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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, June 12, 2022, Vol. 26, No. 162

                            Headlines

AJAX MORTGAGE 2022-A: DBRS Gives Prov. B Rating on Class M-3 Notes
AMERICAN AIRLINES 2016-1A: S&P Cuts Class A EETC Rating to 'BB+'
AMERICREDIT AUTOMOBILE 2022-2: Moody's Gives '(P)Ba2' to E Notes
AMMC CLO 20: S&P Raises Class E Notes Rating to 'BB (sf)'
ANGEL OAK 2022-4: Fitch Gives B(EXP) Rating on Class B-2 Debt

ANTARES CLO 2018-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
ARBOR REALTY 2021-FL2: DBRS Confirms B(low) Rating on Cl. G Notes
ARES LXV: S&P Assigns BB- (sf) Rating on $29.2MM Class E Notes
BANK 2022-BNK42: Fitch Assigns 'B-' Rating on Class X-H Debt
BBCMS MORTGAGE 2022-C16: Fitch to Rate 2 Tranches 'B-'

BCRED BSL 2022-1: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
BENEFIT STREET XXVI: S&P Assigns BB- (sf) Rating on Class E Notes
BPR 2022-SSP: Moody's Assigns Ba3 Rating to Cl. HRR Certificates
BRAVO RESIDENTIAL 2022-NQM2: Fitch Rates Class B-2 Notes 'B-sf'
CASTLELAKE AIRCRAFT 2021-1: Moody's Confirms Caa1 Rating on C Notes

CD 2017-CD5: Fitch Affirms 'B-' Rating on Class F Debt
CD 2019-CD8: DBRS Confirms BB Rating on Class G-RR Certs
CD 2019-CD8: Fitch Affirms 'B-' Rating on Class G-RR Debt
CIFC FUNDING 2022-IV: Fitch Rates Class E Debt 'BBsf'
CIFC FUNDING 2022-IV: Moody's Rates Class F Notes 'B3(sf)'

CITIGROUP 2014-GC19: Fitch Affirms 'B' Rating on Class F Certs
COMM 2012-CCRE5: Fitch Affirms 'CC' Rating on Class G Certs
COMM 2017-COR2: Fitch Assigns 'B-' Rating on Class G-RR Debt
CPS AUTO 2022-B: DBRS Gives Prov. BB Rating on Class E Notes
CSAIL 2017-C8: Fitch Affirms B- Rating on on Class E Certs

DAVIS PARK CLO: Moody's Assigns Ba3 Rating on $19MM Class E Notes
DBGS 2019-1735: DBRS Confirms B Rating on Class F Certs
DIAMOND INFRASTRUCTURE 2021-1: Fitch Affirms 'BB-' on 2012-1C Debt
DROP MORTGAGE 2021-FILE: DBRS Confirms BB Rating on 2 Classes
EXETER 2022-3: S&P Assigns Prelim 'BB(sf)' Rating on Class E Notes

FREDDIE MAC 2022-1: DBRS Gives Prov. B(low) Rating on Cl. M Debt
GCAT 2022-NQM3: S&P Assigns B(sf) Rating on Class B-2 Certificates
GRACIE POINT 2022-1: DBRS Finalizes BB Rating on Class E Notes
HINNT LLC 2022-A: Fitch Assigns 'B' Rating on Class E Debt
JP MORGAN 2016-JP2: Fitch Affirms 'B-' Rating on Class E Certs

KKR CLO 42: Moody's Assigns Ba3 Rating to $15MM Class E Notes
MAPS 2021-1 TRUST: Moody's Confirms 'Ba1' Rating on Class C Notes
MF1 LTD 2020-FL3: DBRS Hikes Class G Notes Rating to BB
MFA TRUST 2022-INV1: DBRS Finalizes B Rating on Class B-2 Certs
MORGAN STANLEY 2015-C26: Fitch Affirms 'B-' Rating on Class F Debt

MORGAN STANLEY 2016-C30: Fitch Lowers Rating on 2 Tranches to CCC
NEUBERGER BERMAN 49: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
OCP CLO 2022-24: S&P Assigns BB- (sf) Rating on Class E Notes
REALT 2014-1: Fitch Affirms 'B' Rating on Class G Debt
SANTANDER BANK 2022-A: Fitch Assigns 'B' Rating on Class D Notes

SFO COMMERCIAL 2021-555: DBRS Confirms BB Rating on Class F Certs
SLM PRIVATE 2003-A: S&P Places 'B-' Cl A Certs Rating on Watch Pos.
SYMPHONY CLO XXXIII: Moody's Assigns Ba3 Rating to $15MM E Notes
UBS COMMERCIAL 2017-C2: Fitch Affirms CCC Rating on H-RR Certs
UPSTART SECURITIZATION 2022-2: Moody's Gives Ba3 Rating to C Notes

VELOCITY COMMERCIAL 2022-2: DBRS Finalizes B Rating on 3 Classes
VELOCITY COMMERCIAL 2022-2: DBRS Gives Prov. B Rating on 3 Classes
VERUS SECURITIZATION 2022-5: Fitch Rates Class B-2 Notes 'B-sf'
WELLS FARGO 2013-C18: Fitch Lowers Rating on Class F Certs to Csf
WELLS FARGO 2016-LC24: Fitch Affirms 'BB-' Rating on 2 Tranches

WELLS FARGO 2018-C46: Fitch Lowers Rating on Class G-RR Debt to CCC
WFLD 2014-MONT: S&P Lowers Class D Certs Rating to B (sf)
WFRBS COMMERCIAL 2013-C15: Fitch Cuts Rating on Cl. D Certs to Csf
WOODMONT 2022-9: S&P Assigns BB- (sf) Rating on Class E Notes
[*] DBRS Reviews 16 Classes From 2 U.S. RMBS Transactions

[*] Moody's Takes Action on $396MM of US RMBS Issued 2003 to 2007
[*] Moody's Takes Action on $89.3MM of US RMBS Issued 2005-2006
[*] S&P Discontinues D Ratings on 22 Classes from 11 US CMBS Certs

                            *********

AJAX MORTGAGE 2022-A: DBRS Gives Prov. B Rating on Class M-3 Notes
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Securities, Series 2022-A (the Notes) to be issued
by Ajax Mortgage Loan Trust 2022-A (the Trust or the Issuer):

-- $145.0 million Class A-1 at AAA (sf)
-- $6.5 million Class A-2 at AA (sf)
-- $3.4 million Class A-3 at A (sf)
-- $3.8 million Class M-1 at BBB (sf)
-- $16.9 million Class M-2 at BB (sf)
-- $1.1 million Class M-3 at B (sf)

The AAA (sf) rating on the Notes reflects 32.70% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 29.70%, 28.10%,
26.35%, 18.50%, and 18.00% of credit enhancement, respectively.

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

The Trust is a securitization of a portfolio of seasoned
performing, reperforming, and nonperforming first-lien residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 811 loans with a total principal balance of $215,467,392 as of
the Cut-Off Date (February 28, 2022).

In contrast to prior DBRS Morningstar-rated AJAX transactions, AJAX
2022-A comprises a portion of loans that are severely delinquent or
in foreclosure as of the Cut-Off Date. In its cash flow analysis,
DBRS Morningstar applied nonperforming loan (NPL) stresses to
certain loans (Group 2) that are severely delinquent or in
foreclosure and not demonstrating a cash flowing pattern. DBRS
Morningstar applied reperforming loan (RPL) stresses to the
remaining loans (Group 1).

The mortgage loans are approximately 186 months seasoned. Although
the number of months clean (consecutively zero times 30 (0 x 30)
days delinquent) at issuance for Group 1 (78.2% of the total pool)
is weaker relative to other DBRS Morningstar-rated seasoned
transactions, the borrowers in Group 1 demonstrate reasonable cash
flow velocity (as by number of payments over time) in the past six,
12, and 24 months. The borrowers in Group 2 are currently severely
delinquent or in foreclosure and have not demonstrated a consistent
cash flow velocity in the last 24 months.

The portfolio contains 91.4% modified loans. The modifications
happened more than two years ago for 90.6% of the modified loans.
Within the pool, 245 mortgages (25.4% of the pool) have
non-interest-bearing deferred amounts of $5,321,766, which equate
to approximately 2.5% of the total principal balance.

The mortgage loans were previously included in prior
securitizations issued by Great Ajax Operating Partnership L.P.
(Ajax or the Sponsor). The Seller will acquire such loans as a
result of the exercise of certain note redemption and/or loan sale
rights, and, on the Closing Date, the mortgage loans will be
conveyed by the Seller to the Depositor.

To satisfy the credit risk retention requirements, the Sponsor or a
majority-owned affiliate of the Sponsor will retain at least a 5%
eligible vertical interest in the securities.

Gregory Funding LLC is the Servicer for the entire pool and will
not advance any delinquent principal and interest (P&I) on the
mortgages; however, the Servicer is obligated to make advances in
respect of prior liens, insurance, real estate taxes and
assessments, as well as reasonable costs and expenses incurred in
the course of servicing and disposing of properties.

Since 2013, Ajax and its affiliates have issued 43 securitizations
under the Ajax Mortgage Loan Trust shelf prior to AJAX 2022-A.
These issuances were backed by seasoned loans, RPLs, or NPLs and
are mostly unrated by DBRS Morningstar. DBRS Morningstar reviewed
the historical performance of the Ajax shelf; however, the nonrated
deals generally exhibit worse collateral attributes than the rated
deals with regard to delinquencies at issuance. The prior nonrated
Ajax transactions generally exhibit relatively high levels of
delinquencies and losses compared with the rated Ajax
securitizations, which are expected given the nature of these
severely distressed assets.

The Issuer has the option to redeem the rated Notes in full at a
price equal to the remaining note amount of the rated Notes plus
accrued and unpaid interest, and any unpaid expenses and
reimbursement amounts (Rated Note Redemption Price). Such Rated
Note Redemption Rights may be exercised on any date:

-- Beginning the Payment Date after the Redemption Account equals
or exceeds the Rated Note Redemption Price,

-- Beginning three years after the Closing Date at the direction
of the Depositor, or

-- Beginning five years after the Closing Date at the direction of
either the Depositor or the Majority Controlling Holders.

The Redemption Date is any date when a Funded Redemption or an
Optional Redemption occurs.

The transaction employs a sequential-pay cash flow structure with a
bullet feature to Class A-2 and more subordinate notes on the
Redemption Date. P&I collections are commingled and are first used
to pay interest to the Notes sequentially and then to pay Class A-1
until reduced to zero, which may provide for timely payment of
interest to certain rated Notes. Class A-2 and below are not
entitled to any payments of principal until the Redemption Date or
upon the occurrence of an Event of Default. Prior to the Redemption
Date or an Event of Default, any available funds remaining after
Class A-1 is paid in full will be deposited into a Redemption
Account.

Beginning on the Payment Date in April 2029 (Step-Up Date), the
Class A-1 Notes will be entitled to its initial Note Rate plus the
Step-Up Note Rate of 1.00% per annum. If the Issuer does not redeem
the rated Notes in full by the Step-Up Date, an Accrual Event will
be in effect until the earlier of the Redemption Date or the
occurrence of an Event of Default.

If an Accrual Event is in effect and Class A-1 is outstanding,
Class A-2 and more subordinate notes will become accrual Notes, and
interest that would otherwise be allocated to such classes will be
paid as principal to the Class A-1 Notes until reduced to zero. Any
excess accrual amounts on such Payment Date will be deposited into
the Redemption Account. All such accrual amounts will be added to
the principal balance of the related outstanding accrual Notes. If
an Accrual Event is in effect and Class A-1 is no longer
outstanding, Class A-2 will be entitled to interest from available
funds, or from the Redemption Account, as applicable. Class A-2 and
more subordinate notes will only receive principal on the
Redemption Date or upon the occurrence of an Event of Default.

If a Redemption Date or an Event of Default has not occurred prior
to the Stated Final Maturity Date, amounts in the Redemption
Account will be paid, sequentially, as interest and then as
principal to the Notes until reduced to zero (IPIP) on the Stated
Final Maturity Date.

In addition to the above bullet and accrual features, a certain
aspect of the interest rates on the Notes is less commonly seen in
DBRS Morningstar-rated seasoned securitizations as well. The
interest rates on the Notes are set at fixed rates, which are not
capped by the net weighted-average coupon 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.
DBRS Morningstar considered such nuanced features and incorporated
them in its cash flow analysis. The cash flow structure is
discussed in more detail in the Cash Flow Structure and Features
section of this report.

In contrast to prior DBRS Morningstar-rated Ajax-seasoned RPL
securitizations, the representations and warranties (R&W) framework
for this transaction incorporates the following new features:

-- A pool-level review trigger that incorporates only cumulative
losses, dissimilar to other rated RPL securitizations;

-- The absence of a repurchase remedy by the Seller, dissimilar to
other rated RPL securitizations, but similar to AJAX 2021-E; and

-- A Breach Reserve Account, which will be available to satisfy
losses related to R&W breaches. Such account is fully funded
upfront and then funds after interest is paid to the Notes,
dissimilar to other rated RPL securitizations.

Although certain features (cumulative loss–only pool trigger,
absence of the Seller repurchase remedy, and the Breach Reserve
Account shortfall amounts funding after interest) weaken the R&W
framework, the historical experience of having minimal putbacks and
comprehensive third-party due-diligence for the shelf mitigates
these features. In addition, the Breach Reserve Account is fully
funded upfront, which is more favorable than other rated RPL
securitizations. Details are further described in the
Representations and Warranties section of this report.

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
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 (LTV) ratios,
and acceptable underwriting in the mortgage market in general.
Across nearly all RMBS asset classes, delinquencies have been
gradually trending downwards, as forbearance periods come to an end
for many borrowers.

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


AMERICAN AIRLINES 2016-1A: S&P Cuts Class A EETC Rating to 'BB+'
----------------------------------------------------------------
S&P Global Ratings raised its issue-level rating on American
Airlines Group Inc. subsidiary American Airlines Inc.'s
(American's) 2016-1 Class A enhanced equipment trust certificates
(EETC) to 'BB+' from 'BB', lowered its issue-level rating on
American's 2013-1 Class A EETC to 'B-' from 'B', and affirmed its
issue-level ratings on other American EETCs (including those
originally issued by US Airways Inc., since merged into American).
S&P said, "Stabilizing market values for some aircraft models and
scheduled amortization resulted in improved collateral coverage for
the 2016-1 Class A certificates. Conversely, collateral coverage
for the 2013-1 Class A, which is secured by Boeing 777-300ER
widebody planes, weakened, resulting in our lowering the
issue-level rating to 'B-' from 'B'. Although we would expect
American to keep these planes in any bankruptcy reorganization,
EETC creditors would be at risk of a negotiated reduction in debt
payments. Our review concluded that credit quality for other
American EETCs remains consistent with the existing issue-level
ratings."

S&P said, "Our analysis of EETCs typically starts with our issuer
credit rating (ICR) on the airline that operates the aircraft. It
adds any applicable notches for the likelihood that an airline will
successfully reorganize in bankruptcy and continue to make payments
on the EETC (which we call "affirmation credit"). We may adjust--by
reducing those notches--for any adverse legal considerations that
may arise from the jurisdiction in which the airline operates. For
EETCs, we may also add notches for the likelihood that repossession
and sale of the aircraft collateral will be sufficient to repay
principal and accrued interest, avoiding a default, if the airline
does not reorganize or rejects the aircraft securing the
certificates (which we call "collateral credit"). Various other,
more specialized aspects, such as ratings of the liquidity provider
for an EETC, can also affect the rating outcome.

Table 1 shows the principal elements of our analysis of the EETCs.
A revision of the collateral credit to '2' from '1' caused the
upgrade of American 2016-1 Class A certificates. The total number
of notches of uplift above the ICR is equal in all cases to the sum
of the affirmation credit, collateral credit, and, in two cases, a
comparable ratings analysis adjustment. However, under our
criteria, this is not always the case because other factors can
affect the rating outcome.

  Table 1


  ISSUER                          American Airlines Inc.
  ISSUE                           2013-1A
  COUPON (%)                      4.00
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              0
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  0
  ISSUE RATING                    B-  


  ISSUER                          American Airlines Inc.
  ISSUE                           2013-2A
  COUPON (%)                      4.95
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              2
  COLLATERAL CREDIT               3
  COMPARABLE RATINGS ANALYSIS     (1)
  TOTAL NOTCHING                  4
  ISSUE RATING                    BB  


  ISSUER                          American Airlines Inc.
  ISSUE                           2014-1A
  COUPON (%)                      3.70
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  4
  ISSUE RATING                    BB  


  ISSUER                          American Airlines Inc.
  ISSUE                           2014-1B
  COUPON (%)                      3.70
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              1
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  1
  ISSUE RATING                    B


  ISSUER                          American Airlines Inc.
  ISSUE                           2015-1A
  COUPON (%)                      3.70
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               1
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  5
  ISSUE RATING                    BB+


  ISSUER                          American Airlines Inc.
  ISSUE                           2015-1B
  COUPON (%)                      3.70
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              1
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  1
  ISSUE RATING                    B


  ISSUER                          American Airlines Inc.
  ISSUE                           2015-2AA
  COUPON (%)                      3.60
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               5
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  9
  ISSUE RATING                    A-


  ISSUER                          American Airlines Inc.
  ISSUE                           2015-2A
  COUPON (%)                      4.00
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              3
  COLLATERAL CREDIT               1
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  4
  ISSUE RATING                    BB


  ISSUER                          American Airlines Inc.
  ISSUE                           2015-1B
  COUPON (%)                      4.40
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              1
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  1
  ISSUE RATING                    B


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-1AA
  COUPON (%)                      3.58
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               5
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  9
  ISSUE RATING                    A-


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-1A
  COUPON (%)                      4.10
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              3
  COLLATERAL CREDIT               2
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  5
  ISSUE RATING                    BB


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-1B
  COUPON (%)                      5.25
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              1
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  1
  ISSUE RATING                    B


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-2AA
  COUPON (%)                      3.20
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               5
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  9
  ISSUE RATING                    A-


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-2AA
  COUPON (%)                      3.65
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              3
  COLLATERAL CREDIT               1
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  4
  ISSUE RATING                    BB+


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-2B
  COUPON (%)                      4.38
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              1
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  1
  ISSUE RATING                    B


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-3AA
  COUPON (%)                      3.00
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               6
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  10
  ISSUE RATING                    A


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-3A
  COUPON (%)                      3.25
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              3
  COLLATERAL CREDIT               2
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  5
  ISSUE RATING                    BB+


  ISSUER                          American Airlines Inc.
  ISSUE                           2016-3B
  COUPON (%)                      3.75
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              1
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  1
  ISSUE RATING                    B

  ISSUER                          American Airlines Inc.
  ISSUE                           2019-1AA
  COUPON (%)                      3.15
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               5
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  9
  ISSUE RATING                    A-


  ISSUER                          American Airlines Inc.
  ISSUE                           2019-1A
  COUPON (%)                      3.50
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              3
  COLLATERAL CREDIT               1
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  4
  ISSUE RATING                    BB


  ISSUER                          American Airlines Inc.
  ISSUE                           2019-1B
  COUPON (%)                      3.85
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              1
  COLLATERAL CREDIT               0
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  1
  ISSUE RATING                    B


  ISSUER                          American (US Airways)
  ISSUE                           2010-1A
  COUPON (%)                      6.25
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              2
  COLLATERAL CREDIT               4
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  6
  ISSUE RATING                    BBB-


  ISSUER                          American (US Airways)
  ISSUE                           2011-1A
  COUPON (%)                      7.13
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              2
  COLLATERAL CREDIT               3
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  5
  ISSUE RATING                    BB+


  ISSUER                          American (US Airways)
  ISSUE                           2012-1A
  COUPON (%)                      5.90
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              4
  COLLATERAL CREDIT               4
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  8
  ISSUE RATING                    BBB+


  ISSUER                          American (US Airways)
  ISSUE                           2012-2A
  COUPON (%)                      4.63
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              2
  COLLATERAL CREDIT               2
  COMPARABLE RATINGS ANALYSIS     
  TOTAL NOTCHING                  4
  ISSUE RATING                    BB


  ISSUER                          American (US Airways)
  ISSUE                           2013-1A
  COUPON (%)                      3.95
  AIRLINE ISSUER CREDIT RATING    B-
  AFFIRMATION CREDIT              2
  COLLATERAL CREDIT               3
  COMPARABLE RATINGS ANALYSIS     (1)
  TOTAL NOTCHING                  4
  ISSUE RATING                    BB


S&P said, "We could raise or lower EETC ratings based on a revision
of our ICR on American or on changes in our assessment of other
analytical elements. Notably, our criteria specify that if our ICR
on an airline is 'B-' or below, we will always focus on current
market values of aircraft collateral in calculating loan-to-values
that are an input into collateral credit. If our ICR on an airline
is 'B' or 'B+', we will sometimes focus on an average of current
market value and base value, a longer-term and less-volatile
measure of value. In the weak aviation market triggered by the
COVID-19 pandemic, current market values for most aircraft are
below (sometimes substantially so) their base value. Therefore, if
we were to raise our ICR on American to 'B' (the rating outlook is
currently stable), issue-level ratings would, other things equal,
rise one notch. However, our calculated loan-to-values on EETCs
could decline (improve) because we could use an average of base
value and current market value in some cases. That, in turn, could
improve the collateral credit we assign and thereby potentially
cause us to raise some issue-level ratings beyond the hypothetical
one-notch upgrade of our ICR on American."

  Rating Actions
  
  Table 2

  Rating Actions

  American Airlines Group Inc. (B-/Stable)

  American Airlines Inc. (B-/Stable)

  RATING RAISED                                       TO      FROM

  AMERICAN AIRLINES INC.

  Enhanced equipment trust certificates (EETCs)

  2016-1 Class A pass-thru certificate                BB+      BB

  RATING LOWERED  

  AMERICAN AIRLINES INC.

  Enhanced equipment trust certificates (EETCs)

  2013-1 Class A pass-thru certificate                B-      B

  RATINGS AFFIRMED  

  AMERICAN AIRLINES INC.*

  EETCs

  All other issue-level ratings affirmed

   *--Including EETCs originally issued by US Airways Inc.



AMERICREDIT AUTOMOBILE 2022-2: Moody's Gives '(P)Ba2' to E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by AmeriCredit Automobile Receivables Trust
2022-2 (AMCAR 2022-2). This is the second AMCAR auto loan
transaction of the year for AmeriCredit Financial Services, Inc.
(AFS; unrated), wholly owned subsidiary of General Motors Financial
Company, Inc. (Baa3, stable). The notes will be backed by a pool of
retail automobile loan contracts originated by AFS, who is also the
servicer and administrator for the transaction.

The complete rating actions are as follows:

Issuer: AmeriCredit Automobile Receivables Trust 2022-2

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

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

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

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

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

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

Class D Notes, Assigned (P)Baa2 (sf)

Class E Notes, Assigned (P)Ba2 (sf)

RATINGS RATIONALE

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

Moody's median cumulative net loss expectation for the 2022-2 pool
is 9.0% and the loss at a Aaa stress is 33.0%. Moody's based its
cumulative net loss expectation and loss at a Aaa stress on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of AFS to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class
D, and Class E notes are expected to benefit from 33.10%, 26.60%,
17.60%, 10.60%, and 7.75% of hard credit enhancement, respectively.
Hard credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account, and
subordination, except for Class E notes which do not benefit from
subordination.  The notes may also benefit from excess spread.

PRINCIPAL METHODOLOGY

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

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

Up

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

Down

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


AMMC CLO 20: S&P Raises Class E Notes Rating to 'BB (sf)'
---------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R, C-R, D-R,
and E notes from AMMC CLO 20 Ltd. At the same time, S&P affirmed
its rating on the class A-R notes from the same transaction.

The rating actions follow its review of the transaction's
performance using data from the May 5, 2022, trustee report.

The upgrades reflect the transaction's $76.11 million in paydowns
to the class A-R notes since our Aug. 5, 2021, rating actions.
These paydowns resulted in improved reported overcollateralization
(O/C) ratios since the July 7, 2021, trustee report, which we used
for our previous rating actions:

-- The class A/B O/C ratio improved to 139.95% from 129.02%.
-- The class C O/C ratio improved to 125.48% from 118.85%.
-- The class D O/C ratio improved to 116.23% from 112.06%.
-- The class E O/C ratio improved to 109.00% from 106.58%.

S&P said, "The collateral portfolio's credit quality has improved
since our last rating actions. Collateral obligations with ratings
in the 'CCC' category have declined, with $23.08 million reported
as of the July 2021 trustee report, compared with $19.18 million
reported as of the May 2022 trustee report. Over the same period,
the par amount of defaulted collateral has declined to $1.06
million from $1.87 million. The transaction has also benefited from
a drop in the weighted average life due to the underlying
collateral's seasoning, with 3.07 years reported as of the May 2022
trustee report, compared with 3.66 years reported at the time of
our August 2021 rating actions."

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

On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class B-R, C-R, D-R and E notes.
However, based on increasing concentration risk as the portfolio
amortizes and current subordination/over-collateralization levels,
we limited the upgrade on class B-R, C-R, D-R, and E notes to
maintain rating cushion.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the aforementioned 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. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.

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

  Ratings Raised

  AMMC CLO 20 Ltd./AMMC CLO 20 Corp.

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

  Rating Affirmed

  AMMC CLO 20 Ltd./AMMC CLO 20 Corp.

  Class A-R: AAA (sf)



ANGEL OAK 2022-4: Fitch Gives B(EXP) Rating on Class B-2 Debt
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Angel Oak Mortgage
Trust 2022-4 (AOMT 2022-4).

   DEBT        RATING
   ----        ------
AOMT 2022-4

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 2022-4,
Series 2022-4 (AOMT 2022-4), as indicated above. The certificates
are supported by 407 loans with a balance of $217.17 million as of
the cutoff date. This represents the 24th Fitch-rated AOMT
transaction and the fourth Fitch-rated AOMT transaction in 2022.

The certificates are secured by mortgage loans originated by Angel
Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC (AOHL),
Impac Mortgage Holdings, Inc. and other third-party originators.
All other third-party originators make up less than 10% of the
overall loan pool. Of the loans, 74.1% are designated as
nonqualified mortgage (non-QM) loans, and 25.9% are investment
properties not subject to the Ability to Repay (ATR) Rule.

There is LIBOR exposure in this transaction. Of the pool, two loans
represent ARM loans that reference one-year LIBOR. The bonds do not
have LIBOR exposure. The class A-1, and A-2 certificates are fixed
rate, capped at the net weighted average coupon (WAC) and have a
step up feature, the A-3, M-1, B-1, and B-3 certificates are based
on the net WAC and the class B-2 certificates are based on the net
WAC but have a step-down feature whereby the class B-2 becomes a
principal only bond at the point the class A-1 and class A-2 step
up takes place.

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 8.7% above a long-term sustainable level (vs. 9.2%
on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable mortgage rates and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 18.9% YoY
nationally as of December 2021.

Non-QM Credit Quality (Mixed): The collateral consists of 407 loans
totaling $217.17 million and seasoned at 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 36.7% debt-to-income [DTI] ratio, as determined by
Fitch), along with relatively moderate leverage, with an original
combined loan-to-value ratio (CLTV) of 70.7%, as determined by
Fitch, which translates to a Fitch-calculated sustainable LTV
(sLTV) of 75.5%.

Of the pool, 73.0% represents loans where the borrower maintains a
primary or secondary residence, while the remaining 27.0% comprises
investor properties based on Fitch's analysis. Fitch determined
that 21.5% of the loans were originated through a retail channel.

Additionally, 74.1%are designated as non-QM, while the remaining
25.9% are exempt from QM status since they are investor loans.

The pool contains 50 loans over $1.0 million, with the largest
amounting to $3.4 million.

Loans on investor properties (9.1% underwritten to the borrower's
credit profile and 17.9% comprising investor cash flow loans)
represent 27.0% of the pool, as determined by Fitch. There are no
second lien loans, and 1.1% of borrowers were viewed by Fitch as
having a prior credit event in the past seven years. Per the
transaction documents, one of the loans has subordinate financing.
In Fitch's analysis, Fitch also considered loans with deferred
balances to have subordinate financing. In this transaction, there
were no loans with deferred balances; therefore, Fitch performed
its analysis considering one of the loans to have subordinate
financing.

Eight of the loans in the pool are to foreign nationals. Fitch
treats loans to 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.

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

Geographic Concentration (Negative): The largest concentration of
loans is in California (47.8%), followed by Florida and Arizona.
The largest MSA is Los Angeles (25.7%), followed by Miami (9.3%)
and San Diego (4.7%). The top three MSAs account for 39.7% of the
pool. As a result, there was a 1.05x penalty for geographic
concentration, which increased the loss expectation at the 'AAAsf'
level by 0.48%.

Loan Documentation (Negative): Fitch determined that 93.7% of the
loans in the pool were underwritten to borrowers with less than
full documentation. Per the transaction documents, 93.9% of the
loans in the pool were underwritten to borrowers with less than
full documentation. Fitch may consider a loan to be less than a
full documentation loan based on its review of the loan program and
the documentation details provided in the loan tape, which explains
the discrepancy between Fitch's percentage and the transaction
documents.

Of the loans underwritten to borrowers with less than full
documentation, 67.5% were underwritten to a 12-month or 24-month
bank statement program for verifying income, which is not
consistent with Appendix Q standards and Fitch's view of a full
documentation program. To reflect the additional risk, Fitch
increases the PD by 1.5x on bank statement loans. In addition to
loans underwritten to a bank statement program, 17.9% comprise a
debt service coverage ratio (DSCR) product, 2.8% are an asset
depletion product and 2.2% are third-party prepared 12 months-24
months profit and loss statements with the majority of these loans
having 2 months-12 months of bank statements for additional
documentation. The pool has no loans underwritten only to a CPA
product with no additional documentation provided, which Fitch
views as a positive.

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

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

There is excess spread in the transaction available to reimburse
for losses or interest shortfalls should they occur. However,
excess spread will be reduced on and after July 2026, since class
A-1 and A-2 have a step-up coupon feature whereby the coupon rate
will be the net WAC capped at the initial fixed rate plus 1.0%. To
offset the impact of the A-1 and A-2 step up coupon feature, the
B-2 has a step-down coupon feature that become effective in July
2026 that will change the B-2 coupon to 0.0%. In addition, the
transaction was structured so that on and after July 2026 class A-1
and A-2 would receive unpaid cap carryover amounts prior to class
B-3 being paid interest or principal payments. Both of these
features are supportive of the class A-1 and A-2 being paid timely
interest at the step-up coupon rate.

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 40.7% at 'AAAsf'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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, Consolidated Analytics, Covius, Inglet Blair,
Selene, Recovco, Canopy, Evolve, and Infinity. The third-party due
diligence described in Form 15E focused on three areas: compliance
review, credit review, and valuation review. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustments to its analysis due to the due diligence findings.
Based on the results of the 100% due diligence performed on the
pool, the overall expected loss was reduced by 0.42%.

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, Consolidated Analytics, Covius, Inglet Blair,
Selene, Recovco, Canopy, Evolve, and Infinity 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 2022-4 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.


ANTARES CLO 2018-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-R, and E-R replacement notes from Antares CLO 2018-2
Ltd./Antares CLO 2018-2 LLC, a CLO originally issued in October
2018 that is managed by Antares Capital Advisers LLC, a wholly
owned subsidiary of Antares Capital LP. At the same time, S&P
withdrew its ratings on the original class A-1, B, C, D, and E
notes following payment in full on the June 3, 2022, refinancing
date.

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

-- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R
notes are issued at spread over three-month term secured overnight
financing rate (SOFR), which replaces the spread over three-month
LIBOR on the original notes.

-- The stated maturity and reinvestment period are each extended
by 3.5 years.

-- The weighted average life test is extended to eight years from
the refinancing date.

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

  Antares CLO 2018-2 Ltd./Antares CLO 2018-2 LLC

  Class A-1-R, $696.00 million: AAA (sf)
  Class A-2-R, $36.00 million: AAA (sf)
  Class B-R, $102.00 million: AA (sf)
  Class C-R (deferrable), $90.00 million: A (sf)
  Class D-R (deferrable), $60.00 million: BBB (sf)
  Class E-R (deferrable), $78.25 million: BB- (sf)
  Subordinated, $123.17 million: Not rated

  Ratings Withdrawn

  Antares CLO 2018-2 Ltd./Antares CLO 2018-2 LLC

  Class A-1, $575.00 million: AAA (sf)
  Class B, $95.00 million: AA (sf)
  Class C (deferrable), $75.00 million: A (sf)
  Class D (deferrable), $65.00 million: BBB- (sf)
  Class E (deferrable), $55.00 million: BB- (sf)


ARBOR REALTY 2021-FL2: DBRS Confirms B(low) Rating on Cl. G Notes
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of commercial
mortgage-backed notes issued by Arbor Realty Commercial Real Estate
Notes 2021-FL2, Ltd. as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which has remained in line with DBRS Morningstar's
expectations since issuance. DBRS Morningstar has published a
Surveillance Performance Update report with in-depth analysis and
credit metrics for the transaction and with business plan updates
on select loans. To access this report, please click on the link
under Related Documents below or contact us at
info@dbrsmorningstar.com.

The transaction closed in June 2021 with the initial collateral
pool consisting of 25 floating-rate mortgages and senior
participations secured by 50 mostly transitional properties,
totalling $653.0 million, including approximately $9.0 million of
non-interest-accruing future funding. Most of the loans contributed
at issuance were secured by cash flowing assets, with some level of
stabilization remaining. The transaction included a 180-day ramp-up
acquisition period, which was completed in December 2021 when the
cumulative loan balance totalled $815.0 million.

The transaction includes a 30-month reinvestment period, expiring
with the December 2023 Payment Date. During this period, reinvested
principal proceeds are subject to Eligibility Criteria, which
include a rating agency no-downgrade confirmation by DBRS
Morningstar for all mortgage assets and funded companion
participations exceeding $1.0 million, among others. Since
issuance, 12 loans with a cumulative balance of $176.2 million have
been added to the trust. As of the March 2022 reporting, the
Principal Collection Account had a balance of $35.2 million
available to the collateral manager to purchase additional loan
interests into the transaction.

As of the March 2022 remittance report, the transaction consisted
of 35 loans with a cumulative loan balance of $779.8 million. In
general, borrowers are progressing toward completing their stated
business plans. As of December 2021, the collateral manager had
advanced $18.8 million in reserves to 26 borrowers to aid in
property stabilization efforts. An additional $64.1 million of
unadvanced future funding allocated to 35 borrowers remained
outstanding.

The transaction is concentrated by property type as all loans
currently in the transaction are secured by multifamily properties.
Future reinvestment loan contributions, however, can be secured by
multifamily, industrial, office, self-storage, mixed-use, student
housing, or manufactured housing community properties with
limitations to certain property types as outlined in the
eligibility criteria. The transaction is concentrated by loan size,
as the largest 10 loans represent 48.9% of the pool. No loans were
on the servicer's watchlist or in special servicing as of the March
2022 remittance. No loans have received a forbearance; only two
loans were modified, including Commuter Portfolio (Prospectus
ID#10, 2.1% of the current pool balance), because of a one-time
approved transfer of membership interests. In addition, 12 out of
the original 24 properties secured in the Commuter Portfolio loan
were released with the most recent remittance, bringing the
outstanding trust balance to $17.1 million from $32.6 million. The
Edgewater Apartments loan (Prospectus ID#32, 0.9% of the current
pool balance) was modified to allow the renovation reserve to be
disbursed on a rolling basis of approximately $70,000 per
disbursement.

Loans contributed during the initial ramp-up and subsequent ongoing
reinvestment periods were characterized with higher leverage as the
current poolwide weighted-average as-is loan-to-value (LTV) and
stabilized LTV ratios are 82.2% and 72.3%, respectively, compared
with the issuance figures of 77.6% and 70.8%, respectively. In
addition, properties in markets with DBRS Morningstar Market Ranks
of 1 and 2 represent 12.8% of the cumulative funded loan balance,
an increase from issuance of 2.5% at transaction closing. These
markets are tertiary in nature and historically have not benefitted
as much as suburban and urban markets in terms of investor demand
and liquidity. Loans representing an additional 72.9% of the
cumulative funded loan balance are secured by properties in markets
DBRS Morningstar considers as suburban in nature. At closing, loans
secured by properties in suburban markets represented 80.4% of the
cumulative funded loan balance. Although the overall credit risk
profile of the transaction has increased slightly from issuance,
the risk is mitigated by the experience of Arbor Realty SR, Inc.,
which is an experienced commercial real estate collateralized loan
obligation issuer and collateral manager.

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


ARES LXV: S&P Assigns BB- (sf) Rating on $29.2MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ares LXV CLO Ltd./Ares
LXV CLO LLC's floating-rate notes.

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

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

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

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

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

-- After assigning our preliminary ratings to the transaction, the
pool's target par upsized to $800.00 million from $600.00 million.
The par subordination levels are unchanged, the liability spread
levels decreased, and the cash flow results are still passing.

  Ratings Assigned

  Ares LXV CLO Ltd./Ares LXV CLO LLC

  Class A-1, $492.00 million: AAA (sf)
  Class A-2, $28.00 million: Not rated
  Class B, $88.00 million: AA (sf)
  Class C (deferrable), $48.00 million: A (sf)
  Class D (deferrable), $48.00 million: BBB- (sf)
  Class E (deferrable), $29.20 million: BB- (sf)
  Subordinated notes, $73.50 million: Not rated



BANK 2022-BNK42: Fitch Assigns 'B-' Rating on Class X-H Debt
------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
BANK 2022-BNK42, commercial mortgage pass-through certificates,
series 2022-BNK42, as follows:

   DEBT         RATING                        PRIOR
   ----         ------                        -----
BANK 2022-BNK42

A-1            LT    AAAsf     New Rating     AAA(EXP)sf
A-2            LT    AAAsf     New Rating     AAA(EXP)sf
A-4            LT    AAAsf     New Rating     AAA(EXP)sf
A-4-1          LT    AAAsf     New Rating     AAA(EXP)sf
A-4-2          LT    AAAsf     New Rating     AAA(EXP)sf
A-4-X1         LT    AAAsf     New Rating     AAA(EXP)sf
A-4-X2         LT    AAAsf     New Rating     AAA(EXP)sf
A-5            LT    AAAsf     New Rating     AAA(EXP)sf
A-5-1          LT    AAAsf     New Rating     AAA(EXP)sf
A-5-2          LT    AAAsf     New Rating     AAA(EXP)sf
A-5-X1         LT    AAAsf     New Rating     AAA(EXP)sf
A-5-X2         LT    AAAsf     New Rating     AAA(EXP)sf
A-S            LT    AAAsf     New Rating     AAA(EXP)sf
A-S-1          LT    AAAsf     New Rating     AAA(EXP)sf
A-S-2          LT    AAAsf     New Rating     AAA(EXP)sf
A-S-X1         LT    AAAsf     New Rating     AAA(EXP)sf
A-S-X2         LT    AAAsf     New Rating     AAA(EXP)sf
A-SB           LT    AAAsf     New Rating     AAA(EXP)sf
B              LT    AA-sf     New Rating     AA-(EXP)sf
B-1            LT    AA-sf     New Rating     AA-(EXP)sf
B-2            LT    AA-sf     New Rating     AA-(EXP)sf
B-X1           LT    AA-sf     New Rating     AA-(EXP)sf
B-X2           LT    AA-sf     New Rating     AA-(EXP)sf
C              LT    A-sf      New Rating     A-(EXP)sf
C-1            LT    A-sf      New Rating     A-(EXP)sf
C-2            LT    A-sf      New Rating     A-(EXP)sf
C-X1           LT    A-sf      New Rating     A-(EXP)sf
C-X2           LT    A-sf      New Rating     A-(EXP)sf
D              LT    BBBsf     New Rating     BBB(EXP)sf
E              LT    BBB-sf    New Rating     BBB-(EXP)sf
F              LT    BB+sf     New Rating     BB+(EXP)sf
G              LT    BB-sf     New Rating     BB-(EXP)sf
H              LT    B-sf      New Rating     B-(EXP)sf
J              LT    NRsf      New Rating     NR(EXP)sf
RR Interest    LT    NRsf      New Rating     NR(EXP)sf
X-A            LT    AAAsf     New Rating     AAA(EXP)sf
X-B            LT    WDsf      Withdrawn      A-(EXP)sf
X-D            LT    BBB-sf    New Rating     BBB-(EXP)sf
X-F            LT    BB+sf     New Rating     BB+(EXP)sf
X-G            LT    BB-sf     New Rating     BB-(EXP)sf
X-H            LT    B-sf      New Rating     B-(EXP)sf
X-J            LT    NRsf      New Rating     NR(EXP)sf

-- $7,760,000 class A-1 'AAAsf'; Outlook Stable;

-- $74,100,000 class A-2 'AAAsf'; Outlook Stable;

-- $15,180,000 class A-SB 'AAAsf'; Outlook Stable;

-- $125,000,000a class A-4 'AAAsf'; Outlook Stable;

-- $0b class A-4-1 'AAAsf'; Outlook Stable;

-- $0bc class A-4-X1 'AAAsf'; Outlook Stable;

-- $0b class A-4-2 'AAAsf'; Outlook Stable;

-- $0bc class A-4-X2 'AAAsf'; Outlook Stable;

-- $284,104,000a class A-5 'AAAsf'; Outlook Stable;

-- $0b class A-5-1 'AAAsf'; Outlook Stable;

-- $0bc class A-5-X1 'AAAsf'; Outlook Stable;

-- $0b class A-5-2 'AAAsf'; Outlook Stable;

-- $0bc class A-5-X2 'AAAsf'; Outlook Stable;

-- $506,144,000c class X-A 'AAAsf'; Outlook Stable;

-- $38,865,000 class A-S 'AAAsf'; Outlook Stable;

-- $0b class A-S-1 'AAAsf'; Outlook Stable;

-- $0bc class A-S-X1 'AAAsf'; Outlook Stable;

-- $0b class A-S-2 'AAAsf'; Outlook Stable;

-- $0bc class A-S-X2 'AAAsf'; Outlook Stable;

-- $37,960,000 class B 'AA-sf'; Outlook Stable;

-- $0b class B-1 'AA-sf'; Outlook Stable;

-- $0bc class B-X1 'AA-sf'; Outlook Stable;

-- $0b class B-2 'AA-sf'; Outlook Stable;

-- $0bc class B-X2 'AA-sf'; Outlook Stable;

-- $38,865,000 class C 'A-sf'; Outlook Stable;

-- $0b class C-1 'A-sf'; Outlook Stable;

-- $0bc class C-X1 'A-sf'; Outlook Stable;

-- $0b class C-2 'A-sf'; Outlook Stable;

-- $0bc class C-X2 'A-sf'; Outlook Stable;

-- $41,576,000cd class X-D 'BBB-sf'; Outlook Stable;

-- $11,750,000cd class X-F 'BB+sf'; Outlook Stable;

-- $9,942,000cd class X-G 'BB-sf'; Outlook Stable;

-- $8,135,000cd class X-H 'B-sf'; Outlook Stable;

-- $23,500,000d class D 'BBBsf'; Outlook Stable;

-- $18,076,000d class E 'BBB-sf'; Outlook Stable;

-- $11,750,000d class F 'BB+sf'; Outlook Stable;

-- $9,942,000d class G 'BB-sf'; Outlook Stable.

-- $8,135,000d class H 'B-sf'; Outlook Stable;

Fitch does not rate the following classes:

-- $29,826,431cd class X-J;

-- $29,826,431d class J;

-- $38,055,970e class RR Interest.

Fitch has withdrawn the expected rating for class X-B because the
class was removed from the final deal structure. The classes above
reflect the final ratings and deal structure.

a. Since Fitch published its expected ratings on May 17, 2022, the
balances for classes A-4 and A-5 were finalized. At the time the
expected ratings were published, the initial certificate balances
of classes A-3 and A-4 were expected to be $409,104,000 in the
aggregate, subject to a 5% variance. The classes above reflect the
final ratings and deal structure.

b. Exchangeable Certificates. Class A-4, A-5, A-S, B and C
certificates are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the corresponding
classes of exchangeable certificates. Class A-4 may be surrendered
(or received) for the received (or surrendered) classes A-4-1 and
A-4-X1. Class A-4 may be surrendered (or received) for the received
(or surrendered) classes A-4-2 and A-4-X2. Class A-5 may be
surrendered (or received) for the received (or surrendered) classes
A-5-1 and A-5-X1. Class A-5 may be surrendered (or received) for
the received (or surrendered) classes A-5-2 and A-5-X2. Class A-S
may be surrendered (or received) for the received (or surrendered)
classes A-S-1 and A-S-X1. Class A-S may be surrendered (or
received) for the received (or surrendered) classes A-S-2 and
A-S-X2. Class B may be surrendered (or received) for the received
(or surrendered) classes B-1 and B-X1. Class B may be surrendered
(or received) for the received (or surrendered) classes B-2 and
B-X2. Class C may be surrendered (or received) for the received (or
surrendered) classes C-1 and C-X1. Class C may be surrendered (or
received) for the received (or surrendered) classes C-2 and C-X2.

c. Notional amount and interest only.

d. Privately placed and pursuant to Rule 144A.

e. Represents the "eligible vertical interest" comprising 5.0% of
the pool.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 44 loans secured by 69
commercial properties with an aggregate principal balance of
$761,119,401 as of the cutoff date. The loans were contributed to
the trust by Bank of America, National Association, Wells Fargo
Bank, National Association, Morgan Stanley Mortgage Capital
Holdings LLC and National Cooperative Bank, N.A. The master
servicers are expected to be Wells Fargo Bank, National Association
and National Cooperative Bank, N.A. The special servicers are
expected to be LNR Partners, LLC and National Cooperative Bank,
N.A.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 29.2% of the properties
by balance, cash flow analyses of 91.6% of the pool and asset
summary reviews on 100% of the pool.

Fitch has withdrawn the expected rating for class X-B because the
class was removed from the final deal structure. The classes above
reflect the final ratings and deal structure.

KEY RATING DRIVERS

Higher Fitch Conduit-specific Leverage than Recent Transactions:
This transaction's leverage is average when compared with other
multiborrower transactions recently rated by Fitch. The pool's
Fitch debt service coverage ratio of 1.38x is equal to the 2022 YTD
and 2021 averages of 1.38x. Additionally, the pool's Fitch
loan-to-value (LTV) ratio of 101.3% is in-line with the 2022 YTD
and the 2021 averages of 101.1% and 103.3%, respectively.

However, the pool's conduit specific leverage is worse than recent
multiborrower transactions Fitch has rated recently. Excluding the
co-operative (co-op) and the credit opinion loans, the pool's DSCR
and LTV are 1.13x and 111.1%, respectively. The 2022 YTD and 2021
averages excluding credit opinion and co-op loans are 1.27x/109.6%
and 1.30x/110.5%, respectively.

Higher Pool Concentration: The pool's largest 10 loans represent
69.0% of its cutoff balance, which is significantly greater than
the 2022 YTD and 2021 averages of 54.3% and 51.2%, respectively.
This results in Loan Concentration Index (LCI) score of 583 for the
pool, which is higher than the 2022 YTD and 2021 averages of 397
and 381, respectively.

Investment-Grade Credit Opinion and Co-Op Loans: The pool includes
one loan, representing 9.99% of the pool, which received an
investment-grade credit opinion. This is below the 2022 YTD average
of 16.8% as well as the 2021 average of 13.3%. Constitution Center
(9.99% of the pool) received a credit opinion of 'A-sf' on a
stand-alone basis. Additionally, the pool contains a total of 15
loans, representing 6.1% of the cutoff balance, that are secured by
residential co-ops and exhibit leverage characteristics
significantly lower than typical conduit loans. The
weighted-average (WA) Fitch DSCR and LTV for the co-op loans are
4.78x and 31.0%, respectively.

Limited Amortization: Based on the estimated loan balances at
maturity, the pool is scheduled to pay down only 3.2%, which is
below the respective 2022 YTD and 2021 averages of 3.5% and 4.8%.
Twenty-four loans representing 75.7% of the pool are full-term
interest only, and an additional eight loans representing 19.8% of
the pool are partial interest only. The percentage of full-term
interest-only loans is lower than the 2022 YTD and 2021 averages of
79.0% and 70.5%, respectively.

RATING SENSITIVITIES

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

Similarly, declining cash flow decreases property value and
capacity to meet its debt service obligations. The table below
indicates the model implied rating sensitivity to changes to the
same one variable, Fitch net cash flow (NCF):

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

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

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

    '/'CCCsf'/'CCCsf';

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

Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. Downside
risks have increased and, therefore, Fitch has published an
assessment of the potential rating and asset performance impact of
a plausible, albeit worse than expected, adverse stagflation
scenario on Fitch's major structured finance and covered bond
subsectors (What a Stagflation Scenario Would Mean for Global
Structured Finance).

Fitch expects the North American CMBS sector in the assumed adverse
scenario to experience virtually no impact on ratings performance,
indicating very few rating or Outlook changes. Fitch expects the
asset performance impact of the adverse case scenario to be more
modest than the most stressful scenario shown above, which assumes
a further 30% decline from Fitch's NCF at issuance.

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 list below indicates the model implied rating sensitivity to
changes in one variable, Fitch NCF:

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

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

DATA ADEQUACY

Fitch received information in accordance with its published
criteria, available at www.fitchratings.com. Sufficient data,
including asset summaries, three years of property financials, when
available, and third-party reports on the properties were received
from the issuer. Ongoing performance monitoring, including data
provided, is described in the Surveillance section of the presale.

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.


BBCMS MORTGAGE 2022-C16: Fitch to Rate 2 Tranches 'B-'
------------------------------------------------------
Fitch Ratings has issued a presale report on BBCMS Mortgage Trust
2022-C16, commercial mortgage pass-through certificates, series
2022-C16.

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

-- $15,000,000 class A-1 'AAAsf'; Outlook Stable;

-- $108,000,000 class A-2 'AAAsf'; Outlook Stable;

-- $16,000,000 class A-3 'AAAsf'; Outlook Stable;

-- $135,000,000ab class A-4 'AAAsf'; Outlook Stable;

-- $425,000,000ab class A-5 'AAAsf'; Outlook Stable;

-- $22,296,000 class A-SB 'AAAsf'; Outlook Stable;

-- $721,296,000c class X-A 'AAAsf'; Outlook Stable;

-- $200,933,000c class X-B 'A-sf'; Outlook Stable;

-- $113,347,000 class A-S 'AAAsf'; Outlook Stable;

-- $46,369,000 class B 'AA-sf'; Outlook Stable;

-- $41,217,000 class C 'A-sf'; Outlook Stable;

-- $41,217,000cd class X-D 'BBB-sf'; Outlook Stable;

-- $23,184,000cd class X-F 'BB-sf'; Outlook Stable;

-- $10,304,000cd class X-G 'B-sf'; Outlook Stable;

-- $24,472,000d class D 'BBBsf'; Outlook Stable;

-- $16,745,000d class E 'BBB-sf'; Outlook Stable;

-- $23,184,000d class F 'BB-sf'; Outlook Stable;

-- $10,304,000d class G 'B-sf'; Outlook Stable;

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

-- $12,881,000cd class X-H 'NR';

-- $20,608,590cd class X-J 'NR';

-- $12,881,000d class H 'NR';

-- $20,608,590d class J 'NR';

-- $54,232,821e class VRR 'NR'.

a) The initial certificate balances of classes A-4 and A-5 are not
yet known but are expected to be $560,000,000, 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 - $270,000,000, and the expected class A-5
balance range is $290,000,000 to $560,000,000.

b) The balances for classes A-4 and A-5 reflect the midpoint of
each range.

c) Notional amount and interest only.

d) Privately placed and pursuant to Rule 144A.

e) The class VRR Certificates constitute an eligible vertical
interest and are expected to be acquired and retained by Barclays
Capital Real Estate Inc. NR - Not rated.

   DEBT      RATING
   ----      ------
BBCMS 2022-C16

A-1       LT AAA(EXP)sf    Expected Rating
A-2       LT AAA(EXP)sf    Expected Rating
A-3       LT AAA(EXP)sf    Expected Rating
A-4       LT AAA(EXP)sf    Expected Rating
A-5       LT AAA(EXP)sf    Expected Rating
A-S       LT AAA(EXP)sf    Expected Rating
A-SB      LT AAA(EXP)sf    Expected Rating
B         LT AA-(EXP)sf    Expected Rating
C         LT A-(EXP)sf     Expected Rating
D         LT BBB(EXP)sf    Expected Rating
E         LT BBB-(EXP)sf   Expected Rating
F         LT BB-(EXP)sf    Expected Rating
G         LT B-(EXP)sf     Expected Rating
H         LT NR(EXP)sf     Expected Rating
J         LT NR(EXP)sf     Expected Rating
VRR       LT NR(EXP)sf     Expected Rating
X-A       LT AAA(EXP)sf    Expected Rating
X-B       LT A-(EXP)sf     Expected Rating
X-D       LT BBB-(EXP)sf   Expected Rating
X-F       LT BB-(EXP)sf    Expected Rating
X-G       LT B-(EXP)sf     Expected Rating
X-H       LT NR(EXP)sf     Expected Rating
X-J       LT NR(EXP)sf     Expected Rating

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 60 loans secured by 155
commercial properties having an aggregate principal balance of
$1,084,656,412 as of the cut-off date. The loans were contributed
to the trust by Barclays Capital Real Estate Inc, BSPRT CMBS
Finance LLC, Natixis Real Estate Capital LLC, LMF Commercial, LLC,
Societe Generale Financial Corporation, Starwood Mortgage Capital
LLC, and UBS AG. The Master Servicer is expected to be Midland Loan
Services and the Special Servicer is expected to be LNR Partners,
LLC.

Fitch reviewed a comprehensive sampled of the transaction's
collateral, including site inspections on 18.0% of the loans by
balance, cash flow analysis of 80.7% of the pool and asset summary
review on 100.0% of the pool.

KEY RATING DRIVERS

Lower Leverage Compared to Recent Transactions: The pool has
slightly lower leverage compared to recent multiborrower
transactions rated by Fitch Ratings. The pool's Fitch loan-to value
ratio (LTV) of 98.0% is lower than both the YTD 2022 and 2021
averages of 101.1% and 103.3%, respectively. However, the pool's
Fitch trust debt service coverage ratio (DSCR) of 1.17x is lower
than the YTD 2022 and 2021 averages of 1.38x and 1.38x,
respectively.

Excluding credit opinion loans, the pool's Fitch LTV and DSCR are
104.8% and 1.15x, respectively, compared to the equivalent conduit
YTD 2022 LTV and DSCR averages of 109.6% and 1.27x, respectively.

Investment-Grade Credit Opinion Loans: Five loans representing
21.7% of the pool received an investment-grade credit opinion. 1888
Century Park East (6.0%) and 70 Hudson Street (4.4%), totaling
10.4% of the pool, each received a standalone credit opinion of
'BBBsf*'. Yorkshire and Lexington Towers (6.0%), ILPT Logistics
Portfolio (3.7%) and The Summit (1.6%), representing 11.3% of the
pool, received a standalone credit opinion of 'BBB-sf*'. The pool's
total credit opinion percentage is above the YTD 2022 and 2021
averages of 16.9% and 13.3%, respectively.

Minimal Amortization: Based on the scheduled balances at maturity,
the pool will only pay down by 3.9%, which is slightly above the
YTD 2022 average of 3.5%, but below the 2021 average of 4.8%. Forty
loans (74.5% of the pool) are full interest-only loans, which is
lower than the YTD 2022 average of 79.0%, but above the 2021
average of 70.5%, respectively. Eight loans (8.9%) are partial
interest-only loans, which is below the YTD 2022 and 2021 averages
of 10.2% and 16.8%, respectively.

RATING SENSITIVITIES

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

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

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

-- 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBBsf' / 'BBsf' / 'CCCsf'
    / 'CCCsf';

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

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

Fitch has revised its global economic outlook forecasts as a result
of the war in Ukraine and related economic sanctions. Downside
risks have increased and, therefore, Fitch has published an
assessment of the potential rating and asset performance impact of
a plausible, albeit worse than expected, adverse stagflation
scenario on Fitch's major structured finance and covered bond
subsectors (What a Stagflation Scenario Would Mean for Global
Structured Finance).

Fitch expects the North American CMBS sector in the assumed adverse
scenario to experience virtually no impact on ratings performance,
indicating very few rating or Outlook changes. Fitch expects the
asset performance impact of the adverse case scenario to be more
modest than the most stressful scenario shown above, which assumes
a further 30% decline from Fitch's NCF at issuance.

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

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

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

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


BCRED BSL 2022-1: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BCRED BSL
CLO 2022-1 Ltd./BCRED BSL CLO 2022-1 LLC's fixed- and floating-rate
notes.

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

The preliminary ratings are based on information as of June 3,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The collateral pool's diversification;

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

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

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

  Preliminary Ratings Assigned

  BCRED BSL CLO 2022-1 Ltd./BCRED BSL CLO 2022-1 LLC

  Class A-1A, $292.00 million: Not rated
  Class A-1B, $50.00 million: Not rated
  Class A-2, $12.00 million: AAA (sf)
  Class B-1, $40.00 million: AA (sf)
  Class B-2, $26.00 million: AA (sf)
  Class C (deferrable), $51.00 million: A (sf)
  Class D (deferrable), $39.00 million: BBB- (sf)
  Class E (deferrable), $21.00 million: BB- (sf)
  Subordinated notes, $58.75 million: Not rated


BENEFIT STREET XXVI: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO XXVI Ltd./Benefit Street Partners CLO XXVI LLC's floating-rate
notes. The transaction is managed by BSP CLO Management LLC.

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

The ratings reflect:

-- S&P's view of the collateral pool's diversification;

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

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

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

  Ratings Assigned

  Benefit Street Partners CLO XXVI Ltd./
  Benefit Street Partners CLO XXVI LLC

  Class A, $248.0 million: AAA (sf)
  Class B, $56.0 million: AA (sf)
  Class C, $24.0 million: A (sf)
  Class D, $24.0 million: BBB- (sf)
  Class E, $13.4 million: BB- (sf)
  Subordinated notes, $35.7 million: Not rated



BPR 2022-SSP: Moody's Assigns Ba3 Rating to Cl. HRR Certificates
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by BPR 2022-SSP, Commercial
Mortgage Pass-Through Certificates, Series 2022-SSP:

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 Ba2 (sf)

Cl. HRR, Definitive Rating Assigned Ba3 (sf)

Note: Moody's previously assigned a provisional rating to Class
X-CP of (P)Aaa (sf), described in the prior press release, dated
May 16, 2022. Subsequent to the release of the provisional ratings
for this transaction, the structure was modified. Based on the
current structure, Moody's has withdrawn its provisional rating for
Class X-CP and will not rate this certificate.

RATINGS RATIONALE

The certificates are collateralized by a single floating-rate loan
backed by a first-lien mortgage on the borrower's fee simple
interest in The Streets at Southpoint Mall (the "Property") located
in Durham, NC. The collateral consists of a 615,792 square foot
("SF") component of a 1.34 million SF super-regional shopping
center and open-air lifestyle center built on a 159.2-acre parcel
of land. 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 Streets at Southpoint is well located in North Carolina's
Triangle region, which includes the Durham- Chapel Hill and
Raleigh-Cary metro areas. The region is anchored by three key
educational institutions: North Carolina State University, UNC
Chapel Hill, and Duke University. These premier universities
provide research and a recruiting base for many of the companies
located in Research Triangle Park (6.5 miles east of the Property),
which is home to various Fortune 500 Companies including IBM,
Cisco, Walmart, Fidelity Investments, Amazon, and is a major
economic engine for the area. In addition, Apple's has planned a
$1.0B, 281-acre campus that will house 3,000 employees at the
Research Triangle Park and Google is launching an engineering hub
in Durham and expects to employ 1,000 engineers at that location.

The Property benefits from strong demographics in its primary
(10-mile) and secondary (25-mile) trade areas. Per the appraisal,
2021 median household incomes within a 5-, 10- and 25-mile radius
of the property were $76,820, $77,661, and $78,979, respectively,
pointing to healthy levels of disposable income. The appraisal also
states 2021 population in a 5-, 10- and 25-mile radius from the
property as 118,597, 483,591, and 1,595,124 respectively.
Population growth through 2026 is estimated at 1.9% annually at the
aforementioned radii, greater than the county (1.6%) and the state
(1.1%) as a whole. The growth bodes well for future demand at the
property.

Non-collateral area consists of anchor tenants Macy's (180,000 SF),
Belk (179,729 SF), Nordstrom (144,000 SF), JCPenney (102,654 SF),
and a vacant anchor box formerly occupied by Sears (119,964 SF).

Collateral area contains a mix of over 135 shops, restaurants and
entertainment experiences throughout both the enclosed and open-air
lifestyle areas of the site. Key retailers include an AMC IMAX
theater (57,934 SF, 9.4% of collateral NRA, 6.4% of base rent), the
local area's only Crate & Barrel (25,000 SF, 4.1% of collateral
NRA, 2.5% of base rent), Apple (9,150 SF, 1.5% of collateral NRA,
1.9% of base rent), and Lululemon Athletica (7,220 SF, 1.2% of
collateral NRA, 1.7% of base rent). As of March 2022, the
collateral component of the mall reported an occupancy rate of
97.7% (inclusive of SNO tenants). The collateral property has a
six-year average historical occupancy rate of 97.0%. In terms of
in-line space, the property has a six-year average historical
occupancy rate of 95.3%.

In terms of store performance, reported sales for in-line retailers
averaged $574 PSF (excluding Apple) during the February 2022 TTM
period, reflecting an occupancy cost ratio of 14.2%. In-line sales
are up 57.3% from the 2020 sales figure of $365 PSF (22.0% occ.
cost), and up 1.8% from the pre-pandemic 2019 sales figure of $564
PSF (15.2% occ. cost). Tenants over 10,000 SF experienced a similar
return to pre-pandemic level with a reported sales average of $339
PSF (13.2% occ. cost) as of the February 2022 TTM, up 43.6% from
the 2020 sales of $236 PSF (16.8% occ. cost), and up 1.8% from
pre-pandemic 2019 sales of $333 PSF (13.9% occupancy cost).

The Property has benefited from continued tenant investment. AMC
IMAX completed an approximately $4.0 million renovation in 2019
that converted the location to a luxury soft seating location and
added alcohol sales. Other recent additions to the property include
an expansion of the Altar'd State, conversion of Peloton from a
kiosk location to a permanent store, Apple's 2021 opening of its
new state-of-the-art store, and Lululemon Athletica's expansion
that opened in the fall of 2021. Also of note, non-collateral space
has also been improved as Nordstrom completed an approximately
$18.0 million renovation in 2019.

The Property is majority owned and controlled, directly or
indirectly, by Brookfield Properties Retail Holding LLC ("BPR" or
"Brookfield"), an entity owned by affiliates of Brookfield Asset
Management, Inc. BPR ranks among the largest retail real estate
companies in the United States, encompassing much of Brookfield
Asset Management's retail portfolio of over 200 retail centers and
representing over 155 million SF of retail space.

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 1.99x and Moody's first mortgage
stressed DSCR at a 9.25% constant is 0.98x. Moody's DSCR is based
on Moody's stabilized net cash flow. Moody's LTV ratio for the
first mortgage balance is 93.4% based on Moody's Value. Moody's did
not adjust Moody's value to reflect the current interest rate
environment as part of Moody's analysis for this transaction.

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 property's quality
grade is 1.75.

Notable strengths of the transaction include the Property's
dominant position in a strong market, affluent resident base with
positive demographics trends, strong rebound in sales to
pre-pandemic levels, consistently high NOI margins and occupancy,
recent renovations, future densification potential, and
institutional sponsorship with retail experience.

Notable concerns of the transaction include the effects of the
coronavirus pandemic, tenant rollover, cash out, floating-rate and
interest-only mortgage loan profile, lack of collateral
diversification, and certain credit negative legal features.

The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in May 2022.

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.

The action has considered how the coronavirus pandemic has reshaped
the US economic environment and the way its aftershocks will
continue to reverberate and influence the performance of retail
properties. 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.



BRAVO RESIDENTIAL 2022-NQM2: Fitch Rates Class B-2 Notes 'B-sf'
---------------------------------------------------------------
Fitch Ratings has assigned ratings to the residential
mortgage-backed notes issued by BRAVO Residential Funding Trust
2022-NQM2 (BRAVO 2022-NQM2).

   DEBT   RATING                  PRIOR
   ----   ------                  -----
Bravo 2022-NQM2

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
AIOS    LT NRsf    New Rating    NR(EXP)sf
FB      LT NRsf    New Rating    NR(EXP)sf
R       LT NRsf    New Rating    NR(EXP)sf
SA      LT NRsf    New Rating    NR(EXP)sf
XS      LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 573 loans with a total interest-bearing
balance of approximately $270 million as of the cutoff date. There
is also roughly $860,000 of non-interest-bearing deferred amounts
whose payments or losses will be used solely to pay down or write
off the class FB notes.

Loans in the pool were originated by multiple originators. The
loans are serviced by Rushmore Loan Management Services LLC
(Rushmore).

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 8.6% above a long-term sustainable level (versus
9.2% on a national level).

Underlying fundamentals are not keeping pace with the growth in
prices, which is a result of a supply/demand imbalance driven by
low inventory, low mortgage rates and new buyers entering the
market. These trends have led to significant home price increases
over the past year, with home prices rising 18.9% yoy nationally as
of December 2021.

Non-QM Credit Quality (Negative): The collateral consists of 573
loans totaling $270 million and seasoned approximately 39 months in
aggregate, calculated as the difference between the origination
date and the cutoff date. The borrowers have a moderate credit
profile -- a 723 model FICO and a 38% debt to income ratio, which
includes mapping for debt service coverage ratio (DSCR) loans --
and low leverage, as evidenced by a 65.0% sustainable loan to value
ratio (sLTV). The pool comprises 71% of loans treated as
owner-occupied, while 29% were treated as an investor property or
second home, which includes loans to foreign nationals or loans
where the residency status was not provided.

Of the loans, 74.2% are designated as a nonqualified mortgage
(non-QM) loan; for the remainder, the Ability to Repay Rule (ATR)
does not apply. Lastly, 2.1% of the loans are 30 days' delinquent
as of the cutoff date, while 29.9 are current but have experienced
a delinquency within the past 24 months.

Loan Documentation (Negative): Approximately 88.8% of the pool were
underwritten to less than full documentation, and 44.4% were
underwritten to a 12-month or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
Consumer Financial Protections Bureau's ATR, which reduces the risk
of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigors
of the ATR mandates regarding the underwriting and documentation of
the borrower's ability to repay.

Additionally, 13% comprise a DSCR or property cash flow-focused
product, 4.5% are an asset depletion product and the remaining is a
mix of other alternative documentation products. Separately, 33
loans were originated to foreign nationals or a residency status
that was unable to be confirmed.

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

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

Excess Cash Flow (Positive): The transaction benefits from excess
cash flow that provides benefit to the rated notes before being
paid out to class XS notes, although to a much smaller extent than
seen in prior vintages. The excess is available to pay timely
interest and protect against realized losses.

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

RATING SENSITIVITIES

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

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 40.6% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments to
its analysis:

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

-- Fitch lowered its loss expectations by approximately 29bps as
    a result of the diligence review.

Additionally, an updated tax, title and lien search was performed
on the seasoned loans within the transaction. 44 loans were found
to not be in the senior lien position but were covered by the title
insurance policy and six loans were found to have delinquent
property taxes owed in an amount that was considered immaterial to
the rating. As a result, no adjustment was made.

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


CASTLELAKE AIRCRAFT 2021-1: Moody's Confirms Caa1 Rating on C Notes
-------------------------------------------------------------------
Moody's Investors Service has confirmed three notes issued by
Castlelake Aircraft Structured Trust 2021-1 (Castlelake 2021-1).
The notes are backed by a portfolio of aircraft and their related
initial and future leases. Castlelake Aviation Holdings (Ireland)
Limited (Castlelake Aviation) is the servicer of the underlying
assets and related leases in Castlelake 2021-1.  

Issuer: Castlelake Aircraft Structured Trust 2021-1

Class A Notes, Confirmed at A3 (sf); previously on Apr 12, 2022
Downgraded to A3 (sf) and Remained On Review for Possible
Downgrade

Class B Notes, Confirmed at Ba1 (sf); previously on Apr 12, 2022
Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade

Class C Notes, Confirmed at Caa1 (sf); previously on Apr 12, 2022
Downgraded to Caa1 (sf) and Remained On Review for Possible
Downgrade

RATINGS RATIONALE

The rating actions are a result of Moody's view that the current
notes' ratings already reflect the reduction in deal cash flows
from early lease terminations and some of the uncertainty related
to recoveries from insurance claims filed with respect to aircraft
that were previously leased to Russian airlines.

The notes were previously downgraded and remained on review for
possible downgrade on April 12, 2022 as a result of expected
reduction in cash flows from early termination of leasing
activities and a high degree of uncertainty related to insurance
claims filed with respect to aircraft that were previously leased
to Russian airlines. Currently, most of the deal's performance
uncertainty is related to potential recoveries from insurance
claims and the amount of time it will take to realize these
recoveries. As a result, Moody's analyzed a number of scenarios
with various levels of recoveries from insurance claims and how
that impacts expected losses across the capital structure. In its
analysis, Moody's assumed the repossession of the aircraft leased
to Russian airlines is unlikely and based the analysis on
recoveries stemming from insurance claims instead.

Moody's considered in its analysis a scenario where the transaction
will receive insurance claim recoveries, in the form of disposition
proceeds, that amount to approximately half of Moody's assumed
value of the aircraft previously leased to Russian airlines.
Moody's also considered scenarios in which the transaction receives
various levels of recoveries, again in the form of disposition
proceeds, from the insurance claims ranging from full loss to a
full recovery based on Moody's assumed values.

Further in its analysis, Moody's also considered the following
sensitivity scenarios: 1) extended litigation periods that settle
the insurance claims past the deal's anticipated repayment date
 2) the global macro economic impact that a pro-longed
Russia-Ukraine conflict could have on the remaining lessees and
assets in the portfolio, 3) additional scenario analysis on
aircraft valuations given future uncertainty, 4) potential future
recoveries from one of the Russian leased aircraft that had a
parent guarantee. Moody's also took into account transaction
structural features such as overcollateralization, available
security deposits, liquidity facilities, and reserve funds, as
applicable, as well as the increased likelihood that certain notes
could be locked out of receiving future payments due to the
priority of payments waterfall upon occurrence of a rapid
amortization trigger.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Securities Backed by Aircraft and Associated
Leases" published in July 2020.

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

Up

Factors that could lead to an upgrade of the ratings on the notes
are (1) collateral cash flows that are significantly greater than
Moody's initial expectations, including any proceeds from insurance
and/or guarantee claims and (2) significant improvement in the
credit quality of the airlines leasing the aircraft. Moody's
updated expectations of collateral cash flows may be better than
its original expectations because of lower frequency of lessee
defaults, lower than expected depreciation in the value of the
aircraft that secure the lessees' promise of payment under the
leases owing to stronger global air travel demand, higher than
expected aircraft disposition proceeds and higher than expected EOL
payments received at lease expiry that are used to prepay the
notes. As the primary drivers of performance, positive changes in
the condition of the global commercial aviation industry could also
affect the ratings.

Down

Factors that could lead to a downgrade of the ratings on the notes
are (1) collateral cash flows that are materially below Moody's
initial expectations, including any proceeds from insurance and/or
guarantee claims and (2) a significant decline in the credit
quality of the airlines leasing the aircraft. Other reasons for
worse-than-expected transaction performance could include poor
servicing of the assets, for example aircraft sales disadvantageous
to noteholders, or error on the part of transaction parties.
Moody's updated expectations of collateral cash flows may be worse
than its original expectations because of a higher frequency of
lessee defaults, greater than expected depreciation in the value of
the aircraft that secure the lessees' promise of payment under the
leases owing to weaker global air travel demand, credit drift as
the pool composition changes, lower than expected aircraft
disposition proceeds, and lower than expected EOL payments received
at lease expiry. Transaction performance also depends greatly on
the strength of the global commercial aviation industry.


CD 2017-CD5: Fitch Affirms 'B-' Rating on Class F Debt
------------------------------------------------------
Fitch Ratings has affirmed 14 classes of CD 2017-CD5 Mortgage Trust
Series 2017-CD5. The Rating Outlooks for five classes have been
revised to Stable from Negative.

   DEBT            RATING                       PRIOR
   ----            ------                       -----
CD 2017-CD5

A-2 12515HAX3     LT     AAAsf      Affirmed    AAAsf
A-3 12515HAY1     LT     AAAsf      Affirmed    AAAsf
A-4 12515HAZ8     LT     AAAsf      Affirmed    AAAsf
A-AB 12515HBA2    LT     AAAsf      Affirmed    AAAsf
A-S 12515HBB0     LT     AAAsf      Affirmed    AAAsf
B 12515HBC8       LT     AA-sf      Affirmed    AA-sf
C 12515HBD6       LT     A-sf       Affirmed    A-sf
D 12515HAA3       LT     BBB-sf     Affirmed    BBB-sf
E 12515HAC9       LT     BB-sf      Affirmed    BB-sf
F 12515HAE5       LT     B-sf       Affirmed    B-sf
X-A 12515HBJ3     LT     AAAsf      Affirmed    AAAsf
X-B 12515HBK0     LT     A-sf       Affirmed    A-sf
X-D 12515HAQ8     LT     BBB-sf     Affirmed    BBB-sf
X-E 12515HBM6     LT     BB-sf      Affirmed    BB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
and base case loss expectations have remained relatively stable
since Fitch's prior rating action. The Outlook revisions to Stable
from Negative reflects the performance stabilization for the
majority of properties affected by the pandemic. Fitch has
identified six Fitch Loans of Concern (FLOCs; 16.9% of the pool
balance), including one (6.2%) specially serviced loan. Six loans
(14.4%) are on the master servicer's watchlist for declines in
occupancy, performance declines as a result of the coronavirus
pandemic, upcoming rollover and/or deferred maintenance. Fitch's
current ratings incorporate a base case loss of 3.8%.

The largest contributor to overall loss expectations is the
Starwood Capital Group Hotel Portfolio (4.8%), which is secured by
65 hotels offering a range of amenities, spanning the limited
service, full service and extended stay varieties. The hotels range
in size from 56 to 147 rooms, with an average count of 98 rooms.
The portfolio was impacted by the pandemic. Performance has
rebounded since YE 2020 but remains below pre-pandemic levels. The
servicer-reported NOI DSCR was 1.62x at YE 2021, compared with
0.92x at YE 2020 and 2.73x at YE 2019. Fitch's base case loss of
18% reflects an 11.50% cap rate to the portfolio's YE 2021 NOI.

The second largest contributor to overall loss expectations, Gurnee
Mills (2.3%), is secured by a 1.7 million-sf regional mall located
in Gurnee, IL, approximately 45 miles north of Chicago. The mall is
anchored by Marcus Cinema (non-collateral), Burlington Coat Factory
(non-collateral), Value City Furniture (non-collateral), Bass Pro
Shops Outdoor World, Floor & Decor, Kohl's and Macy's. The loan was
previously transferred to the special servicer in June 2020 for
imminent monetary default and returned to the master servicer in
May 2021 after receiving a forbearance.

Per the servicer's YE 2021 reporting, the property is 77% occupied,
down from 86.7% at YE 2020 and 93% at issuance. The property faces
near-term rollover, with leases totaling 13.6% of the NRA scheduled
to expire in 2023, including Bed Bath & Beyond (3.3% of NRA;
January 2023 lease expiration), Lee Wrangler (1.3%; January 2023),
Off Broadway Shoes (1.2%; January 2023) and Rainforest Cafe (1.1%;
December 2023). Fitch's base case loss of 30% reflects a 12% cap
rate and 5% stress to the YE 2021 NOI, and factors in an increased
loss recognition to account for the likelihood of maturity
default.

The third largest contributor to loss, Embassy Suites Anaheim
Orange (4.0%), is secured by a 230-key hotel located in Orange, CA.
The property was built in 1989 and renovated in 2014 and is
situated less than 1.5 miles from the Angel Stadium of Anaheim, the
Honda Center and Disneyland. In June 2020, the loan transferred to
the special servicer for imminent monetary default at the
borrower's request as a result of the pandemic. The loan was
returned to the master servicer in November 2021.

Occupancy has fallen to 76% at YE 2021 from 87% at YE 2020. The YTD
March 2022 NOI DSCR was 2.54x, compared with 2.03x at YE 2021 and
3.07x at YE 2019. Fitch's base case analysis applied an 11.25% cap
rate and 5% stress to the YE 2021 NOI, which resulted in a 12% loss
severity.

Increasing Credit Enhancement (CE): As of the May 2022 distribution
date, the pool's aggregate balance has been reduced by 11.3% to
$826.8 million from $931.6 million at issuance. Two loans (8.2% of
the prior rating action pool balance) was repaid ahead of their
maturity dates. Three loans (4.8% of current pool) are fully
defeased, including the twelfth largest loan, Brookwood Self
Storage TX Portfolio (2.6%). At issuance, based on the scheduled
balance at maturity, the pool is expected to pay down by 9.3% of
the initial pool balance. Thirteen loans (46.9%) are full-term
interest-only (IO) and three loans (8.7%) have a partial IO period
remaining.

Property Type Concentration: Approximately 27.3% of the loans in
the pool are secured by mixed-use properties, followed by office at
19.2%, retail at 17.6%, hotel at 16.9% and self-storage at 9.0%.

High Concentration of Pari Passu Loans: Seven loans (41.1% ) are
pari passu.

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 classes rated 'AAAsf' and
'AA-sf' are not considered likely due to sufficient CE and expected
continued amortization, but may occur at 'AAAsf' or 'AA-sf' should
interest shortfalls occur. Downgrades to classes C, X-B, D and X-D
are possible should loss expectations increase significantly and/or
one or more large FLOCs have an outsized loss. Downgrades to
classes E, X-E and F are possible should performance of the FLOCs
fail to stabilize or decline further.

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

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

Upgrades would occur with stable to improved asset performance
coupled with pay down and/or defeasance. Upgrades to classes B,
X-B, C, D and X-D would occur with increased paydown and/or
defeasance, combined with performance stabilization and may be
limited as concentrations increase. Classes would not be upgraded
above 'Asf' if there is a likelihood for interest shortfalls.
Upgrades to classes E, X-E and F are not likely unless performance
of the FLOCs stabilize and if the performance of the remaining pool
is stable and would not likely occur until later years in the
transaction assuming losses were minimal and there is sufficient
CE.

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.


CD 2019-CD8: DBRS Confirms BB Rating on Class G-RR Certs
--------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-CD8 issued by CD 2019-CD8
Mortgage Trust as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which is in line with DBRS Morningstar's
expectations during its last review. As of the March 2022
remittance, all 33 of the original loans remain in the pool. There
are 12 loans, representing 37.3% of the current trust balance, on
the servicer's watchlist, with the primary contributing factor
being Coronavirus Disease (COVID-19) pandemic-driven stress for
mixed-use buildings with retail as well as lodging properties.
Watchlisted loans backed by those two property types generally have
been reporting low debt service coverage ratios (DSCRs) or upcoming
rollovers. There are also two loans, representing 11.0% of the
pool, in special servicing; however, the larger loan is current on
payments and expected to be returned to the master servicer in the
near term following a modification.

The smaller of the two loans in special servicing is 63 Spring
Street (Prospectus ID#17, 2.3% of the pool), secured by a
5,540-square-foot (sf) mixed-use building containing four high-end
residential units and 1,100 sf of ground-floor retail space. At
issuance, DBRS Morningstar noted that the retail portion of the
property represented approximately 76% of the base rent.

The loan transferred to special servicing in June 2020 for payment
default, with the April 2020 and all subsequent debt service
payments outstanding. The property became nearly vacant in 2020 and
remained so into 2021, though occupancy has increased slightly.
According to the January 2022 rent roll, two of the three retail
units are now occupied, while two of the four residential units
have been leased. However, rental income remains stunted as one of
the in-place retail tenants is nonpaying while the other retail
tenant is on a short-term lease and pays only percentage rent.
According to the most recent reporting, the negative DSCR of -0.05
times (x) for the trailing six months ended June 30, 2021, compared
with 0.44x at YE2020, and 1.66x at YE2019 and issuance. The most
recent appraised value of $15.4 million, dated September 2021,
represents a 48.3% decline in value from the $29.8 million value at
issuance. Given the extended delinquency and the significant stress
for New York retail that will limit recovery options for the near
to medium term, DBRS Morningstar liquidated the loan from the trust
as part its review, resulting in a loss severity of approximately
24.0%. The projected loan level losses are contained to the unrated
certificate.

The largest nonspecially serviced loan on the DBRS Morningstar
Hotlist is 171 N Aberdeen (Prospectus ID#5, 5.1% of the pool),
which is secured by the borrower's fee-simple interest in a
120,020-sf mixed-use property in Chicago's Fulton Market. The
property contains an office segment, multifamily units, and retail
space on the ground floor. At issuance, the tenancy at the property
was largely made up of coworking and coliving tenants. The largest
tenant, Medici Living Group (Medici; doing business as Quarters), a
coliving service company, master leased the entire residential
component, representing 53.2% of net rentable area (NRA). The
second-largest tenant, Industrious, is a provider of coworking
office space and occupied the entire office component, representing
34.7% of NRA.

The loan was added to the servicer's watchlist in March 2021 for a
low DSCR and, according to the latest servicer commentary, neither
Medici nor Industrious is paying rent. Medici declared Chapter 7
bankruptcy in January 2021, and the servicer commentary indicated
that Industrious has defaulted on its lease. The DSCR for the
trailing nine months ended September 30, 2021, dropped to 0.50x
from 1.86x at issuance, while occupancy declined to 81.2% as of
November 2021 from 100% at issuance. DBRS Morningstar's analysis
includes an increased probability of default for this loan to
reflect the increased risk profile based on the status of the two
largest tenants.

Overall, DBRS Morningstar notes that the transaction has a higher
concentration of loans backed by retail assets, with eight loans
representing 29.9% of the pool. Retail operators have been among
the most significantly affected by the pandemic, and those
borrowers have been more likely to request relief from servicers.

At issuance, DBRS Morningstar assigned investment-grade shadow
ratings to three loans, representing a combined 16.3% of the pool,
including Woodlands Mall (Prospectus ID#2, 8.7% of the pool),
Moffett Towers II Buildings 3 & 4 (Prospectus ID#10, 4.3% of the
pool), and Crescent Club (Prospectus ID#12, 3.4% of the pool). With
this review, DBRS Morningstar maintains that the performance of
these loans remain consistent with investment-grade loan
characteristics.

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


CD 2019-CD8: Fitch Affirms 'B-' Rating on Class G-RR Debt
---------------------------------------------------------
Fitch Ratings has affirmed 16 classes of CD 2019-CD8 Mortgage
Trust. In addition, Fitch has revised the Rating Outlooks on
classes F and X-F to Stable from Negative.

   DEBT            RATING                    PRIOR
   ----            ------                    -----
CD 2019-CD8

A-1 12515BAA6    LT    AAAsf     Affirmed    AAAsf
A-2 12515BAB4    LT    AAAsf     Affirmed    AAAsf
A-3 12515BAD0    LT    AAAsf     Affirmed    AAAsf
A-4 12515BAE8    LT    AAAsf     Affirmed    AAAsf
A-M 12515BAG3    LT    AAAsf     Affirmed    AAAsf
A-SB 12515BAC2   LT    AAAsf     Affirmed    AAAsf
B 12515BAH1      LT    AA-sf     Affirmed    AA-sf
C 12515BAJ7      LT    A-sf      Affirmed    A-sf
D 12515BAR9      LT    BBBsf     Affirmed    BBBsf
E 12515BAT5      LT    BBB-sf    Affirmed    BBB-sf
F 12515BAV0      LT    BB-sf     Affirmed    BB-sf
G-RR 12515BAX6   LT    B-sf      Affirmed    B-sf
X-A 12515BAF5    LT    AAAsf     Affirmed    AAAsf
X-B 12515BAK4    LT    A-sf      Affirmed    A-sf
X-D 12515BAM0    LT    BBB-sf    Affirmed    BBB-sf
X-F 12515BAP3    LT    BB-sf     Affirmed    BB-sf

KEY RATING DRIVERS

Improved Loss Expectations: The Outlook revision to Stable from
Negative on classes F and X-F reflects performance stabilization of
properties that had been affected by the pandemic and improved loss
expectations for the pool since the prior rating action. Fitch's
current ratings incorporate a base case loss of 5.20%. Losses could
reach 5.80% when factoring an additional stress on one hotel loan,
Hilton Penn's Landing (8.7%), to account for a lack of updated
financials to indicate performance stabilization after the height
of the pandemic.

The Negative Outlook on class G-RR, which was previously assigned
for additional coronavirus-related stresses applied on hotel and
retail loans, reflects performance concerns on the specially
serviced 63 Spring Street loan and some of the larger FLOCs. There
are seven FLOCs (24.9% of pool), compared with 12 loans (41.1%) at
the prior rating action. One loan (2.3%) is in special servicing,
down from two (10.9%) at the prior rating action.

The largest contributor to overall loss expectations and largest
increase in loss since the prior rating action is the specially
serviced 63 Spring Street loan (2.3%), which is secured by a
mixed-use retail and multifamily property located in Manhattan,
near the neighborhoods of SoHo and Nolita. The collateral consists
of four residential units and approximately 1,100 sf of ground
floor retail.

The loan transferred to special servicing in June 2020 for payment
default. The borrower originally requested a loan modification, but
never proposed a resolution. Foreclosure was filed in February
2022. The lender will dual track the foreclosure process while
discussing workout alternatives with the borrower. The borrower has
hired a third-party advisor to assist with workout negotiations,
and a workout proposal is currently pending.

As of the January 2022 rent roll, the retail portion of the
property was 30% occupied by two tenants (up from 4% in January
2021), Baked by Melissa (4% of retail NRA leased through August
2027) and Blank Street Inc. (26% of retail NRA; December 2022; pays
only percentage rent). The larger 800 sf (70% of retail NRA) retail
space remains vacant after L'Occitane filed bankruptcy and the
lease was rejected in January 2021.

Two of the four multifamily units (50% by count) were occupied as
of January 2022, up from 0% occupancy in January 2021. The building
also receives approximately $115,000 annually in the form of cell
tower revenue and billboard revenue. The property had been 100%
occupied at the time of issuance. Fitch's base case loss of 31%
reflects a stressed value of approximately $2,640 psf and is based
on a discount to the servicer-provided September 2021 appraisal.

Minimal Change to Credit Enhancement: As of the May 2022
distribution date, the pool's aggregate principal balance has paid
down by 0.5% to $807 million from $811 million at issuance. There
are 23 full-term, interest-only loans (76.8% of pool), and five
loans (10.5%) still have a partial interest-only component during
their remaining loan term, compared with seven loans (13%) at
issuance. From securitization to maturity, the pool is projected to
pay down by only 3.5%.

Credit Opinion Loans: Three loans, totaling 16.4% of the pool, were
given investment-grade credit opinions at issuance. Moffett Towers
II - Buildings 3 & 4 (4.3%) received a credit opinion of 'BBB-sf*'
on a standalone basis at issuance. Crescent Club (3.4%) received a
'BBBsf*' credit opinion on a standalone basis at issuance.

The Woodlands Mall loan (8.7%) was assigned a credit opinion of
'BBB-sf*' on a standalone basis; however, due to Fitch's current
view on regional mall properties, this loan is no longer considered
to have credit characteristics consistent with an investment-grade
credit opinion.

RATING SENSITIVITIES

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

Sensitivity factors that could lead to downgrades include an
increase in pool-level losses from underperforming or specially
serviced loans.

Downgrades to classes A-1, A-2, A-3, A-4, A-SB, A-M, X-A and B are
not likely due to their position in the capital structure but may
occur should interest shortfalls affect these classes.

Downgrades to classes C, X-B and D may occur should expected losses
for the pool increase substantially, all of the loans susceptible
to the coronavirus pandemic suffer losses, which would erode credit
enhancement.

Downgrades to classes E, F, G-RR, X-D and X-F would occur should
overall pool loss expectations increase from continued performance
decline of the FLOCs, loans susceptible to the pandemic not
stabilize (particularly the Hilton Penn's Landing loan), additional
loans default or transfer to special servicing and/or higher losses
incur on the specially serviced loans than expected.

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

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

Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, particularly on the FLOCs,
coupled with paydown and/or defeasance. Upgrades to classes B, C,
and X-B may occur with significant improvement in CE and/or
defeasance, and with the stabilization of performance on the FLOCs
and/or the properties affected by the coronavirus pandemic.

Upgrades to classes D, E, and X-D 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 there is likelihood for
interest shortfalls.

Upgrades to classes F, G-RR and X-F are not likely unless
resolution of the specially serviced loans is better than expected
and 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.

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.


CIFC FUNDING 2022-IV: Fitch Rates Class E Debt 'BBsf'
-----------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CIFC
Funding 2022-IV, Ltd.

   DEBT                  RATING                 PRIOR
   ----                  ------                 -----
CIFC Funding 2022-IV, Ltd.

A-1                   LT AAAsf    New Rating    AAA(EXP)sf
A-2                   LT AAAsf    New Rating    AAA(EXP)sf
B                     LT AAsf     New Rating    AA(EXP)sf
C                     LT Asf      New Rating    A(EXP)sf
D                     LT BBB-sf   New Rating    BBB-(EXP)sf
E                     LT BBsf     New Rating    BB(EXP)sf
F                     LT NRsf     New Rating    NR(EXP)sf
Subordinated Notes    LT NRsf     New Rating    NR(EXP)sf

TRANSACTION SUMMARY

CIFC Funding 2022-IV, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CIFC
Asset Management LLC. Net proceeds from the issuance of the secured
notes and subordinated notes will provide financing on a portfolio
of approximately $500.0 million of primarily first lien senior
secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.

Asset Security (Positive): The indicative portfolio consists of
99.6% first-lien senior secured loans and has a weighted average
recovery assumption of 75.41%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.

Portfolio Composition (Positive): The largest three industries may
comprise up to 39.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
U.S. CLOs.

Portfolio Management (Neutral): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
making adjustments to the indicative portfolio to reflect
permissible concentration limits and collateral quality test
levels.

Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, all classes of notes
could withstand the appropriate default rates for their respective
ratings assuming their respective recoveries.

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf'
for class A-2, between 'BB+sf' and 'AAsf' for class B, between
'B+sf' and 'A+sf' for class C, between less than 'B-sf' and
'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for
class E notes.

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

Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; results under these sensitivity scenarios are 'AAAsf' for
class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf'
for class D notes, and between 'BBB+sf' and 'A-sf' for class E
notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.

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


CIFC FUNDING 2022-IV: Moody's Rates Class F Notes 'B3(sf)'
----------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by CIFC Funding 2022-IV, Ltd. (the "Issuer" or "CIFC
Funding 2022-IV").

Moody's rating action is as follows:

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

US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2035, Definitive Rating Assigned B3 (sf)

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

RATINGS RATIONALE

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

CIFC Funding 2022-IV  is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments, and up to 10.0%
of the portfolio may consist of assets that are not senior secured
loans or eligible investments. The portfolio is approximately 95%
ramped as of the closing date.

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

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

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

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

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

Par amount: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3260

Weighted Average Spread (WAS): SOFR + 3.50%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 8.12 years

Methodology Underlying the Rating Action:

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

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

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


CITIGROUP 2014-GC19: Fitch Affirms 'B' Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has affirmed and maintained Stable Rating Outlooks on
all 13 classes of Citigroup Commercial Mortgage Trust 2014-GC19,
commercial pass-through certificates, series 2014-GC19.

   DEBT            RATING                PRIOR
   ----            ------                -----
CGCMT 2014-GC19

A-3 17322AAC6    LT AAAsf    Affirmed    AAAsf
A-4 17322AAD4    LT AAAsf    Affirmed    AAAsf
A-AB 17322AAE2   LT AAAsf    Affirmed    AAAsf
A-S 17322AAF9    LT AAAsf    Affirmed    AAAsf
B 17322AAG7      LT AAAsf    Affirmed    AAAsf
C 17322AAH5      LT AAsf     Affirmed    AAsf
D 17322AAM4      LT BBBsf    Affirmed    BBBsf
E 17322AAP7      LT BBsf     Affirmed    BBsf
F 17322AAR3      LT Bsf      Affirmed    Bsf
PEZ 17322AAL6    LT AAsf     Affirmed    AAsf
X-A 17322AAJ1    LT AAAsf    Affirmed    AAAsf
X-B 17322AAK8    LT AAAsf    Affirmed    AAAsf
X-C 17322AAV4    LT BBsf     Affirmed    BBsf

KEY RATING DRIVERS

Stable Loss Expectations: Overall pool performance and loss
expectations are relatively stable since Fitch's last rating
action. Fitch's current ratings reflect a base case loss of 5.10%.

Since the last rating action, two formerly specially serviced loans
were resolved; the 334-336 West 46th Street loan was disposed with
better than expected recoveries and the Berwyn Shopping Center loan
was returned to master servicer in December 2021 without
modification and has remained current. Four loans (12.1% of pool)
have been designated as Fitch Loans of Concern (FLOCs), including
one loan (1.7%) in special servicing.

Fitch Loans of Concern: The largest increase in loss since the last
rating action is the only remaining specially serviced Festival
Plaza loan (1.7%), which is secured by a neighborhood retail center
located in Montgomery, AL. The loan transferred to special
servicing in May 2020 for imminent default due to AMC Theater's
inability to make rental payments as a result of pandemic-related
hardships. AMC's lease was modified, including an extension by 36
months to December 2023 and significant rental concessions.

As a result of the lower property cash flow stemming from the lease
modification, the borrower requested debt service relief. A
receiver was appointed in December 2021. Current workout strategy
includes the dual tracking of foreclosure with discussions of
workout alternatives with the borrower. Fitch's base case loss of
58% reflects a stressed value of $49 psf.

The next largest increase in loss since the last rating action is
the largest FLOC, Biltmore Office, a mixed-used
(office/event/retail) property located in Atlanta, GA. Occupancy
has been declining since issuance; the current estimated occupancy
is approximately 61% after Pindrop (15.7% of NRA) vacated at lease
expiration in December 2021, down from 77% in September 2021, 81%
in June 2021 and 89% in June 2020. Occupancy is expected to drop
further to approximately 51% as Southstar (10.6% of NRA) has given
notice that it will not renew at its October 2022 lease
expiration.

These two vacating tenants together accounted for 26% of the NRA
and 31% of the total base rent. Fitch's base case loss of 10%
reflects a 10% cap rate and a 30% stress to the TTM June 2021 NOI
to address the departure of two large tenants.

The second largest FLOC is 136-138 West 34th Street (4.4%), a
retail property located in Herald Square in Manhattan. Occupancy
declined to 50% after Sprint (formerly 50% of NRA) vacated the
property in December 2020, which was prior to its November 2023
lease expiration. Sprint paid a lease termination fee of $7.6
million.

The remaining tenant is Kay Jewelers (50% of NRA) with a lease
expiration in December 2024. The loan remains current, with a YE
2021 NOI DSCR of 0.98x compared with 2.38x at YE 2020. Fitch's base
case loss of 22% reflects a cap rate of 8.25% and a 50% stress to
the YE 2020 NOI due to the lower occupancy and limited leasing
traction, taking into consideration the strong property location
and termination payment received.

Improved Credit Enhancement (CE): As of the May 2022 distribution
date, the pool's aggregate balance has been reduced by 32.3% to
$687.6 million from $1.0 billion at issuance. Twenty-four loans
(30.9%) have been defeased. The entire pool is scheduled to mature
between November 2023 and March 2024.

RATING SENSITIVITIES

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

Factors that lead to downgrades include an increase in pool level
losses from FLOCs or underperforming loans. Downgrades to the
classes rated 'AAAsf' and 'AAsf' are not considered likely due to
the seniority of the classes in the capital structure and
increasing CE, but may occur should interest shortfalls affect
these classes. A downgrade to class D is possible should expected
losses for the pool increase substantially and with continued
performance declines of the FLOCs. Downgrades to classes E, X-C and
F are possible should FLOCs fail to stabilize which result in
higher expected losses.

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

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

Factors that lead to upgrades would include stable to improved
performance coupled with continued paydown and/or defeasance. An
upgrade to classes C and PEZ may occur with significant improvement
in CE and/or defeasance, and with the stabilization of performance
on the FLOCs, but could be limited by adverse selection concerns or
as concentrations increase.

An upgrade of class D also considers these factors, but would be
limited based on sensitivity to concentrations or the potential for
future concentrations. Classes would not be upgraded above 'Asf' if
there is likelihood for interest shortfalls. An upgrade to E, X-C
and F is not likely until the later years 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.

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.


COMM 2012-CCRE5: Fitch Affirms 'CC' Rating on Class G Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities,
Inc., commercial pass-through certificates, series 2012-CCRE5 (COMM
2012-CCRE5 Mortgage Trust). The Rating Outlook was revised to
Stable from Negative on class D and remains Negative on class E.

   DEBT           RATING                     PRIOR
   ----           ------                     -----
COMM 2012-CCRE5

A-3 12623SAD2    LT     AAAsf    Affirmed    AAAsf
A-4 12623SAE0    LT     AAAsf    Affirmed    AAAsf
A-M 12623SAJ9    LT     AAAsf    Affirmed    AAAsf
A-SB 12623SAC4   LT     AAAsf    Affirmed    AAAsf
B 12623SAL4      LT     AAsf     Affirmed    AAsf
C 12623SAQ3      LT     Asf      Affirmed    Asf
D 12623SAS9      LT     BBB+sf   Affirmed    BBB+sf
E 12623SAU4      LT     BBsf     Affirmed    BBsf
F 12623SAW0      LT     CCCsf    Affirmed    CCCsf
G 12623SAY6      LT     CCsf     Affirmed    CCsf
PEZ 12623SAN0    LT     Asf      Affirmed    Asf
X-A 12623SAF7    LT     AAAsf    Affirmed    AAAsf
X-B 12623SAG5    LT     AAsf     Affirmed    AAsf

KEY RATING DRIVERS

Stable Loss Expectations; Expected Paydown: Fitch's loss
expectations for the pool are relatively stable and in-line with
Fitch's prior rating action. All remaining loans mature in 2022.
The Stable Outlooks reflect increasing defeasance, as well as
expected paydown from upcoming maturities.

Fitch's current ratings incorporate a base case loss of 8.40%. Ten
loans (26.7% of pool) were designated Fitch Loans of Concern
(FLOCs), including two (3.3%) in special servicing.

Regional Mall FLOC: Despite improving loan performance for the
majority of the pool, performance and refinance concerns remain for
the largest loan, Eastview Mall and Commons (11.8%), which is
secured by 802,636 sf of a 1.7 million-sf regional mall and power
center in Victor, NY. The loan, which is sponsored by Wilmorite
Properties and matures in September 2022, transferred to special
servicing in May 2020 for imminent monetary default at the
borrower's request as a result of the coronavirus pandemic. The
loan was brought current and transferred back to the master
servicer in July 2020. The loan has remained current since
returning to the master servicer.

The YE 2021 servicer-reported net operating income (NOI) was 6%
below YE 2020 and 33% below issuance. Collateral occupancy and
servicer-reported NOI debt service coverage ratio (DSCR) for this
IO loan were 79% and 1.44x at YE 2021, down from 83% and 1.52x at
YE 2020, 90% and 1.81x at YE 2019 and 94% and 2.19x at issuance.

Non-collateral Sears closed in the fourth quarter of 2018 and
non-collateral Lord & Taylor closed in the first quarter of 2021.
The former non-collateral Sears space was backfilled by Dick's new
experiential concept, Dick's House of Sports, which includes a
rock-climbing wall, high-tech batting cage, virtual golf driving
bays, and a 17,000-sf outdoor turf field and running track to host
sports events which can be used as an ice arena in the winter. The
mall portion is anchored by non-collateral JCPenney, non-collateral
Macy's and non-collateral Von Maur, and the power center portion is
anchored by non-collateral Home Depot and non-collateral Target.
The largest collateral tenant is Regal Cinemas, which leases
approximately 9.4% net rentable area through February 2026.

Fitch's base case loss expectation of 55% reflects a 15% cap rate
on the YE 2021 NOI and represents performance and imminent
refinance concerns. The loan's interest rate is 4.625%.

Alternative Loss Consideration: Fitch performed a paydown scenario
assuming that the specially serviced loans and Eastview Mall and
Commons are the last remaining assets in the pool. The Outlook
revision to Stable from Negative on class D reflects the sufficient
credit enhancement and lower expected losses on the specially
serviced loans. The most senior class reliant on proceeds from
Eastview Mall and Commons is class E. Refinance risks and the
uncertainty of timing and/or disposition amount contributed to the
Outlook remaining Negative on class E.

Increase in Credit Enhancement: Credit enhancement (CE) has
improved since Fitch's last rating action due to continued
scheduled amortization and increased defeasance. As of the May 2022
distribution date, the pool's aggregate balance has been paid down
by 32.7% to $762.5 million from $1.1 billion at issuance. The
majority of the pool (87.6%) is amortizing. Fourteen loans (25.7%)
are fully defeased. Cumulative interest shortfalls of $166,985 are
currently affecting the non-rated class H.

RATING SENSITIVITIES

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

Downgrades of the 'AAAsf' and 'AAsf' rated classes are not likely
due to sufficient CE and expected continued amortization but would
occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls
occur. Downgrades of classes C, D and PEZ would occur if loss
expectations increase or loans fail to pay-off at maturity. Classes
E, F and G would be downgraded if loans fail to refinance at
maturity or as losses are realized.

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

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

Upgrades are unlikely due to performance and refinance concerns
with Eastview Mall and Commons but could occur if performance
and/or refinance prospects improve significantly.

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.


COMM 2017-COR2: Fitch Assigns 'B-' Rating on Class G-RR Debt
------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of COMM 2017-COR2 Mortgage
Trust, Series 2017-COR2. In addition, Fitch has revised the Rating
Outlooks on classes E-RR and F-RR to Stable from Negative.

   DEBT           RATING                      PRIOR
   ----           ------                      -----
COMM 2017-COR2

A-2 12595EAC9     LT    AAAsf    Affirmed     AAAsf
A-3 12595EAD7     LT    AAAsf    Affirmed     AAAsf
A-M 12595EAF2     LT    AAAsf    Affirmed     AAAsf
A-SB 12595EAB1    LT    AAAsf    Affirmed     AAAsf
B 12595EAG0       LT    AA-sf    Affirmed     AA-sf
C 12595EAH8       LT    A-sf     Affirmed     A-sf
D 12595EAN5       LT    BBBsf    Affirmed     BBBsf
E-RR 12595EAQ8    LT    BBB-sf   Affirmed     BBB-sf
F-RR 12595EAS4    LT    BBsf     Affirmed     BBsf
G-RR 12595EAU9    LT    B-sf     Affirmed     B-sf
X-A 12595EAE5     LT    AAAsf    Affirmed     AAAsf
X-B 12595EAJ4     LT    AA-sf    Affirmed     AA-sf
X-D 12595EAL9     LT    BBBsf    Affirmed     BBBsf

KEY RATING DRIVERS

Stable Pool Performance and Improved Loss Expectations: Performance
across the pool has remained in line with Fitch's expectations at
the prior rating action. Five loans (26.0% of the pool) were
identified as FLOCs, and as of the May 2022 reporting period there
is one loan (3.3%) in special servicing.

Fitch's current ratings incorporate a base case loss of 4.7%. The
Outlook revisions to classes E-RR and F-RR reflect better than
expected recoveries on a previously defaulted mixed-use
hotel/retail loan and performance stabilization from other retail
and hotel properties in the pool. Losses could reach 6.70% when
factoring an additional stress on three hotel loans (12.6%) to
account for the ongoing business disruption as a result of the
pandemic.

The Negative Outlook on class G-RR, which was previously assigned
for additional pandemic-related stresses applied on hotel, retail
and multifamily loans, reflects concerns with the three hotel loans
still recovering from the pandemic and a regional mall loan in the
top 15.

The largest contributor to loss expectations is the Mall of
Louisiana (5.7% of the pool) loan, which is a 1.5 million-sf (of
which 776,789 sf is collateral) super-regional mall built in 1997
(renovated in 2008), located in Baton Rouge, LA. The subject is the
dominate mall in a secondary market, but is considered a FLOC due
to declining NOI, a now vacant non-collateral Sears box, and
upcoming tenant rollover of 12.9% and 8.3% NRA in 2022 and 2023,
respectively.

In-line tenant sales recovered in 2021 and were reported to be $539
psf for stores under 10,000 sf, excluding Apple, and $678 including
Apple, both of which are an improvement from 2020 and 2019,
reporting $334 and $394, $454 and $587, respectively. However,
reported sales for AMC Theaters were $64,467 per screen in 2021, a
68% decrease from $199,956 in 2020.

The servicer reported YE 2021 NOI declined by 8.3% compared to
2020, and is down 37.3% from underwritten expectations. YE 2021
DSCR was 1.48x, down from 2.00x a year earlier, and 2.39x in 2019.
The loan began amortizing in September 2020, which partly
contributed to the decline in DSCR. Fitch's modeled loss of 17% is
based on a 5% stress to YE 2021 NOI and a 12.5% cap rate.

The second largest contributor to losses is the Grand Hyatt Seattle
(5.8%) loan, which is secured by a 457-room full-service hotel
located in Seattle, WA and across the street from the Washington
State Convention Center. Occupancy, ADR and RevPAR for the TTM
ended December 2021 were 22.6%, $204.12 and $46.03, respectively.
This compares to 85.8%, $239.09 and $205.24, respectively at
issuance.

Performance for 2022 has been slow to recover due to the lack of
convention demand in the area. DSCR for the subject remained
negative in 2021, reporting coverage of -0.36x at YE 2021, an
improvement from -0.62x in 2020, but far below 1.85x in 2019. The
sponsor received a forbearance which allowed for the deferral of
reserve deposits and access to reserve funds to keep the loan
current. The 12-month replenishment period began in May 2021.
Fitch's loss expectations of approximately 14% reflects value of
approximately $210,000 per key. Fitch applied an additional stress
to the 2019 NOI given the significant pandemic-related performance
declines in 2020 and 2021; this sensitivity analysis resulted in a
loss of 20%.

Increased Credit Enhancement: As of the May 2022 distribution, the
pool's aggregate balance has been reduced by 6.5% to $857.3 million
from $916.5 million at issuance. Four loans (9.2%) have been
defeased. 13 loans representing 40.5% of the pool are interest-only
for the full term. An additional 17 loans representing 40.9% of the
pool are structured with partial interest-only periods. Of these
loans, four (9.6% of the pool) have not yet begun to amortize. The
pool is scheduled to pay down approximately 8.4% by maturity.

Coronavirus Exposure: Loans secured by retail and hotel properties
represent 17.3% (nine loans), 21.3% (six loans) of the pool,
respectively. Fitch applied an additional stress to the
pre-pandemic cash flows for three hotel loans (12.6%) given
significant pandemic-related 2020 and 2021 NOI declines. These
additional stresses contributed to the Negative Outlooks.

RATING SENSITIVITIES

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

Downgrades to A-2 through B and IO classes X-A and X-B are not
likely due to the position in the capital structure and the high CE
but may occur should interest shortfalls affect these classes.
Downgrades to classes C, D, E-RR and IO class X-D may occur should
expected losses for the pool increase substantially. Downgrades to
classes F-RR and G-RR could occur if the performance of the FLOCs
fail to stabilize or deteriorate.

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

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

Factors that could lead to upgrades would include stable to
improved performance coupled with pay down and/or defeasance. An
upgrade to classes B and C would occur with significant improvement
in credit enhancement (CE) and/or defeasance; however, adverse
selection, increased concentrations and further performance
deterioration from FLOCs could cause this trend to reverse.

An upgrade of classes D and E-RR would also consider those factors,
but is limited based on sensitivity to concentrations or the
potential for future concentration. Classes would not be upgraded
above 'Asf' if there were likelihood for interest shortfalls.
Upgrades to classes F-RR and G-RR are not likely until the later
years in a transaction 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.

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.


CPS AUTO 2022-B: 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-B (the
Issuer):

-- $213,920,000 Class A Notes at AAA (sf)
-- $41,930,000 Class B Notes at AA (sf)
-- $60,200,000 Class C Notes at A (sf)
-- $25,800,000 Class D Notes at BBB (sf)
-- $53,750,000 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 15.00%, 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 March 2022 Update," published on March 24, 2022.
These baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse COVID-19 pandemic scenarios, which were first
published in April 2020. Despite several new or increasing risks,
including the Russian invasion of Ukraine, rising inflation, and
new COVID-19 variants, the overall outlook for growth and
employment in the United States remains relatively positive.

(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 Company 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
that 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 51.25% of initial hard
credit enhancement provided by the subordinated notes in the pool
(42.25%), the reserve account (1.00%), and OC (8.00%). The ratings
on the Class B, C, D, and E Notes reflect 41.50%, 27.50%, 21.50%,
and 9.00% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.

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


CSAIL 2017-C8: Fitch Affirms B- Rating on on Class E Certs
----------------------------------------------------------
Fitch Ratings has affirmed 14 classes of CSAIL Commercial Mortgage
Trust 2017-C8, commercial mortgage pass-through certificates. In
addition, the Rating Outlooks on two classes were revised to Stable
from Negative.

   DEBT            RATING                  PRIOR
   ----            ------                  -----
CSAIL 2017-C8

A-3 12595BAC5     LT AAAsf     Affirmed    AAAsf
A-4 12595BAD3     LT AAAsf     Affirmed    AAAsf
A-S 12595BBF7     LT AAAsf     Affirmed    AAAsf
A-SB 12595BAE1    LT AAAsf     Affirmed    AAAsf
B 12595BAH4       LT AA-sf     Affirmed    AA-sf
C 12595BAJ0       LT A-sf      Affirmed    A-sf
D 12595BAK7       LT BBB-sf    Affirmed    BBB-sf
E 12595BAM3       LT B-sf      Affirmed    B-sf
F 12595BAP6       LT CCCsf     Affirmed    CCCsf
V1-A 12595BBQ3    LT AAAsf     Affirmed    AAAsf
V1-B 12595BBR1    LT A-sf      Affirmed    A-sf
V1-D 12595BBS9    LT BBB-sf    Affirmed    BBB-sf
X-A 12595BAF8     LT AAAsf     Affirmed    AAAsf
X-B 12595BAG6     LT A-sf      Affirmed    A-sf

KEY RATING DRIVERS

Lower Loss Expectations: Loss expectations have improved since
Fitch's last rating action due to performance stabilization of
properties that had been affected by the pandemic, which includes
the return of the previously specially serviced Hotel Eastlund loan
to the master servicer. There are 10 Fitch Loans of Concern (FLOCs;
56.8% of pool), including five specially serviced loans (23.4%),
three of which are performing specially serviced (18.4%). Fitch's
current ratings reflect a base case loss of 5.40%.

The Outlook remains Negative on class E due to several FLOCs that
were impacted by the pandemic; however, remain current with
property performance gradually improving from pandemic lows. The
class may be downgraded should performance trends reverse and the
properties do not stabilize.

The largest contributor to the improved loss expectations since
Fitch's last rating action is the Hotel Eastlund loan (4.9% of
pool), which is secured by a 168-key full-service hotel located
near downtown and the convention center in Portland, OR. The loan
was returned to the master servicer in April 2022 after previously
transferring to special servicing in July 2020 for payment default
and the borrower's request for coronavirus relief.

Property performance has begun to show signs of improvement. Per
STR and as of TTM April 2022, the property reported occupancy, ADR
and RevPaR of 51.6%, $149 and $77, respectively, compared to 19.6%,
$110 and $22 as of TTM March 2021 and 83.6%, $169 and $141 as of
TTM December 2019. The property was outperforming its competitive
set, with a RevPAR penetration rate of 121.1% as of TTM April 2022.
Fitch's base case loss of 12% incorporates an 11% cap rate and 26%
stress to the YE 2019 NOI.

The largest increase in loss since the last rating action is the
Broadway Portfolio loan (6.1% of pool), which is secured by a
portfolio of three mixed-use buildings totaling 77,419 sf with
frontage along Broadway between 29th and 30th Streets in
Manhattan's Midtown South neighborhood. The portfolio's two largest
tenants, Grind (36% of NRA) and Luminary Legacy LLC (14%) are
coworking spaces. Annualized September 2021 NOI fell an additional
8.3% from YE 2020.

The servicer-reported portfolio occupancy declined to 76% as of
September 2021 from 96.6% as of March 2021. Fitch's base case loss
of 21% reflects an 8.50% cap rate to the annualized September 2021
NOI given lack of updates from the servicer for details on the
significant occupancy decline and which tenants vacated.

Increased Credit Enhancement (CE): As of the May 2022 remittance,
the transaction's pooled aggregate principal balance has been paid
down by 23% to $624.6 million from $811 million at issuance. Four
loans with a last rating action balance totaling $168 million were
repaid in full. Nine loans (54.3%) are full-term interest only, 10
loans (29.5%) are partial-term interest-only and one loan (4%) has
an anticipated repayment date. Two loans (2% of the pool) are
defeased. One loan (6.1%) matures in 2026 and the remaining 26
loans (93.9%) mature in 2027.

Investment-Grade Credit Opinion Loans: Two loans, representing
24.4% of the pool, were assigned investment-grade credit opinions
at issuance.

The 245 Park Avenue loan (11.5%) had an investment-grade credit
opinion of 'BBB-sf*' on a stand-alone basis at issuance, and is
still considered to have the credit characteristics of an
investment-grade credit opinion.

The 85 Broad Street loan (12.9%) had an investment-grade credit
opinion of 'BBB-sf*' on a stand-alone basis at issuance; however,
Fitch no longer considers the loan investment grade given the
significant declines in occupancy and NOI since issuance. YE 2021
NOI is down 42% from 2020, and occupancy has declined to 78% as of
March 2022 from 93% at YE 2020 largely due to WeWork downsizing
their space from 33% of the NRA to 17% in 2021, in addition to
other tenants with rent reductions.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming and/or
    specially serviced loans;

-- Downgrades to the classes rated 'AA-sf' through 'AAAsf' are
    not likely due to their position in the capital structure and
    their increased CE, but may occur should interest shortfalls
    affect these classes;

-- Downgrades to classes rated 'BBB-sf' and 'A-sf' occur should
    expected losses for the pool increase substantially and the
    performance of the FLOCs continue to further decline and/or
    fail to stabilize;

-- Downgrade to classes rated 'B-sf' and below would occur with a

    greater certainty of losses, if losses on the specially
    serviced loans exceed expectations and/or as realized losses
    occur;

-- Fitch has identified both a baseline and a worse-than-
    expected, adverse stagflation scenario based on fallout from
    the Russia-Ukraine war whereby growth is sharply lower amid
    higher inflation and interest rates; even if the adverse
    scenario should play out, Fitch expects virtually no impact on

    ratings performance, indicating very few rating or Outlook
    changes. However, for some transactions with concentrations in

    underperforming retail exposure, the ratings impact may be
    mild to modest, indicating some changes on sub-investment
    grade notes.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional pay down and/or defeasance;

-- Upgrades to the 'A-sf' and 'AA-sf' rated classes may occur
    with significant improvement in CE and/or defeasance, and with

    the stabilization of performance on the FLOCs and/or the
    properties affected by the coronavirus pandemic; however,
    adverse selection and increased concentrations, or the
    underperformance of the FLOCs, could cause this trend to
    reverse;

-- Upgrades to the 'BBB-sf' classes would also consider these
    factors, but would be limited based on sensitivity to
    concentrations or the potential for future concentrations.
    Classes would not be upgraded above 'Asf' if there is a
    likelihood of interest shortfalls;

-- Upgrades to the 'B-sf' and below rated classes are not likely
    until the later years of the transaction, and only if the
    performance of the remaining pool is stable, and/or properties

    vulnerable to the pandemic return to pre-pandemic levels
    and/or if there is sufficient CE.

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.


DAVIS PARK CLO: Moody's Assigns Ba3 Rating on $19MM Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Davis Park CLO, Ltd. (the "Issuer" or "Davis
Park").

Moody's rating action is as follows:

US$312,500,000 Class A Senior Secured Floating Rate Notes due 2035,
Definitive Rating Assigned Aaa (sf)

US$19,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, Definitive Rating Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

Davis Park is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of obligations that are
not first lien loans, first lien last out loans and eligible
investments. The portfolio is approximately 85% ramped as of the
closing date.

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

In addition to the Rated Notes, the Issuer issued three other
classes of floating rate notes and one class of subordinated
notes.

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

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

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

Par amount: $500,000,000

Diversity Score: 55

Weighted Average Rating Factor (WARF): 2985

Weighted Average Spread (WAS): SOFR + 3.40%

Weighted Average Coupon (WAC): 5.25%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 8 years

Methodology Underlying the Rating Action:

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

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

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


DBGS 2019-1735: DBRS Confirms B Rating on Class F Certs
-------------------------------------------------------
DBRS, Inc. confirmed its ratings on all classes of the Commercial
Mortgage Pass-Through Certificates issued by DBGS 2019-1735
Mortgage Trust (the Issuer) as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which remains in line with DBRS Morningstar's
expectations. The $311.4 million first-lien mortgage loan is
secured by the fee-simple interest in a 53-story Class A office
building totaling 1.3 million square feet (sf) in the Philadelphia
central business district (CBD). The 10-year interest-only (IO)
loan matures in April 2029. The sponsor, Silverstein Properties,
Inc., used loan proceeds along with $164.2 million of cash equity
to acquire the asset for $451.6 million in 2019.

Built in 1990, 1735 Market Street is on 18th Street between Market
Street and JFK Boulevard with direct concourse access to SEPTA's
Suburban Station and a 176-space parking garage. The subject
property is in the Center City submarket, which is the largest
office submarket in Philadelphia with approximately 38 million sf
of office space. According to Reis, the submarket reported a
vacancy of 9.1% and average rental rate of $32.77 per sf (psf)
gross as of Q4 2021. The collateral achieves higher rental rates as
it is considered one of the top two multitenant office buildings in
the Philadelphia CBD, along with One Liberty Place. Submarket
demand is expected to remain stable in the near to medium term with
minimal new inventory under construction.

According to the September 2021 rent roll, the property was 83.5%
occupied with an average gross rent of $41.00 psf. The office
tenant mix primarily consists of law firms and financial companies
with some exposure to investment-grade tenants. The largest tenant
at the property is Ballard Spahr LLP, a national law firm that
leases 14.7% of the net rentable area (NRA) through January 2031
and maintains its headquarters at the subject. The second-largest
tenant, Willis Towers Watson (Willis) (7.6% of NRA), is considered
an investment-grade tenant and leases its space through February
2031. The third- and fourth-largest tenants (Montgomery McCracken
Walker and Brandywine Global Investment, respectively) also have
their headquarters at the collateral property.

Occupancy has dipped to 83.5% from 92.2% at issuance, partially due
to Willis giving back space in 2020. The loan reported a trailing
nine-month (T-9) ended September 30, 2021, debt service coverage
ratio (DSCR) of 2.00 times (x), compared with the year end 2020
DSCR of 2.42x and Issuer's underwritten DSCR of 2.01x. The 2020 NCF
captured a one-time termination fee paid by Willis. New leases that
were signed in 2020 with commencement dates in 2021 are also not
fully reflected in the T-9 2021 reporting. The annualized T-9 ended
September 30, 2021, NCF of $26.6 million exceeds the DBRS
Morningstar NCF of $22.5 million. Rollover risk is limited in the
near term, as leases representing only 10.2% of the NRA are
scheduled to roll in the next two years.

The sponsor recently launched a $20 million capital improvement
program that will redesign the building's lobby, front entrance,
amenity spaces, and common areas as well as the concourse. The
servicer's January 2022 site inspection reported $1.5 million of
capital expenditures were recently completed, comprising elevator
upgrades and repairs made to the lower-level parking garage and
mechanical systems following damage from Hurricane Ida. The lobby
is currently undergoing a $1.0 million renovation that will include
new monument signs at the front and back of the building. The
borrower is budgeting $5.2 million of total building improvements
planned for 2022. DBRS Morningstar will monitor the loan for any
potential impacts to performance resulting from ongoing projects at
the property, but ultimately views the infusion of capital into
property upgrades as a positive development.

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


DIAMOND INFRASTRUCTURE 2021-1: Fitch Affirms 'BB-' on 2012-1C Debt
------------------------------------------------------------------
Fitch Ratings has affirmed the ratings for Diamond Infrastructure
Funding 2021-1.

   DEBT              RATING                       PRIOR
   ----              ------                       -----
Diamond Infrastructure Funding 2021-1

Series 2021-1A     LT      Asf       Affirmed    Asf
25265LAA8

Series 2021-1B     LT      BBB-sf    Affirmed    BBB-sf
25265LAC4

Series 2021-1C     LT      BB-sf     Affirmed    BB-sf
25265LAE0

TRANSACTION SUMMARY

The transaction is an issuance of notes backed by a pool of
wireless tower sites. The notes are backed by mortgages
representing approximately 90% of the annualized run rate net cash
flow (ARRNCF) on the tower sites and guaranteed by the direct
parent of the borrower issuer. This guarantee is secured by a
pledge and first-priority-perfected security interest in 100% of
the equity interest of the borrowers which own or lease 2,339
wireless communication sites. The new securities were issued
pursuant to the amended indenture and indenture supplement dated as
of the closing of the transaction (June 2021).

This portfolio includes a number of different wireless assets
including:

Triple-net partnership assets governed by master agreements to
wholly-owned subsidiaries of investment-grade tower companies or
related to assets governed by these agreements.

Carrier direct assets, which consist of rooftop towers, structure
towers and other assets beneath towers, which are leased directly
to carriers.

Ground Site assets, which are leased to tower companies, which
operate assets above them. These assets are not governed by a
master agreement.

These assets reflect a number of characteristics which are unique
within the sector and are atypical relative to collateral which
secures other wireless tower transactions. This includes two pools
of wireless tower sites secured by the ground beneath towers, which
are governed by long-term master agreements to investment-grade
counterparties on substantial terms, with fixed minimum rent
payments through late-2038.

Proceeds from the transaction were utilized to provide financing to
DCHSCU, LLC, which is sub-managed by Diamond Communications LLC, to
fund a portion of its $1.625 billion acquisition of Melody Wireless
Infrastructure.

The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in cellular sites, not an assessment of
Diamond Infrastructure Inc.'s corporate default risk.

KEY RATING DRIVERS

Trust Leverage: Fitch NCF on the pool is $64.2 million, based on
its analysis of the issuer-provided data tape, as of March 2022.
This implies a Fitch stressed debt service coverage ratio (DSCR) of
1.11x. The debt multiple relative to Fitch's NCF is 11.5x, which
equates to a debt yield of 8.7%. Excluding the non-offered risk
retention class R notes, the offered notes have a Fitch stressed
DSCR, debt multiple and debt yield of 1.24x, 10.4x and 9.6%,
respectively.

Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
over 27 years after closing, and the long-term tenor of the
securities increases the risk that an alternative technology --
rendering obsolete the current transmission of wireless signals
through cellular sites -- will be developed. Wireless service
providers (WSPs) currently depend on towers to transmit their
signals and continue to invest in this technology.

Diversified Pool: There are 2,339 wireless sites and 2,846 leases
which are supported by 3,795 wireless carrier leases. The sites are
located in 50 states and Washington, D.C. The largest state
(California) represents approximately 13.7% of ARRNCF.

Leases to Strong Tower Tenants: There are 2,846 tenant leases which
support a total of 3,795 wireless carrier leases. Telephony tenants
represent approximately 95.0% of the annualized run rate revenue
(ARRR), and 84% of the ARRR is from investment-grade tenants. The
tenant leases have weighted average annual escalators of
approximately 2.8% and a weighted average final remaining term,
including renewals, of 33.3 years. The largest tenant is T-Mobile
(BBB-/Stable; 32.7% of ARRR).

Tower Operator Master Agreements: Approximately 949 sites are
governed by master agreements with investment-grade tower
operators. These agreements provide fixed minimum rent payments for
this portion of the collateral through late-2038, which equate to
nearly a third of the in-place issuer revenue. The sponsor is also
entitled to a percentage of revenue on these sites to the extent
the amount exceeds the fixed minimum rent payment amounts in
aggregate. As a result, the transaction also benefits from rent
escalators, lease amendments, or incremental leasing on these
sites.

Sites Without NDAs: In this transaction, sites totaling 84.7% of
ARRNCF either did not require a nondisturbance agreement (NDA) or
had obtained NDAs from mortgage lenders holding a senior security
interest in the site. If an easement or lease is not senior as a
matter of law to any recorded mortgage on such site for which the
related site owner is the mortgagor, that easement is typically
protected from creditors of a site owner by an NDA).

Pursuant to an NDA, the mortgagee agrees that the lease or easement
and related assignments of rents will survive a foreclosure of the
senior mortgage. For the sites where no NDA has been obtained,
Fitch applied additional stresses, resulting in an approximately
$1.7 million reduction in Fitch stressed cash flow.

T-Mobile and Sprint Consolidation: T-Mobile US, Inc. and Sprint
Corporation (combined 32.7% of ARRR) merged in April 2020 to form
The New T-Mobile; approximately 11.6% of transaction-level ARRR
from The New T-Mobile is attributable to Sprint legacy leases.
Leases from those tenants could experience churn if overlapping
sites are decommissioned. Fitch's NCF assumes 50% of co-located
Sprint leases will not renew at lease maturity, resulting in
approximately a $0.8 million reduction in Fitch stressed cash
flow.

Sites Located in Top 100 Basic Trading Areas: Of the ARRNCF, 76.9%
is from sites located in the top 100 basic trading areas (BTAs).
BTAs are ranked by population, with the top 100 BTAs representing
the 100 highest populated BTAs out of a total of 493 BTAs. BTAs are
geographic boundaries that are used by the FCC to segment the U.S.
wireless market for licensing purposes.

First Security Interest: Sites representing approximately 90% of
the ARRNCF are secured by a first leasehold mortgage and perfected
security interests in the personal property owned by the asset
entities. The pledge of the equity of the asset entities provides
security holders with the ability to foreclose on the ownership of
the asset entities in the event of default under the indenture
structure.

Importance of Towers to Wireless Service Providers: Increased
smartphone penetration and data usage have increased the need for
cell towers. With WSPs continuing to densify 4G networks and roll
out 5G networks to handle increased demands for data capacity,
there is a need for additional towers. The emergence of tablets and
other devices adds additional demand for higher speeds and network
build-outs.

Additional Securities: The transaction allows for the issuance of
additional securities. Such additional securities may rank senior
to, pari passu with or subordinate to the 2021 securities. Any
additional securities will be pari passu with any class of
securities bearing the same alphabetical class designation.
Additional securities may be issued without the benefit of
additional collateral, provided the post-issuance DSCR is not less
than 2.0x. The possibility of upgrades may be limited due to this
provision.

RATING SENSITIVITIES

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

Declining cash flow as a result of higher site expenses or lease
churn, and the development of an alternative technology for the
transmission of wireless signal could lead to downgrades.

Fitch's NCF was 1.6% above the issuer's cash flow. A further 10%
decline in Fitch's NCF indicates the following model-implied rating
sensitivities: Class A from 'Asf' to 'Asf'; class B from 'BBB-sf'
to 'BBBsf'; and class C from 'BB-sf' to 'BBB-sf'.

The model-implied upgrades are the result of modifications to
Fitch's U.S. Wireless Tower and Network Site Transaction Rating
Criteria and corresponding changes to modeling, as well as growth
in asset cash flow. However, upgrades are unlikely given the
provision to issue additional debt, increasing leverage without the
benefit of additional collateral.

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

Increasing cash flow without an increase in corresponding debt,
from contractual lease escalators, new tenant leases, or lease
amendments could lead to upgrades. However, upgrades are unlikely
given the provision to issue additional debt, increasing leverage
without the benefit of additional collateral. Upgrades may also be
limited given the ratings are capped at 'Asf', given the risk of
technological obsolescence.

A 10% increase in Fitch's NCF indicates the following model-implied
rating sensitivities: Class A from 'Asf' to 'Asf'; class B from
'BBB-sf' to 'Asf'; class C from 'BB-sf' to 'BBBsf'.

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

Diamond Infrastructure Funding 2021-1 has an ESG Relevance Score of
'4' for Transaction & Collateral Structure due to several factors,
including the issuer's ability to issue additional notes, which has
a negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

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


DROP MORTGAGE 2021-FILE: DBRS Confirms BB Rating on 2 Classes
-------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates (the Certificates),
issued by DROP Mortgage Trust 2021-FILE:

-- Class A at AAA (sf)
-- Class A-IO at AAA (sf)
-- Class A-Y at AAA (sf)
-- Class A-Z at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-CP at BBB (sf)
-- Class X-NCP at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class HRR at BB (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which remains in line with DBRS Morningstar's
expectations at issuance. The transaction is collateralized by the
borrower's fee-simple interest in The Exchange, a 750,370-sf office
building with retail components in the Mission Bay submarket of San
Francisco. Built in 2018, the subject is in excellent condition and
is Leadership in Energy and Environmental Design Platinum
certified. The office property consists of 12 stories with
ground-floor retail space and boasts design elements, including
building systems and floorplates, that can accommodate life
sciences tenants. The property benefits from its dense urban
location near many of the area demand drivers, such as the
University of California San Francisco's Mission Bay campus, the
Golden State Warriors' Chase Center, the Kaiser Permanente hub, and
new residential units. The property also benefits from the
experienced institutional sponsorship of KKR.

According to the December 2021 rent roll, the property is 99.6%
leased to two tenants: Dropbox (98.4% of net rentable area (NRA))
and Kings & Convicts BP, LLC, doing business as Ballast Point (1.2%
of the NRA). Dropbox is privately rated by DBRS Morningstar and
exhibits characteristics consistent with a high below
investment-grade credit rating. At issuance, it was noted that
Dropbox subleased approximately 25.3% of its space at the building
to two life sciences tenants: 133,896 sf (17.8% of the collateral's
NRA) to VIR Biotechnology, Inc. and 52,604 sf (7.0% of the
collateral's NRA) to BridgeBio Pharma, Inc. Dropbox occupies the
subject on a long-term lease through November 2033 and is
responsible for all lease obligations, including subleased space,
with no termination options during its lease term. Additionally,
Dropbox's performance under its lease is backed by a letter of
credit of approximately $34 million. According to the Reis Q4 2021
South of Market office submarket report, the average vacancy rate
for the submarket was 8.7%, and the average asking rental rate was
$64.18 psf compared with the subject's average rental rate of
$69.05 psf.

The transaction is structured with an anticipated repayment date
(ARD) beginning in April 2026 and a final maturity date in October
2033, one month before Dropbox's lease expiration. In addition to
penalty interest due on the mortgage after the ARD, all property
cash flow after the current debt service will be diverted away from
the sponsor and toward amortizing the mortgage loan. This feature
strongly incentivizes the sponsor to arrange takeout financing
before the ARD and therefore reduces maturity risk for the
certificateholders.

As of the year-end 2021 financials, the servicer reported a debt
service coverage ratio (DSCR) of 5.81 times (x) and an occupancy
rate of 99.6%, which compares with the Issuer's Trust Loan DSCR of
5.75x and the DBRS Morningstar's DSCR of 4.99x. Given the property
is predominantly leased to a single tenant, Dropbox, on a long-term
lease, DBRS Morningstar expects the loan's performance to remain in
line with expectations.

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


EXETER 2022-3: S&P Assigns Prelim 'BB(sf)' Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2022-3's automobile receivables-backed
notes.

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

The preliminary ratings are based on information as of June 8,
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 availability of approximately 58.07%, 50.03%, 40.83%,
31.66%, and 26.37% credit support for the class A (classes A-1,
A-2, and A-3), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios (including excess spread). This credit
support provides coverage of approximately 3.05x, 2.60x, 2.10x,
1.60x, and 1.30x our 18.50%-19.50% expected cumulative net loss
(CNL) range. These break-even scenarios withstand cumulative gross
losses (CGLs) of approximately 89.35%, 76.97%, 65.32%, 50.66%, and
42.19%, respectively.

-- S&P's expectation for timely interest and principal payments on
the notes, based on stressed cash flow modeling scenarios, which,
in its view, are appropriate for the assigned preliminary ratings.

-- S&P's expectation that under a moderate ('BBB') stress scenario
(1.60x our expected loss level), all else being equal, our
preliminary ratings will be within the credit stability limits
specified by section A.4 of the Appendix in "S&P Global Ratings
Definitions," published Nov. 10, 2021.

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

-- The transaction's payment, credit enhancement, and legal
structures.

  Preliminary Ratings Assigned

  Exeter Automobile Receivables Trust 2022-3

  Class A-1, $63.20 million: A-1+ (sf)
  Class A-2, $190.00 million: AAA (sf)
  Class A-3, $154.94 million: AAA (sf)
  Class B, $122.40 million: AA (sf)
  Class C, $113.95 million: A (sf)
  Class D, $110.82 million: BBB (sf)
  Class E, $86.80 million: BB (sf)



FREDDIE MAC 2022-1: DBRS Gives Prov. B(low) Rating on Cl. M Debt
----------------------------------------------------------------
DBRS, Inc. assigned a provisional rating to the following
Mortgage-Backed Security, Series 2022-1 to be issued by Freddie Mac
Seasoned Credit Risk Transfer Trust, Series 2022-1 (the Trust):

-- $33.9 million Class M at B (low) (sf)

DBRS Morningstar did not rate the other classes in the Trust.

This transaction is a securitization of a portfolio of seasoned,
reperforming first-lien residential mortgages funded by the
issuance of the certificates, which are backed by 6,677 loans with
a total principal balance of $1,043,955,361 as of the Cut-Off
Date.

Freddie Mac either purchased the mortgage loans from securitized
Freddie Mac Participation Certificates or Uniform Mortgage Backed
Securities, or retained them in whole-loan form since their
acquisition. The loans are currently held in Freddie Mac's retained
portfolio and will be deposited into the Trust on the Closing
Date.

The loans are approximately 157 months seasoned. Approximately
89.9% have been modified under the Government-Sponsored Enterprise
(GSE) Home Affordable Modification Program (HAMP), GSE non-HAMP
modification program, or under and/or subject to a Freddie Mac
payment deferral program (PDP). The remaining loans (10.1%) were
never modified. Within the pool, 2,989 mortgages have forborne
principal amounts as a result of modification, which equates to
9.3% of the total unpaid principal balance as of the Cut-Off Date.
For 39.8% of the modified loans, the modifications happened more
than two years ago.

90.4% of the loans have payment status as current as of the Cut-Off
Date, of which 2.4% are in bankruptcy. Furthermore, 44.2% and 17.8%
of the mortgage loans have been zero times 30 days delinquent (0 x
30) for at least the past 12 and 24 months, respectively, under the
Mortgage Bankers Association delinquency methods. DBRS Morningstar
assumed all loans within the pool are exempt from the qualified
mortgage rules because of their eligibility to be purchased by
Freddie Mac.

Specialized Loan Servicing LLC and NewRez LLC, doing business as
Shellpoint Mortgage Servicing, will service the mortgage loans. The
Servicers will not advance any delinquent principal or interest on
any mortgages; however, the Servicers are obligated to advance to
third parties any amounts necessary for the preservation of
mortgaged properties or real estate owned properties acquired by
the Trust through foreclosure or a loss mitigation process.

Freddie Mac will serve as the Sponsor, Seller, and Trustee of the
transaction as well as the Guarantor of the senior certificates
(i.e., the Class MAU, MA, MA-IO, MB, MBU, MB-IO, MT, MT-IO, MTU,
MV, MZ, TAU, TAW, TA, TA-IO, TBU, TBW, TB, TB-IO, TT, TT-IO, TTU,
TTW, M5AU, M5AW, M55A, M5AI, M5BU, M5BW, M55B, M5BI, M55T, M5TI,
M5TU, and M5TW Certificates). Wilmington Trust National Association
(Wilmington Trust; rated AA (low) with a Stable trend by DBRS
Morningstar) will serve as the Trust Agent. Computershare Trust
Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar)
will serve as the Custodian for the Trust. U.S. Bank Trust Company,
National Association (rated AA (high) with a Stable trend by DBRS
Morningstar) will serve as the Securities Administrator for the
Trust and will also initially act as the Paying Agent, Certificate
Registrar, Transfer Agent, and Authenticating Agent.

Freddie Mac, as the Seller, will make certain representations and
warranties (R&W) with respect to the mortgage loans. It will be the
only party from which the Trust may seek indemnification (or, in
certain cases, a repurchase) as a result of a breach of R&Ws. If a
breach review trigger occurs during the warranty period, the Trust
Agent, Wilmington Trust, will be responsible for the enforcement of
R&Ws. The warranty period will be effective only through April 11,
2025 (approximately three years from the Closing Date), for
substantially all R&Ws other than the real estate mortgage
investment conduit R&W and the R&W-related mortgage loans whose
high-cost regulatory compliance was unable to be tested, which will
not expire.

The mortgage loans will be divided into three loan groups: Group M,
Group M55, and Group T. The Group M loans (75.5% of the pool) and
Group M55 loans (6.1% of the pool) were subject to either
fixed-rate modifications or step-rate modifications that have
reached their final step rates and, as of the Cut-Off Date, the
borrowers have made at least one payment after such mortgage loans
reached their respective final step rates. Each Group M loan has a
mortgage interest rate less than or equal to 5.5% and has no
forbearance, or may have forbearance and any mortgage interest
rate. Each Group M55 loan has a mortgage interest rate higher than
5.5%. Group T loans (18.4% of the pool) were never modified or were
subject to a PDP.

Principal and interest (P&I) on the senior certificates (the
Guaranteed Certificates) will be guaranteed by Freddie Mac. The
Guaranteed Certificates will be primarily backed by collateral from
each group. The remaining certificates, including the subordinate,
nonguaranteed interest-only mortgage insurance and residual
certificates, will be cross-collateralized among the three groups.

The transaction employs a pro rata pay cash flow structure among
the senior group certificates with a sequential-pay feature among
the subordinate certificates. Certain principal proceeds can be
used to cover interest shortfalls on the rated Class M
certificates. Senior classes, other than Class A-IO, benefit from
P&I payments that are guaranteed by the Guarantor, Freddie Mac;
however, such guaranteed amounts, if paid, will be reimbursed to
Freddie Mac from the P&I collections prior to any allocation to the
subordinate certificates. The senior principal distribution amounts
vary subject to the satisfaction of a step-down test. Realized
losses are allocated reverse sequentially.

In this transaction, in addition to the servicing fee, the trust
agent fee, the securities administrator fee, the custodian fee, the
independent reviewer fees, and the guarantor oversight fee, a
supplemental guarantor oversight fee of 20 basis points will also
be deducted from the Interest Remittance Amount before any
distribution of interest payments to senior and subordinate
certificates.

CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT

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

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

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


GCAT 2022-NQM3: S&P Assigns B(sf) Rating on Class B-2 Certificates
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to GCAT 2022-NQM3 Trust's
mortgage pass-through certificates.

The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans primarily secured by
single-family residential properties, townhouses, planned-unit
developments, condominiums, cooperatives, and two- to four-family
residential properties to both prime and nonprime borrowers. The
pool has 1046 loans, which are nonqualified, qualified mortgage
safe harbor or rebuttal presumption, or ability to repay-exempt
mortgage loans.

S&P said, "Since we assigned the preliminary ratings on May 20,
2022, the sponsor, Blue River Mortgage III LLC dropped two loans
from the pool and reduced the bond sizes proportionately to keep
the subordination credit enhancement the same for each tranche.
These changes did not affect our ratings, which remain the same as
the preliminary ratings."

The ratings reflect S&P's view of:

-- The asset pool's collateral composition;

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

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

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

  Ratings Assigned

  GCAT 2022-NQM3 Trust

  Class A-1, $358,164,000: AAA (sf)
  Class A-2, $38,834,000: AA (sf)
  Class A-3, $57,726,000: A (sf)
  Class M-1, $23,353,000: BBB (sf)
  Class B-1, $15,481,000: BB (sf)
  Class B-2, $18,892,000: B (sf)
  Class B-3, $12,332,767: Not rated
  Class A-IO-S, notional(i): Not rated
  Class X, notional(i): Not rated
  Class R, not applicable: Not rated

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



GRACIE POINT 2022-1: DBRS Finalizes BB Rating on Class E Notes
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by Gracie Point International
Funding 2022-1 (the Issuer):

-- $211,877,000 Class A Notes at AA (sf)
-- $54,055,000 Class B Notes at AA (low) (sf)
-- $19,237,000 Class C Notes at A (sf)
-- $15,442,000 Class D Notes at BBB (low) (sf)
-- $4,187,000 Class E Notes at BB (sf)

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

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns March 2022 Update," published on March 24, 2022.
These baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse Coronavirus Disease (COVID-19) pandemic
scenarios, which were first published in April 2020. Despite
several new or increasing risks including the Russian invasion of
Ukraine, rising inflation, and new coronavirus variants, the
overall outlook for growth and employment in the U.S. remains
relatively positive.

-- While the ongoing coronavirus pandemic has had an adverse
effect on the U.S. borrower in general, DBRS Morningstar expects
the performance of the underlying loans in the transaction to
remain resilient because the life insurance premium loans are fully
collateralized by the cash surrender value from highly rated life
insurance companies and other acceptable collateral that is mostly
either cash or letters of credit from highly rated banking
institutions. Therefore, the payment sources for the Notes will be
either the life insurance companies, or cash held at a trust
account or at an Eligible Account Bank/Eligible Account Firm. DBRS
Morningstar does not expect the economic stress caused by the
pandemic to adversely affect an insurance company's ability to pay
in the short to medium term.

-- Excess spread, a fully funded Reserve Account, and
subordination provide credit enhancement levels that are
commensurate with the ratings of the Offered Notes. Credit
enhancement levels are sufficient to support DBRS
Morningstar-projected expected cumulative loss assumptions under
various stress scenarios.

-- DBRS Morningstar deems Gracie Point an acceptable originator
and servicer of life insurance premium finance receivables.
However, Gracie Point has incurred operating losses and may
continue to incur net losses as it grows its business. If Gracie
Point is unable to fulfill its duties because of an Administrative
Agent Replacement Event or a Loan Administration Agent Default,
repayment of the Notes would rely on the ability of Vervent Inc.
(Vervent) as the Backup Agent, to fulfill the duties of
Administrative Agent and Loan Administration Agent under the
Transaction Documents. DBRS Morningstar deems Vervent as an
acceptable backup agent.

-- The payment sources of the loans underlying the Participations
are life insurance companies that issue the pledged life insurance
policy contracts securing the loans. A potential insolvency of such
life insurance company can adversely impact the collectability of
the cash surrender value or death benefits payable by the life
insurance company. The transaction limits that only Eligible Life
Insurance Companies may issue life insurance policies to be
included in the collateral securing the underlying loans. A portion
of the underlying collateral can be cash collateral that is held at
depository institutions, and the transaction requires them to be
either an Eligible Account Bank or Eligible Account Firm with
minimum required ratings.

-- The collateral pool consists of 29 life insurance companies,
with the top five insurance companies representing approximately
59.61% of the collateral pool. To account for potential losses from
exposure to the largest insurance companies in the collateral pool,
DBRS Morningstar simulated the default of the five largest
insurance companies with rating equivalents lower than the targeted
rating for a tranche.

-- During the Replacement Period, the Issuer may purchase
additional Participations using cash surrender proceeds from
defaulted loans or proceeds from prepaid loans or retained
collections. Therefore, the credit quality of the underlying loans
could change during the Replacement Period. The transaction,
however, only allows a new Participation in a loan that meets the
Replacement Criteria to maintain a similar collateral pool mix as
the closing pool and ensure the related life insurance company or
depository institution of the replacement loan are highly rated.

-- The transaction is exposed to basis risk that will stem from
the mismatch in the rate benchmark between the loans and the Notes
until December 31, 2022. After December 31, 2022, the transaction
will be exposed to the basis risk due to the loans and the Notes
having different payment frequencies.

-- Gracie Point was established in 2010 and issued its first loan
in June 2013, so the company does not have significant historical
performance data of the loans originated through its platform. Each
underlying loan in the collateral pool, however, is fully
collateralized by a minimum cash surrender value, a letter of
credit, and/or cash collateral, which, coupled with the highly
rated insurance companies and depository institutions, partially
mitigate uncertainty regarding the underlying loans' future
performance.

-- Most of the life insurance premium loans have longer maturity
dates than the Scheduled Maturity Date of the Notes. Therefore, if
the Issuer is not able to refinance or liquidate its
Participations, it may not be able to repay such Notes on the
Scheduled Maturity Date. Under each Designated Finance Loan
Agreement, however, the Finance Lender will have the right to call
a loan as fully due and payable upon the occurrence of a Maturity
Acceleration Event, which will ensure ultimate payments of
principal to the Notes by the Scheduled Maturity Date.

-- The legal structure and presence of legal opinions, which
address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Gracie Point,
the trustee has a valid first-priority security interest in the
assets, and are consistent with DBRS Morningstar's "Legal Criteria
for U.S. Structured Finance."

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


HINNT LLC 2022-A: Fitch Assigns 'B' Rating on Class E Debt
----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the notes
issued by HINNT 2022-A LLC (HINNT 2022-A).

   DEBT     RATING             PRIOR
   ----     ------             -----
HINNT 2022-A LLC

A    LT AAAsf    New Rating    AAA(EXP)sf
B    LT Asf      New Rating    A(EXP)sf
C    LT BBBsf    New Rating    BBB(EXP)sf
D    LT BBsf     New Rating    BB(EXP)sf
E    LT Bsf      New Rating    B(EXP)sf

KEY RATING DRIVERS

Borrower Risk — Slightly Weaker Borrower Credit Quality: HINNT
2022-A's weighted average (WA) FICO score is 729, lower than the
735 for HINNT 2020-A, but higher than the 710 for OLTT 2019-A.
Consistent with 2020-A, the 2022-A collateral will comprise a
minimum FICO score of 600. This transaction features a prefunding
account, which covers approximately 10% of the total collateral
balance, and will be funded predominantly by loans already
originated, but do not yet qualify for addition to the pool at
closing.

These loans are statistically similar to the pool at closing, and
any additional loans included to replace these loans, due to
delinquency or amortization, must conform to criteria similar to
the pool overall. Fitch did not incorporate a prefund stress given
the visibility into the prefund collateral pool.

Forward-Looking Approach on CGD Proxy — Weakening Performance:
HICV's delinquency and default performance exhibited material
increases during the Great Recession. Notable improvement was
observed in the 2010-2014 vintages. However, the 2016 through 2019
vintages experienced slightly higher default rates than during the
prior recession, due principally to integration challenges
following the Silverleaf acquisition and defaults related to
paid-product-exits (PPEs). In deriving its cumulative gross default
(CGD) proxy of 22.00%, Fitch focused on extrapolations of the
2007-2010 and 2017-2019 vintages.

Fitch considers the strength of the economy, as well as future
expectations, by assessing key macroeconomic indicators correlated
with timeshare loan performance, such as GDP and the unemployment
rate. These were accounted for in Fitch's CGD proxy for 2022-A.

Structural Analysis — Shifting CE Structure: Initial hard credit
enhancement (CE) is 78.05%, 55.50%, 36.75%, 9.65% and 3.50% for
class A, B, C, D and E notes, respectively. The hard CE is higher
compared to 2020-A for classes A, B, and C, lower for class D, and
class E remains the same. Hard CE is composed of
overcollateralization (OC), a reserve account and subordination.
Soft CE is also provided by excess spread and is expected to be
7.9% per annum. The structure is sufficient to cover multiples of
3.00x, 2.00x, 1.50x, 1.25x and 1.00-1.10x for 'AAAsf', 'Asf',
'BBBsf', 'BBsf' and 'Bsf', respectively.

Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: HICV has demonstrated sufficient abilities
as an originator and servicer of timeshare loans, as evidenced by
the historical delinquency and default performance of the
securitized trusts and of the managed portfolio. While the resort
footprint has grown in recent years, HICV's managed portfolio, as
well as 2022-A, has shifted and now has a largest concentration in
Texas versus Orlando, FL prior to the acquisition of Silverleaf.

RATING SENSITIVITIES

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

Unanticipated increases in the frequency of defaults could produce
CGD levels higher than the base case and would likely result in
declines of CE and remaining default coverage levels available to
the notes. Additionally, unanticipated increases in prepayment
activity could also result in a decline in coverage. Decreased
default coverage may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.

Hence, Fitch conducts sensitivity analyses by stressing both a
transaction's initial base case CGD and prepayment assumptions and
examining the rating implications on all classes of issued notes.
The CGD sensitivity stresses the CGD proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf' based on the break-even loss coverage
provided by the CE structure. The prepayment sensitivity includes
1.5x and 2.0x increases to the prepayment assumptions, representing
moderate and severe stresses, respectively. These analyses are
intended to provide an indication of the rating sensitivity of
notes to unexpected deterioration of a trust's performance.

Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD
proxy, which represent moderate and severe stresses, respectively.
These analyses are intended to provide an indication of the rating
sensitivity of notes to unexpected deterioration of a trust's
performance.

Fitch has revised global economic outlook forecasts as a result of
the Ukraine War and related economic sanctions. Downside risks have
increased, and Fitch has published an assessment of the potential
rating and asset performance impact of a plausible, but
worse-than-expected, adverse stagflation scenario on Fitch's major
SF and CVB subsectors.

Fitch expects the Timeshare ABS sector in the assumed adverse
scenario to experience "Virtually No Impact" on rating performance,
indicating very few (less than 5%) rating or Outlook changes. Fitch
expects "Mild to Modest Impact" on asset performance, indicating
asset performance to be modestly negatively affected relative to
current expectations and a 25% chance of sector outlook revision by
YE 2023.

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

Conversely, stable to improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels and
consideration for potential upgrades. If CGD is 20% less than the
projected proxy, the ratings would be maintained for the class A
note at a stronger rating multiple. For class B, C, D and E notes,
the multiples would increase resulting in potential upgrade of two
rating categories, two rating categories, one rating category and
one rating category, respectively.

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E as prepared by
Grant Thornton LLP. The third-party due diligence described in Form
15E focused on a comparison and re-computation of certain
characteristics with respect to 100 sample 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.


JP MORGAN 2016-JP2: Fitch Affirms 'B-' Rating on Class E Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust 2016-JP2 commercial mortgage
pass-through certificates, and revised seven Outlooks to Stable
from Negative.

   DEBT             RATING                 PRIOR
   ----             ------                 -----
JPMCC 2016-JP2

A-3 46590MAQ3     LT AAAsf     Affirmed    AAAsf
A-4 46590MAR1     LT AAAsf     Affirmed    AAAsf
A-S 46590MAV2     LT AAAsf     Affirmed    AAAsf
A-SB 46590MAS9    LT AAAsf     Affirmed    AAAsf
B 46590MAW0       LT AA-sf     Affirmed    AA-sf
C 46590MAX8       LT A-sf      Affirmed    A-sf
D 46590MAC4       LT BBB-sf    Affirmed    BBB-sf
E 46590MAE0       LT B-sf      Affirmed    B-sf
X-A 46590MAT7     LT AAAsf     Affirmed    AAAsf
X-B 46590MAU4     LT AA-sf     Affirmed    AA-sf
X-C 46590MAA8     LT BBB-sf    Affirmed    BBB-sf

KEY RATING DRIVERS

Improved Loss Expectations: Loss expectations have improved since
Fitch's last rating action due to performance stabilization of
properties affected by the pandemic. The Outlook revisions to
Stable from Negative reflect the performance stabilization. The
Negative Outlook on class E reflects continued concerns with the
specially serviced Marriott Atlanta Buckhead loan. Fitch has
identified 13 Fitch Loans of Concern (FLOCs; 42% of the pool
balance), including one (1.4%) specially serviced loan.

Fifteen loans (32.0%) are on the master servicer's watchlist for
declines in occupancy due to tenants vacating, pandemic-related
performance declines, upcoming rollover and/or deferred
maintenance. Fitch's current ratings incorporate a base case loss
of 6.5%.

The largest contributor to overall loss expectations is the
specially serviced Marriott Atlanta Buckhead (5.6%), which is
secured by a 10-story, 349-key full-service hotel located
approximately 8.5 miles north from Downtown Atlanta in the Buckhead
district of Atlanta. The loan was transferred to special servicing
in January 2021 due to delinquent payments. The Special Servicer
and Borrower are finalizing a modification that includes bringing
the loan current, deferring of interest payments, and interest only
until maturity.

YE 2021 NOI DSCR was -.08x, compared with 2.72x at YE 2019 and
2.35x at YE 2018. Portfolio occupancy has decreased to 35% at YE
2021 from 69% at YE 2019 and 82% at issuance. Fitch's analysis
includes a haircut to the most recent appraisal resulting in a loss
severity of approximately 19%.

The second largest contributor to loss is the Hagerstown Premium
Outlets (3.4%), Occupancy has fallen to 44% at YE 2021 from 51% at
YE 2020 and underwritten occupancy of 90%. This is due to increased
competition and a number of tenants vacating at lease expiration
over the past three years. The YE 2021 DSCR was reported to be
1.06x versus 1.39x at YE 2020. Fitch's analysis includes an 18% cap
rate to the YE 2020 NOI resulting in a 25% modeled loss.

The third largest contributor to loss, 700 17th Street (2.3%) is
secured by a 182,505 sf office property located in Denver, CO. The
loan is on the master servicer's watchlist as the property's
performance has declined due to multiple tenants vacating at YE
2019. YE 2021 NOI DSCR was .71x, compared with 1.00x at YE 2020 and
1.19x at YE 2019. The property was 56.5% leased as of December 2021
compared with 72% as of YE 2020, and 90% at issuance.

The property faces near term rollover concentration with leases of
approximately 20.3% of the NRA scheduled to expire in 2022
including the largest tenant Machol & Johannes (13.2% of NRA; 3/22
LXD). Fitch's analysis reflects a 15% haircut to the YE 2020 NOI
given the high upcoming rollover resulting in an approximate 35%
modeled loss.

Increasing Credit Enhancement: As of the May 2022 remittance, the
pool's aggregate principal balance has been reduced by 9.1% to
$853.9 million from $939.2 million at issuance. Four loans (4.1% of
the loan) paid off either at or ahead of their respective maturity
dates. Five loans (15.8%) are fully defeased including the 2nd
largest loan, Center 21 (9.4% of the pool). At issuance, based on
the scheduled balance at maturity, the pool will pay down 11.1% of
the initial pool balance. Five full-term interest-only loans
comprise 28.2% of the pool, seventeen loans representing 45.3% of
the pool were partial interest-only, and twenty loans representing
26.5% of the pool are balloon.

Significant Office Concentration: Office properties represent the
highest concentration of the pool at 37.6%. Ten loans (26.7%),
including three in the top 15, are secured by retail properties
including, Opry Mills (9.4%), The Shops at Crystal (5.9%), and
Hagerstown Premium Outlets (3.4%). Hotel loans represent 16.2% of
the pool, including three (9.9%) in the top 15. The largest 10
loans account for 57.7% of the pool by balance. At issuance, two
sponsors, Simon Property Group and CIM Commercial Trust
Corporation, each comprised more than 10% of the pool with 12% and
11%, respectively.

High Concentration of Pari Passu Loans: Nine loans (49.8% of pool)
are pari passu, all of which are in the top 15.

RATING SENSITIVITIES

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

Downgrades would occur with an increase in pool level losses from
underperforming or specially serviced loans. Downgrades to classes
A-3, A-4, A-SB, A-S, X-A, B, X-B and C, rated 'AAAsf', 'AA-sf' and
'A-sf', are not likely due to the high CE and continued
amortization, but may occur at the 'AAsf' and 'AAAsf' categories
should interest shortfalls occur. Downgrades to classes D, X-C, and
E, rated in the 'BBB-sf' and 'B-sf' categories would occur should
overall pool losses increase and/or one or more large FLOCs have an
outsized loss or should loss expectations increase due to
additional loans transferring to special servicing and/or
properties vulnerable to the coronavirus fail to return to pre-
pandemic levels.

The Rating Outlooks on class E may be revised back to Stable if
performance of the FLOCs improves and/or Marriott Atlanta Buckhead
loan transfers back to the master servicer.

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

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

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

An upgrade of class D and X-C, rated 'BBB-sf', is considered
unlikely and would be limited based on sensitivity to
concentrations or the potential for future concentration. Classes
would not be upgraded above 'Asf' if there were likelihood for
interest shortfalls. An upgrade to classes E, rated 'Bs-f' is not
likely until the later years of the transaction and only if the
performance of the remaining pool is stable and/or properties
vulnerable to the coronavirus return to pre-pandemic levels, and
there is sufficient credit enhancement to the class.

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 CLO 42: Moody's Assigns Ba3 Rating to $15MM Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued and one class of loans incurred by KKR CLO 42 Ltd.
(the "Issuer" or "KKR CLO 42").

Moody's rating action is as follows:

US$201,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$55,000,000 Class A Loans maturing 2034, Assigned Aaa (sf)

US$15,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)

The loans and notes listed are referred to herein, collectively, as
the "Rated Debt." The Class A Loans may not be exchanged or
converted into notes at any time.

RATINGS RATIONALE

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

KKR CLO 42 is a managed cash flow CLO. The issued debt will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, cash and eligible investments, and up to 7.5%
of the portfolio may consist of second lien loans, unsecured loans
and permitted non-loan assets. The portfolio is approximately 90%
ramped as of the closing date.

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

In addition to the Rated Debt, the Issuer issued three other
classes of secured notes and one class of subordinated notes.

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

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

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

Par amount: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3029

Weighted Average Spread (WAS): SOFR + 3.60%

Weighted Average Coupon (WAC): 6.75%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 7 years

Methodology Underlying the Rating Action:

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

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

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


MAPS 2021-1 TRUST: Moody's Confirms 'Ba1' Rating on Class C Notes
-----------------------------------------------------------------
Moody's Investors Service has confirmed one note issued by MAPS
2021-1 Trust (MAPS 2021-1). The note is backed by a portfolio of
aircraft and their related initial and future leases. Merx Aviation
Servicing Limited is the servicer of the underlying assets and
related leases in MAPS 2021-1.  

Issuer: MAPS 2021-1 Trust

Class C Notes, Confirmed at Ba1 (sf); previously on Mar 7, 2022 Ba1
(sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating actions are a result of Moody's view that the Class C
notes' current credit enhancement is sufficient to absorb the
reduction in deal cash flows from early lease terminations and some
of the uncertainty related to recoveries from insurance claims
filed with respect to aircraft that were previously leased to
Russian airlines. Furthermore, the notes continue to receive
interest payments and the debt service coverage ratio (DSCR) test
has ample cushion. The DSCR ratio currently stands at 1.7 [1] as of
May 2022 compared to a trigger level of 1.2.

The notes were previously placed on review for possible downgrade
on March 7, 2022 as a result of expected reduction in cash flows
due to foregone lease income tied to early termination of leasing
activities on aircraft that were previously leased to Russian
airlines.

In its analysis, Moody's assumed the repossession of the aircraft
leased to Russian airlines is unlikely and based the analysis on
recoveries stemming from insurance claims instead. According to the
servicer, and as required by the transaction documents, the
transaction benefits from lessor contingency insurance policies.
The servicer has submitted insurance claims in connection with the
Russian leased aircraft. Currently, most of the deal's performance
uncertainty is related to potential recoveries from insurance
claims and the amount of time it will take to realize these
recoveries. As a result, Moody's analyzed a number of scenarios
with various levels of recoveries from insurance claims and how
that impacts expected losses across the capital structure.

Moody's considered in its analysis a scenario where the transaction
will receive insurance claim recoveries, in the form of disposition
proceeds, that amount to approximately half of Moody's assumed
value of the aircraft previously leased to Russian airlines.
Moody's also considered scenarios in which the transaction receives
various levels of recoveries, again in the form of disposition
proceeds, from the insurance claims ranging from full loss to a
full recovery based on Moody's assumed values.

Further in its analysis, Moody's also considered the following
sensitivity scenarios: 1) extended litigation periods that settle
the insurance claims past the deal's anticipated repayment date
 2) the global macro-economic impact that a pro-longed
Russia-Ukraine conflict could have on the remaining lessees and
assets in the portfolio, 3) additional scenario analysis on
aircraft valuations given future uncertainty. Moody's also took
into account transaction structural features such as
overcollateralization, available security deposits, liquidity
facilities, as applicable, as well as the likelihood that certain
notes could be locked out of receiving future payments due to the
priority of payments waterfall upon occurrence of a rapid
amortization trigger.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was "Moody's Global
Approach to Rating Securities Backed by Aircraft and Associated
Leases" published in July 2020.

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

Up

Factors that could lead to an upgrade of the ratings on the notes
are (1) collateral cash flows that are significantly greater than
Moody's initial expectations, including any proceeds from insurance
claims and (2) significant improvement in the credit quality of the
airlines leasing the aircraft. Moody's updated expectations of
collateral cash flows may be better than its original expectations
because of lower frequency of lessee defaults, lower than expected
depreciation in the value of the aircraft that secure the lessees'
promise of payment under the leases owing to stronger global air
travel demand, higher than expected aircraft disposition proceeds
and higher than expected EOL payments received at lease expiry that
are used to prepay the notes. As the primary drivers of
performance, positive changes in the condition of the global
commercial aviation industry could also affect the ratings.

Down

Factors that could lead to a downgrade of the ratings on the notes
are (1) collateral cash flows that are materially below Moody's
initial expectations, including any proceeds from insurance claims
and (2) a significant decline in the credit quality of the airlines
leasing the aircraft. Other reasons for worse-than-expected
transaction performance could include poor servicing of the assets,
for example aircraft sales disadvantageous to noteholders, or error
on the part of transaction parties. Moody's updated expectations of
collateral cash flows may be worse than its original expectations
because of a higher frequency of lessee defaults, greater than
expected depreciation in the value of the aircraft that secure the
lessees' promise of payment under the leases owing to weaker global
air travel demand, credit drift as the pool composition changes,
lower than expected aircraft disposition proceeds, and lower than
expected EOL payments received at lease expiry. Transaction
performance also depends greatly on the strength of the global
commercial aviation industry.


MF1 LTD 2020-FL3: DBRS Hikes Class G Notes Rating to BB
-------------------------------------------------------
DBRS Limited upgraded the ratings on the following six classes of
floating-rate notes issued by MF1 2020-FL3, Ltd.

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

DBRS Morningstar also confirmed the following ratings on two
classes:

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

All trends are Stable.

The rating upgrades reflect the increased credit support to the
bonds as a result of successful loan repayment as there has been
collateral reduction of 43.8% since issuance. In addition, the
borrowers on the remaining loans are generally progressing in the
respective business plans, ultimately leading to property
stabilization and value growth, which in turn is expected to have a
material positive impact on the bonds. In conjunction with this
press release, DBRS Morningstar has published a Surveillance
Performance Update report with in-depth analysis and credit metrics
for the transaction and with business plan updates on select loans.
For access to this report, please click on the link under Related
Documents below or contact us at info@dbrsmorningstar.com.

At issuance, the collateral consisted of 26 floating-rate mortgages
secured by 51 mostly transitional multifamily properties totaling
approximately $803.0 billion, excluding approximately $115.5
million to fund capital expenditures and operating shortfalls to
aid in the individual properties' stabilization plans. The
transaction is structured with a 24-month Permitted Funded
Companion Participation Acquisition Period ending with the June
2022 Payment Date whereby the Issuer can contribute funded
participations of loans into the Trust. As of the March 2022
remittance, there are no available funds in the Permitted Funded
Companion Participation Acquisition Account.

As of the March 2022 remittance, a total of 13 loans secured by 36
properties remain in the trust with an aggregate principal balance
of $460.8 million. Most borrowers are progressing toward completing
the stated business plans. According to an update from the
collateral manager, $58.7 million of loan future funding across 10
of the remaining loans has been advanced to individual borrowers
since loan closing to aid in property stabilization. The majority
of this funding, $39.7 million, has been advanced to the borrower
on The Darlington loan, which has used the funds to complete a
$34.0 million capital improvement project and to fund operating
shortfalls. An additional $9.0 million of loan future funding
allocated to six individual borrowers remains outstanding to fund
capital improvements expenditures, operating shortfalls, and
performance earnouts. The majority of these funds, $5.2 million,
are allocated to the borrower on the LA Multifamily Portfolio I
loan as $1.5 million in potential capital improvements funding and
$3.7 million in potential performance earnout funding.

The collateral pool is concentrated by property type because all
loans are secured by multifamily properties. By geographical
concentration, the collateral is most heavily concentrated in
California, Texas, and Colorado, with loans representing 29.7%,
18.2%, and 13.6% of the current pool balance, respectively. Four
loans, representing 47.4% of the current pool balance, are in urban
markets with DBRS Morningstar Market Ranks of 6, 7, and 8. These
markets have historically shown greater liquidity and demand. There
are six loans, representing 42.3% of the current pool balance,
secured by properties in markets with a DBRS Morningstar Market
Rank of 3 or 4, which are suburban in nature and have historically
had higher probability of default levels when compared with
properties located in urban markets.

As of March 2022 reporting, all loans remain current, and there are
nine loans on the servicer's watchlist, representing 63.0% of the
pool balance. Six loans, representing 52.6% of the pool balance,
were flagged for debt service coverage ratios (DSCR) below a 1.0
times (x) coverage, with the largest of these two loans, SF
Multifamily Portfolio I (Prospectus ID#3, 16.2% of the pool
balance) and LA Multifamily Portfolio I (Prospectus ID#5, 13.5% of
the pool balance), having reported DSCR figures of 0.99x and 0.93x,
respectively, based on annualized trailing three months (T-3) ended
September 30, 2021, financials provided by the collateral manager.
Both loans recently received loan modifications, extending the
initial maturity dates by an additional year to January 2024 and
extending the final maturity dates to January 2027. The loans share
a sponsor, which continues to execute its business plan of
renovating rent-controlled multifamily units upon becoming vacant
and increasing rents to market. The remaining three loans,
representing 12.0% of the current pool balance, were added to the
servicer's watchlist because of upcoming loan maturity or deferred
maintenance.

A total of four loans, representing 38.5% of the pool balance, have
been modified. In addition to the SF Multifamily Portfolio I and LA
Multifamily Portfolio I loans, the Overture Sugar Land loan was
modified in January 2022, which allowed the borrower to exercise a
one-year extension option despite the property not meeting the debt
yield performance test. In exchange, the borrower paid the
principal balance of the loan down by $3.5 million and deposited
$1.3 million into a debt service reserve account.

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


MFA TRUST 2022-INV1: DBRS Finalizes B Rating on Class B-2 Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2022-INV1 (the
Certificates) issued by MFA 2022-INV1 Trust (the Issuer) as
follows:

-- $160.2 million Class A-1 at AAA (sf)
-- $22.3 million Class A-2 at AA (high) (sf)
-- $26.4 million Class A-3 at A (high) (sf)
-- $15.5 million Class M-1 at BBB (sf)
-- $9.0 million Class B-1 at BB (sf)
-- $10.3 million Class B-2 at B (sf)

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

The AAA (sf) rating on the Class A-1 Certificates reflects 37.90%
of credit enhancement provided by subordinate certificates. The AA
(high) (sf), A (high) (sf), BBB (sf), BB (sf), and B (sf) ratings
reflect 29.25%, 19.00%, 13.00%, 9.50%, and 5.50% of credit
enhancement, respectively.

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate investor debt service coverage ratio (DSCR),
first-lien residential mortgages funded by the issuance of the
Mortgage Pass-Through Certificates, Series 2022-INV1 (the
Certificates). The Certificates are backed by 1,137 mortgage loans
with a total principal balance of $257,995,347 as of the Cut-Off
Date (February 28, 2022).

The originator and servicer for the whole mortgage pool is Lima One
Capital, LLC (Lima One). MFA Financial, Inc. (MFA) is the Sponsor
and the Servicing Administrator of the transaction.

The mortgage loans were underwritten to program guidelines for
business-purpose loans that are designed to rely on property value,
the mortgagor's credit profile, and the DSCR, where applicable.
Since the loans were made to investors for business purposes, they
are exempt from the Consumer Financial Protection Bureau's
Ability-to-Repay rules and TILA/RESPA Integrated Disclosure rule.

The Sponsor and Servicing Administrator are the same entity and the
Depositor is its affiliate. The initial Controlling Holder is
expected to be the Depositor. The Depositor will retain an eligible
horizontal interest consisting of the Class B-3 and XS Certificates
representing at least 5% of the aggregate fair value of the
Certificates to satisfy the credit risk-retention requirements
under Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder. Such retention aligns Sponsor
and investor interest in the capital structure. Additionally, the
Depositor will initially own the Class B-2 and Class A-IO-S
Certificates.

Computershare Trust Company, N.A. (Computershare; rated BBB with a
Stable trend by DBRS Morningstar) will act as the Securities
Administrator and Certificate Registrar. Deutsche Bank National
Trust Company, Computershare, and Wilmington Trust, National
Association will act as the Custodians.

On or after the earlier of (1) the distribution date occurring in
March 2025 or (2) the date when the aggregate unpaid principal
balance (UPB) of the mortgage loans is reduced to 30% of the
Cut-Off Date balance, the Depositor, at its option, may redeem all
of the outstanding Certificates at a price equal to the class
balances of the related Certificates plus accrued and unpaid
interest, including any Cap Carryover Amounts, and any post-closing
deferred amounts due to the Class XS Certificates (optional
redemption). After such purchase, the Depositor may complete 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.

On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Servicing Administrator will have the option to
terminate the transaction by purchasing all of the mortgage loans
and any real estate owned (REO) property from the Issuer at a price
equal to the sum of the aggregate UPB of the mortgage loans (other
than any REO property) plus accrued interest thereon, the lesser of
the fair market value of any REO property and the stated principal
balance of the related loan, and any outstanding and unreimbursed
servicing advances, accrued and unpaid fees, any preclosing
deferred amounts and expenses that are payable or reimbursable to
the transaction parties (optional termination). An optional
termination is conducted as a qualified liquidation.

For this transaction, the Servicer or any other transaction party
will not fund advances on delinquent principal and interest (P&I)
on any mortgage. However, the Servicer is 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).

Of note, if the Servicer defers or capitalizes the repayment of any
amounts owed by a borrower in connection with the borrower's loan
modification, the Servicer is entitled to reimburse itself from the
excess servicing fee, first, and from principal collections,
second, for any previously made and unreimbursed servicing advances
related to the capitalized amount at the time of such
modification.

The transaction employs a sequential-pay cash flow. Principal
proceeds and excess interest can be used to cover interest
shortfalls on the Certificates, but such shortfalls on the Class
A-3 Certificates and more subordinate bonds will not be paid from
principal proceeds until the more senior classes are retired. Of
note, principal proceeds can be used to cover interest shortfalls
on the Class A-1 and Class A-2 Certificates (IIPP) before being
applied sequentially to amortize the balances of the senior and
subordinated bonds. The excess spread can be used to cover (1)
realized losses and (2) cumulative applied realized loss amounts
preceding the allocation of funds to unpaid Cap Carryover Amounts
due to Class A-1 down to Class B-2.

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
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.


MORGAN STANLEY 2015-C26: Fitch Affirms 'B-' Rating on Class F Debt
------------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed 10 classes of
Morgan Stanley Bank of America Merrill Lynch Trust, commercial
mortgage pass- through certificates, series 2015-C26 (MSBAM
2015-C26).

   DEBT           RATING                       PRIOR
   ----           ------                       -----
MSBAM 2015-C26

A-3 61690VAX6    LT      AAAsf     Affirmed    AAAsf
A-4 61690VAY4    LT      AAAsf     Affirmed    AAAsf
A-5 61690VAZ1    LT      AAAsf     Affirmed    AAAsf
A-S 61690VBB3    LT      AAAsf     Affirmed    AAAsf
A-SB 61690VAW8   LT      AAAsf     Affirmed    AAAsf
B 61690VBC1      LT      AAsf      Upgrade     AA-sf
C 61690VBD9      LT      Asf       Upgrade     A-sf
D 61690VAE8      LT      BBB-sf    Affirmed    BBB-sf
E 61690VAG3      LT      BB-sf     Affirmed    BB-sf
F 61690VAJ7      LT      B-sf      Affirmed    B-sf
X-A 61690VBA5    LT      AAAsf     Affirmed    AAAsf
X-B 61690VAA6    LT      AAsf      Upgrade     AA-sf
X-D 61690VAC2    LT      BBB-sf    Affirmed    BBB-sf

KEY RATING DRIVERS

Improved Loss Expectations: Overall pool performance and loss
expectations have improved from the prior review and from issuance.
Only one loan, Hampton Inn & Suites Charlotte Airport (1.4% of the
pool), is in special servicing and is designated as a Fitch Loan of
Concern (FLOC).

Fitch's current ratings incorporates a base case loss of 2.3% for
the pool. The upgrade of three classes are reflective of the
continued stabilization of properties that were impacted by the
pandemic and the successful resolution of a loan previously in
special servicing. Two loans, with a total balance of $14.4 million
as of the prior review, paid in full prior to their maturity dates.
These included the formerly specially serviced loan, Bay Harbor
Island Hotel, and TriPointe Square Apartments.

FLOC; Specially Serviced Loan: The only FLOC in the pool is the
Hampton Inn & Suites Charlotte Airport (1.4%), which is secured by
a 109-room limited-service hotel in Charlotte, NC. The loan
transferred to special servicing in June 2020 for delinquent
payments. The special servicer is proceeding with foreclosure and
receivership while continuing discussions with borrower on a
potential modification. According to the TTM May 2021 Smith Travel
Research (STR) report, occupancy, ADR and RevPAR declined to 45.6%,
$86.41, $39.39, respectively, from 64%, $124.21 and $79.43 in 2020
and 78.6%, $134.75 and $105.9 in 2019. However, the subject has
consistently outperformed its competitive set with respect to
RevPAR. Fitch modeled a minimal loss to account for fees and
expenses, resulting in a Fitch's stressed value of $128,700 per
room.

Largest Loan In The Pool: The 535-545 Fifth Avenue loan is secured
by two office buildings with first and second floor retail space
totaling 512,171 sf located in the Grand Central submarket of
Manhattan. Occupancy declined to 75% in 2021 from 86% in 2020 due
to Knotel vacating the space as their lease was rejected in
bankruptcy court. Occupancy further declined to 73% as of 1Q22, but
is expected to increase with the signing of a new lease with the
International Gemological Institute for 20,569 sf, which would
increase occupancy to 78%. In 2020, Best Buy (7.2% of NRA)
relocated their flagship store from their prior location at 529
Fifth Avenue to the subject on a 10-year lease.

Previously, the loan's cash management provision was triggered due
to low debt yield as the tenant, NBA Media Ventures (5.0% of NRA),
did not pay rent for two months at the height of the pandemic in
2020. The sponsor was in litigation with the tenant on the
delinquent rent amount of $1.25 million, which was settled in late
September 2021. All delinquent rental payments have been brought
current.

Alternative Loss Considerations: Fitch incorporated a pool-level
sensitivity scenario applying higher cap rates and NOI stresses
with losses that could reach 4.5%. Upgrades were limited based on
the additional stress.

Increased Credit Enhancement (CE): As of the May 2022 remittance
reporting, the pool's aggregate balance has been reduced by 13.1%
to $910.4 million from $1.05 billion at issuance. Nine loans (7.1%
of pool) are fully defeased. CE increased since the prior rating
action due to the repayment of the two loans and continued
amortization. Eight loans (27.1%) are full-term IO and 52 loans
(72.9%) are amortizing. Scheduled loan maturities include one loan
(1.7%) in 2024 and 59 loans (98.3%) in 2025.

Credit Opinion Loan: One loan, 11 Madison Avenue (10.1%), received
an investment-grade credit opinion on a stand-alone basis at
issuance of 'A-'. Based on collateral quality and continued stable
performance, the loan remains consistent with a credit opinion
loan.

RATING SENSITIVITIES

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

Factors that could lead to downgrades include an increase in
pool-level losses from underperforming or the specially serviced
loan. Downgrades to classes A-3, A-4, A-5, A-SB, A-S and X-A are
not considered likely due to their position in the capital
structure, but may occur should interest shortfalls affect these
classes. Downgrades to classes B, C and X-B may occur should all of
the loans susceptible to the coronavirus pandemic suffer losses
and/or interest shortfalls affect these classes. Downgrades to
classes C, D and X-D may occur should loss expectations increase
from the loans that were impacted by the pandemic fail to
stabilize. Downgrades to classes E and F would occur should any
loans default, additional loans transfer to special servicing,
and/or the specially serviced loan experience outsized losses.

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

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

Factors that could lead to upgrades would include continuously
improved asset performance, coupled with paydown and/or defeasance.
Upgrades to classes D and X-D are considered unlikely and would be
limited based on sensitivity to concentrations or the potential for
future concentration. Classes would not be upgraded above 'Asf' if
interest shortfalls were likely. Upgrades to classes E and F are
not likely unless resolution of the specially serviced loans is
better than expected and performance of the remaining pool is
stable, and/or properties vulnerable to the coronavirus pandemic
return to pre-pandemic levels 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.


MORGAN STANLEY 2016-C30: Fitch Lowers Rating on 2 Tranches to CCC
-----------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed eight classes of
Morgan Stanley Bank of America Merrill Lynch Trust, commercial
mortgage pass-through certificates, series 2016-C30 (MSBAM
2016-C30). The Rating Outlooks on classes D and X-D are Negative
following the downgrades. The Outlooks on classes A-S, B, X-B and C
remain Negative.

   DEBT             RATING                    PRIOR
   ----             ------                    -----
MSBAM 2016-C30

A-4 61766NBA2     LT    AAAsf    Affirmed     AAAsf
A-5 61766NBB0     LT    AAAsf    Affirmed     AAAsf
A-S 61766NBE4     LT    AAAsf    Affirmed     AAAsf
A-SB 61766NAY1    LT    AAAsf    Affirmed     AAAsf
B 61766NBF1       LT    AA-sf    Affirmed     AA-sf
C 61766NBG9       LT    A-sf     Affirmed     A-sf
D 61766NAJ4       LT    BBsf     Downgrade    BBB-sf
E 61766NAL9       LT    CCCsf    Downgrade    B-sf
X-A 61766NBC8     LT    AAAsf    Affirmed     AAAsf
X-B 61766NBD6     LT    AA-sf    Affirmed     AA-sf
X-D 61766NAA3     LT    BBsf     Downgrade    BBB-sf
X-E 61766NAC9     LT    CCCsf    Downgrade    B-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades on classes D, X-D, E
and X-E reflect increased loss expectations since Fitch's prior
rating action, primarily due to continued performance deterioration
of Briarwood Mall and Simon Premium Outlets. Fitch increased the
loss recognition for both loans to account for the likelihood of
maturity default.

Fitch's current ratings incorporate a base case loss of 7.40%. Nine
loans (31.7% of pool), including one (0.5%) in special servicing,
were designated Fitch Loans of Concern (FLOCs). The Negative
Outlooks reflect the potential for downgrades given the concerns
with the FLOCs, primarily Briarwood Mall and Simon Premium Outlets.
The Stable Outlooks reflect sufficient credit enhancement and the
expectation of paydown from continued amortization and increasing
defeasance.

Regional Mall/Outlet Center FLOCs: The largest contributor to loss
expectations, Briarwood Mall (8.5%), is secured by 369,916 of a
978,034 sf super regional mall in Ann Arbor, MI, approximately 2.5
miles from the University of Michigan. The loan, which is sponsored
in a 50/50 joint venture (JV) between Simon Property Group and
General Motors Pension Trust, was designated a FLOC due to
performance concerns, including continued occupancy declines and
increasing refinance risks. Fitch's base case loss expectation of
approximately 42% is based on a 15% cap rate and 5% total haircut
to YE 2021 NOI.

Net operating income (NOI) has continued to decline, with YE 2021
NOI 19% below YE 2020, 32% below YE 2019 and 41% below the issuer's
underwritten NOI. Servicer-reported NOI debt service coverage ratio
(DSCR) for this interest-only loan was 2.06x at YE 2021, down from
2.54x at YE 2020, 3.03x at YE 2019 and 3.51x at issuance.

The NOI declines are primarily due to tenant departures, with
collateral occupancy at 67% per the December 2021 rent roll, down
from 76% at YE 2020, 87% at YE 2019 and 95% at issuance. The
remaining non-collateral anchors are Macy's, JCPenney, and Von Maur
after Sears closed in the fourth quarter of 2018. In-line sales
have also declined, reporting at $482 psf ($387 psf excluding
Apple) for the TTM ended March 2022 compared with$543 psf ($358)
for TTM ended July 2020.

The second largest contributor to loss expectations, Simon Premium
Outlets (2.7%), is secured by a 782,765 sf portfolio of three
outlet centers located in tertiary markets including Lee, MA,
Gaffney, SC and Calhoun, GA. The loan, which is sponsored by Simon
Property Group, was designated a FLOC due to concerns about the
sponsor's commitment to the portfolio, tertiary market locations of
the outlet centers, continued occupancy and sales declines and
significant near-term lease rollover. Fitch's base case loss
expectation of approximately 36% is based on a 25% cap rate off the
YE 2021 NOI.

Portfolio occupancy declined to 65% at YE 2021 from 69% at YE 2020,
82% at YE 2019 and 94% at issuance. As a result, the YE 2021 NOI
fell 21% below YE 2020 and was 30% below YE 2019. Servicer-reported
NOI DSCR for this amortizing loan was 1.99x at YE 2021, down from
2.52x at YE 2020, 2.83x at YE 2019 and 2.78x at issuance. Per the
December 2021 rent roll, near-term rollover includes approximately
35% portfolio NRA by 2023.

Alternative Loss Consideration: Fitch performed an additional pay
off scenario for loans that pass Fitch's term and maturity test,
including defeased loans. This scenario resulted in the affirmation
of classes A-S, B and X-B.

Increasing Credit Enhancement: As of the May 2022 distribution
date, the pool's aggregate balance has been paid down by 7.2% to
$821.3 million from $885.2 million at issuance. Three loans with a
$21.6 million balance paid in full since Fitch's prior rating
action. Seven loans (9.6%) are fully defeased. Ten loans (38.9%)
are full-term, interest-only, and 19 loans (32.6%) have a
partial-term, interest-only component. All have begun to amortize.
Interest Shortfalls of $574,867 are currently impacting the
non-rated class G.

Pool Concentration: The top 10 loans comprise 58.9% of the pool.
Loan maturities are concentrated in 2026 (98.0%). Based on property
type, the largest concentrations are retail at 39.9%, office at
33.4% and hotel at 13.7%.

Credit Opinion Loans: Four loans (23.4%) received investment-grade
credit opinions at issuance: Vertex Pharmaceuticals HQ (9.4%;
'BBB-sf*'), Easton Town Center (9.1%; 'A+sf*'), The Shops at
Crystals (2.4%; 'BBB+sf*') and International Square (2.4%;
'AA-sf*'). Fitch will continue to monitor the performance of Easton
Town Center and The Shops at Crystals due to concerns surrounding
regional malls and larger retail centers.

RATING SENSITIVITIES

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

Downgrades of the senior 'AAAsf ' rated classes are not likely due
to sufficient credit enhancement and expected receipt of continued
amortization but could occur if interest shortfalls impact the
class. Downgrades of classes A-S, B, X-B and C could occur if
interest shortfalls impact the class, additional loans become FLOCs
or performance of the FLOCs declines further. Classes D, X-D, E and
X-E would be downgraded if loss expectations increase, additional
loans transfer to special servicing or performance of the regional
mall/outlet center FLOCs deteriorates further.

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

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

While upgrades are unlikely due to performance and refinance
concerns with the regional mall/outlet center FLOCs, classes B,
X-B, C, D, X-D, E and X-E could be upgraded if performance of the
regional mall/outlet center FLOCs improves, and/or if there is
sufficient CE, which would likely occur if the non-rated classes
are not eroded and the senior classes pay-off. Classes would not be
upgraded above 'Asf' if there is a likelihood for 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.


NEUBERGER BERMAN 49: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to three
classes of notes to be issued and one class of loans incurred by
Neuberger Berman Loan Advisers CLO 49, Ltd. (the "Issuer" or
"Neuberger Berman 49").

Moody's rating action is as follows:

US$300,000,000 Class A-L Loans maturing 2034, Assigned (P)Aaa (sf)

US$109,600,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)

US$76,800,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)

US$25,600,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)

The notes and loans listed are referred to herein, collectively, as
the "Rated Debt." The Class A-L Loans may not be exchanged or
converted into notes at any time.

RATINGS RATIONALE

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

Neuberger Berman 49 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans, cash and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. Moody's expect the portfolio to be approximately 90% ramped
as of the closing date.

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

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

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

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

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

Par amount: $640,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2869

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46.50%

Weighted Average Life (WAL): 7.12 years

Methodology Underlying the Rating Action:

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

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

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


OCP CLO 2022-24: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to OCP CLO 2022-24 Ltd./OCP
CLO 2022-24 LLC's floating-rate notes.

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

The ratings reflect S&P's view of:

-- The collateral pool's diversification;

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

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

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

  Ratings Assigned

  OCP CLO 2022-24 Ltd./OCP CLO 2022-24 LLC

  Class A-1, $240.00 million: AAA (sf)
  Class A-2, $5.00 million: Not rated
  Class B, $59.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A+ (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $35.10 million: Not rated


REALT 2014-1: Fitch Affirms 'B' Rating on Class G Debt
------------------------------------------------------
Fitch Ratings has affirmed six classes and upgraded one class of
Real Estate Asset Liquidity Trust Series (REALT) 2014-1. Following
the upgrade, class C has been assigned a Positive Rating Outlook.
Fitch has also revised the Rating Outlooks on classes D and E to
Positive from Stable. All currencies are denominated in Canadian
dollars (CAD).

   DEBT          RATING                      PRIOR
   ----          ------                      -----
Real Estate Asset Liquidity Trust 2014-1

A 75585RLT0     LT    AAAsf     Affirmed     AAAsf
B 75585RLU7     LT    AAAsf     Affirmed     AAAsf
C 75585RLV5     LT    AAsf      Upgrade      Asf
D 75585RLW3     LT    BBBsf     Affirmed     BBBsf
E 75585RLX1     LT    BBB-sf    Affirmed     BBB-sf
F 75585RLQ6     LT    BBsf      Affirmed     BBsf
G 75585RLR4     LT    Bsf       Affirmed     Bsf

KEY RATING DRIVERS

Improved Credit Enhancement (CE), High Balance Concentration: The
upgrade and Outlook revisions to Positive from Stable reflects
significantly improved class CE due to loan amortization and loans
paying at maturity. Of the original 34 loans at closing, eight
remain. The pool exhibits high concentration by balance, as the
top-three and top-five loans represent 55% and 78% of the
outstanding principal balance, respectively.

Given the concentrated nature of the pool, Fitch performed a
look-through analysis that grouped the remaining loans based on the
likelihood of repayment and recovery prospects; the ratings and
Outlooks reflect this analysis.

As of the May 2022 reporting period, the pool had paid down by
76.5% since issuance, to $65.9 million from $280.6 million. Since
prior rating action in 2021, five loans comprising approximately
$38.4 million in outstanding loan balance, paid at their respective
maturities. One loan is fully defeased (11.4%). The remaining loans
in the pool mature between May and October 2024.

The McCowan Crossed Loans (32%) consist of two cross-collateralized
and cross-defaulted loans, secured by two anchored retail
properties (320 Yonge Street and 1015 Golf Links Road) located in
Ancaster and Barrie, Ontario. According to the subject's April 2021
rent roll, 5 Star Fitness' lease (NRA 6.5%) is scheduled to expire
in March 2023. Additionally, TD Bank (NRA 3.8%) vacated at lease
expiration in June 2020. The loans are full recourse to the
borrower and 50% recourse to the sponsor.

Newmarket Plaza (FLOC, 12.1%) is an anchored retail property
located in Newmarket, ON. Subject YE 2019 NOI DSCR has fallen to
0.25x from 1.81x at YE 2018 and underwritten NOI DSCR of 1.62x. YE
2019 EGI has fallen 50% compared with YE 2018. Per the subject's
February 2019 rent roll, Canadian Parts Source (NRA 12.2%) and
Habitat for Humanity (NRA 9.7%) leases were scheduled to expire in
March 2022 and September 2021, respectively.

According to the servicer, Canadian Parts Source and Habitat for
Humanity have not given indication they intend on vacating, but
renewals have not been confirmed. Two tenants comprising 10.1% of
subject NRA have leases that are scheduled to expire in 2023. Dance
Studio (NRA 8.1%) vacated ahead of its scheduled March 2023 lease
expiration.

ADDITIONAL LOSS CONSIDERATIONS

Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, additional guarantors and recourse to the borrowers. Of
the remaining non-defeased loans, all feature full or partial
recourse to the borrowers and/or sponsors.

RATING SENSITIVITIES

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

Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced
loans/assets. Downgrades to classes A and B are not likely due to
the position in the capital structure, but may occur should
interest shortfalls occur. Downgrades to classes C, D and E are
possible should performance of the FLOC continue to decline and/or
should loans transfer to special servicing. Classes F and G could
be downgraded should loss expectations from the FLOC grow more
certain or if loans fail to repay at their respective maturities.

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

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

Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, coupled with additional
paydown and/or defeasance. The Positive Outlooks on classes C, D
and E indicate that upgrades are possible with continued paydown,
performance improvement of the FLOC (Newmarket Plaza) and the
continued stabilization of the McCowan Crossed loans. Classes would
not be upgraded above 'Asf' if there were likelihood of interest
shortfalls. An upgrade to the 'Bsf' and 'BBsf' rated classes is not
likely in the near term and would be limited based on sensitivity
to pool concentration.

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.


SANTANDER BANK 2022-A: Fitch Assigns 'B' Rating on Class D Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to the
notes issued by Santander Bank, N.A., Santander Bank Auto
Credit-Linked Notes series 2022-A (SBCLN 2022-A).

   DEBT    RATING                 PRIOR
   ----    ------                 -----
Santander Bank Auto Credit- Linked Notes, Series 2022-A

A-1-R    LT NRsf    New Rating    NR(EXP)sf
A-2-R    LT NRsf    New Rating    NR(EXP)sf
B        LT BBBsf   New Rating    BBB(EXP)sf
C        LT BBsf    New Rating    BB(EXP)sf
D        LT Bsf     New Rating    B(EXP)sf
E        LT NRsf    New Rating    NR(EXP)sf
F        LT NRsf    New Rating    NR(EXP)sf

KEY RATING DRIVERS

Collateral Performance - Strong Credit Quality: 2022-A has a
weighted average (WA) FICO score of 772, with 92.0% of scores above
675 and the remaining 8.0% in the 630-675 range. The pool has a
larger concentration of extended term loans, with 84-month loans
totaling 20%, up slightly from 15% in 2021-1. Vehicle type and make
concentrations have remained consistent compared with SBCLN 2021-1;
the concentration among the top three vehicle models is slightly
higher at 97.7% versus 97.3% in 2021-1. The pool's WA loan-to-value
ratio (LTV) is 95.1%, and WA seasoning is 15.3 months.

Payment Structure — Only Note Subordination for CE: Initial hard
CE totals 4.50%, 3.50% and 2.80% for classes B, C and D,
respectively, consistent with the prior transaction, entirely
consisting of subordinated note balances, including the additional
class E and R notes. There is no additional enhancement provided,
including no excess spread. Initial CE is sufficient to withstand
Fitch's base case CNL proxy of 1.80% at the applicable rating loss
multiples.

Seller/Servicer Operational Review — Stable
Origination/Underwriting/Servicing: Santander Consumer USA Inc.
(SCUSA) demonstrates adequate abilities as originator, underwriter
and servicer, as evidenced by historical portfolio delinquency,
loss experience and prior securitization performance. Fitch deems
SCUSA capable to service this series.

Pro-Rata Pay Structure (Negative): Auto loan cash flows are
allocated among the class B and C notes based on a pro-rata pay
structure, with the class A certificates (retained by SBNA)
receiving a pro-rata allocation payment, and the subordinate class
D, E and R notes are to remain unpaid until all other classes are
paid in full, in sequential order.

In addition, lower-rated subordinated classes will be locked out of
principal entirely if the transaction CNL exceeds a set CNL
schedule. The lockout feature helps maintain subordination for a
longer period should CNL occur earlier in the life of the deal.
This feature redirects subordinate principal to classes of higher
seniority sequentially, except class A certificates. Further, if
the pool CNL exceeds 4.00%, the transaction switches from pro rata
and pays fully sequentially, including for class A certificates.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, class E and R notes
are locked out of payments until other classes of notes are paid in
full, leading to a floor amount of subordination of 2.50% below the
class D notes at issuance.

Excessive Counterparty Exposure: The excessive exposure in the
transaction arises due to SB's role providing a material degree of
credit support to the transaction. Noteholders will not have
recourse to the reference portfolio or to the cash generated by the
assets. Instead, the transaction relies on SBNA to make interest
payments based on the note rate and principal payments based on the
performance of the reference pool. The monthly payment due will be
deposited by SBNA into a segregated trust account held at Citibank,
N.A. (A+/F1/Stable; the securities administrator) for the benefit
of the notes. If SBNA fails to make a payment to noteholders, it
will be deemed an event of default.

SBNA is also the servicer and will retain the class A certificates.
Given this dependence on the bank, ratings on the notes are
directly linked to, and capped by, the IDR of the counterparty,
SBNA (BBB+/F2/Stable).

RATING SENSITIVITIES

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

Changes in loss timing have the potential to shift the paydown of
the outstanding notes, due to the timing of when performance
triggers are tripped. Additionally, unanticipated increases in the
frequency of defaults could produce CNL levels higher than the base
case and would likely result in declines of CE and remaining net
loss coverage levels available to the notes. Weakening asset
performance is strongly correlated to increasing levels of
delinquencies and defaults that could negatively affect CE levels.

Additionally, unanticipated declines in recoveries could also
result in lower net loss coverage, which may make certain note
ratings susceptible to potential negative rating actions, depending
on the extent of the decline in coverage.

For this transaction, Fitch conducted sensitivity analyses by
stressing the transaction's assumed loss timing, the transaction's
initial base case CNL and recovery rate assumptions, examining the
rating implications on all rated classes of issued notes. The loss
timing sensitivity modifies the base case loss timing curve to
delay the sequential payment triggers to the middle of the
transaction's life while maintaining overall loss levels.

The CNL sensitivity stresses the CNL proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf', based on the break-even loss coverage
provided by the CE structure.

Additionally, Fitch conducts a 1.5x and a 2.0x increase to the CNL
proxy, representing both moderate and severe stresses,
respectively. Fitch also evaluates the impact of stressed recovery
rates on an auto loan ABS structure and rating impact with a 50%
haircut. These analyses are intended to provide an indication of
the rating sensitivity of notes to unexpected deterioration of a
trust's performance. A more prolonged disruption from the pandemic
is accounted for in the severe downside stress of 2.0x and could
result in downgrades of up to two rating categories for the
subordinate notes.

Fitch has revised global economic outlook forecasts as a result of
the Ukraine War and related economic sanctions. Downside risks have
increased and Fitch has published an assessment of the potential
rating and asset performance impact of a plausible, but
worse-than-expected, adverse stagflation scenario on Fitch's major
SF and CVB sub-sectors (What a Stagflation Scenario Would Mean for
Global Structured Finance).

Fitch expects the North American Prime Auto ABS sector in the
assumed adverse scenario to experience "Virtually No Impact" on
asset and ratings performance, indicating very few (less than 5%)
rating Outlook changes. Fitch expects the asset performance impact
of the adverse case scenario to be more modest than the scenarios
shown above that increase the default expectations by 2.0x. For
sensitivity purposes, Fitch assumed a 2.0x increase in delinquency
stress. The results below indicate no adverse rating impact to the
notes. However, Fitch acknowledges that lower prepayments and
longer recovery lag times due to delayed ability to repossess and
recover on vehicles may result from the pandemic. However, changes
in these assumptions, all else equal, would not have an adverse
impact on modeled loss coverage. Fitch has maintained its stressed
assumptions.

Loss Timing Sensitivity

As mentioned previously, prior to the triggering of a sequential
payment event through the CNL schedule, the class B and C notes are
paid pro rata until paid in full. This pro-rata paydown presents a
risk to the notes, which may share in any losses incurred and not
receive adequate principal paydown over time. In Fitch's
front-loaded primary scenario, this trigger activates almost
immediately, leading to higher loss coverage than the mid- and
back-loaded scenarios presented previously.

While Fitch believes a more backloaded scenario is less likely, to
evaluate the potential structural challenge, an additional timing
scenario was considered in which 20% of the CNL is expected to
occur within the first two years of the transaction's life was
delayed to the second two years, in a 15%/15%/35%/35% loss curve.

The delayed loss curve leads to the sequential order event
occurring later in the life of the transaction under the class B, C
and D stress scenarios. However, due to the delay in defaults, the
class B, C and D notes are able to pay down sooner than in the
prior back-loaded curve, which delays the trigger events but sees a
more significant portion of losses occurring earlier in the deal.
Because of this, loss coverage improves in an extremely back-loaded
scenario, due to the other subordinate notes (including the class
D) being locked out until the B and C notes are paid in full under
any scenario.

In the below scenario, class B and D notes would see no change in
ratings, whereas the C notes, remaining pro rata with the B notes
for the most part, achieve a rating multiple level with the class B
notes.

Cumulative Net Loss Rating Sensitivity

In addition to the delayed timing mentioned above, Fitch stressed
each class of notes prior to any amortization to its first dollar
of default to examine the structure's ability to withstand the
aforementioned stressed CNL scenarios.

Defined Rating Categories

The first sensitivity analysis consists of utilizing the break-even
CNL loss coverage available to the notes and assessing the level of
CNL it would take to reduce each rating by one full category, to
non-investment grade and to 'CCCsf'. The implied CNL proxy
necessary to reduce the ratings as stated above will vary by class
based on the break-even loss coverage provided by the CE
structure.

Under this analysis, all analytical assumptions are unchanged, with
total loss coverage available to class B notes at 4.33%. Therefore,
as shown in the following table, the implied CNL proxy would have
to increase to 2.89% for class B notes to be downgraded by one
rating category or a 1.5x multiple (4.33%/1.50 = 2.89%). Applying
the same approach but increasing net losses to levels commensurate
with rating downgrade to 'CCCsf' suggests net losses would have to
increase to 7.22% to reach a 0.60x.

The second sensitivity also focuses on stressing the impact of CNLs
outside of base case expectations by a 1.5x and a 2.0x multiple
relative to available loss coverage. This analysis provides a good
indication of the rating sensitivity of the notes to unexpected
deterioration of the trust's performance. In this example, under
the 1.5x scenario, the base case proxy increases to 2.70% and an
implied loss multiple of 1.60x, which would suggest a downgrade to
the 'BBsf' range. Under the more severe 2.0x stress, the base case
proxy increases to 3.60%, which results in an implied multiple of
1.20x or a downgrade to the 'B+sf' range.

Due to de-levering and structural features, a typical auto loan ABS
transaction tends to build CE and loss coverage levels over time,
absent any increase to projected defaults/losses beyond
expectations. However, the current transaction, which is based on a
reference pool and is not a standard auto loan ABS transaction,
sees only limited de-levering and increases in enhancement over the
life of the transaction, as classes B and C pay down pro rata.

The greatest risk of losses to an auto loan ABS transaction is over
the first one to two years of the transaction, where the benefit of
de-levering may be muted. This analysis does not give explicit
credit to the de-levering and building CE typically afforded in
auto loan ABS transactions.

Recovery Rate Sensitivity

Recoveries can have a material impact on auto loan pool
performance, particularly in stressed economic environments where
default frequency is higher. This sensitivity analysis evaluates
the impact of stressed recovery rates on the considered structure
and rating impact.

Historically, recovery rates on auto loan collateral have ranged
from 40% to 70%. Utilizing the base case of 1.80% detailed in the
CNL sensitivities above, recovery rate credit under Fitch's primary
scenario is 50%, resulting in a cumulative gross default (CGD) base
case proxy of 3.60%. Applying a 50% haircut to the 50% recovery
rate results in a stressed recovery rate of 25% and a base case CNL
proxy of 2.70% (3.60% x 75% = 2.70%). Under this stressed scenario,
the implied multiple declines to 1.60x (4.33%/2.70% = 1.60x),
resulting in an implied rating of 'BBsf'.

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

Conversely, stable to improved asset performance driven by stable
delinquencies and defaults would lead to marginally increasing CE
levels and consideration for potential upgrades. If CNL is 20% less
than the projected proxy, the expected ratings for the subordinate
notes could be raised one notch for class B (which are capped at
the originator's ratings) and upgraded by one category for classes
C and D. However, this upgrade potential is very remote, as low
losses would mean the transaction remains pro rata for a longer
period, leading to less enhancement build over time and no
enhancement build for the class D notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

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.


SFO COMMERCIAL 2021-555: DBRS Confirms BB Rating on Class F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2021-555 issued by SFO
Commercial Mortgage Trust 2021-555 as follows:

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

All trends are Stable. The rating confirmations reflect a deal that
is early in its lifecycle with limited reporting and no changes to
the underlying performance of the transaction since issuance.

The two-year floating-rate loan is interest only for the full term
with an initial scheduled maturity of May 2023, and five one-year
extension options available for a fully extended maturity date of
May 2028. The transaction is collateralized by 555 California
Street Campus, a 1.8 million-square-foot Class A office complex in
the North Financial District of San Francisco, California. The
campus comprises three LEED Gold-certified and Energy Star-rated
office buildings—555 California Street, 345 Montogomery Street,
and 315 Montgomery Street. The loan is sponsored by a 70/30 joint
venture between Vornado Realty L.P. and Donald J. Trump. The $1.2
billion loan refinanced existing debt, funded $39.2 million across
various reserves, and returned $617.8 million of equity to the
sponsors. The properties have collectively received $164.8 million
in capital improvements since 2016.

The property benefits from a diversified tenant roster, consisting
of 41 unique tenants with 19 investment-grade tenants that account
for approximately 30.0% of the total net rentable area (NRA). The
rent roll is considered granular with only one tenant, Bank of
America (BofA; 18.1% of the NRA, lease expiration September 2025),
accounting for more than 10.0% of the NRA. It was noted at issuance
that the tenant had executed lease extensions, including a 10-year
extension at 555 California Street commencing in October 2025 on a
10-year term. BofA invested approximately $8.3 million between 2019
and 2020 on build-outs within its space. As part of the lease
extension, the borrower will be providing a tenant allowance and
rent abatements, all of which were reserved in full at issuance.
DBRS Morningstar has requested a status update on the renovations
and updated balances on the reserves. According to the March 2022
loan-level reserve report, $32.6 million was reported in reserves.

The deal closed in May 2021, and there has been little updated
financial reporting since then. According to the servicer's
reporting, the YE2021 occupancy rate was 90.2% with a debt service
coverage ratio (DSCR) of 2.60 times (x), compared with the DBRS
Morningstar DSCR of 3.37x. The DBRS Morningstar net cash flow
analysis includes straight-line rent credit given to BofA over the
loan term given its consideration as a long-term credit tenant,
which is not reflected in the current servicer reporting. At
issuance, the 345 Montgomery Street building, which represents only
4.3% of the NRA, had recently completed a $60 million renovation
project and to date remains vacant. DBRS Morningstar has requested
a leasing update from the servicer as well as an updated rent roll.
Based on the rent roll provided at issuance, leases representing
approximately 10% of the NRA are scheduled to expire in 2023. DBRS
Morningstar maintains a positive view on the near- to mid-term
sustainability of the campus' net cash flow based on its location,
tenancy, significant reserves, and historical performance prior to
issuance.

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


SLM PRIVATE 2003-A: S&P Places 'B-' Cl A Certs Rating on Watch Pos.
-------------------------------------------------------------------
S&P Global Ratings placed its ratings on the class A and B notes
from the SLM Private Credit Student Loan Trust series 2003-A,
2003-B, and 2003-C transactions on CreditWatch with positive
implications.

These transactions are each backed by a pool of private student
loans. These loans are not guaranteed or reinsured under the
Federal Family Education Loan Program or any other federal student
loan program. The loans were originated and underwritten under
various loan programs administered or sponsored by Navient
Solutions LLC or an affiliate of Navient Solutions LLC.

The CreditWatch placements reflect S&P's view of the transactions'
collateral performance and the credit enhancement available to the
notes, which has increased and may be sufficient to support the
notes at a higher rating.

S&P expects to resolve the CreditWatch placements within the next
90 days.

  Ratings Placed On CreditWatch With Positive Implications

  SLM Private Credit Student Loan Trust 2003-A

  Class A-3, to 'B- (sf)/Watch Pos' from 'B- (sf)'
  Class A-4, to 'B- (sf)/Watch Pos' from 'B- (sf)'
  Class B, to 'B- (sf)/Watch Pos' from 'B- (sf)'

  SLM Private Credit Student Loan Trust 2003-B

  Class A-3, to 'B- (sf)/Watch Pos' from 'B- (sf)'
  Class A-4, to 'B- (sf)/Watch Pos' from 'B- (sf)'
  Class B, to 'CCC (sf)/Watch Pos' from 'CCC (sf)'

  SLM Private Credit Student Loan Trust 2003-C

  Class A-3, to 'B- (sf)/Watch Pos' from 'B- (sf)'
  Class A-4, to 'B- (sf)/Watch Pos' from 'B- (sf)'
  Class A-5, to 'B- (sf)/Watch Pos' from 'B- (sf)'
  Class B, to 'CCC (sf)/Watch Pos' from 'CCC (sf)'



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

Moody's rating action is as follows:

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

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

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

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

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

RATINGS RATIONALE

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

Symphony CLO XXXIII is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments and up to 10% of
the portfolio may consist of second-lien loans, unsecured loans and
non-loan assets. The portfolio is approximately 95% ramped as of
the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 74

Weighted Average Rating Factor (WARF): 2870

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

Weighted Average Coupon (WAC): 7%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 7.9 years

Methodology Underlying the Rating Action:

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

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

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


UBS COMMERCIAL 2017-C2: Fitch Affirms CCC Rating on H-RR Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of UBS Commercial Mortgage
Trust 2017-C2 (UBS 2017-C2) commercial mortgage pass-through
certificates. In addition, the Rating Outlooks on seven classes
were revised to Stable from Negative.

   DEBT            RATING                 PRIOR
   ----            ------                 -----
UBS 2017-C2

A-3 90276CAD3     LT AAAsf    Affirmed    AAAsf
A-4 90276CAE1     LT AAAsf    Affirmed    AAAsf
A-S 90276CAH4     LT AAAsf    Affirmed    AAAsf
A-SB 90276CAC5    LT AAAsf    Affirmed    AAAsf
B 90276CAJ0       LT AA-sf    Affirmed    AA-sf
C 90276CAK7       LT A-sf     Affirmed    A-sf
D-RR 90276CAL5    LT BBB+sf   Affirmed    BBB+sf
E-RR 90276CAN1    LT BBBsf    Affirmed    BBBsf
F-RR 90276CAQ4    LT BBB-sf   Affirmed    BBB-sf
G-RR 90276CAS0    LT Bsf      Affirmed    Bsf
H-RR 90276CAU5    LT CCCsf    Affirmed    CCCsf
X-A 90276CAF8     LT AAAsf    Affirmed    AAAsf
X-B 90276CAG6     LT A-sf     Affirmed    A-sf

KEY RATING DRIVERS

Stable Overall Performance; Improving Performance on Several Loans:
The affirmations and Stable Outlook revisions reflects performance
stabilization of properties that had been impacted by the pandemic.
The Outlook on class G-RR remains Negative as there are 20 loans
Fitch Loans of Concern (FLOCs; 36.0%), which includes the four
loans in special servicing (8.4%). However, recovery prospects are
high on the larger specially serviced assets, including 245 Park
Avenue (4.1%) and IC Leased Fee Hotel Portfolio (2.7%). Fitch's
current ratings incorporates a base case loss of 5.7%.

Hospitality Loans of Concern and Largest Contributors to Modeled
Loss: Starwood Capital Hotel Portfolio (4.8% of the pool), is
secured by 65 hotels offering a range of amenities, spanning the
limited service, full service and extended stay varieties. The
hotels range in size from 56 to 147 rooms, with an average count of
98 rooms. The portfolio was impacted by the pandemic. Performance
has rebounded since YE 2020 but remains below pre-pandemic levels.
Servicer reported NOI DSCR was 1.62x at YE 2021 compared to 0.92x
at YE 2020 and 2.73x at YE 2019. Fitch's base case analysis applied
11.50% cap rate to the portfolio's YE 2021 NOI which resulted in a
17.9% loss severity.

AHIP Northeast Portfolio III loan (4.2% of the pool), which is
secured by four full-service hotels located in Maryland, New York,
and New Jersey. The hotels within the portfolio include the
127-room Hampton Inn Baltimore - White Marsh, the 116-room
Fairfield Inn and Suites Baltimore - White Marsh, the 128-room
SpringHill Suites Bellport, and the 120-room Homewood Suites - Egg
Harbor. The portfolio has been negatively impacted by the pandemic
and was granted COVID Relief from the servicer in June 2020. The YE
2021 servicer-reported NOI DSCR was 2.08x compared to YE 2019 at
2.21x. Portfolio cash flow has increased from the 2020 low;
however, aggregate portfolio cash flow and occupancy rate remains
below underwritten levels. Fitch's base case analysis applied
11.69% cap rate to the portfolio's YE 2021 NOI, which resulted in
an 11.2% loss severity.

A loan collateralized by a limited service hotel (1.0% of the pool)
located in Maryland Heights, MO. The hotel experienced a decline in
cash flow prior to the pandemic and has continued to underperform
since issuance. The YE 2021 servicer reported NOI DSCR was 0.47x.
Fitch's base case analysis applied 10.50% cap rate to the
property's YE 2021 NOI which resulted in a 70% loss severity. The
loan was modified in 2020 and has remained current.

Increase in Credit Enhancement: As of the May 2022 distribution
date, the pool's aggregate principal balance has paid down by 13.7%
to $775.4 million from $898.7 million at issuance; additionally,
four loans are defeased (3.3%). Approximately 36.4% of the loans in
the pool are full-term interest-only, while two loans (5.4% of the
pool) remain in their partial interest-only periods. One loan
(6.5%) is scheduled to mature in 2022, while the remaining loans in
the pool mature in 2026 (1%) and 2027 (92.5%).

ADDITIONAL CONSIDERATIONS

Significant Hotel Exposure: Loans secured by interests in
hospitality properties represent 23.8% (Including the specially
serviced IC Leased Fee Portfolio) by balance. Loans secured by
hotel properties have an above-average probability of default in
Fitch's multi-borrower model.

Investment-Grade Credit Opinion Loans: Five loans had investment
grade credit opinions at issuance (GM Building, Park West Village,
Del Amo Fashion Center, 85 Broad Street, and 245 Park Avenue)
representing 27.2% of the current pool. Fitch no longer considers
the 85 Broad Street loan (4.4% of the pool) as having the
characteristics of an investment grade loan given the significant
declines in occupancy and NOI since issuance.

RATING SENSITIVITIES

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

Sensitivity Factors that could lead to downgrades include an
increase in pool level losses from underperforming or specially
serviced loans. The Negative Outlook on class G-RR reflects the
potential for further downgrade due to concerns surrounding the
FLOCs as well as the long term impact of the pandemic on the
portfolio. Outlooks for the senior classes remain Stable due to the
significant credit enhancement, defeasance, and stable performance
of the majority of the remaining pool and continued expected
amortization.

Downgrades to the classes rated 'AAAsf' are not likely due to the
position in the capital structure but may occur at 'AAAsf' or
'AAsf' should interest shortfalls occur. Downgrades to the classes
with Negative Outlooks are possible should performance of the FLOCs
continue to decline and should additional loans transfer to special
servicing and/or should further losses be realized. The distressed
class H-RR could be further downgraded should additional loans
transfer to special servicing or should losses be realized or
become more certain.

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

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

Sensitivity Factors that could lead to upgrades would include
stable to improved asset performance coupled with pay down and/or
defeasance. Rating upgrades may be limited due to increasing pool
concentration and adverse selection.

Upgrades to the 'Asf' and 'AAsf' categories would likely occur with
significant improvement in credit enhancement and/or defeasance;
however, adverse selection and increased concentrations, or the
underperformance of particular loan(s) could cause this trend to
reverse. Upgrades to 'BBBsf' category rated classes are unlikely
and 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. An
upgrade to the 'Bsf' and 'CCCsf' categories are only likely if the
performance of the remaining pool is stable and/or properties
vulnerable to the coronavirus return to pre-pandemic levels, and
there is sufficient credit enhancement to the class, which would
likely not happen until later years in the transactions as loans
approach maturity and are stable.

BEST/WORST CASE RATING SCENARIO

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

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

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.


UPSTART SECURITIZATION 2022-2: Moody's Gives Ba3 Rating to C Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Upstart Securitization Trust 2022-2 ("UPST
2022-2"), the second personal loan securitization issued from the
UPST shelf this year. The collateral backing UPST 2022-2 consists
of unsecured consumer installment loans originated by Cross River
Bank, a New Jersey state-chartered commercial bank and FinWise
Bank, a Utah state-chartered commercial bank, all utilizing the
Upstart Program, respectively. Upstart Network, Inc. ("Upstart")
will act as the servicer of the loans.

The complete rating actions are as follows:

Issuer: Upstart Securitization Trust 2022-2

$365,638,000, 4.37%, Class A Notes, Definitive Rating Assigned A1
(sf)

$72,738,000, 6.10%, Class B Notes, Definitive Rating Assigned A3
(sf)

$106,834,000, 8.43%, Class C Notes, Definitive Rating Assigned Ba3
(sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital structure
and fast amortization of the assets, the experience and expertise
of Upstart as servicer, and the back-up servicing arrangement with
Wilmington Trust, National Association and its designated sub-agent
Systems & Services Technologies, Inc.

Moody's median cumulative net loss expectation for the 2022-2 pool
is 17.57% and the stress loss is 59.00%. Moody's based its
cumulative net loss expectation on an analysis of the credit
quality of the underlying collateral; the historical performance of
similar collateral, including securitization performance and
managed portfolio performance; the ability of Upstart to perform
its servicing functions; the ability of Wilmington Trust, National
Association and its sub-agent to perform the backup servicing
functions; and current expectations of the macroeconomic
environment during the life of the transaction.

At closing, the Class A, Class B, and Class C notes are expected to
benefit from 44.35%, 33.15%, and 16.70% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a non-declining reserve
account and subordination. The notes may also benefit from excess
spread.

The social risk for this transaction is high. Marketplace lenders
have attracted elevated levels of regulatory attention at the state
and federal level. As such, regulatory and borrower challenges to
marketplace lenders and their third-party lending partners over
"true lender" status and interest rate exportation could result in
some of Upstart's loans being deemed void or unenforceable, in
whole or in part.

PRINCIPAL METHODOLOGY

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

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

Up

Moody's could upgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes. Moody's
expectation of pool losses could decline as a result of better than
expected improvements in the economy, changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments. In addition, greater certainty
concerning the legal and regulatory risks facing this transaction
could lead to lower loss volatility assumptions, and thus lead to
an upgrade of the notes.

Down

Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectation of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud. In addition,
the legal and regulatory risks stemming from the bank partner model
that Upstart utilizes could expose the pool to increased losses.


VELOCITY COMMERCIAL 2022-2: DBRS Finalizes B Rating on 3 Classes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed
Certificates, Series 2022-2 (the Certificates) issued by Velocity
Commercial Capital Loan Trust 2022-2 (VCC 2022-2 or the Issuer) as
follows:

-- $147.0 million Class A at AAA (sf)
-- $147.0 million Class A-S at AAA (sf)
-- $147.0 million Class A-IO at AAA (sf)
-- $18.7 million Class M-1 at AA (sf)
-- $18.7 million Class M1-A at AA (sf)
-- $18.7 million Class M1-IO at AA (sf)
-- $10.6 million Class M-2 at A (sf)
-- $10.6 million Class M2-A at A (sf)
-- $10.6 million Class M2-IO at A (sf)
-- $9.5 million Class M-3 at BBB (high) (sf)
-- $9.5 million Class M3-A at BBB (high) (sf)
-- $9.5 million Class M3-IO at BBB (high) (sf)
-- $36.9 million Class M-4 at BB (sf)
-- $36.9 million Class M4-A at BB (sf)
-- $36.9 million Class M4-IO at BB (sf)
-- $13.3 million Class M-5 at B (sf)
-- $13.3 million Class M5-A at B (sf)
-- $13.3 million Class M5-IO at B (sf)

Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.

The AAA (sf) ratings on the Certificates reflect 41.80% of credit
enhancement (CE) provided by subordinated certificates. The AA
(sf), A (sf), BBB (high) (sf), BB (sf), and B (sf) ratings reflect
34.40%, 30.20%, 26.45%, 11.85%, and 6.60% of CE, respectively.

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

VCC 2022-2 is a securitization of a portfolio of newly originated
and seasoned fixed- and adjustable-rate, first-lien residential
mortgages collateralized by investor properties with one to four
units (residential investor loans) and small-balance commercial
mortgages (SBC) collateralized by various types of commercial,
multifamily rental, and mixed-use properties. The securitization is
funded by the issuance of the Mortgage-Backed Certificates, Series
2022-2 (the Certificates). The Certificates are backed by 497
mortgage loans with a total principal balance of $ 252,589,893 as
of the Cut-Off Date (March 1, 2022).

Approximately 50.8% of the pool is comprised of residential
investor loans and about 49.2% of SBC loans. 97.0% of the loans in
this securitization were originated by Velocity Commercial Capital,
LLC (Velocity or VCC). The loans were underwritten to program
guidelines for business-purpose loans where the lender generally
expects the property (or its value) to be the primary source of
repayment (No Ratio). The lender reviews mortgagor's credit
profile, though it does not rely on the borrower's income to make
its credit decision. However, the lender considers the
property-level cash flows or minimum debt-service coverage (DSCR)
ratio in underwriting SBC loans with balances over $750,000 for
purchase transactions and over $500,000 for refinance transactions.
Since the loans were made to investors for business purposes, they
are exempt from the Consumer Financial Protection Bureau's (CFPB's)
Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure
rule.

The pool is about one month seasoned on a WA basis, although
seasoning may span from zero up to 96 months.

PHH Mortgage Corporation (PMC) will service all loans within the
pool for a servicing fee of 0.30% per annum. In addition, Velocity
will act as a Special Servicer servicing the loans that defaulted
or became 60 or more days delinquent under Mortgage Bankers
Association (MBA) method and other loans, as defined in the
transaction documents (Specially Serviced Loans). The Special
Servicer will be entitled to receive compensation based on an
annual fee of 0.75% and the balance of Specially Serviced Loans.
Also, the Special Servicer is entitled to a liquidation fee equal
to 2.00% of the net proceeds from the liquidation of a Specially
Serviced Loan, as described in the transaction documents.

The Servicer will fund advances of delinquent principal and
interest (P&I) until the advances deemed unrecoverable. Also, the
Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing properties.

U.S. Bank National Association (U.S. Bank; rated AA (high) with a
Stable trend by DBRS Morningstar) will act as the Trustee, Paying
Agent, and Custodian.

The Seller, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class P, Class XS, and a portion of the
Class M-6 Certificates, collectively representing at least 5% of
the fair value of all Certificates, to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
Such retention aligns Sponsor and investor interest in the capital
structure.

On or after the later of (1) the three-year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Closing Date
balance, the Depositor may purchase all outstanding Certificates
(Optional Purchase) at a price equal to the sum of the remaining
aggregate balance of the Certificates plus accrued and unpaid
interest, and any fees, expenses, and indemnity payments due and
unpaid to the transaction parties, including any unreimbursed P&I
and servicing advances, and other amounts due as applicable. The
Optional Purchase will be conducted concurrently with a qualified
liquidation of the Issuer.

Additionally, if on any date on which the unpaid mortgage loan
balance and the value of REO properties has declined to less than
10% of the initial mortgage loan balance as of the Cut-off Date,
the Directing Holder, the Special Servicer, or the Servicer, in
that order of priority, may purchase all of the mortgages, REO
properties, and any other properties from the Issuer (Optional
Termination) at a price specified in the transaction documents. The
Optional Termination will be conducted as a qualified liquidation
of the Issuer. The Directing Holder (initially, the Seller) is the
representative selected by the holders of more than 50% of the
Class XS certificates (the Controlling Class).

The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A credit
enhancement (CE) falling below 10.0% of the loan balance as of the
Cut-off Date (Class A Minimum CE Event), the principal
distributions allow for amortization of all senior and subordinate
bonds based on CE targets set at different levels for performing
(same CE as at issuance) and nonperforming (higher CE than at
issuance) loans. Each Class's target principal balance is
determined based on the CE targets and the performing and
nonperforming (those that are 90 or more days MBA delinquent, in
foreclosure and REO, and subject to a servicing modification within
the prior 12 months) loan amounts. As such, the principal payments
are paid on a pro rata basis, up to each Class's target principal
balance, so long as no loans in the pool are nonperforming. If the
share of nonperforming loans grows the corresponding CE target
increases. Thus, the principal payment amount increases for the
senior and senior subordinate classes and falls for the more
subordinate bonds. The goal is to distribute the appropriate amount
of principal to the senior and subordinate bonds each month, to
always maintain the desired level of CE, based on the performing
and non-performing pool percentages. After the Class A Minimum CE
Event, the principal distributions are made sequentially.

Relative to the sequential pay structure, the modified pro rata
structure is more sensitive to the timing of the projected defaults
and losses as the losses may be applied at a time when the amount
of credit support is reduced as the bonds' principal balances
amortize over a life of the transaction. That said, the excess
spread can be used to cover realized losses after being allocated
to the unpaid net weighted average coupon shortfalls (Net WAC Rate
Carryover Amounts). Please see the Cash Flow Structure and Features
section of the report for more details.

COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY

Of the 199 loans, 198 loans, representing 98.1% of the small
balance commercial (SBC) portion of the pool, have a fixed interest
rate with a straight average of 7.15%. The single floating-rate
loan has an interest rate floor of 6.24% and an interest rate
margin of 5.99%. To determine the probability of default (POD) and
loss severity given default inputs in the Commercial
Mortgage-Backed Securities (CMBS) Insight Model, DBRS Morningstar
applied a stress to the index type that corresponded with the
remaining fully extended term of the loan and added the respective
contractual loan spread to determine a stressed interest rate over
the loan term. DBRS Morningstar looked to the greater of the
interest rate floor or the DBRS Morningstar stressed index rate
when calculating stressed debt service. The weighted-average (WA)
modeled coupon rate was 6.67%. Most of the loans have original loan
term lengths of 30 years and fully amortize over 30-year schedules.
However, 12 loans, which comprise 10.0% of the SBC pool, have
initial interest-only (IO) periods ranging from 60 months to 120
months and then fully amortize over shortened 20- to 25-year
schedules.

All SBC loans were originated between November 2021 and February
2022, resulting in minimal seasoning of 0.8 months on average. The
SBC pool has a WA original term length of 359.7 months, or nearly
30 years. Only one SBC loan has an original term of 25 years, with
the remaining 198 loans having 30-year terms. Based on the current
loan amount, which reflects approximately 12 basis points (bps) of
amortization, and the current appraised values, the SBC pool has a
WA loan-to-value (LTV) ratio of 66.9%. However, DBRS Morningstar
made LTV adjustments to 40 loans that had implied capitalization
rates more than 200 bps lower than the set of minimal
capitalization rates established by the DBRS Morningstar Market
Rank. The DBRS Morningstar minimum capitalization rates range from
5.0% for properties in Market Rank 8 to 8.0% for properties in
Market Rank 1. This resulted in a higher DBRS Morningstar LTV of
73.5%. Lastly, all loans fully amortize over their respective
remaining terms, resulting in 100% expected amortization; this
amount of amortization is greater than what is typical for CMBS
conduit pools. DBRS Morningstar's research indicates that, for CMBS
conduit transactions securitized between 2000 and 2019, average
amortization by year has ranged between 7.5% and 21.1%, with an
overall median rate of 18.8%.

As contemplated and explained in DBRS Morningstar's "Rating North
American CMBS Interest-Only Certificates" methodology, the most
significant risk to an IO cash flow stream is term default risk. As
noted in the methodology, for a pool of approximately 63,000 CMBS
loans that had fully cycled through to their maturity defaults,
DBRS Morningstar noted the average total default rate across all
property types was approximately 17%, the refinance default rate
was 6% (approximately one-third of the total rate), and the term
default rate was approximately 11%. DBRS Morningstar recognizes the
muted impact of refinance risk on IO certificates by notching up
the IO rating by one notch from the Reference Obligation rating.
When using the 10-year Idealized Default Table default probability
to derive a POD for a CMBS bond from its rating, DBRS Morningstar
estimates that, in general, a one-third reduction in the CMBS
Reference Obligation POD maps to a tranche rating that is
approximately one notch higher than the Reference Obligation or the
Applicable Reference Obligation, whichever is appropriate.
Therefore, similar logic regarding term default risk supported the
rationale for DBRS Morningstar to reduce the POD in the CMBS
Insight Model by one notch because refinance risk is largely absent
for this SBC pool of loans.

The DBRS Morningstar CMBS Insight Model does not contemplate the
ability to prepay loans, which is generally seen as credit positive
because a prepaid loan cannot default. The CMBS predictive model
was calibrated using loans that have prepayment lockout features.
The historical prepayment performance of those loans is close to a
zero conditional prepayment rate (CPR). If the CMBS predictive
model had an expectation of prepayments, DBRS Morningstar would
expect the default levels to be reduced. Any loan that prepays is
removed from the pool and can no longer default. This collateral
pool does not have any prepayment lockout features, and DBRS
Morningstar expects that this pool will have prepayments over the
remainder of the transaction. DBRS Morningstar applied the
following to calculate a default rate prepayment haircut: using
Intex Dealmaker, a lifetime constant default rate (CDR) was
calculated that approximated the default rate for each rating
category. While applying the same lifetime CDR, DBRS Morningstar
applied a 2.0% CPR. When holding the CDR constant and applying 2.0%
CPR, the cumulative default amount declined. The percentage change
in the cumulative default prior to and after applying the
prepayments, subject to a 10.0% maximum reduction, was then applied
to the cumulative default assumption to calculate a fully adjusted
cumulative default assumption.

The SBC pool has a WA expected loss of 3.99%, which is lower than
recently analyzed comparable Velocity small balance transactions.
Factors contributing to the low expected loss include pool
diversity, moderate leverage, and fully amortizing loans.

The SBC pool is quite diverse based on loan size, with an average
cut-off date loan balance of $624,629, a concentration profile
equivalent to that of a transaction with 121 equal-size loans, and
a top-10 loan concentration of 16.5%. Increased pool diversity
helps to insulate the higher-rated classes from event risk.

The loans are mostly secured by traditional property types (i.e.,
multifamily, retail, office, and industrial), with no exposure to
higher-volatility property types, such as hotels or other lodging
facilities.

All loans in the SBC pool fully amortize over their respective
remaining loan terms of between 297 months and 360 months, reducing
refinance risk.

As classified by DBRS Morningstar for modeling purposes, the SBC
pool contains a significant exposure to retail (24.2% of the SBC
pool) and a smaller exposure to office (13.2% of the SBC pool),
which are two of the higher-volatility asset types. Loans counted
as retail include those identified as automotive and potentially
commercial condominium. Combined, retail and office properties
represent more than a third of the SBC pool balance. Retail, which
has struggled because of the Coronavirus Disease (COVID-19)
pandemic, comprises the second-largest asset type in the
transaction. DBRS Morningstar applied a 20.0% reduction to the net
cash flow (NCF) for retail properties and a 30.0% reduction for
office assets in the SBC pool, which is above the average NCF
reduction applied for comparable property types in CMBS analyzed
deals. Multifamily is tied with retail as the second-largest
property type concentration in the SBC pool (24.2%). Based on DBRS
Morningstar's research, multifamily properties securitized in
conduit transactions have had lower default rates than most other
property types.

DBRS Morningstar did not perform site inspections on loans within
its sample for this transaction. Instead, DBRS Morningstar relied
upon analysis of third-party reports and online searches to
determine property quality assessments. Of the 65 loans DBRS
Morningstar sampled, 12 were Average quality (19.2%), 26 were
Average - (42.8%), and 27 were Below Average (38.0%). DBRS
Morningstar did not deem any of the sampled loans as having Poor
property quality. DBRS Morningstar assumed unsampled loans were
Average – quality, which has a slightly increased POD level. This
is more conservative than the assessments from sampled loans and is
consistent with other SBC transactions.

Limited property-level information was available for DBRS
Morningstar to review. Asset summary reports, property condition
reports, Phase I/II environmental site assessment (ESA) reports,
and historical cash flows were generally not available for review
in conjunction with this securitization. DBRS Morningstar received
and reviewed appraisals for the top 20 loans, which represent 28.8%
of the SBC pool balance. These appraisals were issued between July
2021 and February 2022 when the respective loans were originated.
DBRS Morningstar was able to perform a loan-level cash flow
analysis on the top 20 loans. The haircuts ranged from -4.8% to
-34.4%, with an average of -17.5%; however, DBRS Morningstar
generally applied more conservative haircuts on the unsampled
loans. No ESA reports were provided and they are not required by
the Issuer; however, all of the loans are placed onto an
environmental insurance policy that provides coverage to the Issuer
and the securitization trust in the event of a claim.

DBRS Morningstar received limited borrower information, net worth
or liquidity information, and credit history. DBRS Morningstar
generally initially assumed loans had Weak sponsorship scores,
which increases the stress on the default rate. The initial
assumption of Weak reflects the generally less sophisticated nature
of small balance borrowers and assessments from past small balance
transactions. Furthermore, DBRS Morningstar received a 12-month pay
history on each loan as of February 28, 2022. If any loan had more
than two late pays within this period or was currently 30 days past
due, DBRS Morningstar applied an additional stress to the default
rate. This occurred for only one loan, representing 1.9% of the SBC
pool balance. Finally, DBRS Morningstar received a borrower FICO
score as of February 28, 2022, for all loans, with an average FICO
score of 718. While the CMBS Methodology does not contemplate FICO
scores, the RMBS Methodology does and would characterize a FICO
score of 718 as near-prime, whereas prime is considered greater
than 750. Borrowers with a FICO score of 718 could generally be
described as potentially having had previous credit events
(foreclosure, bankruptcy, etc.) but, if they did, it is likely that
these credit events were cleared about two to five years ago.

RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY

The collateral pool consists of 298 mortgage loans with a total
balance of approximately $128.3 million collateralized by one- to
four-unit investment properties. The mortgage loans were
underwritten by Velocity to No Ratio program guidelines for
business-purpose loans.

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term payment reliefs that
may perform very differently from traditional delinquencies. At the
onset of the pandemic, the option to forbear mortgage payments was
so widely available that 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 (LTV), and good underwriting in the mortgage
market in general. Across nearly all RMBS asset classes,
delinquencies have been gradually trending down in recent months as
the forbearance period comes to an end for many borrowers.

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


VELOCITY COMMERCIAL 2022-2: DBRS Gives Prov. B Rating on 3 Classes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage-Backed
Certificates, Series 2022-2 (the Certificates) to be issued by
Velocity Commercial Capital Loan Trust 2022-2 (VCC 2022-2 or the
Issuer) as follows:

-- $147.0 million Class A at AAA (sf)
-- $147.0 million Class A-S at AAA (sf)
-- $147.0 million Class A-IO at AAA (sf)
-- $18.7 million Class M-1 at AA (sf)
-- $18.7 million Class M1-A at AA (sf)
-- $18.7 million Class M1-IO at AA (sf)
-- $10.6 million Class M-2 at A (sf)
-- $10.6 million Class M2-A at A (sf)
-- $10.6 million Class M2-IO at A (sf)
-- $9.5 million Class M-3 at BBB (high) (sf)
-- $9.5 million Class M3-A at BBB (high) (sf)
-- $9.5 million Class M3-IO at BBB (high) (sf)
-- $36.9 million Class M-4 at BB (sf)
-- $36.9 million Class M4-A at BB (sf)
-- $36.9 million Class M4-IO at BB (sf)
-- $13.3 million Class M-5 at B (sf)
-- $13.3 million Class M5-A at B (sf)
-- $13.3 million Class M5-IO at B (sf)

Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.

The AAA (sf) ratings on the Certificates reflect 41.80% of credit
enhancement (CE) provided by subordinated certificates. The AA
(sf), A (sf), BBB (high) (sf), BB (sf), and B (sf) ratings reflect
34.40%, 30.20%, 26.45%, 11.85%, and 6.60% of CE, respectively.

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

VCC 2022-2 is a securitization of a portfolio of newly originated
and seasoned fixed- and adjustable-rate, first-lien residential
mortgages collateralized by investor properties with one to four
units (residential investor loans) and small-balance commercial
mortgages (SBC) collateralized by various types of commercial,
multifamily rental, and mixed-use properties. The securitization is
funded by the issuance of the Mortgage-Backed Certificates, Series
2022-2 (the Certificates). The Certificates are backed by 497
mortgage loans with a total principal balance of $ 252,589,893 as
of the Cut-Off Date (March 1, 2022).

Approximately 50.8% of the pool is comprised of residential
investor loans and about 49.2% of SBC loans. 97.0% of the loans in
this securitization were originated by Velocity Commercial Capital,
LLC (Velocity or VCC). The loans were underwritten to program
guidelines for business-purpose loans where the lender generally
expects the property (or its value) to be the primary source of
repayment (No Ratio). The lender reviews mortgagor's credit
profile, though it does not rely on the borrower's income to make
its credit decision. However, the lender considers the
property-level cash flows or minimum debt-service coverage (DSCR)
ratio in underwriting SBC loans with balances over $750,000 for
purchase transactions and over $500,000 for refinance transactions.
Since the loans were made to investors for business purposes, they
are exempt from the Consumer Financial Protection Bureau's (CFPB's)
Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure
rule.

The pool is about one month seasoned on a WA basis, although
seasoning may span from zero up to 96 months.

PHH Mortgage Corporation (PMC) will service all loans within the
pool for a servicing fee of 0.30% per annum. In addition, Velocity
will act as a Special Servicer servicing the loans that defaulted
or became 60 or more days delinquent under Mortgage Bankers
Association (MBA) method and other loans, as defined in the
transaction documents (Specially Serviced Loans). The Special
Servicer will be entitled to receive compensation based on an
annual fee of 0.75% and the balance of Specially Serviced Loans.
Also, the Special Servicer is entitled to a liquidation fee equal
to 2.00% of the net proceeds from the liquidation of a Specially
Serviced Loan, as described in the transaction documents.

The Servicer will fund advances of delinquent principal and
interest (P&I) until the advances deemed unrecoverable. Also, the
Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing properties.

U.S. Bank National Association (U.S. Bank; rated AA (high) with a
Stable trend by DBRS Morningstar) will act as the Trustee, Paying
Agent, and Custodian.

The Seller, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class P, Class XS, and a portion of the
Class M-6 Certificates, collectively representing at least 5% of
the fair value of all Certificates, to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
Such retention aligns Sponsor and investor interest in the capital
structure.

On or after the later of (1) the three-year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Closing Date
balance, the Depositor may purchase all outstanding Certificates
(Optional Purchase) at a price equal to the sum of the remaining
aggregate balance of the Certificates plus accrued and unpaid
interest, and any fees, expenses, and indemnity payments due and
unpaid to the transaction parties, including any unreimbursed P&I
and servicing advances, and other amounts due as applicable. The
Optional Purchase will be conducted concurrently with a qualified
liquidation of the Issuer.

Additionally, if on any date on which the unpaid mortgage loan
balance and the value of REO properties has declined to less than
10% of the initial mortgage loan balance as of the Cut-off Date,
the Directing Holder, the Special Servicer, or the Servicer, in
that order of priority, may purchase all of the mortgages, REO
properties, and any other properties from the Issuer (Optional
Termination) at a price specified in the transaction documents. The
Optional Termination will be conducted as a qualified liquidation
of the Issuer. The Directing Holder (initially, the Seller) is the
representative selected by the holders of more than 50% of the
Class XS certificates (the Controlling Class).

The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A credit
enhancement (CE) falling below 10.0% of the loan balance as of the
Cut-off Date (Class A Minimum CE Event), the principal
distributions allow for amortization of all senior and subordinate
bonds based on CE targets set at different levels for performing
(same CE as at issuance) and nonperforming (higher CE than at
issuance) loans. Each Class's target principal balance is
determined based on the CE targets and the performing and
nonperforming (those that are 90 or more days MBA delinquent, in
foreclosure and REO, and subject to a servicing modification within
the prior 12 months) loan amounts. As such, the principal payments
are paid on a pro rata basis, up to each Class's target principal
balance, so long as no loans in the pool are nonperforming. If the
share of nonperforming loans grows the corresponding CE target
increases. Thus, the principal payment amount increases for the
senior and senior subordinate classes and falls for the more
subordinate bonds. The goal is to distribute the appropriate amount
of principal to the senior and subordinate bonds each month, to
always maintain the desired level of CE, based on the performing
and non-performing pool percentages. After the Class A Minimum CE
Event, the principal distributions are made sequentially.

Relative to the sequential pay structure, the modified pro rata
structure is more sensitive to the timing of the projected defaults
and losses as the losses may be applied at a time when the amount
of credit support is reduced as the bonds' principal balances
amortize over a life of the transaction. That said, the excess
spread can be used to cover realized losses after being allocated
to the unpaid net weighted average coupon shortfalls (Net WAC Rate
Carryover Amounts). Please see the Cash Flow Structure and Features
section of the report for more details.

COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY

Of the 199 loans, 198 loans, representing 98.1% of the small
balance commercial (SBC) portion of the pool, have a fixed interest
rate with a straight average of 7.15%. The single floating-rate
loan has an interest rate floor of 6.24% and an interest rate
margin of 5.99%. To determine the probability of default (POD) and
loss severity given default inputs in the Commercial
Mortgage-Backed Securities (CMBS) Insight Model, DBRS Morningstar
applied a stress to the index type that corresponded with the
remaining fully extended term of the loan and added the respective
contractual loan spread to determine a stressed interest rate over
the loan term. DBRS Morningstar looked to the greater of the
interest rate floor or the DBRS Morningstar stressed index rate
when calculating stressed debt service. The weighted-average (WA)
modeled coupon rate was 6.67%. Most of the loans have original loan
term lengths of 30 years and fully amortize over 30-year schedules.
However, 12 loans, which comprise 10.0% of the SBC pool, have
initial interest-only (IO) periods ranging from 60 months to 120
months and then fully amortize over shortened 20- to 25-year
schedules.

All SBC loans were originated between November 2021 and February
2022, resulting in minimal seasoning of 0.8 months on average. The
SBC pool has a WA original term length of 359.7 months, or nearly
30 years. Only one SBC loan has an original term of 25 years, with
the remaining 198 loans having 30-year terms. Based on the current
loan amount, which reflects approximately 12 basis points (bps) of
amortization, and the current appraised values, the SBC pool has a
WA loan-to-value (LTV) ratio of 66.9%. However, DBRS Morningstar
made LTV adjustments to 40 loans that had implied capitalization
rates more than 200 bps lower than the set of minimal
capitalization rates established by the DBRS Morningstar Market
Rank. The DBRS Morningstar minimum capitalization rates range from
5.0% for properties in Market Rank 8 to 8.0% for properties in
Market Rank 1. This resulted in a higher DBRS Morningstar LTV of
73.5%. Lastly, all loans fully amortize over their respective
remaining terms, resulting in 100% expected amortization; this
amount of amortization is greater than what is typical for CMBS
conduit pools. DBRS Morningstar's research indicates that, for CMBS
conduit transactions securitized between 2000 and 2019, average
amortization by year has ranged between 7.5% and 21.1%, with an
overall median rate of 18.8%.

As contemplated and explained in DBRS Morningstar's "Rating North
American CMBS Interest-Only Certificates" methodology, the most
significant risk to an IO cash flow stream is term default risk. As
noted in the methodology, for a pool of approximately 63,000 CMBS
loans that had fully cycled through to their maturity defaults,
DBRS Morningstar noted the average total default rate across all
property types was approximately 17%, the refinance default rate
was 6% (approximately one-third of the total rate), and the term
default rate was approximately 11%. DBRS Morningstar recognizes the
muted impact of refinance risk on IO certificates by notching up
the IO rating by one notch from the Reference Obligation rating.
When using the 10-year Idealized Default Table default probability
to derive a POD for a CMBS bond from its rating, DBRS Morningstar
estimates that, in general, a one-third reduction in the CMBS
Reference Obligation POD maps to a tranche rating that is
approximately one notch higher than the Reference Obligation or the
Applicable Reference Obligation, whichever is appropriate.
Therefore, similar logic regarding term default risk supported the
rationale for DBRS Morningstar to reduce the POD in the CMBS
Insight Model by one notch because refinance risk is largely absent
for this SBC pool of loans.

The DBRS Morningstar CMBS Insight Model does not contemplate the
ability to prepay loans, which is generally seen as credit positive
because a prepaid loan cannot default. The CMBS predictive model
was calibrated using loans that have prepayment lockout features.
The historical prepayment performance of those loans is close to a
zero conditional prepayment rate (CPR). If the CMBS predictive
model had an expectation of prepayments, DBRS Morningstar would
expect the default levels to be reduced. Any loan that prepays is
removed from the pool and can no longer default. This collateral
pool does not have any prepayment lockout features, and DBRS
Morningstar expects that this pool will have prepayments over the
remainder of the transaction. DBRS Morningstar applied the
following to calculate a default rate prepayment haircut: using
Intex Dealmaker, a lifetime constant default rate (CDR) was
calculated that approximated the default rate for each rating
category. While applying the same lifetime CDR, DBRS Morningstar
applied a 2.0% CPR. When holding the CDR constant and applying 2.0%
CPR, the cumulative default amount declined. The percentage change
in the cumulative default prior to and after applying the
prepayments, subject to a 10.0% maximum reduction, was then applied
to the cumulative default assumption to calculate a fully adjusted
cumulative default assumption.

The SBC pool has a WA expected loss of 3.99%, which is lower than
recently analyzed comparable Velocity small balance transactions.
Factors contributing to the low expected loss include pool
diversity, moderate leverage, and fully amortizing loans.

The SBC pool is quite diverse based on loan size, with an average
cut-off date loan balance of $624,629, a concentration profile
equivalent to that of a transaction with 121 equal-size loans, and
a top-10 loan concentration of 16.5%. Increased pool diversity
helps to insulate the higher-rated classes from event risk.

The loans are mostly secured by traditional property types (i.e.,
multifamily, retail, office, and industrial), with no exposure to
higher-volatility property types, such as hotels or other lodging
facilities.

All loans in the SBC pool fully amortize over their respective
remaining loan terms of between 297 months and 360 months, reducing
refinance risk.

As classified by DBRS Morningstar for modeling purposes, the SBC
pool contains a significant exposure to retail (24.2% of the SBC
pool) and a smaller exposure to office (13.2% of the SBC pool),
which are two of the higher-volatility asset types. Loans counted
as retail include those identified as automotive and potentially
commercial condominium. Combined, retail and office properties
represent more than a third of the SBC pool balance. Retail, which
has struggled because of the Coronavirus Disease (COVID-19)
pandemic, comprises the second-largest asset type in the
transaction. DBRS Morningstar applied a 20.0% reduction to the net
cash flow (NCF) for retail properties and a 30.0% reduction for
office assets in the SBC pool, which is above the average NCF
reduction applied for comparable property types in CMBS analyzed
deals. Multifamily is tied with retail as the second-largest
property type concentration in the SBC pool (24.2%). Based on DBRS
Morningstar's research, multifamily properties securitized in
conduit transactions have had lower default rates than most other
property types.

DBRS Morningstar did not perform site inspections on loans within
its sample for this transaction. Instead, DBRS Morningstar relied
upon analysis of third-party reports and online searches to
determine property quality assessments. Of the 65 loans DBRS
Morningstar sampled, 12 were Average quality (19.2%), 26 were
Average - (42.8%), and 27 were Below Average (38.0%). DBRS
Morningstar did not deem any of the sampled loans as having Poor
property quality. DBRS Morningstar assumed unsampled loans were
Average – quality, which has a slightly increased POD level. This
is more conservative than the assessments from sampled loans and is
consistent with other SBC transactions.

Limited property-level information was available for DBRS
Morningstar to review. Asset summary reports, property condition
reports, Phase I/II environmental site assessment (ESA) reports,
and historical cash flows were generally not available for review
in conjunction with this securitization. DBRS Morningstar received
and reviewed appraisals for the top 20 loans, which represent 28.8%
of the SBC pool balance. These appraisals were issued between July
2021 and February 2022 when the respective loans were originated.
DBRS Morningstar was able to perform a loan-level cash flow
analysis on the top 20 loans. The haircuts ranged from -4.8% to
-34.4%, with an average of -17.5%; however, DBRS Morningstar
generally applied more conservative haircuts on the unsampled
loans. No ESA reports were provided and they are not required by
the Issuer; however, all of the loans are placed onto an
environmental insurance policy that provides coverage to the Issuer
and the securitization trust in the event of a claim.

DBRS Morningstar received limited borrower information, net worth
or liquidity information, and credit history. DBRS Morningstar
generally initially assumed loans had Weak sponsorship scores,
which increases the stress on the default rate. The initial
assumption of Weak reflects the generally less sophisticated nature
of small balance borrowers and assessments from past small balance
transactions. Furthermore, DBRS Morningstar received a 12-month pay
history on each loan as of February 28, 2022. If any loan had more
than two late pays within this period or was currently 30 days past
due, DBRS Morningstar applied an additional stress to the default
rate. This occurred for only one loan, representing 1.9% of the SBC
pool balance. Finally, DBRS Morningstar received a borrower FICO
score as of February 28, 2022, for all loans, with an average FICO
score of 718. While the CMBS Methodology does not contemplate FICO
scores, the RMBS Methodology does and would characterize a FICO
score of 718 as near-prime, whereas prime is considered greater
than 750. Borrowers with a FICO score of 718 could generally be
described as potentially having had previous credit events
(foreclosure, bankruptcy, etc.) but, if they did, it is likely that
these credit events were cleared about two to five years ago.

RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY

The collateral pool consists of 298 mortgage loans with a total
balance of approximately $128.3 million collateralized by one- to
four-unit investment properties. The mortgage loans were
underwritten by Velocity to No Ratio program guidelines for
business-purpose loans.

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term payment reliefs that
may perform very differently from traditional delinquencies. At the
onset of the pandemic, the option to forbear mortgage payments was
so widely available that 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 (LTV), and good underwriting in the mortgage
market in general. Across nearly all RMBS asset classes,
delinquencies have been gradually trending down in recent months as
the forbearance period comes to an end for many borrowers.

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


VERUS SECURITIZATION 2022-5: Fitch Rates Class B-2 Notes 'B-sf'
---------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by Verus Securitization Trust 2022-5
(Verus 2022-5).

   DEBT      RATING                PRIOR
   ----      ------                -----
VERUS 2022-5

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 BB-sf   New Rating    BB-(EXP)sf
B-2       LT B-sf    New Rating    B-(EXP)sf
B-3       LT NRsf    New Rating    NR(EXP)sf
A-IO-S    LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 546 loans with a balance of $282 million
as of the cutoff date.

The notes are secured by mortgage loans originated by various
originators and acquired by the sellers. Of the loans in the pool,
64.7% are designated as nonqualified mortgages (Non-QMs), 0.7% are
designated as safe-harbor qualified mortgages (SHQMs) and the
remaining 34.7% are investment properties not subject to the
Ability to Repay (ATR) Rule.

Distributions of principal and interest (P&I) and loss allocations
are based on a modified sequential payment structure. The
transaction has a stop advance feature where the P&I advancing
party will advance delinquent P&I for up to 90 days.

Since the expected ratings were assigned, a class A-2 step-up
coupon feature was added to the structure where the class A-2 fixed
interest rate will increase by 100 bps beginning on the June 2026
payment date and any unpaid cap carryover amounts for class A-2 may
be reimbursed from the distribution amounts otherwise allocable to
the unrated class B-3, to the extent available.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.0% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable mortgage rates, and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 18.9% yoy
nationally as of December 2021.

Non-Prime Credit Quality (Mixed): The collateral consists of
three-, five-, seven-, 15-, 30- and 40-year fixed-rate and
adjustable-rate loans. Adjustable rate loans comprise 9.1% of the
pool and the remaining 90.9% are fully amortizing loans. Of the
loans, 9.1% are IO loans. The pool is seasoned approximately eight
months in aggregate, as calculated by Fitch. The borrowers in this
pool have a strong credit profile with a 749 weighted average model
FICO, 41.9% model debt-to- income ratio (DTI), and relatively
moderate leverage of 73.4% sustainable loan to value ratio (sLTV).

Approximately 2.4% of the pool have experienced a delinquency in
the past 24 months and 2.2% of the loans are currently 30 days
delinquent; 1.9% of the loans in the pool were underwritten to
foreign national borrowers. The pool characteristics resemble
recent non-prime collateral, and, therefore, the pool was analyzed
using Fitch's non-prime model.

Alternative Documentation Loans (Negative): For approximately 87%
of the loans, alternative documentation was used to underwrite the
loans. Of this, 24.1% were underwritten to a bank statement program
to verify income, which is not consistent with Appendix Q standards
or Fitch's view of a full documentation program. To reflect the
additional risk, Fitch increases the probability of default (PD) by
1.5x on the bank statement loans. Besides loans underwritten to a
bank statement program, 26.9% are a debt service coverage ratio
(DSCR) product, 18.2% are a WVOE product, 12.2% are P&L loans and
3.0% comprise an asset depletion product.

Modified Sequential Payment Structure with Limited Advancing
(Mixed): The structure distributes principal pro rata among the
senior notes while locking out the subordinate classes from
principal payments until the senior classes are paid off. If a
delinquency trigger event or a cumulative loss trigger event occurs
in a given period, principal will be distributed sequentially to
class A-1, A-2 and A-3 notes until each class balance is reduced to
zero.

The structure includes a step-up coupon feature where the class A-1
and A-2 fixed interest rates will increase by 100 bps on the June
2026 payment date and thereafter. This reduces the modest excess
spread available to repay losses and turbo down bonds. The interest
rate, however, is subject to the net weighted average coupon (WAC)
and any unpaid cap carryover amount for class A-1 and A-2 may be
reimbursed from the distribution amounts otherwise allocable to the
unrated class B-3, to the extent available. Additionally, the class
B-2 interest rate will step-down to 0.000% starting on the June
2026 payment date.

Advances of delinquent P&I will be made on the mortgage loans for
the first 90 days of delinquency, to the extent such advances are
deemed recoverable. If the P&I advancing parties fail to make
required advances, the master servicer, Nationstar Mortgage LLC
(Nationstar), will be obligated to make such advance. If the master
servicer fails to make advances, the paying agent (Citibank, N.A.)
will fund advances. The stop advance feature limits the external
liquidity to the bonds in the event of large and extended
delinquencies, but the loan-level loss severities (LS) are less for
this transaction than for those where the servicer is obligated to
advance P&I for the life of the transaction as P&I advances made on
behalf of loans that become delinquent and eventually liquidate
reduce liquidation proceeds to the trust.

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 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 40.9% 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:

The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10.0% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10.0% gain in home prices would result in a full
category upgrade for the rated 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 (AMC), Covius Real Estate Services (Covius),
Mission Global (Mission), Selene Diligence (Selene) fka New
Diligence Advisors, Canopy Financial Technology Partners (Canopy),
Infinity International Processing Services, Inc. (Infinity) and
Evolve Mortgage Services (Evolve). The third-party due diligence
described in Form 15E focused on credit, compliance, property
valuation and data integrity. Fitch considered this information in
its analysis and, as a result, Fitch did not make any adjustments
to its analysis due to the due diligence findings. Overall, the
100% due diligence performed on the pool received a model credit,
which reduced the 'AAAsf' loss expectation by 45 bps.

ESG CONSIDERATIONS

VERUS 2022-5 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated operational risk, which
resulted in an increase in expected losses. While the originator,
aggregator and servicing parties did not have an impact on the
expected losses, the Tier 2 R&W framework with an unrated
counterparty resulted in an increase in the expected losses. This
has a negative impact on the credit profile and is relevant to the
ratings in conjunction with other factors.

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


WELLS FARGO 2013-C18: Fitch Lowers Rating on Class F Certs to Csf
-----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed nine classes of
commercial mortgage pass-through certificates from WFRBS Commercial
Mortgage Trust 2013-C18. The Rating Outlooks for three investment
grade classes have been revised to Stable from Negative.

   DEBT             RATING                       PRIOR
   ----             ------                       -----
WFRBS 2013-C18

A-4 96221QAD5     LT     AAAsf      Affirmed     AAAsf
A-5 96221QAE3     LT     AAAsf      Affirmed     AAAsf
A-S 96221QAG8     LT     AAAsf      Affirmed     AAAsf
A-SB 96221QAF0    LT     AAAsf      Affirmed     AAAsf
B 96221QAJ2       LT     AA-sf      Affirmed     AA-sf
C 96221QAK9       LT     A-sf       Affirmed     A-sf
D 96221QAM5       LT     CCCsf      Downgrade    B-sf
E 96221QAP8       LT     CCsf       Downgrade    CCCsf
F 96221QAR4       LT     Csf        Affirmed     Csf
PEX 96221QAL7     LT     A-sf       Affirmed     A-sf
X-A 96221QAH6     LT     AAAsf      Affirmed     AAAsf

KEY RATING DRIVERS

Increased Loss Expectations: Fitch's loss projections have
increased slightly since the last rating action, primarily due to
higher losses for certain specially serviced loans/assets, which
were partially offset by improved recovery expectations for the JFK
Hilton loan. Nine loans representing 43.1% of the pool have been
flagged as Fitch Loans of Concern (FLOC), including five specially
serviced loans (22.2%), four of which are in the top 15.

Fitch's current ratings incorporate a base case loss of 11.9%. The
Outlook revisions to Stable from Negative on the investment grade
classes reflect the expectation of repayment from performing loans
in the pool given their stable performance and lower leverage. The
distressed classes reflect the potential impact of losses from the
specially serviced loans/assets which was also assessed in a
paydown scenario.

Specially Serviced Loans/Assets: The largest specially serviced
loan is the Hotel Felix (6.56% of the pool). The loan is secured by
a 225-key, full-service boutique hotel in Chicago's River North
neighborhood. The building was originally constructed in 1926 as an
apartment building and was converted to hotel use in 2009 following
a $36 million redevelopment. The loan shares common sponsorship
with the HIE Magnificent Mile loan. The loan previously transferred
to special servicing in April 2018 and was modified in December
2018, terms of which included a three-year extension of the
interest-only period. The prior default stemmed from declined cash
flow attributed to significant increase in real estate taxes and
new supply to the submarket.

The loan again transferred to special servicing in April 2020 for
payment default, and a receiver was appointed in January 2021. The
hotel was closed for most of 2020 due to the effects of the
pandemic and remained closed throughout 2021. The servicer noted
that the hotel reopened in December 2021. The servicer's current
strategy is to pursue foreclosure of the property. Fitch's analysis
reflects a discount to a recent appraisal value resulting in a
recovery of $91,000 per key.

The second largest specially serviced loan is the HIE at
Magnificent Mile (3.1% of the pool), which is secured by a 174-key,
limited-service hotel in Chicago, two blocks west of Michigan
Avenue. The property was originally developed in 1927 as the Hotel
Cass and was renovated in 2007 following the current sponsor's
acquisition. This loan shares common sponsorship with the Hotel
Felix loan.

The hotel is currently closed until August 2022 to undergo repairs
caused by a damaged water pipe in January 2022 that affected
guestrooms, the lobby, front desk, and elevator shafts. Hotel
performance was trending downward in 2018 and 2019 due to higher
real estate taxes and increasing competition and was further
exacerbated by distress caused by the pandemic. The loan
transferred to the special servicer in April 2020 for imminent
default, and a receiver was subsequently appointed in January 2021.
Inspection reports from December 2020 and November 2021 confirmed
that the hotel has been closed over the last two years. The
servicer is proceeding with foreclosure. Fitch's analysis reflects
a discount to a recent appraisal value resulting in a recovery of
$65,500 per key.

The third largest specially serviced asset is the Cedar Rapids
Office Portfolio (3.0% of the pool). The portfolio comprises two
office properties that are located in downtown Cedar Rapids, Iowa.
Town Center is a three-building office complex, and 600 3rd Avenue
SE is a neighboring office building. The loan transferred to
special servicing in May 2017 due to payment default with the
assets becoming REO in June 2020. Neither of the properties are
currently being marketed for sale. As of February 2022, occupancy
for the portfolio was 68.8% with Hibu as the largest tenant
representing 49.6% of the portfolio square footage. The portfolio
has limited near-term rollover with only 5.9% of leases expiring in
2023, but over 50% of leases are scheduled to expire in 2025. The
servicer noted that there is minimal leasing activity for the
vacant space.

Fitch's analysis incorporated a discount to recent appraisal values
resulting in a recovery of $41 psf.

Increased Credit Enhancement (CE): As of the May 2022 remittance,
the pool's aggregate principal balance has been reduced by 34.7% to
$677.9 million from $1.04 billion at issuance. Fourteen loans
representing 11.8% of the pool are fully defeased. There are no
scheduled maturities until late 2023.

Three loans (23.6%) are full-term IO, and the remaining 50 loans
(76.4%) are amortizing. In addition, the senior classes are
expected to benefit from continued paydown, including from the
expected sale of the largest specially serviced asset, JFK Hilton.

Credit Opinion Loans: The largest loan in the pool, Garden State
Plaza (14.5%), has a Fitch credit opinion of 'AAAsf*' on a
standalone basis. The loan is secured by a 2.2 million-sf regional
mall in Paramus, NJ. This loan is a pari passu portion of a larger
loan with the controlling interest held outside the trust. Based on
collateral quality and continued stable performance, the loan
remains consistent with a credit opinion loan.

Interest Shortfalls: There is increased propensity for interest
shortfalls as two of the largest loans remain in payment default.
The pool has become more concentrated and unpaid interest, due to
the continued delinquency of the Hotel Felix and HIE Magnificent
Mile loans, has reached class D.

RATING SENSITIVITIES

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

Factors that lead to downgrades include an increase in pool-level
losses from underperforming or specially serviced loans. Downgrades
to the classes rated 'AAAsf' and 'AA-sf' are not likely due to
position in the capital structure but may occur should interest
shortfalls occur. Downgrades to class C are possible should the
specially serviced hotel loans fail to resolve and valuations
continue to deteriorate, or should additional loans default.
Downgrades to the distressed classes are expected as losses become
more certain or as losses are realized.

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

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

Factors that lead to upgrades would include significantly improved
performance coupled with paydown and/or defeasance. An upgrade to
classes B would occur with stabilization of the FLOCs but would be
limited as concentrations increase. Upgrades to class C would only
occur with significant improvement in credit enhancement, certainty
of resolution of the specially serviced assets and stabilization of
the FLOCs. Classes would not be upgraded above 'Asf' if there is
likelihood for interest shortfalls. Upgrade to classes D through F
are not likely, unless performance of the FLOCs improve, recovery
of assets/loans in special servicing are better than expected, and
if performance of the remaining pool is stable.

BEST/WORST CASE RATING SCENARIO

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

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

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 2016-LC24: Fitch Affirms 'BB-' Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Wells Fargo Commercial
Mortgage Trust 2016-LC24 Commercial Mortgage Pass-Through
Certificates.

   DEBT            RATING                 PRIOR
   ----            ------                 -----
WFCM 2016-LC24

A-3 95000HBE1     LT AAAsf    Affirmed    AAAsf
A-4 95000HBF8     LT AAAsf    Affirmed    AAAsf
A-S 95000HBH4     LT AAAsf    Affirmed    AAAsf
A-SB 95000HBG6    LT AAAsf    Affirmed    AAAsf
B 95000HBL5       LT AA-sf    Affirmed    AA-sf
C 95000HBM3       LT A-sf     Affirmed    A-sf
D 95000HAL6       LT BBB-sf   Affirmed    BBB-sf
E 95000HAN2       LT BB+sf    Affirmed    BB+sf
F 95000HAQ5       LT BB-sf    Affirmed    BB-sf
X-A 95000HBJ0     LT AAAsf    Affirmed    AAAsf
X-B 95000HBK7     LT AA-sf    Affirmed    AA-sf
X-D 95000HAA0     LT BBB-sf   Affirmed    BBB-sf
X-EF 95000HAC6    LT BB-sf    Affirmed    BB-sf

KEY RATING DRIVERS
Stable Loss Expectations: Overall pool performance and loss
expectations have remained stable since Fitch's last rating action.
Fitch has identified nine Fitch Loans of Concern (FLOCs; 9% of
pool) including two loans in special servicing (2.7%).

Fitch's current ratings reflect a base case loss of 4.3%.

Largest Contributor to Loss: The largest contributor to loss is the
One & Two Corporate Plaza loan (2%), which is secured by a
276,000-sf suburban office property located in Houston, TX. The
loan transferred to special servicing in January 2021, and a
receiver was appointed in February 2021. According to servicer
updates, a sale is being pursued. Occupancy at the property was 67%
per the February 2022 rent roll, which is a decline from 79% in
September 2021. The two largest tenants, which combined for 19% of
the NRA, vacated prior to lease expiration in 2022.

Fitch modeled a loss of approximately 48%, which reflects a value
of $48PSF, consistent with other recent Houston area office
dispositions and valuations.

The next largest contributor to loss is the 1140 Avenue of Americas
loan (4.9%), which is secured by a 242,466-sf office building
located on the northeastern corner of West 44th Street and Avenue
of the Americas in Midtown, Manhattan.

Performance at the property has been declining. Occupancy declined
to 69% as of YE 2021 compared with 84% at YE 2020. The second
largest tenant Waterfall Asset Management has been subleasing its
space to two tenants for the past two years. According to servicer
updates, the borrower has spoken to the tenants about a direct
lease, one of which has agreed to a 10-year lease for their current
occupied space and to further expand into currently vacant space.

Slight Increase to Credit Enhancement: As of the May 2022
distribution date, the pool's aggregate balance has been paid down
by 12.2% to $917.4 million from $1.05 billion at issuance. The
increase in credit enhancement is primarily attributed to loan
payoffs. Since issuance five loans have been paid off ($65
million), leaving 86 loans in the pool remaining. Five loans (7.0%)
are defeased. Fourteen loans (25.3%) are full term interest-only
(IO), while no loans remain in their partial IO periods. There are
six ARD loans, which comprise 6% of the pool balance.

Co-Op Collateral: The pool contains 14 loans (6.2%) secured by
multifamily co-ops. Thirteen of the co-ops in this transaction are
located within the greater New York City metro area, with the
remaining one in Washington, D.C.

RATING SENSITIVITIES

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

Downgrades to the senior classes, rated 'AA-sf' through 'AAAsf',
are not likely due to their position in the capital structure and
the high credit enhancement; however, downgrades to these classes
may occur should interest shortfalls occur. Downgrades to the
classes rated 'BBB-sf' and below would occur if FLOC performance
continues to decline or fails to stabilize.

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

For more information on Fitch's original rating sensitivity on the
transaction, please refer to the new issuance report.

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

-- Stable to improved asset performance, coupled with additional
    pay-down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'

    rated classes would likely occur with significant improvement
    in credit enhancement and/or defeasance; however, adverse
    selection and increased concentrations, or the
    underperformance of the FLOCs, could cause this trend to
    reverse.

-- Upgrades to the 'BBB-sf' and below-rated classes are
    considered unlikely and would be limited based on sensitivity
    to concentrations or the potential for future concentrations.
    Classes would not be upgraded above 'Asf' if there were
    likelihood of interest shortfalls. An upgrade to the 'BBsf'
    rated classes is not likely until later years of the
    transaction, and only if the performance of the remaining pool

    is stable and/or if there is sufficient credit enhancement,
    which would likely occur when 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.

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 2018-C46: Fitch Lowers Rating on Class G-RR Debt to CCC
-------------------------------------------------------------------
Fitch Ratings has downgraded two below investment-grade classes and
affirmed 12 classes of Wells Fargo Commercial Mortgage (WFCM) Trust
2018-C46 commercial mortgage pass-through certificates.

    DEBT              RATING                      PRIOR
    ----              ------                      -----
WFCM 2018-C46

A-2 95001QAR2      LT     AAAsf     Affirmed      AAAsf
A-3 95001QAT8      LT     AAAsf     Affirmed      AAAsf
A-4 95001QAU5      LT     AAAsf     Affirmed      AAAsf
A-S 95001QAX9      LT     AAAsf     Affirmed      AAAsf
A-SB 95001QAS0     LT     AAAsf     Affirmed      AAAsf
B 95001QAY7        LT     AA-sf     Affirmed      AA-sf
C 95001QAZ4        LT     A-sf      Affirmed      A-sf
D 95001QAC5        LT     BBBsf     Affirmed      BBBsf
E-RR 95001QAE1     LT     BBB-sf    Affirmed      BBB-sf
F-RR 95001QAG6     LT     Bsf       Downgrade     BBsf
G-RR 95001QAJ0     LT     CCCsf     Downgrade     B-sf
X-A 95001QAV3      LT     AAAsf     Affirmed      AAAsf
X-B 95001QAW1      LT     AA-sf     Affirmed      AA-sf
X-D 95001QAA9      LT     BBBsf     Affirmed      BBBsf

KEY RATING DRIVERS

Greater Certainty of Loss: Although Fitch's overall base case loss
expectation for the pool has declined slightly since the last
rating action, the downgrades reflect a greater certainty of loss
due to increased loss expectations on the Fair Oaks Mall loan (5.7%
of pool) given the continued performance declines and
refinanceability concerns at its upcoming May 2023 maturity.
Fitch's current ratings reflect a base case loss of 6.2%.

The Negative Rating Outlook on class F-RR is due to continued
performance concerns with several of the larger FLOCs, mainly Fair
Oaks Mall; a downgrade would occur should performance trends of
these properties not stabilize. There are seven Fitch Loans of
Concern (FLOCs; 27.2% of pool), including three loans in special
servicing (9.8%) and four other loans flagged for declining
performance and/or upcoming rollover concerns.

Largest Contributors to Loss: The largest increase in loss since
the last rating action and largest contributor to overall loss
expectations is the third largest loan, the Fair Oaks Mall (5.7%),
which is secured by an enclosed regional mall located in Fairfax,
VA. This FLOC has experienced declining cash flow and sales
performance since issuance, and has moderate upcoming lease
rollover. YE 2021 NOI fell an additional 12.3% from 2020. Hard cash
management was triggered. Additionally, the non-collateral Lord &
Taylor store at the property closed in early 2021 and remains
vacant.

Current non-collateral anchors at the property include JCPenney and
Macy's with Furniture Gallery. A second Macy's store serves as a
collateral anchor (27.7% of collateral NRA leased through February
2026). Other major collateral tenants include XXI Forever (Forever
21; 6.6%; January 2023), H&M (2.6%; January 2029) and Express
(1.6%; January 2024). The non-collateral, Seritage-owned former
Sears store has been subdivided and leased to Dick's Sporting Goods
and Dave & Buster's. The collateral was 89.3% occupied as of
February 2022, compared with 89.7% in February 2021, 90.6% in
December 2020 and 93.8% in December 2019. Upcoming lease rollover
includes 9.2% of the collateral NRA in 2022, 14.2% in 2023 and 6.4%
in 2024.

TTM September 2021 inline sales (including Apple) were $447 psf,
compared with $344 psf in 2020, $516 psf in 2019 and $524 pf in
2018; excluding Apple, they were $318 psf, $248 psf and $371 psf,
respectively. Fitch's base case loss of 20% reflects a 15% cap rate
on the YE 2021 NOI, which is in line with comparable properties in
Fitch's portfolio, and accounts for refinance risk concerns as the
loan matures in May 2023.

The second largest contributor to loss expectations and seventh
largest loan, Somerset Financial Center, is secured by a 230,000-sf
office property located in Bedminster, NJ. The loan transferred to
special servicing in January 2021. The property is 100% vacant
after the two former tenants, Mallinckrodt and RREF ll Somerset Ml
LLC, vacated ahead of their scheduled lease expiration. Fitch's
loss expectation of 28% considers a stress to a recent valuation,
resulting in a Fitch-stressed value psf of $139.

The third largest contributor to loss expectations and second
largest loan, Town Center Aventura (6%), is secured by an
186,000-sf anchored retail center located in Aventura, FL. The loan
was flagged as a FLOC due to declining occupancy and cash flow
since issuance. Occupancy was a reported 91% as of March 2022
compared to 100% at YE 2018. YE 2021 NOI fell an additional 6.1%
from 2020. The property is anchored by Publix (25.7% of NRA leased
through November 2023) and Saks Fifth Avenue Off 5th (Saks; 18.6%;
September 2028).

As of the March 2022 rent roll, upcoming lease rollover includes
2.6% of the NRA in 2022, 33.2% in 2023 and 5.1% in 2024. The 2023
rollover is mostly concentrated in the expirations of Publix and
Party City. Fitch has an outstanding inquiry to the servicer for
updates on these tenants and their renewal expectations, but did
not receive a response. Fitch's base case loss of 9% reflects an
8.25% cap rate and 5% stress to the YE 2021 NOI and factors in the
strong sponsorship and property location.

Minimal Change in Credit Enhancement: As of the May 2022
distribution date, the pool's aggregate principal balance has paid
down by 3.5% to $667.9 million from $692.1 million at issuance.
Since the last rating action two loans have been defeased (2.7%)
and one loan (last rating action balance of $13.8 million) was
prepaid prior its 2028 maturity date. 19 loans, representing 45.1%
of the pool, are full-term interest-only and 15 loans (30%) were
structured with a partial interest-only component; seven of these
loans (9.4%) have begun to amortize. Based on the scheduled balance
at maturity, the pool will pay down by 6%.

Pool Concentrations: Retail properties represent the largest asset
concentration at 37.8%. Office (23.2%) and multifamily (14.6%)
represent the second and third largest asset types respectively.

Pari Passu Loans: Eight loans (30.9% of pool) are pari passu,
including seven loans (29%) in the top 15.

RATING SENSITIVITIES

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

-- Downgrades to the classes rated in the 'AA-sf' and 'AAAsf'
    categories are not likely due to their position in the capital

    structure but may occur should interest shortfalls affect
    these classes;

-- Downgrades to the classes rated in the 'BBB-sf', 'BBBsf' and
    'A-sf' categories may occur should expected losses for the
    pool increase substantially or with an outsized loss on Fair
    Oaks Mall, which would erode credit enhancement;

-- Downgrades to classes rated in the 'CCCsf' and 'Bsf'
    categories would occur with greater certainty of losses or as
    losses are realized and/or should overall pool loss
    expectations increase from continued performance decline of
    the FLOCs, including Fair Oaks Mall, loans susceptible to the
    pandemic not stabilize and/or additional loans default or
    transfer to special servicing;

-- Fitch has identified both a baseline and a worse-than-
    expected, adverse stagflation scenario based on fallout from
    the Russia-Ukraine war whereby growth is sharply lower amid
    higher inflation and interest rates; even if the adverse
    scenario should play out, Fitch expects virtually no impact on

    ratings performance, indicating very few rating or Outlook
    changes. However, for some transactions with concentrations in

    underperforming retail exposure, the ratings impact may be
    mild to modest, indicating some changes on sub-investment-
    grade notes.

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

-- Stable-to-improved asset performance, coupled with additional
    paydown and/or defeasance;

-- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely
    occur with significant improvement in credit enhancement
    and/or defeasance, and with the stabilization of performance
    on the FLOCs; however, adverse selection and increased
    concentrations, or underperformance of the FLOCs, could cause
    this trend to reverse;

-- Upgrades to the 'BBB+sf' and 'BBB-sf' rated classes would also

    consider these factors, but would be limited based on
    sensitivity to concentrations or the potential for future
    concentrations. Classes would not be upgraded above 'Asf' if
    there is a likelihood of interest shortfalls;

-- Upgrades to the 'CCCsf' and 'Bsf' rated classes are not likely

    until later years of the transaction and only if the
    performance of the remaining pool is stable and/or there is
    sufficient credit enhancement, which would likely occur when
    the nonrated 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.

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.


WFLD 2014-MONT: S&P Lowers Class D Certs Rating to B (sf)
---------------------------------------------------------
S&P Global Ratings lowered its ratings on four classes of
commercial mortgage pass-through certificates from WFLD 2014-MONT
Mortgage Trust, a U.S. CMBS transaction.

This U.S. CMBS transaction is backed by a 10-year, fixed-rate,
interest-only (IO) mortgage loan secured by Westfield Montgomery
Mall in Bethesda, Md.

Rating Actions

S&P said, "The downgrades of classes A, B, C, and D reflect our
re-evaluation of the Westfield Montgomery Mall that secures the
sole loan in the transaction. Our analysis included a review of the
most recent available financial performance data provided by the
servicer and our assessment of the continued significant decline in
reported performance at the property since the onset of the
COVID-19 pandemic. Reported occupancy and net cash flow (NCF)
declined significantly to 76.6% and $22.0 million, respectively, in
2021, from 92.6% and $29.7 million, respectively, in 2020.

"We revised our sustainable NCF downward by 24.7% to $23.3 million
from $30.9 million in our last review in March 2020, which reflects
continued challenges facing the retail mall sector and aligns our
NCF closer to the 2021 servicer reported NCF. Using a 7.00% S&P
Global Ratings capitalization rate (unchanged from our last
review), we arrived at an expected-case valuation of $332.5
million, or $413 per sq. ft.--a decline of 24.7% from our last
review value of $441.4 million. This yielded an S&P Global Ratings
loan-to-value ratio of 105.3% on the loan balance."

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

-- The property's desirable location about 12 miles from downtown
Washington, D.C. in the North Bethesda submarket;

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

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

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

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

The loan had a reported current payment status through its May 2022
debt service payment date. The servicer, Wells Fargo Bank N.A.,
reported a debt service coverage of 1.65x in 2021, down from 2.22x
in 2020 and 2.51x in 2019. The loan sponsors are
Unibail-Rodamco-Westfield (URW) and a joint venture between
Teachers Insurance And Annuity Association of America and
subsidiaries of Stichting Pensioenfonds ABP. According to various
news articles in April 2022, the mall operator, URW, announced its
intentions to sell its U.S. holdings (about 24 Westfield malls in
the U.S.) in the next two years. S&P will continue to monitor the
developments of the sale and the impact, if any, on the property's
performance.

Property-Level Analysis

Westfield Montgomery Mall is a two-story, enclosed 1.3
million-sq.-ft. regional mall built in 1968 and renovated in 2014
in Bethesda, of which 835,597 sq. ft. serves as collateral for the
loan. Non-collateral anchors at the property include Macy's Inc.
('BB/Positive/B'; 218,305 sq. ft.), Macy's Home (76,396 sq. ft.),
and a vacant anchor box formerly occupied by Sears (204,600 sq.
ft.).

S&P's property-level analysis considered that the servicer-reported
NCF was relatively stable from 2015 to 2019, prior to the COVID-19
pandemic, at $30.8 million to $33.6 million. As discussed above,
during the pandemic, NCF declined 11.5% to $29.7 million in 2020
and a further 25.8% to $22.0 million in 2021. The sharp decline in
2021 was primarily due to lower occupancy that resulted in
decreased base rent, expense reimbursement income, and other
income. According to the December 2021 rent roll, the property was
87.2% leased after adjusting for the servicer's update on the
theatre space and a new tenant comprising 2.3% of NRA taking
occupancy in April of 2022. The five largest tenants comprised
39.4% of net rentable area (NRA) and include:

-- Nordstrom (26.4% of NRA; 0.4% of gross rent, as calculated by
S&P Global Ratings; October 2030 lease expiry),

-- AMC Theatres (7.9%; 10.3%; February 2034; former tenant,

-- Arclight Cinemas vacated in April 2021 due to the pandemic.
According to the servicer, AMC Theatres replaced Arclight Cinemas
in March 2022),

-- Alex Baby & Toys (2.3%; 0.4%; April 2025),

-- Old Navy (1.5%; 1.4%; January 2030), and

-- Urban Outfitters (1.3%; 2.0%; July 2023).

The property faces elevated tenant rollover in 2022 (12.0% of NRA,
14.0% of gross rent as calculated by S&P Global Ratings), 2023
(9.8%, 12.1%), and 2024 (6.5%, 16.0%).

S&P said, "Our current analysis considered tenant bankruptcies and
store closures and excluded income from tenants that are no longer
listed on the mall directory website, have announced store
closures, or have reported weak sales with upcoming maturities,
amongst others. This resulted in our assumed collateral occupancy
rate of 86.7%. We derived a sustainable NCF of $23.3 million, and,
using an S&P Global Ratings' capitalization rate of 7.00% (the same
as in the last review), arrived at an expected-case value of $332.5
million."

Transaction Summary

This is a U.S. stand-alone (single-borrower) transaction backed by
a 10-year, fixed-rate, IO mortgage loan, secured by the borrower's
fee simple and leasehold interests in Westfield Montgomery Mall in
Bethesda.

The IO mortgage loan had an initial and current balance of $350.0
million (according to the May 12, 2022, trustee remittance report),
pays a per annum fixed interest rate of 3.766%, and matures on Aug.
1, 2024. To date, the trust has not incurred any principal losses.

The recent rapid spread of the Omicron variant highlights the
inherent uncertainties of the pandemic but also the importance and
benefits of vaccines. While the risk of new, more severe variants
displacing Omicron and evading existing immunity cannot be ruled
out, our current base case assumes that existing vaccines can
continue to provide significant protection against severe illness.
Furthermore, many governments, businesses and households around the
world are tailoring policies to limit the adverse economic impact
of recurring COVID-19 waves. Consequently, S&P does not expect a
repeat of the sharp global economic contraction of 2nd quarter
2020. Meanwhile, it continues to assess how well individual issuers
adapt to new waves in their geography or industry.

  RATINGS LOWERED

  WFLD 2014-MONT Mortgage Trust

  Class A to AA- (sf) from AAA (sf)
  Class B to BBB- (sf) from A- (sf)
  Class C to B+ (sf) from BB+ (sf)
  Class D to B (sf) from BB (sf)  



WFRBS COMMERCIAL 2013-C15: Fitch Cuts Rating on Cl. D Certs to Csf
------------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed eight classes of
WFRBS Commercial Mortgage Trust 2013-C15 commercial mortgage
pass-through certificates. In addition, the Rating Outlooks on two
classes were revised to Stable from Negative.

   DEBT            RATING                 PRIOR
   ----            ------                 -----
WFRBS 2013-C15

A-3 92938CAC1    LT AAAsf    Affirmed     AAAsf
A-4 92938CAD9    LT AAAsf    Affirmed     AAAsf
A-S 92938CAF4    LT Asf      Affirmed     Asf
A-SB 92938CAE7   LT AAAsf    Affirmed     AAAsf
B 92938CAH0      LT BBBsf    Affirmed     BBBsf
C 92938CAJ6      LT CCsf     Downgrade    CCCsf
D 92938CAL1      LT Csf      Downgrade    CCsf
E 92938CAN7      LT Csf      Affirmed     Csf
F 92938CAQ0      LT Csf      Affirmed     Csf
PEX 92938CAK3    LT CCsf     Downgrade    CCCsf
X-A 92938CAG2    LT Asf      Affirmed     Asf

KEY RATING DRIVERS

Increased Loss Expectations; Greater Certainty of Loss: The
downgrades and Negative Outlook reflect higher loss expectations
since Fitch's prior rating action on three regional mall
loans/assets - Kitsap Mall, Augusta Mall and Carolina Place
(combined 36.4% of pool) - driven by continued performance
deterioration, increasing refinance concerns and greater certainty
of losses on these loans. Fitch's current ratings reflect a base
case loss for the pool of 17.3%. There are nine Fitch Loans of
Concern (FLOCs; 44.4%), including two REO assets (11%).

The largest contributor to overall loss expectations and largest
increase in loss since the prior rating action is the REO Kitsap
Mall asset (10.3% of pool), which is a 579,894-sf portion of a
761,840-sf regional mall in Silverdale, WA. Fitch's base case loss
expectation approximately 67% factors in a discount to a recent
appraisal valuation and reflects an implied cap rate of 23% to the
YE 2020 NOI.

The loan transferred to special servicing in May 2020 due to
imminent default. The sponsor, Starwood Capital Group, indicated
their intent to convey title to the trust. A receiver was appointed
in August 2020 and the asset became REO in December 2021. The
special servicer is working to stabilize the asset through
improving in-line space occupancy, renewing existing tenants and
improving collections.

Collateral anchors include JCPenney (27.1% of collateral NRA; lease
through August 2023) and Macy's (20.9%; January 2024). Kohl's is
the sole non-collateral tenant after Sears closed in October 2019.
Other large collateral tenants include Barnes & Noble, Dick's
Sporting Goods and H&M. Collateral occupancy was 86.6% as of the
most recently provided rent roll from September 2021, down from
92.6% in January 2021 and 96% at YE 2019.

In-line sales were $454 psf as of TTM January 2022, compared with
$464 psf at YE 2021, $309 psf at YE 2020, and $447 psf at YE 2019.

The next largest contributor to losses is the Carolina Place loan
(10.6%), which is secured by 693,196-sf of a 1.2 million-sf
regional mall in Pineville, NC, approximately 10 miles southwest of
the Charlotte CBD. The loan, which is sponsored by a joint venture
between Brookfield Properties Retail Group and the New York State
Common Retirement Fund, faces substantial lease rollover concerns
prior to maturity, declining occupancy, fluctuating sales since
issuance, limited leasing progress on the vacant anchor space
formerly occupied by Sears and significant market competition.
Fitch's loss expectation of 57% reflects a 20% cap rate on the YE
2021 NOI.

The remaining collateral anchor JCPenney (17% of collateral NRA)
recently extended its lease for two years through May 2023. The
non-collateral anchors are Dillard's and Belk. In 2019, Dick's
Sporting Goods and Golf Galaxy began leasing a non-collateral
anchor box formerly occupied by Macy's. Collateral occupancy
remains low after Sears (previously 23% of collateral NRA) closed
in 2019 and was 73.3% in March 2022, compared with 72% at YE 2021
and 73% at YE 2020.

The servicer-reported YE 2021 NOI DSCR was 1.36x, down from 1.48x
at YE 2020. Near-term rollover includes approximately 40% of the
collateral NRA by 2023 and is concentrated with JCPenney in May
2023. In-line tenant sales were $488 psf as of TTM February 2022,
compared with $335 psf at YE 2020.

The third largest contributor to losses is the largest loan in the
pool, Augusta Mall (15.5%), which is secured by a 500,222-sf
portion of a 1,106,493-sf, super-regional mall located in Augusta,
GA. The mall is the only regional mall serving the area and has
limited local competition. Non-collateral anchors are Dillard's,
JCPenney and Macy's, as well as a dark former Sears that closed in
April 2020. Collateral tenants include Dick's Sporting Goods
(12.4%; January 2023), Barnes & Noble (5.8%; January 2024), H&M
(4.6%; January 2025) and Forever 21 (3.2%; January 2023).

Although the mall has exhibited strong debt service coverage and
improved tenant sales in 2021, Fitch remains concerned about the
upcoming loan maturity in August 2023. Collateral occupancy was
92.9% in March 2022, compared with 91% at YE 2021, 89% at YE 2020
and 92% at YE 2019. The servicer-reported YE 2021 NOI DSCR was
3.29x, compared to 3.62x at YE 2020 and 3.86x at YE 2019.

YE 2021 in-line sales improved to $561 psf ($492 psf excluding
Apple) from $401 psf ($365 psf) at YE 2020 and $489 psf ($417 psf)
at YE 2019. Fitch's base case loss of 22% reflects a 12% cap rate
on the YE 2021 NOI to reflect regional mall refinance concerns due
to the high leverage point of the loan, coupled with the tertiary
location.

Increased Credit Enhancement: As of the May 2022 distribution date,
the pool's aggregate principal balance has paid down by 35.7% to
$712.2 million from $1.1 billion at issuance. Since Fitch's prior
rating action, eight loans ($34.9 million) were paid off or
disposed, including seven loans that were prepaid ahead of their
scheduled 2023 maturities and the liquidation of the REO Gander
Mountain Portfolio ($8.8 million) with better than expected
recoveries. Realized losses to date total $23.8 million (2.2% of
the original pool balance) and interest shortfalls totaling $4.8
million are currently affecting classes E through G.

Defeasance has increased to 21 loans (29.9% of the pool) from 16
loans (12.1%) at the prior rating action; this includes the
defeasance of two loans (combined 13.5%) that closed in May 2022
and will be reflected in the June 2022 remittance reporting.

Two loans (15.9%) are full-term, interest-only, and the remainder
of the pool (59 loans; 84.1% of pool) is amortizing. Fifty-nine
loans (98.8%) mature in between May and August of 2023, and the
remainder of the pool (two loans; 1.2%) matures in 2028.

Alternative Loss Consideration: Fitch considered an additional
scenario in addition to its base case scenario in which only the
three regional mall loans/assets remain in the pool. Classes A-S
through G and class PEX are reliant on proceeds from these loans
for repayment. This scenario contributed to the downgrades and the
Negative Outlook on class B.

RATING SENSITIVITIES

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

Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced loans.
Downgrades to the super-senior classes A-3, A-4 and A-SB are not
likely due to the position in the capital structure but may occur
should interest shortfalls affect the classes.

Downgrades to classes A-S, B and X-A may occur if expected losses
for the pool increase substantially from continued performance
deterioration of the regional mall loans/assets, particularly
should the Augusta Mall exhibit performance deterioration and/or
default at its August 2023 maturity, or with greater losses than
expected and/or all of the loans susceptible to the coronavirus
pandemic suffer losses.

Further downgrades of the classes rated 'Csf', 'CCsf' and 'CCCsf'
would occur with increased certainty of losses or as losses are
realized.

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

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

Sensitivity factors that would lead to upgrades include stable to
improved asset performance coupled with paydown and/or additional
defeasance. Upgrades to classes A-S, B and X-A are not likely due
to continued performance and refinance concerns with the regional
mall loans/assets, but could occur if performance stabilizes and/or
any of these loans/assets are resolved with better recoveries than
expected; this includes the successful refinancing of the Augusta
Mall loan at its August 2023 maturity. Classes would not be
upgraded above 'Asf' if there is likelihood for interest
shortfalls.

Upgrades to the 'Csf', 'CCsf' and 'CCCsf'-rated classes are
unlikely absent significant performance improvement on the FLOCs
and substantially higher recoveries than expected on the regional
mall FLOCs and REO 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.


WOODMONT 2022-9: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Woodmont 2022-9 Trust's
fixed- and floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle-market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by MidCap Financial Services Capital Management LLC.

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Woodmont 2022-9 Trust

  Class A-1A(i), $137.00 million: AAA (sf)
  Class A-1B(i), $44.00 million: AAA (sf)
  Class A-1L1(i),$30.00 million: AAA (sf)
  Class A-1L2(i),$50.00 million: AAA (sf)
  Class A-2, $9.00 million: AAA (sf)
  Class B-1(ii), $11.80 million: AA (sf)
  Class B-2(ii), $24.20 million: AA (sf)
  Class C (deferrable), $36.00 million: A (sf)
  Class D (deferrable), $27.00 million: BBB- (sf)
  Class E (deferrable), $27.00 million: BB- (sf)
  Subordinated notes, $54.90 million: Not rated

(i)Class A-1A and A-1B notes and class A-1L1 and A-1L2 loans are
paid pro rata. On any payment date, all of the class A-1L1 loans
may be converted to class A-1A notes. Class A-1A notes may not be
converted into class A-1L1 loans.

(ii)Class B-1 and B-2 notes are paid pro rata.



[*] DBRS Reviews 16 Classes From 2 U.S. RMBS Transactions
---------------------------------------------------------
DBRS, Inc. reviewed 16 classes from two U.S. single-family rental
transactions. Of the 16 classes reviewed, DBRS Morningstar
confirmed all 16 ratings as follows:

Progress Residential 2021-SFR2 Trust

-- Class A confirmed at AAA (sf)
-- Class B confirmed at AAA (sf)
-- Class C confirmed at AA (high) (sf)
-- Class D confirmed at A (high) (sf)
-- Class E-1 confirmed at BBB (high) (sf)
-- Class E-2 confirmed at BBB (low) (sf)
-- Class F confirmed at BB (low) (sf)
-- Class G confirmed at B (low) (sf)

Progress Residential 2021-SFR4 Trust

-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (low)(sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BBB (high) (sf)
-- Class E-1 confirmed at BBB (sf)
-- Class E-2 confirmed at BBB (low) (sf)
-- Class F confirmed at BB (low) (sf)
-- Class G confirmed at B (low) (sf)

The rating confirmations reflect asset performance and
credit-support levels that are consistent with the current
ratings.

DBRS Morningstar's rating actions are based on the following
analytical consideration:

-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.


[*] Moody's Takes Action on $396MM of US RMBS Issued 2003 to 2007
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 17 bonds from
10 US residential mortgage backed transactions (RMBS), backed by
Alt-A and subprime mortgages issued by multiple issuers.

A List of Affected Credit Ratings is available at
https://bit.ly/3aUzkz3

Complete rating actions are as follows:

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-HE1

Cl. A-1B2, Upgraded to Aa2 (sf); previously on Apr 13, 2018
Upgraded to A1 (sf)

Underlying Rating: Upgraded to Aa2 (sf); previously on Apr 13, 2018
Upgraded to A1 (sf)

Financial Guarantor: Assured Guaranty Corp (Upgraded to A2, Outlook
Stable on March 18, 2022)

Cl. A-2D, Upgraded to Aa2 (sf); previously on Apr 13, 2018 Upgraded
to A1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2006-NC2

Cl. A-1, Upgraded to A1 (sf); previously on Jan 23, 2020 Upgraded
to A3 (sf)

Issuer: CSFB Home Equity Asset Trust 2006-3

Cl. M-1, Upgraded to Aa2 (sf); previously on Jan 10, 2020 Upgraded
to A1 (sf)

Issuer: CSFB Home Equity Asset Trust 2006-4

Cl. 1-A-1, Upgraded to Aaa (sf); previously on Jan 10, 2020
Upgraded to Aa1 (sf)

Cl. 2-A-4, Upgraded to A1 (sf); previously on Jan 10, 2020 Upgraded
to A3 (sf)

Issuer: Saxon Asset Securities Trust 2007-3

Cl. 1-A, Upgraded to A2 (sf); previously on Dec 19, 2019 Upgraded
to Baa1 (sf)

Cl. 2-A3, Upgraded to Ba3 (sf); previously on Dec 19, 2019 Upgraded
to B2 (sf)

Cl. 2-A4, Upgraded to Ba3 (sf); previously on Dec 19, 2019 Upgraded
to B2 (sf)

Issuer: Soundview Home Loan Trust 2006-WF1

Cl. A-4, Upgraded to Baa2 (sf); previously on Dec 20, 2018 Upgraded
to Ba1 (sf)

Issuer: Aegis Asset Backed Securities Trust 2004-3

Cl. M2, Upgraded to Baa3 (sf); previously on Jun 21, 2017 Upgraded
to Ba2 (sf)

Cl. M3, Upgraded to B1 (sf); previously on Jun 21, 2017 Upgraded to
B3 (sf)

Issuer: Structured Asset Securities Corp 2003-BC2

Cl. M-3, Upgraded to A1 (sf); previously on May 9, 2018 Upgraded to
A3 (sf)

Issuer: Structured Asset Securities Corp Trust 2007-WF1

Cl. A1, Upgraded to Ba1 (sf); previously on Dec 19, 2019 Upgraded
to Ba3 (sf)

Cl. A4, Upgraded to Aa3 (sf); previously on Feb 28, 2019 Upgraded
to A2 (sf)

Cl. A6, Upgraded to Ba1 (sf); previously on Dec 19, 2019 Upgraded
to Ba3 (sf)

Issuer: Structured Asset Securities Corporation Series 2005-AR1

Cl. M2, Upgraded to Ba2 (sf); previously on Apr 9, 2018 Upgraded to
B1 (sf)

RATINGS RATIONALE

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

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

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

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

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

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

Principal Methodologies

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

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

Up

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

Down

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


[*] Moody's Takes Action on $89.3MM of US RMBS Issued 2005-2006
---------------------------------------------------------------
Moody's Investors Service takes action on the ratings of four bonds
from three US residential mortgage backed transactions (RMBS),
backed by subprime mortgages issued by multiple issuers.

A list of Affected Credit Ratings is available at
https://bit.ly/3x7TDjT

Complete rating actions are as follows:

Issuer: Long Beach Mortgage Loan Trust 2005-3

Cl. I-A, Upgraded to Baa1 (sf); previously on May 17, 2018 Upgraded
to Baa3 (sf)

Issuer: Long Beach Mortgage Loan Trust 2006-WL3

Cl. I-A, Upgraded to Ba3 (sf); previously on May 17, 2018 Upgraded
to B2 (sf)

Issuer: MASTR Asset Backed Securities Trust 2006-AM3

Cl. A-3, Upgraded to Baa3 (sf); previously on May 6, 2019 Upgraded
to Ba2 (sf)

Cl. A-4, Upgraded to Ba2 (sf); previously on May 6, 2019 Upgraded
to B1 (sf)

RATINGS RATIONALE

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

In light of the current macroeconomic environment, Moody's revised
loss expectations based on forecast uncertainties with regard to
the COVID-19 pandemic. Moody's rating actions also take into
consideration the buildup in credit enhancement of the bonds,
especially in an environment of elevated prepayment rates, which
has helped offset the impact of the increase in expected losses
spurred by the pandemic.

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

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

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

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

Principal Methodologies

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

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

Up

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

Down

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


[*] S&P Discontinues D Ratings on 22 Classes from 11 US CMBS Certs
------------------------------------------------------------------
S&P Global Ratings discontinued its 'D (sf)' (default) ratings on
22 classes of commercial mortgage pass-through certificates from 11
U.S. CMBS transactions.

S&P said, "We discontinued these ratings according to our
surveillance and withdrawal policies. We previously lowered the
ratings on these classes to 'D (sf)' because of principal losses
and/or accumulated interest shortfalls that we believed would
remain outstanding for an extended period of time. We view a
subsequent upgrade to a rating higher than 'D (sf)' to be unlikely
under the relevant criteria for the classes within this review."

  Ratings Discontinued

  COMM 2012-CCRE4 Mortgage Trust

   -- Class D to NR from 'D (sf)'

  CG-CCRE Commercial Mortgage Trust 2014-FL1

   -- Class YTC3 to NR from 'D (sf)'

  CG-CCRE Commercial Mortgage Trust 2014-FL2

   -- Class X-EXT to NR from 'D (sf)'
   -- Class E to NR from 'D (sf)'

  GS Mortgage Securities Trust 2013-GC10

   -- Class F to NR from 'D (sf)'

  HMH Trust 2017-NSS

   -- Class F to NR from 'D (sf)'

  Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8

    -- Class G to NR from 'D (sf)'

  JPMorgan Chase Commercial Mortgage Securities Corp.

   -- Series 2005-CIBC11, class H to NR from 'D (sf)'

  JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20

   -- Class H to NR from 'D (sf)'

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2

   -- Class G to NR from 'D (sf)'
   -- Class H to NR from 'D (sf)'

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL11

   -- Class X-EXT to NR from 'D (sf)'
   -- Class F to NR from 'D (sf)'

  Natixis Commercial Mortgage Securities Trust 2018-FL1

   -- Class D NR D
   -- Class X-EXT to NR from D
   -- Class NHP2 to NR from D
   -- Class V-FNH to NR from D
   -- Class V-NHP to NR from D
   -- Class V-P to NR from D
   -- Class V-XF to NR from D
   -- Class X-F NR to from D
   -- Class X-FNH to NR from D

NR--Not rated. D--Default.



                            *********

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