or there is sufficient CE to the classes.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BANK 2018-BNK14: DBRS Confirms BB Rating on Class F Certs
---------------------------------------------------------
DBRS, Inc. confirmed the following ratings of the Commercial
Mortgage Pass-Through Certificates, Series 2018-BNK14 issued by
BANK 2018-BNK14:

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

The rating confirmations reflect the steady performance of the
majority of the underlying collateral. Classes X-F, F, X-G, and G
continue to carry Negative trends, reflecting the uncertainty of
resolution for the pool's four specially serviced loans. All other
trends are Stable.

As of the December 2021 remittance, 61 of the original 62 loans
remain in the pool, with an aggregate trust balance of $1.28
billion, representing a collateral reduction of approximately 7.5%
since issuance due to loan amortizations and the payoff of the
Prudential – Digital Realty Portfolio loan, which was originally
the fourth-largest loan in the pool. No loans have been defeased.
Loans backed by retail properties represent the largest property
type concentration for the pool at 40.6% of the current trust
balance, followed by office properties at 23.7% of the pool. Of the
loans secured by retail properties, 14.9% are shadow rated
investment-grade.

There are four specially serviced loans, representing 9.3% of the
pool, all of which are secured by hotel or retail properties,
including the CoolSprings Galleria loan (Prospectus ID#18, 2.2% of
the pool), which was shadow rated by DBRS Morningstar at issuance.
In addition, eight loans, representing 15.1% of the current trust
balance, are on the servicers' watchlist and are being monitored
for a variety of reasons, including low debt service coverage
ratios (DSCR), low occupancy, and life safety issues flagged upon
site inspections.

The largest specially serviced loan is secured by the Doubletree
Grand Naniloa Hotel (Prospectus ID#12, 3.8% of the pool), a
388-key, full-service hotel in Hilo, Hawaii. The loan transferred
to special servicing in June 2020 for imminent monetary default
resulting from travel restrictions brought on by the Coronavirus
Disease (COVID-19) pandemic. The special servicer is seeking lender
approval to move forward with a foreclosure. An updated appraisal
was provided in August 2021, which valued the property at $56.4
million on an as-is basis, a 44% drop from the appraised value of
$100.1 million at issuance but a 2.5% increase from the previous
value of $55.0 million in November 2020. The hotel's performance
has lagged since issuance and despite the hotel's slight
improvement according to the trailing 12 months (T-12) period ended
September 2021 Smith Travelers Report (STR), the underlying
collateral is underperforming across all three metrics in
comparison to the Hawaii submarket.

The largest loan on the servicer's watchlist is the Starwood Hotel
Portfolio (Prospectus ID#5, 5.1% of the pool), which consists of 22
hotel properties containing a total of 2,943 keys, located across
12 states and 17 cities throughout the continental U.S. The loan
was added to the servicer's watchlist in November 2021 for low DSCR
and declining occupancy after mandated state closures took effect
in response to the ongoing pandemic. As such, the special servicer
granted coronavirus relief that allowed the borrower to defer
furniture, fixtures, and equipment reserve payments for 12 months
from June 2020 to May 2021, with a 12-month repayment period from
June 2021 to May 2022. As of the T-12 period ended June 2021 STR
report, the weighted average occupancy, average daily rate (ADR),
and revenue per available room (RevPAR) for the portfolio declined
year-over-year (YOY) to 45.4% (-23.3% YOY), $92.93 (-19.2%), and
$42.75 (-36.9%), respectively. The year-to-date period ended June
2021 STR reported an average occupancy of 50.9% (+15.5% YOY), ADR
of $97.9 (-10.4% YOY), and RevPAR of $50.75 (+4.1% YOY), which are
in line with the competitive set's.

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



BANK 2022-BNK39: DBRS Gives Prov. BB(high) Rating on Class F Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-BNK39 to
be issued by BANK 2022-BNK39:

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

All trends are Stable.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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



BBCMS MORTGAGE 2018-C2: DBRS Confirms B(low) Rating on H-RR Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2018-C2 issued by BBCMS Mortgage
Trust 2018-C2 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the collateral for the
trust consisted of 44 loans secured by 87 commercial and
multifamily properties, with an initial balance of $891.9 million.
As of the December 2021 remittance, all of the original 44 loans
remain in the pool, with a collateral reduction of 0.8% as a result
of scheduled amortization. Defeasance has been minimal given the
vintage, with just one small loan secured by defeasance collateral,
representing 0.9% of the pool. The pool remains fairly concentrated
by property type, as loans representing 30.1% of the current pool
balance are secured by office, 24.6% secured by retail, and 19.1%
secured by lodging collateral.

At issuance, DBRS Morningstar shadow rated the following loans
investment grade: Christiana Mall (Prospectus ID#2; 6.2% of the
pool), Moffett Towers – Buildings E,F,G (Prospectus ID#12; 2.8%
of the pool), Moffett Towers II – Building 1 (Prospectus ID#16;
2.5% of the pool), and Fair Oaks Mall (Prospectus ID#30; 1.2% of
the pool). DBRS Morningstar maintains that the performance of these
loans remains consistent with investment-grade characteristics.

As of the December 2021 remittance report, there were nine loans,
representing 19.9% of the current pool balance, on the servicer's
watchlist, with no loans reported as delinquent or in special
servicing. The loans on the watchlist include five loans secured by
hotel properties that combine for 15.3% of the pool and are being
monitored for low debt service coverage ratios (DSCR) and/or as a
result of the loans being provided relief by the lender for issues
that were driven by disruptions related to the early phases of the
Coronavirus Disease (COVID-19) pandemic. This includes the largest
loan in the pool, Dream Inn (Prospectus ID#1, 6.2% of the current
pool), which is secured by a 165-key full-service beachfront hotel
in Santa Cruz, California. While initially added to the watchlist
in June 2020 for a coronavirus-related relief request, the borrower
subsequently withdrew the request. However, cash flow declines
prompted a second add to the servicer's watchlist in January 2021.
Prior to the pandemic, the loan was performing above the issuance
expectations, but the YE2020 reporting period showed a DSCR of 0.92
times. DBRS Morningstar notes the property's ideal beachfront
location, the very limited supply in the market, and the property's
strong historical performance are mitigating factors for the near-
to moderate-term risks amid the pandemic.

An updated model run was not completed as part of this review, as
performance was deemed to be generally unchanged over the last 12
months. The model results were most recently updated as of January
31, 2020, rating actions, when a material deviation from the
predictive model results was reported for Classes B, C, and D. At
the time of the 2020 rating actions, the transaction was not
seasoned and the material deviations were deemed to be warranted
given the sustainability of loan performance trends had not yet
been demonstrated.

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


BBCMS MORTGAGE 2022-C14: Fitch Rates Class J-RR Certs 'B-'
----------------------------------------------------------
Fitch Ratings has issued a presale report on BBCMS Mortgage Trust
2022-C14, commercial mortgage pass-through certificates, series
2022-C14.

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

-- $35,259,000 class A-1 'AAAsf'; Outlook Stable;

-- $99,000,000 class A-2 'AAAsf'; Outlook Stable;

-- $46,212,000 class A-SB 'AAAsf'; Outlook Stable;

-- $50,000,000 class A-3 'AAAsf'; Outlook Stable;

-- $92,500,000a class A-4 'AAAsf'; Outlook Stable;

-- $325,750,000a class A-5 'AAAsf'; Outlook Stable;

-- $648,757,000b class X-A 'AAAsf'; Outlook Stable;

-- $166,823,000b class X-B 'A-sf'; Outlook Stable;

-- $97,314,000 class A-S 'AAAsf'; Outlook Stable;

-- $41,706,000 class B 'AA-sf'; Outlook Stable;

-- $27,803,000 class C 'A-sf'; Outlook Stable;

-- $11,400,000bc class X-D 'BBB+sf'; Outlook Stable;

-- $11,400,000c class D 'BBB+sf'; Outlook Stable;

-- $22,197,000c class E-RR 'BBBsf'; Outlook Stable;

-- $17,377,000c class F-RR 'BBB-sf'; Outlook Stable;

-- $10,427,000c class G-RR 'BB+sf'; Outlook Stable;

-- $9,268,000c class H-RR 'BB-sf'; Outlook Stable;

-- $9,268,000c class J-RR 'B-sf'; Outlook Stable;

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

-- $31,279,553cd class K-RR.

(a) The initial certificate balances of the class A-4 and A-5
certificates are unknown and expected to be $418,250,000 in the
aggregate, subject to a 5% variance. The certificate balances will
be determined based on the final pricing of those classes of
certificates. The expected class A-4 balance range is $0 to
$185,000,000, and the expected class A-5 balance range is
$233,250,000 to $418,250,000. The balance of each class displayed
above is the hypothetical midpoint of the class range;

(b) Notional amount and interest only;

(c) Privately-placed and pursuant to Rule 144a;

(d) Horizontal risk retention interest.

The expected ratings are based on information provided by the
issuer as of Jan. 26, 2022.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 57 loans secured by 83
commercial properties having an aggregate principal balance of
$926,796,553 as of the cut-off date. The loans were contributed to
the trust by Barclays Capital Real Estate Inc., LMF Commercial,
LLC, Societe Generale Financial Corporation, BSPRT CMBS Finance,
LLC, UBS AG and Natixis Real Estate Capital LLC. The Master and
Special Servicer is expected to be Midland Loan Services.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 22.0% of the loans by
balance, cash flow analysis of 83.0% of the pool and asset summary
reviews on 100% of the pool.

KEY RATING DRIVERS

Leverage In line with Recent Transactions: The pool has average
leverage compared with recent multiborrower transactions rated by
Fitch. The pool's Fitch loan-to-value ratio (LTV) of 102.7% is
higher than the 2020 average of 99.6% and slightly lower than the
2021 average of 103.3%. Additionally, the pool's Fitch trust debt
service coverage ratio of 1.22x is lower with the 2020 and 2021
averages of 1.32x and 1.38x, respectively.

Investment-Grade Credit Opinion Loans: Three loans representing
20.5% of the pool received an investment-grade credit opinion. 1888
Century Park East and The Summit, representing 7.6% and 5.4% of the
pool, respectively, each received a standalone credit opinion of
'BBB-sf'. Coleman Highline Phase IV, representing 7.6% of the pool,
received a standalone credit opinion of 'BBBsf'. This is below the
2020 average of 24.5% and above the 2021 average of 13.3%.

Above Average Amortization: The pool contains 32 loans, totaling
62.8% of the cut-off balance, that are full-term interest-only (IO)
for the entirety of their respective loan terms. This concentration
of full-term IO loans is lower than the 2021 and 2020 averages of
70.5% and 67.7%, respectively. In addition, seven loans totaling
6.8% of the pool have a partial IO period. This results in a higher
scheduled principal paydown of 9.2% of the pool balance by
maturity, compared with average paydowns of 4.8% and 5.3% for 2021
and 2020, respectively.

RATING SENSITIVITIES

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

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

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

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

-- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'Bsf' /
    'CCCsf' / 'CCCsf';

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

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

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

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

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

-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'Asf' /
    'BBB+sf' / 'BBB-sf'.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BELLEMEADE RE 2022-1: DBRS Gives Prov. BB Rating on Cl. M-1C Notes
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Insurance-Linked Notes, Series 2022-1 (the Notes) to be
issued by Bellemeade Re 2022-1 Ltd. (BMIR 2022-1):

-- $63.4 million Class M-1A at BBB (high) (sf)
-- $53.8 million Class M-1B at BBB (sf)
-- $117.8 million Class M-1C at BB (sf)
-- $29.5 million Class M-2 at B (high) (sf)
-- $12.7 million Class B-1 at B (high) (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

CORONAVIRUS DISEASE (COVID-19) IMPACT

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

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

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



BELLEMEADE RE 2022-1: Moody's Assigns B3 Rating to Cl. M-2 Notes
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to four
classes of mortgage insurance credit risk transfer notes issued by
Bellemeade Re 2022-1 Ltd.

Bellemeade Re 2022-1 Ltd. is the first transaction issued in 2022
under the Bellemeade Re program, which transfers to the capital
markets the credit risk of private mortgage insurance (MI) policies
issued by Arch Mortgage Insurance Company (Arch) and United
Guaranty Residential Insurance Company (UGRIC) (each, a subsidiary
of Arch Capital Group Ltd., and collectively, the ceding insurer)
on a portfolio of residential mortgage loans. The notes are exposed
to the risk of claims payments on the MI policies, and depending on
the notes' priority, may incur principal and interest losses when
the ceding insurer makes claims payments on the MI policies.

On the closing date, Bellemeade Re 2022-1 Ltd. (the issuer) and the
ceding insurer will enter into a reinsurance agreement providing
excess of loss reinsurance on mortgage insurance policies issued by
the ceding insurer on a portfolio of residential mortgage loans.
Proceeds from the sale of the notes will be deposited into the
reinsurance trust account for the benefit of the ceding insurer and
as security for the issuer's obligations to the ceding insurer
under the reinsurance agreement. The funds in the reinsurance trust
account will also be available to pay noteholders, following the
termination of the trust and payment of amounts due to the ceding
insurer. Funds in the reinsurance trust account will be used to
purchase eligible investments and will be subject to the terms of
the reinsurance trust agreement.

Following the instruction of the ceding insurer, the trustee will
liquidate assets in the reinsurance trust account to (1) make
principal payments to the notes as the insurance coverage in the
reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims after the coverage level B-2 (or B-3 following a class
B-2 reopening) is written off. While income earned on eligible
investments is used to pay interest on the notes, the ceding
insurer is responsible for covering any difference between the
investment income and interest accrued on the notes' coverage
levels.

In this transaction, the notes' coupon is indexed to SOFR. Based on
the transaction's synthetic structure, the particular choice of
benchmark has no credit impact. Interest payments to the notes are
made from income earned on the eligible investments in the
reinsurance trust account and the coverage premium from the ceding
insurer, which prevents the notes from incurring interest
shortfalls as a result of increases in the benchmark index.

Issuer: Bellemeade Re 2022-1 Ltd.

The complete rating actions are as follows:

Cl. M-1A, Definitive Rating Assigned Baa2 (sf)

Cl. M-1B, Definitive Rating Assigned Baa3 (sf)

Cl. M-1C, Definitive Rating Assigned Ba3 (sf)

Cl. M-2, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance to incur 2.39% losses in a base case scenario and 16.21%
losses under loss a Aaa stress scenario. The aggregate exposed
principal balance is the aggregate product of (i) loan unpaid
balance, (ii) the MI coverage percentage of each loan, and (iii)
one minus existing quota share reinsurance percentage. Nearly all
of loans (except 63 loans) have 7.5%, 8.75% or 33.5% existing quota
share reinsurance covered by unaffiliated third parties, hence
92.5%, 91.25% or 66.50%, respectively, pro rata share of MI losses
of such loans will be taken by this transaction. For the rest of
loans having zero existing quota share reinsurance, the transaction
will bear 100% of their MI losses.

In addition, Moody's considered that for this transaction, similar
to other mortgage insurance credit risk transfer deals, payment
deferrals are not claimable events and thus are not treated as
losses; rather they would only result in a loss if the borrower
ultimately defaults after receiving the payment deferral and a
mortgage insurance claim is filed.

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

Collateral Description

The reference pool consists of 118,891 prime, fixed- and
adjustable-rate, one- to four-unit, first-lien fully-amortizing
conforming mortgage loans with a total insured loan balance of
approximately $37 billion. All loans in the reference pool had a
loan-to-value (LTV) ratio at origination that was greater than 80%,
with a weighted average of 91.8%. The borrowers in the pool have a
weighted average (WA) FICO score of 750, a WA debt-to-income ratio
of 36.3% and a WA mortgage rate of 3.0%. The WA risk in force (MI
coverage percentage) is approximately 17.0% of the reference pool
total unpaid principal balance. The aggregate exposed principal
balance is the portion of the pool's risk in force that is not
covered by existing third-party reinsurance. Approximately 0.1% (by
unpaid principal balance) of the mortgage loans have a MI coverage
effective date on 2020, and there are 99.9% of loans having MI
coverage effective date on 2021.

The WA LTV of 91.8% is far higher than those of recent private
label prime jumbo deals, which typically have LTVs in the high 60's
range, however, it is in line with those of recent MI CRT
transactions. All but one insured loans in the reference pool were
originated with LTV ratios greater than 80%. 100% of insured loans
were covered by mortgage insurance at origination with 98.7%
covered by BPMI and 1.3%% covered by LPMI based on unpaid principal
balance.

Underwriting Quality

Moody's took into account the quality of Arch's insurance
underwriting, risk management and claims payment process in Moody's
analysis.

Arch's underwriting requirements address credit, capacity (income),
capital (asset/equity) and collateral. It has a licensed in-house
appraiser to review appraisals.

Lenders submit mortgage loans to Arch for insurance either through
delegated underwriting or non-delegated underwriting program. Under
the delegated underwriting program, lenders can submit loans for
insurance without Arch re-underwriting the loan file. Arch issues
an MI commitment based on the lender's representation that the loan
meets the insurer's underwriting requirement. Arch does not allow
exceptions for loans approved through its delegated underwriting
program. Lenders eligible under this program must be pre-approved
by Arch. Under the non-delegated underwriting program, insurance
coverage is approved after full-file underwriting by the insurer's
underwriters. For Arch's overall portfolio, approximately 57% of
the loans are insured through delegated underwriting and 43%
through non-delegated. Arch follows the GSE underwriting guidelines
via DU/LP but applies additional overlays.

Servicers provide Arch monthly reports of insured loans that are
60-day delinquent prior to any submission of claims. Claims are
typically submitted when servicers have taken possession of the
title to the properties. Claims are submitted by uploading or
entering on Arch's website, electronic transfer or paper.

Arch performs an internal quality assurance review on a sample
basis of delegated and non-delegated underwritten loans to ensure
that (i) the risk exposure of insured mortgage loans is accurately
represented, (ii) lenders submitting loans via delegated
underwriting program are adhering to Arch's guidelines, and (iii)
internal underwriters are following guidelines and maintaining
consistent underwriting standards and processes.

Arch has a solid quality control process to ensure claims are paid
timely and accurately. Similar to the above procedure, Arch's
claims management reviews a sample of paid claims each month.
Findings are used for performance management as well as identified
trends. In addition, there is strong oversight and review from
internal and external parties such as GSE audits, Department of
Insurance audits, audits from an independent account firm, and
Arch's internal audits and compliance. Arch is also SOX compliant.

PwC, an independent account firm, performs a thorough audit of
Arch's claim payment process.

Third-Party Review

Arch engaged Opus Capital Markets Consultants, LLC, to perform a
data analysis and diligence review of a sampling of mortgage loans
files submitted for mortgage insurance. This review included
validation of credit qualifications, verification of the presence
of material documentation as applicable to the mortgage insurance
application, updated valuation analysis and comparison, and a
tape-to-file data integrity validation to identify possible data
discrepancies. The scope does not include a compliance review. The
review sample size was small (only 0.27% of the total loans in the
initial reference pool as of the cut-off date, or 325 by loan
count).

In spite of the small sample size and a limited TPR scope for
Bellemeade Re 2022-1 Ltd., Moody's did not make an additional
adjustment to the loss levels because, (1) approximately 33.2% of
the loans in the reference pool have gone through full
re-underwriting by the ceding insurer, (2) the underwriting quality
of the insured loans is monitored under the GSEs' stringent quality
control system, and (3) MI policies will not cover any costs
related to compliance violations.

Scope and results. The third-party due diligence scope focuses on
the following:

Appraisals: The third-party diligence provider reviewed property
valuation on 325 loans in the sample pool. A Freddie Mac Home Value
Explorer (HVE) was ordered on the entire population of 325 files.
If the resulting value of the AVM was less than 90% of the value
reflected on the original appraisal, or if no results were
returned, a Broker Price Opinion (BPO) was ordered on the property.
If the resulting value of the BPO was less than 90% of the value
reflected on the original appraisal, an Appraisal Review appraisal
was ordered on the property. Among the 325 loans, three loans were
not assigned any grade by the third-party review firm, and all
other loans were graded A. The third-party diligence provider was
not able to obtain property valuations these two mortgage loans due
to the inability to complete the appraisal review assignment during
the due diligence review period.

Credit: The third-party diligence provider reviewed credit on 325
loans in the sample pool, 319 loans were rated level A, five loans
were rated level B and one loan was rated level C.

Data integrity: The third-party review firm was provided a data
file with loan level data, which was audited against origination
documents to determine the accuracy of data found within the data
tape. There are 3 discrepancies, in which all discrepancies are on
the maturity date data field.

Reps & Warranties Framework

The ceding insurer does not make any representations and warranties
to the noteholders in this transaction. Since the insured mortgages
are predominantly GSE loans, the individual sellers would provide
exhaustive representations and warranties to the GSEs that are
negotiated and actively monitored. In addition, the ceding insurer
may rescind the MI policy for certain material misrepresentation
and fraud in the origination of a loan, which would benefit the MI
CRT noteholders.

Transaction Structure

The transaction structure is very similar to other MI CRT
transactions that Moody's have rated. At closing, the ceding
insurer will retain the coverage levels A, B-2, B-3, and the
unfunded percentage of coverage levels M-1A through B-1, if any.
After closing, the ceding insurer will maintain the 50% minimal
retained share of coverage of coverage level B-3 throughout the
transaction. The offered notes benefit from a sequential pay
structure. The transaction incorporates structural features such as
a 10-year bullet maturity and a sequential pay structure for the
non-senior tranches, resulting in a shorter expected weighted
average life on the offered notes.

Funds raised through the issuance of the notes are deposited into a
reinsurance trust account and are distributed either to the
noteholders, when insured loans amortize or MI policies terminate,
or to the ceding insurer for reimbursement of claims paid when
loans default. Interest on the notes is paid from income earned on
the eligible investments and the coverage premium from the ceding
insurer. Interest on the notes will accrue based on the outstanding
balance of the notes, but the ceding insurer will only be obligated
to remit coverage premium based on each note's coverage level.

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. The rated
M-1A, M-1B, M1-C, M-2 and B-1 notes have credit enhancement levels
of 6.25%, 5.25%, 3.25%, 2.75% and 2.50% respectively. The credit
risk exposure of the notes depends on the actual MI losses incurred
by the insured pool. The loss is allocated in a reverse sequential
order. MI loss is allocated starting from coverage level B-3, while
investment losses are allocated starting from class B-2 note.

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

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75.0% of coverage level A
subordination amount or (ii) the subordinate percentage (or with
respect to the first payment date, the original subordinate
percentage) for that payment date is less than the target CE
percentage (minimum C/E test: 8.50%).

Premium Deposit Account (PDA)

The premium deposit account will benefit the transaction upon a
mandatory termination event (e.g. the ceding insurer fails to pay
the coverage premium and does not cure, triggering a default under
the reinsurance agreement), by providing interest liquidity to the
noteholders for 70 days while the assets of the reinsurance trust
account are being liquidated to repay the principal of the notes.

On the closing date, the ceding insurer will establish a cash and
securities account (the PDA) but no initial deposit amount will be
made to the account by the ceding insurer unless the premium
deposit event is triggered. The premium deposit event will be
triggered if the rating of the notes exceed the insurance financial
strength (IFS) rating (the lower of IFS rating rated by Moody's and
S&P) of the ceding insurer or the ceding insurer's IFS rating falls
below Baa2. If the note ratings exceed that of the ceding insurer,
the insurer will be obligated to deposit into the premium deposit
account the coverage premium only for the notes that exceeded the
ceding insurer's rating. If the ceding insurer's rating falls below
Baa2, it is obligated to deposit coverage premium for all
reinsurance coverage levels.

The required PDA amount for each class of notes and each month is
equal to the excess, if any, of (i) the coupon rate of the note
multiplied by (a) the applicable funded percentage, (b) the
coverage level amount for the coverage level corresponding to such
class of notes and (c) a fraction equal to 70/360, over (ii) two
times the investment income collected on the eligible investments.

Moody's believe the PDA arrangement does not establish a linkage
between the ratings of the notes and the IFS rating of the ceding
insurer because, 1) the required PDA amount is small relative to
the entire deal, 2) the risk of PDA not being funded could
theoretically occur if the ceding insurer suddenly defaults,
causing a rating downgrade from investment grade to default in a
very short period; which is a highly unlikely scenario, and 3) even
if the insurer becomes insolvent, there would be a strong incentive
for the insurer's insolvency regulator to continue to make the
interest payments to avoid losing reinsurance protection provided
by the deal.

Claims Consultant

To mitigate risks associated with the ceding insurer's control of
the trust account and discretion to unilaterally determine the MI
claims amounts (i.e. ultimate net losses), the ceding insurer will
engage Opus Capital Markets, as claims consultant, to verify MI
claims and reimbursement amounts withdrawn from the reinsurance
trust account once the coverage level B-2 (or B-3 following a class
B-2 reopening) have been written down. The claims consultant will
review on a quarterly basis a sample of claims paid by the ceding
insurer covered by the reinsurance agreement. In verifying the
amount, the claims consultant will apply a permitted variance to
the total paid loss for each MI Policy of +/- 2%. The claims
consultant will provide a preliminary report to the ceding insurer
containing results of the verification. If there are findings that
cannot be resolved between the ceding insurer and the claims
consultant, the claims consultant will increase the sample size. A
final report will be delivered by the claims consultant to the
trustee, the issuer and the ceding insurer. The issuer will be
required to provide a copy of the final report to the noteholders
and the rating agencies.

Unlike RMBS transactions where there is typically some level of
independent third party oversight by the trustee, the master
servicer and/or the securities administrator, MI CRT transactions
typically do not have such oversight. For example, the ceding
insurer not only has full control of the trust account but can also
determine, at its discretion, the MI claims amount. The ceding
insurer will then direct the trustee to withdraw the funds to
reimburse for the claims paid. Since the trustee is not required to
verify the MI claims amount, there could be a scenario where funds
are withdrawn from the reinsurance trust account in excess of the
amounts necessary to reimburse the ceding insurer. As such, Moody's
believe the claims consultant in this transaction will provide the
oversight to mitigate such risks.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
August 2021.


BLUEGRASS ABS III: Moody's Ups Rating on $280MM A-1 Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Bluegrass ABS CDO III, Ltd.:

US$280,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2039 (current outstanding balance of $2,062,326.96)
(the "Class A-1 Notes"), Upgraded to Caa3 (sf); previously on May
26, 2010 Downgraded to Ca (sf)

Bluegrass ABS CDO III, Ltd., issued in September 2004, is a
collateralized debt obligation backed primarily by a portfolio of
ABS and RMBS originated in 2004.

RATINGS RATIONALE

The rating action is due primarily to the deleveraging of the
senior notes and an increase in par coverage. The Class A-1 Notes
have paid down by 48.2% to $2.1MM since Jan 2021. Based on Moody's
calculation, the Class A-1 notes is currently fully covered by Caa
rated assets.

Owing to the deal's lack of granularity, Moody's did not use a cash
flow model to analyze the default and recovery properties of the
collateral pool. Instead, Moody's analyzed the transaction by
assessing the ratings impact of, and the deal's sensitivity to,
jump-to-default by large assets.

Methodology Underlying the Rating Action

The principal methodology used in this rating was "Moody's Approach
to Rating SF CDOs" published in June 2021.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

The performance of the Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. Certain deal features and their
characteristics, such as amortization profile assumptions, and
waterfall features can also influence the rating outcomes.


BMO 2022-C1: Fitch Assigns BB+ Rating on 2 Certificates
-------------------------------------------------------
Fitch Ratings has issued a presale report on BMO 2022-C1 Mortgage
Trust, commercial mortgage pass-through certificates, series
2022-C1.

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

-- $17,924,827e class A-1 'AAAsf'; Outlook Stable;

-- $153,090,525e class A-2 'AAAsf'; Outlook Stable;

-- $69,099,439e class A-3 'AAAsf'; Outlook Stable;

-- $105,263,118ae class A-4 'AAAsf'; Outlook Stable;

-- $414,365,197ae class A-5 'AAAsf'; Outlook Stable;

-- $25,662,244e class A-AB 'AAAsf'; Outlook Stable;

-- $880,775,708be class X-A 'AAAsf'; Outlook Stable;

-- $95,370,358e class A-S 'AAAsf'; Outlook Stable;

-- $53,295,290e class B 'AA-sf'; Outlook Stable;

-- $50,490,490e class C 'A-sf'; Outlook Stable;

-- $103,785,780bce class X-B 'A-sf'; Outlook Stable;

-- $56,100,091bce class X-D 'BBB-sf'; Outlook Stable;

-- $14,025,023bce class X-F 'BB+sf'; Outlook Stable;

-- $32,257,756ce class D 'BBBsf'; Outlook Stable;

-- $23,842,335ce class E 'BBB-sf'; Outlook Stable;

-- $14,025,023ce class F 'BB+sf'; Outlook Stable.

Fitch does not expect to rate the following classes:

-- $18,232,733bce class X-G;

-- $23,842,335bce class X-H;

-- $25,246,039bce class X-J;

-- $18,232,733ce class G;

-- $23,842,335ce class H;

-- $25,246,039ce class J.

Fitch does not expect to rate the following loan-specific classes:

-- $20,750,000cd class 360A;

-- $39,245,000bcd class 360X;

-- $18,495,000cd class 360B;

-- $18,650,000cd class 360C;

-- $17,919,000cd class 360D;

-- $18,838,000cd class 360E;

-- $6,150,000cdf class 360RR;

-- $11,837,000cd class 111A;

-- $13,826,000cd class 111B;

-- $16,738,000cd class 111C;

-- $17,465,000cd class 111D;

-- $12,569,000cd class 111E;

-- $3,815,000cdg class 111RR Interest.

a) The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $510,217,000 in aggregate ($519,628,315
including all VRR interests), subject to a 5% variance. The
certificate balances will be determined based on final pricing for
those classes of certificates. The expected class A-4 balance range
is $0-$206,713,000 ($0-$210,526,235 including all VRR interests),
and the expected class A-5 balance range is
$303,504,000-$510,217,000 ($309,102,080 - $519,628,315including all
VRR interests). The balances for classes A-4 and A-5, as shown
above, reflect the midpoints of each range (inclusive of all VRR
interests).

b) Notional amount and interest only.

c) Privately placed and pursuant to Rule 144A.

d) The transaction includes 13 classes of non-offered,
loan-specific certificates (non-pooled rake classes) related to the
companion loans of 111 River Street (six classes) and 360 Rosemary
(seven classes).

e) Includes the aggregate VRR interests equal to at least 5.0% of
the aggregate principal balance of all pooled classes. The
aggregate VRR interests consist of Sabal's VRR, an "eligible
vertical interest" equal to approximately 3.08184% of all pooled
classes plus BMO's non-offered Uncertificated VRR Interest, an
"eligible vertical interest" equal to 1.91816% of all pooled
classes.

f) Represents the "eligible horizontal interest" representing 5.0%
of the non-offered, loan-specific certificates (non-pooled rake
classes) related to the companion loan of 360 Rosemary.

g) Represents the "eligible vertical interest" representing 5.0% of
non-offered, loan-specific certificates (non-pooled rake classes)
related to the companion loans of 111 River Street.

The expected ratings are based on information provided by the
issuer as of Feb. 02, 2022.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 77 fixed- rate loans secured by
234 commercial properties with an aggregate principal balance of
$1,122,007,709 as of the cut-off date. The loans were contributed
to the trust by Bank of Montreal, KeyBank National Association,
SSOF SCRE AIV, L.P, Starwood Mortgage Capital LLC and German
American Capital Corporation. The master servicer is expected to be
KeyBank National Association, and the special servicer is expected
to be CWCapital Asset Management LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 34.8% of the loans by
balance, cash flow analysis of 83.3% of the pool and asset summary
reviews on 100% of the pool.

KEY RATING DRIVERS

Higher Fitch Leverage: The pool's Fitch stressed loan to value
(LTV) ratio of 105.2% is higher than the 2021 and 2020 averages for
Fitch-rated U.S. private-label multiborrower transactions of 103.3%
and 99.6%, respectively. Fitch's stressed debt service coverage
ratio (DSCR) of 1.24x is lower than the 2021 and 2020 respective
averages of 1.38x and 1.32x. Nine loans, representing 25.2% of the
pool, have subordinate secured debt, mezzanine financing or
DST-related bridge preferred equity. The pool's Fitch total debt
LTV and DSCR of 118.4% and 1.10x, respectively, are worse that the
respective 2021 average of 110.6% and 1.29x.

Investment-Grade Credit Opinion Loans: Five loans representing
18.2% of the pool received an investment-grade credit opinion. 360
Rosemary (4.0% of pool), 601 Lexington Avenue (3.6%), Hudson
Commons (3.6%) and 111 River Street (3.3%) each received a
standalone credit opinion of 'BBB-sf'. Coleman Highline Phase IV,
representing 3.7% of the pool, received a standalone credit opinion
of 'BBBsf'. The investment-grade credit opinion loan concentration
is below the 2020 average of 24.5% and above the 2021 average of
13.3%.

Pool Diversity: The pool's 10 largest loans represent 38.0% of its
cut-off balance. This is significantly below the 2021 and 2020
average of 51.2% and 56.8%, respectively. The pool's Loan
Concentration Index (LCI) of 249 is below the 2021 and 2020
averages of 381 and 440, respectively.

Limited Amortization: The pool contains 48 loans, totaling 73.5% of
the cutoff balance, that are full-term interest only (IO). This
concentration of full-term IO loans is higher than the 2021 and
2020 averages of 70.5% and 67.7%, respectively. In addition, 17
loans totaling 14.5% of the pool have a partial IO period. This
results in a low scheduled principal paydown of 4.2% of the pool
balance by maturity, compared with average pool paydowns of 4.8%
and 5.3% for 2021 and 2020, respectively.

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


BMO 2022-C1: S&P Assigns Prelim B- (sf) Rating on Class X-H Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BMO 2022-C1
Mortgage Trust's commercial mortgage pass-through certificates.

The certificate issuance is a U.S. CMBS securitization backed by 77
commercial mortgage loans with an aggregate principal balance of
$1.122 billion ($956.676 million of offered certificates), secured
by the fee and leasehold interests in 234 properties across 39 U.S.
states.

The preliminary ratings are based on information as of Feb. 2,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of the underlying
collateral's economics, the trustee-provided liquidity, the
collateral pool's relative diversity, and its overall qualitative
assessment of the transaction.

  Preliminary Ratings Assigned

  BMO 2022-C1 Mortgage Trust(i)

  Class A-1, $17,581,000: AAA (sf)
  Class A-2, $150,154,000: AAA (sf)
  Class A-3, $67,774,000: AAA (sf)
  Class A-4, TBD(ii): AAA (sf)
  Class A-5, TBD(ii): AAA (sf)
  Class A-SB, $25,170,000: AAA (sf)
  Class X-A, $863,881,000(iii): AAA (sf)
  Class A-S, $93,541,000: AAA (sf)
  Class B, $52,273,000: AA+ (sf)
  Class C, $49,522,000: A+ (sf)
  Class X-B(iv), $101,795,000(iii): A+ (sf)
  Class X-D(iv), $55,024,000(iii): BBB- (sf)
  Class X-F(iv), $13,756,000(iii): BB+ (sf)
  Class X-G(iv), $17,883,000(iii): BB- (sf)
  Class X-H(iv), $23,385,000(iii): B- (sf)
  Class X-J(iv), $24,761,779(iii): NR
  Class D(iv), $31,639,000: BBB+ (sf)
  Class E(iv), $23,385,000: BBB- (sf)
  Class F(iv), $13,756,000: BB+ (sf)
  Class G(iv), $17,883,000: BB- (sf)
  Class H(iv), $23,385,000: B- (sf)
  Class J(iv), $24,761,779: NR
  Class VRR(v), $21,521,930: NR
  Class 360A(vi), $20,750,000: NR
  Class 360X(vi), $39,245,000(iii): NR
  Class 360B(vi), $18,495,000: NR
  Class 360C(vi), $18,650,000: NR
  Class 360D(vi), $17,919,000: NR
  Class 360E(vi), $18,838,000: NR
  Class 360RR(vi), $6,150,000: NR
  Class 111A(vi), $11,837,000: NR
  Class 111B(vi), $13,826,000: NR
  Class 111C(vi), $16,738,000: NR
  Class 111D(vi), $17,465,000: NR
  Class 111E(vi), $12,569,000: NR
  Class 111RR(vi), $3,815,000: NR

(i)The certificates will be issued to qualified institutional
buyers according to Rule 144A of the Securities Act of 1933.

(ii)The final balances of the class A-4 and A-5 certificates will
be determined at final pricing. The certificates in aggregate will
have a total balance of $509.661 million. The class A-4
certificates are expected to have a balance between $0.000 and
$206.488713 million, and the class A-5 certificates are expected to
have a balance between $303.173 million and $509.661 million.

(iii)Notional amount. The notional amount of the class X-A
certificates will be equal to the aggregate certificate balance of
the class A-1, A-2, A-3, A-4, A-5, A-AB, and A-S certificates. The
notional amount of the class X-B certificates will be equal to the
aggregate certificate balance of the class B and C certificates.
The notional amount of the class X-D certificates will be equal to
the aggregate certificate balance of the class D and E
certificates. The notional amount of the class X-F, X-G, X-H, and
X-J certificates will be equal to the certificate balance of the
class F, G, H, and J certificates, respectively. The notional
amount of the class 360X certificates will be equal to the
aggregate certificate balance of the class 360A and 360B
certificates.

(iv)Non-offered certificates.

(v)Non-offered eligible vertical risk retention (VRR) interest.

(vi)Non-offered loan specific certificates. The class '360'
certificates are tied to the 360 Rosemary loan. The class '111'
certificates are tied to the 111 River Street loan.

NR--Not rated.
RR--Risk retention.



BRAVO RESIDENTIAL 2022-RPL1: Fitch Gives Final B Rating to B-2 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to BRAVO Residential
Funding Trust 2022-RPL1.

DEBT           RATING             PRIOR
----           ------             -----
BRAVO 2022-RPL1

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

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed notes to be issued by
BRAVO Residential Funding Trust 2022-RPL1 (BRAVO 2022-RPL1) as
indicated above. The transaction is expected to close on Jan. 28,
2022. The notes are supported by one collateral group that consists
of 2,233 seasoned performing loans (SPLs) and re-performing loans
(RPLs) with a total balance of approximately $414.22 million, which
includes $44.2 million, or 10.7%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date.

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

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.7% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

Seasoned Performing and Reperforming Credit Quality (Mixed): The
collateral consists of 2,233 seasoned, performing, modified and
re-performing fixed-rate, adjustable-rate and step-rate,
fully-amortizing, balloon, and IO mortgage loans secured by first
liens on primarily one- to four-family residential properties,
condominiums, townhouses, manufactured homes and unimproved land,
totaling $414 million, and seasoned approximately 189 months in
aggregate.

The pool is 90.1% current and 9.9% delinquent, according to Fitch
(the transaction documents reflect 90.02% of the loans are current
and 9.98% are 30 days delinquent). Fitch does not consider a loan
delinquent if it was delinquent due to pandemic-related issues, and
has repaid in full or in the process of repaying, which explains
why Fitch has slightly more loans that are current. Over the last
two years, 27.4% of loans have been clean current, and 93.2% of
loans have had a prior modification, according to Fitch's
analysis.

The borrowers have a relatively weak credit profile (646 Fitch
Model FICO and 43.2% DTI as determined by Fitch) and low leverage
(77.0% sLTV). The pool consists of 93.1% of loans where the
borrower maintains a primary residence, while 6.9% are investment
properties or second home.

Approximately 13.2% of the pool is concentrated in California. The
largest MSA concentration is in the New York-Northern New
Jersey-Long Island, NY-NJ-PA MSA (16.0%), the Los Angeles-Long
Beach-Santa Ana, CA MSA (6.3) and the Miami-Fort Lauderdale-Miami
Beach, FL MSA (5.9%). The top three MSAs account for 28.2% of the
pool. As a result, there was no adjustment made for geographic
concentration.

No Advancing (Positive): The servicer will not be advancing
delinquent monthly payments of principal and interest. Because P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I.

Sequential Payment Structure (Positive): The transaction's cash
flow is based on a sequential-pay structure whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class with no advancing.

RATING SENSITIVITIES

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton Services LLC, Opus, Solidifi Title &
Closing, LLC and Mortgage Connect LP. The third-party due diligence
described in Form 15E focused on Credit (for two loans), compliance
(100%), and title searches. Fitch considered this information in
its analysis and, as a result, Fitch made the following
adjustment(s) to its analysis by increasing the loss severity for
potential outstanding tax, municipal, and HOA liens and for the
inability to test for high-cost/predatory lending in certain states
where the statute of limitations has not expired. These adjustments
increased the losses by 0.75% in total.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor,
engaged SitusAMC, Clayton Services LLC and Opus, to perform the
review. Loans reviewed under these engagements were given
compliance, credit, and valuation grades and assigned initial
grades for each subcategory. The sponsor also engaged Solidifi
Title & Closing, LLC and Mortgage Connect LP to conduct the title
searches.

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website.

The loan-level information Fitch received was provided in the
American Securitization Forum's (ASF) data layout format. The ASF
data tape layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company and no material discrepancies were noted.

ESG CONSIDERATIONS

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


BSPRT 2022-FL8: DBRS Gives Prov. B(low) Rating on Class H Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by BSPRT 2022-FL8 Issuer, Ltd.:

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

All trends are Stable.

The initial collateral consists of 26 floating-rate mortgage loans
secured by 34 mostly transitional real estate properties with a
cutoff balance totaling $1.03 billion (87.3% of the total fully
funded balance) exclusive of $80.6 million in remaining future
funding commitments and $68.9 million of pari passu debt. Of the 26
loans, two are unclosed, delayed-close loans as of Friday, January
21, 2022, Rivet & Rivet 26 (#1) and Arlowe Townhomes (#20),
representing a total initial pool balance of 10.6%. The Issuer has
90 days post-closing to acquire the delayed-close assets.
Furthermore, two other loans, Harlem Multifamily Portfolio and The
Printhouse, have received loan modifications with a combination of
a maturity date extension, an extension fee update, a rate index
change, changes to index floors and interest rate spreads, changes
in maintenance spreads, and/or changes to carry reserves. The
Printhouse modification also included a principal paydown of the
loan by $500,000 via a $350,000 equity infusion from the sponsor
and $150,000 from the collapse of the Interest Reserve. The
transaction is a managed vehicle, which includes a 24-month
reinvestment period. As part of the reinvestment period, the
transaction includes a 180-day ramp-up acquisition period that is
expected to increase the trust balance by $174.8 million to a total
target collateral principal balance of $1.2 billion. DBRS
Morningstar assessed the $174.8 million ramp component using a
conservative loan construct and as a result, the ramp loans have
expected losses above the pool weighted average (WA) loan expected
loss. If a delayed-close mortgage asset is not expected to close or
fund prior to the purchase termination date, then any amounts
remaining will be transferred to the unused proceeds account to
acquire other ramp-up collateral interests. During the reinvestment
period, so long as the note protection tests are satisfied and no
event of default has occurred and is continuing, the collateral
manager may direct the reinvestment of principal proceeds to
acquire reinvestment collateral interests, including funded
companion participations, meeting the eligibility criteria. The
eligibility criteria, among other things, have a minimum debt
service coverage ratio (DSCR), loan-to-value ratio (LTV), 18.0
Herfindahl score, and loan size limitations. Lastly, the
eligibility criteria stipulate Rating Agency Confirmation on ramp
loans, reinvestment loans, and on pari passu participation
acquisitions if a portion of the underlying loan is already
included in the pool, thereby allowing DBRS Morningstar to review
the new collateral interest and any potential impact on the
ratings.

The loans are mostly secured by cash-flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, 21 loans, representing 78.8% of the
pool, have remaining future funding participations totaling $80.6
million, which the Issuer may acquire in the future.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index for all loans, which is based on the lower of a DBRS
Morningstar stressed rate that corresponded to the remaining fully
extended term of the loans or the strike price of the interest rate
cap with the respective contractual loan spread added to determine
a stressed interest rate over the loan term. When the cutoff
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow, 18 loans, comprising 70.4% of the initial pool balance, had a
DBRS Morningstar As-Is DSCR of 1.0 times (x) or below, a threshold
indicative of default risk. Furthermore, three loans, representing
12.3% of the initial cutoff balance, exhibit a DBRS Morningstar
Stabilized DSCR below 1.0x. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other loan structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume assets to
stabilize above market levels.

The sponsor for the transaction, Benefit Street Partners Realty
Operating Partnership, L.P., is a wholly owned subsidiary of
Franklin BSP Realty Trust, Inc. (FBRT), formerly known as Benefit
Street Partners Realty Trust, Inc., and an experienced commercial
real estate (CRE) collateralized loan obligation (CLO) issuer and
collateral manager. As of September 30, 2021, FBRT managed a
commercial mortgage debt portfolio of approximately $3.3 billion
and had issued nine CRE CLO transactions. Through September 30,
2021, FBRT had not realized any losses on any of its CRE bridge
loans while also funding more than $15.5 billion of investments
across Benefit Street Partners’ CRE group vehicles since its
inception in 2013. Additionally, BSPRT 2022-FL8 Holder, LLC will
purchase and retain 100% of the Class F Notes, the Class G Notes,
the Class H Notes, and the Preferred Shares, which total $214.5
million, or ¬17.9% of the transaction total.

The pool comprises only multifamily properties. This property type
has historically shown lower defaults and losses. Multifamily
properties benefit from staggered lease rollovers and generally low
expense ratios compared with other property types. While revenue is
quick to decline in a downturn because of the short-term nature of
the leases, it is also quick to respond when the market improves.

The business plan score (BPS) for the loans that DBRS Morningstar
analyzed was between 1.50 and 5.00 with an average of 2.04. On a
scale of 1 to 5, a higher DBRS Morningstar BPS is indicative of
more risk in the sponsor's business plan. Consideration is given to
the anticipated lift at the property from current performance,
planned property improvements, sponsor experience, project time
horizon, and overall complexity. Compared with similar
transactions, the subject has a relatively low average BPS, which
is indicative of lower risk.

The transaction is managed and includes a ramp-up component and
reinvestment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. The risk of negative migration is partially
offset by eligibility criteria that outline DSCR, LTV, 18.0
Herfindahl score minimum, 95.0% minimum multifamily, and loan size
limitations for reinvestment assets. A No-Downgrade Confirmation is
required from DBRS Morningstar for all reinvestment loans and
ramp-up loans. DBRS Morningstar accounted for the uncertainty
introduced by the 180-day ramp-up period by running a ramp scenario
that simulates the potential negative credit migration in the
transaction based on the eligibility criteria.

As of the cutoff date, the pool contains 26 loans with the top 10
loans representing 61.6% of the pool. Additionally, the pool has an
elevated state concentration with 47.4% of the pool located in
Texas and 22.2% of the pool within the Dallas-Plano-Irving MSA. The
pool's minimum diversity is accounted for in the DBRS Morningstar
model, raising the transaction's credit enhancement levels to
offset the concentration risk. Based on CRE CLO standards, the
Herfindahl score of 19.97 is considered reasonable, which is higher
than the scores of 16.7 in BSPRT 2021-FL7 and 14.9 in BSPRT
2021-FL6. The cutoff date balance will increase from ramp-up loans,
which is projected to occur over 60 days after closing. New loans
will increase loan count and add broader diversity to the pool,
raising the Herfindahl score. The 17 properties are located across
six separate MSAs. The eligibility criteria restrict the
concentration of Texas properties to be no more than 50% of the
aggregate outstanding pool balance and no Texas MSA to be more than
25%. The properties are primarily within core markets of their
respective MSAs, with a WA DBRS Morningstar Market Rank of 3.3 for
these properties. Additionally, DBRS Morningstar applied a
concentration penalty, which elevated the expected loss.

All loans have floating interest rates and 86.2% of the initial
pool are interest-only during their entire initial term, which
ranges from 18 months to 48 months, creating interest rate risk.
The borrowers of all 26 loans have purchased either Secured
Overnight Financing Rate (SOFR) or Libor rate caps ranging between
0.50% to 3.5% to protect against rising interest rates over the
term of the loans. All loans are short-term and, even with
extension options, have a fully extended maximum loan term of five
years. Additionally, 21 loans, representing 82.7% of the initial
trust balance, have at least one extension option, all of which are
exercisable subject to the loan's achievement of certain LTV, DSCR,
and/or debt yield requirements. All loans in the pool, except for
one representing 3.6% of the initial trust balance, amortize on a
30-year schedule or a fixed payment schedule at some point during
the fully extended loan term, either during the initial loan term
and/or the extension options. Twenty of the loans, representing
80.5% of the initial trust balance, amortize during all or a
portion of their extension options.

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



BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Classes
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2021-IRON issued by BX
Commercial Mortgage Trust 2021-IRON as follows:

-- Class A at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
-- Class HRR at B (low) (sf)
-- Class X-CP at BBB (sf)
-- Class X-NCP at BBB (sf)

All trends are Stable.

The rating confirmations and Stable trends reflect DBRS
Morningstar's unchanged credit opinion for the transaction since
the 2021 issuance date.

The transaction closed in February 2021 when ratings were assigned.
The $232.0 million loan is secured by a portfolio of 14 industrial
properties with a combined 2.3 million square feet throughout
California, New Jersey, Pennsylvania, Maryland, and Virginia, with
the largest concentration in California. The two-year loan pays
full-term interest-only through its maturity in February 2023 and
is structured with five one-year extension options. The loan
sponsors, BREIT, are affiliated entities of the Blackstone group.
The entire portfolio consists of function bulk warehouse products
and was part of a sale-leaseback to Iron Mountain Inc. and serves
as secure document storage and tape storage facilities for Iron
Mountain's record retention and storage clients. As part of the
transaction, Iron Mountain signed two brand-new 10-year triple-net
leases covering all the properties in the portfolio and are
structured with four five-year renewal options with annual 3.0%
rent escalations. As of the provided September 2021 rent roll, the
portfolio remains 100.0% occupied.

The sponsor has the right to incur future mezzanine debt on the
portfolio subject to a maximum appraisal loan-to-value ratio (LTV)
of 57.0% and an aggregate debt yield of 7.98% or greater. As of
this review, the servicer has confirmed that no additional
mezzanine debt has been incurred. The loan is also subject to
prepayment premium for the release of individual assets at 105.0%
for the first 30.0% of the original principal balance and 110.0%
thereafter. Lastly, the loan is structured with a partial pro
rata/sequential-pay structure, as the loan allows for pro rata
paydowns for the first 30.0% of unpaid principal balance, the trust
currently pays pro rata. A cap rate of 7.0% and total qualitative
adjustments of 7.50% were maintained from issuance bringing the
DBRS Morningstar value to a conservative $233.5 million and a DBRS
Morningstar LTV of 99.3%.

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



BX TRUST 2022-LBA6: Moody's Assigns B3 Rating to Class F Certs
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of CMBS securities, issued by BX Trust 2022-LBA6,
Commercial Mortgage Pass-Through Certificates, Series 2022-LBA6:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. F, Definitive Rating Assigned B3 (sf)

Cl. X-CP*, Definitive Rating Assigned Baa2 (sf)

*Reflects Interest-Only Class

RATINGS RATIONALE

The certificates are collateralized by the borrower's fee interests
in 37 industrial properties and 1 undeveloped land parcel located
across 10 states. Moody's ratings are based on the credit quality
of the loans and the strength of the securitization structure.

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

The portfolio contains 7.8 million square feet ("SF") of aggregate
net rentable area ("NRA") across the following five property
subtypes: warehouse/distribution (22 properties; 70.7% of NRA);
warehouse (10 properties; 24.4% of NRA); manufacturing (2
properties; 2.7% of NRA); flex (3 properties; 2.2% of NRA); and
undeveloped land (1 property; 0.0% of NRA). The portfolio is
geographically diverse as the properties are located across 10
states and 13 markets. The portfolio's property-level Herfindahl
score is 24.0 based on ALA.

The largest state concentration is California, which represents
34.0% of NRA and 47.0% of allocated loan amount ("ALA"). The
largest market concentration is the Los Angeles MSA, which
represents 8.2% (15.6% including Orange County and Riverside) of
NRA and 12.4% (23.6% including Orange County and Riverside) of ALA.
The portfolio properties are primarily located in global gateway
markets and generally situated within close proximity to major
transportation arteries.

Construction dates for properties in the portfolio range between
1950 and 2022, with a weighted average year built of 1996. Property
sizes for assets range between 30,000 SF and 734,544 SF (excluding
undeveloped land parcel), with a weighted average size of 308,266
SF by ALA. Clear heights for properties range between 13 feet and
38 feet, with a weighted average maximum clear height for the
portfolio of 28 feet. As of December 8, 2021, the portfolio is
93.4% leased.

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

The Moody's first mortgage DSCR is 2.85x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.63x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 136.4% based on
Moody's Value. Adjusted Moody's LTV ratio for the first mortgage
balance is 118.3% based on Moody's Value using a cap rate adjusted
for the current interest rate environment.

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

Notable strengths of the transaction include: portfolio's proximity
to global gateway markets; infill locations; geographic and tenant
diversity; facility use and functionality; as well as the presence
of experienced sponsorship.

Notable concerns of the transaction include: the high Moody's
loan-to-value (MLTV) ratio; tenant rollover profile; average age of
the improvements; floating-rate/ interest-only mortgage loan
profile; and certain credit negative legal features.

Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.

The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.

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

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

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


CD 2017-CD4: DBRS Confirms BB Rating on Class X-F Certs
-------------------------------------------------------
DBRS Limited confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2017-CD4 issued by CD 2017-CD4
Mortgage Trust as follows:

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

Classes D, E, F, X-D, X-E, X-F, and V-D continue to carry Negative
trends. The trends on all other classes are Stable. The Negative
trends are reflective of DBRS Morningstar's concerns regarding
performance declines for select loans, including two top 10 loans
currently in special servicing, as further described below.

As of the January 2022 remittance, all of the original 47 loans
remain in the pool, with an aggregate principal balance of $872.6
million, representing a collateral reduction of 3.1% since
issuance. One loan, representing 0.8% of the current trust balance,
is fully defeased. The transaction is concentrated by property type
as 14 loans, representing over 40.0% of the current trust balance,
are secured by office properties. There are five loans,
representing 9.9% of the current trust balance, in special
servicing and 13 loans, representing 38.4% of the pool, are being
monitored on the servicer's watchlist.

The largest specially serviced loan, Key Center Cleveland
(Prospectus ID#7, 3.2% of the pool), is secured by a mixed-use
property in Cleveland. The collateral for the loan totals 2.1
million square feet (sf) and consists of a 400-key hotel, two Class
A office buildings, and an underground parking garage. The property
was built in 1991 and renovated in 2005. The loan was transferred
to special servicing at the borrower's request in November 2020
because of imminent default as a result of the pandemic. The loan
remains current, and negotiations for temporary relief are ongoing.
As of September 2021, the hotel was outperforming its competitive
set with a trailing three months (T-3) revenue per available room
(RevPAR) penetration figure of 105.1%.

The second-largest tenant at Key Center Cleveland, Squire Patton
Boggs (11.0% of the NRA), has a lease expiry in April 2022. If the
tenant does not renew its lease, the property's vacancy rate will
increase to 21.4%. The property's largest tenant, KeyBank (31.8% of
the net rentable area (NRA), expiring June 2030), downsized by
44,000 sf (3.2% of the NRA) in July 2020 after giving the required
12 months' notice and paying a $2.1 million fee. While there is a
three-year lockout before the tenant can contract its footprint
further, KeyBank retains two more identical options, allowing the
tenant to downsize by 103,000 sf total. However, the termination
fees for the other two options would be approximately $3.0 million
combined to be deposited into reserves.

The second-largest specially serviced loan, Marriott Spartanburg
(Prospectus ID#9, 2.6% of the pool), is secured by a 247-room,
full-service hotel in Spartanburg, South Carolina. The loan
transferred to special servicing in July 2020 for payment default
and remains delinquent with negotiations between the borrower and
servicer ongoing. Per the T-3 ended September 30, 2021 STR report,
the property's occupancy was 52.8%, compared with its competitive
set's average occupancy rate of 65.7%. Overall, the subject was
underperforming its competitive set with a T-3 ended September 30,
2021, RevPAR penetration rate of 93.7%. As of June 2021, the
property was appraised at a value of $26.2 million, reflecting a
34.7% decline from the issuance value of $40.1 million.

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



CHNGE MORTGAGE 2022-1: DBRS Gives Prov. B Rating on Class B2 Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2022-1 to be issued by CHNGE
Mortgage Trust 2022-1 (CHNGE 2022-1 or the Trust):

-- $238.3 million Class A-1 at A (sf)
-- $16.5 million Class M-1 at BBB (sf)
-- $15.3 million Class B-1 at BB (sf)
-- $12.9 million Class B-2 at B (sf)

The A (sf) rating on the Class A-1 Certificates reflects 19.85% of
credit enhancement provided by subordinated Certificates. The BBB
(sf), BB (sf), and B (sf) ratings reflect 14.30%, 9.15%, and 4.80%
of credit enhancement, respectively.

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

This is a securitization of a portfolio of fixed- and
adjustable-rate expanded prime first-lien residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 530 mortgage loans with a total principal balance of
$297,255,384 as of the Cut-Off Date (January 1, 2022).

CHNGE 2022-1 represents the first securitization issued by the
Sponsor, Change Lending, LLC (Change). All the loans in the pool
were originated by Change, which is certified by the U.S.
Department of the Treasury as a Community Development Financial
Institution (CDFI). As a CDFI, Change is required to lend at least
60% of its production to certain target markets, which include
low-income borrowers or other underserved communities.

While loans originated by a CDFI are not required to comply with
the Consumer Financial Protection Bureau's Qualified Mortgage and
Ability-to-Repay rules, the mortgages included in this pool were
made to generally creditworthy borrowers with near-prime credit
scores, low loan-to-value ratios (LTVs), and robust reserves.

The loans in the pool were underwritten through Change's Community
Mortgage (92.6%) and E-Z Prime (7.4%) programs, both of which are
considered weaker than other origination programs because income
documentation verification is not required. Generally, underwriting
practices of these programs focus on borrower credit, borrower
equity contribution, housing payment history, and liquid reserves
relative to monthly mortgage payments. Because post-2008 crisis
historical performance is limited on these products, DBRS
Morningstar applied additional assumptions to increase the expected
losses for the loans in its analysis.

On or after the earlier of (1) the distribution date occurring in
January 2025 and (2) the date on which the aggregate stated
principal balance of the loans falls to 30% or less of the Cut-Off
Date balance, at its option, the Depositor may redeem all of the
outstanding certificates at the redemption price (par plus
interest). Such optional redemption may be followed by a qualified
liquidation, which requires (1) a complete liquidation of assets
within the Trust and (2) proceeds to be distributed to the
appropriate holders of regular or residual interests.

The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 or more days
delinquent (not related to a Coronavirus Disease (COVID-19)
forbearance) under the Mortgage Bankers Association method at par
plus interest, provided that such purchases in aggregate do not
exceed 7.5% of the total principal balance as of the Cut-Off Date.

Change serves as the Servicer for the transaction, and LoanCare,
LLC is the Subservicer. The Servicer will fund advances of
delinquent principal and interest (P&I) on any mortgage until such
loan becomes 90 days delinquent, contingent upon recoverability
determination. The Servicer is also obligated to make advances in
respect of taxes, insurance premiums, and reasonable costs incurred
in the course of servicing and disposing of properties.

This transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on
certificates, but such shortfalls on the Class M-1 Certificates and
more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired. Furthermore, excess
spread can be used to cover realized losses and prior period bond
writedown amounts first before being allocated to unpaid cap
carryover amounts to Class A-1 down to Class M-1.

Under the U.S. Risk Retention Rules, CDFI loans fall within the
definition of community-focused residential mortgages. A
securitization transaction containing only community-focused
residential mortgages is exempt under the U.S. Risk Retention Rules
and, accordingly, the Sponsor will not be required to retain any
credit risk under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder. Notwithstanding
the exemption, Change has elected to retain the Class B-3, A-IO-S,
and XS Certificates.

Coronavirus Pandemic Impact

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

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

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



CITIGROUP 2015-GC29: Fitch Rates Class F Certs 'B-'
---------------------------------------------------
Fitch Ratings has affirmed 13 classes of Citigroup Commercial
Mortgage Trust series 2015-GC29 commercial mortgage pass-through
certificates. The Rating Outlooks for two classes have been revised
to Stable from Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
CGCMT 2015-GC29

A-3 17323VAY1    LT AAAsf   Affirmed    AAAsf
A-4 17323VAZ8    LT AAAsf   Affirmed    AAAsf
A-AB 17323VBB0   LT AAAsf   Affirmed    AAAsf
A-S 17323VBC8    LT AAAsf   Affirmed    AAAsf
B 17323VBD6      LT AA-sf   Affirmed    AA-sf
C 17323VBE4      LT A-sf    Affirmed    A-sf
D 17323VAA3      LT BBB-sf  Affirmed    BBB-sf
E 17323VAC9      LT BBsf    Affirmed    BBsf
F 17323VAE5      LT B-sf    Affirmed    B-sf
PEZ 17323VBH7    LT A-sf    Affirmed    A-sf
X-A 17323VBF1    LT AAAsf   Affirmed    AAAsf
X-B 17323VBG9    LT AA-sf   Affirmed    AA-sf
X-D 17323VAL9    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Improved Loss Expectations: Overall performance and base case loss
expectations for the pool have improved since the last rating
action. The Rating Outlook revisions to Stable reflect lower
expected base case losses. Performance on properties impacted by
the pandemic has stabilized, including 170 Broadway. The loan has
become current and is transferring back to the master servicer. One
hotel loan, Crowne Plaza Bloomington (1.4%), was in special
servicing at the prior review paid in full.

Fitch's current ratings reflect a base case loss of 5.1%. There are
11 Fitch Loans of Concern (FLOCs; 21% of pool) including the
specially serviced loan, 170 Broadway (5.4%). These loans were
flagged due to high vacancy, low debt service coverage ratio
(DSCR), upcoming rollover concerns and/or pandemic-related
underperformance.

Fitch Loans of Concern: The largest FLOC and largest contributor to
expected losses, Parkchester Commercial (6.5%), is collateralized
by a 541,232-sf, retail/office mixed-use property located in the
Bronx, NY. The largest tenant Macy's (31.5%), extended their lease
to March 2024 from March 2022. Servicer reported YE 2020 NOI has
increased by 15% compared to YE 2019 NOI DSCR but has declined by
31% compared to issuance, mainly due to increasing expenses,
particularly real estate taxes and repairs and maintenance.
Occupancy has remained relatively stable at the property and is 89%
at September 2021 compared to 93% at December 2020, 94% as of
September 2019 and 93% at issuance. The NOI DSCR as of September
2021 was 1.11x compared to 1.31x at YE 2020, 1.14x at YE 2019,
1.14x at YE 2018, 1.61x at YE 2017 and 1.92x at issuance. Fitch's
analysis included a 20% stress to the YE 2020 NOI due to the
decline in annualized September 2021 NOI, upcoming tenant rollover
in 2022, and Macy's lease expiration before the loan maturity,
which resulted in an approximate 13% loss severity.

The second largest contributor to expected losses, 170 Broadway
(5.4%), is secured by a 16,135-sf, single-tenant retail condominium
that is 100% occupied by the Gap. The Gap's lease extends until
February 2030, and the YE 2020 NOI DSCR was 1.00x versus YE 2019
NOI DSCR of 1.54x. The drop in DSCR was due to the interest only
period expiring after five years. According to the servicer, the
litigation between the borrower and tenant over whether the tenant
is responsible for rental payments during pandemic restrictions has
been resolved and Gap has paid back all past due rent.
Additionally, the loan has returned to master servicing with an
effective date of Dec. 31, 2021.

Fitch's analysis included a 5% stress to the YE 2020 NOI which
resulted in an approximate 15% loss severity, or a recovery of
$3,600 psf. The expected losses improved since the last rating
action as the litigation has been settled and Gap is current on
payments. However, per the company website, the retailer has not
reopened at this location.

Improved Credit Enhancement (CE): CE has increased since issuance
due to loan payoffs and scheduled amortization. As of the January
2022 distribution date, the pool's aggregate principal balance has
been reduced by 19.1% to $905.3 million from $1.12 billion at
issuance. Eight loans have paid off since issuance, including the
fourth largest loan, Apollo Education Group Headquarters, formerly
$91.5 million. Four loans, approximately 38.0% of the pool, are
full-term IO, including the three largest loans in the pool. All of
the partial-term, IO loans (46.8%) are now amortizing. Fourteen
loans (20.2%) are fully defeased, up from 10 loans (15.7%) at the
prior review, including the third largest loan. All remaining loans
mature from March 2024 through April 2025. There has been $3.76
million of realized losses from two loans liquidating since
issuance.

Alternative Loss Considerations: Fitch ran an additional
sensitivity scenario which applied higher losses on the Residence
Inn Orangeburg as asset performance continues to be impacted by the
pandemic. Sensitivity losses of 8% were applied based on a 26%
stress to YE 2019; however, the additional losses did not impact
the ratings.

Coronavirus Exposure: Approximately 17.4% of the loans in the pool
are secured by retail properties, including 170 Broadway (5.4%),
which is in the process of transferring back to the master
servicer. Other property type concentrations include office at
23.5%, mixed use at 19.3%, multifamily at 11%, and hotel at 3.5%.

Pari Passu Loans: Three loans comprising 30.3% of the pool are part
of a pari passu loan combination: Selig Office Portfolio (13.8% of
the pool), 3 Columbus Circle (11.1% of the pool), and 170 Broadway
(5.4% of the pool). The Selig Office Portfolio and 170 Broadway
loan combinations are serviced under the pooling and servicing
agreement for this transaction. The controlling notes for the 3
Columbus Circle are held outside the trust.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool level losses
    from underperforming or specially serviced loans. Downgrades
    to the 'AAAsf' and 'AA-sf' categories are not likely due to
    the high CE and amortization, but may occur should interest
    shortfalls impact the classes.

-- Downgrades to the 'BBB-sf' and A-sf' category would occur
    should overall pool losses increase significantly and/or one
    or more large loans have an outsized loss, which would erode
    CE. Downgrades to the 'BBsf' and 'B-sf' categories would occur
    should loss expectations increase and/or if performance of the
    FLOCs or loans vulnerable to the pandemic fail to stabilize or
    additional loans default and/or transfer to the special
    servicer.

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

-- Upgrades would occur with stable to improved asset performance
    coupled with pay down and/or defeasance. Upgrades of the 'AA-
    sf' and 'A-sf' categories would likely occur with significant
    improvement in CE and/or defeasance; however, adverse
    selection, increased concentrations and further
    underperformance of the FLOCs could cause this trend to
    reverse.

-- Upgrades to the 'BBB-sf' and 'BBsf' categories may occur as
    the number of FLOCs are reduced, properties vulnerable to the
    pandemic further stabilize and/or return to pre-pandemic
    levels and there is sufficient CE to the classes. Classes
    would not be upgraded above 'Asf' if there were likelihood for
    interest shortfalls.

-- Upgrades to the 'B-sf' categories are not likely until the
    later years in a transaction, and only if the performance of
    the remaining pool is stable and/or properties vulnerable to
    the pandemic return to pre-pandemic levels, and there is
    sufficient CE to the classes.

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

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

ESG CONSIDERATIONS

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


CITIGROUP 2022-J1: Fitch Gives 'B+(EXP)' Rating to Class B-5 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Citigroup Mortgage
Loan Trust 2022-J1 (CMLTI 2022-J1).

DEBT                 RATING
----                 ------
CMLTI 2022-J1

A-1       LT AAA(EXP)sf   Expected Rating
A-1-IO    LT AAA(EXP)sf   Expected Rating
A-1-IOX   LT AAA(EXP)sf   Expected Rating
A-1A      LT AAA(EXP)sf   Expected Rating
A-1-IOW   LT AAA(EXP)sf   Expected Rating
A-1W      LT AAA(EXP)sf   Expected Rating
A-2       LT AAA(EXP)sf   Expected Rating
A-2-IO    LT AAA(EXP)sf   Expected Rating
A-2-IOX   LT AAA(EXP)sf   Expected Rating
A-2A      LT AAA(EXP)sf   Expected Rating
A-2-IOW   LT AAA(EXP)sf   Expected Rating
A-2W      LT AAA(EXP)sf   Expected Rating
A-3       LT AAA(EXP)sf   Expected Rating
A-3-IO    LT AAA(EXP)sf   Expected Rating
A-3-IOX   LT AAA(EXP)sf   Expected Rating
A-3A      LT AAA(EXP)sf   Expected Rating
A-3-IOW   LT AAA(EXP)sf   Expected Rating
A-3W      LT AAA(EXP)sf   Expected Rating
A-4       LT AAA(EXP)sf   Expected Rating
A-4-IO    LT AAA(EXP)sf   Expected Rating
A-4-IOX   LT AAA(EXP)sf   Expected Rating
A-4A      LT AAA(EXP)sf   Expected Rating
A-4-IOW   LT AAA(EXP)sf   Expected Rating
A-4W      LT AAA(EXP)sf   Expected Rating
A-5       LT AAA(EXP)sf   Expected Rating
A-5-IO    LT AAA(EXP)sf   Expected Rating
A-5-IOX   LT AAA(EXP)sf   Expected Rating
A-5A      LT AAA(EXP)sf   Expected Rating
A-5-IOW   LT AAA(EXP)sf   Expected Rating
A-5W      LT AAA(EXP)sf   Expected Rating
A-6       LT AAA(EXP)sf   Expected Rating
A-6-IO    LT AAA(EXP)sf   Expected Rating
A-6-IOX   LT AAA(EXP)sf   Expected Rating
A-6A      LT AAA(EXP)sf   Expected Rating
A-6-IOW   LT AAA(EXP)sf   Expected Rating
A-6W      LT AAA(EXP)sf   Expected Rating
A-7       LT AAA(EXP)sf   Expected Rating
A-7-IO    LT AAA(EXP)sf   Expected Rating
A-7-IOX   LT AAA(EXP)sf   Expected Rating
A-7A      LT AAA(EXP)sf   Expected Rating
A-7-IOW   LT AAA(EXP)sf   Expected Rating
A-7W      LT AAA(EXP)sf   Expected Rating
A-8       LT AAA(EXP)sf   Expected Rating
A-8-IO    LT AAA(EXP)sf   Expected Rating
A-8-IOX   LT AAA(EXP)sf   Expected Rating
A-8A      LT AAA(EXP)sf   Expected Rating
A-8-IOW   LT AAA(EXP)sf   Expected Rating
A-8W      LT AAA(EXP)sf   Expected Rating
A-11      LT AAA(EXP)sf   Expected Rating
A-11-IO   LT AAA(EXP)sf   Expected Rating
A-12      LT AAA(EXP)sf   Expected Rating
B-1       LT AA-(EXP)sf   Expected Rating
B-1-IO    LT AA-(EXP)sf   Expected Rating
B-1-IOX   LT AA-(EXP)sf   Expected Rating
B-1-IOW   LT AA-(EXP)sf   Expected Rating
B-1W      LT AA-(EXP)sf   Expected Rating
B-2       LT A-(EXP)sf    Expected Rating
B-2-IO    LT A-(EXP)sf    Expected Rating
B-2-IOX   LT A-(EXP)sf    Expected Rating
B-2-IOW   LT A-(EXP)sf    Expected Rating
B-2W      LT A-(EXP)sf    Expected Rating
B-3       LT BBB-(EXP)sf  Expected Rating
B-3-IO    LT BBB-(EXP)sf  Expected Rating
B-3-IOX   LT BBB-(EXP)sf  Expected Rating
B-3-IOW   LT BBB-(EXP)sf  Expected Rating
B-3W      LT BBB-(EXP)sf  Expected Rating
B-4       LT BB+(EXP)sf   Expected Rating
B-5       LT B+(EXP)sf    Expected Rating
B-6       LT NR(EXP)sf    Expected Rating
A-IO-S    LT NR(EXP)sf    Expected Rating
R         LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Citigroup Mortgage Loan Trust 2022-J1 (CMLTI
2022-J1) as indicated. The certificates are supported by 402
fixed-rate mortgages (FRMs) with a total balance of approximately
$351.0 million as of the cutoff date. The loans were originated by
various mortgage originators, and Fay Servicing, LLC (Fay) will be
the servicer. Distributions of principal and interest (P&I) and
loss allocations are based on a traditional senior-subordinate,
shifting-interest structure.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.2% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality, 30-year fixed-rate, fully amortizing safe-harbor
qualified mortgage (SHQM) loans to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves. Per
Fitch's calculation methodology, the loans are seasoned an average
of 7.1 months. The pool has a weighted average (WA) original FICO
score of 775, which is indicative of very high credit-quality
borrowers. Approximately 84.6% of the loans have an original FICO
score of 750 or above. In addition, the original WA combined loan
to value ratio (CLTV) of 67.7% represents substantial borrower
equity in the property and reduced default risk.

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

Full Advancing (Mixed): Citigroup Global Markets Realty Corp.
(CGMRC) will provide full advancing for the life of the
transaction. To the extent CGMRC fails to make an advance, U.S.
Bank, as Trust Administrator, will be obligated to advance such
amounts to the trust. While this helps the liquidity of the
structure, it also increases the expected loss due to unpaid
servicer advances.

Subordination Floor (Positive): A CE or senior subordination floor
of 1.10% has been considered to mitigate potential tail-end risk
and loss exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, the stepdown tests do
not allow principal prepayments to subordinate bondholders in the
first five years following deal closing.

RATING SENSITIVITIES

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model-projected 42.4% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence described in
Form 15E focused on credit, compliance, data integrity, and
property valuation . Fitch considered this information in its
analysis and it did not have an effect on Fitch's analysis or
conclusions.

The entirety (100%) of the pool received a final grade of 'A' or
'B', which confirms no incidence of material exceptions.

ESG CONSIDERATIONS

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


CITIGROUP COMMERCIAL 2017-P7: Fitch Lowers Class F Certs to 'CC'
----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 19 classes of
Citigroup Commercial Mortgage Trust 2017-P7 commercial mortgage
pass-through certificates, series 2017-P7.

    DEBT               RATING            PRIOR
    ----               ------            -----
CGCMT 2017-P7

A-2 17325HBM5     LT AAAsf  Affirmed     AAAsf
A-3 17325HBN3     LT AAAsf  Affirmed     AAAsf
A-4 17325HBP8     LT AAAsf  Affirmed     AAAsf
A-AB 17325HBQ6    LT AAAsf  Affirmed     AAAsf
A-S 17325HBR4     LT AAAsf  Affirmed     AAAsf
B 17325HBS2       LT AA-sf  Affirmed     AA-sf
C 17325HBT0       LT A-sf   Affirmed     A-sf
D 17325HAA2       LT BB-sf  Affirmed     BB-sf
E 17325HAC8       LT CCCsf  Downgrade    B-sf
F 17325HAE4       LT CCsf   Downgrade    CCCsf
V-2A 17325HAN4    LT AAAsf  Affirmed     AAAsf
V-2B 17325HAQ7    LT AA-sf  Affirmed     AA-sf
V-2C 17325HAS3    LT A-sf   Affirmed     A-sf
V-2D 17325HAU8    LT BB-sf  Affirmed     BB-sf
V-3AB 17325HAY0   LT AA-sf  Affirmed     AA-sf
V-3C 17325HBA1    LT A-sf   Affirmed     A-sf
V-3D 17325HBC7    LT BB-sf  Affirmed     BB-sf
X-A 17325HBU7     LT AAAsf  Affirmed     AAAsf
X-B 17325HBV5     LT AA-sf  Affirmed     AA-sf
X-C 17325HBW3     LT A-sf   Affirmed     A-sf
X-D 17325HAJ3     LT BB-sf  Affirmed BB-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades reflect a greater
certainty of loss due to higher loss expectations for the pool
since Fitch's last rating action, primarily driven by continued
pandemic-related underperformance for some of the Fitch Loans of
Concern (FLOCs). Fifteen loans (38.2% of the pool) are designated
as FLOCs, including seven specially serviced loans (15%).

Fitch's current ratings reflect a base case loss of 8.10%. The
Negative Outlooks reflect losses that could reach 8.50% after
factoring additional stresses on two hotel loans to account for the
ongoing business disruption as a result of the pandemic, as well as
a potential outsized loss on the 19000 Homestead loan due to the
upcoming rollover of the single tenant.

Fitch Loans of Concern/Specially Serviced Loans: The largest
contributor to Fitch's overall loss expectations and the largest
increase in loss since the prior rating action is the 229 West 43rd
Street Retail Condo loan (3.1% of the pool), which is secured by a
245,132-sf retail condominium located in Manhattan's Time Square
district. The loan transferred to special servicing in December
2019 for imminent monetary default.

The property has been affected by the coronavirus pandemic as it
caters to entertainment and tourism, in addition to tenancy issues
that began prior to the pandemic. A receiver was appointed in March
2021 and foreclosure has been filed; per the servicer, foreclosure
is not projected to occur until mid- to late-2022 due to the delays
in New York City courts.

Multiple lease sweep periods have occurred related to the majority
of the tenants, triggering a cash flow sweep since December 2017.
Additionally, the OHM food hall concept contemplated at issuance
failed to open at the property. Three tenants, National Geographic,
Gulliver's Gate and Guitar Center (combined, 54% of the NRA), have
vacated the property; as a result, occupancy declined to 41% as of
the October 2021 rent roll from 52% in October 2020. Per the
special servicer, Los Tacos and The Ribbon are currently paying
reduced rents under recently approved lease modifications. A lease
modification for Haru is forthcoming and one for Bowlmor is being
negotiated.

The property had been benefiting from an Industrial Commercial
Incentive Program (ICIP) tax abatement, which began to burn off in
the 2017-2018 tax year by 20% per year. The loan exposure continues
to increase due to servicer advances. Fitch's base case loss of 78%
reflects a stressed value of $335 psf.

The second largest contributor to increased loss expectations,
Tower at OPOP (2.1% of the pool), is secured by a 128-unit luxury
multifamily property located in St. Louis, MO. Property performance
has been steadily declining since issuance, and attributable to
increasing rental concessions coupled with the lower occupancy.
Occupancy fell to 89% as of June 2021 from 90% at YE 2020 and 97%
at YE 2019. As of June 2021, NOI DSCR declined to 0.93x from 1.18x
at YE 2020, 1.12x at YE 2019 and 1.30x at YE 2018. Fitch's base
case loss of 38% reflects a 5% haircut to the YE 2020 NOI.

The third largest contributor to increased loss expectations,
Cascade Village (5.1% of the pool), is secured by a 367,856-sf
anchored retail center located in Bend, OR. Property occupancy has
declined to 79.5% as of September 2021 from 80.4% at YE 2020 and
97.9% at YE 2019. Multiple tenants have vacated at or ahead of
lease expiration, including JCPenney (previously 13.9% of NRA) in
2020. YE 2020 NOI declined 19.5% from 2019 driven by the lower
occupancy as well as concessions offered to tenants related to the
pandemic.

Per the master servicer, those tenants that received rent relief
have been paying back their deferred rent starting in January 2021
in monthly installments. Occupancy and cash flow are also expected
to improve as Ashley Furniture is taking over the former JCPenney
space and moving out of its current space at the center (4.2% of
NRA). Fitch's base case loss of 8% reflects a 9.25% cap rate to the
annualized September 2021 NOI.

Increased Credit Enhancement: Since Fitch's last rating action, two
loans (previously 4.4% of the pool) paid off in full at maturity.
The largest loan in the pool, Mack-Cali Short Hills Office
Portfolio (7.8% of the pool), is defeased. As of the January 2022
remittance, the transaction's balance has been reduced by 4.3% to
$960 million from $1.02 billion at issuance. Sixteen loans (46.8%)
have are full-term interest only (IO), including eight loans
(32.7%) within the top 15. Fifteen loans (37.8%) had partial IO
payments at issuance, including five loans (22.2%) in the top 15.
Nine of the fifteen partial IO loans have begun amortizing.

Upcoming Maturities: Two loans (5.1% of the pool) have upcoming
maturity dates in 2022, including the fifteenth largest loan
Goodlett Farms Business Campus (2.6%) and Urban Union - Amazon
(2.5%, which received a credit opinion of 'AAsf*' at issuance).

Additional Loss Consideration: Fitch performed a sensitivity
scenario that applied an additional stress to the pre-pandemic cash
flow for two hotel loans given significant pandemic-related 2020
NOI declines and a potential outsized loss of approximately 7% to
the 19000 Homestead loan, reflecting the possibility that the
single tenant, Kaiser Health, does not renew its lease in February
2023; this loss severity on 19000 Homestead incorporates Fitch's
issuance dark value of the property of $35.4 million ($353 psf).
This scenario, as well as performance concerns on a large
percentage of FLOCs as they further stabilize, contributed to
maintaining the Negative Outlooks on classes A-S through D.

Single Tenant Exposure: Six loans (20.2% of the pool) are secured
by properties which are 100% occupied by a single tenant.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to the super
    senior 'AAAsf' rated classes are not likely due to the
    position in the capital structure, but may occur should
    interest shortfalls affect these classes. Downgrades to the
    junior 'AAAsf' and 'AA-sf' rated classes are possible should
    expected losses for the pool increase significantly, all of
    the FLOCs and loans susceptible to the coronavirus pandemic
    suffer losses and/or interest shortfalls occur.

-- Downgrades to the 'A-sf' and 'BB-sf' rated classes are
    possible should loss expectations increase due to continued
    performance declines and/or lack of stabilization on the
    FLOCs, additional loans transfer to special servicing and/or
    the specially serviced loans experience higher than expected
    losses upon resolution. Further downgrades to the distressed
    rated classes E and F will occur with further certainty of
    losses and/or actual losses are incurred.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with paydown and/or defeasance. Upgrades of the
    'A-sf' and 'AA-sf' categories would only occur with
    significant improvement in CE and/or defeasance and with the
    stabilization of performance on the FLOCs; however, adverse
    selection, increased concentrations and further
    underperformance of the larger FLOCs or loans affected by the
    coronavirus pandemic could cause this trend to reverse.

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


COLT 2022-1: Fitch Assigns Final B Rating on Class B-2 Certs
------------------------------------------------------------
Fitch Ratings assigns final ratings to the residential
mortgage-backed certificates to be issued by COLT 2022-1 Mortgage
Loan Trust (COLT 2022-1).

DEBT          RATING              PRIOR
----          ------              -----
COLT 2022-1

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

TRANSACTION SUMMARY

The certificates are supported by 656 loans with a total balance of
approximately $347 million as of the cutoff date. Loans in the pool
were originated by multiple originators and aggregated by Hudson
Americas L.P. A majority of loans are currently, or will be,
serviced by Select Portfolio Servicing, Inc., with a smaller
portion serviced by Northpointe Bank.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.3% above a long-term sustainable level (vs.
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.1% yoy nationally as of October 2021.

Non-QM Credit Quality (Negative): The collateral consists of 656
loans, totaling $347 million, and seasoned approximately five
months in aggregate (as calculated as the difference between
origination date and cutoff date). The borrowers have a moderate
credit profile (738 model FICO and 42% model debt to income ratio
[DTI]) and leverage (79% sustainable loan to value ratio [LTV] and
72% combined LTV).

The pool consists of 50.9% of loans where the borrower maintains a
primary residence, while 49.1% comprise an investor property or
second home. Additionally, 14.2% of the loans were originated
through a retail channel and 57.2% are non-qualified mortgage
(non-QM); for the remainder, the QM rule does not apply.

Loan Documentation (Negative): Approximately 85.2% of the pool were
underwritten to less than full documentation, and 44% were
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protections Bureau's Ability
to Repay Rule (ATR, the Rule), which reduces the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to rigor of the Rule's mandates
with respect to the underwriting and documentation of the
borrower's ATR.

Additionally, 37% are a debt service coverage ratio (DSCR) product
which is available to real estate investors that are qualified on a
cash flow or "no-ratio" basis, rather than DTI, and borrower income
and employment are not verified.

Fitch's treatment of alternative loan documentation increased the
'AAAsf' expected loss by 576bps relative to a fully documented loan
in line with Appendix Q.

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

Limited Advancing (Mixed): Advances of delinquent P&I will be made
on the mortgage loans for the first 180 days of delinquency, to the
extent such advances are deemed recoverable. If the P&I advancing
party fails to make a required advance, the master servicer (Wells
Fargo) will be obligated to make such advance.

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

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

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

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

RATING SENSITIVITIES

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

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model projected 41.3% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s)
to its analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed. This adjustment(s)
resulted in a 43bps reduction to the 'AAAsf' expected loss.

DATA ADEQUACY

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

ESG CONSIDERATIONS

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


CONNECTICUT AVE 2022-R02: Fitch Gives B+(EXP) Rating to 4 Tranches
------------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to
Fannie Mae's risk transfer transaction, Connecticut Avenue
Securities Trust, series 2022-R02 (CAS 2022-R02).

DEBT               RATING
----               ------
CAS 2022-R02

2-J1    LT BB(EXP)sf    Expected Rating
2-J2    LT BB(EXP)sf    Expected Rating
2-J3    LT BB(EXP)sf    Expected Rating
2-J4    LT BB(EXP)sf    Expected Rating
2-K1    LT BB(EXP)sf    Expected Rating
2-K2    LT BB(EXP)sf    Expected Rating
2-K3    LT BB(EXP)sf    Expected Rating
2-K4    LT BB(EXP)sf    Expected Rating
2-X1    LT BB+(EXP)sf   Expected Rating
2-X2    LT BB+(EXP)sf   Expected Rating
2-X3    LT BB+(EXP)sf   Expected Rating
2-X4    LT BB+(EXP)sf   Expected Rating
2-Y1    LT BB(EXP)sf    Expected Rating
2-Y2    LT BB(EXP)sf    Expected Rating
2-Y3    LT BB(EXP)sf    Expected Rating
2-Y4    LT BB(EXP)sf    Expected Rating
2A-H    LT NR(EXP)sf    Expected Rating
2A-I1   LT BBB-(EXP)sf  Expected Rating
2A-I2   LT BBB-(EXP)sf  Expected Rating
2A-I3   LT BBB-(EXP)sf  Expected Rating
2A-I4   LT BBB-(EXP)sf  Expected Rating
2B-1    LT B+(EXP)sf    Expected Rating
2B-1A   LT BB(EXP)sf    Expected Rating
2B-1B   LT B+(EXP)sf    Expected Rating
2B-1X   LT B+(EXP)sf    Expected Rating
2B-1Y   LT B+(EXP)sf    Expected Rating
2B-2    LT NR(EXP)sf    Expected Rating
2B-2H   LT NR(EXP)sf    Expected Rating
2B-2X   LT NR(EXP)sf    Expected Rating
2B-2Y   LT NR(EXP)sf    Expected Rating
2B-3H   LT NR(EXP)sf    Expected Rating
2B-AH   LT NR(EXP)sf    Expected Rating
2B-BH   LT NR(EXP)sf    Expected Rating
2B-I1   LT BB+(EXP)sf   Expected Rating
2B-I2   LT BB+(EXP)sf   Expected Rating
2B-I3   LT BB+(EXP)sf   Expected Rating
2B-I4   LT BB+(EXP)sf   Expected Rating
2C-I1   LT BB(EXP)sf    Expected Rating
2C-I2   LT BB(EXP)sf    Expected Rating
2C-I3   LT BB(EXP)sf    Expected Rating
2C-I4   LT BB(EXP)sf    Expected Rating
2E-A1   LT BBB-(EXP)sf  Expected Rating
2E-A2   LT BBB-(EXP)sf  Expected Rating
2E-A3   LT BBB-(EXP)sf  Expected Rating
2E-A4   LT BBB-(EXP)sf  Expected Rating
2E-B1   LT BB+(EXP)sf   Expected Rating
2E-B2   LT BB+(EXP)sf   Expected Rating
2E-B3   LT BB+(EXP)sf   Expected Rating
2E-B4   LT BB+(EXP)sf   Expected Rating
2E-C1   LT BB(EXP)sf    Expected Rating
2E-C2   LT BB(EXP)sf    Expected Rating
2E-C3   LT BB(EXP)sf    Expected Rating
2E-C4   LT BB(EXP)sf    Expected Rating
2E-D1   LT BB+(EXP)sf   Expected Rating
2E-D2   LT BB+(EXP)sf   Expected Rating
2E-D3   LT BB+(EXP)sf   Expected Rating
2E-D4   LT BB+(EXP)sf   Expected Rating
2E-D5   LT BB+(EXP)sf   Expected Rating
2E-F1   LT BB(EXP)sf    Expected Rating
2E-F2   LT BB(EXP)sf    Expected Rating
2E-F3   LT BB(EXP)sf    Expected Rating
2E-F4   LT BB(EXP)sf    Expected Rating
2E-F5   LT BB(EXP)sf    Expected Rating
2M-1    LT BBB(EXP)sf   Expected Rating
2M-1H   LT NR(EXP)sf    Expected Rating
2M-2    LT BB(EXP)sf    Expected Rating
2M-2A   LT BBB-(EXP)sf  Expected Rating
2M-2B   LT BB+(EXP)sf   Expected Rating
2M-2C   LT BB(EXP)sf    Expected Rating
2M-2X   LT BB(EXP)sf    Expected Rating
2M-2Y   LT BB(EXP)sf    Expected Rating
2M-AH   LT NR(EXP)sf    Expected Rating
2M-BH   LT NR(EXP)sf    Expected Rating
2M-CH   LT NR(EXP)sf    Expected Rating

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.9% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with growth in prices, which is the result of a supply/demand
imbalance driven by low inventory, low mortgage rates and new
buyers entering the market. These trends have led to significant
home price increases over the past year, with home prices rising
19.7% yoy nationally as of September 2021.

Strong Credit Quality (Positive): The reference pool consists of
149,393 loans, totaling $44,278 million, and seasoned approximately
eight months in aggregate. The borrowers have a strong credit
profile (748 FICO and 36% debt to income [DTI] ratio) with high
leverage (91% sustainable loan to value [sLTV]). The pool consists
of 96.9% of loans where the borrower maintains a primary residence,
while 3.1% is an investor property or second home. Additionally,
62.4% of the loans were originated through a retail channel. The
loans were acquired by Fannie Mae between Jan. 1, 2021 and April
30, 2021, and have original LTV ratios of over 80% to up to 97%.

Advantageous Payment Priority and Cash Flow Structure (Positive):
Generally, principal will be allocated pro rata between the senior
2A-H tranche and the subordinated classes. If the minimum credit
enhancement (CE) test and the delinquency test are both satisfied,
total principal will be allocated pro rata between the senior and
subordinate tranches (paid sequentially within the subordinate
tranches). Otherwise, if either the minimum CE test or the
delinquency test is not satisfied, 100% of the scheduled and
unscheduled principal will be allocated to the senior tranche and
then to the subordinate tranches.

The payment priority of class 2M-1 notes will result in a shorter
life and more stable CE than the mezzanine classes in private-label
(PL) RMBS, providing a relative credit advantage. Unlike PL
mezzanine RMBS, which often do not receive a full pro-rata share of
the pool's unscheduled principal payment until year 10, the 2M-1
notes can receive a full pro-rata share of principal as long as a
minimum CE is met and the delinquency test is satisfied.

CAS 2022-R02 has an ESG Relevance Score of '4+' for Human Rights,
Community Relations and Access and Affordability, as CAS is a GSE
program that addresses access and affordability while driving
strong performance, which has a positive impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

RATING SENSITIVITIES

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model projected 42.8% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

CAS 2022-R02 has a Social Relevance Score of '4+' for Human Rights,
Community Relations, Access & Affordability due to CAS is a GSE
program that addresses access and affordability while driving
strong performance, which has a positive impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

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


CPS AUTO 2022-A: DBRS Gives Prov. BB Rating on Class E Notes
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by CPS Auto Receivables Trust 2022-A (the
Issuer):

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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



CPS AUTO 2022-A: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to CPS Auto Receivables
Trust 2022-A's asset-backed notes. The note issuance is an ABS
transaction backed by subprime auto loan receivables.

The ratings reflect:

-- The availability of approximately 56.6%, 48.5%, 38.3%, 29.8%,
and 24.0% of credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 3.20x, 2.70x, 2.10x, 1.60x, and 1.23x our
17.00%-18.00% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. In addition, the
credit enhancement, including excess spread, for classes A, B, C,
D, and E covers break-even cumulative gross losses of approximately
90.5%, 77.6%, 63.9%, 49.6%, and 40.0%, respectively.

-- The expectations that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, will be within the
credit stability limits specified by section A.4 of the Appendix
contained in "S&P Global Ratings Definitions," published Nov. 10,
2021.

-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization (O/C), a reserve account, and
excess spread for the class A through E notes.

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

-- The transaction's payment and credit enhancement structure,
which includes an incurable performance trigger.

  Ratings Assigned

  CPS Auto Receivables Trust 2022-A

  Class A, $157.740 million: AAA (sf)
  Class B, $46.695 million: AA (sf)
  Class C, $49.335 million: A (sf)
  Class D, $36.630 million: BBB (sf)
  Class E, $26.400 million: BB- (sf)



CSAIL 2016-C7: DBRS Lowers Class F Certs Rating to B(low)
---------------------------------------------------------
DBRS Limited downgraded six classes of Commercial Mortgage
Pass-Through Certificates, Series 2016-C7 issued by CSAIL 2016-C7
Commercial Mortgage Trust as follows:

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

In addition, DBRS Morningstar confirmed its ratings on the
remaining classes in the transaction, as listed below:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class B at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)

The trends for Classes C, D, X-E, E, X-F, and F are Negative. In
addition, DBRS Morningstar removed the Interest in Arrears
designation for Class F. All other trends remain Stable.

The rating downgrades and Negative trends reflect DBRS
Morningstar's adverse outlook and loss expectations for two
regional mall loans, Gurnee Mills (Prospectus ID#2, 10.2% of the
pool) and Peachtree Mall (Prospectus ID#7, 3.1% of the pool). Both
loans are being monitored on the servicer’s watchlist for
declines in operational performance and cash flow.

At issuance, the transaction consisted of 53 fixed-rate loans
secured by 199 commercial and multifamily properties, with a trust
balance of $767.6 million. According to the December 2021
remittance report, three loans have paid in full, leaving 50 loans
within the transaction. There has been a collateral reduction of
10.3% since issuance, lowering the trust balance to $688.9 million.
Defeasance has been minimal, with two small loans, representing
3.0% of the pool, defeased since issuance. According to the
December 2021 remittance, there have been no losses to the trust.

The transaction is concentrated by property type with loans backed
by retail, office, and multifamily properties, representing 41.6%,
25.6%, and 19.0% of the current trust balance, respectively.
According to the December 2021 remittance, two loans, representing
2.0% of the current trust balance, are in special servicing and 11
loans, representing 26.4% of the current trust balance, are on the
servicer's watchlist. These loans are on the watchlist for a
variety of reasons, including low debt service coverage ratios
(DSCRs), low occupancy, and tenant rollover concerns. The primary
rating drivers for this transaction are retail and lodging
properties, which continue to suffer from sustained downward
pressure on operational performance, stemming from ongoing
disruptions related to the Coronavirus Disease (COVID-19) pandemic.
Where applicable, DBRS Morningstar analyzed the specially serviced
and watchlisted loans with probability of default (POD) penalties
to increase the expected loss for this review.

The largest loan on the servicer's watchlist, Gurnee Mills, is
secured by a regional mall in Gurnee, Illinois, totalling 1.9
million square feet (sf), of which 1.68 million sf is part of the
collateral. Simon Property Group (Simon) owns and manages the
property. The loan transferred to special servicing in June 2020 at
the borrower's request because of imminent monetary default,
stemming from performance and operational challenges related to the
coronavirus pandemic. A forbearance agreement was executed, which
allowed Simon to defer debt service payments for a total of 10
months between May 2020 and February 2021, with subsequent
repayment over a two-year period beginning in March 2021. The loan
returned to the master servicer in May 2021 after Simon
successfully remitted three consecutive payments, as per the
forbearance agreement. The loan is currently cash managed, and
according to the December 2021 remittance report the excess cash
reserve balance is $2.8 million.

The financials for the trailing six-month period ended June 30,
2021, indicate a DSCR of 1.73 times (x), with a physical occupancy
rate of 75.4%, down from the YE2020 occupancy rate of 87%.
Occupancy has been suppressed since the loss of Sears Grand
(formerly 12.0% of net rentable area (NRA)) in 2018 and Rink Side
(formerly 3.3% of NRA) in 2021. DBRS Morningstar has been closely
monitoring this loan for several years because of the occupancy and
cash flow declines that were in place before the onset of the
pandemic, suggesting increased risks from issuance. The Sears Grand
vacancy has been outstanding for more than three years, and the
environment for re-leasing that space continues to be challenging
given the shifts in the retail landscape and the ongoing effects of
the coronavirus pandemic. The strong sponsorship and equity
contribution at issuance are noteworthy mitigating factors, but the
sponsor's commitment to the loan could be further stressed over the
near to moderate term.

The second-largest loan on the servicer's watchlist, Peachtree
Mall, is secured by a 536,202-sf portion of an 821,687-sf Class B
regional mall in Columbus, Georgia. The loan was added to the
servicer's watchlist in October 2021 for a decline in the DSCR,
which fell to 1.34x as of September 2021 from 1.54x in 2019. The
decline can be attributed to a drop in base rents, which have been
falling year over year as evidenced by a 7.9% decline in 2020 and a
18.1% decline in 2021. The property also suffers from near-term
lease rollover risks with 11% of its leases expiring within the
next 12 months and 23% of leases expiring over the next two years.
In addition, the property's tenant base largely comprises small to
mid-scale specialty tenants. Although the property has historically
operated at a stable occupancy rate, recent performance has shown
signs of softness. Consequently, the true market value of the
property has likely declined since 2016, when the property was
appraised at $140 million. It is currently unknown if the sponsor,
Brookfield Property Partners, considers the property to be a core
part of its portfolio. DBRS Morningstar believes the risk for this
loan has significantly increased from issuance and, as such, is
monitoring the loan on the DBRS Morningstar Hotlist. To reflect the
increased risk profile of this loan, both a POD adjustment and a
loan-to-value adjustment were employed in this analysis, whereby a
50% haircut was applied to the issuance appraisal value.

The largest specially serviced loan, Holiday Inn & Suites
Plantation (Prospectus ID#17, 1.6% of the pool), is secured by a
156-key limited-service lodging property in Plantation, Florida.
The loan fell delinquent on payments between April and May 2020.
The loan remains delinquent; however, property operations have
shown an improvement according to the June 2021 year-to-date
financials, which reveal a DSCR of 1.33x along with occupancy,
average daily rate, and revenue per available room figures of
83.4%, $94.75, and $79.40, respectively. The special servicer noted
that it is currently dual tracking settlement discussions and
enforcement of the lender's rights while considering a sale of the
collateral via an assumption. The property was reappraised in
August 2021 with a resulting value of $19.1 million, 27.3% higher
than its previous appraisal value of $15.0 million in November 2020
and 4.9% higher than the issuance appraisal value of $18.2 million.
Based on the updated appraisal value of $19.1 million, the loan
remains above water with implied market equity of $7.9 million
based on the outstanding loan balance of $11.2 million as of
December 2021. DBRS Morningstar believes the overall risk for this
loan remains moderate and will continue to monitor the loan for
updates and developments.

DBRS Morningstar maintains an investment-grade shadow rating on the
9 West 57th Street loan (Prospectus ID#3, 7.3% of the pool),
supported by the loans' strong credit metrics, strong sponsorship
strength, and historically stable collateral performance. With this
review, DBRS Morningstar confirms that the characteristics of this
loan remain consistent with the investment-grade shadow rating.

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



CSMC 2018-SP3: Fitch Corrects January 31 Ratings Release
--------------------------------------------------------
This is a correction of a release published Jan. 31, 2022. It
amends the series name in the headline.

Fitch Ratings has assigned ratings to CSMC 2018-SP3 Trust.

DEBT           RATING
----           ------
CSMC 2018-SP3

A        LT AAAsf  New Rating
A-1      LT AAAsf  New Rating
A-1-A    LT AAAsf  New Rating
A-1-X    LT AAAsf  New Rating
A-2      LT AAAsf  New Rating
A-3      LT A+sf   New Rating
B-1      LT AAAsf  New Rating
B-1-A    LT AAAsf  New Rating
B-1-IO   LT AAAsf  New Rating
B-1-X    LT AAAsf  New Rating
B-2      LT A+sf   New Rating
B-2-IO   LT A+sf   New Rating
B-3      LT NRsf   New Rating
B-3-IO   LT NRsf   New Rating
B-4      LT NRsf   New Rating
B-5      LT NRsf   New Rating
B-6      LT NRsf   New Rating
M-1      LT AAAsf  New Rating
M-1-A    LT AAAsf  New Rating
M-1-IO   LT AAAsf  New Rating
M-1-X    LT AAAsf  New Rating
M-2      LT AAsf   New Rating
M-2-A    LT AAsf   New Rating
M-2-IO   LT AAsf   New Rating
M-2-X    LT AAsf   New Rating
M-3      LT A+sf   New Rating
M-3-IO   LT A+sf   New Rating
M-4      LT BBBsf  New Rating
M-5      LT BBsf   New Rating
M-6      LT Bsf    New Rating
M-7      LT NRsf   New Rating
PT       LT NRsf   New Rating
X        LT NRsf   New Rating

TRANSACTION SUMMARY

CSMC 2018-SP3 is supported by a pool of re-performing mortgage
loans (RPL). The transaction was originally issued in 2018 and was
not rated at deal close. In tandem with this rating assignment, the
transaction is being modified to 1) allow principal collection to
be redirected to cover any potential interest shortfalls on the
'AAA' and 'AA' category rated bonds, 2) using interest payment
otherwise allocable to the class M-7 to fund an account that may be
used for potential repurchases and 3) adding certain constraints on
which institutions can act as an 'Eligible Account'.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Updated Sustainable
Home Prices: Due to Fitch's updated view on sustainable home
prices, Fitch views the home price values of this pool as 10.3%
above a long-term sustainable level. Underlying fundamentals are
not keeping pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

RPL Credit Quality (Mixed): The collateral consists of five-year
ARM and seven-year ARM fully amortizing loans, seasoned
approximately 176 months in aggregate. The borrowers in this pool
have weaker credit profiles (719 FICO) and relatively high leverage
(73.7% sLTV). In addition, the pool contains no loans of
particularly large size. Only 144 loans are over $1 million and the
largest is $7.6 million. Fitch considered 14% of the pool to be 30+
days delinquent in its analysis. The pool is currently 13.22% 30+
days delinquent based on January data, which Fitch viewed
positively.

Geographic Concentration (Negative): Approximately 40.5% of the
pool is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(17,0%) followed by the New York MSA (13.2%) and the San Francisco
MSA (7.5%). The top three MSAs account for 37.7% of the pool. As a
result, there was a 1.02x adjustment for geographic concentration.

Limited Title and Lien Search: 100% of the pool received a tax and
title lien search using a Corelogic Lien Report Lite (Lite)
product. Unlike a more orthodox title search, the Lite product
primarily acts as a cursory tax and title lien search and may not
be able to fully confirm all lien positions. The report indicated
that approximately 78% of the transaction pool in first lien
position, while the remaining loans 22.3% of loans were either not
confirmed to be in first lien position or did not receive a hit on
the cursory search. These loans were treated as second liens in
Fitch's loss model and received 100% loss severity treatment to
reflect to possibility that these lien positions are not
prioritized for proceeds in the event of liquidation. The 'AAAsf'
expected loss levels increased by over 400 bps to reflect this lien
treatment.

Sequential Transaction Structure (Positive): The transaction's cash
flow is based on a sequential-pay structure whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.

No Servicer Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of principal and interest. Because P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I.

The cash flow model results suggested an 'Asf' rating for the M-3
and associated notes, since it took a 0.6% writedown in the 'A+'
backloaded benchmark rating stress. The class passed 17 out of the
18 'A+' rating stresses. Per Fitch's criteria, a class does not
have to pass all the rating stresses in a scenario to be assigned
that rating. The committee decided to assign a rating of 'A+sf' for
the class M3 notes and the notes associated with that class, since
the class passed 17 out of the 18 'A+' rating stresses, the amount
of the loss was only 0.60%, which Fitch did not consider material,
and the loss incurred in the backloaded benchmark rating stress
which is a very conservative rating stress that is not likely to
occur.

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

There is one variation to the U.S. RMBS Rating Criteria which
relates to the outdated FICO scores for the transaction. The FICOs
were updated at the time of the transaction close, which is more
than the six-month window in which Fitch looks for updated values.
The stale values have no impact on the levels as the performance
has been fairly stable since they were pulled. Additionally, while
outdated, the values better capture the borrowers' credit after the
modification and their initial default. To the extent the borrower
has underperformed it will be reflected in the paystring, which
would have a much more meaningful impact on the levels.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Digital Risk, LLC. The third-party due diligence
described in Form 15E focused on a regulatory compliance review. A
Corelogic Lien Report Lite (Lite) product was also run on the pool.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustment(s) to its analysis:

A Corelogic Lien Report Lite was run on 100% of the pool. The
report indicated that approximately 78% of the transaction pool in
first lien position, while the remaining loans 22.3% of loans were
either not confirmed to be in first lien position or did not
receive a hit on the cursory search. These loans were treated as
second liens in Fitch's loss model and received 100% loss severity
treatment to reflect to possibility that these lien positions are
not prioritized for proceeds in the event of liquidation. The
'AAAsf' expected loss levels increased by over 400 bps to reflect
this lien treatment.

The due diligence results indicated moderate operational risk with
approximately 3.1% of loans receiving a final grade of 'C' or 'D'
based on the initial review of the due diligence. However
approximately 10% of the initial sample are subject to loss
severity adjustments for missing or estimated final HUD-1 documents
necessary for testing compliance with predatory lending
regulations. These regulations are not subject to statute of
limitations unlike the majority of compliance exceptions which
ultimately exposes the trust to added assignee liability risk.
Since due diligence was performed on a sample, Fitch extrapolated
the compliance results to the remaining loan population that did
not receive due diligence to reflect the absence of predatory
lending testing. Fitch also added $1.8 million to the loss severity
to account for unpaid tax, municipal, and HOA liens that were
outstanding. The servicer confirmed they will follow standard
servicing practices to maintain the lien status of the loans. In
total, Fitch adjusted its loss expectation at the 'AAAsf' rating
category by 67 bps to account for the added risk.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 22% of the loans in the current pool. The third-party
due diligence was materially in line with Fitch's "U.S. RMBS Rating
Criteria." The sponsor, engaged Digital Risk, LLC to perform the
review. Loans reviewed under this engagement were given compliance
grades. A lien search was conducted using a Corelogic Lite product
and a title search was conducted. The servicer confirmed they are
following standard servicing practices to maintain the lien
position.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website.

The loan-level information Fitch received was provided in the
American Securitization Forum's (ASF) data layout format. The ASF
data tape layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company and no material discrepancies were noted.

ESG CONSIDERATIONS

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


CSMC 2018-SPL3: Fitch Assigns B Rating on Class M-6 Tranche
-----------------------------------------------------------
Fitch Ratings has assigned ratings to CSMC 2018-SP3 Trust.

DEBT           RATING
----           ------
CSMC 2018-SP3

A        LT AAAsf  New Rating
A-1      LT AAAsf  New Rating
A-1-A    LT AAAsf  New Rating
A-1-X    LT AAAsf  New Rating
A-2      LT AAAsf  New Rating
A-3      LT A+sf   New Rating
B-1      LT AAAsf  New Rating
B-1-A    LT AAAsf  New Rating
B-1-IO   LT AAAsf  New Rating
B-1-X    LT AAAsf  New Rating
B-2      LT A+sf   New Rating
B-2-IO   LT A+sf   New Rating
B-3      LT NRsf   New Rating
B-3-IO   LT NRsf   New Rating
B-4      LT NRsf   New Rating
B-5      LT NRsf   New Rating
B-6      LT NRsf   New Rating
M-1      LT AAAsf  New Rating
M-1-A    LT AAAsf  New Rating
M-1-IO   LT AAAsf  New Rating
M-1-X    LT AAAsf  New Rating
M-2      LT AAsf   New Rating
M-2-A    LT AAsf   New Rating
M-2-IO   LT AAsf   New Rating
M-2-X    LT AAsf   New Rating
M-3      LT A+sf   New Rating
M-3-IO   LT A+sf   New Rating
M-4      LT BBBsf  New Rating
M-5      LT BBsf   New Rating
M-6      LT Bsf    New Rating
M-7      LT NRsf   New Rating
PT       LT NRsf   New Rating
X        LT NRsf   New Rating

TRANSACTION SUMMARY

CSMC 2018-SP3 is supported by a pool of re-performing mortgage
loans (RPL). The transaction was originally issued in 2018 and was
not rated at deal close. In tandem with this rating assignment, the
transaction is being modified to 1) allow principal collection to
be redirected to cover any potential interest shortfalls on the
'AAA' and 'AA' category rated bonds, 2) using interest payment
otherwise allocable to the class M-7 to fund an account that may be
used for potential repurchases and 3) adding certain constraints on
which institutions can act as an 'Eligible Account'.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Updated Sustainable
Home Prices: Due to Fitch's updated view on sustainable home
prices, Fitch views the home price values of this pool as 10.3%
above a long-term sustainable level. Underlying fundamentals are
not keeping pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

RPL Credit Quality (Mixed): The collateral consists of five year
ARM and seven year ARM fully amortizing loans, seasoned
approximately 176 months in aggregate. The borrowers in this pool
have weaker credit profiles (719 FICO) and relatively high leverage
(73.7% sLTV). In addition, the pool contains no loans of
particularly large size. Only 144 loans are over $1 million and the
largest is $7.6 million. Fitch considered 14% of the pool to be 30+
days delinquent in its analysis. The pool is currently 13.22% 30+
days delinquent based on January data, which Fitch viewed
positively.

Geographic Concentration (Negative): Approximately 40.5% of the
pool is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(17,0%) followed by the New York MSA (13.2%) and the San Francisco
MSA (7.5%). The top three MSAs account for 37.7% of the pool. As a
result, there was a 1.02x adjustment for geographic concentration.

Limited Title and Lien Search: 100% of the pool received a tax and
title lien search using a Corelogic Lien Report Lite (Lite)
product. Unlike a more orthodox title search, the Lite product
primarily acts as a cursory tax and title lien search and may not
be able to fully confirm all lien positions. The report indicated
that approximately 78% of the transaction pool in first lien
position, while the remaining loans 22.3% of loans were either not
confirmed to be in first lien position or did not receive a hit on
the cursory search. These loans were treated as second liens in
Fitch's loss model and received 100% loss severity treatment to
reflect to possibility that these lien positions are not
prioritized for proceeds in the event of liquidation. The 'AAAsf'
expected loss levels increased by over 400 bps to reflect this lien
treatment.

Sequential Transaction Structure (Positive): The transaction's cash
flow is based on a sequential-pay structure whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.

No Servicer Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of principal and interest. Because P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I.

The cash flow model results suggested an 'Asf' rating for the M-3
and associated notes, since it took a 0.6% writedown in the 'A+'
backloaded benchmark rating stress. The class passed 17 out of the
18 'A+' rating stresses. Per Fitch's criteria, a class does not
have to pass all the rating stresses in a scenario to be assigned
that rating. The committee decided to assign a rating of 'A+sf' for
the class M3 notes and the notes associated with that class, since
the class passed 17 out of the 18 'A+' rating stresses, the amount
of the loss was only 0.60%, which Fitch did not consider material,
and the loss incurred in the backloaded benchmark rating stress
which is a very conservative rating stress that is not likely to
occur.

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

There is one variation to the U.S. RMBS Rating Criteria which
relates to the outdated FICO scores for the transaction. The FICOs
were updated at the time of the transaction close, which is more
than the six month window in which Fitch looks for updated values.
The stale values have no impact on the levels as the performance
has been fairly stable since they were pulled. Additionally, while
outdated, the values better capture the borrowers credit after the
modification and their initial default. To the extent the borrower
has underperformed it will be reflected in the paystring which
would have a much more meaningful impact on the levels.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Digital Risk, LLC. The third-party due diligence
described in Form 15E focused on a regulatory compliance review. A
Corelogic Lien Report Lite (Lite) product was also run on the pool.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustment(s) to its analysis:

A Corelogic Lien Report Lite was run on 100% of the pool. The
report indicated that approximately 78% of the transaction pool in
first lien position, while the remaining loans 22.3% of loans were
either not confirmed to be in first lien position or did not
receive a hit on the cursory search. These loans were treated as
second liens in Fitch's loss model and received 100% loss severity
treatment to reflect to possibility that these lien positions are
not prioritized for proceeds in the event of liquidation. The
'AAAsf' expected loss levels increased by over 400 bps to reflect
this lien treatment.

The due diligence results indicated moderate operational risk with
approximately 3.1% of loans receiving a final grade of 'C' or 'D'
based on the initial review of the due diligence. However
approximately 10% of the initial sample are subject to loss
severity adjustments for missing or estimated final HUD-1 documents
necessary for testing compliance with predatory lending
regulations. These regulations are not subject to statute of
limitations unlike the majority of compliance exceptions which
ultimately exposes the trust to added assignee liability risk.
Since due diligence was performed on a sample, Fitch extrapolated
the compliance results to the remaining loan population that did
not receive due diligence to reflect the absence of predatory
lending testing. Fitch also added $1.8 million to the loss severity
to account for unpaid tax, municipal, and HOA liens that were
outstanding. The servicer confirmed they will follow standard
servicing practices to maintain the lien status of the loans. In
total, Fitch adjusted its loss expectation at the 'AAAsf' rating
category by 67 bps to account for the added risk.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 22% of the loans in the current pool. The third-party
due diligence was materially in line with Fitch's "U.S. RMBS Rating
Criteria." The sponsor, engaged Digital Risk, LLC to perform the
review. Loans reviewed under this engagement were given compliance
grades. A lien search was conducted using a Corelogic Lite product
and a title search was conducted. The servicer confirmed they are
following standard servicing practices to maintain the lien
position.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website.

The loan-level information Fitch received was provided in the
American Securitization Forum's (ASF) data layout format. The ASF
data tape layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company and no material discrepancies were noted.

ESG CONSIDERATIONS

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


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

The note issuance is an RMBS transaction predominantly backed by
newly originated first-lien, fixed-, and adjustable-rate
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and nonprime borrowers. The
loans are secured by single-family residential properties,
planned-unit developments, townhouses, condominiums, and two- to
four-family residential properties. The pool has 992 loans backed
by 996 properties, which are primarily non-qualified mortgage
(non-QM/ability-to-repay [ATR] compliant) and ATR-exempt loans. One
of the loans is a cross-collateralized loan backed by five
properties.

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The transaction's geographic concentration;

-- The mortgage aggregator, DLJ Mortgage Capital Inc., and the
originators, which include AmWest Funding Corp., Visio Financial
Corp., and Impac Mortgage Corp.; and

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

  Ratings Assigned

  CSMC 2022-NQM1 Trust

  Class A-1, $417,490,000: AAA (sf)
  Class A-2, $29,900,000: AA (sf)
  Class A-3, $51,771,000: A (sf)
  Class M-1, $20,487,000: BBB (sf)
  Class B-1, $14,396,000: BB (sf)
  Class B-2, $10,244,000: B (sf)
  Class B-3, $9,412,958: Not rated
  Class A-IO-S, notional(i): Not rated
  Class XS, notional(ii): Not rated
  Class PT(iii), $553,700,958: Not rated
  Class R: Not rated

(i)The notional amount will equal the aggregate interest-bearing
principal balance of the mortgage loans as of the first day of the
related due period and is initially $553,654,591.

(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due period
and is initially $553,700,958.

(iii)Certain initial exchangeable notes are exchangeable for the
exchangeable notes and vice versa.



DEEPHAVEN RESIDENTIAL 2022-1: DBRS Gives Prov. B Rating on B2 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2022-1 to be issued by Deephaven
Residential Mortgage Trust 2022-1 (DRMT 2022-1 or the Issuer):

-- $262.5 million Class A-1 at AAA (sf)
-- $17.8 million Class A-2 at AA (sf)
-- $27.4 million Class A-3 at A (sf)
-- $20.8 million Class M-1 at BBB (sf)
-- $16.3 million Class B-1 at BB (sf)
-- $16.1 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 29.20%
of credit enhancement provided by subordinated Notes. The AA (sf),
A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 24.40%,
17.00%, 11.40%, 7.00%, and 2.65% of credit enhancement,
respectively.

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

The DRMT 2022-1 securitization is backed by a securitization of a
portfolio of fixed and adjustable rate prime and nonprime
first-lien residential mortgages funded by the issuance of the
Notes. The Notes are backed by 752 loans with a total principal
balance of approximately $370,765,188 as of the Cut-Off Date
(January 1, 2022).

The originators for the mortgage pool are All Credit Considered
Mortgage, Inc. (ACC; 27.0%), Deephaven Mortgage LLC (Deephaven;
22.6%), and others (50.4%). Deephaven acquired loans originated
predominantly under the following underwriting guidelines:

-- Deephaven extended prime
-- Deephaven nonprime
-- Deephaven debt service coverage ratio
-- ACC prime plus

DBRS Morningstar performed a telephone operational risk review of
Deephaven's aggregation and mortgage loan origination practices and
believes the company is an acceptable mortgage loan aggregator and
originator.

Selene Finance LP (88.1%) and NewRez LLC, doing business as
Shellpoint Mortgage Servicing (11.9%), are the Servicers for all
loans. RCF II Loan Acquisition, LP will act as the Sponsor and
Advance Reimbursement Party. Computershare Trust Company, N.A.
(rated BBB with a Stable trend by DBRS Morningstar) will act as the
Master Servicer, Paying Agent, Note Registrar, Certificate
Registrar, and REMIC Administrator. U.S. Bank National Association
will serve as the Custodian; Wilmington Savings Fund Society, FSB
will act as the Owner Trustee; and Wilmington Trust National
Association (rated AA (low) with a Negative trend by DBRS
Morningstar) will act as the Indenture Trustee.

The proposed pool is about three months seasoned on a
weighted-average basis, although seasoning spans from zero to 21
months.

In accordance with U.S. credit risk retention requirements, RCF II
Loan Acquisition, LP as the Sponsor, either directly or through a
Majority-Owned Affiliate, will retain an eligible horizontal
residual interest consisting of the Class B-3 Notes and the Class
XS Notes representing not less than 5% economic interest in the
transaction, to satisfy the requirements under Section 15G of the
Securities and Exchange Act of 1934 and the regulations promulgated
thereunder. Such retention aligns Sponsor and investor interest in
the capital structure.

Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
products for various reasons described above. In accordance with
the CFPB Qualified Mortgage (QM)/ATR rules, 68.6% of the loans are
designated as non-QM. Approximately 31.4% of the loans are made to
investors for business purposes and are thus not subject to the
QM/ATR rules.

The Servicers will generally fund advances of delinquent principal
and interest (P&I) on any mortgage until such loan becomes 180 days
delinquent, contingent upon recoverability determination. The
Servicer is also obligated to make advances in respect of taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing of properties (Servicing Advances). The
Servicers will not advance P&I for the payments forborne on the
loans where the borrower has been granted forbearance or similar
loss mitigation in response to the Coronavirus Disease (COVID-19)
pandemic or otherwise. However, the Servicers will be required to
make P&I advances for any delinquent payments due after the end of
the related forbearance period. If the applicable Servicer fails to
make a required P&I advance, the Master Servicer will fund such P&I
advance until it is deemed unrecoverable.

The Sponsor will have the option, but not the obligation, to
repurchase any nonliquidated mortgage loan that is 90 or more days
delinquent under the Mortgage Bankers Association method at the
Repurchase Price, provided that such repurchases in aggregate do
not exceed 10% of the total principal balance as of the Cut-Off
Date.

RCF II Master Depositor, LLC, as the Administrator, on behalf of
the Issuer may, at its option, on any date on or after the earlier
of (1) the three-year anniversary of the Closing Date or (2) the
date on which the loan balance is reduced to less than or equal to
30% of the balance as of the Cut-Off date, redeem the Notes at a
redemption price equal to the greater of the (a) outstanding Notes
balance plus accrued and unpaid interest and or (b) the sum of the
loan balance, real-estate-owned property value less expected
liquidation expense, advances, and unpaid fees and expenses, as
discussed in the transaction documents (Optional Redemption).

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class A-3 and more subordinate bonds
will not be paid from principal proceeds until the more senior
classes are retired. Principal proceeds can be used to cover
interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP)
before being applied sequentially to amortize the balances of the
Notes. Furthermore, the excess spread can be used to cover realized
losses and prior period bond writedown amounts first before being
allocated to unpaid cap carryover amounts to Class A-1 down to
Class M-1.

CORONAVIRUS IMPACT

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

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

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



DEEPHAVEN RESIDENTIAL 2022-1: S&P Assigns 'B-' Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Deephaven Residential
Mortgage Trust 2022-1's mortgage-backed pass-through notes series
2022-1.

The note issuance is an RMBS transaction backed by first-lien,
fixed- and adjustable-rate mortgage loans secured by single-family
residences, planned-unit developments, condominiums, two- to
four-family homes, and one townhouse. The pool consists of 752
loans backed by 829 properties that are primarily non-qualified
mortgage loans and ability-to-repay exempt loans; of the 752 loans,
17 are cross-collateralized, which were broken down to their
constituents at the property level (making up 94 properties).

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The credit enhancement provided for this transaction;

-- The transaction's associated structural mechanics;

-- The mortgage aggregator, Deephaven Mortgage LLC;

-- The transaction's representation and warranty framework;

-- The geographic concentration;

-- The 100% due diligence results consistent with represented loan
characteristics; and

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

  Ratings Assigned

  Deephaven Residential Mortgage Trust 2022-1

  Class A-1, $262,501,000: AAA (sf)
  Class A-2, $17,797,000: AA (sf)
  Class A-3, $27,437,000: A (sf)
  Class M-1, $20,762,000: BBB (sf)
  Class B-1, $16,314,000: BB (sf)
  Class B-2, $16,128,000: B- (sf)
  Class B-3, $9,826,187: NR
  Class XS, Notional(i): NR
  Class A-IO-S, Notional(i): NR
  Class R, N/A: NR

(i)Notional amount equals the loans' aggregate stated principal
balance.

NR--Not rated.

N/A--Not applicable.



GCAT 2022-HX1: Fitch Rates Class B-2A Certs 'B-(EXP)'
-----------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by GCAT 2022-HX1 Trust (GCAT 2022-HX1).

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

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

TRANSACTION SUMMARY

The certificates are supported by 612 loans with a total balance of
approximately $295 million as of the cutoff date. In the pool, 100%
of the residential loans were originated by HomeXpress Mortgage
Corp. (HomeXpress) and aggregated by Blue River Mortgage III LLC
(BRM). BRM is wholly owned by AG Mortgage Investment Trust. All
loans are currently or will be serviced by NewRez LLC, d/b/a
Shellpoint Mortgage Servicing (SMS).

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.6% above a long-term sustainable level (10.6% on
a national level). Underlying fundamentals are not keeping pace
with the growth in prices, which is a result of a supply/demand
imbalance driven by low inventory, low mortgage rates and new
buyers entering the market. These trends have led to significant
home price increases over the past year, with home prices rising
18.8% YoY nationally as of November 2021.

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

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

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

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

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton, Infinity, and Recovco. The third-party due
diligence described in Form 15E focused on a full review of the
loans as it relates to credit, compliance and property valuation.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustment(s) to its analysis: a 5% credit
was applied to each loan's probability of default assumption. This
adjustment resulted in a 47bps reduction to the 'AAAsf' expected
loss.

DATA ADEQUACY

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

ESG CONSIDERATIONS

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


GS MORTGAGE 2013-GCJ16: DBRS Confirms B(low) Rating on G Certs
--------------------------------------------------------------
DBRS, Inc. confirmed the following ratings of the Commercial
Mortgage Pass-Through Certificates, Series 2013-GCJ16 issued by GS
Mortgage Securities Trust 2013-GCJ16:

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

DBRS Morningstar changed the trends on Classes F, G, and X-C to
Stable from Negative. All other trends remain Stable, which
reflects improving credit metrics in the pool, most notably the
return of four specially serviced loans back to the master
servicer, and the overall stable performance of the underlying
collateral in the pool.

As of the December 2021 remittance, 62 loans remain in the pool
with a pool balance of $748.7 million, a collateral reduction of
31.1% from $1.1 billion at issuance as a result of loan
amortization and the payoff of 15 loans. There is a high
concentration of retail properties, representing more than 40.0% of
the pool balance. Twenty-five loans, representing 29.1% of the
pool, have been fully defeased. There have been no losses to the
trust to date. There are 11 loans, representing 37.2% of the pool
on the servicer's watchlist. These loans are being monitored for
various reasons, including transfer from special servicing, low
debt service coverage ratio (DSCR) or occupancy, tenant rollover
risk, and/or pandemic-related forbearance requests. Two loans,
representing 2.13% of the pool, are specially serviced. Since DBRS
Morningstar's last review, four loans, representing 10.1% of the
pool were transferred back to the master servicer after
modifications were approved and/or the loans were brought current,
including the previous largest specially serviced loan, the Walpole
Shopping Mall (5.8% of the pool).

The largest loan, Miracle Mile Shops (Prospectus ID#2, 8.9% of the
pool balance), remains on the servicer's watchlist for cash flow
concerns. The loan is pari passu with another loan and is secured
by a 450,000-square-foot retail center on Las Vegas Boulevard. The
property performed well pre-pandemic as net cash flow was up 12.2%
from issuance levels while occupancy remained strong at 98% in
2019. However, because the Las Vegas economy highly depends on the
tourism industry, foot traffic and in turn cash flow were severely
disrupted because of the strict travel limitations in place
throughout much of the 2020 Coronavirus Disease (COVID-19)
pandemic. While the loan remained current, YE2020 net cash flow
decreased by 27.3% since issuance. Furthermore, occupancy decreased
to 89% as of September 2021 from 98% at issuance. The loan received
a forbearance in July 2020 that included interest-only (IO)
payments from August 2020 through February 2021, with principal and
reserve payments being deferred.

The second-largest loan on the watchlist is the Windsor Court New
Orleans loan (Prospectus ID#1, 8.5% of the pool balance) that is
secured by a 316-key full-service luxury hotel that is well located
in the Riverside/Convention Center submarket of New Orleans. The
property is the only hotel in New Orleans to be awarded the AAA
Four-Diamond Award and the Forbes Four Star Award. The loan remains
on the servicer's watchlist for low DSCR. The loan received a
forbearance in April 2020, which allowed the use of furniture,
fixtures, and equipment (FF&E) reserves to make principal and
interest payments from October to December 2020 and deferred the
monthly FF&E deposit for six months with a payback period from
April through September 2021. The forbearance also included a DSCR
trigger waiver from April to June 2021 and approved a $2.5 million
Paycheck Protection Program loan.

Cash flow for the trailing 12 months (T-12) ended September 2021
was positive after falling negative in 2020 but remains well below
the Issuer's underwritten net cash flow of $3.8 million. Occupancy
was 36.0% in September 2021, 36.0% in December 2020, and 72.0% at
issuance. As of the T-12 ended September 2021 STR report, the hotel
outperformed its competitive set with a revenue per available room
penetration rate of 192.4%, suggesting the property is
well-positioned for recovery. While cash flow and occupancy have
yet to reach pre-pandemic levels, the positive metrics from the STR
report and the fact that the loan avoided special servicing
throughout the pandemic suggests a recovery is likely.

At issuance, DBRS Morningstar assigned investment-grade shadow
ratings to The Gates at Manhasset (Prospectus ID#4, 6.8% of the
pool). DBRS Morningstar has confirmed that the performance of this
loan remains consistent with the investment-grade loan
characteristics.

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



GS MORTGAGE 2014-GC22: DBRS Lowers Class F Certs Rating to CCC
--------------------------------------------------------------
DBRS, Inc. downgraded one class of the Commercial Mortgage
Pass-Through Certificates, Series 2014-GC22 issued by GS Mortgage
Securities Trust 2014-GC22:

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

DBRS Morningstar also confirmed the remaining classes of the
Certificates as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PEZ at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at BB (high) (sf)
-- Class E at BB (sf)

Additionally, DBRS Morningstar discontinued and withdrew its rating
on Class X-D as the interest-only (IO) class references a CCC (sf)
rated bond.

DBRS Morningstar changed the trends on Classes E and X-C to
Negative from Stable. All other trends remain Stable.

The rating recommendations reflect the weakening performance of the
transaction relative to issuance expectations, which is primarily
driven by the performance declines for the EpiCenter loan
(Prospectus ID#3; 11.5% of the pool balance). The subject loan is
secured by a mixed-use property in downtown Charlotte, North
Carolina, and the occupancy rate has drastically declined since
issuance. The special servicer is anticipated to foreclose on the
property in Spring 2022 and the recent appraised value is down
33.3% since issuance. Based on the most recent value, DBRS
Morningstar expects a loss severity in excess of 20%, which is
projected to be contained to the unrated Class G certificate, but
would erode the credit support for the rated Class F, a primary
driver for the downgrade to CCC (sf) with this review.

At issuance, the trust comprised 59 loans secured by 113 commercial
properties with a total trust balance of $961.5 million. As of the
January 2022 remittance, 51 loans secured by 80 properties remain
in the trust with a total trust balance of $733.8 million,
representing a collateral reduction of approximately 24%. One loan,
Widewater Square (Prospectus ID#41), was liquidated from the trust
in December 2021, yielding a $2.6 million loss. The trust is
concentrated by loan size as the largest three loans total 40.2% of
the trust balance, with the Maine Mall loan (Prospectus ID#1)
representing 15.0% of the trust balance. The pool is fairly
concentrated by property type as retail and office total 28.1% and
25.4% of the trust balance, respectively. Seven loans, totaling
15.7% of the trust balance, are fully defeased.

Two loans, comprising 13.0% of the trust balance, are in special
servicing while an additional 14 loans, representing 28.5% of the
trust balance, are on the servicer's watchlist. The EpiCenter loan
is the largest in special servicing and the loan matured in June
2021. A receiver was appointed in July 2021, which later engaged
CBRE for property management and leasing. The special servicer
reported the collateral's occupancy rate was 31.1% as of August
2021, down from 89.9% at issuance. The collateral was reappraised
in August 2021 for $87.0 million, down from the $130.5 million
appraised value at issuance. The mixed-use property appears to have
been mismanaged by the sponsor, as the local market has generally
reported stable occupancy rates, with moderate disruption since the
start of the pandemic. A foreclosure is expected to occur in the
near term and DBRS Morningstar expects a moderate loss at
disposition.

DBRS Morningstar is also monitoring the Maccabees Center loan
(Prospectus ID#12; 2.5% of the pool) for significant occupancy
declines at the collateral office property since 2019. This
property is located in Southfield, Michigan, and occupancy fell
sharply after the two largest tenants, which collectively
represented 47.0% of the net rentable area, vacated in 2020. With
those departures, occupancy has to approximately 35% as of January
2021, around where it appears to remain as of January 2022. The
loan reported a negative net cash flow in 2020 and the borrower
appears to be funding operating and debt service shortfalls as well
as depositing into the leasing reserve. The sponsor is the original
developer of the collateral and has retained ownership for nearly
three decades, demonstrating its long-term commitment to the
property. Reis data showed demand for the vintage set remains very
weak and the borrower was unable to execute any new leases in 2021.
The low in-place occupancy rate is a clear indicator of
significantly increased risks from issuance and the loan has been
added to the DBRS Morningstar Hotlist.

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



GS MORTGAGE 2014-GC26: DBRS Lowers Class D Certs Rating to CCC
--------------------------------------------------------------
DBRS, Inc. downgraded its ratings on five classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-GC26 issued by GS
Mortgage Securities Trust 2014-GC26 as follows:

-- Class C to A (low) (sf) from A (sf)
-- Class PEZ to A (low) (sf) from A (sf)
-- Class D to CCC (sf) from B (high) (sf)
-- Class E to C (sf) from CCC (sf)
-- Class F to C (sf) from CCC (sf)

In addition, DBRS Morningstar confirmed its ratings on the
following classes:

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

The trends for Classes C and PEZ were changed to Stable from
Negative. Classes D, E, and F have ratings that do not carry
trends. All other classes have Stable trends.

The rating downgrades reflect DBRS Morningstar's outlook for the
ultimate resolution of the largest loan in the pool, Queen
Ka'ahumanu Center (Prospectus ID#1, 8.6% of the trust balance),
which has been in special servicing since June 2020. According to
the special servicer, the lender was the winning bidder in an early
December 2021 foreclosure sale and the trust is expected to take
title sometime in early 2022. The collateral is a regional mall in
Kahului, Hawaii, anchored by Macy's and Macy's Men and Home. The
property lost its third anchor, Sears, in November 2021 and the
property's occupancy rate is projected to decline to approximately
73.0%. The collateral was last appraised in October 2020 for $47.0
million, down 60.8% from the $120.0 million appraised value at
issuance. An updated appraisal is expected in the near term and the
value is anticipated to be lower than the October 2020 appraised
value given the loss of Sears.

Based on these factors, DBRS Morningstar believes the resolution
will result in a loss severity in excess of 60.0%, with projected
losses expected to affect the unrated Class H, as well as the rated
Classes G, F, and E, supporting the C (sf) ratings for those
classes. Based on the available information as of this review,
losses are expected to be contained to the Class E and below
certificates. The Class D certificate, which was downgraded to CCC
(sf), has a balance of $95.0 million, providing significant cushion
against losses for the Class C certificate, which was downgraded
one notch to A (low), with the trend changed from Negative to
Stable.

In addition, DBRS Morningstar is concerned about the third-largest
loan in the pool, 5599 San Felipe (Prospectus ID#3, 7.7% of the
trust balance), which has been on the servicer's watchlist since
December 2020 because of a low debt service coverage ratio (DSCR).
This loan is secured by an office property in the Galleria
submarket of Houston, Texas. According to the June 2021 rent roll,
the primary tenant, Schlumberger Technology Corp (Schlumberger), is
paying a base rental rate of $12.35 per square foot (psf), which is
considerably below the rental rate at issuance. A lease
modification was executed in April 2020 that allowed $2.4 million
of proceeds from the lessee improvement allowance to be released to
supplement income at the property to a breakeven level. The
servicer confirmed Schlumberger is paying a rental rate of $19.50
psf as of January 2022. There are no termination options available
in the Schumberger lease, which runs through 2027, but the tenant
is marketing at least half of the space for sublease and was
previously reported to be relocating employees to a new
development. These factors significantly increase the refinance
risk for this loan.

At issuance, the trust comprised 92 loans secured by 133 commercial
and multifamily properties with a trust balance of $1.26 billion.
As of the January 2022 remittance, 78 loans secured by 117
properties remained in the trust with a remaining trust balance of
$998.3 million, representing collateral reduction of just over 20%
since issuance. An additional 14 loans representing approximately
15% of the pool are defeased. Three loans, totaling $46.6 million,
have liquidated from the trust, resulting in a $12.5 million loss
to the trust to the unrated Class H certificate. The trust is
concentrated in loans secured by retail properties, representing
36.5% of the trust balance. Five loans, representing 11.7% of the
trust balance, are in special servicing and an additional 15 loans,
representing 22.5% of the trust balance, are on the servicer's
watchlist.

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



GS MORTGAGE 2016-GS2: Fitch Affirms CCC Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GS Mortgage Securities
Trust 2016-GS2 Commercial Mortgage Pass-Through Certificates. The
Rating Outlooks have been revised to Stable from Negative on two
classes and remain Negative on one class.

    DEBT              RATING            PRIOR
    ----              ------            -----
GSMS 2016-GS2

A-3 36252TAQ8    LT AAAsf   Affirmed    AAAsf
A-4 36252TAR6    LT AAAsf   Affirmed    AAAsf
A-AB 36252TAS4   LT AAAsf   Affirmed    AAAsf
A-S 36252TAV7    LT AAAsf   Affirmed    AAAsf
B 36252TAW5      LT AA-sf   Affirmed    AA-sf
C 36252TAY1      LT A-sf    Affirmed    A-sf
D 36252TAA3      LT BBB-sf  Affirmed    BBB-sf
E 36252TAE5      LT B-sf    Affirmed    B-sf
F 36252TAG0      LT CCCsf   Affirmed    CCCsf
PEZ 36252TAX3    LT A-sf    Affirmed    A-sf
X-A 36252TAT2    LT AAAsf   Affirmed    AAAsf
X-B 36252TAU9    LT AA-sf   Affirmed    AA-sf
X-D 36252TAC9    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: While Fitch's base case loss expectations
have remained relatively stable since Fitch's prior rating action,
the Outlook revisions on classes D and X-D to Stable from Negative
reflect better than expected performance of the loans expected to
be impacted by the coronavirus pandemic. Eleven loans (28.1% of
pool), including three (5.9%) in special servicing, were designated
Fitch Loans of Concern (FLOCs).

Fitch's current ratings reflect a base case loss of 6.40%. The
Negative Outlook reflects losses that could reach 7.20% after
factoring in additional sensitivity on three hotel loans (11.7%) to
reflect their vulnerability to the ongoing pandemic.

Fitch Loans of Concern: The largest FLOC, Hampton Inn San Diego
Mission Valley (5.4%), is secured by a 184-key, limited service
hotel located in San Diego, CA that was built in 2014. The loan,
which is sponsored by Mayur B. Patel, was designated a FLOC due to
performance declines resulting from the impact of the coronavirus
pandemic.

YE 2020 NOI declined 81% from YE 2019 and 80% from the issuer's
underwritten NOI at issuance. While performance has improved in
2021 as travel restrictions have been lifted, it remains well below
2019 levels, partially due to the loan being in its initial five
year IO period through January 2021. Occupancy and
servicer-reported NOI DSCR were 70% and 1.27x as the YTD September
2021 compared with 48% and 0.47x at YE 2020 and 90% and 2.43x at YE
2019. The RevPAR penetration rate was 109.4% as of the TTM ended
September 2021 and 100.8% as of the TTM ended September 2020.

The borrower received COVID related forbearance relief in 2020,
which included deferral of FF&E deposits for three months and the
ability to utilize FF&E funds for three months of debt service
payments. Repayment of the deferred and released FF&E funds was to
occur through cash management whereby any excess cash flow is
deposited towards the deferred and released amounts until
satisfied. The loan has remained current. Fitch's base case loss is
minimal; however, Fitch applied an additional sensitivity due to
the impact from the pandemic. This stressed scenario reflects a 9%
loss based on an 11.50% cap rate and 26% haircut to the YE 2019
NOI.

The largest specially serviced loan, Aloft Sunnyvale (3.6%), is
secured by an 85-key, select service hotel located in Sunnyvale, CA
that was built in 1960 and renovated in 2014/2015. The loan, which
is sponsored by Dipesh Gupta and Manish Gupta, transferred to
special servicing in March 2021 for payment default and is over 90
days delinquent. Per servicer updates, the lender and borrower have
tentatively agreed to a second loan modification.

The initial forbearance included the borrower being able to use
FF&E reserves to fund debt service payments from April 2020 through
December 2020, the lender deferring ongoing FF&E reserve deposits
from April 2020 through December 2020 and the borrower continuing
to cover all operating expense shortfalls. Repayment of all
deferred amounts was scheduled over a 24-month period commencing in
January 2021.

Occupancy and servicer-reported NOI DSCR for this amortizing loan
were 30% and -0.07x at YE 2020 as a result of the pandemic, down
from 74% and 2.01x at YE 2019. The RevPAR penetration rate was
78.2% as of the TTM ended August 2021, significantly down from
160.6% at YE 2020. Fitch modeled a minimal loss in the base case
based on a discount to the recent servicer provided value to
account for servicing fees.

Alternative Loss Consideration: Fitch applied a pandemic related
sensitivity to three hotel loans, Hampton Inn San Diego Mission
Valley (5.4%), Residence Inn and SpringHill Suites North Shore
(3.8%) and Residence Inn Princeton (2.5%), to reflect the hotels'
vulnerability to the pandemic and potential declines. This
sensitivity analysis contributed to the Negative Outlook.

Increasing Credit Enhancement: As of the January 2022 distribution
date, the pool's aggregate balance has been paid down by 20.3% to
$598.3 million from $750.6 million at issuance. Since Fitch's prior
rating action, one loan with a balance of $6 million paid in full
at maturity. Six loans (16.1%) are amortizing balloon, 14 (55.7%)
are full-term IO, and 14 (28.2%) that were structured with a
partial-term IO component at issuance are in their amortization
periods. No loan are defeased. Cumulative interest shortfalls of
$311,547 are currently affecting the non-rated class G.

Pool Concentration: The top 10 loans comprise 61.6% of the pool.
Loan maturities are concentrated in 2026 (93.2%), with two loans
(6.8%) maturing in 2025. Based on property type, the largest
concentrations are retail at 53.6%, hotel at 15.3% and office at
12.5%.

Seven retail loans (16.3%) are sponsored by ICS Portfolio Holdings
and located in Brooklyn/Queens. Two of these loans (4.8%) were
designated FLOCs due to the Walgreens at both properties being
dark; however, both Walgreens have long-term leases and continue to
pay rent in accordance with the lease terms and both loans remain
current. Performance of the other five loans (11.5%) remains stable
and in-line with issuance expectations.

RATING SENSITIVITIES

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

-- Downgrades of the 'AAAsf' classes are not likely due to
    sufficient credit enhancement (CE) and the expected receipt of
    continued amortization but could occur if interest shortfalls
    affect the class.

-- Classes B, X-B, C, PEZ, D and X-D would be downgraded if
    interest shortfalls affect the class, additional loans become
    FLOCs or if performance of the FLOCs deteriorates further.
    Classes E and F would be downgraded if loss expectations
    increase, additional loans transfer to special servicing or
    losses are realized.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


GS MORTGAGE 2018-GS9: Fitch Affirms B- Rating on Class F-RR Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GS Mortgage Securities
Trust 2018-GS9 commercial mortgage pass-through certificates (GSMS
2018-GS9).

    DEBT              RATING            PRIOR
    ----              ------            -----
GSMS 2018-GS9

A-2 36255NAR6    LT AAAsf   Affirmed    AAAsf
A-3 36255NAS4    LT AAAsf   Affirmed    AAAsf
A-4 36255NAT2    LT AAAsf   Affirmed    AAAsf
A-AB 36255NAU9   LT AAAsf   Affirmed    AAAsf
A-S 36255NAX3    LT AAAsf   Affirmed    AAAsf
B 36255NAY1      LT AA-sf   Affirmed    AA-sf
C 36255NAZ8      LT A-sf    Affirmed    A-sf
D 36255NAA3      LT BBB-sf  Affirmed    BBB-sf
E 36255NAE5      LT BB-sf   Affirmed    BB-sf
F-RR 36255NAG0   LT B-sf    Affirmed    B-sf
X-A 36255NAV7    LT AAAsf   Affirmed    AAAsf
X-B 36255NAW5    LT AA-sf   Affirmed    AA-sf
X-D 36255NAC9    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's loss expectations have improved
since the prior rating action due to better than expected
performance for several Fitch Loans of Concern (FLOCs). Fitch's
current ratings reflect a pool base case loss of 3.40%.

The largest reduction in losses is the North Park Apartment loan
(1.1% of the pool), which is secured by a 192-unit multifamily
property located in Houston, TX. The loan transferred to special
servicing in August 2020 due to imminent monetary default at the
borrower's request, and subsequently went into payment default due
to hardships caused by the pandemic. In May 2021, the borrower and
special servicer executed a forbearance agreement, and the loan
payment status has remained current since September 2021. Per the
most recent servicer comments, the loan is pending return back to
the master servicer.

Performance has improved with TTM ended September 2021 NOI DSCR at
1.45x, compared to 0.35x at YE 2020. An October 2021 appraised
value provided by the servicer exceeds the current loan amount,
with an implied cap rate of 8.75% based off the TTM September 2021
NOI. Fitch modeled a minor loss to account for special servicer
fees. The loan was the largest contributor to losses at Fitch's
prior rating action with a modeled loss of 68%.

Fitch Loans of Concern: Fitch has identified 10 loans (19.4% of the
pool) as FLOCs, primarily due to underperformance as a result of
the pandemic. The largest FLOC that modeled a loss is Pin Oak
Medical Office (6.4% of the pool), which is secured by a 351,528-sf
medical office building located in Bellaire, TX. The property faces
near-term rollover risks, with leases for approximately 18% of the
NRA scheduled to expire in 2022 including the largest tenant, UT
Physicians (8% NRA), and 26.4% expiring in 2023 that includes the
next three largest tenants.

The property is currently 83.2% occupied as of September 2021, a
decline from 87% at YE 2020 and 90% at YE 2019. The loan has
remained current since issuance. Fitch's base case loss of 4.2%
includes a 20% haircut to the YE 2020 NOI to account for near-term
rollover risks.

Investment-Grade Credit Opinion Loans: Four loans in the top 15
received investment-grade credit opinions at issuance. Apple Campus
(7.8% of the pool), Twelve Oaks Mall (7.2%), Worldwide Plaza (4.0%)
and Starwood Lodging Hotel Portfolio (2.9%) received
investment-grade credit opinions of 'BBB-sf', 'BBB-sf', 'BBB+sf'
and 'Asf', respectively, at issuance.

Fitch no longer considers the Twelve Oaks Mall a credit opinion
loan due to performance declines since issuance. Fitch's current
base case loss of 6.5% is based off a 12% cap rate and a 5% haircut
to the YE 2020 NOI.

The loan is secured by a 549,771-sf regional mall located in Novi,
MI. The mall is anchored by a non-collateral Nordstrom. The largest
collateral tenants include Crate and Barrell (5.1% of the NRA), H&M
(3.4% of the NRA), Forever 21 (4.2% of the NRA), Victoria's Secret
(2.7% of the NRA), Pottery Barn (1.9% of the NRA), and The
Cheesecake Factory (1.8% of the NRA). The YE 2020 NOI had fallen
32% below the issuers underwritten NOI, with debt service coverage
ratio (DSCR) declining to 1.76x as of YE 2020 compared to 2.54x at
YE 2019 and 2.61x at issuance. NOI has improved with DSCR at 2.30x
as of YTD September 2021. Occupancy is relatively in line with
issuance at 93% as of September 2021.

Tenant sales have improved from the pandemic lows, but remain below
issuance levels. In-line sales reported at $404psf as of YTD
September 2021 ($343 excluding Apple), which compares to $272psf
($229 excluding Apple) at YE 2020, $573psf ($455psf excluding
Apple).at YE 2019, and $590psf ($479psf excluding Apple) at YE
2018.

Minimal Change in Credit Enhancement: As of the January 2022
remittance, the transaction's balance has been reduced by 1.9% to
$870.2 million from $887.1 million. One loan (0.6% of the original
pool balance) pre-paid with yield maintenance since Fitch's prior
rating action. Fourteen loans (60% of the pool) have interest-only
payments for the full loan term (including 11 loans in the top 15
representing 55.4% of the pool); 14 loans (25.8%) have partial
interest-only payments (including three loans in the top 15
representing 16.8% of the pool); the remaining nine loans (14.2%)
are amortizing (including one loan in the top 15 representing 7.2%
of the pool). Based on the scheduled balance at maturity, the pool
is expected to pay down by 5.9%.

Coronavirus Exposure: Nine loans (26.2% of the pool) are secured by
retail properties and nine loans (15.4%) are secured by hotel
properties. The retail-backed loans have exhibited relatively
stable performance since issuance with a weighted average DSCR of
2.18x based on the most recently reported servicer reporting. One
retail loan (0.75%) was identified as a FLOC due to ongoing
occupancy declines stemming before the pandemic.

The hotel loans in the pool have seen stable to significantly
improved performance 2021 performance, with a weighted average DSCR
of 3.15x based on the most recent servicer reporting. Four
hotel-backed loans (8.5%) which experienced the most severe
declines during the pandemic lows in 2020 have been maintained as
FLOCs due to continued vulnerability to ongoing pandemic risks.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from loans that transfer to
    special servicing or higher modeled losses on FLOCs;

-- Downgrades to classes A-2, A-3, A-4, A-AB, A-S and X-A are
    unlikely due to their position in the capital structure, but
    may occur should performance of the underlying pool
    significantly decline and/or should interest shortfalls affect
    these classes;

-- Downgrades to classes B, C, D, X-B and X-D are possible should
    expected losses for the pool increase one or more large loans
    have an outsized loss, which would erode credit enhancement
    (CE);

-- Downgrades to classes E and F-RR would occur should loss
    expectations increase from continued performance declines of
    the FLOCs, loans susceptible to the pandemic not stabilizing,
    additional loans begin to underperform and/or transfer to
    special servicing.

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

-- Stable to improved asset performance, particularly on loans in
    the Top 15 and specially serviced loans, coupled with
    additional paydown and/or defeasance;

-- Upgrades to classes B, C, D, X-B and X-D are not expected, but
    may occur with significant improvement in CE and/or
    defeasance, in addition to the stabilization of FLOCs and
    other properties affected by the coronavirus pandemic. Classes
    would not be upgraded above 'Asf' if there were likelihood of
    interest shortfalls;

-- Upgrades to classes E and F-RR are not likely unless the
    performance of the remaining pool is stable, the senior
    classes payoff and there is sufficient CE to the classes.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


GS MORTGAGE 2022-GR1: Moody's Assigns B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 30
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust (GSMBS) 2022-GR1. The ratings
range from Aaa (sf) to B3 (sf).

GS Mortgage-Backed Securities Trust 2022-GR1 (GSMBS 2022-GR1) is
the first investment property transaction in 2022 issued by Goldman
Sachs Mortgage Company (GSMC), the sponsor and the mortgage loan
seller. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA
and Goldman Sachs. The certificates are backed by 1,788 first lien,
primarily 30-year, fully-amortizing fixed-rate mortgage loans on
residential investment properties with an aggregate unpaid
principal balance (UPB) of $519,290,576 as of the January 1, 2022
cut-off date. All loans in the pool are originated by Guaranteed
Rate parties. Overall, pool strengths include the high credit
quality of the underlying borrowers, indicated by high FICO scores,
strong reserves, loans with fixed interest rates and no
interest-only loans. As of the cut-off date, all of the mortgage
loans are current, and no borrower has entered into a COVID-19
related forbearance plan with the servicer.

Approximately 1.8% of the mortgage loans by stated principal
balance as of the cut-off date were subject to debt consolidation
in which the related funds were used by the related mortgagor for
consumer, family or household purposes (personal-use loans). Vast
majority of the personal-use loans are "qualified mortgages" under
Regulation Z as result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). With the exception of personal-use loans,
all other mortgage loans in the pool are not subject to the federal
Truth-in-Lending Act (TILA) because each such mortgage loan is an
extension of credit primarily for a business purpose and is not a
"covered transaction" as defined in Section 1026.43(b)(1) of
Regulation Z. As of the closing date, the sponsor or a majority-
owned affiliate of the sponsor will retain at least 5% of the
initial certificate principal balance or notional amount of each
class of certificates (other than Class A-R certificates) issued by
the trust to satisfy U.S. risk retention rules.

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service all of the loans in the pool. Computershare Trust Company,
N.A. will be the master servicer and securities administrator. U.S.
Bank Trust National Association will be the trustee. Pentalpha
Surveillance LLC will be the representations and warranties (R&W)
breach reviewer.

One third-party review (TPR) firm verified the accuracy of the loan
level information. This firm conducted detailed credit, property
valuation, data accuracy and compliance reviews on 27.0% (by loan
count) of the mortgage loans in the collateral pool.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its losses based on qualitative attributes, including
origination quality, the strength of the R&W framework and
third-party review (TPR) results.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2022-GR1

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

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

Cl. A-3, Definitive Rating Assigned Aa1 (sf)

Cl. A-4, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

Cl. A-11-X*, Definitive Rating Assigned Aaa (sf)

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

Cl. A-12-X*, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf)

Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf)

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

Cl. A-X-6*, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.94%, in a baseline scenario-median is 0.70%, and reaches 5.60% at
stress level consistent with Moody's Aaa rating.

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

Moody's assessed the collateral pool as of January 1, 2022, the
cut-off date. The aggregate collateral pool as of the cut-off date
consists of 1,788 first lien, primarily 30-year, fully-amortizing
fixed-rate mortgage loans on residential investment properties with
an aggregate unpaid principal balance (UPB) of $519,290,576 and a
weighted average mortgage rate of 3.5%.

All the mortgage loans are secured by first liens on one-to-four
family residential properties, planned unit developments and
condominiums. 1,707 mortgage loans have original terms to maturity
of 30 years, six loans have original term to maturity of 25 years,
75 loans have original term to maturity of 20 years.

The WA current FICO score of the borrowers in the pool is 772. The
WA Original LTV ratio of the mortgage pool is 65.7%, which is in
line with that of comparable transactions.

The mortgage loans in the pool were originated mostly in California
(30.9% by loan balance) and in high cost metropolitan statistical
areas (MSAs) of Los Angeles (10.9%), Boston (10.5%), Chicago
(7.4%), San Francisco (6.4%) and others (16.4%). The average loan
balance of the pool is $290,431. Moody's made adjustments in
Moody's analysis to account for this geographic concentration risk.
Top 10 MSAs comprise 51.6% of the pool, by loan balance.
Approximately 19.6%% of the pool balance is related to borrowers
with two or more mortgages in the pool.

Aggregator/Origination Quality

GSMC is the loan aggregator and the mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the mortgage loan seller from Guaranteed Rate, Inc and
Guaranteed Rate Affinity, LLC. The mortgage loan seller does not
originate any mortgage loans, including the mortgage loans included
in the mortgage pool. Instead, the mortgage loan seller acquired
the mortgage loans pursuant to contracts with the originators.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to Moody's base case and Aaa stress loss assumptions based on the
servicing arrangement.

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. Computershare Trust Company, N.A.
(Computershare) will act as master servicer and securities
administrator under the sale and servicing agreement and as
custodian under the custodial agreement. Computershare is a
national banking association and a wholly-owned subsidiary of
Computershare Ltd (Baa2, long term rating), an Australian financial
services company with over $5 billion (USD) in assets as of June
30, 2021. Computershare Ltd and its affiliates have been engaging
in financial service activities, including stock transfer related
services since 1997, and corporate trust related services since
2000.

Third-party Review

Evolve Mortgage Services (Evolve), the TPR firm, reviewed 27.0% (by
loan count) of the loans for regulatory compliance, credit,
property valuation and data accuracy. The due diligence results
confirm compliance with the originators' underwriting guidelines
for many mortgage loans, no material compliance issues, and no
material valuation defects. The mortgage loans that had exceptions
to the originators' underwriting guidelines had significant
compensating factors that were documented.

Representations & Warranties

GSMBS 2022-GR1's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W providers determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment-grade rated R&W provider lends substantial
strength to its R&Ws. Moody's analyze the impact of less
creditworthy R&W providers case by case, in conjunction with other
aspects of the transaction. Here, because the R&W providers are
unrated and/or exhibit limited financial flexibility, Moody's
applied an adjustment to the mortgage loans for which these
entities provided R&Ws.

Tail Risk and Locked Out Percentage

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

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


GS MORTGAGE 2022-MM1: DBRS Gives Prov. B Rating on Class B-5 Certs
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2022-MM1 to be issued by
GS Mortgage-Backed Securities Trust 2022-MM1 (GSMBS 2022-MM1):

-- $299.5 million Class A-1 at AAA (sf)
-- $299.5 million Class A-2 at AAA (sf)
-- $36.5 million Class A-3 at AAA (sf)
-- $36.5 million Class A-4 at AAA (sf)
-- $179.7 million Class A-5 at AAA (sf)
-- $179.7 million Class A-6 at AAA (sf)
-- $224.6 million Class A-7 at AAA (sf)
-- $224.6 million Class A-7-X at AAA (sf0
-- $224.6 million Class A-8 at AAA (sf)
-- $44.9 million Class A-9 at AAA (sf)
-- $44.9 million Class A-10 at AAA (sf)
-- $119.8 million Class A-11 at AAA (sf)
-- $119.8 million Class A-11-X at AAA (sf)
-- $119.8 million Class A-12 at AAA (sf)
-- $74.9 million Class A-13 at AAA (sf)
-- $74.9 million Class A-14 at AAA (sf)
-- $20.0 million Class A-15 at AAA (sf)
-- $20.0 million Class A-15-X at AAA (sf)
-- $20.0 million Class A-16 at AAA (sf)
-- $20.0 million Class A-17 at AAA (sf)
-- $20.0 million Class A-17-X at AAA (sf)
-- $20.0 million Class A-18 at AAA (sf)
-- $20.0 million Class A-18-X at AAA (sf)
-- $319.5 million Class A-19 at AAA (sf)
-- $319.5 million Class A-20 at AAA (sf)
-- $36.5 million Class A-21 at AAA (sf)
-- $355.9 million Class A-X-1 at AAA (sf)
-- $299.5 million Class A-X-2 at AAA (sf)
-- $36.5 million Class A-X-3 at AAA (sf)
-- $36.5 million Class A-X-4 at AAA (sf)
-- $179.7 million Class A-X-5 at AAA (sf)
-- $44.9 million Class A-X-9 at AAA (sf)
-- $74.9 million Class A-X-13 at AAA (sf)
-- $5.8 million Class B-1 at AA (sf)
-- $5.6 million Class B-2 at A (sf)
-- $3.0 million Class B-3 at BBB (sf)
-- $1.9 million Class B-4 at BB (sf)
-- $940,000 Class B-5 at B (sf)

Classes A-7-X, A-11-X, A-15-X, A-17-X, A-18-X, A-X-1, A-X-3, A-X-4,
A-X-5, A-X-9, and A-X-13 are interest-only certificates. The class
balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X,
A-12, A-14, A-16, A-17, A-17-X, A-18, A-18-X, A-19, A-20, A-21, and
A-X-2 are exchangeable certificates. These classes can be exchanged
for combinations of exchange certificates as specified in the
offering documents.

Classes A-1, A-2, A-5, A-7, A-8, A-9, A-10, A-11, A-13, A-14, A-15,
A-16, A-17, A-18, A-19, and A-20 are super-senior certificates.
These classes benefit from additional protection from the senior
support certificate (Class A-3, A-4, and A-21) with respect to loss
allocation.

The AAA (sf) ratings on the Certificates reflect 5.30% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.75%, 2.25%,
1.45%, 0.95%, and 0.70% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 359 loans with a total principal
balance of $375,841,374 as of the Cut-Off Date (January 1, 2022).

Movement Mortgage, LLC (Movement Mortgage) originated all the loans
in the pool, and Goldman Sachs Mortgage Company is the Sponsor and
Mortgage Loan Seller of the transaction. This transaction
represents the second GSMBS prime securitization that includes 100%
Movement Mortgage loans, but the 21st postcrisis prime
securitization issued from the GSMBS shelf.

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average loan
age of two months. The pool is composed of nonagency, prime jumbo
mortgage loans, which were underwritten using an automated
underwriting system designated by Fannie Mae or Freddie Mac, but
were ineligible for purchase by such agencies because of loan
size.

NewRez LLC, doing business as Shellpoint Mortgage Servicing, will
service the mortgage loans. Computershare Trust Company, N.A. will
act as the Master Servicer, Securities Administrator, Certificate
Registrar, Rule 17g-5 Information Provider, and Custodian. U.S.
Bank Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.

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

Coronavirus Impact

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

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

As of the Cut-Off Date, there are no loans that are subject to an
active coronavirus-related forbearance plan with the Servicer.

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



IMPAC SECURED 2004-3: Moody's Ups Rating on Class M-3 Certs to Caa2
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one bond from
one US residential mortgage backed transaction (RMBS), backed by
Alt-A mortgages issued by Impac Secured Assets Corp. Mortgage
Pass-Through Certificates, Series 2004-3.

A List of Affected Credit Ratings is available at
https://bit.ly/3rquq2i

Complete rating actions are as follows:

Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-3

Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 30, 2011
Downgraded to C (sf)

RATINGS RATIONALE

The rating action reflects the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrade is a result of the improving performance of the
related pools and an increase in credit enhancement available to
the bond.

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

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. In cases where loan level data is not available, Moody's
assumed that the proportion of borrowers enrolled in payment relief
programs would be equal to levels observed in transactions of
comparable asset quality. Based on Moody's analysis, the proportion
of borrowers that are currently enrolled in payment relief plans
varied greatly, ranging between approximately 2% and 12% among RMBS
transactions issued before 2009. In Moody's analysis, Moody's
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

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

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

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

Principal Methodologies

The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in July 2020.

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

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.


JP MORGAN 2022-1: Fitch Assigns B(EXP) Rating on Cl. B-5 Debt
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage
Trust 2022-1 (JPMMT 2022-1).

DEBT                 RATING
----                 ------
JPMMT 2022-1

A-1       LT AA+(EXP)sf   Expected Rating
A-1-A     LT AA+(EXP)sf   Expected Rating
A-2       LT AAA(EXP)sf   Expected Rating
A-2-A     LT AAA(EXP)sf   Expected Rating
A-3       LT AAA(EXP)sf   Expected Rating
A-3-A     LT AAA(EXP)sf   Expected Rating
A-3-X     LT AAA(EXP)sf   Expected Rating
A-4       LT AAA(EXP)sf   Expected Rating
A-4-A     LT AAA(EXP)sf   Expected Rating
A-4-X     LT AAA(EXP)sf   Expected Rating
A-5       LT AAA(EXP)sf   Expected Rating
A-5-A     LT AAA(EXP)sf   Expected Rating
A-5-B     LT AAA(EXP)sf   Expected Rating
A-5-X     LT AAA(EXP)sf   Expected Rating
A-6       LT AAA(EXP)sf   Expected Rating
A-6-A     LT AAA(EXP)sf   Expected Rating
A-6-X     LT AAA(EXP)sf   Expected Rating
A-7       LT AAA(EXP)sf   Expected Rating
A-7-A     LT AAA(EXP)sf   Expected Rating
A-7-B     LT AAA(EXP)sf   Expected Rating
A-7-X     LT AAA(EXP)sf   Expected Rating
A-8       LT AAA(EXP)sf   Expected Rating
A-8-A     LT AAA(EXP)sf   Expected Rating
A-8-X     LT AAA(EXP)sf   Expected Rating
A-9       LT AAA(EXP)sf   Expected Rating
A-9-A     LT AAA(EXP)sf   Expected Rating
A-9-X     LT AAA(EXP)sf   Expected Rating
A-10      LT AAA(EXP)sf   Expected Rating
A-10-A    LT AAA(EXP)sf   Expected Rating
A-10-X    LT AAA(EXP)sf   Expected Rating
A-11      LT AAA(EXP)sf   Expected Rating
A-11-X    LT AAA(EXP)sf   Expected Rating
A-11-A    LT AAA(EXP)sf   Expected Rating
A-11-AI   LT AAA(EXP)sf   Expected Rating
A-11-B    LT AAA(EXP)sf   Expected Rating
A-11-BI   LT AAA(EXP)sf   Expected Rating
A-12      LT AAA(EXP)sf   Expected Rating
A-13      LT AAA(EXP)sf   Expected Rating
A-13-A    LT AAA(EXP)sf   Expected Rating
A-14      LT AA+(EXP)sf   Expected Rating
A-15      LT AA+(EXP)sf   Expected Rating
A-15-A    LT AA+(EXP)sf   Expected Rating
A-15-B    LT AA+(EXP)sf   Expected Rating
A-15-C    LT AA+(EXP)sf   Expected Rating
A-16      LT AA+(EXP)sf   Expected Rating
A-17      LT AA+(EXP)sf   Expected Rating
A-X-1     LT AA+(EXP)sf   Expected Rating
A-X-2     LT AA+(EXP)sf   Expected Rating
A-X-3     LT AAA(EXP)sf   Expected Rating
A-X-3-A   LT AAA(EXP)sf   Expected Rating
A-X-4     LT AA+(EXP)sf   Expected Rating
B-1       LT AA-(EXP)sf   Expected Rating
B-1-A     LT AA-(EXP)sf   Expected Rating
B-1-X     LT AA-(EXP)sf   Expected Rating
B-2       LT A-(EXP)sf    Expected Rating
B-2-A     LT A-(EXP)sf    Expected Rating
B-2-X     LT A-(EXP)sf    Expected Rating
B-3       LT BBB-(EXP)sf  Expected Rating
B-4       LT BB-(EXP)sf   Expected Rating
B-5       LT B(EXP)sf     Expected Rating
B-6       LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
issued by J.P. Morgan Mortgage Trust 2022-1 (JPMMT 2022-1), as
indicated above. The certificates are supported by 2,214 loans with
a total balance of approximately $2,013 billion as of the cutoff
date. The pool consists of prime quality fixed-rate mortgages from
various mortgage originators. The servicers in the transaction
consist of United Wholesale Mortgage, LLC, J.P. Morgan,
loandepot.com, LLC and various other servicers. Nationstar Mortgage
LLC will be the master servicer.

All of the loans qualify as either Safe Harbor Qualified Mortgages
(SHQM), Agency SHQM loans or QM Safe Harbor Average Prime Offer
Rate (APOR) loans.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate based off of the net weighted-average coupon (WAC), or
floating/inverse floating rate based off of the SOFR index, and
capped at the net WAC. This is the eighth Fitch-rated JPMMT
transaction to use SOFR as the index rate for floating/inverse
floating-rate certificates.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Updated Sustainable
Home Prices: Due to Fitch's updated view on sustainable home
prices, Fitch views the home price values of this pool as 11.1%
above a long-term sustainable level (vs. 10.6% on a national
level). Underlying fundamentals are not keeping pace with the
growth in prices, which is a result of a supply/demand imbalance
driven by low inventory, low mortgage rates and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 19.7% yoy
nationally as of September 2021.

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

The pool has a WA original FICO score of 763 (as determined by
Fitch), which is indicative of very high credit quality borrowers.
Approximately 68.3% (as determined by Fitch) of the loans have a
borrower with an original FICO score equal to or above 750. In
addition, the original WA combined loan-to-value ratio (LTV) of
70.6%, translating to a sustainable LTV of 78.0%, represents
substantial borrower equity in the property and reduced default
risk.

A 80.6% portion of the pool comprises nonconforming loans, while
the remaining 19.4% represents conforming loans. All of the loans
are designated as QM loans, with 44.3% of the pool being originated
by a retail and correspondent channel.

The pool consists of 82.6% of loans where the borrower maintains a
primary residence, while 17.4% comprises second homes.
Single-family homes and Planned Unit Developments (PUDs) comprise
91.9% of the pool, and condominiums make up 6.7%. Cash-out
refinances comprise 36.2% of the pool, purchases comprise 47.6% of
the pool and rate-term refinances comprise 16.2% of the pool.

A total of 827 loans in the pool are over $1 million, and the
largest loan is $3.00 million.

Fitch determined that 19 of the loans were made to nonpermanent
residents.

Approximately 48.6% of the pool is concentrated in California. The
largest MSA concentration is in the Los Angeles-Long Beach-Santa
Ana, CA MSA (17.2%), followed by the San Francisco-Oakland-Fremont,
CA MSA (8.9%) and the San Diego-Carlsbad-San Marcos, CA MSA (6.5%).
The top three MSAs account for 33% of the pool. As a result, there
was no PD penalty for geographic concentration.

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

CE Floor (Positive): A CE or senior subordination floor of 0.55%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 0.40% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 42.2% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Digital Risk, Consolidated
Analytics, Covius and Opus. The third-party due diligence described
in Form 15E focused on four areas: compliance review, credit
review, valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch decreased its
loss expectations by 0.28% at the 'AAAsf' stress due to 100% due
diligence with no material findings.

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

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


JP MORGAN 2022-INV1: Moody's Assigns B3 Rating to Class B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 49
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2022-INV1. The ratings range
from Aaa (sf) to B3 (sf).

JPMMT 2022-INV1 is the first transaction in 2022 issued by J.P.
Morgan Mortgage Acquisition Corporation (JPMMAC) backed by
investment properties. JPMMT 2022-INV1 is a securitization of
agency-eligible investor (INV) mortgage loans backed by 2,218 fixed
rate, non-owner occupied mortgage loans (designated for investment
purposes by the borrower), with an aggregate unpaid principal
balance (UPB) of approximately $739,888,377. Moody's consider the
overall servicing framework for this pool to be adequate given the
servicing arrangement, as well as the presence of an experienced
master servicer. United Wholesale Mortgage, LLC (UWM) will service
100.0% of the mortgage loans. Cenlar FSB (Cenlar) will sub-service
the loans for UWM.

JPMMT 2022-INV1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, Moody's took into account the step-up
incentive servicing fee structure.

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the third-party review (TPR) and the
representations and warranties (R&W) framework of the transaction.


The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2022-INV1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-11-X*, Definitive Rating Assigned Aaa (sf)

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

Cl. A-11-AI*, Definitive Rating Assigned Aaa (sf)

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

Cl. A-11-BI*, Definitive Rating Assigned Aaa (sf)

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

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

Cl. A-14, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Moody's expected loss for this pool in a baseline scenario-mean is
0.99%, in a baseline scenario-median is 0.72%, and reaches 6.36% at
a stress level consistent with Moody's Aaa ratings.

Collateral Description

Moody's assessed the collateral pool as of January 1, 2022, the
cut-off date. The deal will be backed by 2,218 fully amortizing
fixed-rate mortgage loans with an aggregate unpaid principal
balance (UPB) of approximately $739,888,377 and an original term to
maturity of up to 30 years. The pool consists of 100.0%
GSE-eligible conforming mortgage loans. The GSE-eligible loans were
underwritten pursuant to GSE guidelines and were approved by DU/LP.


Overall, the pool is of strong credit quality and includes
borrowers with high FICO scores (weighted average primary borrower
FICO of 769) and low loan-to-value ratios (weighted average CLTV
64.3%). The weighted average borrower total monthly income is
$17,411 with an weighted average of $266,367 cash reserves.
Approximately 49.8% of the mortgage loans (by UPB) were originated
in California followed by Florida (approx. 5.8% by UPB) and Utah
(approx. 5.6% by UPB). The high geographic concentration in the
high-cost state of California is reflected in the high average
balance of the pool ($333,584). Approximately 0.6% of the mortgage
loans are designated as agency safe harbor Qualified Mortgages (QM)
and meet Appendix Q to the QM rules with 93 such loan originated
under the new QM APOR framework, two loans (0.1% by loan count)
originated under the QM agency rebuttal and the remaining 95.1% (by
loan count) of the mortgage loans are an extension of credit
primarily for a business or commercial purpose and are not a
covered transaction as defined in Section 1026.43(b)(1) of
Regulation Z.

Aggregation/Origination Quality

Moody's consider JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC aggregation
quality, Moody's have also reviewed the origination quality of UWM
who originated and sold 100.0% of the mortgage loans in the pool.
Moody's did not make an adjustment for GSE-eligible loans (100.0%
of the pool by balance) since those loans were underwritten in
accordance with GSE guidelines.

Servicing Arrangement

Moody's consider the overall servicing framework for this pool to
be adequate given the servicing arrangement of the servicer, as
well as the presence of an experienced master servicer. Nationstar
Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc.
corporate family rating B2) will act as the master servicer.

UWM will service 100% of the mortgage loans. Cenlar will
sub-service the loans for UWM. The servicer is required to advance
P&I on the mortgage loans. To the extent that the servicer is
unable to do so, the master servicer will be obligated to make such
advances. In the event that the master servicer, Nationstar, is
unable to make such advances, the securities administrator,
Citibank, N.A. (rated Aa3) will be obligated to do so to the extent
such advance is determined by the securities administrator to be
recoverable. The servicing fee for loans in this transaction is
based on a step-up incentive fee structure with a monthly base fee
of $25 per loan and additional fees for delinquent or defaulted
loans.

Third-Party Review

The credit, compliance, property valuation, and data integrity
portion of the third party review (TPR) was conducted by AMC
Diligence, LLC (AMC) on 131 mortgage loans out of the prospective
securitization population of 2,424 mortgage loans (such mortgage
loans, the 'Fully Reviewed Mortgage Loans'). Furthermore, AMC
performed review on a random sample of 573 (the 'Sample Set'),
approximately 25.0% by loan count, out of the remaining mortgage
loans in the prospective securitization population. The reports of
the Fully Reviewed Mortgage Loans and the Sample Set, 606 in total
(approx. 27.3% by loan count), were analyzed as two separate
groups. With the exception of 12 mortgage loans which received a
final "C" grade and 1 mortgage loan which received a final "D"
grade, and in each case, the sponsor removed such loans from the
mortgage pool, the due diligence results confirm compliance with
the originator's underwriting guidelines for the vast majority of
loans, no material regulatory compliance issues, and no material
property valuation issues. The loans that had exceptions to the
originator's underwriting guidelines had significant compensating
factors that were documented. Overall, Moody's did not make
adjustments to Moody's losses as (i) the sample size that went
through full due-diligence either met or exceeded Moody's
credit-neutral criteria and (ii) after reviewing the dropped loans
which received a final grade of "C" and final grade of "D", Moody's
did not deem these exceptions to be material and therefore did not
extrapolate these TPR results on the unsampled portion of the pool.


R&W Framework

Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT
2022-INV1's R&W framework is in line with that of other JPMMT
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. The loan-level R&Ws meet or exceed the
baseline set of credit-neutral R&Ws Moody's have identified for US
RMBS. The R&W framework is "prescriptive", whereby the transaction
documents set forth detailed tests for each R&W.

The originators and the aggregators each makes a comprehensive set
of R&Ws for their loans. The creditworthiness of the R&W provider
determines the probability that the R&W provider will be available
and have the financial strength to repurchase defective loans upon
identifying a breach. JPMMAC does not backstop the originator R&Ws,
except for certain "gap" R&Ws covering the period from the date as
of which such R&W is made by an originator or an aggregator,
respectively, to the cut-off date or closing date. In this
transaction, Moody's made adjustments to its base case and Aaa loss
expectations for R&W providers that are unrated and/or financially
weaker entities.

Transaction Structure

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

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinate bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinate bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the cut-off date pool
balance, and as subordination lockout amount of 1.00% of the
cut-off date pool balance. Moody's calculate the credit neutral
floors as shown in Moody's principal methodology.

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


Down

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

Up

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

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


JPMBB COMMERCIAL 2014-C19: Fitch Affirms CCC Rating on F Debt
-------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of JPMBB Commercial Mortgage
Securities Trust 2014-C19 and revised the Rating Outlook to Stable
from Negative on four classes.

    DEBT              RATING            PRIOR
    ----              ------            -----
JPMBB 2014-C19

A-3 46641WAU1    LT AAAsf   Affirmed    AAAsf
A-4 46641WAV9    LT AAAsf   Affirmed    AAAsf
A-S 46641WAZ0    LT AAAsf   Affirmed    AAAsf
A-SB 46641WAW7   LT AAAsf   Affirmed    AAAsf
B 46641WBA4      LT AA-sf   Affirmed    AA-sf
C 46641WBB2      LT A-sf    Affirmed    A-sf
D 46641WAG2      LT BBB-sf  Affirmed    BBB-sf
E 46641WAJ6      LT B-sf    Affirmed    B-sf
EC 46641WBC0     LT A-sf    Affirmed    A-sf
F 46641WAL1      LT CCCsf   Affirmed    CCCsf
X-A 46641WAX5    LT AAAsf   Affirmed    AAAsf
X-B 46641WAY3    LT AA-sf   Affirmed    AA-sf

KEY RATING DRIVERS

Decreased Loss Expectations: Fitch's loss expectations have
decreased since the last rating action due to better than expected
performance through the pandemic for many loans. While much of the
pool has improved, Fitch's loss expectations for specially serviced
loans have increased since the last rating action due to additional
loans transferring to special servicing and increasing exposures
for some of the assets/loans in special servicing. There are seven
loans/assets in special servicing (9.2% of the pool), one of which
(1.0% of the pool) transferred since the last rating action. Of the
specially serviced loans one (4.1% of the pool) is in the top 15.
An additional 10 loans (47.5% of the pool) have been flagged as
Fitch Loans of Concern (FLOC), six of which (44.6% of the pool) are
in the top 15.

Fitch's ratings incorporate a base case loss of 8.3%.

The largest contributor to losses and largest specially serviced
loan is Muncie Mall (4.1% of the pool). Losses for this loan have
increased since Fitch's last rating action due to growing exposure.
Muncie Mall, secured by a 581,492 sf portion of a regional mall
located in Muncie, IN, transferred to special servicing in February
2020 due to imminent default. The mall has lost several of its
original anchor tenants including Sears (formerly 24.7% of
collateral NRA), Carsons (15.2%), which closed in August 2018; the
non-collateral Macy's, which closed in February 2020; and, JC
Penney, which closed in June 2020. Fitch is modeling a full loss on
the asset.

Increased Credit Enhancement: As of the January 2022 distribution
date, the pool's aggregate balance has been paid down by 46.5% to
$775 million from $1.43 billion at issuance. Twenty-one loans,
representing 39.7% of the balance at securitization, have repaid.
The pool has incurred $8.2 million (0.6% of original pool balance)
in realized losses from the disposition of the Grand Williston
Hotel and Conference Center loan, which was disposed in August 2019
at a 65% loan level loss severity. Seven loans (8.3% of the pool)
are covered by fully defeased collateral. Of the non-specially
serviced and non-defeased loans, one loan (4.0% of the pool)
matures in 2023, 26 loans (72.9% of the pool) mature in 2024, and
the remainder of the loans mature in 2034.

RATING SENSITIVITIES

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

-- Downgrades could be triggered by an increase in pool-level
    losses from underperforming or specially serviced loans.
    Downgrades to classes A-2 through A-S are not likely due to
    the position in the capital structure, but may occur should
    interest shortfalls affect these classes.

-- Downgrades to class B, C, X-B and EC are possible should
    expected losses for the pool increase significantly and/or
    losses on the specially serviced loans become increase
    significantly.

-- A downgrade to class D is possible should performance of the
    FLOCs continue to decline, should additional loans transfer to
    special servicing and/or should FLOCs not stabilize. Further
    downgrades to classes E and F would occur as losses are
    realized and/or greater certainty of loss.

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

-- Upgrades could be triggered by significantly improved
    performance coupled with paydown and/or defeasance. Upgrades
    to class B would likely occur with significant improvement in
    credit enhancement and/or defeasance; however, adverse
    selection, increased concentrations and/or further
    underperformance of the FLOCs could cause this trend to
    reverse.

-- An upgrade to class C would also take into account these
    factors, but would be limited based on sensitivity to
    concentrations or the potential for future concentration.
    Classes would not be upgraded above 'Asf' if interest
    shortfalls are likely. An upgrade to class D is not likely
    until the later years in the transaction and only if the
    performance of the remaining pool is stable and/or there is
    sufficient credit enhancement.

-- Classes E and F are unlikely to be upgraded absent significant
    performance improvement on the FLOCs and substantially higher
    recoveries than expected on the specially serviced
    loans/assets.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


KKR INDUSTRIAL 2021-KDIP: DBRS Confirms B(low) Rating on G Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2021-KDIP issued by KKR
Industrial Portfolio Trust 2021-KDIP as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the loan was secured by the
fee-simple interest in a portfolio of 96 industrial/distribution
properties totalling approximately 10.9 million square feet (sf)
across nine U.S. states. The whole loan of $740.0 million consisted
of $695.0 million of senior debt held in the trust and $45.0
million of mezzanine debt held outside of the trust. The sponsor,
KKR Real Estate Partners Americas II L.P, is an affiliate of KKR &
Co. Inc. (KKR), a global investment firm with more than $459
billion in assets under management as of September 2021. Whole-loan
proceeds along with approximately $300.4 million of cash equity
facilitated the acquisition of the portfolio at a purchase price of
$989.5 million, funded upfront reserves of $36.8 million, and
covered closing costs.

The interest-only loan includes an initial two-year term with three
one-year extension options. The loan was structured with a partial
pro rata/sequential-pay structure, which allowed for pro rata
paydowns of the initial 25.0% of the unpaid principal balance. The
loan also has release provisions where the borrower may release one
or more pre-approved release parcels at a release price equal to
100.0% of the allocated loan amount (ALA) (aggregate releases must
not exceed 10.0% of the original principal balance). Otherwise, the
prepayment premium to release individual assets is 105.0% of the
ALA (aggregate releases must not exceed 15.0% of the original
principal balance) and 110% of the ALA for the release of
individual properties assets thereafter.

In October 2021, 32 properties were released from the trust, in
accordance with the release provisions and payment structure noted
above, resulting in a $222.1 million principal repayment of the
senior debt for a collateral reduction of 31.8%. According to the
loan documents, a concurrent pro rata payment of the mezzanine loan
was to be made with prepayment. Per the January 2022 reporting, 64
industrial/distribution properties remain as collateral, totalling
approximately 7.9 million sf, with the largest state concentrations
in Illinois (24.2% of the ALA), Texas 20.4% of the ALA),
Pennsylvania (14.9% of the ALA), and Georgia (14.9% of the ALA). By
property subtype, the portfolio is primarily classified as
distribution space, which represents approximately 66.6% of the
portfolio's net rentable area (NRA), while 17.1% of the NRA is
classified as general industrial and 14.4% of the NRA is warehouse
space. While it is notable that leases representing 15.9% of the
NRA are scheduled to expire in 2022, with another concentration of
15.1% scheduled to expire in 2024, the loan was structured with
$10.5 million upfront in tenant improvement/leasing commission
reserves to help mitigate future tenant rollover and aid with
leasing costs.

While no updated financial reporting has been made available to
date, the DBRS Morningstar net cash flow derived at issuance was
adjusted for this review, accounting for the release of the
aforementioned properties. Leverage increased since issuance given
the weak collateral release provisions, but remained within the
DBRS Morningstar loan-to-value (LTV) benchmarks. DBRS Morningstar
made positive qualitative adjustments to the final LTV sizing
benchmarks used for this rating analysis to account for cash flow
volatility, property quality, and market fundamentals. DBRS
Morningstar also made other negative adjustments to account for the
weak deleveraging premium.

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



LUNAR AIRCRAFT 2020-1: Fitch Affirms B Rating on Class C Notes
--------------------------------------------------------------
Fitch Ratings has affirmed the class A, B, and C notes issued by
Lunar Aircraft 2020-1 Limited (Lunar). The Rating Outlooks for all
classes remain Negative.

   DEBT            RATING           PRIOR
   ----            ------           -----
Lunar Aircraft 2020-1 Limited

A 55037LAA2   LT BBBsf  Affirmed    BBBsf
B 55037LAB0   LT BBsf   Affirmed    BBsf
C 55037LAC8   LT Bsf    Affirmed    Bsf

TRANSACTION SUMMARY

The rating actions reflect pressure on all airline lessee credits
backing the leases in the transaction pool, downward pressure on
certain aircraft values, Fitch's updated assumptions and stresses,
and resulting impairments to modeled cash flows and coverage
levels. The prior review was in January 2021.

The Rating Outlooks remain Negative on each tranche, reflecting
Fitch's base case expectation for the structure to withstand
immediate- and near-term stresses at the updated assumptions and
stressed scenarios, commensurate with their respective ratings.
Continued global travel restrictions and overall airline recovery
driven by the pandemic and the subsequent airlines recovery,
including ongoing regional flareups and potential for and
occurrence of new virus variants, resulted in continued delays in
recovery of the airline industry.

This remains a credit negative for these aircraft ABS transactions
and airlines globally remain under pressure, despite the recent
opening up of borders regionally and pick-up in air travel across
many regions. This could lead to additional near-term lease
deferrals, airline defaults and bankruptcies, along with lower
aircraft demand and value impairments, which can impact the pool.
These negative factors could manifest in the transaction resulting
in lower cash flows and pressure on ratings in the near term.

Fitch updated rating assumptions for both rated and non-rated
airlines and also aircraft values, which were key drivers of these
rating actions, along with ongoing performance metrics, which
remain mostly within Fitch's expectations for certain elements from
the prior review.

Since the last review in 2021, Lunar experienced stability in
airline lessee credit with a few lessees taking positive
single-notch upgrades, offset to some extent by an increase in
off-lease aircraft. Utilization has declined but recent lease
extensions and new leases executed may boost this figure in the
short term, along with stability in other performance metrics since
the last review. The transaction performance has been consistent
with Fitch's expectations in terms of principal payments on the
notes in the past year since the last review.

Updated aircraft appraisals were utilized for this review (as of
the January 2022 monthly reporting), and asset values remained
fairly consistent versus a year ago. Ultimately, this supported
fairly consistent loan-to-values (LTV) for all notes since the last
review.

Therefore, cash flow modeling for Lunar was not conducted as
performance has been within expectations and the transaction was
modeled within the past 18 months, consistent with criteria.

Deucalion Aviation Limited (Deucalion; not rated by Fitch) is the
servicer of Lunar. Deucalion was formerly known as DVB AAM (DVB);
DVB was sold in late 2021.

Fitch deems the servicer adequate to service ABS based on its
experience as a lessor, overall servicing capabilities and
historical ABS performance to date.

KEY RATING DRIVERS

Stable Airline Lessee Credit:

The credit profiles of the airline lessees in the pools remained
fairly stable with some improvement across rating assumptions since
the last review, but many continue to be under stress due to the
coronavirus-related impact on all global airlines entering early
2022. The proportion of the Lunar pool assumed at a 'CCC' Issuer
Default Rate (IDR) and below improved to 47.1% down from 64.6% in
the prior review. While credit quality has improved, this is
partially offset by an increase in the number of off-lease
aircraft.

The assumptions are reflective of these airlines' ongoing credit
profiles and fleets in the current operating environment, due to
the continued coronavirus-related impact on the sector. Any
publicly rated airlines in the pool whose ratings have shifted have
been updated, and there were a few airlines with higher ratings at
this review versus in 2021.

Asset Quality and Appraised Pool Value:

The pool consists of 100% narrowbody (NB) mid-to-end-of-life
aircraft (weighted-average [WA] age of 12.2 years) and leases with
short remaining terms (WA 2.6 years remaining term). There
continues to be elevated uncertainty around market values, and how
the current environment will affect near-term lease maturities.
Fitch recognizes that there may continue to be pressure on values
in the short-to-medium term.

Appraisers for this portfolio are Collateral Verifications (CV),
International Bureau of Aviation (IBA), and Morten Beyer & Agnew
(mba). The reported transaction value as of the January 2022
remittance report is $239.2 million, a 6.8% decline from the prior
review's reported transaction value of $255.5 million.

Transaction Performance to Date:

Lease collections and transaction cash flows have exhibited a
decline over the past twelve months, with the last six months'
collections approximately 21% below the immediately preceding six
months' collections. Lunar received approximately $1.0 million in
rent collections in each of the December and November collection
periods, the lowest two collection periods since transaction close.
However, two new leases have been executed and are expected to
commence February 2022, which will support higher collections going
forward.

Cash flows only partially reached the scheduled principal amount
for the series A and B notes, but not the series C notes. Interest
has been paid to the series A and B notes, but the series C notes
continue to not pay interest since August 2020. The
debt-service-coverage-ratio trigger (DSCR) continues to be breached
below the rapid amortization threshold. To date, no aircraft have
been sold from the pool.

RATING SENSITIVITIES

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

Down: Base Assumptions with Longer Downtime for Off-Lease Aircraft

-- During the ongoing coronavirus pandemic, Fitch believes that
    it is more challenging for aircraft to be placed on new leases
    compared to during a normal environment. As a result, aircraft
    downtime is likely to increase, especially for those leases
    expected to expire over the near term.

-- At prior review, current off-lease aircraft were assumed to
    have 12 months of downtime in addition to the base case
    assumptions related to time to remarket. Declines in net cash
    flow as a result of a weaker market for aircraft leases could
    potentially result in downgrades.

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

Up: Base Assumptions with Stronger Asset Values:

-- The aircraft ABS sector has a rating cap of 'Asf'. All
    subordinate tranches carry one category of ratings lower than
    the senior tranche and below the ratings at close. However, if
    the assets in this pool display stronger asset values than
    Fitch assumes and therefore stronger lease collections than
    Fitch's stressed scenarios, the transaction could perform
    better than expected.

-- At prior review, Fitch used the appraised values (average
    MABV) as indicated in the January 2021 report, which were
    higher compared to Fitch's utilized model values. Under this
    scenario, the transaction would experience an improvement to
    cash flows, and each series would be considered for ratings
    uplift.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


MADISON PARK XXXIII: S&P Affirms Class E Notes Rating at B+ (sf)
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R replacement notes from Madison Park Funding XXXIII Ltd./Madison
Park Funding XXXIII LLC, a CLO originally issued in 2019 that is
managed by Credit Suisse Asset Management LLC. At the same time,
S&P withdrew its ratings on the original class A, B-1, B-2, C, and
D notes following payment in full on the Feb. 2, 2022, refinancing
date. S&P also affirmed its ratings on the class E notes, which
were not refinanced.

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

-- The non-call period was extended to April 15, 2023.

-- The reinvestment period was extended to Jan. 15, 2025.

-- The weighted average life test was extended to approximately
eight years from the refinancing date.

-- No additional subordinated notes were issued on the refinancing
date.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $496.00 million: Three-month SOFR + 1.29%
  Class B-R, $112.00 million: Three-month SOFR + 1.80%
  Class C-R, $48.00 million: Three-month SOFR + 2.20%
  Class D-R, $48.00 million: Three-month SOFR + 3.10%
  Class E, $32.00 million: Three-month SOFR + 6.90%
  Subordinated notes, $70.00 million: Not applicable

  Original notes

  Class A, $512.00 million: Three-month LIBOR + 1.33%
  Class B-1, $50.00 million: Three-month LIBOR + 1.80
  Class B-2, $46.00 million: 3.3311%
  Class C, $48.00 million: Three-month LIBOR + 2.45%
  Class D, $48.00 million: Three-month LIBOR + 3.80%
  Class E, $32.00 million: Three-month LIBOR + 6.80%
  Subordinated notes, $70.00 million: Not applicable

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

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

  Ratings Assigned

  Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC

  Class A-R, $496.00 million: AAA(sf)
  Class B-R, $112.00 million: AA (sf)
  Class C-R (deferrable), $48.00 million: A (sf)
  Class D-R (deferrable), $48.00 million: BBB- (sf)

  Rating Affirmed

  Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC

  Class E: B+ (sf)

  Ratings Withdrawn

  Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC

  Class A to NR from AAA(sf)
  Class B-1 to NR from AA (sf)
  Class B-2 to NR from AA (sf)
  Class C to NR from A (sf)
  Class D to NR from BBB- (sf)

  Other Outstanding Class

  Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC

  Subordinated notes, $70.00 million: NR

  NR--Not rated.



MELLO MORTGAGE 2022-INV1: DBRS Gives Prov. B Rating on B-5 Certs
----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2022-INV1 to be issued
by Mello Mortgage Capital Acceptance 2022-INV1 (MELLO 2022-INV1):

-- $550.8 million Class A-1 at AAA (sf)
-- $550.8 million Class A-1-A at AAA (sf)
-- $507.5 million Class A-2 at AAA (sf)
-- $507.5 million Class A-2-A at AAA (sf)
-- $507.5 million Class A-2-B at AAA (sf)
-- $406.0 million Class A-3 at AAA (sf)
-- $406.0 million Class A-3-A at AAA (sf)
-- $406.0 million Class A-3-B at AAA (sf)
-- $406.0 million Class A-3-X at AAA (sf)
-- $304.5 million Class A-4 at AAA (sf)
-- $304.5 million Class A-4-A at AAA (sf)
-- $304.5 million Class A-4-B at AAA (sf)
-- $304.5 million Class A-4-X at AAA (sf)
-- $101.5 million Class A-5 at AAA (sf)
-- $101.5 million Class A-5-A at AAA (sf)
-- $101.5 million Class A-5-X at AAA (sf)
-- $247.0 million Class A-6 at AAA (sf)
-- $247.0 million Class A-6-A at AAA (sf)
-- $247.0 million Class A-6-B at AAA (sf)
-- $247.0 million Class A-6-X at AAA (sf)
-- $159.0 million Class A-7 at AAA (sf)
-- $159.0 million Class A-7-A at AAA (sf)
-- $159.0 million Class A-7-X at AAA (sf)
-- $57.5 million Class A-8 at AAA (sf)
-- $57.5 million Class A-8-A at AAA (sf)
-- $57.5 million Class A-8-X at AAA (sf)
-- $26.3 million Class A-9 at AAA (sf)
-- $26.3 million Class A-9-A at AAA (sf)
-- $26.3 million Class A-9-X at AAA (sf)
-- $75.2 million Class A-10 at AAA (sf)
-- $75.2 million Class A-10-A at AAA (sf)
-- $75.2 million Class A-10-X at AAA (sf)
-- $101.5 million Class A-11 at AAA (sf)
-- $101.5 million Class A-11-X at AAA (sf)
-- $101.5 million Class A-11-A at AAA (sf)
-- $101.5 million Class A-11-AI at AAA (sf)
-- $101.5 million Class A-11-B at AAA (sf)
-- $101.5 million Class A-11-BI at AAA (sf)
-- $101.5 million Class A-11-C at AAA (sf)
-- $101.5 million Class A-12 at AAA (sf)
-- $101.5 million Class A-13 at AAA (sf)
-- $43.3 million Class A-14 at AAA (sf)
-- $43.3 million Class A-15 at AAA (sf)
-- $440.6 million Class A-16 at AAA (sf)
-- $110.2 million Class A-17 at AAA (sf)
-- $550.8 million Class A-X-1 at AAA (sf)
-- $550.8 million Class A-X-2 at AAA (sf)
-- $101.5 million Class A-X-3 at AAA (sf)
-- $43.3 million Class A-X-4 at AAA (sf)
-- $6.0 million Class B-1 at AA (sf)
-- $17.3 million Class B-2 at A (low) (sf)
-- $7.8 million Class B-3 at BBB (sf)
-- $6.3 million Class B-4 at BB (sf)
-- $1.5 million Class B-5 at B (sf)

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

Classes A-1, A-1-A, A-2, A-2-A, A-2-B, A-3, A-3-A, A-3-B, A-3-X,
A-4, A-4-A, A-4-B, A-4-X, A-5, A-5-A, A-5-X, A-6, A-6-B, A-7,
A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI, A-11-B, A-11-BI,
A-11-C, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates.

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

The AAA (sf) ratings on the Certificates reflect 7.75% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 6.75%,
3.85%, 2.55%, 1.50%, and 1.25% of credit enhancement,
respectively.

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

This is a securitization of a portfolio of first-lien, fixed-rate
prime conventional investment-property residential mortgages funded
by the issuance of the Certificates. The Certificates are backed by
1,442 loans with a total principal balance of $597,079,019 as of
the Cut-Off Date (January 1, 2022).

In contrast to loanDepot.com, LLC's (loanDepot) prime MELLO MTG
series, MELLO 2022-INV1 is its fifth prime securitization composed
of fully amortizing fixed-rate mortgages on non-owner-occupied
residential investment properties. The portfolio consists of
conforming mortgages with original terms to maturity of primarily
30 years, which were underwritten by loanDepot using an automated
underwriting system designated by Fannie Mae or Freddie Mac and
were eligible for purchase by such agencies. In its analysis, DBRS
Morningstar applied property value haircuts to such loans, which
increased the expected losses on the collateral. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section of the presale report.

loanDepot is the Originator, Seller, and Servicing Administrator of
the mortgage loans. mello Credit Strategies LLC is the Sponsor of
the transaction. LD Holdings Group LLC will serve as the Guarantor
with respect to the remedy obligations of the Seller. mello
Securitization Depositor LLC, a subsidiary of the Sponsor and an
affiliate of the Seller, will act as Depositor of the transaction.

Cenlar FSB will act as the Servicer. Computershare Trust Company,
N.A. will act as the Master Servicer and Securities Administrator.
Wilmington Savings Fund Society, FSB will serve as the Trustee, and
Deutsche Bank National Trust Company will serve as the Custodian.

For this transaction, the servicing fee comprises three separate
components: the aggregate base servicing fee, the aggregate
delinquent servicing fee, and the aggregate additional servicing
fee. These fees vary, based on the delinquency status of the
related loan, and will be paid from interest collections before
distribution to the securities.

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

Coronavirus Disease (COVID-19) Pandemic Impact

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

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

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

The ratings reflect transactional weaknesses that include loans
that are 100% investor properties and certain borrowers with
multiple mortgages in the securitized pool, certain aspects of the
representations and warranties framework, and the servicing
administrator's financial capabilities.

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



MELLO MORTGAGE 2022-INV1: Moody's Gives B3 Rating to Cl. B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 54
classes of residential mortgage-backed securities (RMBS) issued by
Mello Mortgage Capital Acceptance 2022-INV1 (MMCA 2022-INV1). The
ratings range from Aaa (sf) to B3 (sf).

MMCA 2022-INV1 is a securitization of GSE eligible first-lien
investment property loans. Similarly to the MMCA 2021-INV3 and
INV4, 100.0% of the pool by loan balance is originated by
loanDepot.com, LLC (loanDepot).

In this transaction, the Class A-11, Class A-11-A, Class A-11-B,
and A-11-C notes' coupon is indexed to SOFR. In addition, the
coupon on Class A-11-X, Class A-11-AI, and Class A-11-BI is also
impacted by changes in SOFR. However, based on the transaction's
structure, the particular choice of benchmark has no credit impact.
First, interest payments to the notes, including the floating rate
notes, are subject to the net WAC cap, which prevents the floating
rate notes from incurring interest shortfalls as a result of
increases in the benchmark index above the fixed rates at which the
assets bear interest. Second, the shifting-interest structure pays
all interest generated on the assets to the bonds and does not
provide for any excess spread.

Servicing compensation is subject to a step-up incentive fee
structure. The servicing fee includes a base fee plus delinquency
and incentive fees. Delinquency and incentive fees will be deducted
reverse sequentially starting from the Class B-6 interest payment
amount first and could result in interest shortfall to the
certificates depending on the magnitude of the delinquency and
incentive fees.

The complete rating actions are as follows:

Issuer: Mello Mortgage Capital Acceptance 2022-INV1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-11-X*, Definitive Rating Assigned Aaa (sf)

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

Cl. A-11-AI*, Definitive Rating Assigned Aaa (sf)

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

Cl. A-11-BI*, Definitive Rating Assigned Aaa (sf)

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

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

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

Cl. A-14, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 1.00%
at the mean, 0.70% at the median, and reaches 7.15% at a stress
level consistent with Moody's Aaa ratings.

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral description

As of the cut-off date of January 1, 2021, the $597,079,019 pool
consisted of 1,442 mortgage loans secured by first liens on
residential investment properties. All the loans are underwritten
in accordance with Freddie Mac or Fannie Mae guidelines, which take
into consideration, among other factors, the income, assets,
employment and credit score of the borrower as well as
loan-to-value (LTV). These loans are run through one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and have received an "Approve" or "Accept"
recommendation.

The average stated principal balance is $414,063 and the weighted
average (WA) current mortgage rate is 3.4%. The majority of the
loans have a 30 year term. All of the loans have a fixed rate. The
WA original credit score is 766 for the primary borrower only and
the WA combined original LTV is 64.7%. The WA original
debt-to-income (DTI) ratio is 36.2%. Approximately 12.39% of the
Mortgage Loans have been made to borrowers who are acting as
borrowers on more than one Mortgage Loan included in the Mortgage
Pool.

Over a third of the mortgages (39.2% by loan balance) are backed by
properties located in California. The next largest geographic
concentration is Washington (10.0% by loan balance), New York (9.2%
by loan balance), and New Jersey (5.1% by loan balance). All other
states each represent less than 5.0% by loan balance. Loans backed
by single family residential properties represent 40.3% (by loan
balance) of the pool. Approximately 1.7% of the mortgage loans by
count are "Appraisal Waiver" (AW) loans, whereby the sponsor
obtained an AW for each such mortgage loan from Fannie Mae or
Freddie Mac through their respective programs. In each case,
neither Fannie Mae nor Freddie Mac required an appraisal of the
related mortgaged property as a condition of approving the related
mortgage loan for purchase by Fannie Mae or Freddie Mac, as
applicable.

Origination quality

LoanDepot originated 100% of the loans in the pool. These loans
were underwritten in conformity with GSE guidelines with
predominantly non-material overlays. Moody's consider loanDepot's
origination quality to be in line with its peers due to: (1)
adequate underwriting policies and procedures, (2) acceptable
performance with low delinquency and repurchase and (3) adequate
quality control. Therefore, Moody's have not applied an additional
adjustment for origination quality.

Servicing arrangements

Moody's consider the overall servicing arrangement for this pool to
be adequate. Cenlar FSB (Cenlar) will service all the mortgage
loans in the transaction. Computershare Trust Company, N.A. will
serve as the master servicer. The servicing administrator,
loanDepot, will be primarily responsible for funding certain
servicing advances of delinquent scheduled interest and principal
payments for the mortgage loans, unless the servicer determines
that such amounts would not be recoverable. The master servicer
will be obligated to fund any required monthly advance if the
servicing administrator fails in its obligation to do so. Moody's
did not make any adjustments to Moody's base case and Aaa stress
loss assumptions based on this servicing arrangement.

Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation. The
fee-for-service compensation is reasonable and adequate for this
transaction because it better aligns the servicer's costs with the
deal's performance. Furthermore, higher fees for the more
labor-intensive tasks make the transfer of these loans to another
servicer easier, should that become necessary.

Third-party review

Full due diligence (i.e. compliance, credit, property valuation and
data integrity review) was conducted by the TPR firms on a sample
of 276 loans in the pool and a valuation-only review was conducted
on the remaining loans (i.e. property valuation review was done on
100% of the loans in the pool). Moody's calculated the
credit-neutral sample size using a confidence interval, error rate
and a precision level of 95%/5%/2%. The number of loans that went
through a full due diligence review does not meet Moody's
calculated threshold. With sampling, there is a risk that loan
defects may not be discovered and such loans would remain in the
pool. Moreover, vulnerabilities of the R&W framework, such as the
lack of an automatic review of R&Ws by an independent reviewer and
the weaker financial strength of the R&W provider, reduce the
likelihood that such defects would be discovered and cured during
the transaction's life. As a result, Moody's made an adjustment to
Moody's Aaa loss and EL after taking account the risks associated
with these factors.

Representations and Warranties Framework

The R&W provider is mello Securitization Depositor LLC and the
guarantor is LD Holdings Group LLC. The Guarantor (LD Holdings
Group LLC) will guarantee certain performance obligations of the
R&W provider (mello Securitization Depositor LLC). These entities
may not have the financial wherewithal to purchase defective loans.
Moreover, unlike other transactions that Moody's have rated, the
R&W framework for this transaction does not include a mechanism
whereby loans that experience an early payment default (EPD) are
repurchased. In addition, the loss amount remedy is subject to
conflicts of interest and will likely not adequately compensate the
transaction for loans that breach the R&Ws. Moody's have adjusted
Moody's loss levels to account for these weaknesses in the R&W
framework.

Unlike most other comparable transactions that Moody's have rated,
the R&W framework in this transaction has a "loss amount" remedy.
Specifically, in case there is a material breach to the R&Ws, the
depositor, who is the R&W provider, is tasked with calculating the
loss amount to indemnify the trust. Unlike buying a defective loan
at par, this loss amount remedy is subject to conflicts of
interest. The party determining the loss amount will have a natural
incentive to determine a low amount since it will have to pay that
amount. Furthermore, there may be no objective way to determine
such amount since the decrease in the value of a loan that breaches
a R&W may not be quantifiable at the time the breach is discovered.
The fact that the controlling holder can bring the depositor to
arbitration if it deems that a R&W breach is not resolved in a
satisfactory manner is a partial mitigant. However, there may be no
good way to prove in arbitration that the depositor's determination
is not adequate because the determination of the loss payment will
be, in many cases, subjective. Furthermore, the controlling holder
must expend its own funds to go to arbitration, which could
disincentivize it to pursue arbitration. Another partial mitigant
is that the loans in the pool were originated by loanDepot, an
originator whose repurchase statistics are equal to or better than
the GSEs' average.

Transaction structure

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

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 0.95% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 0.85% of the closing pool balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 0.95% and 0.85%,
respectively, are consistent with the credit neutral floors for the
assigned ratings. Specifically, the subordinate floor is consistent
with a Aa1 rating or lower.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


MF1 2022-Fl8: DBRS Finalizes B(low) Rating on Class H Notes
-----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by MF1 2022-Fl8 Ltd:

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

All trends are Stable.

The initial collateral consists of 32 floating-rate mortgage loans
secured by 69 transitional multifamily properties and one
manufactured housing community property, totaling $1.8 billion
(77.0% of the total fully funded balance), excluding $152.6 million
of future funding commitments and $392.1 million of pari passu
debt. One loan, Two Blue Slip (Prospectus ID#1, representing 12.4%
of the initial pool balance), is contributing both senior and
mezzanine loan components that will both be held in the trust. One
loan, SF Multifamily Portfolio IV (Prospectus ID#24, 2.0%), allows
the borrower to acquire and bring properties into the trust
post-closing through future funding up to a maximum whole-loan
amount of $100.0 million, which is accounted for in figures and
metrics throughout the report. Additionally, one loan, Mosser CA
Portfolio (Prospectus ID#6, 4.1%), has delayed-close mortgage
assets, which are identified in the data tape and included in the
DBRS Morningstar analysis. The Issuer has 45 days post-closing to
acquire the delayed-close assets.

The transaction is a managed vehicle that includes a 24-month
reinvestment period. As part of the reinvestment period, the
transaction includes a 120-day ramp-up acquisition period that will
be used to increase the trust balance by $202,334,608 to a total
target collateral principal balance of $2,022,000,000. DBRS
Morningstar assessed the ramp loans using a conservative pool
construct and, as a result, the ramp loans have expected losses
above the pool WA loan expected losses. Reinvestment of principal
proceeds during the reinvestment period is subject to eligibility
criteria, which, among other criteria, includes a no-downgrade
rating agency confirmation (RAC) by DBRS Morningstar for all new
mortgage assets and funded companion participations exceeding $0.
If a delayed-close asset is not expected to close or fund prior to
the purchase termination date, the Issuer may acquire any
delayed-closed collateral interest at any time during the ramp up
acquisition period. The eligibility criteria indicates that only
multifamily, manufactured housing, student housing, and senior
housing properties can be brought into the pool during the stated
ramp-up acquisition period. Additionally, the eligibility criteria
establishes minimum DSCR, LTV, and Herfindahl requirements.
Furthermore, certain events within the transaction require the
Issuer to obtain RAC. DBRS Morningstar will confirm that a proposed
action or failure to act or other specified event will not, in and
of itself, result in the downgrade or withdrawal of the current
rating. The Issuer is required to obtain RAC for acquisitions of
companion participations in excess of $0.

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



MORGAN STANLEY 2012-C5: Fitch Affirms B Rating on Cl. H Certs
-------------------------------------------------------------
Fitch Ratings has affirmed all classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) commercial mortgage
pass-through certificates, series 2012-C5. Additionally, Fitch has
revised the Rating Outlook on classes C and PST to Positive from
Stable.

   DEBT              RATING            PRIOR
   ----              ------            -----
MSBAM 2012-C5

A-4 61761AAZ1   LT AAAsf   Affirmed    AAAsf
A-S 61761ABA5   LT AAAsf   Affirmed    AAAsf
B 61761ABB3     LT AAAsf   Affirmed    AAAsf
C 61761ABD9     LT AAsf    Affirmed    AAsf
D 61761AAG3     LT BBB+sf  Affirmed    BBB+sf
E 61761AAJ7     LT BBB-sf  Affirmed    BBB-sf
F 61761AAL2     LT BBB-sf  Affirmed    BBB-sf
G 61761AAN8     LT BB+sf   Affirmed    BB+sf
H 61761AAQ1     LT Bsf     Affirmed    Bsf
PST 61761ABC1   LT AAsf    Affirmed    AAsf
X-A 61761AAA6   LT AAAsf   Affirmed    AAAsf
X-B 61761AAC2   LT AAAsf   Affirmed    AAAsf

KEY RATING DRIVERS

Increased Loss Expectations; Higher Credit Enhancement: Although
loss expectations increased since the last rating action primarily
to due increased losses on The Distrikt Hotel and Ocean East Mall,
as well as additional stresses applied pool-wide given the loans'
upcoming maturities in 2022, credit enhancement has improved
through paydown and defeasance. The senior classes remain well
protected from deal expected losses.

There are nine Fitch Loans of Concern (FLOCs; 16.9% of the pool),
including five loans (9%) in special servicing. Fitch's ratings
assume a base case loss expectation of 4.8%. The Negative Outlook
is based on the expectation that losses could reach 6.4%, which
assumes additional stresses on Hamilton Town Center and 421 N.
Beverly Drive.

The largest contributor to loss expectations, Chatham Village
(2.7%), is secured by 124,018-sf, shadow-anchored retail property
located in Chicago, IL, approximately 10 miles south of the CBD.
The loan transferred in June 2021 for payment default. Top three
tenants include: Nike (16.7%; lease expires in May 2022); Walgreens
(13.9%; lease expires in September 2026) and America's Kids (7.9%;
lease expires in June 2026). Occupancy has steadily declined over
the past several years: 77.3% (September 2021), 84.5% (YE 2019),
89% (YE 2018) and 94% (YE 2017). Approximately 17.8% and 6.5% NRA
expire in 2022 and 2023, respectively.

Fitch's analysis included a 40% stress to YE 2019 NOI to account
for upcoming rollover risk and the expected increase in loan
exposure which resulted in a 41% loss severity. Neither an updated
appraisal or 2020 financials were provided.

The second largest contributor to loss expectations, 421 N. Beverly
Drive (1.8%), is secured by a 31,666-sf mixed-use property
consisting of 10,649 sf of ground-floor retail space and 21,017 sf
of second-and third-floor office space. The North Face (25% of
NRAI) vacated after its lease expired in July 2017. As a result,
occupancy declined to 75%. The space was subsequently fully
re-leased to Lululemon on a temporary basis from August 2018
through January 2019, while a smaller tenant (8.6%) vacated at the
same time. The retail space is now fully vacant while the office
space is 100% occupied.

As a result, occupancy declined to approximately 66% by YE 2019 and
remains unchanged. Servicer reported DSCR was below 1.0x at YE 2019
and YE 2020. Approximately 38% NRA expired in 2021 including three
of the five remaining tenants. Fitch requested a leasing status
update and is awaiting a response. Fitch's analysis included a 35%
stress to YE 2020 NOI to account for upcoming rollover risk which
resulted in a 51.7% loss severity.

In addition, Fitch applied 70% loss severity in a sensitivity
scenario to address concerns with the current retail environment
and upcoming loan maturity in 2022. However, Fitch's analysis also
considered that losses may not be as high as assumed given the
property's desirable location.

The third largest contributor to loss expectations, The Distrikt
Hotel (3.9%), is secured by a 155-key, 32-story, full-service hotel
located in the Times Square neighborhood of Manhattan. The property
closed mid-March 2020 due to the pandemic and reopened at the end
of 2020. Recent internet searches indicate the hotel is open and
available for bookings. The loan transferred in April 2020 for
imminent monetary default at the borrower's request as a result of
the coronavirus pandemic. Foreclosure sale estimated between
May-June 2022. Fitch's losses reflect a value of $229K per key.

Increased Credit Enhancement (CE) and Defeasance: As of the January
2022 distribution date, the pool's aggregate principal balance has
been reduced by 37.4% to $847.4 million from $1.4 billion at
issuance. Defeased loans comprise 18.4% of the pool. One loan
(11.8% of the pool) is full term, IO, while the remaining loans are
amortizing. Nine loans (18.4% of the pool) are defeased including
three loans in the top 15.

Six loans disposed since the last rating action; actual losses were
higher than expected with respect to one previously specially
serviced asset. There have been $1.4 million in realized losses to
date. Interest shortfalls of about $529 thousand are currently
affecting the non-rated class J.

Alternative Loss Considerations: Fitch applied an additional
sensitivity scenario that considered a potential outsized loss of
15% on the Hamilton Town Center loan and 70% on the 421 N. Beverly
Drive loan due to declining performance and refinance concerns;
these additional sensitivities contributed to the Negative Rating
Outlook on class H. However, the increased sensitivity losses did
not impact the increased credit enhancement and expectation of
further increases on the senior classes.

Concentration: 42.9% and 13.9% of the pool is secured by retail and
hotel properties respectively. 99.7% of the pool matures in 2022.

RATING SENSITIVITIES

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

-- Downgrades to classes A-4 through G, X-A and X-B are declining
    performance and/or valuations on the specially serviced loans,
    as well as further defaults and/or additional transfers to
    special servicing or loans failing to repay at maturity. If
    workouts are prolonged on the specially serviced loans/assets,
    fees and expenses could continue to increase loan exposures
    and loss expectations will continue to increase. Class H is
    most vulnerable to be downgraded should losses become
    realized.

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

-- Stable to improved asset performance coupled with further pay
    down and/or defeasance. Upgrades of classes C through G are
    unlikely due to the increased pool concentration and adverse
    selection, but may be possible if any of the regional malls
    pay in full or liquidate with minimal losses.

-- Further, classes would not be upgraded above 'Asf' given the
    likelihood of interest shortfalls from the specially serviced
    loans and should additional loans transfer to special
    servicing before or at maturity in 2022. An upgrade to class H
    is not expected but may be possible should the specially
    serviced loans liquidate with higher than expected recoveries.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class X-C Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-C15 issued by
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 as
follows:

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

All trends are Stable.

The ratings confirmations reflect the overall stable performance of
the transaction since the last review. At issuance, the trust
comprised 48 loans secured by 76 commercial and multifamily
properties with a trust balance of $1.08 billion. Per the December
2021 remittance report, 38 loans remain with an outstanding pool
balance of $838.3 million, representing a collateral reduction of
22.4% since issuance. Eight loans, representing 10.8% of the
current outstanding balance, have been fully defeased. The pool is
concentrated by loan size as the largest loan, Arundel Mills &
Marketplace (Prospectus ID#1), comprises 17.8% of the trust balance
and the five largest loans comprise 55.6% of the trust balance. The
transaction is concentrated by property type as well as loans
secured by retail properties and hospitality properties
collectively total more than 70% of the remaining trust balance.

One loan, representing 0.4% of the outstanding balance, is
specially serviced. Eight loans, representing 27.0% of the
outstanding pool balance, are on servicer's watchlist with most
loans exhibiting low debt service coverage ratios (DSCR) during the
Coronavirus Disease (COVID-19) pandemic.

The largest loan on the servicer's watchlist is La Concha Hotel and
Tower (Prospectus ID#3, 8.9% of the pool). It is secured by the
borrower's fee and leasehold interest in a 248-room, full-service
hotel building, and the fee interest in the 235-suite La Concha
Tower in the Condado District of San Juan, Puerto Rico. The
property is spread across 4.4 acres and has four restaurants,
30,000 square feet (sf) of meeting space, and the 17,000-sf Casino
Del Mar. The loan was added to servicer's watchlist in September
2020 because of a decline in DSCR, which has fallen negative as of
the YE2020 financials. The most recent DSCR, based on the trailing
12 months (T-12) ended June 30, 2021, is now positive but remains
below breakeven at 0.62 times (x). Per the STR, Inc. report for
September 2021, the property's values for occupancy, average daily
rate (ADR), and revenue per available room (RevPAR) for the
trailing three months (T-3) ended September 30, 2021, were 63.3%,
$312.92, and $198.03, respectively, while its competitive set's
values were 66.8%, $277.50, and $185.45, respectively. The loan is
under cash management with reserves totaling $14.8 million, per the
December 2021 remittance report.

The second-largest loan on the servicer's watchlist is Marriott
Philadelphia Downtown (Prospectus ID#5; 7.3% of the pool). It is
secured by the fee simple interest in a 1,408 key full-service
Marriott hotel located in the Center City District of Philadelphia.
The property is the only hotel with direct access to the
Pennsylvania Convention Center and the convention business is a
significant demand driver for the subject. The loan was added to
the servicer's watchlist in September 2020 because of a low DSCR,
which was reported at -0.07x with an occupancy rate of 63%. Per the
financials for the T-12 ended June 30, 2021, the subject's
occupancy rate was 10.1% while the DSCR was -0.92x. Per the STR,
Inc. report for September 2021, occupancy, ADR, and RevPAR at the
subject property for the T-3 ended September 30, 2021, stood at
32.5%, $179.16, and $58.28, respectively, while these figures at
the competitive set of hotels were reported at 45.5%, $171.42, and
$77.47, respectively. The loan was far outperforming the issuer's
net cash flow as recently as 2019 and, given its location, it's
likely to rebound, although that rebound may take longer to
manifest itself, given the property's reliance on business and
convention bookings.

At issuance, DBRS Morningstar shadow-rated the Arundel Mills &
Marketplace and JW Marriott and Fairfield Inn & Suites loans
(Prospectus ID#7; 5.7% of the pool) investment grade. With this
review, DBRS Morningstar confirms that the performance of these
loans remains consistent with investment-grade loan
characteristics.

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



MORGAN STANLEY 2014-C19: DBRS Confirms B Rating on Class X-F Certs
------------------------------------------------------------------
DBRS, Inc. confirmed its ratings for all classes of Commercial
Pass-Through Certificates, Series 2014-C19 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2014-C19 as follows:

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

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

The rating confirmations reflect the steady performance of the
underlying collateral as the economy begins to recover from the
impacts of the Coronavirus Disease (COVID-19) pandemic.

As of the December 2021 remittance, 63 of the original 77 loans
remain in the pool, with a collateral reduction of 28.5% since
issuance as a result of loan amortization, loan repayments, and the
liquidation of two loans. Three loans, representing 1.7% of the
current trust balance, have been fully defeased. There are six
loans in special servicing (7.0% of the current pool balance).
Since DBRS Morningstar's last review of this transaction, two
previously specially serviced loans, TownePlace Suites Vernal
(Prospectus ID#43) and La Quinta Inn & Suites Broussard (Prospectus
ID#57), were liquidated, resulting in a $4.9 million loss to the
unrated Class G, while the Oriental Plaza and Villa Marina
Portfolio loan (Prospectus ID#18) paid in full. There are also 18
loans (44.3% of the current pool balance) on the servicer's
watchlist.

The largest loan in special servicing, the PacStar Retail Portfolio
(Prospectus ID#9, 4.0% of the pool), is secured by two anchored
retail properties totaling 398,131 square feet (sf). The larger of
the two properties, Yards Plaza, is a 259,137-sf shopping center
located eight miles southwest of downtown Chicago. The property is
anchored by Burlington Coat Factory, Ralph's Grocery Company, and
Forman Mills. Other notable tenants include Planet Fitness and
Dollar Tree. The smaller property, Willowbrook Court Shopping
Center, is a 137,650-sf shopping center located within a congested
retail corridor of northwest Houston (24 miles from downtown). The
property is located directly across from the Willowbrook Mall.

The loan transferred to special servicing in September 2021 as a
result of imminent monetary default. Per the most recent servicing
commentary, the special servicer intends to proceed with the
appointment of a receiver and foreclosure on the properties. Yards
Plaza has maintained stable performance to date as the property was
98% occupied while occupancy at Willowbrook Court Shopping Center
is quite low at 28%, which is largely attributed to the departure
of Toys "R" Us in 2018. The decrease in occupancy has resulted in a
below breakeven debt service coverage ratio (DSCR) since 2019. As
of year-end (YE) 2020, the loan had a DSCR of 0.57 times (x) as net
cash flow (NCF) has decreased 58% compared with issuance. The
portfolio's combined occupancy was reported at 74% as of June 2021.
At issuance, the loan had an appraisal value of $69.6 million,
which implies a loan-to-value ratio (LTV) of 74%. This loan was
analyzed with a significantly increased probability of default for
this review.

The largest loan on the servicer's watchlist, Linc LIC (Prospectus
ID#5, 13.8% of the pool), is secured by the borrower's fee-simple
interest in a 709-unit high-rise multifamily property in Long
Island City, New York. The building is a 42-story luxury apartment
building with a unit mix consisting of 25% studios, 55% one
bedrooms, 17% two bedrooms, and 3% three-bedrooms. The property
also has a small retail component of 15,952 sf and the vast
majority of the space is leased to Foodcellar & Co. The loan
continues to be monitored on the servicer's watchlist for occupancy
concerns as the YE2020 occupancy decreased to 61%. Since then,
occupancy has improved to 72.3% as of June 2021. Despite the
improvement, the property's annualized EGI at mid-year 2021 was
down 26.8% when compared with YE2020. YE2020 NCF was 11.5% below
issuance levels while covering at a DSCR of 1.13x.

While not on the watchlist, we also have concerns with the 300
North LaSalle loan (Prospectus ID#2; 10.7%) after the Chicago
Sun-Times reported in August 2021 that the property's largest
tenant, Kirkland & Ellis, which represents 50.9% of the property's
net rentable area (NRA), will exercise an early termination option
and vacate the property prior to its 2029 lease expiration.
Kirkland & Ellis has the right to terminate its lease effective
February 2025 with 24-month notice. In addition, the Real Deal
reported in December 2021 that the property's second-largest
tenant, Boston Consultant Group, which leases 11.4% of the NRA,
will also vacate upon its December 2024 lease expiration. According
to that article, the firm is expected to lease 200,000 sf at a
proposed office building at 360 North Green Street. The loss of
both tenants would decrease occupancy to 34%. Mitigating these
concerns is that Kirland & Ellis is required to pay a termination
fee equal to 12 months of net rent plus its pro rata share of taxes
and operating expenses. We don't anticipate any near-term concerns
as both leases have another two to three years remaining; however,
the departure could increase the loan's maturity risk should the
sponsor be unable to back-fill the space. While the whole loan
balance includes $244.4 million of subordinate debt held outside
the trust, the trust debt was leveraged to only 27.1% at issuance.
Despite the upcoming rollover, DBRS Morningstar confirmed the
current performance of the loan remains consistent with
investment-grade loan characteristics with an occupancy rate of 96%
and a DSCR of 1.66x as of YE2020.

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



MORGAN STANLEY 2016-C28: DBRS Confirms B Rating on 3 Classes
------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C28
issued by Morgan Stanley Bank of America Merrill Lynch Trust
2016-C28:

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

The trends on Classes E-1, E-2, E, F-1, F-2, F, EF, and G-1 are
Negative, given the performance declines for some loans in the
transaction and the reduced credit enhancement levels that are
expected based on DBRS Morningstar's liquidation scenario for the
DoubleTree by Hilton – Cleveland, OH loan (Prospectus ID#13; 3.3%
of trust balance). Classes EFG, G, and G-2 do not carry trends
given the CCC (sf) rating. The trends on the remaining classes
remain Stable. Classes G and G-2 continue to carry the Interest in
Arrears designation, with interest shortfalls still outstanding as
of the December 2021 remittance.

At issuance, the trust consisted of 42 fixed-rate loans secured by
161 commercial and multifamily properties with a trust balance of
$955.6 million. According to the December 2021 remittance report,
there were 38 loans remaining in the trust with a total trust
balance of $803.4 million, representing a 15.9% collateral
reduction since issuance. Most of the collateral reduction was
attributed to the repayment of the GLP Industrial Portfolio A and
Le Meridien Cambridge MIT loans. The trust is concentrated by loan
size with the largest 15 loans representing 76.3% of the trust
balance and by property type with 16 loans secured by retail
properties, totalling 41.3% of the trust balance. The largest loan,
Penn Square Mall (Prospectus ID#1; 11.2% of the trust balance), has
investment-grade credit characteristics and two loans, representing
5.8% of the trust balance, are fully defeased.

Two hotel loans, representing 7.5% of the trust balance, are in
special servicing. The DoubleTree by Hilton – Cleveland, OH loan
transferred to the special servicer prior to the Coronavirus
Disease (COVID-19) pandemic and the borrower has agreed to a
voluntary foreclosure, which was scheduled to occur in May 2020 but
was delayed after Cuyahoga County placed a moratorium on sheriff
sales amid the pandemic. The moratorium expired in October 2020,
but the special servicer must resolve legal issues prior to
completing the foreclosure process, which is expected to occur in
the near term. The loan was liquidated from the trust as part of
this review, with a scenario based on the October 2020 appraised
value of $13.2 million, resulting in an implied loss severity in
excess of 90.0% to the trust. The projected loss would eliminate
the unrated Class H-2 and would result in a partial loss to the
unrated Class H-1, reducing credit support for the lowest-rated
bonds, supporting the CCC (sf) ratings for some and Negative trends
for others, as outlined above.

An additional 11 loans, representing 29.7% of the trust balance,
are on the servicer's watchlist. These loans are generally being
monitored for lease rollover concerns, occupancy declines, and/or a
low debt service coverage ratio (DSCR), the last of which has
generally been driven by the continued impact of the pandemic. The
most noteworthy of the watchlisted loans is the Greenville Mall
loan (Prospectus ID#7; 5.1% of the pool). The loan is on the
servicer's watchlist because of the previous bankruptcy filings for
two anchor tenants, JCPenney and Belk. Both companies have since
exited bankruptcy and the cash flow sweep triggers have been cured
with that development. However, DBRS Morningstar notes that the
mall, located in the small city of Greenville, North Carolina, was
reporting cash flow declines before the onset of the pandemic, with
precipitous drops in the DSCR as a result. The most recent coverage
of 1.40 times as of Q3 2021 is still considered healthy, as is the
93% occupancy rate reported for the period; however, the tenant
roster on the mall's website shows many local and regional tenants,
and the mall's tertiary location could be a challenge if the
concentration of national brands is further reduced for the
property. The mall is owned and operated by an affiliate of
Brookfield Asset Management Inc. (rated A (low) with a Stable trend
by DBRS Morningstar), which acquired the sponsor at issuance, Rouse
Properties, LP, in 2016.

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



NEW RESIDENTIAL 2022-NQM1: Fitch Rates Class B-2 Notes 'B'
----------------------------------------------------------
Fitch Ratings has assigned ratings to the residential
mortgage-backed notes issued by New Residential Mortgage Loan Trust
2022-NQM1 (NRMLT 2022-NQM1).

DEBT           RATING             PRIOR
----           ------             -----
NRMLT 2022-NQM1

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

TRANSACTION SUMMARY

The notes are supported by a mix of 430 seasoned and newly
originated loans that had a balance of $257.2 million as of the
Jan. 1, 2022 cutoff date. The pool consists of loans primarily
originated by NewRez LLC, which was formerly known as New Penn
Financial, LLC. The seasoned loans in this pool are from the
recently collapsed NRMLT NQM transactions.

The notes are secured mainly by non-QM loans as defined by the
Ability-to-Repay (ATR) Rule. Of the loans in the pool, 85.3% are
designated as non-QM, while the remainder are not subject to the
ATR Rule.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11% above a long-term sustainable level (versus
10.6% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.7% yoy nationally as of September 2021.

Non-Prime Credit Quality (Mixed): The collateral consists of 430
loans, totaling $257 million and seasoned approximately seven
months in aggregate, according to Fitch (as calculated from
origination date). The borrowers have a strong credit profile,
which is better when compared to other non-QM transactions from the
issuer (751 FICO and 34% debt to income ratios [DTI] as determined
by Fitch) and moderate leverage (79.1% sLTV).

The pool consists of 66.1% of loans where the borrower maintains a
primary residence, while 33.9% are considered an investor property
or second home. Only 17% of the loans were originated through a
retail channel. Moreover, 85% are considered non-QM and the
remainder are not subject to QM. NewRez LLC originated close to 90%
of the loans, which have been serviced since origination by
Shellpoint Mortgage Servicing. The remaining loans were originated
by various entities.

Geographic Concentration (Negative): Approximately 37% of the pool
is concentrated in California. The largest MSA concentration is in
the New York City area MSA (23.2%) followed by the Los Angeles area
(18.6%), and the Miami-Fort Lauderdale MSA (8.0%). The top three
MSAs account for 50% of the pool. As a result, there was a 1.07x
payment default (PD) penalty for geographic concentration.

Loan Documentation (Negative): Approximately 81% of the pool was
underwritten to less than full documentation, according to Fitch's
review. Approximately 66% was underwritten to a 12- or 24-month
bank statement program for verifying income, which is not
consistent with Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protection Bureau's (CFPB)
ATR Rule, which reduces the risk of borrower default arising from
lack of affordability, misrepresentation or other operational
quality risks due to rigor of the ATR Rule's mandates with respect
to the underwriting and documentation of the borrower's ATR.
Additionally, 14.7% are debt service coverage ratio (DSCR)
product.

Fitch considered 19% of the pool as fully documented based on the
loans being underwritten to 12-24 months of W2s and/or tax
returns.

High Investor Property Concentrations (Negative): Approximately 29%
of the pool comprises investment property loans, including 14.7%
underwritten to a cash flow ratio rather than the borrower's DTI
ratio. Investor property loans exhibit higher PDs and higher loss
severities (LS) than owner-occupied homes. Fitch increased the PD
by approximately 2.0x for the cash flow ratio loans (relative to a
traditional income documentation investor loan) to account for the
increased risk.

RATING SENSITIVITIES

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model projected 42% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by situsAMC, Canopy Financial and Infinity IPS. The
third-party due diligence described in Form 15E focused on a full
review of the loans as it relates to credit, compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% credit was applied to each loan's probability of
default assumption. This adjustment resulted in a 49bps reduction
to the 'AAAsf' expected loss.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The sponsor engaged SitusAMC,
Canopy and Infinity to perform the reviews. Loans reviewed under
this engagement were given compliance, credit and valuation grades
and assigned initial grades for each subcategory.

An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has a number of exceptions and waivers.
Fitch determined that the exceptions and waivers do not materially
affect the overall credit risk of the loans due to the presence of
compensating factors, such as substantial liquid reserves, low LTVs
and high FICO scores. Therefore, no adjustments were needed to
compensate for these occurrences. See the due diligence section of
this report for further details.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout were populated by the
due diligence company, and no material discrepancies were noted.

ESG CONSIDERATIONS

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


NYMT LOAN 2022-CP1: DBRS Finalizes B Rating on Class B-2 Notes
--------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage-Backed Notes, Series 2022-CP1 issued by NYMT Loan Trust
2022-CP1 (NYMT 2022-CP1 or the Issuer):

-- $228.2 million Class A-1 at AAA (sf)
-- $23.3 million Class A-2 at AA (sf)
-- $20.6 million Class M-1 at A (low) (sf)
-- $15.7 million Class M-2 at BBB (sf)
-- $9.8 million Class B-1 at BB (low) (sf)
-- $5.1 million Class B-2 at B (sf)

The AAA (sf) rating on the Notes reflects 26.45% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(low) (sf), BBB (sf), BB (low) (sf), and B (sf) ratings reflect
18.95%, 12.30%, 7.25%, 4.10%, and 2.45% of credit enhancement,
respectively.

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

The NYMT 2022-CP1 securitization is backed by a portfolio of
predominantly seasoned performing and reperforming first-lien
mortgages funded by the issuance of the Notes. The Notes are backed
by 1,949 loans with a total principal balance $310,218,919 as of
the Cut-Off Date (November 30, 2021).

NYMT 2022-CP1 represents the first rated seasoned, reperforming
loan securitization issued by the Sponsor, New York Mortgage Trust,
Inc. (NYMT), from the NYMT shelf. Prior to NYMT 2022-CP1, NYMT
issued eight unrated seasoned securitizations since 2012. These
securitizations were backed by seasoned, performing, or
reperforming loans of varying credit profiles.

For this deal, the mortgage loans are approximately 142 months
seasoned. The portfolio contains 57.9% modified loans, and
modifications happened more than two years ago for 90.0% of the
modified loans. Within the pool, 853 mortgages, equating to
approximately 3.7% of the total principal balance, have
non-interest-bearing deferred amounts. There are no mortgages in
the Home Affordable Modification Program, and proprietary principal
forgiveness amounts are not included in the deferred amounts. The
majority of the pool (75.4%) is not subject to the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules.

As of the Cut-Off Date, 99.2% of the pool is current and 0.8% is
30+ days delinquent, including one loan that is 60 days delinquent,
under the Mortgage Bankers Association (MBA) delinquency method.
Approximately 76.1% 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 or 0 x 30 since origination for loans less
than 24 months seasoned.

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

The Sponsor or a wholly owned affiliate will retain a 5% eligible
horizontal residual interest consisting of the Class B-1, B-2, B-3,
and XS Notes to satisfy the credit risk retention requirements
promulgated under the Dodd-Frank Wall Street Reform and Consumer
Protection Act.

As of the Cut-Off Date, the loans are serviced by Fay Servicing,
LLC (71.0%) and Specialized Loan Servicing, LLC (29.0%). 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 certain advances in
respect of homeowner's association fees, taxes, and insurance, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.

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

On or after the earlier of (1) the third anniversary of the Closing
Date or (2) the date on which the aggregate stated principal
balance of the loans falls to 30% or less of the Cut-Off Date
balance, the Administrator, at its option, on behalf of the Issuer
may purchase all of the Notes at the optional termination price
(par plus interest) described in the transaction documents
(Optional Redemption).

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

Certain features in this transaction are less commonly seen in DBRS
Morningstar-rated seasoned securitizations, such as the interest
rates on the Notes and the principal payment priority. The interest
rates on the Notes are set at fixed rates, which are not capped by
the net weighted-average coupon (Net WAC) or available funds. This
feature causes the structure to need elevated subordination levels
relative to a comparable structure with fixed-capped interest rates
because more principal must be used to cover interest shortfalls.
In addition, within the principal payment priority, the Class A
Notes as well as the Class M Notes all receive interest before
principal gets paid to the Class A-1 Notes. This feature preserves
interest payments to those more senior classes. DBRS Morningstar
considered such nuanced features and took them into account in its
cash flow analysis.

CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT

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

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

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



REAL ESTATE 2016-2: DBRS Hikes Class G Certs Rating to B(high)
--------------------------------------------------------------
DBRS Limited upgraded seven classes of Commercial Mortgage
Pass-Through Certificates, Series 2016-2 issued by Real Estate
Asset Liquidity Trust, Series 2016-2 as follows:

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

In addition, DBRS Morningstar confirmed the rating on the remaining
class in the transaction as listed below:

-- Class A-2 at AAA (sf)

The trends for Classes B, C, and X have been changed to Stable from
Positive. All other trends remain Stable.

The rating upgrades reflect significant paydowns within the
transaction and the overall stable performance of the remaining
collateral. There have been some challenges that have generally
been driven by the effects of the Coronavirus Disease (COVID-19)
pandemic, but in general, the impacted loans have benefitted from
proactive sponsors who have worked with the servicer to address
short-term needs for relief and have continued to show commitment
to the collateral.

At issuance, the transaction consisted of 47 fixed-rate loans
secured by 72 commercial and multifamily properties, with a trust
balance of $421.5 million. According to the December 2021
remittance report, 15 loans have paid in full, leaving 32 loans
within the transaction. There has been a collateral reduction of
40.9% since issuance, lowering the trust balance to $249.1 million.
Defeasance has been minimal, with one loan, representing 3.9% of
the pool, defeased since issuance. There have been no losses to
date, with the $8.4 million unrated Class H balance at issuance
unchanged as of the December 2021 remittance. The majority of loans
remaining in the pool benefit from some level of material recourse
to the loan sponsor.

The transaction is concentrated with loans backed by office,
industrial, and retail properties, representing 27.6%, 24.1%, and
17.5% of the current trust balance, respectively. The remaining
concentrations by property type are relatively low, including
independent living and lodging properties, which represent 11.6%
and 10.3% of the current trust balance, respectively. According to
the December 2021 remittance report, there are no loans in special
servicing and 19 loans, representing 24.4% of the current trust
balance, are on the servicer's watchlist. These loans are on the
watchlist for a variety of reasons, including low debt service
coverage ratios (DSCRs), low occupancy, and tenant rollover
concerns. However, the primary drivers are retail and independent
living assets, which continue to suffer from sustained downward
pressure on operational performance, stemming from ongoing
disruptions related to the pandemic. Where applicable, DBRS
Morningstar analyzed the watchlisted loans with probability of
default penalties to increase the expected loss for this review.

The largest loan on the servicer's watchlist, 480 Hespeler Road
(Prospectus ID#7; 5.5% of the pool), is secured by an unanchored
retail center in Cambridge, Ontario, approximately 100 kilometers
west of Toronto. The loan was added to the servicer's watchlist in
May 2020 for operational and performance concerns, driven primarily
by provincial lockdown measures adopted in response to the
coronavirus pandemic. The loan was granted a series of interest and
principal deferrals between April 2020 and March 2021 and repayment
was to be made over nine months, beginning in April 2021. According
to the most recent advance recovery report, all outstanding amounts
have been repaid. The largest tenant at the property is
Crunch/Planet Fitness (26.0% of NRA), which currently remains
closed due to provincial restrictions targeting non-essential
businesses. The remaining tenant mix generally offers some
combination of in-store shopping, curb side pickup, and takeout
options for the food outlets. Due to the property's strong
sponsorship, which is structured with a 50% personal recourse
guarantee and roster of nationally recognized tenants including
Dollar Tree, Value Village, and Royal Bank of Canada, DBRS
Morningstar believes that the overall outlook for this loan remains
stable in the near-to-moderate term, despite the exposure to
non-essential tenants.

Another loan of concern on the servicer's watchlist, The Duke of
Devonshire (Prospectus ID#17; 3.6% of the pool), is on the DBRS
Morningstar Hotlist and has been on the servicer's watchlist
intermittently since October 2017. The loan has consistently been
monitored for a very low DSCR, driven by depressed occupancy rates
since issuance. The loan is secured by a 105-unit independent
living facility in Ottawa and is owned and operated by Chartwell
Retirement Residences (Chartwell) (rated BBB (low) with a Negative
trend by DBRS Morningstar). DBRS Morningstar released commentary
with the most recent rating action in April 2021 stating the
Negative trend was reflective of increased risks for the company
amid the coronavirus pandemic.

As of March 2021, the property was only 55.5% occupied. The
servicer also reports ongoing litigation against the vendor that
began in January 2018 and relates to breach of contract/fraudulent
misrepresentation claims. According to the servicer, litigation was
still in the discovery stage as of the most recent update provided,
in March 2021. Further information has been requested and DBRS
Morningstar will continue to monitor this loan for updates. The
loan is full recourse to Chartwell and although the company faces
challenges amid the ongoing pandemic, it is noteworthy that the
subject loan has never reported delinquent and there has been no
coronavirus-related relief request processed by the servicer to
date.

DBRS Morningstar materially deviated from its North American CMBS
Insight Model when determining the rating assigned to Classes F and
G as the quantitative results suggested a higher rating. The
material deviation is warranted given uncertain loan-level event
risk, particularly for the Duke of Devonshire loan, which is being
monitored for ongoing litigation and sustained cash flows well
below issuance figures.

Notes: All figures are in Canadian dollars unless otherwise noted.



RMF PROPRIETARY 2022-1: DBRS Gives Prov. BB Rating on M-3 Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Asset-Backed Notes, Series 2022-1 to be issued by RMF Proprietary
Issuance Trust 2022-1:

-- $258.3 million Class A at AAA (sf)
-- $13.6 million Class M-1 at AA (sf)
-- $17.2 million Class M-2 at A (low) (sf)
-- $18.4 million Class M-3 at BB (low) (sf)

The AAA (sf) rating reflects 100.4% of cumulative advance rate. The
AA (sf), A (low) (sf), and BB (low) (sf) ratings reflect 105.7%,
112.4%, and 119.5% of cumulative advance rates, respectively.

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

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

As of the November 30, 2021, cut-off date, the collateral had
approximately $257.2 million in unpaid principal balance from 377
performing and two called due/death, nonrecourse, fixed-rate, and
adjustable-rate jumbo reverse mortgage loans secured by first liens
on single-family residential properties, condominiums, multifamily
(two- to four-family) properties, and planned-unit developments.
The loans were originated in 2021.

The transaction uses a structure in which free cash distributions
are made sequentially to each rated note until the rated amounts
with respect to such notes are paid off. No subordinate note shall
receive any principal payments until the balance of senior notes
has been reduced to zero, and the subordinate notes will not be
eligible for principal payments even if Class A pays off prior to
the expected redemption date. As a result, the subordinate classes
are initially locked out of cash distribution except as used to pay
interest. Classes A, M-1, and M-2 receive current interest
payments, whereas Class M-3 accrues interest until all more senior
tranches are paid in full. In the event of available cash being
insufficient to pay the current interest due on any of the Class A,
M-1, or M-2 notes, these notes will accrue cap carryover for
interest shortfalls.

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



SEQUOIA MORTGAGE 2022-1: Fitch Rates Class B4 Certs 'BB-'
---------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2022-1 (SEMT 2022-1).

DEBT          RATING              PRIOR
----          ------              -----
SEMT 2022-1

A1      LT AAAsf   New Rating    AAA(EXP)sf
A2      LT AAAsf   New Rating    AAA(EXP)sf
A3      LT AAAsf   New Rating    AAA(EXP)sf
A4      LT AAAsf   New Rating    AAA(EXP)sf
A5      LT AAAsf   New Rating    AAA(EXP)sf
A6      LT AAAsf   New Rating    AAA(EXP)sf
A7      LT AAAsf   New Rating    AAA(EXP)sf
A8      LT AAAsf   New Rating    AAA(EXP)sf
A9      LT AAAsf   New Rating    AAA(EXP)sf
A10     LT AAAsf   New Rating    AAA(EXP)sf
A11     LT AAAsf   New Rating    AAA(EXP)sf
A12     LT AAAsf   New Rating    AAA(EXP)sf
A13     LT AAAsf   New Rating    AAA(EXP)sf
A14     LT AAAsf   New Rating    AAA(EXP)sf
A15     LT AAAsf   New Rating    AAA(EXP)sf
A16     LT AAAsf   New Rating    AAA(EXP)sf
A17     LT AAAsf   New Rating    AAA(EXP)sf
A18     LT AAAsf   New Rating    AAA(EXP)sf
A19     LT AAAsf   New Rating    AAA(EXP)sf
A20     LT AAAsf   New Rating    AAA(EXP)sf
A21     LT AAAsf   New Rating    AAA(EXP)sf
A22     LT AAAsf   New Rating    AAA(EXP)sf
A23     LT AAAsf   New Rating    AAA(EXP)sf
A24     LT AAAsf   New Rating    AAA(EXP)sf
A25     LT AAAsf   New Rating    AAA(EXP)sf
AIO10   LT AAAsf   New Rating    AAA(EXP)sf
AIO11   LT AAAsf   New Rating    AAA(EXP)sf
AIO12   LT AAAsf   New Rating    AAA(EXP)sf
AIO13   LT AAAsf   New Rating    AAA(EXP)sf
AIO14   LT AAAsf   New Rating    AAA(EXP)sf
AIO15   LT AAAsf   New Rating    AAA(EXP)sf
AIO16   LT AAAsf   New Rating    AAA(EXP)sf
AIO17   LT AAAsf   New Rating    AAA(EXP)sf
AIO18   LT AAAsf   New Rating    AAA(EXP)sf
AIO19   LT AAAsf   New Rating    AAA(EXP)sf
AIO20   LT AAAsf   New Rating    AAA(EXP)sf
AIO21   LT AAAsf   New Rating    AAA(EXP)sf
AIO22   LT AAAsf   New Rating    AAA(EXP)sf
AIO23   LT AAAsf   New Rating    AAA(EXP)sf
AIO24   LT AAAsf   New Rating    AAA(EXP)sf
AIO25   LT AAAsf   New Rating    AAA(EXP)sf
AIO26   LT AAAsf   New Rating    AAA(EXP)sf
AIO1    LT AAAsf   New Rating    AAA(EXP)sf
AIO2    LT AAAsf   New Rating    AAA(EXP)sf
AIO3    LT AAAsf   New Rating    AAA(EXP)sf
AIO4    LT AAAsf   New Rating    AAA(EXP)sf
AIO5    LT AAAsf   New Rating    AAA(EXP)sf
AIO6    LT AAAsf   New Rating    AAA(EXP)sf
AIO7    LT AAAsf   New Rating    AAA(EXP)sf
AIO8    LT AAAsf   New Rating    AAA(EXP)sf
AIO9    LT AAAsf   New Rating    AAA(EXP)sf
AIOS    LT NRsf    New Rating    NR(EXP)sf
B1      LT AA-sf   New Rating    AA-(EXP)sf
B2      LT A-sf    New Rating    A-(EXP)sf
B3      LT BBB-sf  New Rating    BBB-(EXP)sf
B4      LT BB-sf   New Rating    BB-(EXP)sf
B5      LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 751 loans with a total balance of
approximately $687 million as of the cut-off date. The pool
consists of prime fixed-rate mortgages (FRMs) acquired by Redwood
Residential Acquisition Corp. from various mortgage originators.
Distributions of principal and interest (P&I) and loss allocations
are based on a senior-subordinate, shifting-interest structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
751 loans totaling $687 million and seasoned approximately one
month in aggregate. The borrowers have a strong credit profile (773
FICO and 33% DTI) and moderate leverage (79% sLTV, 70% cLTV). The
pool consists of 90% of loans where the borrower maintains a
primary residence, while 10% are a second home. 93% of the loans
were originated through a retail channel. Additionally, 100% are
designated as QM loans.

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.5% above a long-term sustainable level versus
10.5% on a national level. Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 19.1% yoy nationally as of October 2021.

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

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature most commonly used by Redwood's program for
loans more than 120 days delinquent (a stop-advance loan). Unpaid
interest on stop-advance loans reduces the amount of interest that
is contractually due to bondholders in reverse-sequential order.
While this feature helps to limit cash flow leakage to subordinate
bonds, it can result in interest reductions to rated bonds in high
stress scenarios.

120-Day Stop Advance (Mixed): The deal is structured to four months
of servicer advances for delinquent P&I. The limited advancing
reduces loss severities, as a lower amount is repaid to the
servicer when a loan liquidates.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 0.85% of the original balance will be maintained for the
certificates.

RATING SENSITIVITIES

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

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and30.0% in
    addition to the model projected 42.5% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

SUMMARY OF FINANCIAL ADJUSTMENTS

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years.

The complete span of best- and worst-case scenario credit ratings
for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and
worst-case scenario credit ratings are based on historical
performance.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Clayton, and EdgeMac. The third-party due
diligence described in Form 15E focused on credit, compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s)
to its analysis: a 5% reduction in its analysis. This adjustment
resulted in a 13bps reduction to the 'AAAsf' expected loss.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on about 80% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." AMC, Clayton and EdgeMac were engaged to perform
the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory. Minimal exceptions and waivers were noted in
the due diligence reports. Refer to the Third-Party Due Diligence
section of the presale report for further details.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5-designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others, to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

SEMT 2022-1 has an ESG Relevance Score of '4'[+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in SEMT 2022-1 and includes strong R&W and transaction due
diligence as well as a strong aggregator, which resulted in a
reduction in expected losses. This has a positive impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.

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


SLC STUDENT 2008-2: S&P Raises Class B Notes Rating to 'BB (sf)'
----------------------------------------------------------------
S&P Global Ratings raised its rating on the class B notes from SLC
Student Loan Trust 2008-2 (SLC 2008-2) to 'BB (sf)' from 'CC (sf)'.
At the same time, S&P removed its rating from CreditWatch, where
S&P placed it with developing implications on May 10, 2021. SLC
2008-2 is a student loan asset-backed securities (ABS) transaction
backed by student loans originated through the U.S. Department of
Education's (ED) Federal Family Education Loan Program (FFELP).

The upgrade reflects the strength of the collateral, the current
overcollateralization that is expected to build over time, and the
strong liquidity position due to a maturity date in 2066, which is
well after when the pool of loans is expected to be repaid.
However, S&P has limited the rating on the class B notes to a 'BB
(sf)' rating, which reflects the uncertainties that exist due to an
ongoing event of default (EOD) on the class A notes, which is
expected to remain in place for approximately eight years.

On June 16, 2021, S&P lowered its rating on SLC Student Loan Trust
2008-2's class A-4 notes to 'D (sf)' because class A-4 was not
repaid by its legal final maturity date.

ED reinsures at least 97% of the principal and interest on
defaulted loans serviced, according to the FFELP guidelines. Due to
the high level of recoveries from ED on defaulted loans, defaults
effectively function similarly to prepayments. Thus, S&P expects
net losses to be minimal.

The class A-4 default was primarily caused by a decline in the pace
of amortization of the loans due to an increase in borrowers that
have qualified for income-based repayment (IBR) plans. The IBR
plans allow a borrower's monthly payment to be lowered and can
allow the loan term to be extended by up to 25 years. Class B does
not face the same liquidity pressures because its legal final
maturity date is in 2066. The loans in the pool are expected to be
repaid through the guaranty recovery on default, borrower
repayment, or ED loan forgiveness well in advance of the class B
maturity date.

S&P ran various cashflow runs that included additional scenarios to
stress for high levels of IBR. The class B notes received all the
interest (including interest on any shortfalls, if applicable) and
principal by their legal final maturity date. While the cashflows
can support an 'AA+' rating, they cannot account for the various
outcomes that could be exercised in the future due to the ongoing
EOD.

Before an EOD, the transaction documents define the payment
priority, cap the fees and expenses, and limit actions the trust
can take that can result in losses to the noteholders. After an
EOD, numerous alternatives are available to the trustee and
noteholders that can result in actions such as reprioritizing
interest payments to the class B noteholders, uncapping certain
expenses paid before payments to the noteholders, and liquidating
the collateral.

While the parties have not yet exercised their remedies under the
EOD provisions, they retain those rights until the class A-4 notes
are repaid. The transaction's overcollateralization is expected to
grow as the trust is no longer allowed to release amounts in excess
of certain targets. Based on the current pace of payments, the
class A-4 notes are expected to be repaid in approximately eight
years, unless the notes are repaid earlier through the sale of the
collateral when the collateral pool factor falls below 10%
(estimated to occur in approximately three years). Noteholders may
have competing interests, which may change over time, as to how
they would like the EOD to be addressed. The ongoing EOD and the
parties ongoing right to enact the post-EOD remedies introduces
uncertainty relating to the future course of action that did not
exist before the EOD. The class B note is the most subordinate
bond, and, as such, it would be the first class exposed to any
losses if the parties took a course of action with negative
consequences to the timing or amount of the cashflows. This ongoing
uncertainty is reflected in our rating.

The key cashflow assumptions include the following:

-- Remaining defaults in the 15%-65% range. Additionally, S&P rans
liquidity scenarios with no defaults.

-- Servicer rejects in the 1.75%-2.75% range.

-- Front-loaded four-year default curve and a seven-year slow
default curve.

-- Recovery rates reflecting the government guarantee provided for
on the loan-level collateral file.

-- Special allowance payments and interest rate subsidy delays of
two months.

-- Delay of U.S. ED claim reimbursement on defaulted loans of 630
days.

-- Prepayment speeds starting at approximately 20%-30% (depending
on rating scenario) constant prepayment rate (CPR; an annualized
prepayment speed stated as a percentage of the current loan
balance) and ramping down 5% per year to a rate of 10%-20%
depending on the rating scenario. Additionally, S&P rans liquidity
scenarios with no prepayments.

-- Deferment: 9.00%-13.00% of the loans are in deferment for
36-120 months depending on the scenarios. Longer deferment periods
were run to stress the cashflows similar to how IBR stresses
cashflows.

-- Forbearance: 6.00%-26.00% of the loans are in forbearance for
48-240 months. Longer forbearance periods were run to stress the
cashflows similar to how IBR stresses cashflows.

-- Stressed one-month LIBOR interest rate paths (up/down and
down/up) based on the Cox-Ingersoll-Ross framework.



STARWOOD MORTGAGE 2022-1: Fitch Rates Class B-2 Tranche Final 'B-'
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Starwood Mortgage
Residential Trust 2022-1.

DEBT            RATING              PRIOR
----            ------              -----
STAR 2022-1

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

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed certificates to be
issued by Starwood Mortgage Residential Trust 2022-1,
Mortgage-Backed Certificates, Series 2022-1 (STAR 2022-1), as
indicated. The certificates are supported by 906 loans with a
balance of approximately $562.5 million as of the cutoff date. This
will be the first Fitch-rated STAR transaction in 2022.

The certificates are secured primarily by mortgage loans that were
originated by third-party originators, with Luxury Mortgage
Corporation; HomeBridge Financial Services, Inc.; and CrossCountry
Mortgage LLC sourcing 70.8% of the pool. The remaining 29.2% of the
mortgage loans were originated by various originators who
contributed less than 10% each to the pool.

Of the loans in the pool, 63.1 % are designated as nonqualified
mortgages (non-QM, or NQM), and 36.9% are not subject to the
Consumer Finance Protection Bureau's (CFPB) Ability to Repay rule
(ATR rule, or the Rule) and 0.05% of the pool is designated as Safe
Harbor QM.

There is LIBOR exposure in this transaction. The collateral
consists of 6.7% adjustable-rate loans, which reference one-year
LIBOR, while the remaining adjustable-rate loans reference
one-month Secured Overnight Financing Rate. The certificates are
fixed rate and capped at the net weighted average coupon.

The transaction priced on Jan. 26, 2022 and a revised structure was
analyzed. The losses remain unchanged from the presale report that
was published, but the transaction's credit enhancement (CE)
increased. Fitch ran the revised structure and found that the CE
provided was sufficient to pass the assigned rating stresses.
Fitch's revised losses and transaction CE are listed below.

-- A-1 rated 'AAAsf'; Fitch expected loss 17.00%; transaction CE
    18.30%;

-- A-2 rated 'AAsf'; Fitch expected loss 12.75%; transaction CE
    13.30%;

-- A-3 rated 'Asf'; Fitch expected loss 9.25%; transaction CE
    9.65%;

-- M-1 rated 'BBBsf'; Fitch expected loss 6.25%; transaction CE
    6.55%;

-- B-1 rated 'BBsf'; Fitch expected loss 4.50%; transaction CE
    4.80%;

-- B-2 rated 'B-sf'; Fitch expected loss 2.60%; transaction CE
    2.75%.

The final ratings assigned remain unchanged from the expected
ratings.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.5% above a long-term sustainable level, versus
10.6% on a national level. Underlying fundamentals are not keeping
pace with growth in prices, which is a result of a supply/demand
imbalance driven by low inventory, low mortgage rates and new
buyers entering the market. These trends have led to significant
home price increases over the past year, with home prices rising
18.6% yoy nationally as of June 2021.

Nonprime Credit Quality (Mixed): The collateral consists mainly of
30-year, fixed-rate fully amortizing loans (73.0%), 14.3%
fixed-rate loans with an initial IO term and 4.0% adjustable-rate
5/1 ARMs that are fully amortizing, while 3.5% are 7/1 ARMs with an
initial IO term. The pool is seasoned at approximately eight months
in aggregate, as determined by Fitch.

The borrowers in this pool have relatively strong credit profiles,
with a 740 weighted average FICO score and a 41% debt-to-income
(DTI) ratio, as determined by Fitch, and relatively high leverage
with an original combined loan-to-value (CLTV) ratio of 68.8% that
translates to a Fitch-calculated sustainable loan-to-value ratio of
75.3%.

The Fitch DTI is higher than the DTI in the transaction documents
(DTI is 33.6% in the transaction documents) due to Fitch assuming a
55% DTI for asset depletion loans and converting the debt service
coverage ratio (DSCR) to a DTI for the DSCR loans.

Of the pool, 59.4% consists of loans where the borrower maintains a
primary residence, while 37.0% comprises an investor property or
second home; 43.6% of the loans were originated through a retail
channel. Additionally, 63.1% are designated as non-QM, 0.05% are
designated as QM and 36.9% are exempt from QMs.

The pool contains 144 loans over $1 million, with the largest being
$3.4 million. Self-employed non-DSCR borrowers make up 57.8% of the
pool, 6.6% are asset depletion loans and 30.2% are investor cash
flow DSCR loans.

Approximately 37% of the pool comprises loans on investor
properties (7% underwritten to the borrowers' credit profile and
30% comprising investor cash flow loans). A 6.1% portion of the
loans has subordinate financing, mainly due to deferred balances,
and there are no second lien loans.

Seven loans in the pool were underwritten to foreign nationals.
Fitch treated these loans as being investor occupied, having no
documentation for income and employment and having no liquid
reserves. Fitch assumed a FICO of 650 for foreign nationals without
a credit score.

Although the credit quality of the borrowers is higher than in
prior NQM transactions, the pool characteristics resemble nonprime
collateral; therefore, the pool was analyzed using Fitch's nonprime
model.

Geographic Concentration (Negative): Approximately 47.1% of the
pool is concentrated in California. The largest MSA concentration
is in the Los Angeles-Long Beach-Santa Ana, CA MSA (25.3%),
followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA
MSA (17.7%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA
(5.8%). The top three MSAs account for 48.8% of the pool. As a
result, there was a 1.08x probability of default (PD) penalty for
geographic concentration, which increased the 'AAA' loss by 0.80%.

Loan Documentation (Negative): Approximately 91.2% of the pool was
underwritten to less than full documentation, and 52.2% was
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the CFPB's ATR Rule, which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to the
rigor of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ability to repay. Additionally,
6.6% is an Asset Depletion product, 0% is a CPA or PnL product, and
30.2% is DSCR product.

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton Services LLC and Recovco Mortgage
Management, LLC. The third-party due diligence described in Form
15E focused on compliance review, credit review and valuation
review. Fitch considered this information in its analysis and, as a
result, Fitch did not make any adjustment(s) to its analysis due to
the due diligence findings. Based on the results of the 100% due
diligence performed on the pool, the overall expected loss was
reduced by 0.39%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor,
Starwood Non-Agency Lending, LLC, engaged SitusAMC, Clayton
Services LLC and Recovco Mortgage Management, LLC to perform the
review. Loans reviewed under these engagements were given
compliance, credit, and valuation grades and assigned initial
grades for each subcategory.

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company and no material discrepancies were noted.

ESG CONSIDERATIONS

STAR 2022-1 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to operational risk being well
controlled for in STAR 2022-1, strong transaction due diligence as
well as a 'RPS1-' Fitch-rated servicer, which has a positive impact
on the credit profile, and is relevant to the ratings in
conjunction with other factors.

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


STWD 2022-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by STWD 2022-FL3, Ltd:

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

All trends are Stable.

DBRS Morningstar analyzed the pool to determine the ratings,
reflecting the long-term risk that the Issuer will default and fail
to satisfy its financial obligations in accordance with the terms
of the transaction. The trust's initial collateral consists of 24
floating-rate mortgage loans secured by 36 mostly transitional real
estate properties, with a cut-off date pool balance totaling $1.0
billion (participation of $3.0 billion whole loan cut-off date
balance). The loans in the trust have approximately $188.9 million
of future funding commitments that can be acquired into the trust
subject to eligibility and replenishment criteria. The initial pool
includes eight combination loans, made up of a senior loan and
related mezzanine loan.

The 24-month reinvestment period allows the Issuer (as directed by
the Collateral Manager) to acquire whole loans and future fundings
participations. The future funding participations are subject to
eligibility criteria, acquisition criteria, acquisition and
disposition requirements and replenishment criteria, which, among
other things, have a minimum debt service coverage ratio (DSCR) and
loan-to-value ratio (LTV) for each respective property type,
Herfindahl score greater than or equal to 14.0, loan size
limitations, and property type concentration limits. The
eligibility criteria stipulates the receipt of a No Downgrade
Confirmation from DBRS Morningstar on reinvestment loans (except in
the case of the acquisition of companion participations if a
portion of the underlying loan is already included in the pool and
less than $1,000,000). The No Downgrade Confirmation allows DBRS
Morningstar to review the new collateral interest and any potential
impact on the overall ratings. The transaction does not include a
ramp-up period and all loans as of the Closing Date are closed. The
transaction will have a sequential-pay structure whereby interest
and principal payments will be prioritized in order of note
seniority. In the event that a note protection test is not
satisfied, payments that would have otherwise been applied to the
Class F and G Notes (Retained Notes) will instead be redirected to
redeem the Offered Notes until the note protection tests are
satisfied. Interest may also be deferred for Class C Notes (Offered
Note), Class D Notes (Offered Note), Class E Notes (Offered Note),
Class F Notes (Retained Note), and Class G Notes (Retained Note).

All of the loans in the pool have floating interest rates initially
indexed to Libor and are IO through their initial and extended
terms. As such, to determine a stressed interest rate over the loan
term, DBRS Morningstar took the contractual loan spread and added
the lower of DBRS Morningstar's stressed rates that corresponded to
the remaining fully extended term of the loans and the strike price
of the interest rate cap.

The credit metrics of the pool are generally stronger than most of
the recent commercial real estate collateralized loan obligation
(CRE CLO) transactions DBRS Morningstar has rated. However, the
pool has a relatively large office property concentration (28.6% of
pool balance) and low average stabilized DSCR of 1.13 times (x),
with 31.3% of all loans in the pool at or below a stabilized DSCR
of 1.00x. The properties are often transitional with potential
upside in cash flow. However, DBRS Morningstar does not give full
credit to the stabilization if there are no holdbacks or if other
loan structural features are insufficient to support such
treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets will stabilize
above market levels.

The pool reflects a weighted-average (WA) DBRS Morningstar Market
Rank of 5.42, indicative of a higher concentration of properties in
dense urban markets, which generally experience lower a probability
of default (POD) and loss given default (LDG). The historical
commercial mortgage-backed securities (CMBS) conduit loan data
shows that POD increases in middle markets (Market Rank 3 or 4);
moderates in tertiary and rural markets (Market Rank 1 or 2); and
greatly improves in primary urban markets (Market Rank 6, 7, or 8).
Historical loan data has shown that LGD increases in tertiary and
rural markets, and the lowest LGDs were noted in Market Rank 8.
Eighteen loans, representing 75.6% of the total pool balance, fall
into Market Rank 5 or higher, resulting in a decreased POD and LGD,
and two loans (12 Metrotech Center and Anthem Row), representing
12.1% of the total pool balance, fall into Market Rank 8, the
strongest markets in the country. Additionally, 43.1% of loans are
concentrated in MSA Group 3, which represents the best-performing
metropolitan statistical areas (MSAs) nationally. When compared
with recently rated CRE CLO transactions, this pool exhibits some
of the highest Market Ranks and largest concentrations of loans in
MSA Group 3.

The DBRS Morningstar WA Stabilized LTV is 66.4%. This credit metric
compares favorably with the LTVs of recent CRE CLO transactions
that DBRS Morningstar has rated, resulting in lower loan level PODs
and LGDs. The WA in-place LTV of 72.1% is also quite low compared
with those of recent CRE CLO transactions.

The pool exhibits a DBRS Morningstar WA Business Plan Score (BPS)
of 2.06, which is lower than those of recent CRE CLO transactions
DBRS Morningstar has rated. The low DBRS Morningstar BPS indicates
that borrowers have the necessary funds to achieve their business
plans, proper loan structures, and adequate upside cash flow
potential. The DBRS Morningstar BPS also shows that many properties
in the pool are near stabilization or have achieved the proposed
stabilized operations.

All loans in the pool were modeled with Average property quality or
higher and three loans, representing 13.2% of the pool balance,
were modeled with Excellent property quality. These property
quality metrics are considerably better than most recent CRE CLO
transactions. Given that the majority of these properties are
transitional, the property quality for the collateral is expected
to further improve upon the successful completion of their business
plans.

Starwood is a leading diversified real estate finance company with
more than $21 billion in undepreciated assets, focusing on the
origination, acquisition, financing, and management of real estate
and infrastructure investments. The sponsor has roughly $100
billion in assets under management. Over the last 30 years, the
sponsor has acquired more than $195 billion in real estate assets
across almost all property types. The sponsor's leadership team has
an average of 29 years in the CRE industry individually. Starwood
has completed one CRE CLO securitization with DBRS Morningstar
(formerly DBRS, Inc.): STWD 2019-FL1. Starwood, as the retention
holder, is anticipated to acquire and retain at least 100% of the
Class F Notes, Class G Notes, and Preferred Shares, totaling $157.5
million or 15.75% of the pool.

Six loans, representing 20.1% of the pool balance, were originated
in 2020 or earlier. Four loans, representing 14.1% of the pool,
were originated in 2019 or earlier. The majority of these loans are
office properties and have a DBRS Morningstar BPS above the pool
average. While most of these loans are nearing maturity, only one
loan, 700 Louisiana and 600 Prairie Street, requested any form of
forbearance. The loan maturity was extended and reserves were
allowed to be used for shortfalls in exchange for an additional
equity contribution. 700 Louisiana and 600 Prairie Street, along
with all other loans in the pool, are current on debt service
payments as of the Closing Date. Two of the six properties were
modeled with Strong sponsor strength, indicating the sponsor has
the finance strength and real estate expertise to complete their
business plan in a timely basis and secure future financing.
Additionally, the average DBRS Morningstar Market Rank across the
six properties is 5.33, reflecting a decreased POD and LGD to
potentially offset the risk of dated origination.

Seven loans, representing 28.6% of the pool balance, are backed by
office properties and, as a result of the eligibility criteria
during the reinvestment period, the office component could shift up
to 60.0% of the pool. Office properties have historically had
elevated POD risk compared with other asset classes and have
suffered considerable disruptions as a result of the coronavirus
pandemic with mandatory closures and work-from-home strategies. The
office properties exhibit an average Market Rank of 6.43, well
above the pool average and generally higher than observed in recent
CRE CLO transactions. The office properties also have a combined WA
expected loss lower than the pool average, indicating that the loan
metrics excluding property type are generally strong. Office
properties are subject to eligibility criteria, including a maximum
as-stabilized LTV of 75.0% and a stabilized net cash flow (NCF)
DSCR of not less than 1.25x.

The transaction is managed and includes a reinvestment period,
which could result in negative credit migration and/or an increased
concentration profile over the life of the transaction. The risk of
negative migration is partially offset by eligibility criteria
(detailed in the transaction documents) that outline DSCR, LTV,
Herfindahl score minimum, property type, and loan size limitations
for reinvestment assets. New reinvestment loans and companion
participations of $1,000,000 or greater require a No Downgrade
Confirmation from DBRS Morningstar. DBRS Morningstar will analyze
these loans for potential impacts on ratings. Deal reporting also
includes standard monthly CREFC reporting and quarterly updates.
DBRS Morningstar will monitor this transaction on a regular basis.
DBRS Morningstar performed a paydown analysis which simulated low
expected loss loans paying off and increasing loan balances for
high expected loss loans with future fundings (subject to the RAC
dollar amount).

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar sampled a large portion of the loans,
representing 78.5% of the pool cut-off date balance. Nine physical
site inspections, all of which sites were in the top 10, were also
performed, including meetings with management. The transaction's
DBRS Morningstar WA BPS of 2.06 is generally on the low end of the
range of those of CRE CLO transactions recently rated by DBRS
Morningstar. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan rational and the loan structure sufficient to execute
such plans. In addition, DBRS Morningstar analyzes LGD based on the
as-is credit metrics, assuming the loan is fully funded with no NCF
or value upside. Future Funding companion participations have been
structured to provide the sponsor with sufficient funds to execute
the business plan. Affiliates of Starwood will hold the future
funding companion participations and have the obligation to make
future advances. Starwood agrees to indemnify the Issuer against
losses arising out of the failure to make future advances when
required under the related participated loan. Furthermore, Starwood
will be required to meet certain segregated liquidity requirements
on a quarterly basis.

The eligibility criteria allow for a maximum stabilized LTV of
80.0% on multifamily loans; 75.0% on loans for office, industrial,
retail, and mixed-use properties; and 70.0% on loans for
hospitality properties. The higher maximum leverage is considerably
more aggressive than the current pool's as-stabilized WA LTV of
66.4%. The current pool has favorable LTV metrics compared with
previously rated Starwood transactions. The WA as-is and stabilized
LTVs in the STWD 2019-FL1 transaction were 76.8% and 65.3%,
respectively. Before the collateral manager can acquire new loans,
those loans will be subject to a No Downgrade Confirmation by DBRS
Morningstar. DBRS Morningstar lowered the stabilized value on 10
loans, representing 41.8% of the pool, for modeling purposes,
further stressing the modeled LTVs.

All 24 loans have floating interest rates and original terms of 24
months to 66 months, which create interest rate risk. All loans are
IO throughout the original term and through extension options. All
loans are short-term loans and, even with extension options, they
have a fully extended maximum loan term of 36 to 76 months. For the
floating-rate loans, DBRS Morningstar used the one-month Libor
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. The borrowers of 12 of the loans
in the pool, representing 52.9%, have purchased interest rate
caps.

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



UBS COMMERCIAL 2017-C1: Fitch Lowers Class F-RR Debt Rating to 'C'
------------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed nine classes of UBS
Commercial Mortgage Trust 2017-C1. The Rating Outlooks on classes D
and D-RR remain Negative.

   DEBT               RATING             PRIOR
   ----               ------             -----
UBS 2017-C1

A3 90276EAD9     LT AAAsf   Affirmed     AAAsf
A4 90276EAE7     LT AAAsf   Affirmed     AAAsf
AS 90276EAH0     LT AAAsf   Affirmed     AAAsf
ASB 90276EAC1    LT AAAsf   Affirmed     AAAsf
B 90276EAJ6      LT AA-sf   Affirmed     AA-sf
C 90276EAK3      LT A-sf    Affirmed     A-sf
D 90276EAN7      LT BBB+sf  Affirmed     BBB+sf
D-RR 90276EAQ0   LT Bsf     Downgrade    BBB-sf
E-RR 90276EAS6   LT CCsf    Downgrade    BB-sf
F-RR 90276EAU1   LT Csf     Downgrade    CCCsf
X-A 90276EAF4    LT AAAsf   Affirmed     AAAsf
X-B 90276EAG2    LT A-sf    Affirmed     A-sf

KEY RATING DRIVERS

Decreased Credit Enhancement: The downgrades reflect decreased
credit enhancement of the junior classes and the higher than
anticipated realized losses from liquidated specially serviced
loans/assets. Since Fitch's prior rating action, ArtVan Portfolio
and UniSquare Portfolio disposed for a loss of $3.9 million and
$14.9 million, respectively. As of the January 2022 distribution
date, the pool's aggregate balance has been reduced by 19.5% to
$772.4 million from $959.0 million at issuance.

Nine loans (25.1% of pool) are interest-only. Eight loans (4.9%)
have been fully defeased.

Relatively Stable Losses: For the loans remaining in the pool,
Fitch's base case losses are relatively stable; Fitch's current
ratings reflect a base case loss of 5.9%. Sixteen loans (29.7%)
have been flagged as Fitch Loans of Concern (FLOCs) including seven
loans that have transferred to special servicing (10.0%). Nine
loans have been flagged as FLOCs for high vacancy, low NOI debt
service coverage ratio (DSCR), and/or pandemic-related
underperformance. The Negative Outlooks on D and D-RR reflect
losses that could reach 6.2% when factoring additional
pandemic-related stresses to one retail loan (1.4%).

The largest contributor to modelled losses is One West 34th Street
(FLOC, 3.8%), which is secured by an office building with a ground
floor retail component, located at the corner of West 34th Street
and Fifth Avenue in Manhattan. This loan is currently in cash
management, as the YE 2020 NOI DSCR has fallen to 0.80x from 1.22x
at YE 2019. The decline is primarily due to decreased rent
collections from tenants requesting pandemic-related rent relief
during 2Q20. Additionally, September 2021 occupancy has fallen to
73% from 83% at YE 2020 and 90% at YE 2019. Fitch's loss estimate
of 29% reflects a 7.5% cap rate on YE 2019 NOI.

The largest specially serviced loan is Hilton Woodcliff Lake
(2.6%), which is secured by a full-service hotel located in
Woodcliff Lake, NJ. This loan transferred to special servicing in
July 2020 for imminent monetary default. The property reopened in
March 2021 after being closed since July 2020. A receiver was
appointed in November 2020 and the special servicer is pursuing
foreclosure. Subject YE 2020 NOI DSCR was -0.79x. Fitch's loss
estimate of 15.5% reflects a 15% cap rate on the YE 2019 NOI.

The third largest specially serviced loan is Boston Creek
Apartments (2.0%), which is secured by a multifamily property
located in Lubbock, TX. This loan transferred to special servicing
in May 2019 for imminent monetary default due new supply in the
subject's market and increased vacancy. A receiver was appointed in
July 2019 and became REO in October 2019. The property has been
undergoing renovations, which were expected to be completed by YE
2021. The servicer plans to dispose the asset once property
performance stabilizes. Fitch's loss estimate of 45.7% reflects a
4.5% cap rate on YE 2020 NOI.

Exposure to Coronavirus: There are 14 loans (19.8% of pool) secured
by hotel properties. Twenty loans (24.1%) are secured by retail
properties. Fitch's sensitivity analysis applied an additional
stress to the pre-pandemic cash flows to the Ivy Walk retail loan
(9.9%), given significant pandemic-related 2020 NOI declines. This
additional stress contributed to the Negative Outlooks on classes D
and D-RR.

RATING SENSITIVITIES

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

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to classes A-3, A-4, A-
    SB, X-A, A-S, and B are less likely due to the high CE but may
    occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur,
    or if the probability of an outsized loss on the specially
    serviced loans or a FLOC becomes more likely.

-- Downgrades to classes C and X-B would occur should overall
    pool losses increase and/or one or more large loans have an
    outsized loss which would erode CE. Downgrades to classes D,
    D-RR, E-RR, and F-RR would occur should loss expectations
    increase due to an increase in specially serviced loans, or an
    increase in the certainty of a loss on a specially serviced
    loan.

-- The Negative Outlook on class D may be revised back to Stable
    if specially serviced loans dispose in line with Fitch's
    current loss expectations. The Negative Outlook on class D-RR
    may be revised back to Stable if performance of the FLOCs and
    specially serviced loans improves and/or properties vulnerable
    to the pandemic stabilize.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of classes B, C, and X-B would
    only occur with significant improvement in CE and/or
    defeasance, but would be limited unless the specially serviced
    and FLOCs stabilize.

-- An upgrade to classes D, D-RR, E-RR, and F-RR is not likely
    until the later years in a transaction and only if the
    performance of the remaining pool is stable and/or if there is
    sufficient CE, which would likely occur when the senior
    classes payoff and if the non-rated classes are not eroded.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


UBS-BARCLAYS 2012-C4: DBRS Confirms BB Rating on Class D Certs
--------------------------------------------------------------
DBRS, Inc. upgraded the rating on the following class of Commercial
Mortgage Pass-Through Certificates, Series 2012-C4 issued by
UBS-Barclays Commercial Mortgage Trust 2012-C4 as follows:

-- Class B to AA (sf) from AA (low) (sf)

DBRS Morningstar also confirmed the ratings on the remaining
classes as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class D to BB (sf)
-- Class E at B (low) (sf)
-- Class F at CCC (sf)

DBRS Morningstar changed the trends on Classes C and X-B to Stable
from Negative. Classes D and E continue to have Negative trends.
All remaining classes have Stable trends, except for Class F, which
does not carry a trend given its CCC (sf) rating.

The rating actions reflect the significant increase in defeasance
as the two largest loans, Marcourt Net Lease Hotel Portfolio
(Prospectus ID#1 – 10.8% of the trust balance) and KBR Tower
(Prospectus ID#2 – 11.2% of the trust), fully defeased as of the
January 2022 remittance report. As of the January 2022 remittance,
there were a total of 29 loans, representing 46.7% of the trust
balance, that were defeased. The Negative trends for Classes D and
E continue to be warranted given the unknowns surrounding the
increased risks for the loans in special servicing, particularly
for the Newgate Mall loan (Prospectus ID#6 – 5.1% of the trust
balance), which DBRS Morningstar expects will incur significant
losses at resolution.

At issuance, the trust comprised 91 fixed-rate loans secured by 131
commercial properties with a trust balance of $1.46 billion. Per
the January 2022 remittance, there are 77 loans secured by 94
properties remaining in the trust with a total trust balance of
$1.14 billion for an approximate 21% collateral reduction since
issuance. All loans, except for 1000 Harbor Boulevard (Prospectus
ID#53 – 0.6% of the trust balance), are scheduled to mature in
2022 with most loan maturities occurring in Q4 2022. The
nondefeased loan pool balance is concentrated by property type with
19 loans, totaling 48% of the nondefeased pool balance, secured by
retail properties and an additional seven loans, totaling 19% of
the nondefeased pool balance, secured by hotel properties. In
addition, the remaining nondefeased loans are secured by properties
primarily located in secondary and tertiary locations with a
weighted-average DBRS Morningstar Market Rank of 3.8.

One loan, Virginia College (Prospectus ID#77), was liquidated from
the trust in the months since DBRS Morningstar's last full review
of this transaction, with a $1.8 million loss realized in April
2021. DBRS Morningstar projected a loss of $2.6 million based on a
hypothetical liquidation scenario in March 2021. One other loan,
Hickory Commons (Prospectus ID#57), previously liquidated from the
trust in December 2019 with a $415,365 realized loss.

As of the January 2022 remittance, three loans, totaling 13.6% of
the trust balance, are in special servicing and an additional 15
loans, totaling 16.2% of the trust balance, are on the servicer’s
watchlist. The largest specially serviced loan is Visalia Mall,
which is secured by a regional mall in Visalia, California,
approximately 40 miles southeast of Fresno. The loan transferred to
the special servicer in May 2020 as the borrower was unable to
secure a replacement loan for the June 2020 maturity date. The
special servicer granted a forbearance that extended the maturity
to June 2021 and a cash sweep was implemented as well. The loan was
again extended to June 2022 when a refinance was not obtained by
the first extension date.

The collateral was reappraised in June 2021 for a value of $89.4
million, up from the August 2020 appraised value of $86.2 million
(implied LTV of 82.8% on the current loan balance), but still well
below the $115.0 million appraised value at issuance. Prior to the
pandemic, cash flows were consistently reported above the issuance
levels, with a year-end 2019 debt service coverage ratio of 3.67
times (x), with the most recent coverage reported at 2.83x for the
Q3 2021 reporting period. In addition to the high cover, the
property benefits from recent sales figures as of the September
2021 sales report, which showed overall sales had rebounded above
prepandemic levels. The lack of options for a refinance to date has
likely been a product of the property's tertiary location and the
general hesitance regarding regional mall properties for financial
institutions, particularly those located in noncore markets.
However, the healthy sales performance and strong in-place cash
flows with revenues comfortably above the issuance figures
throughout the life of the loan should incentivize the loan
sponsor, Brookfield Asset Management, to continue working with the
servicer to resolve the outstanding maturity.

The Newgate Mall loan is secured by the in-line space and two
anchor tenants of a single-level regional mall in Ogden, Utah. The
loan transferred to the special servicer in March 2020, two months
prior to its maturity date in May 2020. Since issuance, the mall
has lost multiple anchors, which has negatively affected financial
performance in recent years. The foreclosure sale occurred in March
2021 and the title was obtained by the trust. The special servicer
plans to maintain occupancy while pursuing leasing opportunities
with plans to dispose of the asset in Q1 2022. Broker interviews
were underway as of January 2022. The property was reappraised in
July 2021 for $20.7 million, slightly greater than the $20.0
million appraised value in November 2020, but well below the
issuance appraised value of $83.0 million. DBRS Morningstar
analyzed the loan with a liquidation scenario that resulted in an
implied loss severity in excess of 75.0%.

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



VERUS 2022-1: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2022-1's mortgage-backed notes.

The note issuance is an RMBS transaction backed by U.S. residential
mortgage loans.

The preliminary ratings are based on information as of Jan. 28,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The pool's collateral composition;

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

-- The mortgage aggregator, Invictus Capital Partners; and

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

  Preliminary Ratings Assigned

  Verus Securitization Trust 2022-1

  Class A-1, $381,347,000: AAA (sf)
  Class A-2, $37,122,000: AA (sf)
  Class A-3, $61,590,000: A (sf)
  Class M-1, $31,497,000: BBB- (sf)
  Class B-1, $16,030,000: BB (sf)
  Class B-2, $19,686,000: B- (sf)
  Class B-3, $15,187,384: Not rated
  Class A-IO-S, $562,459,384(i): Not rated
  Class XS, $562,459,384(i): Not rated
  Class DA, $193,389: Not rated
  Class R, not applicable: Not rated

(i)The notional amount equals the aggregate stated principal
balance of loans in the pool as of the cut-off date.



VITALITY RE XIII: S&P Assigns 'BB+(sf)' Rating on Class B Notes
---------------------------------------------------------------
S&P Global Ratings assigned ratings of 'BBB+(sf)' and 'BB+(sf)' to
the Class A and B notes, respectively, issued by Vitality Re XIII
Ltd. The notes will cover claims payments of Health Re, Inc.--and
ultimately, Aetna Life Insurance Co. (ALIC;
A-/Positive/--)--related to the covered insurance business to the
extent the medical benefits ratio (MBR) exceeds 105% for the Class
A notes and 99% for the Class B notes. The MBR is calculated on an
annual aggregate basis.

S&P bases its ratings on the lowest of the following:

-- The MBR risk factor on the ceded risk ('bbb+' for the Class A
notes and 'bb+' for the Class B notes);

-- The rating on ALIC (the underlying ceding insurer); or

-- The rating on the permitted investments ('AAAm') that will be
held in the collateral account (there is a separate collateral
account for each class of notes) at closing.

According to the risk analysis provided by Milliman Inc., one of
the world's largest providers of actuarial and related products and
services, the primary driver of historical medical insurance
financial fluctuations has been the volatility in per capita claim
cost trends and lags in insurers' reactions to these trend changes
in their premium rating actions. Other volatility factors include
changes in expenses and target profit margins. Although these
factors cause the majority of claims' volatility, the extreme tail
risk is affected by severe pandemics.

This is the seventh Vitality Re issuance that permits, subject to a
specific reset restriction, the probability of attachment--for the
Class A notes only--to be reset higher or lower than at issuance.
For each reset of the Class A notes, if any Class B notes are
outstanding on the applicable reset calculation date, the updated
MBR attachment of the Class A notes will be set so it is equal to
the updated MBR exhaustion for the Class B notes.



WELLS FARGO 2014-C24: Fitch Affirms D Rating on 4 Tranches
----------------------------------------------------------
Fitch Ratings has affirmed all classes of Wells Fargo Commercial
Mortgage Securities, Inc.'s WFRBS Commercial Mortgage Trust Series
2014-C24 commercial mortgage pass-through certificates. The Rating
Outlook on five classes remains Negative.

    DEBT              RATING           PRIOR
    ----              ------           -----
WFRBS 2014-C24

A-3 92939KAC2    LT AAAsf  Affirmed    AAAsf
A-4 92939KAD0    LT AAAsf  Affirmed    AAAsf
A-5 92939KAE8    LT AAAsf  Affirmed    AAAsf
A-S 92939KAG3    LT AAsf   Affirmed    AAsf
A-SB 92939KAF5   LT AAAsf  Affirmed    AAAsf
B 92939KBR8      LT Asf    Affirmed    Asf
C 92939KAK4      LT BBBsf  Affirmed    BBBsf
D 92939KAT5      LT Csf    Affirmed    Csf
E 92939KAV0      LT Dsf    Affirmed    Dsf
F 92939KAX6      LT Dsf    Affirmed    Dsf
PEX 92939KAL2    LT BBBsf  Affirmed    BBBsf
X-A 92939KAH1    LT AAsf   Affirmed    AAsf
X-C 92939KAM0    LT Dsf    Affirmed    Dsf
X-D 92939KAP3    LT Dsf    Affirmed    Dsf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations for the pool have
increased since Fitch's last rating action, due to continued
performance declines of the Fitch Loans of Concern (FLOCs), and
higher expected losses on the specially serviced loans. Nineteen
loans (31% of the pool) are considered FLOCs, including four
specially serviced loans (6.2%). Fitch's current ratings reflect a
base case loss of 6.70%. The Negative Outlooks reflect losses that
could reach 7.00% after factoring additional stresses on two hotel
loans to account for the ongoing declines in performance due to the
pandemic.

Fitch Loans of Concern: The largest contributor to overall loss
expectations is the largest FLOC, Crossings at Corona (7.7%), which
is secured by an 834,075-sf anchored retail center located in
Corona, CA. The property, which is anchored by Kohl's and
shadow-anchored by Target, has suffered from declining occupancy
after multiple large tenants vacated. Toys R Us (formerly 7.6% of
NRA), Sports Authority (4.5%) and Pier 1 Imports (1.9%) all vacated
upon filing for bankruptcy. Bed Bath & Beyond (2.9%) and Cost Plus
(2.2%) vacated upon their January 2019 lease expirations.

The current largest tenants include Kohl's (10.4% of NRA; leased
through January 2024), Regal Cinemas (9.6%; November 2024), Best
Buy (5.4%; March 2024), Jerome's Furniture (5.1%; October 2025) and
Ross (3.6%; January 2025).

The property was 74.6% occupied as of September 2021, down from
78.5% in June 2020. Per the latest rent roll provided to Fitch as
of September 2021, there was upcoming rollover of 12% of the NRA in
2021, 3.1% in 2022, 4.6% in 2023 and 36.8% in 2024. Fitch's
expected loss of 27% reflects a 9.50% cap rate and a 5% stress to
the YE 2020 NOI due to upcoming rollover concerns.

The second largest contributor to loss is the specially serviced
Orlando Plaza Retail Center loan (2.2%), which is secured by
101,330-sf of retail space on the first and second floor of a
two-tower office and condominium building. The loan transferred to
special servicer in April 2020 due to imminent monetary default
stemming from the coronavirus pandemic. The special servicer is
dual-tracking negotiations with the borrower with foreclosure.

The largest tenant at the property, CB Theater Experience, LLC,
operating as CMX Cinemas Plaza 12 Cafe, filed for Chapter 11
bankruptcy in April 2020, and the bankruptcy court rejected the
original lease. The borrower was unable to find a replacement
tenant for the 57,000-sf movie theater, and was approached by the
tenant to reinstate the lease in exchange for a rent reduction,
which was executed in September 2020; the tenant re-occupied the
space in November 2020 after approval by the bankruptcy court.
Fitch's expected loss of 40% reflects a stressed value of $138
psf.

The third largest contributor to loss is the Gateway Center Phase
II loan (8.9%), which is secured by a 602,164-sf anchored retail
power center located in Brooklyn, NY. In addition to the retail
space, the collateral includes 2,087 parking spaces and three pad
sites. YE 2020 NOI was 11% below 2019, mainly due to higher real
estate taxes. The property was 100% leased as of June 2021, and
there is de minimis rollover until 2024. Fitch's expected loss of
5% is based on an 8.75% cap rate to the YE 2020 NOI; no additional
stress was applied given there was some pandemic-related rent
relief over that period.

The fourth largest contributor to loss is the specially serviced
Greenwich Center loan (2.3%), which is secured by a 182,583-sf
retail power center located in Phillipsburg, NJ, anchored by Ashley
Furniture, Michaels and Dollar Tree. The property is shadow
anchored by Target and Lowe's. Other tenants include Petco,
Mattress Firm and Famous Footwear. The loan was transferred to
special servicing in May 2020 due to payment default. An approved
discounted payoff at the loan's maturity in October 2024 was
executed in September 2021. The loan is current as of December 2021
and expected to be transferred back to the master servicer.

Occupancy improved to 100% as of October 2021 from 78% in March
2021. Staples (11% of NRA) and Best Buy (18%) had previously
vacated their spaces at their respective December 2017 and January
2020 lease expirations. New leases were signed with Big Lots and
Ross Stores to backfill these spaces. The borrower is also
currently negotiating a lease extension with Dollar Tree, which
rolls in July 2022. Fitch's expected loss of 21% reflects a
stressed value of $85 psf.

Slight Improvement to Credit Enhancement since Last Rating Action:
The pool's aggregate principal balance has been reduced by 22.4% to
$844 million from $1.087 billion at issuance, based on the original
balance of the pool. Since Fitch's last rating action, one REO
asset (previously, 0.5%) was disposed with no loss. Twelve loans
(9.9% of pool) are fully defeased. Of the current pool, 47.5% are
full term interest-only; the remainder of the pool is amortizing.
All loans mature in 2024.

Additional Loss Consideration: Fitch performed a sensitivity
scenario which applied an additional stress to the pre-pandemic
cash flow for two hotel loans given significant pandemic-related
2020 NOI declines. This scenario, as well as continued concerns on
the performance stabilization of a larger percentage of FLOCs,
contributed to maintaining the Negative Outlooks.

Credit Opinion Loan: At issuance, the largest loan, St. Johns Town
Center, representing 12.3% of the pool, was assigned a credit
opinion of 'AA−sf*' on a stand-alone basis. Overall performance
has been stable to improving since issuance.

RATING SENSITIVITIES

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

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades of classes A-3, A-4, A-5,
    and A-SB are not likely due to defeasance, continued
    amortization and the position in the capital structure, but
    may occur should interest shortfalls affect these classes.
    Downgrades to classes A-S, B and X-A would occur should
    overall pool losses increase significantly and/or one or more
    large loans have an outsized loss, which would erode CE.

-- Downgrades to classes C and PEX would occur if loss
    expectations increase, performance of the FLOCs further
    deteriorate or fail to stabilize and/or additional loans
    default or transfer to the special servicer. Downgrades to
    class D would occur as losses are realized. Downgrades to
    classes E, F, X-C and X-D are not possible as they are already
    rated 'Dsf' due to incurred losses.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional paydown and/or defeasance.
    Upgrades to classes A-S, B and X-A may occur with significant
    improvement in credit enhancement and/or defeasance; however,
    adverse selection, increased concentrations and/or further
    underperformance of the FLOCs or loans negatively affected by
    the coronavirus pandemic could cause this trend to reverse.

-- Upgrades to the classes C and PEX would also consider these
    factors, but would be limited based on sensitivity to
    concentrations or the potential for future concentration.
    Classes would not be upgraded above 'Asf' if interest
    shortfalls are likely.

-- An upgrade to class D is not likely absent significant
    performance improvement on the FLOCs and substantially higher
    recoveries than expected on the specially serviced loans.
    Upgrades are not possible on classes E, F, X-C and X-D due to
    losses incurred.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


WELLS FARGO 2015-NXS3: DBRS Confirms B Rating on Class F Certs
--------------------------------------------------------------
DBRS, Inc. confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2015-NXS3 issued by Wells Fargo
Commercial Mortgage Trust 2015-NXS3 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which continues to perform in line with issuance
expectations. At issuance, the trust comprised 56 loans secured by
59 commercial and multifamily properties with a total trust balance
of $814.5 million. Per the January 2022 remittance report, 49 loans
secured by 52 properties remain in the trust with a total trust
balance of $545.6 million, representing a 33.0% collateral
reduction since issuance. The pool is concentrated in loans secured
by retail and hospitality properties, representing 38.8% and 20.9%
of the trust balance, respectively. Both of these property types
were significantly affected by the initial impacts of the
Coronavirus Disease (COVID-19) pandemic; however, only one loan
secured by a hotel property in the subject trust remained in
special servicing as of January 2022. Five loans, representing 7.0%
of the trust balance, are fully defeased.

The Yosemite Resorts loan (Prospectus ID#3, 10.8% of the trust
balance) is in special servicing and continued to report delinquent
payments as of the December 2021 remittance. The subject loan is
secured by a portfolio of two hotels including the 327-key Yosemite
View Lodge and the 209-key Cedar Lodge, located near Yosemite
National Park in El Portal, California. The loan transferred to
special servicing in July 2020, with both properties reporting
significant performance impacts amid the pandemic. A forbearance
agreement was executed in November 2021 that allowed for a deferral
of principal and interest (P&I) payments or a conversion of
payments to interest only (IO) that were previously due for some
months in 2020 and 2021. The servicer's December 2021 commentary
stated $5.3 million in outstanding P&I was repaid with the closing
of the modification, with other amounts, including outstanding
special servicing fees, to be repaid by the end of 2021. As such,
the loan is expected to report current within the near term. The
collateral was reappraised in July 2021 for a value of $124.7
million, compared with the August 2020 appraised value of $108.6
million and the appraised value of $122.5 million value at
issuance.

Two loans, 11 Madison Avenue (Prospectus ID#6, 6.4% of the trust
balance) and The Parking Spot LAX (Prospectus ID#15, 2.3% of the
trust balance, were shadow-rated investment grade at issuance. DBRS
Morningstar confirmed that the performance of these loans remains
consistent with investment-grade loan characteristics.

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



WELLS FARGO 2018-C43: DBRS Confirms B(low) Rating on Class F Certs
------------------------------------------------------------------
DBRS, Inc. confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2018-C43, issued by Wells Fargo
Commercial Mortgage Trust 2018-C43 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. At issuance, the collateral for the
trust consisted of 63 fixed-rate loans secured by 132 commercial
and multifamily properties with an initial trust balance of $722.4
million. As of the December 2021 remittance, 62 loans remain in the
pool, with a collateral reduction of 3.2% as a result of scheduled
amortization and the repayment of one small loan. In the last year,
six loans, representing 7.1% of the current pool balance, have been
defeased.

At issuance, DBRS Morningstar shadow rated the following loans as
investment grade: Moffet Towers II-Building 2 (Prospectus ID #1,
7.7% of the current pool balance) and Apple Campus 3 (Prospectus ID
#7, 4.3% of the current pool balance). With this review, DBRS
Morningstar maintains that the performance of these loans remains
consistent with investment-grade characteristics.

As of the December 2021 remittance report, there are two loans in
special servicing, representing 3.2% of the current pool balance,
including one top 15 loan. Both are distressed because of issues
caused by the Coronavirus Disease (COVID-19) pandemic. There are
also seven loans, representing 13.6% of the current pool balance,
being monitored on the servicer's watchlist.

Galleria Oaks (Prospectus ID#15, 2.2% of the current pool balance)
is the largest loan in special servicing and is secured by an
unanchored retail property in Austin, Texas. The loan transferred
to the special servicer in April 2020 for a nonmonetary default
because of prohibited liens filed against the collateral. The
special servicer indicated that the borrower failed to pay vendors,
resulting in a mechanics lien being filed. A foreclosure notice was
issued to the borrower in April 2021, and most recently, the
special servicer reports that a court ordered mediation is
underway. The borrower has generally been uncooperative since the
loan's transfer to special servicing, and as of the December 2021
remittance, the loan was last paid in September 2021. An updated
appraisal has not been obtained since the loan's transfer. Given
the unknowns regarding the ultimate resolution of the loan and the
possibility that property performance remains depressed from
issuance, DBRS Morningstar assumed an elevated probability of
default (POD) in the analysis for this review, increasing the
expected loss for the loan.

The largest loan on the servicer's watchlist is Southpoint Office
Center (Prospectus ID#4, 5.2% of the current pool balance), which
is secured by an office property in Bloomington, Minnesota. The
loan has remained current, but was added to the watchlist in May
2021. Wells Fargo (formerly 18.2% of the net rentable area) vacated
following its lease expiration in October 2020, contributing to a
reduction in occupancy to 66.4% as of September 2021, down from
86.4% the year prior. As a result of the decline in occupancy, the
debt service coverage ratio has fallen to 0.54 times (x) as of the
trailing nine months ended September 30, 2021, down from 1.33x at
year end 2020 and 1.82x at issuance. Given the sharp performance
decline from issuance, DBRS Morningstar applied a POD penalty in
the analysis for this loan as well.

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



WELLS FARGO 2018-C44: DBRS Confirms BB Rating on Class F-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-C44 issued by Wells Fargo
Commercial Mortgage Trust 2018-C44 as follows:

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

DBRS Morningstar changed the trend on Class G-RR to Negative from
Stable. All other trends are Stable.

The Negative trend on the lowest-rated class is reflective of DBRS
Morningstar's concerns with the largest specially serviced loan,
Prince and Spring Street Portfolio (Prospectus ID#9; 4.0% of the
pool balance). This loan is secured by a portfolio of three
mixed-use properties in New York City. The loan transferred to
special servicing in December 2020 for payment default and the loan
was last paid through September 2020. According to the January 2021
appraisal, the property was valued at $35.3 million, a 46.5%
decline from the issuance value of $66.0 million, and is below the
whole-loan balance of $41.0 million.

The most recent financials, representing the trailing six months
ended June 30, 2021, reported an occupancy rate of 94.6% and debt
service coverage ratio (DSCR) of 0.72 times (x). According to the
April 2021 rent roll, the most recent on file, the multifamily
portion of the collateral was 91.8% occupied and the retail portion
was 87.7% occupied. The largest retail tenant is Spring Lounge,
representing 6.2% of the collateral net rentable area (NRA) on a
lease through April 2022, followed by John Fluevog Boots & Shoes at
3.1% of NRA on a month-to-month lease. The former second-largest
(Mulberry Burger; 6.2% of NRA) and third-largest (Torrisi; 3.1% of
NRA) tenants vacated in 2020 because of business interruptions
stemming from the pandemic. However, replacement tenants Wan Wan
LLC and Bel NYC LLC have been signed to fill the spaces. The
collateral benefits from its location in the well-established
neighborhood of Nolita and within a heavily retail-concentrated
area that experiences high foot traffic. With this review, DBRS
Morningstar increased the probability of default (POD) to increase
the expected loss in its analysis.

The rating confirmations reflect DBRS Morningstar's view of the
generally stable credit risk for the transaction since issuance. As
of the January 2022 remittance report, all 44 of the original loans
remain in the pool with a nominal collateral reduction of 1.8%
because of scheduled loan amortization. Twelve loans are on the
watchlist and three loans are in special servicing, representing
25.8% and 6.0% of the pool balance, respectively. DBRS Morningstar
applied stressed POD scenarios to increase the expected loss where
significantly increased risks were observed. Although the risks for
some of the loans are elevated when compared with issuance, the
overall increased risk to the trust is low, supporting the ratings
confirmations with Stable trends on all but one class.

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



WELLS FARGO 2020-C55: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------------
Fitch Ratings has affirmed 18 classes of Wells Fargo Commercial
Mortgage Trust Pass-Through Certificates, series 2020-C55 (WFCM
2020-C55).

    DEBT              RATING            PRIOR
    ----              ------            -----
WFCM 2020-C55

A-1 95002EAW7    LT AAAsf   Affirmed    AAAsf
A-2 95002EAX5    LT AAAsf   Affirmed    AAAsf
A-3 95002EAY3    LT AAAsf   Affirmed    AAAsf
A-4 95002EBA4    LT AAAsf   Affirmed    AAAsf
A-5 95002EBB2    LT AAAsf   Affirmed    AAAsf
A-S 95002EBC0    LT AAAsf   Affirmed    AAAsf
A-SB 95002EAZ0   LT AAAsf   Affirmed    AAAsf
B 95002EBD8      LT AA-sf   Affirmed    AA-sf
C 95002EBE6      LT A-sf    Affirmed    A-sf
D 95002EAA5      LT BBBsf   Affirmed    BBBsf
E 95002EAC1      LT BBB-sf  Affirmed    BBB-sf
F 95002EAE7      LT BB-sf   Affirmed    BB-sf
G 95002EAG2      LT B-sf    Affirmed    B-sf
X-A 95002EBF3    LT AAAsf   Affirmed    AAAsf
X-B 95002EBG1    LT A-sf    Affirmed    A-sf
X-D 95002EAL1    LT BBB-sf  Affirmed    BBB-sf
X-F 95002EAN7    LT BB-sf   Affirmed    BB-sf
X-G 95002EAQ0    LT B-sf    Affirmed    B-sf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations are in line with
issuance expectations. Four hotel loans (6.2%) were flagged as
Fitch Loans of Concern (FLOCs) due to the impact of the coronavirus
pandemic; two loans (3.5%) were specially serviced. Fitch's current
ratings reflect a base case loss of 4%.

The largest contributor to base case losses, Delta Hotels by
Marriott - Detroit Metro Airport (2.1%), is secured by a 271-room
full service hotel located in Romulus, MI. The loan transferred to
special servicing in June 2020 for imminent monetary default due to
the pandemic. The borrower reportedly filed bankruptcy. Fitch's
loss expectations reflect a value of $52K per key.

The other loan in special servicing, Aloft Bolingbrook (1.4%), is
secured by a 155-room limited service hotel located in Bolingbrook,
IL. The loan transferred in May 2020 for imminent monetary default.
The property is in foreclosure and being marketed for sale.

Minimal Change to Credit Enhancement (CE): As of the January 2022
distribution date, the pool's aggregate balance has been reduced by
0.7% to $956.6 million from $962.8 million at issuance. Interest
shortfalls ($376K) are currently affecting non-rated class H-RR. 29
loans (64.1% of the pool) are full-term IO, and 17 loans,
representing 16.6% of the pool, are partial IO (four loans
representing 2.7% have exited their interest only period). There
have been no realized losses to date.

Credit Opinion Loans: Four loans representing 24.2% of the pool
received credit opinions at issuance. Kings Plaza (8.6%) received a
standalone credit opinion of 'BBBsf'. 1633 Broadway (7.3%), 650
Madison Avenue (4.2%) and F5 Tower (4.2%) each received standalone
credit opinions of 'BBB-sf'.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool-level losses
    from underperforming or specially serviced loans. Downgrades
    to the senior A-1, A-2, A-3, A-4, A-5, A-SB classes are not
    likely given their sufficient CE relative to expected losses
    and continued amortization but may occur if interest
    shortfalls occur or loss expectations increase considerably.

-- Downgrades to classes A-S, B, C, D, X-A, X-B and X-D may occur
    should expected losses for the pool increase significantly
    and/or all loans susceptible to the coronavirus pandemic
    suffer losses.

-- Downgrades to classes E, F, G, X-F and X-G would occur should
    loss expectations increase from continued performance decline
    of the FLOCs, loans susceptible to the pandemic not stabilize
    and/or loans default or transfer to special servicing.

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

-- Upgrades would occur with stable to improved asset
    performance, particularly on the FLOCs, coupled with
    additional paydown and/or defeasance.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


WELLS FARGO 2022-1: S&P Assigns B (sf) Rating on Class B-5 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wells Fargo Mortgage
Backed Securities 2022-1 Trust's mortgage pass-through
certificates.

The note issuance is an RMBS transaction backed by residential
mortgage loans.

The ratings reflect:

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework;

-- The geographic concentration;

-- The experienced originator;

-- The statistically significant sample of due diligence results
consistent with represented loan characteristics; and

-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool.

  Ratings Assigned

  Wells Fargo Mortgage Backed Securities 2022-1 Trust

  Class A-1, $393,520,000: AAA (sf)
  Class A-2, $393,520,000: AAA (sf)
  Class A-3, $295,140,000: AAA (sf)
  Class A-4, $295,140,000: AAA (sf)
  Class A-5, $98,380,000: AAA (sf)
  Class A-6, $98,380,000: AAA (sf)
  Class A-7, $236,112,000: AAA (sf)
  Class A-8, $236,112,000: AAA (sf)
  Class A-9, $157,408,000: AAA (sf)
  Class A-10, $157,408,000: AAA (sf)
  Class A-11, $59,028,000: AAA (sf)
  Class A-12, $59,028,000: AAA (sf)
  Class A-13, $63,947,000: AAA (sf)
  Class A-14, $63,947,000: AAA (sf)
  Class A-15, $34,433,000: AAA (sf)
  Class A-16, $34,433,000: AAA (sf)
  Class A-17, $46,327,000: AAA (sf)
  Class A-18, $46,327,000: AAA (sf)
  Class A-19, $439,847,000: AAA (sf)
  Class A-20, $439,847,000: AAA (sf)
  Class A-IO1, $439,847,000(i): AAA (sf)
  Class A-IO2, $393,520,000(i): AAA (sf)
  Class A-IO3, $295,140,000(i): AAA (sf)
  Class A-IO4, $98,380,000 (i): AAA (sf)
  Class A-IO5, $236,112,000(i): AAA (sf)
  Class A-IO6, $157,408,000(i): AAA (sf)
  Class A-IO7, $59,028,000(i): AAA (sf)
  Class A-IO8, $63,947,000(i): AAA (sf)
  Class A-IO9, $34,433,000(i): AAA (sf)
  Class A-IO10, $46,327,000(i): AAA (sf)
  Class A-IO11, $439,847,000(i): AAA (sf)
  Class B-1, $10,417,000: AA- (sf)
  Class B-2, $4,862,000: A- (sf)
  Class B-3, $3,241,000: BBB- (sf)
  Class B-4, $1,620,000: BB- (sf)
  Class B-5, $1,158,000: B (sf)
  Class B-6, $1,852,327: Not rated
  Class R, not applicable: Not rated

(i)Notional balance.



WELLS FARGO 2022-JS2: S&P Assigns Prelim B- (sf) Rating on F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wells Fargo Commercial
Mortgage Trust 2022-JS2's commercial mortgage pass-through
certificates.

The certificate issuance is a CMBS securitization backed by a
$216.5 million fixed-rate, trust loan, which is part of a whole
mortgage loan structure in the aggregate principal amount of $350.0
million. The $216.5 million trust loan is comprised of a $50.0
million senior A-1 loan, and a $166.5 million B-1 loan. The
mortgage loan seller is retaining $133.5 million in senior
pari-passu non-trust companion loans (A-2, A-3, and A-4).

The ratings reflect SS&P's view of the collateral's historical and
projected performance, the sponsor's and the manager's experience,
the trustee-provided liquidity, the loan terms, and the
transaction's structure. S&P determined that the mortgage loan has
a debt service coverage ratio of 1.40x and a beginning and ending
loan-to-value (LTV) ratio of 120.9%, based on S&P Global Ratings'
value.

S&P Global Ratings believes the new Omicron variant is a stark
reminder that the COVID-19 pandemic is far from over. Although
already declared a variant of concern by the World Health
Organization, uncertainty still surrounds its transmissibility,
severity, and the effectiveness of existing vaccines against it.
Early evidence points toward faster transmissibility, which has led
many countries to close their borders with Southern Africa or
reimpose international travel restrictions. S&P said, "Over coming
weeks, we expect additional evidence and testing will show the
extent of the danger it poses to enable us to make a more informed
assessment of the risks to credit. Meanwhile, we can expect a
precautionary stance in markets, as well as governments to put into
place short-term containment measures. Nevertheless, we believe
this shows that, once again, more coordinated, and decisive efforts
are needed to vaccinate the world's population to prevent the
emergence of new, more dangerous variants."

  Ratings Assigned

  Wells Fargo Commercial Mortgage Trust 2022-JS2(i)

  Class A, $37,480,000: AAA (sf)
  Class X, $216,500,000(ii): Not rated
  Class B, $8,920,000: AA- (sf)
  Class C, $14,710,000: A- (sf)
  Class D, $24,900,000: BBB- (sf)
  Class E, $28,960,000: BB- (sf)
  Class F, $30,410,000: B- (sf)
  Class G, $58,520,000: Not rated
  Class HRR(iii), $12,600,000: Not rated

(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X
certificates will equal the aggregate certificate balances of the
class A, B, C, D, E, F, G, and HRR certificates.
(iii)Horizontal risk retention certificates.



WESTGATE RESORTS 2022-1: DBRS Finalizes BB Rating on Class D Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Westgate Resorts 2022-1 LLC:

-- $105,000,000 Timeshare Collateralized Notes, Series 2022-1,
Class A rated AAA (sf)

-- $78,000,000 Timeshare Collateralized Notes, Series 2022-1,
Class B rated A (sf)

-- $71,500,000 Timeshare Collateralized Notes, Series 2022-1,
Class C rated BBB (sf)

-- $21,000,000 Timeshare Collateralized Notes, Series 2022-1,
Class D rated BB (sf)

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

(1) The transaction capital structure and form and sufficiency of
available credit enhancement are commensurate with the proposed
ratings. Credit enhancement is in the form of
overcollateralization, subordination, amounts held in the reserve
fund, and excess spread. Credit enhancement levels are sufficient
to support the DBRS Morningstar-projected cumulative gross loss
(CGL) assumption under various stress scenarios.

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

(3) The transaction has the ability to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the rating on the Class A
Notes address the timely payment of interest and the ultimate
payment of principal on or before the Final Maturity Date. The
ratings on the Class B, Class C and Class D Notes address the
ultimate payment of interest and the ultimate payment of principal
on or before their respective Final Maturity Dates.

(4) Westgate Resorts, Ltd. (Westgate) has sufficient operating
history and capabilities with regard to developing and managing
timeshare resorts as well as the origination, underwriting, and
servicing of timeshare loans.

(5) The credit quality of the collateral reflects the ratings, and
Westgate's timeshare loans portfolio has had consistent
performance.

(6) The Westgate senior management team has considerable experience
and a successful track record within the timeshare industry.

(7) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
each of the depositors and the Issuer with Westgate, that the
Issuer has a valid first-priority security interest in the assets,
and the consistency with DBRS Morningstar's "Legal Criteria for
U.S. Structured Finance."

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



WFRBS COMM 2013-C12: Fitch Affirms CCC Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed seven classes
of WFRBS Commercial Mortgage Trust (WFRBS) commercial mortgage
pass-through certificates series 2013-C12. The Rating Outlook for
class E has been revised to Stable from Negative and the Rating
Outlook for class B has been assigned a Stable Outlook following an
upgrade of that class.

    DEBT                RATING               PRIOR
    ----                ------               -----
WFRBS 2013-C12

A-3 92937FAC5     LT PIFsf   Paid In Full    AAAsf
A-3FL 92937FAQ4   LT PIFsf   Paid In Full    AAAsf
A-3FX 92937FAS0   LT PIFsf   Paid In Full    AAAsf
A-4 92937FAD3     LT AAAsf   Affirmed        AAAsf
A-S 92937FAF8     LT AAAsf   Affirmed        AAAsf
A-SB 92937FAE1    LT AAAsf   Affirmed        AAAsf
B 92937FAG6       LT AAAsf   Upgrade         AAsf
C 92937FAH4       LT Asf     Upgrade         A-sf
D 92937FAU5       LT BBB-sf  Affirmed        BBB-sf
E 92937FAW1       LT BBsf    Affirmed        BBsf
F 92937FAY7       LT CCCsf   Affirmed        CCCsf
X-A 92937FAJ0     LT AAAsf   Affirmed        AAAsf
X-B 92937FAL5     LT Asf     Upgrade         A-sf

KEY RATING DRIVERS

Stable Loss Expectations; Expected Paydown: Despite applying a full
recognition of losses on loans in the pool flagged as maturity
defaults, Fitch's loss expectations remain stable since the prior
review due to generally stable and improving performance across the
pool. The maturity default stress reflects upcoming loan maturities
-- 2% of the pool matures in 4Q22 and the remainder matures in
1Q23. The upgrades to classes B and C reflect expected significant
paydown and improved credit enhancement (CE) resulting from the
payoff of maturing loans; the majority of the pool exhibits metrics
sufficient for refinancing.

Fitch's current ratings incorporate a base case loss of 5.9%. An
additional stress that factored in a full loss to the Victoria Mall
loan (4.5%) reflects losses that could reach 6.2%.

The largest contributor to expected losses is the Victoria Mall
loan. The loan is secured by a 679,502 sf (448,935 sf collateral)
enclosed regional mall located in Victoria, TX, approximately 90
miles southeast of San Antonio and 100 miles southwest of Houston.
The mall is anchored by J.C. Penney (noncollateral), Dillard's (two
noncollateral stores), Cinemark Theater (9.7% of the NRA), and a
former Sears (18.4% of NRA) (tenant vacated in 2019).

As of September 2021, the debt service coverage ratio (DSCR) was
reported to be 2.60x and according to the September 2021 rent roll,
total mall occupancy was 79%. Comparable in-line sales were
reported to be $248psf for the TTM period ending December 2020
compared to $301 in 2019, $287 in 2018 and $367psf at issuance.
Fitch's high base case loss expectation of nearly 75% reflects a
30% cap rate and a 50% haircut to the YE 2020 NOI. Fitch has
concerns with regional mall asset type, declining in-line sales,
the vacant Sears and tertiary location.

Due to Fitch's concerns with the refinanceability of the loan,
which matures in January 2023, a 100% loss severity was applied to
the loan's maturity balance in the sensitivity scenario.

The second largest contributor to losses and largest loan in the
pool is the Grand Beach Hotel loan (18.6%), which is secured by a
424-key full service, oceanfront hotel located in Miami Beach, FL.
After transferring to special servicing in May 2020 for imminent
monetary default, a forbearance agreement was executed in December
2020. The agreement terms include: allowing the borrower to incur
additional debt (borrower received a PPP loan in 2020), deferral of
approximately nine months of principal and interest payments and
waiver of FF&E reserve payments through December 2021.

Additionally, the borrower is required to repay all principal and
interest deferrals by March 2022. According to the servicer, the
loan is being monitored to ensure compliance under the terms of the
forbearance agreement and is expected to return to the master
servicer; the loan is current as of the January 2022 payment date
and is scheduled to mature in March 2023.

The servicer reported September 2021 DSCR was 3.95x. According to
the TTM November 2021 STR report, occupancy, ADR and RevPar were
reported to be 39%, $371.91 and $146.10, respectively. The
subject's resulting penetration rates during this period were 60%,
182% and 109%, respectively. RevPar has improved 22% from 2020, but
is still down 35% from pre-pandemic levels; ADR is now exceeding
pre-pandemic levels. Fitch modelled a small loss on the loan to
reflect special servicing fees.

Increased Credit Enhancement and Defeasance: As of the January 2022
distribution date, the pool's aggregate principal balance was paid
down by 55.1% to $592.3 million from $1.2 billion at issuance. Six
loans were paid off since the last rating action resulting in
approximately $188 million in paydown.

Defeased collateral accounts for 31.2% of the pool (up from 14.5%
at the prior review). The pool has experienced $5.3 million (0.4%
of original pool balance) in realized losses to date from the
liquidation of a specially serviced asset in 2018 and interest
shortfalls are currently impacting class G.

Alternative Loss Scenario: Due to Fitch's concerns with the
refinanceability of the Victoria Mall loan, a 100% loss severity
was applied to the loan's maturity balance in the sensitivity
scenario. Despite this additional sensitivity, the Outlook for
class E is revised to Stable from Negative as losses in this
scenario would be absorbed by the NR class G.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool level losses
    from underperforming loans. Downgrades to the 'AAAsf' rated
    categories are not likely due to the position in the capital
    structure and expected paydown, but may occur should interest
    shortfalls affect the classes.

-- Downgrades to the 'Asf' and 'BBBsf' rated category would occur
    should overall pool losses increase significantly and/or one
    or more large loans have an outsized loss, which would erode
    CE. Downgrades to the 'CCCsf' and 'BBsf' rated categories
    would occur should loss expectations increase, additional
    loans default and/or loans fail to repay at their respective
    maturity.

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

-- Stable to improved asset performance coupled with pay down
    and/or defeasance. Upgrades of the 'Asf' and 'AAsf' rated
    categories would likely occur with significant improvement in
    CE and/or defeasance; however, adverse selection, increased
    concentrations and further underperformance of the Fitch loans
    of concern could cause this trend to reverse.

-- Upgrades to the 'BBBsf' rated category would be limited based
    on sensitivity to concentrations or the potential for future
    concentration. Classes would not be upgraded above 'Asf' if
    there is likelihood for interest shortfalls. Upgrades to the
    'CCCsf' and 'BBf' rated categories are not likely and only if
    the performance of the remaining pool is stable and there is
    sufficient CE to the classes.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


WFRBS COMMERCIAL 2011-C3: Moody's Lowers Rating on X-B Debt to C
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the rating on one class in WFRBS Commercial Mortgage
Trust 2011-C3, Commercial Mortgage Pass-Through Certificates,
Series 2011-C3 as follows:

Cl. D, Affirmed Ca (sf); previously on Apr 12, 2021 Downgraded to
Ca (sf)

Cl. E, Affirmed C (sf); previously on Apr 12, 2021 Affirmed C (sf)

Cl. F, Affirmed C (sf); previously on Apr 12, 2021 Affirmed C (sf)

Cl. X-B, Downgraded to C (sf); previously on Apr 12, 2021
Downgraded to Ca (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

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

The rating on the interest only (IO) class was downgraded due to
the decline in the credit quality of its reference classes
resulting from principal paydowns of higher quality reference
classes.


Moody's rating action reflects a base expected loss of 69.1% of the
current pooled balance, compared to 37.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.6% of the
original pooled balance, compared to 7.4% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.

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

DEAL PERFORMANCE

As of the January 18, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 90% to $141 million
from $1.45 billion at securitization. The certificates are
collateralized by three specially serviced loans, secured by
regional mall loans. Two of the specially serviced loans (86% of
the pool balance) are already real estate owned (REO).

The largest specially serviced loan is the Park Plaza Loan ($74.2
million -- 52.6% of the pool), which is secured by a three-story,
283,000 square foot (SF), enclosed regional mall located in Little
Rock, Arkansas. Dillard's anchors the mall, which is not included
as part of the collateral. The largest collateral tenants include
H&M (10.4% of the net rentable area (NRA); lease expiration in
2028) and Forever 21 (8.8% of the NRA; lease expiration in 2023).
As of June 2021, the collateral was 83% leased, compared to 97% at
securitization. The loan transferred to special servicing in June
2019 for imminent monetary default. The property's net operating
income (NOI) has declined since 2012 and the year-end 2019 NOI was
approximately 28% lower than in 2012 , and the year-end 2020 NOI
was approximately 55% lower than in 2012. The decline in NOI is due
to lower rental revenue driven by tenant departures. Furthermore
2019 mall store sales, as reported by the sponsor, declined to $314
per square foot (PSF) from $319 in 2018 and $330 in 2017. The loan
did not pay off at its maturity in April 2021 and the property
became REO in October 2021. The loan has amortized 25% since
securitization, however, the servicer has recognized an appraisal
reduction of over $47 million. Due to the property's continued
decline in performance, Moody's anticipates a significant loss on
this loan.

The second largest specially serviced loan is the Oakdale Mall Loan
($47.5 million -- 33.7% of the pool), which is secured by a 709,000
SF enclosed regional mall located in Johnson City, New York. The
mall is anchored by a JC Penney (13% of NRA; lease expiration in
July 2025) and Burlington Coat Factory (12% of NRA; lease
expiration in August 2023). Three anchor tenants have vacated since
securitization; non-collateral Sears (vacated in September 2017), a
ground leased Macy's (April 2018) and Bon Ton (Summer 2018) and all
three spaces remain vacant. As of June 2021, the property was 76%
leased, compared to 93% at securitization. Furthermore the 2019
comparable inline sales were less than $300 per square foot. The
loan was transferred to special servicing in July 2018 due to
imminent monetary default and the servicer has recognized an
appraisal reduction of over $40 million. In September 2020, the
special servicer obtained title to the property via deed in lieu.
Moody's anticipates a significant loss on this loan.

The third largest specially serviced loan is the Hampshire Mall
Loan ($19.3 million -- 13.7% of the pool), which is secured by an
approximately 342,500 SF portion of a 462,000 SF regional mall
located in Hadley, Massachusetts, three miles south of the
UMASS-Amherst campus. Major tenants at the property include J.C.
Penney, Cinemark Theaters, Dick's Sporting Goods, Trader Joe's, and
Target (which is not a part of the collateral). The collateral was
82% leased as of June 2021, compared 86% at securitization. The
loan is sponsored by Pyramid Management Group. While the property's
performance had improved in recent years with the 2019 NOI up over
30% since 2016, the loan transferred to special servicing in April
2020 for monetary default at the borrower's request as a result of
the coronavirus pandemic. The loan has amortized 23% since
securitization and matured in April 2021. The loan is last paid
through its April 2020 payment date. The servicer has recognized an
appraisal reduction of over $5 million. The borrower has submitted
an updated proposal that is under review and consideration.


WFRBS COMMERCIAL 2014-C25: DBRS Confirms B Rating on Class F Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-C25 issued by WFRBS
Commercial Mortgage Trust 2014-C25 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the December 2021 remittance,
there has been a collateral reduction of 15.5%, with 52 of the
original 59 loans remaining and a current trust balance of $739.6
million. In addition to the successful repayments since issuance,
the pool benefits from 15 loans that are fully defeased,
representing 24.3% of the current pool balance, including four of
the top 10 loans. Since issuance, there has been one loan, Elsinore
Courtyard Apartments (Prospectus ID#20), liquidated, with the
principal loss of $567,640 contained to the unrated Class G
certificate. There are 10 loans on the servicer's watchlist,
representing 12.7% of the current pool balance, most of which are
flagged for a low debt service coverage ratio (DSCR) due to
performance declines during the pandemic. As of the December 2021
remittance, there are no loans in special servicing and no loans
are reporting delinquent debt-service payments.

The largest loan on the servicer's watchlist is Four Seasons Hotel
– Seattle (Prospectus ID#4, 5.2% of the current pool balance),
secured by a full-service luxury hotel property in downtown
Seattle, Washington. The loan was added to the servicer's watchlist
in July 2020 for a low DSCR and was 90-days delinquent at that
time. The servicer granted a forbearance in May 2020, which allowed
the borrower to use furniture, fixture, and equipment (FF&E)
reserve funds to cover debt service payments from April 2020
through December 2020. As of the December 2021 remittance, the loan
remains current on its debt service payments. Given the subject's
desirable location, historically stable performance, compliance
with the terms of the loan modification, and a recent growth in
demand, DBRS Morningstar believes the overall increased risks from
issuance remain moderate.

DBRS Morningstar does note there is one loan not currently on the
servicer's watchlist but showing notable performance declines from
issuance in the Colorado Mills (Prospectus ID#2, 12.6% of the
current pool balance) loan, which is secured by a regional mall
located outside of Denver, Colorado. The mall has been on the radar
for several years following a hail storm that took out a good
portion of the property's roof in 2017, which resulted in the
property's closure for six months while repairs were made. Cash
flows fell during that time and remain depressed from the issuance
figures, with occupancy reported at 76.0% for September 2021, down
from 94.0% at issuance. The occupancy rate has been down since 2014
and fell as low as 71% as of the year-end 2020 reporting period.
There are mitigating factors in the strong sponsorship in Simon
Property Group and the in-place DSCR remains healthy, at 1.61
times, for the Q3 2021 reporting period.

At issuance, DBRS Morningstar shadow-rated one loan investment
grade, St. John's Town Center (Prospectus ID#1, 13.5% of the pool).
With this review, DBRS Morningstar confirms the performance of the
loan remains in line with the investment grade shadow rating.

DBRS Morningstar materially deviated from its North American CMBS
Insight Model when determining the ratings assigned to Class C, as
the quantitative results suggested a higher rating. The material
deviation is warranted given the uncertain loan-level event risk
specifically related to Colorado Mills (Prospectus ID#2, 12.6% of
the current pool balance) and Four Seasons Hotel – Seattle
(Prospectus ID#4, 5.2% of the current pool balance). Although the
two loans are currently not in default, the credit risks associated
with those loans remain elevated since issuance.

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



ZAIS CLO 5: Moody's Upgrades Rating on $18.4MM Class D Notes to B3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by ZAIS CLO 5, Limited:

US$42,800,000 Class A-2 Senior Secured Floating Rate Notes due
2028, Upgraded to Aaa (sf); previously on February 17, 2021
Upgraded to Aa1 (sf)

US$25,200,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2028, Upgraded to Aa1 (sf); previously on February 17, 2021
Upgraded to A2 (sf)

US$21,600,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2028, Upgraded to Baa3 (sf); previously on August 5, 2020
Downgraded to Ba2 (sf)

US$18,400,000 Class D Secured Deferrable Floating Rate Notes due
2028, Upgraded to B3 (sf); previously on August 5, 2020 Downgraded
to Caa1 (sf)

ZAIS CLO 5, Limited, originally issued in October 2016 and
partially refinanced in February 2021 is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in October 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2021. The Class
A-1-R notes have been paid down by approximately 62% or $156.7
million since then. Based on Moody's calculation, the OC ratios for
the Class A-1-R/A-2, Class B, Class C and Class D notes are
currently 158.90%, 134.55%, 118.93%, and 108.22%, respectively,
versus 127.03%, 117.06%, 109.69%, and 104.10% in February 2021,
respectively.

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

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

Performing par and principal proceeds balance: $220,889,361

Defaulted par: $1,858,359

Diversity Score: 56

Weighted Average Rating Factor (WARF): 2967

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.75%

Weighted Average Coupon (WAC): 11.40%

Weighted Average Recovery Rate (WARR): 46.8%

Weighted Average Life (WAL): 3.3 years

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, decrease in overall WAS and
lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

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


[*] Fitch Affirms C Rating on 12 Note Classes
---------------------------------------------
Fitch Ratings has affirmed the ratings on 17 classes, upgraded 15
classes and assigned Rating Outlooks to nine classes from seven
collateralized debt obligations (CDOs). Fitch has also removed 15
notes from Under Criteria Observation (UCO).

    DEBT               RATING           PRIOR
    ----               ------           -----
ALESCO Preferred Funding XVII, Ltd./LLC

A-1 01450NAA0     LT A+sf   Upgrade     Asf
A-2 01450NAB8     LT A+sf   Upgrade     BBBsf
B 01450NAC6       LT BBBsf  Upgrade     BBsf
C-1 01450NAD4     LT B+sf   Upgrade     CCCsf
C-2 01450NAE2     LT B+sf   Upgrade     CCCsf
D 01450NAF9       LT Csf    Affirmed    Csf

Preferred Term Securities VIII, Ltd./Inc.

A-2 74041PAB6     LT AAsf   Upgrade     Asf
B-1 74041PAC4     LT Csf    Affirmed    Csf
B-2 74041PAD2     LT Csf    Affirmed    Csf
B-3 74041PAE0     LT Csf    Affirmed    Csf

Preferred Term Securities XII, Ltd./Inc.

A-1 74041NAA3     LT AAsf   Affirmed    AAsf
A-2 74041NAB1     LT AAsf   Upgrade     Asf
A-3 74041NAC9     LT AAsf   Upgrade     Asf
A-4 74041NAD7     LT AAsf   Upgrade     Asf
B-1 74041NAE5     LT Csf    Affirmed    Csf
B-2 74041NAG0     LT Csf    Affirmed    Csf
B-3 74041NAJ4     LT Csf    Affirmed    Csf

U.S. Capital Funding I, Ltd./Corp.

A-2 903329AC4     LT AAsf   Affirmed    AAsf
B-1 903329AE0     LT B+sf   Upgrade     CCCsf
B-2 903329AG5     LT B+sf   Upgrade     CCCsf

U.S. Capital Funding II, Ltd./Corp.

A-2 90390KAB0     LT AAsf   Affirmed    AAsf
B-1 90390KAC8     LT CCCsf  Affirmed    CCCsf
B-2 90390KAD6     LT CCCsf  Affirmed    CCCsf

ALESCO Preferred Funding III, Ltd./Inc.

A-2 01448MAB5     LT AAsf   Upgrade     Asf
B-1 01448MAC3     LT Csf    Affirmed    Csf
B-2 01448MAD1     LT Csf    Affirmed    Csf

Soloso CDO 2007-1 Ltd./Corp.

A-1LA 83438JAA4   LT AA-sf  Upgrade     Asf
A-1LB 83438JAC0   LT A-sf   Upgrade     BBsf
A-2L 83438JAE6    LT B+sf   Upgrade     CCCsf
A-3F 83438JAJ5    LT Csf    Affirmed    Csf
A-3L 83438JAG1    LT Csf    Affirmed    Csf
B-1L 83438JAL0    LT Csf    Affirmed    Csf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

All of the transactions experienced moderate deleveraging from
collateral redemptions and/or excess spread, which led to the
senior classes of notes receiving paydowns ranging from 3% to 43%
of their last review note balances. Such deleveraging in
conjunction with the impact of Fitch's recently updated U.S. Trust
Preferred CDOs Surveillance Rating Criteria (TruPS CDO Criteria)
led to the upgrades.

For all seven transactions, the credit quality of the collateral
portfolios, as measured by a combination of Fitch's bank scores and
public ratings, improved. Two bank issuers cured across two CDOs
over this review period. No new deferrals or defaults have been
reported.

Upgrades were mainly limited by the outcome of the sector wide
migration sensitivity analysis described in the TruPS CDO Criteria
for most notes.

For the class A-2L notes in Soloso CDO 2007-1 Ltd./Corp., the
rating is one category lower than the model-implied rating (MIR),
based on the outcome of Weighted Average Number (WAN) Overlay
analysis.

The ratings for the class B-1 and B-2 notes in U.S. Capital Funding
II, Ltd./Corp. (US Cap II) are one category higher than their MIR,
which was driven by the outcome of the interest shortfall risk
analysis. The deviation from the MIR is due to the transaction
having an outstanding interest rate swap and volatility in interest
collections.

The Stable Outlooks on 18 tranches in this review reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolios in stress scenarios commensurate with
such classes' rating.

Fitch considered the rating of the issuer account bank in the
ratings for the class A-2 notes in Alesco Preferred Funding III,
Ltd./Inc., the class A-2 notes in Preferred Term Securities VIII,
Ltd./Inc., the class A-1, A-2, A-3, and A-4 notes in Preferred Term
Securities XII, Ltd./Inc., the class A-2 notes in U.S. Capital
Funding I, Ltd./Corp., and the class A-2 notes in US Cap II due to
the transaction documents not conforming to Fitch's "Structured
Finance and Covered Bonds Counterparty Rating Criteria." These
transactions are allowed to hold cash, and their transaction
account bank (TAB) does not collateralize cash. Therefore, these
classes of notes are capped at the same rating as that of its TAB.

RATING SENSITIVITIES

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

-- Downgrades to the rated notes may occur if a significant share
    of the portfolio issuers default and/or experience negative
    credit migration, which would cause a deterioration in rating
    default rates.

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

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

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

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

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


[*] Fitch Takes Actions in Six Distressed CMBS 1.0 Transactions
---------------------------------------------------------------
Fitch Ratings has downgraded two, upgraded one and affirmed 76
classes in six U.S. CMBS 1.0 transactions. Each transaction is
concentrated and has seven or fewer assets remaining, and all
remaining bonds are rated 'CCCsf' or below.

   DEBT             RATING            PRIOR
   ----             ------            -----
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17

C 07388QAN9     LT Csf    Downgrade   CCCsf
D 07388QAQ2     LT Csf    Affirmed    Csf
E 07388QAS8     LT Dsf    Affirmed    Dsf
F 07388QAU3     LT Dsf    Affirmed    Dsf
G 07388QAW9     LT Dsf    Affirmed    Dsf
H 07388QAY5     LT Dsf    Affirmed    Dsf
J 07388QBA6     LT Dsf    Affirmed    Dsf
K 07388QBC2     LT Dsf    Affirmed    Dsf
L 07388QBE8     LT Dsf    Affirmed    Dsf
M 07388QBG3     LT Dsf    Affirmed    Dsf
N 07388QBJ7     LT Dsf    Affirmed    Dsf
O 07388QBL2     LT Dsf    Affirmed    Dsf
P 07388QBN8     LT Dsf    Affirmed    Dsf
Q 07388QBQ1     LT Dsf    Affirmed    Dsf

Morgan Stanley Capital I Trust 2007-TOP25

A-J 61751XAG5   LT Csf    Downgrade   CCCsf
B 61751XAH3     LT Csf    Affirmed    Csf
C 61751XAJ9     LT Csf    Affirmed    Csf
D 61751XAK6     LT Dsf    Affirmed    Dsf
E 61751XAL4     LT Dsf    Affirmed    Dsf
F 61751XAM2     LT Dsf    Affirmed    Dsf
G 61751XAN0     LT Dsf    Affirmed    Dsf
H 61751XAP5     LT Dsf    Affirmed    Dsf
J 61751XAQ3     LT Dsf    Affirmed    Dsf
K 61751XAR1     LT Dsf    Affirmed    Dsf
L 61751XAS9     LT Dsf    Affirmed    Dsf
M 61751XAT7     LT Dsf    Affirmed    Dsf
N 61751XAU4     LT Dsf    Affirmed    Dsf
O 61751XAV2     LT Dsf    Affirmed    Dsf

Banc of America Commercial Mortgage Inc. 2005-1

B 05947UD62     LT Csf    Affirmed    Csf
C 05947UD70     LT Csf    Affirmed    Csf
D 05947UD88     LT Dsf    Affirmed    Dsf
E 05947UE20     LT Dsf    Affirmed    Dsf
F 05947UE38     LT Dsf    Affirmed    Dsf
G 05947UE46     LT Dsf    Affirmed    Dsf
H 05947UE53     LT Dsf    Affirmed    Dsf
J 05947UE61     LT Dsf    Affirmed    Dsf
K 05947UE79     LT Dsf    Affirmed    Dsf
L 05947UE87     LT Dsf    Affirmed    Dsf
M 05947UE95     LT Dsf    Affirmed    Dsf
N 05947UF29     LT Dsf    Affirmed    Dsf
O 05947UF37     LT Dsf    Affirmed    Dsf

Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13

D 07388LAN0     LT CCsf   Upgrade     Csf
E 07388LAP5     LT Dsf    Affirmed    Dsf
F 07388LAQ3     LT Dsf    Affirmed    Dsf
G 07388LAR1     LT Dsf    Affirmed    Dsf
H 07388LAS9     LT Dsf    Affirmed    Dsf
J 07388LAT7     LT Dsf    Affirmed    Dsf
K 07388LAU4     LT Dsf    Affirmed    Dsf
L 07388LAV2     LT Dsf    Affirmed    Dsf
M 07388LAW0     LT Dsf    Affirmed    Dsf
N 07388LAX8     LT Dsf    Affirmed    Dsf
O 07388LAY6     LT Dsf    Affirmed    Dsf

J.P. Morgan Chase Mortgage Securities Trust 2008-C2

A-J 46632MCL2   LT Dsf    Affirmed    Dsf
A-M 46632MCJ7   LT Csf    Affirmed    Csf
B 46632MAG5     LT Dsf    Affirmed    Dsf
C 46632MAJ9     LT Dsf    Affirmed    Dsf
D 46632MAL4     LT Dsf    Affirmed    Dsf
E 46632MAN0     LT Dsf    Affirmed    Dsf
F 46632MAQ3     LT Dsf    Affirmed    Dsf
G 46632MAS9     LT Dsf    Affirmed    Dsf
H 46632MAU4     LT Dsf    Affirmed    Dsf
J 46632MAW0     LT Dsf    Affirmed    Dsf
K 46632MAY6     LT Dsf    Affirmed    Dsf
L 46632MBA7     LT Dsf    Affirmed    Dsf
M 46632MBC3     LT Dsf    Affirmed    Dsf
N 46632MBE9     LT Dsf    Affirmed    Dsf
P 46632MBG4     LT Dsf    Affirmed    Dsf
Q 46632MBJ8     LT Dsf    Affirmed    Dsf
T 46632MBL3     LT Dsf    Affirmed    Dsf

J. P. Morgan Chase Commercial Mortgage Securities Corp. 2004-PNC1

E 46625M5N5     LT CCCsf  Affirmed    CCCsf
F 46625M5R6     LT Dsf    Affirmed    Dsf
G 46625M5S4     LT Dsf    Affirmed    Dsf
H 46625M5T2     LT Dsf    Affirmed    Dsf
J 46625M5U9     LT Dsf    Affirmed    Dsf
K 46625M5V7     LT Dsf    Affirmed    Dsf
L 46625M5W5     LT Dsf    Affirmed    Dsf
M 46625M5X3     LT Dsf    Affirmed    Dsf
N 46625M5Y1     LT Dsf    Affirmed    Dsf
P 46625M5Z8     LT Dsf    Affirmed    Dsf

KEY RATING DRIVERS

High Expected Losses: All of the transactions have high expected
losses, as most of the remaining assets are in special servicing.
Each transaction has seven or fewer assets remaining and losses are
expected to impact most of the remaining classes.

Insufficient Credit Enhancement: Each of the remaining classes has
low credit enhancement in relation to the expected losses. The
distressed ratings on the bonds reflect insufficient credit
enhancement to absorb the expected losses.

Fitch has affirmed all distressed classes of Bank of America
Commercial Mortgage Inc, Series 2005-1. Losses from the remaining
loan, Mall at Stonecrest, which is secured by the leasehold
interest on a portion of a regional mall in Lithonia, GA, are
expected to impact all remaining classes. The borrower previously
proposed an A/B Note modification, but failed to execute the plan.
The borrower and special servicer are continuing to discuss a
potential discounted payoff.

Fitch has upgraded one class and affirmed the remaining distressed
classes of Bear Stearns Commercial Mortgage Securities Trust
2006-PWR13 commercial mortgage pass-through certificates. Class D
has been upgraded to 'CCsf' from 'Csf' as losses are no longer
considered inevitable, and are now considered probable. The pool is
comprised of one defeased loan (28%), one performing loan maturing
in 2026 (55.5%), and one loan that recently transferred to special
servicer, as it did not payoff at the extended maturity date. Given
the credit enhancement and low leverage of the non-defeased loans,
limited losses, if any, are expected.

Fitch has downgraded one class and affirmed the remaining
distressed classes of Bear Stearns Commercial Mortgage Securities
Trust, series 2007-PWR17 commercial mortgage pass-through
certificates. Class C has been downgraded to 'Csf' from 'CCCsf' due
to higher certainty of loss. Fitch's loss expectations on the four
REO assets remain high. Two assets are retail properties (80%) and
two are office (20%).

The largest REO is the City Center Englewood (65% of the pool), a
218,076-sf retail center located in Englewood, CO that is part of
the larger development, including a 425-unit apartment complex and
a Walmart, and has been identified in an Opportunity Zone. The city
is interested in redeveloping the land including several buildings
at the subject. The property is not currently for sale while the
special servicer investigates leases and shorter-term leases for
buildings that may be redeveloped.

Fitch has affirmed all classes of JPMorgan Chase Commercial
Mortgage Securities Corporation (JPMCC) commercial mortgage
pass-through certificates, series 2004-PNC1. The largest remaining
asset is the REO Tri County Crossing (43.8% of pool), a 146,279-sf
retail property located in Springdale, OH. The loan was transferred
to special servicing in 2016 due to the departure of the
collateral's largest tenant, Dick's Sporting Goods (formerly 43% of
the NRA). The asset became REO in April 2018. Property occupancy
further dropped to 17% as of October 2020 from 57% in December 2019
when Best Buy (39.9% of NRA) vacated at expiration in March 2020.

The only remaining tenant is K&G Men's (17% of NRA leased through
December 2023). Both the former Dick's Sporting Goods and Best Buy
spaces remain vacant; however, the special servicer is pursuing a
national retail tenant to lease a portion of the former Dick's
space. The special servicer continues to evaluate new tenant
prospects with the intent to lease up and sell. Based on updated
valuations, losses from this asset are expected to significantly
impact credit enhancement to class E.

Fitch has affirmed all classes in J.P. Morgan Chase Commercial
Mortgage Securities Trust series 2008-C2 at their distressed
ratings of 'Csf' and 'Dsf'. The largest remaining loan is
collateralized by two Westin resort hotels: the 487-room Westin La
Paloma in Tucson, AZ and the 416-room oceanfront Westin Hilton Head
in Hilton Head, SC. As part of the borrower's bankruptcy, the loan
was modified to a 30 year loan term with a 0% interest rate with
fixed monthly payments of $248,000 for this transaction which is
applied as interest.

The transaction is incurring a monthly modification expense of
approximately $258,000 per month, which is applied as a realized
loss each month. The loan's modified maturity date is in 2033.
Losses from this expense are expected to impact class AM, currently
rated 'Csf'.

Fitch has downgraded one class of Morgan Stanley Capital I Trust
2007-TOP25 (MSCI 2007-TOP25) due to higher certainty of losses due
to increasing pool concentration and loan exposures, as well as
minimal increase in credit enhancement. Class B has been downgraded
to 'Csf' from 'CCCsf' as losses are now considered inevitable. The
two largest assets comprise 81.7% of the pool and are both REO.
Significant losses are expected. Both properties are retail with
performance issues that predate the pandemic.

ESG Factors: J.P. Morgan Chase Commercial Mortgage Securities Trust
series 2008-C2has an ESG Relevance Score of '5' for Transaction &
Collateral Structure due to the modified payment of the Westin
Portfolio which was determined by the bankruptcy court and causes
losses to the trust, which has a negative impact on the credit
profile, and is highly relevant to the rating, resulting in an
implicitly lower rating due to expected losses that will impact all
remaining classes.

RATING SENSITIVITIES

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

-- All classes in these transactions are distressed. Further
    downgrades to 'Dsf' are expected as losses are incurred.
    Classes currently rated 'Dsf' will remain unchanged as losses
    have already been incurred.

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

-- Although not expected, factors that could lead to upgrades
    include significant improvement in valuations and performance
    of the remaining assets.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

J.P. Morgan Chase Mortgage Securities Trust 2008-C2 has an ESG
Relevance Score of '5' for Transaction & Collateral Structure due
to the modified payment of the Westin Portfolio, which was
determined by the bankruptcy court and resulted in losses to the
trust, which has a negative impact on the credit profile, and is
highly relevant to the rating, resulting in an implicitly lower
rating due to expected losses that will impact all remaining
classes.

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


[*] Moody's Hikes 21 Tranches From 5 US RMBS Deals Issued in 2021
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 21 tranches
from five mortgage insurance credit risk transfer transactions
issued in 2021. These transactions were issued to transfer to the
capital markets the credit risk of private mortgage insurance (MI)
policies, issued by Arch Mortgage Insurance Company and United
Guaranty Residential Insurance Company (Bellemeade Re), Essent
Guaranty, Inc. (Radnor Re), Radian Guaranty Inc (Eagle Re),
National Mortgage Insurance Corporation (Oaktown Re), and Genworth
Mortgage Insurance Corporation (Triangle Re), the ceding insurers,
on a portfolio of residential mortgage loans.

The complete rating actions are as follows:

Issuer: Bellemeade Re 2021-1 Ltd.

Cl. B-1, Upgraded to B2 (sf); previously on Mar 30, 2021 Definitive
Rating Assigned B3 (sf)

Cl. M-1A, Upgraded to Aa2 (sf); previously on Mar 30, 2021
Definitive Rating Assigned A1 (sf)

Cl. M-1B, Upgraded to A1 (sf); previously on Mar 30, 2021
Definitive Rating Assigned A3 (sf)

Cl. M-1C, Upgraded to Baa1 (sf); previously on Mar 30, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. M-2, Upgraded to Ba2 (sf); previously on Mar 30, 2021
Definitive Rating Assigned Ba3 (sf)

Issuer: Eagle Re 2021-1 Ltd.

Cl. B-1, Upgraded to B1 (sf); previously on Apr 22, 2021 Definitive
Rating Assigned B2 (sf)

Cl. B-2, Upgraded to B2 (sf); previously on Apr 22, 2021 Definitive
Rating Assigned B3 (sf)

Cl. M-1A, Upgraded to A1 (sf); previously on Apr 22, 2021
Definitive Rating Assigned A3 (sf)

Cl. M-1B, Upgraded to A2 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Baa1 (sf)

Cl. M-1C, Upgraded to Baa2 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. M-2, Upgraded to Ba2 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. M-2A, Upgraded to Ba1 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Ba2 (sf)

Cl. M-2B, Upgraded to Ba2 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. M-2C, Upgraded to Ba3 (sf); previously on Apr 22, 2021
Definitive Rating Assigned B1 (sf)

Issuer: Oaktown Re VI Ltd.

Cl. M-1A, Upgraded to Baa1 (sf); previously on Apr 27, 2021
Definitive Rating Assigned Baa2 (sf)

Issuer: Radnor Re 2021-1 Ltd.

Cl. M-1A, Upgraded to Baa2 (sf); previously on Jun 23, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. M-1B, Upgraded to Baa2 (sf); previously on Jun 23, 2021
Definitive Rating Assigned Baa3 (sf)

Issuer: Triangle Re 2021-2 Ltd.

Cl. M-1A, Upgraded to A3 (sf); previously on Apr 16, 2021
Definitive Rating Assigned Baa2 (sf)

Cl. M-1B, Upgraded to Baa2 (sf); previously on Apr 16, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. M-1C, Upgraded to Ba1 (sf); previously on Apr 16, 2021
Definitive Rating Assigned Ba2 (sf)

Cl. M-2, Upgraded to B1 (sf); previously on Apr 16, 2021 Definitive
Rating Assigned B2 (sf)

A List of Affected Credit Ratings is available at
https://bit.ly/3ueA61n

RATINGS RATIONALE

The upgrade actions are primarily driven by the increased levels of
credit enhancement available to the bonds and the reduction in
projected losses. Driven by the low interest rate environment, as
well as strong prepayment rates over the last few months. The
three-month average CPR for the five deals was approximately 9.2%
to 21.6% with zero loss on the insured balance under the
reinsurance agreement. Strong prepayments and the sequential pay
structures have benefited the bonds by increasing the paydown speed
and building up credit enhancement.

On the closing date, the issuer and the ceding insurer entered into
a reinsurance agreement providing excess of loss reinsurance on
mortgage insurance policies issued by the ceding insurer on a
portfolio of residential mortgage loans. Proceeds from the sale of
the notes were deposited into the reinsurance trust account for the
benefit of the ceding insurer and as security for the issuer's
obligations to the ceding insurer under the reinsurance agreement.
The funds in the reinsurance trust account were also available to
pay noteholders, following the termination of the trust and payment
of amounts due to the ceding insurer. Funds in the reinsurance
trust account were used to purchase eligible investments and are
subject to the terms of the reinsurance trust agreement.

Following instructions from the ceding insurer, the trustee
liquidates assets in the reinsurance trust account to (1) make
principal payments to the notes as the insurance coverage in the
reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims once the bottom (not offered) coverage levels are written
off. While income earned on eligible investments is used to pay
interest on the notes, the ceding insurer is responsible for
covering any difference between the investment income and interest
accrued on the notes' coverage levels.

In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
Moody's MILAN model-derived median expected losses by 7.5% and
Moody's Aaa losses by 2.5% to reflect the performance deterioration
resulting from a slowdown in US economic activity due to the
COVID-19 outbreak. This loss increase was based on Moody's
assessment of the additional losses if 50% of such loans incur a
deferral of the missed payments or a modification to the loan
terms.

Moody's updated loss expectation on the pool incorporates, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the loan originations.

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

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

Principal Methodologies

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
August 2021.

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 error on the part of
transaction parties, inadequate transaction governance and fraud.


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets.  At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled.  Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets.  A company may establish reserves on its balance sheet for
liabilities that may never materialize.  The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.

On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts.  The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.

Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/books/to order any title today.

Monthly Operating Reports are summarized in every Saturday edition
of the TCR.

The Sunday TCR delivers securitization rating news from the week
then-ending.

TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.

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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.

Copyright 2022.  All rights reserved.  ISSN: 1520-9474.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.  Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.

The TCR subscription rate is $975 for 6 months delivered via
e-mail.  Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each.  For subscription information, contact Peter A.
Chapman at 215-945-7000.

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