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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, July 17, 2022, Vol. 26, No. 197

                            Headlines

A10 BRIDGE 2019-B: DBRS Confirms B Rating on Class F Certs
ACC AUTO 2021-A: Moody's Upgrades Rating on Class C Notes From Ba1
AJAX MORTGAGE 2022-B: DBRS Gives Prov. BB Rating on Cl. M-2 Notes
ANGEL OAK 2022-4: Fitch Assigns 'B' Rating on Class B2 Certs
AREIT 2022-CRE7: DBRS Gives Prov. B(low) Rating on Class G Notes

ARES LOAN II: S&P Assigns BB- (sf) Rating on Class E Notes
ARROYO MORTGAGE 2022-2: S&P Assigns Prelim 'B' Rating on B-2 Notes
AVIS BUDGET 2022-3: Moody's Assigns (P)Ba2 Rating to Class D Notes
AVIS BUDGET 2022-4: Moody's Assigns (P)Ba2 Rating to Class D Notes
BAIN CAPITAL 2022-5: Fitch Assigns 'BB-' Rating on Class E Debt

BANK 2019-BNK22: DBRS Confirms BB Rating on Class G Certs
BB-UBS TRUST 2012-TFT: DBRS Confirms CCC Rating on Class E Certs
BBCMS 2021-AGW: DBRS Confirms B(low) Rating on Class G Certs
BBCMS MORTGAGE 2020-C8: DBRS Confirms B Rating on Class J-RR Certs
BBCMS MORTGAGE 2022-C16: DBRS Gives Prov. B(low) Rating on H Notes

BDS 2021-FL8: DBRS Confirms B(low) Rating on Class G Notes
BEAR STEARNS 2007-TOP26: DBRS Cuts Certs Rating on 2 Classes to D
BFNS 2022-1: Moody's Assigns (P)Ba3 Rating to $10MM Class C Notes
BFNS 2022-1: Moody's Assigns Ba3 Rating to $10MM Class C Notes
BMO 2022-C2: Fitch Assigns 'B-' Rating on 2 Cert. Classes

BREAN ASSET 2022-RM4: DBRS Gives Prov. B Rating on Class M5 Notes
BRSP 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes
BSPRT 2022-FL9: DBRS Gives Prov. B(low) Rating on Class H Notes
BX COMMERCIAL 2022-CSMO: DBRS Finalizes BB Rating on Class F Certs
CANTOR COMMERCIAL 2016-C3: Fitch Cuts Rating on 2 Tranches to CC

CARLYLE US 2022-4: Fitch Assigns 'BB(EXP)' Rating on Class E Debt
CASCADE FUNDING 2022-HB8: DBRS Gives Prov. B Rating on M6 Notes
CF 2019-CF1: S&P Lowers Class 65X2 Bonds Rating to 'CCC (sf)'
CFCRE TRUST 2018-TAN: DBRS Confirms BB Rating on Class E Certs
CFMT 2022-HB8: DBRS Finalizes B Rating on Class M6 Notes

CIG AUTO 2021-1: DBRS Confirms BB Rating on Class E Notes
CIM TRUST 2022-R2: DBRS Finalizes BB Rating on Class B2 Notes
CITIGROUP 2013-GC17: Fitch Affirms CCC Rating on Class F Certs
CITIGROUP 2015-GC35: Fitch Lowers Class F Certs Rating to 'CC'
CITIGROUP 2017-B1: Fitch Affirms B- Rating on Class F Certs

CITIGROUP 2019-GC41: Fitch Affirms 'B-' Rating on Class GRR Certs
CITIGROUP 2022-GC48: DBRS Gives Prov. BB(low) Rating on YL-C Certs
CITIGROUP COMMERCIAL 2013-GC15: Fitch Affirms B- on 2 Classes
CITIGROUP COMMERCIAL 2017-P8: Fitch Affirms B- Rating on 2 Tranches
CITIGROUP MORTGAGE 2022-RP3: Fitch Assigns B Rating on B-2 Debt

COLT 2022-6: Fitch Assigns 'B' Rating on Class B2 Certificates
COMM 2012-CCRE1: Moody's Lowers Rating on Cl. C Certs to Ba1
COMM 2012-CCRE3: Moody's Lowers Rating on Cl. F Certs to C
CONN’S RECEIVABLES 2022-A: Fitch Gives 'B(EXP)' Rating on C Notes
CSAIL 2017-CX9: Fitch Affirms B- Rating on Class F Certificates

CSAIL 2019-C17: Fitch Affirms B- Rating on Class GRR Debt
DRYDEN 108 CLO: Moody's Assigns (P)B3 Rating to $2.5MM Cl. F Notes
ELLINGTON FINANCIAL 2022-3: Fitch Gives B(EXP) Rating on B2 Debt
ENCINA EQUIPMENT 2022-1: DBRS Gives Prov. BB Rating on E Notes
FREDDIE MAC 2022-DNA5: DBRS Gives Prov. B Rating on 7 Classes

FS RIALTO 2022-FL5: DBRS Gives Prov. B(low) Rating on Cl. G Notes
GENERATE CLO 10: Fitch Assigns 'BB-' Rating on Class E Debt
GENERATE CLO 10: Moody's Assigns B3 Rating to $1MM Class F Notes
GS MORTGAGE 2010-C1: DBRS Confirms C Rating on Class D Certs
GS MORTGAGE 2015-590M: S&P Affirms BB (sf) Rating on Class E Certs

JP MORGAN 2011-C3: DBRS Confirms B Rating on Class E Certs
JP MORGAN 2018-WPT: DBRS Confirms B(low) Rating on 2 Classes
JP MORGAN 2022-7: Fitch Assigns 'B' Rating on B-5 Debt
JP MORGAN 2022-DATA: DBRS Gives Prov. BB Rating on Class E Certs
JPMBB COMMERCIAL 2015-C27: DBRS Confirms CCC Rating on 2 Classes

KKR CLO 49: Fitch Assigns 'BB-' Rating on Class E Debt
KKR CLO 49: Moody's Assigns B3 Rating to $500,000 Class F Notes
KREST COMMERCIAL 2021-CHIP: DBRS Confirms B Rating on Cl. F Trust
MFA 2022-NQM2: DBRS Finalizes B Rating on Class B-2 Certs
MFA TRUST 2022-RPL1: Fitch Assigns 'B(EXP)' Rating on Cl. B-3 Debt

MORGAN STANLEY 2013-C10: Moody's Affirms B2 Rating on Cl. C Certs
MORGAN STANLEY 2018-SUN: DBRS Confirms B Rating on Class G Certs
MORGAN STANLEY 2019-PLND: DBRS Confirms B(low) Rating on G Certs
NATIXIS 2019-MILE: DBRS Confirms B(low) Rating on Class F Certs
NEW RESIDENTIAL 2022-NQM4: Fitch Assigns 'B+' Rating on B2 Notes

PALISADES CENTER 2016-PLSD: Moody's Cuts Cl. B Certs Rating to B2
PIKES PEAK 11: Moody's Assigns B3 Rating to $1MM Class F Notes
PRKCM 2022-AFC1: DBRS Finalizes B Rating on Class B-2 Notes
READY CAPITAL 2022-FL9: DBRS Gives Prov. B(low) Rating on G Notes
ROCKFORD TOWER 2022-2: Fitch Assigns 'BB' Rating on Class E Debt

ROCKFORD TOWER 2022-2: Moody's Assigns B3 Rating to Class F Notes
RR 21 LTD: Moody's Assigns B3 Rating to $2MM Class E Notes
RR 21: Fitch Assigns 'BB' Rating on Class D Debt
SDART 2021-3: Moody's Hikes Rating on Class E Notes From Ba1
SHELTER GROWTH 2022-FL4: DBRS Gives Prov. B(low) Rating on G Notes

SIERRA TIMESHARE 2022-2: Fitch Gives BB(EXP) Rating on Cl. D Notes
SOHO TRUST 2021-SOHO: DBRS Confirms B Rating on 2 Classes of Certs
SREIT TRUST 2021-FLWR: DBRS Confirms B(low) Rating on Cl. F Certs
STARWOOD MORTGAGE 2022-4: Fitch Assigns B- Rating on B-2-RR Debt
STRATUS STATIC 2022-1: Fitch Rates Class F Debt 'B+sf'

STRATUS STATIC 2022-2: Fitch Assigns 'B+' Rating on Class F Debt
TOWD POINT 2022-1: Fitch Assigns 'B-(EXP)' Rating on Class B2 Debt
UPSTART SECURITIZATION 2022-3: Moody's Gives Ba2 Rating to B Notes
VELOCITY COMMERCIAL 2022-3: DBRS Gives Prov. B Rating on 3 Classes
VISIO 2022-1: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes

WELLS FARGO 2014-C22: Fitch Lowers Class D Certificates to B-sf
WELLS FARGO 2016-C34: DBRS Confirms CCC Rating on 2 Classes
WELLS FARGO 2016-NXS6: Fitch Affirms 'B-' Rating on 2 Tranches
WELLS FARGO 2021-C60: DBRS Confirms B(low) Rating on L-RR Certs
WESTLAKE AUTOMOBILE 2022-2: DBRS Gives Prov. B(high) on F Notes

[*] DBRS Reviews 1200 Classes from 34 U.S. RMBS Transactions
[*] Fitch Affirms 11 SLM & 1 Navient Private Student Loan Trusts
[*] Moody's Upgrades Rating on $184MM of US RMBS Issued 2005-2006

                            *********

A10 BRIDGE 2019-B: DBRS Confirms B Rating on Class F Certs
----------------------------------------------------------
DBRS, Inc. upgraded its ratings on three classes of Commercial
Mortgage Pass-Through Certificates, Series 2019-B issued by A10
Bridge Asset Financing 2019-B, LLC (the Issuer) as follows:

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

DBRS Morningstar also confirmed its ratings on three classes as
follows:

-- Class A-S at AAA (sf)
-- Class E at BB (sf)
-- Class F at B (sf)

In addition, DBRS Morningstar discontinued its rating on Class A as
it was paid in full with the June 2022 remittance. Finally, DBRS
Morningstar changed the trend on Class F to Stable from Negative,
while the trends on all other classes remain Stable.

The rating upgrades and trend change reflect the increased credit
support to the bonds as a result of successful loan repayment,
representing a collateral reduction of 57.4% since issuance based
on the June 2022 remittance. 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.

The initial collateral consisted of 36 fixed-rate and eight
floating-rate mortgages secured by cash-flowing assets, many of
which are in a period of transition with plans to stabilize and
improve the asset value. At issuance, the pool had an initial trust
balance of $281.1 million, excluding approximately $83.3 million of
available future funding commitments. The transaction included a
24-month reinvestment period that expired in September 2021, at
which point the bonds began to amortize sequentially with loan
repayment and scheduled loan amortization.

In total, 42 loans have been repaid from the trust, and 14 loans
were added to the pool during the reinvestment period. According to
the June 2022 remittance report, 16 loans remain in the pool with a
current principal balance of $136.4 million. According to the
collateral manager, cumulative loan future funding of $15.7 million
has been advanced to nine individual borrowers to date to aid in
business plan completion. An additional $27.4 million of loan
future funding allocated to 12 individual borrowers remains
outstanding. There are two loans in special servicing (22.3% of the
current trust balance) and four loans on the servicer's watchlist
(36.1% of the current trust balance).

The second-largest loan in the pool, Gowanus Assemblage (Propectus
ID#4, 12.0% of the current trust balance), was originally secured
by four adjacent mixed-use buildings, totalling 57,418 square feet
(sf), located in Brooklyn, New York. The loan transferred to
special servicing in August 2020 for payment default after the
borrower informed the servicer it would no longer be able to fund
debt service because the coworking space tenant, Fresh Space
Gowanus LLC (dba The Yard, 58.4% of the net rentable area), had
stopped making rental payments. The loan last paid its debt service
in April 2020 and the collateral manager is currently pursuing
collection efforts against the guarantor as a May 2022 hearing
resulted in a $31.4 million judgment in favor of the trust. It is
unknown whether the collateral manager will ultimately be able to
succeed those collections efforts given the guarantor's financial
wherewithal and propensity for litigation. Based on the July 2021
appraisal, the property was valued at $18.4 million, a 40.6%
decline from the issuance value of $31.0 million. The decline in
value stemmed not only from the unrealized business plan but the
reduction in collateralized improvements, as the borrower
demolished one building from closing but has yet to rebuild it.
DBRS Morningstar applied a liquidation scenario in its analysis for
this review with a projected whole loan loss severity in excess of
50.0% and an A note loss severity in excess of 40.0%.

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



ACC AUTO 2021-A: Moody's Upgrades Rating on Class C Notes From Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded Class C notes issued by ACC
Auto Trust 2021-A. The notes are backed by a pool of retail
automobile loan contracts originated and serviced by Automotive
Credit Corporation (ACC).

The complete rating actions are as follows:

Issuer: ACC Auto Trust 2021-A

Class C Notes, Upgraded to Baa2 (sf); previously on Mar 3, 2022
Upgraded to Ba1 (sf)

RATINGS RATIONALE

The upgrades are primarily a result of buildup in the credit
enhancement to the notes due to structural features including
non-declining reserve accounts, overcollateralization, and the
sequential pay structure of the transaction. The rating action also
reflects recent performance trends on the underlying pool and
Moody's current loss expectations for the pool. Moody's lifetime
cumulative net loss expectation  for the pool is 21%.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating 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 rating:

Up

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

Down

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


AJAX MORTGAGE 2022-B: DBRS Gives Prov. BB Rating on Cl. M-2 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Securities, Series 2022-B (the Notes) to be issued
by Ajax Mortgage Loan Trust 2022-B (the Trust or the Issuer):

-- $161.3 million Class A-1 at AAA (sf)
-- $4.6 million Class A-2 at AA (sf)
-- $4.0 million Class A-3 at A (sf)
-- $3.0 million Class M-1 at BBB (sf)
-- $14.8 million Class M-2 at BB (sf)

The AAA (sf) rating on the Notes reflects 26.95% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), and BB (sf) ratings reflect 24.85%, 23.05%, 21.70%,
and 15.00% 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 mortgage-backed securities (the
Notes). The Notes are backed by 1,106 loans with a total principal
balance of $220,824,632 as of the Cut-Off Date (April 30, 2022).

Similar to the most recent DBRS Morningstar-rated AJAX
securitization (AJAX 2022-A), AJAX 2022-B 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 188 months seasoned. Although
the number of months clean (consecutively zero times 30 (0 x 30)
days delinquent) at issuance for Group 1 (84.1% 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 79.7% modified loans. The modifications
happened more than two years ago for 90.7% of the modified loans.
Within the pool, 122 mortgages (14.7% of the pool) have
non-interest-bearing deferred amounts of $2,685,532, which equate
to approximately 1.2% 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 (Gregory Funding) 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 44 securitizations
under the Ajax Mortgage Loan Trust shelf prior to AJAX 2022-B.
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 (Funded Redemption),

-- Beginning three years after the Closing Date at the direction
of the Depositor (Optional Redemption), or

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

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 (EOD). Prior to the
Redemption Date or an EOD, any available funds remaining after
Class A-1 is paid in full will be deposited into a Redemption
Account.

After the Payment Date in May 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 EOD.

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 EOD.

If a Redemption Date or an EOD 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 (Net WAC) or available
funds. This feature causes the structure to need elevated
subordination levels relative to a comparable structure with
fixed-capped interest rates because more principal must be used to
cover interest shortfalls. 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 most prior DBRS Morningstar-rated Ajax-seasoned RPL
securitizations, but similar to AJAX 2022-A, 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; 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 the related Presale
Report.

CORONAVIRUS DISEASE (COVID-19) IMPACT

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forbear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low 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 downwards, as forbearance periods come to
an end for many borrowers.

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



ANGEL OAK 2022-4: Fitch Assigns 'B' Rating on Class B2 Certs
------------------------------------------------------------
Fitch Ratings has assigned final ratings to Angel Oak Mortgage
Trust 2022-4 (AOMT 2022-4).

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

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   BBB-sf   New Rating   BBB-(EXP)sf

B-1      LT   BBsf     New Rating   BB(EXP)sf

B-2      LT   Bsf      New Rating   B(EXP)sf

B-3      LT   NRsf     New Rating   NR(EXP)sf

A-IO-S   LT   NRsf     New Rating   NR(EXP)sf

XS       LT   NRsf     New Rating   NR(EXP)sf

R        LT   NRsf     New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates to be issued by AOMT 2022-4, as indicated above. The
certificates are supported by 407 loans with a balance of $184.75
million as of the cutoff date. This represents the 24 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, Angel Oak Home Loans LLC, 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, 65.6% are designated as nonqualified
mortgage (non-QM) loans, and 34.4% are investment properties not
subject to the Ability to Repay (ATR) Rule.

There is no LIBOR exposure in this transaction, as none of the ARM
loan reference one-year LIBOR, and the bonds do not have LIBOR
exposure. The class A-1, A-2, and A-3 certificates are fixed rate,
capped at the net weighted average coupon (WAC) and have a step up
feature, the 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, A-2 and A-3 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 8.5% 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-QM Credit Quality (Mixed): The collateral consists of 407 loans
totaling $184.75 million and seasoned at approximately seven months
in aggregate, according to Fitch, and six months per the
transaction documents. The borrowers have a strong credit profile
(730 FICO and 39.6% debt-to-income [DTI] ratio, as determined by
Fitch), along with relatively moderate leverage, with an original
combined loan-to-value ratio (cLTV) of 75.1%, as determined by
Fitch, which translates to a Fitch-calculated sustainable LTV
(sLTV) of 80.2%.

Of the pool, 61.6% represents loans where the borrower maintains a
primary or secondary residence, while the remaining 38.4% comprises
investor properties based on Fitch's analysis. Fitch determined
that 16.5% of the loans were originated through a retail channel.

Additionally, 65.6% are designated as non-QM, while the remaining
34.4% are exempt from QM status since they are investor loans.

The pool contains 29 loans over $1.0 million, with the largest
amounting to $3.1 million.

Loans on investor properties (14.7% underwritten to the borrower's
credit profile and 23.7% comprising investor cash flow loans)
represent 38.4% of the pool, as determined by Fitch. There are no
second lien loans, and 3.4% of borrowers were viewed by Fitch as
having a prior credit event in the past seven years. Per the
transaction documents, none 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 none of the loans to have subordinate
financing.

Fitch determined 26 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.

The largest concentration of loans is in California (30.4%),
followed by Florida and Texas. The largest MSA is Los Angeles
(14.3%), followed by Miami (10.6%) and Phoenix (6.4%). The top
three MSAs account for 31.2% of the pool. As a result, there was a
no penalty for geographic concentration.

Loan Documentation (Negative): Fitch determined that 92.0% of the
loans in the pool were underwritten to borrowers with less than
full documentation. Per the transaction documents, 86.6% 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, 55.7% 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,
23.7% comprise a debt service coverage ratio product, 1.3% are an
asset depletion product, 0.4% are a DU/LP approved/eligible product
and 4.9% are third-party prepared 12 months-24 months profit and
loss statements with the majority of these loans having two
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, A-2, and A-3 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, A-2 and A-3 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, A-2 and A-3 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 and the A-3 being paid ultimate
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 40.5% 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 0.51%.

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.


AREIT 2022-CRE7: DBRS Gives Prov. B(low) Rating on Class G Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by AREIT 2022-CRE7 LLC (AREIT 2022-CRE7):

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

All trends are Stable.

The initial collateral consists of 38 short-term, floating-rate
mortgage assets with an aggregate cut-off date balance of $955.6
million secured by 50 mortgaged properties. The aggregate unfunded
future funding commitment of the future funding participations as
of the cut-off date is approximately $147.9 million. The collateral
pool for the transaction is static with no ramp-up period or
reinvestment period. However, the Issuer has the right to use
principal proceeds to acquire fully funded future funding
participations subject to stated criteria during the Permitted
Funded Companion Participation Acquisition Period, which begins on
the closing date and ends on or about the Payment Date in December
2024. Acquisitions of future funding participations will require
rating agency confirmation (RAC). Interest can be deferred for the
Class C Notes, Class D Notes, Class E Notes, Class F Notes, and
Class G Notes, and interest deferral will not result in an event of
default. The transaction will have a sequential-pay structure.

Of the 38 loans, 31 are secured by multifamily assets (82.7% of the
pool. The remaining loans are secured by two office properties
(6.3% of the pool), two industrial properties (4.6% of the pool),
one retail property (3.8% of the pool), and two hotel properties
(2.7% of the pool).

The loans are mostly secured by cash-flowing assets, most of which
are in a period of transition with plans to stabilize and improve
the asset value. Six loans, representing 19.8% of the total pool
balance, are whole loans, and the other 31 loans (76.4% of the
mortgage asset cut-off date balance) are participations with
companion participations that have remaining future funding
commitments totaling $147.9 million. The future funding for each
loan is generally to be used for capital expenditures to renovate
the property or build out space for new tenants.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the debt service
payments were measured against the DBRS Morningstar As-Is net cash
flow (NCF), 35 loans, comprising 92.5% of the initial pool balance,
had a DBRS Morningstar As-Is debt service coverage ratio (DSCR) of
1.00 times (x) or lower, a threshold indicative of default risk.
However, the DBRS Morningstar Stabilized DSCR of 25 loans,
comprising 65.8.1% of the initial pool balance, was 1.00x or lower,
which is indicative of elevated refinance risk. The properties are
often transitioning with potential upside in cash flow; however,
DBRS Morningstar does not give full credit to the stabilization if
there are no holdbacks or if the other loan structural features are
insufficient to support such treatment. Furthermore, even if the
structure is acceptable, DBRS Morningstar generally does not assume
the assets will stabilize above market levels.

The transaction is sponsored by AREIT, an affiliate of Argentic
Real Estate Finance, LLC (Argentic). As of March 31, 2022, Argentic
has originated $14.7 billion of loans and securitized $8.4 billion
in real estate assets through 51 transactions. AREIT 2022-CRE7 will
be AREIT's seventh commercial real estate collateralized loan
obligation transaction. Argentic was founded in 2013 and employs
approximately 55 full-time professionals with offices in New York,
Los Angeles, Dallas, and Chicago. AREIT 2022-CRE7 Holder LLC, a
majority-owned affiliate of AREIT, expects to retain the Class F,
G, and H Notes, collectively representing the most subordinate
18.250% of the transaction by principal balance.

The majority of the pool comprises primarily multifamily properties
(82.7% of the pool balance), which have historically shown lower
defaults and losses. Multifamily properties benefit from staggered
lease rollover and generally low expense ratios compared with other
property types. While revenue is quick to decline in a downturn
because of the short-term nature of the leases, it is also quick to
respond when the market improves.

Thirty-three loans, or 87.4% of the pool balance, represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, resulting
in a higher sponsor cost basis in the underlying collateral, and it
aligns the financial interests of both the sponsor and the lender.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that a related loan sponsor will not successfully execute
its business plans and that the higher stabilized cash flow will
not materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. The
loan sponsor's failure to execute the business plans could result
in a term default or the inability to refinance the fully funded
loan balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plans to be rational and the loan structure to be
sufficient to substantially implement such plans. In addition, DBRS
Morningstar analyzes loss severity given default based on the as-is
credit metrics, assuming the loan is fully funded with no NCF or
value upside. Future funding companion participations will be held
by affiliates of AREIT who have the obligation to make future
advances. AREIT agrees to indemnify the Issuer against losses
arising out of the failure to make future advances when required
under the related participated loan. Furthermore, AREIT will be
required to meet certain liquidity requirements on a quarterly
basis.

All 38 loans have floating interest rates, and all loans are
interest-only (IO) during their original terms of 24 months to 36
months, creating interest rate risk. Fourteen loans (42.5% of the
mortgage asset cut-off date balance) amortize during extension
options. All loans are short-term loans and, even with extension
options, they have a fully extended maximum loan term of five
years. For the floating-rate loans, DBRS Morningstar adjusted the
one-month Libor index, based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. The borrowers of all 38
floating-rate loans have purchased Libor rate caps with strike
prices that range from 0.25% to 3.25% to protect against rising
interest rates through the duration of the loan term. In addition
to the fulfillment of certain minimum performance requirements,
exercising any extension options would also require the repurchase
of interest rate cap protection through the duration of the
respectively exercised option.

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



ARES LOAN II: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Ares Loan Funding II
Ltd./Ares Loan Funding II LLC 's floating-rate notes. The
transaction is managed by Ares 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

  Ares Loan Funding II Ltd./Ares Loan Funding II LLC

  Class A, $240.00 million: AAA (sf)
  Class B, $64.00 million: AA (sf)
  Class C (deferrable), $23.50 million: A (sf)
  Class D (deferrable), $23.00 million: BBB- (sf)
  Class E (deferrable), $12.75 million: BB- (sf)
  Subordinated notes, $28.35 million: Not rated



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

The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate residential mortgage loans, including
mortgage loans with initial interest-only periods, to both prime
and nonprime borrowers. The pool has 1,055 loans, which are
primarily non-qualified mortgage (non-QM/ability to repay [ATR])
and ATR-exempt loans. The loans are secured by single-family
residential properties, planned-unit developments, condominiums,
rowhouses, and two- to four-family residential properties.

The preliminary ratings are based on information as of July 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 pool's collateral composition;

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

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

  Preliminary Ratings Assigned

  Arroyo Mortgage Trust 2022-2(i)

  Class A-1, $281,104,000: AAA (sf)
  Class A-2, $23,928,000: AA (sf)
  Class A-3, $29,157,000: A (sf)
  Class M-1, $17,694,000: BBB (sf)
  Class B-1, $12,668,000: BB (sf)
  Class B-2, $9,250,000: B (sf)
  Class B-3, $28,351,867: Not rated
  Class A-IO-S, Notional(ii): Not rated
  XS, Notional(ii): Not rated
  Owner trust certificate, N/A: Not rated

(i)The collateral and structural information in this report
reflects the preliminary private placement memorandum dated July 6,
2022.

(ii)Notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
N/A--Not applicable.



AVIS BUDGET 2022-3: Moody's Assigns (P)Ba2 Rating to Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC
(the issuer). The series 2022-3 notes will have an expected final
maturity of approximately 41 months. The issuer is an indirect
subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, B1
stable). ABCR, a subsidiary of Avis Budget Group, Inc., is the
owner and operator of Avis Rent A Car System, LLC (Avis), Budget
Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental,
Inc. (Payless) and Budget Truck.

The complete rating actions are as follows:

Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2022-3

Series 2022-3 Rental Car Asset Backed Notes, Class A, Assigned
(P)Aaa (sf)

Series 2022-3 Rental Car Asset Backed Notes, Class B, Assigned
(P)A2 (sf)

Series 2022-3 Rental Car Asset Backed Notes, Class C, Assigned
(P)Baa3 (sf)

Series 2022-3 Rental Car Asset Backed Notes, Class D, Assigned
(P)Ba2 (sf)

RATINGS RATIONALE

The provisional ratings on the series 2022-3 notes are based on (1)
the credit quality of the collateral in the form of rental fleet
vehicles, which ABCR uses in its rental car business, (2) the
credit quality of ABCR as the primary lessee and as guarantor under
the operating lease, (3) the proven track-record and expertise of
ABCR as sponsor and administrator, (4) consideration of the vastly
improved rental car market conditions, (5) the available dynamic
credit enhancement, which consists of subordination and
over-collateralization, (6) minimum liquidity in the form of cash
and/or a letter of credit, and (7) the transaction's legal
structure.

The total credit enhancement requirement for the series 2022-3
notes will be dynamic and determined as the sum of (1) 5.65% for
vehicles subject to a guaranteed depreciation or repurchase program
from eligible manufacturers (program vehicles) rated at least Baa3
by Moody's, (2) 9.15% for all other program vehicles, (3) 13.75%
minimum for non-program (risk) vehicles and (4) 35.65% for medium
and heavy duty trucks, in each case, as a percentage of the
outstanding note balance. The actual required amount of credit
enhancement will fluctuate based on the mix of vehicles in the
securitized fleet. As in prior issuances, the transaction documents
stipulate that the required total enhancement shall include a
minimum portion which is liquid (in cash and/or a letter of
credit), sized as a percentage of the outstanding note balance,
rather than fleet vehicles. The class A, B, C notes will also
benefit from subordination of 28.5%, 18.5% and 12.0% of the
outstanding balance of the series 2022-3 notes, respectively.

The assumptions Moody's applied in its analysis of this
transaction:

Risk of sponsor default: Moody's assumed a 60% decrease in the
probability of default (from Moody's idealized default probability
tables) implied by the B1 rating of the sponsor. This decrease
reflects Moody's view that, in the event of a bankruptcy, ABCR
would be more likely to reorganize under a Chapter 11 bankruptcy
filing, as it would likely realize more value as an ongoing
business concern than it would if it were to liquidate its assets
under a Chapter 7 filing. Furthermore, given the sponsor's
competitive position within the industry and the size of its
securitized fleet relative to its overall fleet, the sponsor is
likely to affirm its lease payment obligations in order to retain
the use of the fleet and stay in business. Moody's arrived at the
60% decrease assuming an 80% probability that Avis would reorganize
under a Chapter 11 bankruptcy and a 75% probability (90% assumed
previously) that Avis would affirm its lease payment obligations in
the event of a Chapter 11 bankruptcy.

Disposal value of the fleet: Moody's assumed the following haircuts
to the net book value (NBV) of the vehicle fleet:

Non-Program Haircut upon Sponsor Default (Car): Mean: 19%

Non-Program Haircut upon Sponsor Default (Car): Standard Deviation:
6%

Non-Program Haircut upon Sponsor Default (Truck): Mean: 35%

Non-Program Haircut upon Sponsor Default (Truck): Standard
Deviation: 8%

Non-Program Haircut upon Sponsor Default (Tesla electric vehicles
(EV)): Mean: 29%

Non-Program Haircut upon Sponsor Default (Tesla EV): Standard
Deviation: 10%

Fixed Program Haircut upon Sponsor Default: 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Car): 20%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Truck): 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Tesla EV): 50%

Fleet composition -- Moody's assumed the following fleet
composition (based on NBV of vehicle fleet):

Non-program Vehicles (Car and Tesla EV): 90.25%

Non-program Vehicles (Trucks): 5%

Program Vehicles (Car and Tesla): 4.75%

Non-program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 25%, 2, A3

Baa Profile: 47%, 2, Baa3

Ba/B Profile: 25%, 1, Ba3; 3%, 1, Ba1

Program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 0%, 0, A3

Baa Profile: 50%, 1, Baa3

Ba/B Profile: 50%, 1, Ba3

Manufacturer Receivables: 0%; receivables distributed in the same
proportion as the program fleet (Program Manufacturer Concentration
and Manufacturer Receivables together should add up to 100%)

Correlation: Moody's applied the following correlation
assumptions:

Correlation among the sponsor and the vehicle manufacturers: 10%

Correlation among all vehicle manufacturers: 25%

Default risk horizon -- Moody's assumed the following default risk
horizon:

Sponsor: 5 years

Manufacturers: 1 year

Moody's uses a fixed set of time horizon assumptions, regardless of
the remaining term of the transaction, when considering sponsor and
manufacturer default probabilities and the expected loss of the
related liabilities, which simplifies Moody's modeling approach
using a standard set of benchmark horizons.

Detailed application of the assumptions are provided in the
methodology.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Rental Vehicle
Securitizations Methodology" published in October 2021.

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

Up

Moody's could upgrade the ratings of the series 2022-3 notes, as
applicable if, among other things, (1) the credit quality of the
lessee improves, (2) the likelihood of the transaction's sponsor
defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and stronger
credit quality of vehicle manufacturers.

Down

Moody's could downgrade the ratings of the series 2022-3 notes if,
among other things, (1) the credit quality of the lessee weakens,
(2) the likelihood of the transaction's sponsor defaulting on its
lease payments were to increase, (3) the likelihood of the sponsor
accepting its lease payment obligation in its entirety in the event
of a Chapter 11 were to decrease and (4) assumptions of the credit
quality of the pool of vehicles collateralizing the transaction
were to weaken, as reflected by a weaker mix of program and
non-program vehicles and weaker credit quality of vehicle
manufacturers.


AVIS BUDGET 2022-4: Moody's Assigns (P)Ba2 Rating to Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC
(the issuer). The series 2022-4 notes will have an expected final
maturity of approximately 65 months. The issuer is an indirect
subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, B1
stable). ABCR, a subsidiary of Avis Budget Group, Inc., is the
owner and operator of Avis Rent A Car System, LLC (Avis), Budget
Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental,
Inc. (Payless) and Budget Truck.

The complete rating actions are as follows:

Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2022-4

Series 2022-4 Rental Car Asset Backed Notes, Class A, Assigned
(P)Aaa (sf)

Series 2022-4 Rental Car Asset Backed Notes, Class B, Assigned
(P)A2 (sf)

Series 2022-4 Rental Car Asset Backed Notes, Class C, Assigned
(P)Baa3 (sf)

Series 2022-4 Rental Car Asset Backed Notes, Class D, Assigned
(P)Ba2 (sf)

RATINGS RATIONALE

The provisional ratings on the series 2022-4 notes are based on (1)
the credit quality of the collateral in the form of rental fleet
vehicles, which ABCR uses in its rental car business, (2) the
credit quality of ABCR as the primary lessee and as guarantor under
the operating lease, (3) the proven track-record and expertise of
ABCR as sponsor and administrator, (4) consideration of the vastly
improved rental car market conditions, (5) the available dynamic
credit enhancement, which consists of subordination and
over-collateralization, (6) minimum liquidity in the form of cash
and/or a letter of credit, and (7) the transaction's legal
structure.

The total credit enhancement requirement for the series 2022-4
notes will be dynamic and determined as the sum of (1) 5.75% for
vehicles subject to a guaranteed depreciation or repurchase program
from eligible manufacturers (program vehicles) rated at least Baa3
by Moody's, (2) 9.25% for all other program vehicles, (3) 13.85%
minimum for non-program (risk) vehicles and (4) 35.75% for medium
and heavy duty trucks, in each case, as a percentage of the
outstanding note balance. The actual required amount of credit
enhancement will fluctuate based on the mix of vehicles in the
securitized fleet. As in prior issuances, the transaction documents
stipulate that the required total enhancement shall include a
minimum portion which is liquid (in cash and/or a letter of
credit), sized as a percentage of the outstanding note balance,
rather than fleet vehicles. The class A, B, C notes will also
benefit from subordination of 28.5%, 18.5% and 12.0% of the
outstanding balance of the series 2022-4 notes, respectively.

The assumptions Moody's applied in its analysis of this
transaction:

Risk of sponsor default: Moody's assumed a 60% decrease in the
probability of default (from Moody's idealized default probability
tables) implied by the B1 rating of the sponsor. This decrease
reflects Moody's view that, in the event of a bankruptcy, ABCR
would be more likely to reorganize under a Chapter 11 bankruptcy
filing, as it would likely realize more value as an ongoing
business concern than it would if it were to liquidate its assets
under a Chapter 7 filing. Furthermore, given the sponsor's
competitive position within the industry and the size of its
securitized fleet relative to its overall fleet, the sponsor is
likely to affirm its lease payment obligations in order to retain
the use of the fleet and stay in business. Moody's arrived at the
60% decrease assuming an 80% probability that Avis would reorganize
under a Chapter 11 bankruptcy and a 75% probability (90% assumed
previously) that Avis would affirm its lease payment obligations in
the event of a Chapter 11 bankruptcy.

Disposal value of the fleet: Moody's assumed the following haircuts
to the net book value (NBV) of the vehicle fleet:

Non-Program Haircut upon Sponsor Default (Car): Mean: 19%

Non-Program Haircut upon Sponsor Default (Car): Standard Deviation:
6%

Non-Program Haircut upon Sponsor Default (Truck): Mean: 35%

Non-Program Haircut upon Sponsor Default (Truck): Standard
Deviation: 8%

Non-Program Haircut upon Sponsor Default (Tesla electric vehicles
(EV)): Mean: 29%

Non-Program Haircut upon Sponsor Default (Tesla EV): Standard
Deviation: 10%

Fixed Program Haircut upon Sponsor Default: 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Car): 20%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Truck): 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Tesla EV): 50%

Fleet composition -- Moody's assumed the following fleet
composition (based on NBV of vehicle fleet):

Non-program Vehicles (Car and Tesla EV): 90.25%

Non-program Vehicles (Trucks): 5%

Program Vehicles (Car and Tesla EV): 4.75%

Non-program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 25%, 2, A3

Baa Profile: 47%, 2, Baa3

Ba/B Profile: 25%, 1, Ba3; 3%, 1, Ba1

Program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 0%, 0, A3

Baa Profile: 50%, 1, Baa3

Ba/B Profile: 50%, 1, Ba3

Manufacturer Receivables: 0%; receivables distributed in the same
proportion as the program fleet (Program Manufacturer Concentration
and Manufacturer Receivables together should add up to 100%)

Correlation: Moody's applied the following correlation
assumptions:

Correlation among the sponsor and the vehicle manufacturers: 10%

Correlation among all vehicle manufacturers: 25%

Default risk horizon -- Moody's assumed the following default risk
horizon:

Sponsor: 5 years

Manufacturers: 1 year

Moody's uses a fixed set of time horizon assumptions, regardless of
the remaining term of the transaction, when considering sponsor and
manufacturer default probabilities and the expected loss of the
related liabilities, which simplifies Moody's modeling approach
using a standard set of benchmark horizons.

Detailed application of the assumptions are provided in the
methodology.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Rental Vehicle
Securitizations Methodology" published in October 2021.

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

Up

Moody's could upgrade the ratings of the series 2022-4 notes, as
applicable if, among other things, (1) the credit quality of the
lessee improves, (2) the likelihood of the transaction's sponsor
defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and stronger
credit quality of vehicle manufacturers.

Down

Moody's could downgrade the ratings of the series 2022-4 notes if,
among other things, (1) the credit quality of the lessee weakens,
(2) the likelihood of the transaction's sponsor defaulting on its
lease payments were to increase, (3) the likelihood of the sponsor
accepting its lease payment obligation in its entirety in the event
of a Chapter 11 were to decrease and (4) assumptions of the credit
quality of the pool of vehicles collateralizing the transaction
were to weaken, as reflected by a weaker mix of program and
non-program vehicles and weaker credit quality of vehicle
manufacturers.


BAIN CAPITAL 2022-5: Fitch Assigns 'BB-' Rating on Class E Debt
---------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Bain Capital Credit CLO 2022-5, Limited.

   DEBT              RATING
   ----              ------
Bain Capital Credit CLO 2022-5, Limited

A                    LT   AAAsf    New Rating

B                    LT   NRsf     New Rating

C                    LT   Asf      New Rating

D                    LT   BBB-sf   New Rating

E                    LT   BB-sf    New Rating

Subordinated Notes   LT   NRsf     New Rating

TRANSACTION SUMMARY

Bain Capital Credit CLO 2022-5, Limited (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $400 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', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.9 versus a maximum covenant, in accordance with the
initial expected matrix point of 25.95. 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
100.0% first-lien senior secured loans. The weighted average
recovery assumption of the indicative portfolio is 76.2% versus a
minimum covenant, in accordance with the initial expected matrix
point of 75.0%.

Portfolio Composition (Positive): The largest three Fitch
industries may comprise up to 60.0% 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 different sets of industry limits, obligor and geographic
concentrations is generally in line with other recent U.S. CLOs.

Portfolio Management (Neutral): The transaction has a 3.0-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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 at the initial expected
matrix point, the rated notes can withstand default and recovery
assumptions consistent with their assigned ratings. The performance
of all classes of rated notes at the other permitted matrix points
is in line with other recent CLOs.

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
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A, between 'Bsf' and 'Asf' for class
C, between less than 'B-sf' and 'BBB-sf' for class D, and between
less than 'B-sf' and 'BBsf' for class E.

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

Upgrade scenarios are not applicable to the class A notes, as these
notes are in the highest rating category of 'AAAsf'.

At other rating levels, 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 between 'A+sf' and 'AA+sf' for the class
C notes, between 'Asf' and 'A+sf' for the class D notes, and
'BBB+sf' for the 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 its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


BANK 2019-BNK22: DBRS Confirms BB Rating on Class G Certs
---------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-BNK22 issued by BANK
2019-BNK22 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since the last rating action. At issuance, the
transaction consisted of 58 fixed-rate loans secured by 131
commercial and multifamily properties with an aggregate trust
balance of $1.2 billion. As of the May 2022 remittance, all of the
original loans remain in the pool with a current trust balance of
$1.19 billion. The pool benefits from one loan, representing 7.0%
of the current pool balance, that is fully defeased.

One loan, The Blvd (Prospectus ID#23, 1.2% of the pool), is in
special servicing. The Blvd is secured by a recently built
42,472-square-foot (sf) unanchored retail property in Myrtle Beach,
South Carolina. The loan transferred to special servicing in April
2020 following the borrower's request for relief in light of
performance disruptions as a result of the Coronavirus Disease
(COVID-19) pandemic. The loan is current, and the special servicer
and borrower are reportedly negotiating a full payoff.

There are 13 loans on the servicer's watchlist, representing 9.42%
of the pool. The largest loan on the servicer's watchlist, East
Side Manhattan Multifamily Portfolio (Prospectus ID#10, 3.7% of the
pool) is secured by a multifamily portfolio of four properties with
a total unit count of 138 situated in New York City. The loan was
added to the servicer's watchlist in September 2021 for a low debt
service coverage ratio, which was reported at 1.31 times (x) at
YE2021, down from 1.65x at YE2020. The decline is reportedly due to
rental reductions of approximately 25.0% during the coronavirus
pandemic in an effort to maintain occupancy. The occupancy rate
dropped to 78.0% in December 2020 but has steadily improved to
97.1% as of February 2022. Only 13 of the 138 units currently
received rental reductions ranging from 5.0% to 15.0%. As rental
concessions burn off, DBRS Morningstar expects performance to
restabilize.

At issuance, DBRS Morningstar shadow-rated three loans investment
grade, Park Tower at Transbay (Prospectus ID#1, 9.6% of the pool),
230 Park Avenue South (Prospectus ID#2, 9.2% of the pool), and
Midtown Center (Prospectus ID#3, 7.4% of the pool). Credit metrics
for these loans remain strong, in line with issuance expectations.
With this review, DBRS Morningstar confirms the characteristics of
these loans remain consistent with the investment-grade shadow
ratings they were assigned at issuance.

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



BB-UBS TRUST 2012-TFT: DBRS Confirms CCC Rating on Class E Certs
----------------------------------------------------------------
DBRS Limited confirmed the following ratings on the Commercial
Mortgage Pass-Through Certificates issued by BB-UBS Trust
2012-TFT:

-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at A (high)
-- Class C to BB (high)
-- Class D at B (low) (sf)
-- Class E at CCC (sf)
-- Class TE at B (high) (sf)

With this review, DBRS Morningstar maintains the Negative trends on
Classes C, D, and TE. The trends on all other classes are Stable,
with the exception of Class E, which does not carry a trend.

The rating confirmations and Stable trends reflect DBRS
Morningstar's outlook for the performance of the underlying
collateral, which remains unchanged since the last review. Two
loans remain outstanding, both having recently returned to the
master servicer following modifications in 2021. The terms of the
modifications included a maturity extension for both to June 2022
with two additional one-year extension options, a small equity
infusion to pay down the loan balances, and a full cash flow sweep
until the loans are paid in full. For this review, DBRS Morningstar
conducted a stress test on the most recent appraised values of the
two underlying properties in order to test the durability of the
ratings. The Negative trends reflect DBRS Morningstar's continuing
concerns about the deteriorating property value and elevated
refinance risk.

The transaction was originally backed by three separate 7.5-year,
fixed-rate, interest-only (IO) first-mortgage loans with a combined
principal balance of $567.8 million. The three loans were secured
by the Tucson Mall in Tucson, Arizona; the Fashion Place mall in
Murray, Utah; and the Town East Mall in Mesquite, Texas. The loans
were sponsored by GGP Limited Partnership, which Brookfield
Property Partners, L.P. acquired in July 2018. The Fashion Place
loan was fully repaid in June 2021.

The remaining Tucson Mall and Town East Mall loans have defaulted
twice, missing their original scheduled June 1, 2020 maturity date
as well as their modified June 1, 2021 maturity date. In July 2021,
a second modification agreement was executed, with an initial
maturity date of June 1, 2022, and a fully extended maturity date
of June 1, 2024. According to the most recent financials, both
properties meet the extension requirements, consisting of debt
yield hurdle tests and principal prepayments for Town East Mall,
and the servicer is expecting the borrower to exercise its
extension options.

The Tucson Mall loan (Prospectus ID#1; 58.5% of the pool) is
secured by a 667,581-square foot (sf) portion of a 1.3 million-sf
super regional mall in Tucson. According to the December 2021
reporting, the property is anchored by Dillard's, Macy's, JCPenney,
Dick's Sporting Goods, and Forever 21, all of which own their own
improvements. Dillard's, Macy's, and JCPenney sublease the land
from the sponsor. An anchor pad previously occupied by Sears has
remained vacant since April 2020 with no replacement tenant signed
to date. An affiliate of Sears, Transform Operating, took over the
sublease and is scheduled to pay rent through 2027. As of February
2022, the total mall occupancy rate was 94.0%, an increase from the
YE2020 figure of 92.6% and consistent with reporting since
issuance. In-line sales for YE2021 were reported to be $464 psf,
which is well above the YE2020 sales of $318 psf and the issuance
level of $389 psf. The reported net cash flow (NCF) for YE2021 was
$14.6 million (with a debt service coverage ratio (DSCR) of 1.99
times (x)), a 5.1% increase from the YE2020 NCF of $13.9 million,
but well below the issuer's NCF of $24.1 million (with a DSCR of
3.29x).

The June 2021 appraisal valued the property at $121.0 million on an
as-is basis, representing a 70.0% decline from $400.0 million at
issuance. DBRS Morningstar notes that property cash flow had been
in decline prior to the onset of the Coronavirus Disease (COVID-19)
pandemic, though it has likely exacerbated the decline in the
subject property's valuation. However, the mall has maintained a
stable occupancy rate and strong sales that dipped slightly in 2020
but have since restabilized. Additionally, DBRS Morningstar
considers the subject property to be the superior mall in its
market. A competing Brookfield mall, Park Place, 11 miles to the
southeast, has an inferior anchor profile and lower occupancy rate,
and the loan (securitized in the DBRS Morningstar-rated GSMS
2011-GC5 transaction) is delinquent and in special servicing.

The Town East Mall loan (Prospectus ID#2; 41.5% of the pool) is
secured by a 421,206-sf portion of a 1.2 million-sf regional mall
in Mesquite, 10 miles east of Dallas. The property is anchored by
Dillard's, JCPenney, and Macy's, none of which are included as
collateral for the loan. At the time of this writing, all three
anchor leases had expired, and the servicer has not been able to
confirm whether renewals have been finalized although the stores
still appear on the mall website. Other major retailers at the mall
include Dick's Sporting Goods, Forever 21, and H&M. According to
the December 2021 rent roll, total mall occupancy declined to
80.5%, because of the departure of the non-collateral Sears in
April 2021. Despite the 11.8% decline in NCF from YE2020, the
YE2021 whole loan DSCR of 2.77x remains in line with the issuer's
DSCR of 2.89x. In-line sales for the trailing 12 months ended
September 2021 were reported to be $554 psf, surpassing the YE 2020
sales of $431 psf and pre-pandemic YE 2019 sales of $539 psf.

The June 2021 appraisal valued the property at $187.0 million
compared with the issuance value of $254.0 million. Despite the
decline in occupancy and appraised value, the property's
performance has remained resistant to the effects of the pandemic.
Based on the subject's self-contained location within the Southeast
submarket, it is the primary mall for residents of the Eastern
Dallas area and DBRS Morningstar expects the mall to maintain
steady foot traffic.

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


BBCMS 2021-AGW: DBRS Confirms B(low) Rating on Class G Certs
------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Pass-Through Certificates issued by BBCMS 2021-AGW
Mortgage Trust, Series 2021-AGW:

-- Class A at AAA (sf)
-- Class X-CP at AA (low) (sf)
-- Class X-NCP at AA (low) (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at A (high) (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 since issuance. The loan is secured by the
leasehold interest in 16 cross-collateralized suburban office
buildings totalling approximately 2.0 million square feet (sf) on
the North Shore of Long Island, New York. Sponsorship is provided
through a joint venture between Angelo Gordon and the WE'RE Group.
Angelo Gordon purchased a 95.5% leasehold interest in the portfolio
from the WE'RE Group, which retained the remaining 4.5% leasehold
interest and 100% of the leased fee interest.

Loan proceeds of $350.0 million were primarily used to refinance
$234.6 million of existing debt, return $98.1 million of borrower
equity, cover closing costs, and fund approximately $5.3 million in
upfront reserves to be used for certain outstanding free rent,
unfunded tenant improvement allowances, landlord work, and/or
leasing commissions, as well as required repairs as identified in
the mortgage loan agreement. Based on the appraiser's as-is
valuation of $458.7 million, the sponsor will have approximately
$108.7 million of unencumbered market equity remaining in the
transaction. The interest-only (IO) loan has an initial two-year
term, with three one-year extension options available and a fully
extended loan maturity in June 2026.

The proximity of the properties to the major hospitals on Long
Island's North Shore makes the portfolio a highly desirable
location for medical tenants, which comprise approximately 53.8% of
base rent. Medical tenants tend to receive above-market allocations
for tenant improvements, but will often spend additional capital on
the build-out of their space. This larger upfront investment
substantially increases potential relocation costs upon lease
expiration and increases probability of renewal. Rollover is also
limited through the fully extended term, with tenants representing
no more than 12.0% of net rentable area (NRA) expected to roll in
any single year.

Individual properties are permitted to be released at 105% of the
allocated loan amount (ALA) for the applicable property up to 10%
of the original principal balance, 110% of the ALA for the
applicable property up to 20%, and 115% thereafter. With regard to
the individual assets located within the Lake Success Quadrangle,
the release price shall equal 115% at any given time for seven
properties, representing approximately 35.5% of the current pool
balance, and 120% at any given time for four properties,
representing approximately 19.1% of the current pool balance. DBRS
Morningstar elected not to apply a penalty to the transaction's
capital structure as 63.5% of the portfolio by ALA is subject to a
release price of 115% or greater, which DBRS Morningstar considers
to be credit neutral. The loan allows for pro rata paydowns
associated with property releases for the first 20% of the unpaid
principal balance, and DBRS Morningstar applied a penalty to the
capital stack as the deleveraging of the senior notes through the
release of individual properties occurs at a slower pace compared
with a sequential-pay structure.

As of the year-to-date ended September 30, 2021, the portfolio was
88.1% occupied compared with the issuance level of 86.8%. At
issuance, the portfolio featured a diverse and granular roster of
tenants in the medical, finance, and law industries. According to
the October 2021 rent roll, the largest tenants are ProHealth Corp.
(18.2% of the NRA; with 114,129 sf expiring in December 2022 and
126,454 sf in August 2030), Newsday (6.4% of the NRA; lease
expiring in June 2035), and GEICO (3.7% of the NRA; lease expiring
in October 2027). As of December 2021, office tenants representing
6.6% of the portfolio NRA have leases scheduled to expire in the
next 12 months, including ProHealth Corp. with 114,129 sf (5.7% of
the NRA). Only 50.9% of base rent and 40.3% of leased sf expire
during the fully extended loan term. The annualized net cash flow
as of September 2021 was reported at $26.8 million, a decline from
the issuance level of $32.5 million as a result of a 8.6% decrease
in estimated gross income. However, the debt service coverage ratio
remains well above breakeven at 2.55 times.

The portfolio is well located along the North Shore of Long Island,
which contains some of Long Island's strongest submarkets, and all
assets are located within close proximity of major arterials,
including the Northern Parkway and the Long Island Expressway.
According to the CBRE Q1 2022 Long Island Office Figures report,
the Western and Eastern Nassau submarkets, which represent 63.9% of
the ALA, have reported no new supply added within the last 12
months. The remaining submarket, Western Suffolk, representing
36.3% of the ALA, has had only 15,000 sf of new supply added within
the past 12 months. All three submarkets have minimal construction
underway.

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


BBCMS MORTGAGE 2020-C8: DBRS Confirms B Rating on Class J-RR Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-C8 issued by BBCMS Mortgage
Trust 2020-C8 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since DBRS Morningstar's last review. At issuance,
the transaction consisted of 48 fixed-rate loans secured by 127
commercial and multifamily properties with a trust balance of
$700.2 million. As of the May 2022 remittance, all loans remain in
the pool with negligible amortization to date. Loans secured by
office properties represent the greatest property type
concentration, accounting for 36.4% of the current pool balance,
followed by self-storage properties at 15.8%. There are no loans in
special servicing and eight loans, representing 33.6% of the
current pool balance, on the servicer's watchlist. These loans have
been flagged for declining performance, outstanding advances, and
deferred maintenance items.

One of the largest loans on the servicer's watchlist, MGM Grand and
Mandalay Bay (10.0% of the pool), is secured by two full-service
luxury resorts consisting of 9,748 rooms on the Las Vegas Strip.
The trust loan is part of a whole loan that was split pari passu
among several CMBS transactions The loan was added to the
servicer's watchlist in April 2021 as a result of a depressed debt
service coverage ratio (DSCR), driven by Coronavirus Disease
(COVID-19)-related traffic reductions for both properties.
According to the trailing 12 months (T-12) ended September 30,
2021, financials, the MGM Grand and the Mandalay Bay properties
reported occupancy rates of 59.8% and 63.7%, respectively, both of
which are well below the year-end (YE) 2019 occupancy rates of
91.4% and 92.8%, respectively. The loan reported a negative DSCR
for both 2020 and the Q3 2021 reporting periods, prompting a cash
flow sweep that will remain in place until the coverage reaches the
threshold of 2.50 times (x) for two consecutive quarters.

Sponsorship is provided by a joint venture between Blackstone Real
Estate Income Trust (49.9%) and MGM Growth Properties (50.1%),
which together acquired the property for $4.6 billion as part of a
sale-lease back transaction including $1.6 billion of equity. The
sponsors subsequently executed a 30-year triple net master lease
with two 10-year renewal options. Under the terms of the master
lease, MGM Tenant is required to make an initial master lease
payment of $292 million per annum, with $159 million allocated to
MGM Grand and $133 million allocated to Mandalay Bay. The loan has
never been delinquent and no coronavirus-relief request was ever
made. Given confirmed reports that tourist traffic to Las Vegas
continues to build toward pre-pandemic levels, DBRS Morningstar
believes cash flows should be back in line with issuance
expectations within the near to moderate term.

At issuance, DBRS Morningstar shadow-rated two loans investment
grade, including One Manhattan West (Prospectus ID#1, 10.0% of the
pool) and MGM Grand & Mandalay Bay (Prospectus ID#3, 10.0% of the
pool). The One Manhattan West loan is also on the servicer's
watchlist for reporting a low DSCR but according to the YE2021
financials, the loan reported a DSCR of 2.96x.With this review,
DBRS Morningstar confirms the performance for both loans remains in
line with the investment grade shadow ratings.

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



BBCMS MORTGAGE 2022-C16: DBRS Gives Prov. B(low) Rating on H Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by BBCMS Mortgage Trust 2022-C16:

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

All trends are Stable.

Classes X-D, X-F, X-G, X-H, X-J, D, E, F, G, H, J, S, R, and VRR
will be privately placed.

The collateral consists of 60 fixed-rate loans secured by 155
commercial and multifamily properties with an aggregate trust
cut-off date balance of $1.1 billion. Five loans (Yorkshire &
Lexington Towers, 1888 Century Park East, 70 Hudson Street, ILPT
Logistics Portfolio, and The Summit), representing 21.7% of the
pool, are shadow-rated investment grade by DBRS Morningstar. The
conduit pool was analyzed to determine the provisional ratings,
reflecting the long-term probability of loan default within the
term and its liquidity at maturity. When the cut-off date balances
were measured against the DBRS Morningstar Net Cash Flow and their
respective actual constants, the initial DBRS Morningstar
Weighted-Average (WA) Debt Service Coverage Ratio (DSCR) of the
pool was 2.00 times (x). The DBRS Morningstar WA Issuance
Loan-to-Value (LTV) of the pool was 52.3%, and the pool is
scheduled to amortize to a DBRS Morningstar WA Balloon LTV of 50.0%
at maturity. These credit metrics are based on the A note balances.
Excluding the shadow-rated loans, the deal still exhibits a
favorable DBRS Morningstar WA Issuance LTV of 56.6% and DBRS
Morningstar WA Balloon LTV of 53.7%. The pool additionally includes
three loans, representing 4.3% of the allocated pool balance, that
exhibit a DBRS Morningstar Issuance LTV in excess of 67.1%, a
threshold generally indicative of above-average default frequency.
The transaction has a sequential-pay pass-through structure.

Four loans, representing 17.3% of the pool, are in areas identified
as DBRS Morningstar Market Rank 7 or 8, which are generally
characterized as highly dense, urbanized areas that benefit from
increased liquidity driven by consistently strong investor demand,
even during times of economic stress. Urban markets represented in
the deal include New York and Los Angeles. Furthermore, 13 loans,
representing 34.7% of the pool balance, have collateral in DBRS
Morningstar MSA Group 3, which represents the best-performing group
among the top 25 metropolitan statistical areas (MSAs) in terms of
historical commercial mortgage-backed security (CMBS) default
rates.

Five loans (Yorkshire & Lexington Towers, 1888 Century Park East,
70 Hudson Street, ILPT Logistics Portfolio, and The Summit), which
together represent 21.7% of the pool, exhibited credit
characteristics consistent with investment-grade shadow ratings.
The credit characteristics of Yorkshire & Lexington Towers, 70
Hudson Street, and The Summit were consistent with a AA (low)
shadow rating; those of ILPT Logistics Portfolio with an A (high)
shadow rating; and those of 1888 Century Park East with a BBB
shadow rating.

There are 33 loans, representing 66.4% of the pool by allocated
loan amount, that exhibit DBRS Morningstar Issuance LTVs of less
than 59.3%, a threshold historically indicative of relatively
low-leverage financing and generally associated with below-average
default frequency. Even with the exclusion of the shadow-rated
loans, which represent 21.7% of the pool, the transaction exhibits
a favorable DBRS Morningstar WA Issuance LTV of 56.6%. No loans in
the pool have a DBRS Morningstar LTV above 70%.

Term default risk is relatively low, as indicated by a DBRS
Morningstar DSCR of 1.98x. Even with the exclusion of the
shadow-rated loans, the deal exhibits a relatively favorable DBRS
Morningstar DSCR of 1.61x.

Eight loans, representing 30.7% of the pool balance, received a
property quality assessment of Average + or better, including two
loans, representing 7.6% of the pool, graded as Above Average. Only
one loan had a property quality score of Average -, and it accounts
for 3.1%.

Five loans, representing 21.7% of the pool, were classified as
having Strong sponsorship strength. All five loans with Strong
sponsorship have investment-grade shadow ratings.

The pool has a relatively high concentration of loans secured by
office and retail properties at 34 loans, representing 56.8% of the
pool balance. The ongoing Coronavirus Disease (COVID-19) pandemic
continues to pose challenges globally, and the future demand for
office and retail space is uncertain, with many store closures and
companies filing for bankruptcy, downsizing, or extending their
remote-working strategy. Three office loans, 1888 Century Park
East, 70 Hudson Street, and The Summit, which represent 12.0% of
the total pool, are shadow-rated investment grade by DBRS
Morningstar. Two of the office loans, representing 10.4% of the
total pool, are in DBRS Morningstar Market Ranks 7 or 8, which
exhibit the lowest historical CMBS probability of default (POD) and
loss given defaults. Six of the office loans, representing 22.9% of
the pool balance, are in DBRS Morningstar MSA Group 3, which is the
best-performing group among the top 25 MSAs in terms of historical
CMBS default rates. Three office loans, representing 12.0% of the
total pool balance, have a DBRS Morningstar sponsorship strength of
Strong. Five office loans, representing 21.7% of the pool balance,
have Above Average or Average + property quality.

Thirty-eight loans, representing 71.3% of the total pool balance,
are structured with full-term interest-only (IO) periods. An
additional two loans, representing 3.2% of the total pool balance,
are structured with an anticipated repayment date and
hyper-amortize after a full-term IO period. Eight loans,
representing 8.9% of the pool balance, are structured with partial
IO terms ranging from 12 to 60 months. Loans that are full-term IO
do not benefit from amortization, and loans that are partially IO
receive less benefit than a loan that makes principal and interest
debt service payments throughout the term. Historically, loans that
do not amortize have exhibited higher rates of default and losses.
Of the 40 loans structured with initial-term IO periods, eight
loans, representing 27.2% of the pool balance, are in areas with
DBRS Morningstar Market Ranks of 5 or higher. Market Ranks of 5 or
higher generally reflect more urban markets that benefit from
increased liquidity and exhibit lower levels of historical default
than loans in more suburban, rural, or tertiary markets. Five loans
structured with full-term IO periods, representing 21.7% of the
total pool balance, are shadow-rated investment grade by DBRS
Morningstar. This represents all the shadow-rated loans within the
transaction. The full-term IO loans are effectively pre-amortized,
as evidenced by the low DBRS Morningstar WA Issuance LTV of only
49.6% for this concentration of loans.

Forty loans, representing 67.2% of the total pool balance, are
refinancing or recapitalizing existing debt. DBRS Morningstar views
loans that refinance existing debt as more credit negative compared
with loans that finance an acquisition. Acquisition financing
typically includes a meaningful cash investment by borrowers, which
can align their interests more closely with the lender's, whereas
refinance transactions may be cash neutral or cash-out
transactions, the latter of which may reduce the borrower's
commitment to a property. The loans that are refinancing existing
debt exhibit relatively low leverage. Specifically, the DBRS
Morningstar WA Issuance and Balloon LTVs of the loans refinancing
existing debts are 51.5% and 49.0%, respectively. The loans that
are refinancing existing debt are generally in slightly stronger
DBRS Morningstar Market Ranks and MSA Groups than the broader pool
of assets in the transaction. The DBRS Morningstar WA Market Rank
of the loans refinancing existing debt is 4.1, whereas the DBRS
Morningstar WA Market Rank for the entire transaction is 4.0.
Additionally, seven of the loans refinancing debt, representing
15.9% of the total pool balance, are secured by assets located in
DBRS Morningstar MSA Group 3, and 10 of the loans refinancing debt,
representing 18.5% of the total pool balance, are secured by assets
located in DBRS Morningstar MSA Group 2.

DBRS Morningstar identified five loans, representing 21.3% of the
pool, as having Weak sponsorship for reasons that may include lower
net worth and liquidity, a history of prior loan defaults, or a
lack of experience in commercial real estate. Of the loans assigned
a Sponsor Score of Weak, which increases the POD in DBRS
Morningstar's model, only one of the loans had a DBRS Morningstar
LTV above 60%.

With respect to the Bell Works mortgage loan, although a
non-consolidation opinion was delivered, such opinion did not
express an opinion regarding the substantive consolidation of the
assets and liabilities of the related borrower with those of the
related guarantor due to the existence of certain specified
guaranty obligations of the guarantor under the related full
recourse guarantee. DBRS Morningstar view such qualifications as
credit negative and eviscerating the purpose of the opinion, thus
not providing the expected benefit of reducing the risk of
substantive consolidation in bankruptcy.

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



BDS 2021-FL8: DBRS Confirms B(low) Rating on Class G Notes
----------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
notes issued by BDS 2021-FL8 Ltd:

-- Class A 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. 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.

The transaction closed in July 2021, with a cut-off pool balance
totalling approximately $576.4 million, excluding approximately
$47.2 million of future funding commitments. At issuance, the pool
consisted of 23 floating-rate mortgage loans secured by 23 mostly
transitional real estate properties. The majority of the collateral
was in a period of transition, with plans to stabilize and improve
asset value. The collateral pool for the transaction is static;
however, the Issuer has the right to use principal proceeds to
acquire fully funded future funding participations subject to
stated criteria. The replenishment period ends on or about the
August 2023 Payment Date. As of the May 2022 remittance, the
Replenishment Account had a balance of $654.

As of May 2022, the pool comprises 21 loans secured by 21
properties with a cumulative trust balance of $528.8 million. Since
issuance, two loans with a former cumulative trust balance of $55.3
million have successfully repaid from the pool, resulting in
collateral reduction of 8.3%. In general, borrowers are progressing
toward completion of their stated business plans. Through May 2022,
the collateral manager had advanced $8.3 million in loan future
funding to 11 individual borrowers to aid in property stabilization
efforts. The largest loan advances of $1.6 million and $1.5 million
have been to the borrowers of the Summerhill Place and Arbors on
Oakmont loans, respectively. Both borrowers are using the funds to
renovate and upgrade unit interiors and tenant amenities as well as
upgrade exterior items across the respective properties. An
additional $35.1 million of unadvanced loan future funding
allocated to 16 individual borrowers remains outstanding. The
largest individual allocation of unadvanced future funding, $10.5
million, is to the borrower of the Eleven One Eleven loan, which is
secured by an office property in Reston, Virginia. The borrower's
business plan is to fund leasing costs and minor capital
improvements associated with maintaining the current property
occupancy rate of 93.5%. In addition, a secondary component of the
borrower's business plan revolves around the sale of a 1.5-acre
parcel of land to a local home developer at a minimum purchase
price of $6.0 million.

The pool is concentrated by property type as 19 loans, representing
85.4% of the current trust balance, are secured by traditional
multifamily assets. The remaining two loans, representing 14.6% of
the current pool balance, are secured by office assets. The
property type composition of the transaction remains similar from
issuance when multifamily and office properties represented 86.7%
and 13.3% of the pool balance, respectively. The pool continues to
be composed of properties in suburban markets, those identified
with a DBRS Morningstar Market Rank of 3, 4, and 5. As of May 2022,
this includes 17 loans, representing 80.1% of the current trust
balance. At issuance, 19 loans, representing 81.9% of the trust
balance, were secured by properties in suburban markets. The
transaction is also concentrated by loan size, as the largest 10
loans represent 65.3% of the pool. Overall pool leverage has
remained relatively consistent from issuance. According to the May
2022 reporting, the weighted-average (WA) as-is appraised
loan-to-value ratio (LTV) was 70.7% and the WA stabilized appraised
LTV was 67.9%. In comparison, these figures were 70.8% and 67.5%,
respectively, at closing.

There are currently no delinquent loans nor any loans on the
servicer's watchlist. Additionally, the collateral manager
confirmed that no loans in the transaction have been modified and
no borrowers have submitted forbearance requests.

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



BEAR STEARNS 2007-TOP26: DBRS Cuts Certs Rating on 2 Classes to D
-----------------------------------------------------------------
DBRS Limited downgraded the ratings of all classes of Commercial
Mortgage Pass-Through Certificates, Series 2007-TOP26 issued by
Bear Stearns Commercial Mortgage Securities Trust, Series
2007-TOP26 as follows:

-- Class A-J to D (sf) from C (sf)
-- Class B to D (sf) from C (sf)

The rating downgrades were due to the losses that affected the
trust as a result of the liquidation of One AT&T Center (Prospectus
ID#2) from the pool with the May 2022 remittance. The loan was
liquidated with a $107.1 million loss that took out the full
balance of Class B and $46.9 million of Class A-J. With this loss,
the Class A-J balance has been reduced to $1.6 million, and there
are two remaining outstanding loans in the pool.

In accordance with DBRS Morningstar's policies and procedures, the
ratings on both classes were simultaneously discontinued and
withdrawn as there is no benefit to investors to maintain the
ratings.

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


BFNS 2022-1: Moody's Assigns (P)Ba3 Rating to $10MM Class C Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to three
classes of notes to be issued by BFNS 2022-1 (the "Issuer").

Moody's rating action is as follows:

US$104,000,000 Class A Senior Secured Fixed/Floating Rate Notes due
2035, Assigned (P)Aa3 (sf)

US$6,750,000 Class B Deferrable Mezzanine Secured Fixed/Floating
Rate Notes due 2035, Assigned (P)Baa3 (sf)

US$10,000,000 Class C Deferrable Subordinate Secured Fixed/Floating
Rate Notes due 2035, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

BFNS 2022-1 is a static cash flow CDO. The issued notes will be
collateralized primarily by  subordinated notes issued by US
community banks and their holding companies. Moody's expect the
portfolio to be fully ramped as of the closing date.

Angel Oak Capital Advisors, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer. The Manager will direct the disposition of certain
securities whose issuer has been acquired, or has acquired or
merged with another institution (APAI securities). Subject to
reinvestment criteria, the Manager may reinvest proceeds from sales
of APAI securities and prepayment proceeds.

In addition to the Rated Notes, the Issuer will issue one class of
preferred shares.

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: $138,650,000

Weighted Average Rating Factor (WARF): 1059

Weighted Average Coupon (WAC) for fixed assets only: 4.25%

Weighted Average Spread (WAS) for fixed to float assets: 3.76%

Weighted Average Coupon (WAC) for fixed to float assets: 5.34%

Weighted Average Recovery Rate (WARR): 10.0%

Weighted Average Life (WAL): 8.05 years

In addition to the quantitative factors that Moody's explicitly
models, qualitative factors were part of the rating committee
consideration. Moody's considers the structural protections in the
transaction, the risk of an event of default, the legal environment
and specific documentation features. All information available to
rating committees, including macroeconomic forecasts, inputs from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transaction, influenced the final rating decision.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 2021.

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

This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:

1) Macroeconomic uncertainty: The transaction's performance could
be negatively affected by uncertainty about credit conditions in
the general economy. Moody's currently has a stable outlook on the
US banking sector and the US P&C insurance sector.

2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.

3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds due to
redemptions will occur and at what pace. Note repayments that are
faster than Moody's current expectations could have an impact on
the notes' ratings.

4) Exposure to non-publicly rated assets: The portfolio consists
primarily of unrated assets whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) or credit
assessments. Because these are not public ratings, they are subject
to additional estimation uncertainty.

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


BFNS 2022-1: Moody's Assigns Ba3 Rating to $10MM Class C Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to three
classes of notes issued by BFNS 2022-1 (the "Issuer").

Moody's rating action is as follows:

US$104,000,000 Class A Senior Secured Fixed/Floating Rate Notes due
2035, Definitive Rating Assigned Aa3 (sf)

US$6,750,000 Class B Deferrable Mezzanine Secured Fixed/Floating
Rate Notes due 2035, Definitive Rating Assigned Baa3 (sf)

US$10,000,000 Class C Deferrable Subordinate Secured Fixed/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 a consideration of the
risks associated with the CDO's portfolio and structure as
described in Moody's methodology.

BFNS 2022-1 is a static cash flow CDO. The issued notes are
collateralized primarily by  subordinated notes issued by US
community banks and their holding companies. The portfolio is fully
ramped as of the closing date.

Angel Oak Capital Advisors, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer. The Manager will direct the disposition of certain
securities whose issuer has been acquired, or has acquired or
merged with another institution (APAI securities). Subject to
reinvestment criteria, the Manager may reinvest proceeds from sales
of APAI securities and prepayment proceeds.

In addition to the Rated Notes, the Issuer will issue one class of
preferred shares.

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: $138,650,000

Weighted Average Rating Factor (WARF): 1059

Weighted Average Coupon (WAC) for fixed assets only: 4.25%

Weighted Average Spread (WAS) for fixed to float assets: 3.76%

Weighted Average Coupon (WAC) for fixed to float assets: 5.34%

Weighted Average Recovery Rate (WARR): 10.0%

Weighted Average Life (WAL): 8.05 years

In addition to the quantitative factors that Moody's explicitly
models, qualitative factors were part of the rating committee
consideration. Moody's considers the structural protections in the
transaction, the risk of an event of default, the legal environment
and specific documentation features. All information available to
rating committees, including macroeconomic forecasts, inputs from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transaction, influenced the final rating decision.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 2021.

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

This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:

1) Macroeconomic uncertainty: The transaction's performance could
be negatively affected by uncertainty about credit conditions in
the general economy. Moody's currently has a stable outlook on the
US banking sector and the US P&C insurance sector.

2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.

3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds due to
redemptions will occur and at what pace. Note repayments that are
faster than Moody's current expectations could have an impact on
the notes' ratings.

4) Exposure to non-publicly rated assets: The portfolio consists
primarily of unrated assets whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) or credit
assessments. Because these are not public ratings, they are subject
to additional estimation uncertainty.

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


BMO 2022-C2: Fitch Assigns 'B-' Rating on 2 Cert. Classes
---------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to BMO
2022-C2, commercial mortgage pass-through certificates, series
2022-C2, as follows:

-- $6,784,000 class A-1 'AAAsf'; Outlook Stable;

-- $97,871,000 class A-2 'AAAsf'; Outlook Stable;

-- $6,700,000 class A-3 'AAAsf'; Outlook Stable;

-- $155,000,000a class A-4 'AAAsf'; Outlook Stable;

-- $200,624,000a class A-5 'AAAsf'; Outlook Stable;

-- $10,871,000 class A-SB 'AAAsf'; Outlook Stable;

-- $477,850,000b class X-A 'AAAsf'; Outlook Stable;

-- $59,731,000 class A-S 'AAAsf'; Outlook Stable;

-- $31,572,000 class B 'AA-sf'; Outlook Stable;

-- $31,572,000 class C 'A-sf'; Outlook Stable;

-- $34,986,000bc class X-D 'BBB-sf'; Outlook Stable;

-- $16,212,000bc class X-F 'BB-sf'; Outlook Stable;

-- $6,827,000bc class X-G 'B-sf'; Outlook Stable;

-- $20,480,000c class D 'BBBsf'; Outlook Stable;

-- $14,506,000c class E 'BBB-sf'; Outlook Stable;

-- $16,212,000c class F 'BB-sf'; Outlook Stable;

-- $6,827,000cd class G-RR 'B-sf'; Outlook Stable.

Fitch does not rate the following classes:

-- $23,892,921c class X-J;

-- $23,892,921cd class J-RR;

-- $25,364,004ce VRR Interest.

a) Since Fitch published its expected ratings on June 21, 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-4 and A-5 were expected to be $355,624,000 in the
aggregate, subject to a 5% variance. The classes above reflect the
final ratings and deal structure.

b) Notional amount and interest only.

c) Privately placed and pursuant to Rule 144A.

d) Horizontal risk retention interest.

e) Vertical risk retention interest.

   DEBT    RATING                 PRIOR
   ----    ------                 -----
BMO 2022-C2

A-1    LT   AAAsf    New Rating   AAA(EXP)sf

A-2    LT   AAAsf    New Rating   AAA(EXP)sf

A-3    LT   AAAsf    New Rating   AAA(EXP)sf

A-4    LT   AAAsf    New Rating   AAA(EXP)sf

A-5    LT   AAAsf    New Rating   AAA(EXP)sf

A-S    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

C      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-RR   LT   B-sf     New Rating   B-(EXP)sf

J-RR   LT   NRsf     New Rating   NR(EXP)sf

VRR    LT   NRsf     New Rating   NR(EXP)sf
Interest

X-A    LT   AAAsf    New Rating   AAA(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   B-sf     New Rating   B-(EXP)sf

X-J    LT   NRsf     New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 38 loans secured by 112
commercial properties having an aggregate principal balance of
$707,988,926 as of the cut-off date. The loans were contributed to
the trust by Bank of Montreal, KeyBank National Association,
Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc.,
German American Capital Corporation and UBS AG. The Master Servicer
is expected to be Midland Loan Services, and the Special Servicer
is expected to be Rialto Capital Advisors, LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 38.9% of the loans by
balance, cash flow analysis of 87.9% of the pool and asset summary
reviews on 100% of the pool.

KEY RATING DRIVERS

Leverage In-line with Recent Transactions: The pool has overall
leverage statics generally in line with recent multi-borrower
transactions rated by Fitch. The pool's Fitch loan-to-value ratio
(LTV) of 100.5% is slightly 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 1.13x is lower
than the YTD 2022 and 2021 averages of 1.37x and 1.38x,
respectively. Excluding credit opinion loans, the pool's Fitch LTV
and DSCR are 106.8% and 1.10x, respectively.

Investment-Grade Credit Opinion Loans: The pool includes three
loans, representing 17.5% of the total cutoff balance, that
received an investment-grade credit opinion. This is above both the
YTD 2022 and 2021 averages of 16.0% and 13.3%, respectively.
Yorkshire & Lexington Towers (9.9% of the pool), 360 Rosemary (4.5%
of the pool) and 111 River Street (3.1% of the pool), each received
a standalone credit rating of 'BBB-sf*'.

Minimal Amortization: Based on scheduled balances at maturity, the
pool is scheduled to pay down by only 2.9%, which is below the YTD
2022 and 2021 averages of 3.4% and 4.8%, respectively. Twenty-six
loans (79.9% of the pool) are full-term interest-only (IO) loans
and four loans (8.0% of the pool) are partial IO. Eight loans
(12.1% of the pool) are amortizing balloon loans.

RATING SENSITIVITIES

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

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

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

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

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

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

30% NCF Decline: 'BBBsf' / 'BB+sf' / 'B-sf' / '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 to the same one
variable, Fitch NCF:

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

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

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
report.

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.


BREAN ASSET 2022-RM4: DBRS Gives Prov. B Rating on Class M5 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2022-RM4, to be issued by Brean
Asset-Backed Securities Trust 2022-RM4:

-- $107.5 million Class A1 at AAA (sf)
-- $45.9 million Class A2 at AAA (sf)
-- $153.4 million Class AM at AAA (sf)
-- $2.4 million Class M1 at AA (sf)
-- $2.5 million Class M2 at A (sf)
-- $1.8 million Class M3 at BBB (sf)
-- $2.0 million Class M4 at BB (sf)
-- $2.0 million Class M5 at B (sf)

Class AM is an exchangeable note. This class can be exchanged for
combinations of exchange notes as specified in the offering
documents.

The AAA (sf) rating reflects 108.9% of cumulative advance rate. The
AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
110.6%, 112.4%, 113.7%, 115.1%, and 116.5% of cumulative advance
rates, respectively.

Other than the specified classes above, DBRS Morningstar did not
rate classes in this transaction.

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump-sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowners'
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the June 1, 2022, cut-off date, the collateral has
approximately $140.8 million in current unpaid principal balance
from 165 active, fixed-rate jumbo reverse mortgage loans secured by
first liens on single-family residential properties, condominiums,
townhomes, and multifamily (two- to four-family) properties. The
loans were originated in 2021 and 2022. All loans in this pool have
a fixed interest rate with a 6.284% weighted average coupon.

The transaction uses a structure in which cash distributions are
made sequentially to each rated note until the rated amounts with
respect to such notes are paid off. No subordinate note shall
receive any payments until the balance of senior notes has been
reduced to zero.

The note rate for Class A Notes will reduce to 0.25% if the Home
Price Percentage (as measured using the S&P CoreLogic Case-Shiller
National Index) declines by 30% or more compared with the value on
the cut-off date.

If the notes are not paid in full or redeemed by the Issuer on June
2028, the Expected Repayment Date, the Issuer will be required to
conduct an auction within 180 calendar days of the Expected
Repayment Date to offer all the mortgage assets and use the
proceeds, net of fees and expenses due to auction, to be applied to
payments to all amounts owed. If the proceeds of the auction are
not sufficient to cover all the amounts owed, the Issuer will be
required to conduct an auction within six months of the previous
auction.

If, during any six-month period, the average one-month conditional
prepayment rate is equal to or greater than 25%, then on such date,
50% of available funds remaining after payment of fees and expenses
and interest to the Class A Notes will be deposited into the
Refunding Account, which may be used to purchase additional
mortgage loans.

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



BRSP 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes
-----------------------------------------------------------
DBRS Limited (DBRS Morningstar) confirmed its ratings on all
classes of notes issued by BRSP 2021-FL1, 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 remains in line with DBRS Morningstar's
issuance expectations. 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.

The transaction closed in July 2021 with an initial collateral pool
of 31 floating-rate mortgage loans secured by 41 mostly
transitional properties with a cut-off balance of $800.0 million,
excluding approximately $58.1 million of future funding
participations. Most loans were in a period of transition with
plans to stabilize and improve asset value. The transaction is
structured with a Reinvestment Period through the July 2023 Payment
Date, whereby the Issuer may acquire Funded Companion
Participations and introduce new loan collateral into the trust
subject to the Reinvestment Criteria as defined at issuance. The
transaction has a sequential-pay structure.

As of the May 2022 remittance, the pool comprises 33 loans secured
by 40 properties with a cumulative trust balance of $800.0 million.
Since issuance, three loans with a former cumulative trust balance
of $137.9 million have been successfully repaid from the pool. Over
the same period, five loans with a current cumulative trust balance
of $137.1 million have been contributed to the trust. As of the May
2022 remittance, there were no funds remaining in the Reinvestment
Account.

In general, borrowers are progressing toward completion of the
stated business plans. Of the current collateral pool, 28 of the 33
outstanding loans were structured with future funding components
and, according to an update from the collateral manager, it had
advanced $19.3 million in loan future funding through March 2022 to
20 individual borrowers to aid in property stabilization efforts.
The largest advances were made to the borrowers of the Gables
Uptown Tower ($2.6 million) and La Mirada ($1.8 million) loans. The
Gables Uptown Tower loan is secured by a 196-unit, Class B
multifamily property in Dallas, Texas, and the La Mirada loan is
secured by a 200-unit Class B multifamily property in Tucson,
Arizona. The borrowers on both loans have used loan future funding
for ongoing capital improvement projects at the respective
properties. An additional $57.0 million of unadvanced loan future
funding allocated to 28 individual borrowers remains outstanding
with the largest portion ($8.3 million) allocated to the borrower
of the 360 Wythe loan. The loan is secured by an 89,701-square-foot
mixed-use property in Brooklyn, New York, with loan future funding
available to fund capital improvements, leasing costs, and debt
service shortfalls.

The transaction consists of 26 loans (totalling 80.0% of the
current trust balance) secured by multifamily properties, six loans
(totalling 16.8% of the current trust balance) secured by office
properties, and one loan (totalling 3.1% of the current trust
balance) secured by a mixed-use property. In comparison with the
transaction closing in July 2021, loans secured by multifamily
properties have increased by 7.9% of the trust balance at issuance.
In addition, loans secured by office and mixed properties have
remained consistent with issuance, while the only loan secured by a
self-storage property (previously totalling 7.9% of the pool) was
repaid.

By geographical concentration, the collateral is most heavily
concentrated in Texas and California, with loans representing 30.3%
and 25.7% of the cumulative loan balance, respectively. Six loans,
representing 17.1% of the cumulative trust balance, are in urban
markets with DBRS Morningstar Market Ranks of 6, 7, and 8. These
markets have historically shown greater liquidity and demand. The
remaining 27 loans, representing 48.9% of the cumulative loan
balance, are secured by properties in markets with DBRS Morningstar
Market Ranks of 3, 4, and 5, which are suburban in nature and have
historically had higher probability of default levels when compared
with properties in urban markets. In comparison with issuance,
properties in urban and suburban markets have increased as a
percent of the transaction from 13.0% and 79.1%, respectively, as
one loan, formerly representing 7.9% of the transaction at
issuance, has repaid.

As of the May 2022 remittance, there are no loans in special
servicing and no loans being monitored on the servicer's watchlist.
In addition, no loans have been modified and no borrowers have
requested or were granted forbearances.

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



BSPRT 2022-FL9: DBRS Gives Prov. B(low) Rating on Class H Notes
---------------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the
following classes of notes to be issued by BSPRT 2022-FL9 Issuer,
LLC (the Issuer):

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

All trends are Stable.

The initial collateral consists of 24 floating-rate mortgage loans
and participation interests in mortgage loans secured by 48 mostly
transitional properties with a cut-off date balance totaling $803.2
million, excluding $49.9 million of remaining future funding
commitments and $70.7 million of pari passu debt. The holder of the
future funding companion participations will be BSPRT 2022-FL9
Seller, LLC (the Seller), or an affiliate of the Seller. The holder
of each future funding participation has full responsibility to
fund the future funding companion participations. The collateral
pool for the transaction is managed with a 24-month reinvestment
period. During this period, the Collateral Manager will be
permitted to acquire reinvestment collateral interests, which may
include Funded Companion Participations, subject to the
satisfaction of the Eligibility Criteria and the Acquisition
Criteria. The Acquisition Criteria requires that, among other
things, the Note Protection Tests are satisfied, no event of
default has occurred and is continuing, and the acquisition will be
in compliance with the Acquisition and Disposition Requirements.
The Eligibility Criteria has minimum and maximum debt service
coverage ratios (DSCRs) and loan-to-value ratios (LTVs), Herfindahl
scores of at least 18.0, and property type limitations, among other
items. The transaction stipulates that any acquisition of any
reinvestment collateral interests will need a rating agency
confirmation regardless of balance size. The loans are mostly
secured by cash flowing assets, many of which are in a period of
transition with plans to stabilize and improve the asset value. The
transaction will have a sequential-pay structure.

Two loans are pari passu participations with additional pari passu
debt totaling $70.7 million. In total, 16 loans, representing 66.1%
of the pool, have remaining future funding participations totaling
$49.9 million, which the Issuer may acquire in the future.

For floating-rate loans, DBRS Morningstar incorporates an interest
rate stress, which is based on the lower of a DBRS Morningstar rate
that corresponded to the remaining fully extended term of the loans
or the strike price of the interest rate cap with the respective
contractual loan spread added to determine a stressed interest rate
over the loan term. When the debt service payments were measured
against the DBRS Morningstar as-is net cash flow (NCF), 19 loans,
comprising 78.3% of the initial pool balance, had a DBRS
Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold
indicative of default risk. However, the DBRS Morningstar
Stabilized DSCR of only eight loans, comprising 38.9% of the
initial pool balance, was 1.00x or below, which is indicative of
elevated refinance risk. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets to
stabilize above market levels.

The sponsor for the transaction, Benefit Street Partners Realty
Operating Partnership, L.P., is a wholly owned subsidiary of
Franklin BSP Realty Trust, Inc. (FBRT), formerly known as Benefit
Street Partners Realty Trust, Inc., and an experienced commercial
real estate collateralized loan obligation (CRE CLO) issuer and
collateral manager. Benefit Street Partners' commercial real estate
group (BSP RE) has funded more than 790 loans, with an aggregate
total commitment of more than $16 billion through March 31, 2022.
BSP RE has $9.0 billion in assets under management, including debt
and equity investments in commercial real estate as of March 31,
2022.

BSPRT 2022-FL9 Holder, LLC (the Retention Holder), an indirect,
wholly owned subsidiary of FBRT, will purchase and retain 100% of
the Class F Notes, Class G Notes, Class H Notes, and Class J Notes
as of the Closing Date, representing the most subordinate
approximately 16.5% of the aggregate principal and notional amount
of all Securities.

The pool exhibits a relatively low Expected Loss of 5.9% in the
DBRS Morningstar model. This level compares favorably with some of
the most recent BSPRT deals DBRS Morningstar rated in the past. The
BSPRT 2022-FL8 and BSPRT 2021-FL7 transactions had higher DBRS
Morningstar Expected Losses of 6.5% and 7.7%, respectively.

The majority of the pool comprises primarily multifamily (56.9%)
properties. This property type has historically shown lower
defaults and losses. Multifamily properties benefit from staggered
lease rollover and generally low expense ratios compared with other
property types. While revenue is quick to decline in a downturn
because of the short-term nature of the leases, it is also quick to
respond when the market improves.

Seven loans, representing 25.6% of the pool balance, are secured by
properties in areas with a DBRS Morningstar Market Rank of 6, 7, or
8, which are characterized as urbanized locations. These markets
generally benefit from increased liquidity that is driven by
consistently strong investor demand. Such markets, therefore, tend
to benefit from lower default frequencies than less dense suburban,
tertiary, or rural markets. Areas with a DBRS Morningstar Market
Rank of 7 or 8 are especially densely urbanized and benefit from
significantly elevated liquidity. Five loans, comprising 23.1% of
the cut-off date pool balance, are secured by a property in such an
area.

Nineteen of the 24 loans, representing 75.4% of the mortgage asset
cut-off date balance, are for acquisition financing, where the
borrowers contributed material cash equity in conjunction with the
mortgage loan. Acquisition financing is also generally based on
actual transaction values rather than an appraiser's estimate of
market value.

The DBRS Morningstar Business Plan Score (BPS) for loans DBRS
Morningstar analyzed was between 1.58 and 3.88, with an average of
2.18. On a scale of 1 to 5, a higher DBRS Morningstar BPS indicates
more risk in the sponsor's business plan. DBRS Morningstar
considers the anticipated lift at the property from current
performance, planned property improvements, sponsor experience,
projected time horizon, and overall complexity. Compared with
similar transactions, this pool has a lower average DBRS
Morningstar BPS, which is indicative of lower execution risk.

DBRS Morningstar analyzed the loans to a stabilized cash flow that
is, in some instances, above the in-place cash flow. It is possible
that the sponsor will not successfully execute its business plans
and that the higher stabilized cash flow will not materialize
during the loan term, especially with the ongoing Coronavirus
Disease (COVID-19) pandemic and its impact on the overall economy.
The sponsor's failure to execute the business plans could result in
a term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar sampled a large portion of the loans,
representing 79.7% of the pool cut-off date balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plans to be rational
and the loan structure to be sufficient to execute such plans. In
addition, DBRS Morningstar analyzes loss severity given default
(LGD) based on the as-is credit metrics, assuming the loan is fully
funded with no NCF or value upside.

The transaction is managed and includes a reinvestment period,
which could result in negative credit migration and/or an increased
concentration profile over the life of the transaction. The risk of
negative migration is partially offset by eligibility criteria
(detailed in the transaction documents) that outline DSCR, LTV,
Herfindahl score minimum, property type, and loan size limitations
for reinvestment assets. DBRS Morningstar has rating agency
confirmation for all new reinvestment loans and companion
participations. DBRS Morningstar may analyze these loans for
potential impacts on ratings. Deal reporting includes standard
monthly Commercial Real Estate Finance Council reporting and
quarterly updates. DBRS Morningstar will monitor this transaction
on a regular basis.

Because of the ongoing coronavirus pandemic, DBRS Morningstar was
only able to perform site inspections on two loans totaling 8.1% of
the pool (The Hotel at Times Square and JCPenney Queens). As a
result, DBRS Morningstar relied more heavily on third-party report
data sources and information from the Issuer to determine the
overall DBRS Morningstar property quality score for each loan. DBRS
Morningstar made relatively conservative property quality
adjustments, with no loans receiving Above Average or Excellent
property quality.

Nine loans, representing 35.4% of the initial pool, comprise office
(5.2%), retail (16.4%), and hospitality (13.8%) properties, which
have experienced considerable disruption as a result of the
coronavirus pandemic, with mandatory closures, stay-at-home orders,
retail bankruptcies, and consumer shifts to online purchasing. The
nine loans exhibited DBRS Morningstar weighted-average (WA) as-is
and stabilized LTVs of 74.1% and 62.8%, respectively, demonstrating
a lower leverage profile than the transaction as a whole, which had
DBRS Morningstar WA As-Is and Stabilized LTVs of 78.1% and 66.3%,
respectively. DBRS Morningstar conducted NCF reviews for the
largest five of the nine loans. DBRS Morningstar modeled the nine
loans with an average BPS of 2.49, which is considerably higher
than the average BPS of 1.99 for other loans in the sample,
indicating elevated complexity and risk associated with the
business plans for these nine loans. Five of the nine loans are in
a DBRS Morningstar Market Rank of 6, 7, or 8, which represent areas
with below-average historical default rates.

As of the cut-off date, the pool contains 24 loans and is
concentrated by CRE CLO standards, with the top 10 loans
representing 61.6% of the pool. Furthermore, the BSPRT 2022-FL9
transaction has a slightly lower Herfindahl score of 18.8, compared
with the BSPRT 2022-FL8 transaction (20.0). The pool's minimum
diversity is accounted for in the DBRS Morningstar model, raising
the transaction's credit enhancement levels to offset the
concentration risk. Based on CRE CLO standards, the Herfindahl
score of 18.8 is considered reasonable, and it is higher than the
16.7 in BSPRT 2021-FL7 and 14.9 in BSPRT 2021-FL6.

There are nine loans, comprising 44.3% of the trust balance, in
DBRS Morningstar MSA Group 1. Historically, loans in this MSA Group
have demonstrated higher probabilities of default (PODs) and LGDs,
resulting in higher individual loan-level expected losses than the
WA pool expected loss. Five of these nine loans (24.6% of the pool)
are in DBRS Morningstar Market Rank 5 or higher.

Based on the initial pool balances, the overall DBRS Morningstar WA
As-Is DSCR of 0.80x and DBRS Morningstar WA As-Is LTV of 78.1% are
generally reflective of high-leverage financing. Most of the assets
are generally well positioned to stabilize, and any realized cash
flow growth would help to offset a rise in interest rates and
improve the overall debt yield of the loans. DBRS Morningstar
associates its LGD based on the assets' as-is LTV, which does not
assume that the stabilization plan and cash flow growth will ever
materialize. The DBRS Morningstar As-Is DSCR at issuance does not
consider the sponsor's business plan as the DBRS Morningstar As-Is
NCF was generally based on the most recent annualized period. The
sponsor's business plan could have an immediate impact on the
underlying asset performance that the DBRS Morningstar As-Is NCF
does not account for. When measured against the DBRS Morningstar
Stabilized NCF, the DBRS Morningstar WA DSCR is estimated to
improve to 1.03x, suggesting that the properties are likely to have
improved NCFs once the sponsor's business plan has been
implemented.

All loans have floating interest rates, and 95.0% of the initial
pool are interest only during the entire initial term, which ranges
from 12 months to 60 months, creating interest rate risk. The
borrowers of all loans except Walgreens Portfolio (10%) have
purchased either Secured Overnight Financing Rate or Libor rate
caps ranging between 0.20% and 3.0% to protect against rising
interest rates over the term of the loan. All loans are short-term
and even with extension options have a fully extended loan term of
five years maximum. Additionally, 21 loans, representing 90.6% of
the initial trust balance, have at least one extension option, all
of which are exercisable subject to the loan's achievement of
certain LTV, DSCR, and/or debt yield requirements. All loans in the
pool, except for six representing 32.4% of the initial trust
balance, amortize at some point during the fully extended loan
term, either during the initial loan term and/or the extension
options.

Three loans, representing 11.1% of the initial cut-off date pool
balance, were deemed to have Weak sponsorship strength. Loans with
Weak sponsorship treatment were modeled with increased PODs.

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



BX COMMERCIAL 2022-CSMO: DBRS Finalizes BB Rating on Class F Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2022-CSMO issued by BX Commercial Mortgage Trust 2022-CSMO:

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

All trends are Stable.

The BX Commercial Mortgage Trust 2022-CSMO
single-asset/single-borrower (SASB) transaction is collateralized
by The Cosmopolitan Las Vegas Resort & Casino, a 3,032-key hotel
with an approximately 110,000-square-foot casino on the Las Vegas
Strip. The $3.025 billion loan and $1.032 billion of sponsor equity
funded the acquisition of the collateral by a joint venture 80.0%
indirectly owned by BREIT Operating Partnership L.P., a Blackstone
Fund Entity, and 20.0% owned by Stonepeak Partners LP. The borrower
entered into a 30-year triple-net master/operating lease with three
10-year renewal options with a wholly owned subsidiary of MGM
Resorts International. The lease payments will be fully guaranteed
by MGM, which will have approximately $1.625 billion of equity
value in the property based on the aggregate purchase price of
$5.650 billion. The $3.025 billion whole loan represents a
relatively conservative loan-to-value ratio (LTV) of 75.74% on the
DBRS Morningstar concluded value, which is below the typical
leverage point for most SASB transactions.

The exceptional-quality asset is one of the newest resort-casinos
on The Strip, boasting sleek modern architecture,
condominium-quality finishes, and some of The Strip's most popular
and unique restaurants. The subject has historically been one of
the top-performing assets on The Strip and its top-of-market
performance has not faltered coming out of the Coronavirus Disease
(COVID-19) pandemic. Its premier location and quality saw The
Cosmopolitan achieve the highest revenue per available room
(RevPAR) and second-highest EBITDAR per key on The Strip as of Q4
2021 at $441 and approximately $105,000, respectively. Performance
at The Cosmopolitan suffered in 2020 and 2021 as the ongoing
coronavirus pandemic besieged the economy, crippled domestic and
international travel, and resulted in mandated closures and other
operating restrictions. However, the property experienced a robust
rebound in performance as vaccinations rolled out and as Americans
emerged from months of restrictions. In 2022, combined monthly
EBITDAR during February, March, and April exceeded EBITDAR in the
same periods in 2019. Additionally, the financials for the trailing
12 month period (T-12) ended April 2021 rebounded 48% above the
stabilized 2019 levels on a net cash flow (NCF) basis.

The addition of MGM, one of the most experienced casino operators
in the world with a large database of members in its rewards
program, as the tenant should provide a tailwind to casino revenue.
Prior ownership invested a significant amount of capital, nearly
$520 million, into the property since 2014 to maintain and improve
performance. All rooms were renovated from 2017 to 2018, with
approximately $150.0 million spent in total on rooms since 2017.
Under the terms of the master lease, MGM is required to invest a
minimum of 2.0% of net revenues in capex through December 2026.
Additionally, the loan is structured with a monthly reserve equal
to 1.5% of actual net revenues for furniture, fixtures, and
equipment (FF&E). The MGM lease requirements for capital
expenditures and FF&E should help maintain the property quality
throughout the loan term. DBRS Morningstar determined the property
quality to be Excellent based on the site inspection.

The collateral has been securitized three times prior to this
securitization, and the loans have historically performed as agreed
upon. The subject senior note financing leverage at $997,691 per
key is well above the $295,708 senior note per key leverage in the
JPMCC 2015-COSMO transaction and the $455,859 senior note per key
in the CHT 2017-COSMO transaction. While future mezzanine debt is
permitted for the subject securitization, previous securitizations
included mezzanine debt at the initial securitization. The
property's NCF as of the T-12 ended April 2022 at $449.8 is
substantially above the T-12 ended January 2015 NCF of $122.1 for
JPMCC 2015-COSMO and the T-12 ended August 2017 NCF of $223.3
million for CHT 2017-COSMO. The current as-is appraised value of
$5.6 billion for the subject transaction is nearly double the as-is
appraised value of $2.9 billion in the CHT 2017-COSMO transaction
and nearly triple the as-is appraised value of the JPMCC 2015-COSMO
transaction.

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



CANTOR COMMERCIAL 2016-C3: Fitch Cuts Rating on 2 Tranches to CC
----------------------------------------------------------------
Fitch Ratings has downgraded eight and affirmed eight classes of
Cantor Commercial Real Estate CFCRE 2016-C3 Mortgage Trust
commercial mortgage pass-through certificates (CFCRE 2016-C3).
Fitch has revised the Rating Outlooks on classes A-M, B, C, X-A,
X-B to Stable from Negative. In addition, Fitch has assigned Stable
Outlooks to classes D and X-D.

   DEBT              RATING                  PRIOR
   ----              ------                  -----
CFCRE 2016-C3

A-2 12531WBA9    LT    AAAsf    Affirmed     AAAsf

A-3 12531WBB7    LT    AAAsf    Affirmed     AAAsf

A-SB 12531WAZ5   LT    AAAsf    Affirmed     AAAsf

AM 12531WBF8     LT    AAAsf    Affirmed     AAAsf

B 12531WBG6      LT    AA-sf    Affirmed     AA-sf

C 12531WBH4      LT    A-sf     Affirmed     A-sf

D 12531WAL6      LT    BBsf     Downgrade    BBB-sf

E 12531WAN2      LT    B-sf     Downgrade    BBsf

F 12531WAQ5      LT    CCCsf    Downgrade    B-sf

G 12531WAS1      LT    CCsf     Downgrade    CCCsf

X-A 12531WBC5    LT    AAAsf    Affirmed     AAAsf

X-B 12531WBD3    LT    AA-sf    Affirmed     AA-sf

X-D 12531WAA0    LT    BBsf     Downgrade    BBB-sf

X-E 12531WAC6    LT    B-sf     Downgrade    BBsf

X-F 12531WAE2    LT    CCCsf    Downgrade    B-sf

X-G 12531WAG7    LT    CCsf     Downgrade    CCCsf

KEY RATING DRIVERS

Increased Loss Expectations; Regional Mall Exposure: The downgrades
of classes D through G reflect increased loss expectations since
Fitch's last rating action, primarily driven by two regional mall
loans in the top 15 - Empire Mall (7.2% of the pool) and
Springfield Mall (4.4%). Fitch is concerned with the continued
underperformance of these two malls and the possibility of a
default and/or transfer to special servicing at or before their
respective maturity dates in 2025.

The revised and assigned Stable Outlooks on classes A-M, B, C, D,
X-A, X-B and X-D reflects performance stabilization of properties
that had been affected by the pandemic, including the return of two
previously specially serviced loans to the master servicer
(DoubleTree -- Wichita Airport and Grand Canyon Parkway; combined
5.7%). The Outlooks on classes E and X-E remain Negative to reflect
concerns with the aforementioned regional mall loans.

Fitch's current ratings incorporate a base case loss of 8.2%. Six
loans (22% of pool) are considered Fitch Loans of Concern (FLOCs)
due to continued pandemic-related performance declines and
occupancy declines from tenants vacating.

The largest FLOC and contributor to expected losses is Empire Mall,
which is secured by a 1,023,176-sf superregional mall located in
Sioux Falls, SD. The largest tenants include JCPenney (12% of NRA,
lease expires in April 2026), Macy's (ground leased; 9%, March
2024), Hy-Vee Food Stores (7.7%, December 2026), Dick's Sporting
Goods (4.5%, January 2024), and The District (restaurant; 3.6%,
January 2024).

This FLOC was flagged for declining performance and occupancy. The
loan entered into hard cash management after the property lost
anchors Sears and Yonkers in late 2018/2019. Occupancy was 78% as
of YE 2021 compared to 68% at YE 2020 and 78% at YE 2019.
Additionally, Gordmans filed bankruptcy and vacated in September
2020. The most recently reported inline sales for tenants less than
10,000 sf were $327 psf as of YE 2020, down from $409 as of YE
2019. Fitch's base case loss of approximately 43% reflects a 20%
cap rate on the YE 2021 NOI. Fitch's high loss expectations reflect
refinance concerns with this loan given the tertiary location, low
sales and low coverage (DSCR reported to be 1.42x as of YE 2021).

The second largest driver to losses is Springfield Mall (4.4%). The
loan is secured by a 223,180sf portion of a 611,079sf regional mall
located in Springfield Township, PA. The mall is anchored by
non-collateral tenants Macy's and Target. The largest collateral
tenants are Shoe Dept. Encore (4.8%, January 2027) and Ulta (4.8%,
October 2022). Upcoming rollover at the property includes 23.7% of
the NRA in 2022, followed by 16.7% in 2023 and 6.4% in 2024.

The loan was designated as a FLOC due to a declining cash flow. The
servicer reported YE 2021 NOI DSCR was 1.19x compared with 1.35x at
YE 2020 and 1.75x at YE 2019. Comparable inline sales for the TTM
March 2020 period were reported at $396 psf compared with $401 psf
at YE 2018 and $412 psf at YE 2017. Fitch modeled a loss of
approximately 46% which reflects a cap rate of 20% to the YE 2021
NOI. The high loss expectations for this loan reflects low sales,
declining cash flow and competition in the market (4 other malls in
a 20-mile radius).

Minimal Change in Credit Enhancement: Credit Enhancement (CE) has
had minimal change since issuance due to limited amortization and
only one loan payoff. Seven loans (16.3%) have been defeased. As of
the June 2022 distribution period, the pool's aggregate balance has
been paid down by 6.5% to $657.8 million from $703.6 million at
issuance. There are 14 loans (39% of the pool) that are full-term,
interest only; the remaining loans are amortizing.

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 classes A-2, A-3, A-SB, A-M and X-A are not likely
due to the position in the capital structure, but may occur should
interest shortfalls occur. Downgrades to classes B, C and X-B are
possible should overall pool losses increase significantly and all
of the FLOCs suffer losses.

Downgrades to classes D, E, X-D, X-E would occur should loss
expectations increase due to a continued performance decline of the
FLOCs and/or loans transfer to special servicing. The Negative
Outlook on classes E and X-E reflects the possibility of a
downgrade in the next 1-2 years if performance of the regional
malls does not improve and there is an increased likelihood of a
default. Downgrades to the distressed classes F, G and X-F would
occur as losses are realized and/or become more certain.

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

Sensitivity factors that could lead to upgrades include additional
paydown and/or defeasance coupled with stable to improved asset
performance, particularly on Empire Mall and Springfield Mall.

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 but would be limited based on the
sensitivity to concentrations or the potential for future
concentrations. Classes would not be upgraded above 'Asf' if there
is a likelihood of interest shortfalls.

Classes D, E, F, G and interest only classes X-D, X-E, X-F and X-G
are unlikely to be upgraded absent significant performance
improvement on the FLOCs.

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.


CARLYLE US 2022-4: Fitch Assigns 'BB(EXP)' Rating on Class E Debt
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Carlyle US CLO 2022-4, Ltd.

   DEBT               RATING
   ----               ------
Carlyle US CLO 2022-4, Ltd.

A-1                  LT   AAA(EXP)sf    Expected Rating

A-2                  LT   NR(EXP)sf     Expected Rating

B                    LT   AA(EXP)sf     Expected Rating

C                    LT   NR(EXP)sf     Expected Rating

D                    LT   BBB-(EXP)sf   Expected Rating

E                    LT   BB(EXP)sf     Expected Rating

Subordinated Notes   LT   NR(EXP)sf     Expected Rating

TRANSACTION SUMMARY

Carlyle US CLO 2022-4, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Carlyle CLO Management L.L.C. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 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. The weighted average rating factor (WARF) of the
indicative portfolio is 24.9 versus a maximum covenant, in
accordance with the initial expected matrix point of 27.0. 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
99.0% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.2% versus a
minimum covenant, in accordance with the initial expected matrix
point of 75.0%.

Portfolio Composition (Positive): The largest three industries may
constitute up to 37.0% 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 4.9-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 stress scenarios at the initial expected
matrix point, the rated notes can withstand default and recovery
assumptions consistent with their assigned ratings.

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; results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1 notes, between 'BBsf' and 'AAsf'
for class B notes, between less than 'B-sf' and 'BBBsf' for class D
notes, 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:

Upgrade scenarios are not applicable to the class A-1 notes, as
these notes are in the highest rating category of 'AAAsf'.

At other rating levels, 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, 'A+sf' for
class D notes and 'BBB+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.


CASCADE FUNDING 2022-HB8: DBRS Gives Prov. B Rating on M6 Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Asset-Backed Notes, Series 2022-1 to be issued by Cascade Funding
Mortgage Trust 2022-HB8, LLC (the Issuer):

-- $528.4 million Class A at AAA (sf)
-- $66.4 million Class M1 at AA (low) (sf)
-- $48.1 million Class M2 at A (low) (sf)
-- $44.7 million Class M3 at BBB (low) (sf)
-- $24.6 million Class M4 at BB (sf)
-- $17.8 million Class M5 at BB (low)
-- $24.8 million Class M6 at B (sf)

The AAA (sf) rating reflects 29.55% of credit enhancement. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), BB (low) (sf)
and B (sf) ratings reflect 20.69%, 14.28%, 8.32%, 5.04%, 2.67% and
-0.64% of credit enhancement, respectively.

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

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowner's
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the Cut-Off Date (April 30, 2022), the collateral has
approximately $750 million in unpaid principal balance (UPB) from
2,682 performing and nonperforming home equity conversion mortgage
(HECM) reverse mortgage loans and real estate owned (REO) assets
secured by first liens typically on single-family residential
properties, condominiums, townhomes, multifamily (two- to
four-family) properties, manufactured homes, and planned unit
developments. The mortgage assets were originated between 1993 and
2016. Of the total assets, 807 have a fixed interest rate (34.58%
of the balance), with a 5.26% weighted-average coupon (WAC). The
remaining 1,875 assets have floating-rate interest (65.42% of the
balance) with a 2.72% WAC, bringing the entire collateral pool to a
3.60% WAC.

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of notes will receive regular
distributions of interest and/or principal. All note classes have
available fund caps.

Classes M1, M2, M3, M4, M5, and M6 (together, the Class M Notes)
have principal lockout terms insofar as they are not entitled to
principal payments until after the expected final payment of the
upstream notes. Classes M5 and M6 are not entitled to any payments
of principal prior to a Redemption Date, unless an Acceleration
Event or Auction Failure Event occurs. Available cash will be
trapped until these dates, at which stage the notes will start to
receive payments. Note that the DBRS Morningstar cash flow as it
pertains to each note models the first payment being received after
these dates for each of the respective notes; hence, at the time of
issuance, these rules are not likely to affect the natural cash
flow waterfall.

A failure to pay the Notes in full on the Mandatory Call Date (May
2027) will trigger a mandatory auction of all assets. If the
auction fails to elicit sufficient proceeds to pay off the notes,
another auction will follow every three months, for up to a year
after the mandatory call date. If these have failed to pay off the
notes, this is deemed an Auction Failure, and subsequent auctions
will proceed every six months.

If the Class M5 and Class M6 Notes have not been redeemed or paid
in full by the Mandatory Call Date, these notes will accrue
Additional Accrued Amounts. These Additional Accrued Amounts are
not rated by DBRS Morningstar.

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



CF 2019-CF1: S&P Lowers Class 65X2 Bonds Rating to 'CCC (sf)'
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on six classes of commercial
mortgage pass-through certificates from CF 2019-CF1 Mortgage Trust,
a U.S. CMBS conduit transaction.

The affected classes comprise the 65 Broadway raked bonds from the
transaction. The raked bonds are backed by a $96.0 million
subordinate nonpooled trust component of a $151.5 million
fixed-rate, interest-only (IO) mortgage whole loan secured by the
borrowers' fee simple interest in 65 Broadway, a 355,217-sq.-ft.
office building in the Financial District of Manhattan in New
York.

Rating Actions

S&P said, "The downgrades of classes 65A, 65B, 65C, and 65D reflect
our reevaluation of the office building that secures the 65
Broadway whole loan, of which a $96.0 million subordinate nonpooled
trust component serves as the sole collateral for the raked bonds.
Our analysis considers that the property has experienced
significant occupancy declines since issuance, when the building
was 99.0% occupied as of February 2019. As of the June 2022 rent
roll, the property was only 78.5% leased, and, after reflecting
tenancy changes as indicated by the borrower's broker in our
analysis, we expect occupancy to further fall to approximately
75.0% in the next few months. Additionally, the renewal prospects
of at least one large tenant with a lease expiring in the next 12
months (New York Cares Inc; 4.8% of the net rentable area [NRA];
June 2023 lease expiration) are uncertain. Furthermore,
servicer-reported net operating income (NOI) declined significantly
in 2020 to $5.6 million from $7.5 million in 2019 before improving
to $7.4 million in 2021.

"Our property-level analysis also reflects the softened office
submarket fundamentals from lower demand and longer re-leasing time
frames as more companies adopt a hybrid work arrangement, as well
as the elevated tenant rollover in 2023, when 15.2% of the NRA
expires. As a result, we revised and lowered our sustainable net
cash flow (NCF) by 11.5% from issuance to $6.3 million, utilizing a
75.0% occupancy rate assumption, compared with our assumption of
90.0% at issuance. Our NOI of $7.1 million is 4.0% below the
servicer-reported figure for year-end 2021. Using an S&P Global
Ratings capitalization rate of 6.75% (increased by 50 basis points
from 6.25% at issuance due to our reassessment of the relative
desirability of the older, amenity-light property), we arrived at
an expected-case valuation of $93.4 million, or $263 per sq. ft.--a
decline of 18.0% from our issuance value of $113.9 million ($321
per sq. ft.). This yielded an S&P Global Ratings loan-to-value
ratio of 162.3% on the whole loan balance."

Although the model-indicated ratings were lower than the classes'
revised rating levels, S&P tempered its downgrades on classes 65A,
65B, and 65C, because we weighed certain qualitative
considerations, including:

-- The property's value-oriented positioning and strategic
location in New York's World Trade Center submarket, with access to
major mass transit hubs;

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

-- The significant market value decline based on the 2019
appraisal value of $215.0 million that would be needed before these
classes experience losses;

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

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

The whole loan balance had a reported current payment status
through its June 2022 debt service payments. In addition, there is
approximately $1.6 million in various reserve accounts, including
$1.3 million in leasing reserves. The borrower also previously
requested relief. According to a consent agreement reached with the
special servicer reported in December 2021, a disbursement of
$243,000 in excess cash reserve funds to the borrowers was
authorized to pay 2021 operating expenses. The loan is currently on
the master servicer's (KeyBank Real Estate Capital) watchlist due
to a low debt service coverage ratio (DSCR) of 0.96x as of year-end
2021. It is S&P's understanding that cash is now being trapped
after the DSCR fell below a trigger of 1.10x and that two
consecutive quarters of a DSCR greater than 1.15x are needed to
cure the cash trap event. KeyBank reported a DSCR of 1.03x and
1.05x as of the fourth quarter of 2021 and the third quarter of
2021, respectively.

S&P said, "We lowered our ratings on the class 65X1 and 65X2 IO
certificates based on our criteria for rating IO securities, which
state that the rating on the IO securities would not be higher than
that of the lowest-rated reference class. The notional amount of
the class 65X1 certificate references classes 65A and 65B, while
the notional amount of the class 65X2 certificate references
classes 65C and 65D.

"We will continue to monitor the loan and may take additional
negative rating actions if there are negative changes in the
performance beyond what we have already considered."

Property-Level Analysis

The collateral property for 65 Broadway, also known as the American
Express Building, is a 21-story class A/B office tower totaling
355,217 sq. ft. in the Financial District of Manhattan in New York.
It was built in 1914, renovated most recently between 2015 and
2018, and includes an 11,000-sq.-ft. ground floor fast-casual
dining concept known as 65 Market Place. 65 Broadway is located in
a densely developed area containing the offices of major financial
institutions, the New York Stock Exchange, the new World Trade
center, major mass transit hubs, museums, parks, and tourist
attractions. The property is LEED-certified and qualifies for the
Lower Manhattan Energy Program, and the New York City Landmarks
Preservation Commission designated the building a New York landmark
in December 1995.

S&P said, "Our property-level analysis considered that while the
sponsors (Meyer Chetrit of the Chetrit Group and Robert Wolf of
Read Property Group LLC) have spent at least $16.7 million ($47.01
per sq. ft.) on the property since 2015, $15.6 million of this was
in leasing costs and that tenant vacated spaces have failed to be
re-tenanted in a timely manner. Recent capital improvements to the
property included renovations to the lobby ($563,000), improvements
to the common areas ($513,000), freight elevator refabrication, and
the replacement of the building's heat exchanger. As of the June
2022 rent roll, the property was 78.5% leased, and we expect the
property occupancy rate to decline to approximately 75.0% after
adjusting for anticipated tenant movements. This compares to the
in-place occupancy rate of 99.0% for the property at issuance.

"Based on our review of the servicer-provided rent roll along with
commentary provided by the borrower's broker on renewal prospects,
we assessed that vacant space appears harder to be leased in the
current environment. While relatively granular (no current tenant
accounts for more than 11.2% of the NRA), tenancy is concentrated
in the social and workforce services, vocational education, and
medical sectors. Further, Great American Insurance Co. vacated its
20,995 sq. ft. (5.8% of the NRA) completely, and Arbor E&T LLC, the
building's largest tenant, vacated 16,000 sq. ft. (4.4% of the NRA)
of its total space since issuance in 2019, with no tenants yet
backfilling any of these spaces. To our knowledge, no new leases of
greater than 3,000 sq. ft. have been signed since 2019, and at
least 2,294 sq. ft. in the building has been subleased.

"Our current analysis considered the aforementioned developments,
lower office demand as companies embraces hybrid and remote work, a
flight to higher-quality office space with more amenities, and
current market data and conditions. According to CoStar, the World
Trade Center office submarket has experienced an increase in
vacancy rates to 11.6% as of July 2022 from approximately 10.4%
pre-COVID-19 as of year-end 2019, accompanied by a decline in
market rents to $64.42 per sq. ft. from $66.64 per sq. ft. over the
same period.

"According to the June 2022 rent roll and adjusting for known
tenant movements, the subject property's occupancy rate as 75.0%
and gross rent was $50.60 per sq. ft., as calculated by S&P Global
Ratings. As a result, in our current analysis, we assumed a 75.0%
occupancy rate and in-place rent with credit to any rent steps
scheduled for the next 12 months, arriving at an S&P Global Ratings
NCF of $6.3 million. An Industrial and Commercial Incentive Program
tax abatement, to which we provided minimal credit at issuance, has
also expired as of 2021. Using an S&P Global Ratings capitalization
rate of 6.75%, which we increased from 6.25% at issuance due to our
reassessment of the relative desirability of the older,
amenity-light property, we derived a $93.4 million expected-case
value, or $263 per sq. ft."

Transaction Summary

The 65 Broadway raked bonds from CF 2019-CF1 Mortgage Trust, a U.S.
CMBS transaction, are backed by a $96.0 million subordinate
nonpooled trust component of a $151.5 million fixed-rate, IO
mortgage whole loan, secured by the borrowers' fee simple interest
in 65 Broadway, a 355,217-sq.-ft. office building in the Financial
District of Manhattan in New York.

The mortgage whole pays an annual fixed interest rate of 4.935% per
annum and has a five-year term maturing April 6, 2024.

The whole loan is split into two senior pari passu A notes and one
subordinate companion loan B note, combined comprising the entire
$151.1 million balance. Note A-1 has a balance of $40.0 million and
is included in the CF 2019-CF1 Mortgage Trust pool. Note A-2 has a
balance of $15.5 million and is included in the Morgan Stanley
Capital I Trust 2019-H6 pool. S&P said, "Following our revised
valuation on the 65 Broadway property, we have determined that the
rated pooled certificates from CF 2019-CF1 Mortgage Trust are not
negatively impact by our reevaluation of the property. Note B has a
balance of $96.0 million, is a subordinate companion loan
administered as part of the CF 2019-CF1 Mortgage Trust, and serves
as the sole collateral for the 65 Broadway raked bonds. To date,
the 65 Broadway raked bonds have not incurred any principal losses
or interest shortfalls."

The recent rapid spread of the omicron variant highlights the
inherent uncertainties of the pandemic, as well as the importance
and benefits of vaccines. S&P said, "While the risk of new, more
severe variants displacing omicron and evading existing immunity
cannot be ruled out, our current base case assumes that existing
vaccines can continue to provide significant protection against
severe illness. Furthermore, many governments, businesses, and
households around the world are tailoring policies to limit the
adverse economic impact of recurring COVID-19 waves. Consequently,
we do not expect a repeat of the sharp global economic contraction
of second-quarter 2020. Meanwhile, we continue to assess how well
each issuer adapts to new waves in its geography or industry."

  Ratings Lowered

  CF 2019-CF1 Mortgage Trust 65 Broadway raked bonds

  Class 65A to 'BBB- (sf)' from 'A- (sf)'
  Class 65B to 'BB- (sf)' from 'BBB- (sf)'
  Class 65C to 'B- (sf)' from 'BB- (sf)'
  Class 65D to 'CCC (sf)' from 'B- (sf)'
  Class 65X1 to 'BB- (sf)' from 'BBB- (sf)'
  Class 65X2 to 'CCC (sf)' from 'B- (sf)'



CFCRE TRUST 2018-TAN: DBRS Confirms BB Rating on Class E Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-TAN
issued by CFCRE Trust 2018-TAN:

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

With this review, DBRS Morningstar changed the trends on Classes D,
E, and X to Stable from Negative. In addition, DBRS Morningstar
maintained the Negative trends on Classes F and HRR and the Stable
trends on Classes A, B, and C. Class HRR continues to carry the
Interest in Arrears designation. The interest shortfall is
associated with the special servicing fee when the loan transferred
to the special servicer in February 2021 upon the borrower's
request to use the furniture, fixtures, and equipment reserve to
pay monthly debt service; however, the request was withdrawn and
the loan returned to the master servicer in June 2021.

The rating confirmations and trend changes reflect the overall
improved performance as the collateral continues to recover from
the effects of the Coronavirus Disease (COVID-19) pandemic;
however, DBRS Morningstar maintained the Negative trends on Classes
F and HRR considering that performance has yet to rebound to
issuance levels, the near-term maturity in February 2023, and the
general sovereign risk with Aruba.

The loan is secured by a 411-key oceanfront hotel on the island of
Aruba, situated along Palm Beach, a two-mile strip known for its
white sand and turquoise waters where the majority of the island's
upscale hotels are located. The subject is part of a larger
Marriott campus that includes the Marriott Aruba Surf Club,
Marriott Aruba Ocean Club, and two timeshare projects totalling
1,200 keys. The collateral includes nine food and beverage outlets,
93,269 square feet (sf) of meeting space, two outdoor pools, a
fitness center, and four retail stores. Also included in the
collateral is the 17,000-sf Stellaris Casino, the largest casino on
the island. The subject is encumbered by a ground lease with the
Government of Aruba, which has an initial expiration date in 2052;
however, the lessor has a statutory obligation to enter into a new
lease when the ground lease expires.

The loan is currently on the servicer's watchlist because of a low
debt service coverage ratio, with the YE2021 net cash flow (NCF) at
$16.0 million (1.24 times (x)), compared with the YE2020 NCF of
$12.9 million (0.66x) and YE2019 NCF of $38.4 million (2.99x). The
loan is cash managed with an outstanding balance in the cash
management account of $9.0 million as of June 2022.

According to STR, Inc.'s March 2022 report, the property reported
an occupancy rate, average daily rate, and revenue per available
room (RevPAR) of 67.3%, $454.71, and $306.05, respectively, for the
trailing-12-month (T-12) period ended March 30, 2022, with a RevPAR
penetration rate of 147.9%. This is a significant improvement from
the RevPAR of $165.70 for the T-12 period ended January 30, 2021,
but is below the RevPAR of $406.73 for the T-12 period ended
September 30, 2019.

The improvements in NCF and performance metrics are positive
developments, but performance continues to lag behind pre-pandemic
levels. In addition, there is increased refinance risk with the
loan maturity in February 2023 and the sovereign risk associated
with Aruba. Aruba is heavily reliant on tourism and was severely
affected by the pandemic, but the industry is recovering as travel
has picked up in the past year. However, there continue to be
challenges associated with Aruba's relatively high debt levels for
a small island economy and its reliance on its long-standing
institutional relationship with the Netherlands.

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



CFMT 2022-HB8: DBRS Finalizes B Rating on Class M6 Notes
--------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2022-1 issued by CFMT 2022-HB8, LLC:

-- $528.4 million Class A at AAA (sf)
-- $66.4 million Class M1 at AA (low) (sf)
-- $48.1 million Class M2 at A (low) (sf)
-- $44.7 million Class M3 at BBB (low) (sf)
-- $24.6 million Class M4 at BB (sf)
-- $17.8 million Class M5 at BB (low) (sf)
-- $24.8 million Class M6 at B (sf)

The AAA (sf) rating reflects 29.55% of credit enhancement. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), BB (low) (sf),
and B (sf) ratings reflect 20.69%, 14.28%, 8.32%, 5.04%, 2.67%, and
-0.64% of credit enhancement, respectively.

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

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowner's
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the Cut-Off Date (April 30, 2022), the collateral has
approximately $750 million in unpaid principal balance from 2,682
performing and nonperforming home equity conversion mortgage
reverse mortgage loans and real estate owned assets secured by
first liens typically on single-family residential properties,
condominiums, townhomes, multifamily (two- to four-family)
properties, manufactured homes, and planned unit developments. The
mortgage assets were originated between 1993 and 2016. Of the total
assets, 807 have a fixed interest rate (34.58% of the balance),
with a 5.26% weighted-average coupon (WAC). The remaining 1,875
assets have floating-rate interest (65.42% of the balance) with a
2.72% WAC, bringing the entire collateral pool to a 3.60% WAC.

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of notes will receive regular
distributions of interest and/or principal. All note classes have
available fund caps.

Classes M1, M2, M3, M4, M5, and M6 (together, the Class M Notes)
have principal lockout terms insofar as they are not entitled to
principal payments until after the expected final payment of the
upstream notes. Classes M5 and M6 are not entitled to any payments
of principal prior to a Redemption Date, unless an Acceleration
Event or Auction Failure Event occurs. Available cash will be
trapped until these dates, at which stage the notes will start to
receive payments. Note that the DBRS Morningstar cash flow as it
pertains to each note models the first payment being received after
these dates for each of the respective notes; hence, at the time of
issuance, these rules are not likely to affect the natural cash
flow waterfall.

A failure to pay the Notes in full on the Mandatory Call Date (May
2027) will trigger a mandatory auction of all assets. If the
auction fails to elicit sufficient proceeds to pay off the notes,
another auction will follow every three months, for up to a year
after the mandatory call date. If these have failed to pay off the
notes, this is deemed an Auction Failure, and subsequent auctions
will proceed every six months.

If the Class M5 and Class M6 Notes have not been redeemed or paid
in full by the Mandatory Call Date, these notes will accrue
Additional Accrued Amounts. These Additional Accrued Amounts are
not rated by DBRS Morningstar.

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



CIG AUTO 2021-1: DBRS Confirms BB Rating on Class E Notes
---------------------------------------------------------
DBRS, Inc. upgraded six ratings, confirmed seven ratings, and
discontinued one rating as a result of repayment from three CIG
Auto Receivables Trust transactions.

CIG Auto Receivables Trust 2021-1

-- Class A  Notes AAA (sf) Confirmed
-- Class B  Notes AAA (sf) Upgraded
-- Class C  Notes AA (sf) Upgraded
-- Class D  Notes BBB (sf) Confirmed
-- Class E  Notes BB (sf) Confirmed

The rating actions are based on 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 COVID-19 pandemic scenarios, which were first
published in April 2020. Despite several new or increasing risks
including 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.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.

-- The rating actions are the result of the strong collateral
performance to date, DBRS Morningstar's assessment of future
performance assumptions, and the increasing levels of credit
enhancement.

-- The transaction's capital structure and form and sufficiency of
available credit enhancement. The current level of hard credit
enhancement and estimated excess spread are sufficient to support
the DBRS Morningstar-projected remaining cumulative net loss
assumption at a multiple of coverage commensurate with the
ratings.

Notes: The principal methodology is the DBRS Morningstar Master
U.S. ABS Surveillance (May 16, 2022), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



CIM TRUST 2022-R2: DBRS Finalizes BB Rating on Class B2 Notes
-------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage-Backed Notes, Series 2022-R2 issued by CIM Trust 2022-R2
(CIM 2022-R2 or the Trust):

-- $380.4 million Class A1 at AAA (sf)
-- $32.8 million Class A2 at AAA (sf)
-- $27.7 million Class M1 at A (high) (sf)
-- $19.3 million Class M2 at BBB (high) (sf)
-- $13.7 million Class B1 at BB (high) (sf)
-- $8.9 million Class B2 at BB (sf)

The AAA (sf) rating on the Notes reflects 18.70% of credit
enhancement provided by subordinated Notes in the transaction. The
A (high) (sf), BBB (high) (sf), BB (high) (sf), and BB (sf) ratings
reflect 13.25%, 9.45%, 6.75%, and 5.00% of credit enhancement,
respectively.

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

This transaction is a securitization of a portfolio of primarily
seasoned performing and reperforming first-lien residential
mortgages funded by the issuance of mortgage-backed notes (the
Notes). The Notes are backed by 2,491 loans with a total principal
balance of $508,212,018 as of the Cut-Off Date (April 30, 2022).

The loans are approximately 163 months seasoned. As of the Cut-Off
Date, 97.9% of the pool is current, 1.0% is 30 days delinquent
under the Mortgage Bankers Association (MBA) delinquency method,
and 1.1% is in bankruptcy. (All bankruptcy loans are performing or
30 days delinquent.) All loans reported as delinquent due to
servicing transfers were treated as current by DBRS Morningstar.
Approximately 83.2% and 62.8% of the mortgage loans have been zero
times (x) 30 days delinquent for the past 12 months and 24 months,
respectively, under the MBA delinquency method.

In the portfolio, 79.6% of the loans are modified. The
modifications happened more than two years ago for 88.5% of the
modified loans. Within the pool, 983 mortgages have
non-interest-bearing deferred amounts, which equate to 7.6% of the
total principal balance. Unless specified otherwise, all statistics
on the mortgage loans in this report are based on the current
balance, including the applicable non-interest-bearing deferred
amounts.

The majority of the pool (86.6%) is exempt from the Consumer
Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. The loans subject to the ATR rules are
designated as QM Safe Harbor (2.1%), QM Rebuttable Presumption
(4.0%), and non-QM (7.3%) by UPB.

Fifth Avenue Trust (the Seller) acquired the mortgage loans prior
to the Cut-Off Date and, through a wholly owned subsidiary, Funding
Depositor LLC (the Depositor), will contribute the loans to the
Trust. As the Sponsor, Chimera Investment Corporation (Chimera) or
one of its majority-owned affiliates will acquire and retain a 5%
eligible horizontal residual interest in the Notes, consisting of
all of the Class B1, B2, B3, and C Notes in the aggregate, to
satisfy the credit risk retention requirements. Various entities
originated and previously serviced the loans through purchases in
the secondary market.

Prior to CIM 2022-R2, Chimera had issued 48 seasoned
securitizations under the CIM shelf since 2014, all of which were
backed by subprime, reperforming, or nonperforming loans. DBRS
Morningstar has rated five of the previously issued CIM
reperforming loan (RPL) deals. Similar to the last DBRS
Morningstar-rated CIM RPL deal, this transaction exhibits much
stronger credit characteristics than previously issued transactions
under the CIM shelf. DBRS Morningstar reviewed the historical
performance of both the rated and unrated transactions issued under
the CIM shelf, particularly with respect to the reperforming
transactions, which may not have collateral attributes similar to
CIM 2022-R2. The reperforming CIM transactions generally have
delinquencies and losses in line with expectations for previously
distressed assets.

The loans will be serviced by Fay Servicing, LLC (Fay; 72.1%) and
Select Portfolio Servicing, Inc. (SPS; 27.9%). There will not be
any advancing of delinquent principal or interest on any mortgages
by the Servicers or any other party to the transaction; however,
the related Servicer is obligated to make advances in respect of
homeowner's association fees, taxes, and insurance as well as
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.

On the earlier of the Payment Date occurring in May 2027, or after
the Payment Date when the aggregate note amount of the offered
Notes is reduced to 10% of the Closing Date note amount, the Call
Option Holder (the Depositor or any successor or assignee) has the
option to purchase all of the mortgage loans and any real estate
owned (REO) properties at a certain purchase price equal to the
unpaid principal balance of the mortgage loans, plus the fair
market value of the REO properties and any unpaid expenses and
reimbursement amounts.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M1 and more subordinate bonds
will not be paid from principal proceeds until the Class A1 and A2
Notes are retired.

Coronavirus Disease (COVID-19) Impact

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the 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.



CITIGROUP 2013-GC17: Fitch Affirms CCC Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates
series 2013-GC17 (CGCMT 2013-GC17).

   DEBT            RATING                PRIOR
   ----            ------                -----
CGCMT 2013-GC17

A-3 17321RAC0    LT   AAAsf   Affirmed   AAAsf

A-4 17321RAD8    LT   AAAsf   Affirmed   AAAsf

A-AB 17321RAE6   LT   AAAsf   Affirmed   AAAsf

A-S 17321RAH9    LT   AAAsf   Affirmed   AAAsf

B 17321RAJ5      LT   AAsf    Affirmed   AAsf

C 17321RAL0      LT   Asf     Affirmed   Asf

D 17321RAM8      LT   BBBsf   Affirmed   BBBsf

E 17321RAP1      LT   Bsf     Affirmed   Bsf

F 17321RAR7      LT   CCCsf   Affirmed   CCCsf

PEZ 17321RAK2    LT   Asf     Affirmed   Asf

X-A 17321RAF3    LT   AAAsf   Affirmed   AAAsf

X-B 17321RAG1    LT   AAsf    Affirmed   AAsf

X-C 17321RAV8    LT   Bsf     Affirmed   Bsf

KEY RATING DRIVERS

Improved Loss Expectations: Pool loss expectations have improved
since Fitch's prior rating action due to performance stabilization
of some properties affected by the pandemic and the better than
expected recovery upon liquidation of the REO SpringHill Suites -
Willow Grove, PA asset ($11.4 million). There are nine Fitch Loans
of Concern (FLOCs; 33.2% of pool), compared with 15 loans (40.2%)
at the prior rating action. The FLOCs include two REO assets
(4.2%).

Credit enhancement has improved slightly since the prior rating
action in July 2021 due to continued scheduled amortization.
Fitch's current ratings incorporate a base case loss of 7.40%.

The Negative Outlook on classes D, E and X-C, which was previously
assigned for additional coronavirus-related stresses applied on
hotel, multifamily and retail loans, reflects performance concerns
on some of the larger FLOCs that have yet to exhibit performance
stabilization and for which there is significant refinance risk,
including the Miracle Mile Shops and The Outlet Shoppes at Atlanta
loans.

The largest increase in loss since the prior rating action is
second largest loan in the pool, The Outlet Shoppes at Atlanta
(11.7%), which is secured by a retail outlet center located in
Woodstock, GA, approximately 30 miles north of Atlanta. Fitch's
base case loss of 29% is based on a 15% cap rate and a 15% haircut
to the YE 2021 NOI to reflect refinance concerns, weak sponsorship,
outlet mall performance concerns and upcoming lease rollover risk.

The loan, which is scheduled to mature in November 2023, is
sponsored by a joint venture between Horizon Group Properties and
CBL & Associates Properties, Inc. (CBL), the latter of which filed
for bankruptcy in November 2020 but emerged in November 2021. The
mall re-opened in early May 2020 after being closed since March due
to the coronavirus.

The largest tenants include Saks Fifth Avenue OFF 5th (6.7% of NRA
leased through July 2023), Nike Factory Store (3.7%; January 2024),
Adidas (2.4%; January 2031) and Polo Ralph Lauren (2.2%; November
2024). Property occupancy was 91.3% in May 2022, compared with
89.2% in April 2021, 86.9% in June 2020 and 94.9% in April 2019.
Upcoming lease rollover includes 2.8% of the NRA in 2022, 42.1% in
2023 and 28.6% in 2024.

YE 2021 NOI improved 23.5% from YE 2020 due to higher rental income
and parking income, as well as a 6.8% decline in total operating
expenses (mostly general & administrative expense). However, YE
2021 NOI was still 8% below the pre-pandemic YE 2019 NOI.

Inline comparable tenant sales, which have overall increased since
issuance, were $543 psf at YE 2021 per the sponsor's 2021 annual
report, compared with $381 psf as of TTM March 2021, $448 psf as of
TTM March 2020 and $450 psf in 2019. Saks reported sales of $108
psf at YE 2021, compared with $96 psf as of TTM March 2021 and $127
psf as of TTM March 2019.

High Retail Concentration: Approximately 59.5% of the pool (26
loans/assets) consists of retail assets or loans secured by retail
properties, including the largest loan in the pool.

The Miracle Mile Shops (12.3%) loan is secured by a regional mall
located at the base of the Planet Hollywood Resort & Casino on the
Las Vegas Strip. The mall tenancy is made up of a variety of retail
shops, restaurants and entertainment venues. The largest tenant is
V Theater (8.5% of NRA; December 2023) and the third largest tenant
is Race and Sports Book (4.3%; July 2045).

The loan, which transferred to special servicing in August 2020 due
to the borrower requesting coronavirus relief, was modified, with
terms including a seven-month deferral of principal payments and
leasing reserve deposits from August 2020 through February 2021,
with repayment beginning in March 2021. The loan was subsequently
returned to the master servicer later in August 2020. The mall was
temporarily closed due to the pandemic in March 2020 and re-opened
in July 2020.

The YE 2021 NOI DSCR was 1.15x compared to 1.01x at YE 2020 and
1.41x at YE 2019. The former second-largest tenant, Saxe Theater
(5% of NRA), vacated in 2020 during the pandemic. Occupancy
increased to 94% as of March 2022 after it fell to 89% in September
2021 from 96.7% in April 2020 and 98% in December 2019.

The mall had strong historical sales performance prior to the
pandemic, but the most recent reported TTM August 2021 inline sales
were $778 psf, up from $347 psf as of TTM January 2021, which had
declined due largely to closures related to the pandemic, from $835
psf as of TTM February 2020, $817 as of TTM March 2019 and $868 psf
at issuance in 2013. Fitch's analysis did not factor in a stress to
the YE 2021 NOI, resulting in no modeled loss.

Increasing Credit Enhancement (CE): As of the June 2022
distribution date, the pool's aggregate principal balance has paid
down by 33.5% to $576 million from $867 million at issuance. Eleven
loans (11.8%) have been defeased, up from eight loans (8.7%) at the
prior rating action. The majority of the pool (48 loans; 83.4% of
pool) is currently amortizing and six loans (16.6%) are full-term,
interest-only. All remaining loans in the pool are scheduled to
mature between September and November 2023.

Alternative Loss Consideration: Fitch considered an additional
scenario in addition to its base case scenario in which only the
two regional mall loans remain in the pool. Classes B through G and
class PEZ are reliant on proceeds from these loans for repayment.
This scenario contributed to the continued Negative Outlooks on
classes D, E and X-C.

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-3, A-4, A-AB, A-S, X-A, B, X-B, C and PEZ
and are not likely due to the continued expected amortization,
position in the capital structure and repayment from loans expected
to refinance at maturity, but may occur should interest shortfalls
affect these classes.

Downgrades to classes D, E and X-C would occur should overall pool
losses increase significantly from continued underperformance of
the FLOCs, loans susceptible to the pandemic not stabilize,
additional loans default and/or transfer to special servicing,
higher losses than expected are incurred on the REO assets and/or
The Outlet Shoppes at Atlanta or Miracle Mile Shops loans
experience an outsized loss.

A downgrade to class F would occur as losses are realized and/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, particularly on The Outlet
Shoppes at Atlanta loan and the REO assets, coupled with additional
paydown and/or defeasance.

Upgrades to classes B, X-B, C and PEZ 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 classes D, X-C, E and F are not currently expected
given continued performance concerns and refinance risk for The
Outlet Shoppes at Atlanta loan but could occur if performance
stabilizes for this outlet center and/or the REO Park Place
Shopping Center asset is resolved with better recoveries than
expected. Classes would not be upgraded above 'Asf' if there is a
likelihood of interest shortfalls.

BEST/WORST CASE RATING SCENARIO

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

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

ESG CONSIDERATIONS

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


CITIGROUP 2015-GC35: Fitch Lowers Class F Certs Rating to 'CC'
--------------------------------------------------------------
Fitch Ratings has downgraded three classes, affirmed 11 classes and
revised six outlooks for Citigroup Commercial Mortgage Trust
(CGCMT) 2015-GC35 Mortgage Pass-Through Certificates Series
2015-GC35.

   DEBT            RATING                 PRIOR
   ----            ------                 -----
CGCMT 2015-GC35

A-2 17324KAM0    LT   AAAsf   Affirmed    AAAsf

A-3 17324KAN8    LT   AAAsf   Affirmed    AAAsf

A-4 17324KAP3    LT   AAAsf   Affirmed    AAAsf

A-AB 17324KAQ1   LT   AAAsf   Affirmed    AAAsf

A-S 17324KAR9    LT   AAAsf   Affirmed    AAAsf

B 17324KAS7      LT   AA-sf   Affirmed    AA-sf

C 17324KAT5      LT   A-sf    Affirmed    A-sf

D 17324KAU2      LT   Bsf     Downgrade   BBsf

E 17324KAA6      LT   CCCsf   Affirmed    CCCsf

F 17324KAC2      LT   CCsf    Downgrade   CCCsf

PEZ 17324KAY4    LT   A-sf    Affirmed    A-sf

X-A 17324KAV0    LT   AAAsf   Affirmed    AAAsf

X-B 17324KAW8    LT   AA-sf   Affirmed    AA-sf

X-D 17324KAX6    LT   Bsf     Downgrade   BBsf

KEY RATING DRIVERS

Improved Loss Expectations: The affirmations reflect the improved
loss expectations of the majority of the pool compared to the prior
rating action. The downgrade reflects the higher loss expectations
and concerns around larger Fitch Loans of Concern (FLOCs),
including Paramus Park, Illinois Center and South Plains Mall.
Fitch's current ratings incorporate a base case loss of 9.6%, down
from 10.6% COVID base case loss at the prior review. The Outlook
Negative on class D reflects the class's limited credit support
from the subordinate classes relative to expected losses. The
Outlook revisions to Stable from Negative reflect the classes'
sufficient credit enhancement (CE) with anticipation of the payoffs
from fully defeased loans and other loans that Fitch expects to pay
in full before or at their maturity dates. There are nine FLOCs
comprising 49.9% of the pool, which includes two loans in special
servicing (7.6%).

The largest contributor to loss is the South Plains Mall loan
(10.4% of pool), which is secured by a 992,140-sf portion of a
1,135,840-sf super regional mall located in Lubbock, TX. Collateral
anchors include JCPenney (20.4% of collateral NRA; July 2027 lease
expiry), Dillard's Women (16.4%; January 2022) and Dillard's Men &
Children (9.5%; January 2022). Upon lease expiry, both of the
Dillard's leases will convert to month-to-month. A former
non-collateral Sears box closed in late 2018. Collateral occupancy
declined to 73.7% as of March 2021 from 78.7% at YE 2020, 92.7% in
September 2020 and 95.9% in March 2019. A junior collateral anchor
tenant, Beall's (4% of collateral NRA), vacated in August 2020. YE
2020 and YE2021 NOI declined from YE 2019 with respective NOI DSCR
of 1.77x and 1.69x, however, increased to 2.23x as of March 2022.
Comparable in-line sales for tenants less than 10,000 sf were
reported at $573 psf as of YE2021, up from $418 psf at YE 2020,
$502 psf at TTM June 2019, $461 psf as of TTM August 2018 and $456
psf at the time of issuance. Fitch's modeled loss of 26% is based
on a cap rate of 15% applied to YE2021 NOI.

The second largest contributor to loss is Paramus Park (12.5%),
which is a secured by a 302,283sf portion of a 761,340sf regional
mall located in Paramus, NJ. The property is anchored by a
non-collateral Macy's (289,423sf, March 2049 lease expiry) and a
non-collateral Stew Leonards (100,000sf) which took over partial
space of the former 169,634 sf Sears box that vacated the property
in 2019.

The collateral occupancy declined to approximately 73% as of YE
2020 from 92% as of YE 2019 and 94% at YE 2018, and subsequently
went up to 83% as of YE 2021. Comparable in-line tenant sales
declined to $233 as of YE 2020, from $429 at YE 2019 and $362 at YE
2018. Recent occupancy and tenant sales declines attributed to the
impact of COVID-19 and tenant lease rolls. Between March 2020 and
March 2021, 18 tenants (16.3% of collateral NRA) vacated upon their
lease expiration dates.

Fitch's modeled loss of 20% incorporates a 13% cap rate applied to
the YE 2021 NOI.

The third largest contributor to loss is Illinois Center (6.1%),
which is secured by two adjoining 32-story office towers totaling
2.09 million sf, located in the East Loop submarket of the Chicago
CBD. As of March 2022, the property was 60.7% occupied, down from
67% at YE 2020 and 73.8% at YE 2019. The recent occupancy decline
is due to several tenants (9.9% of total NRA) vacating at or prior
to their lease expiration dates in 2021 and 2022, including a
portion of the Combined Insurance's space (4.7% of NRA), Silliker,
Inc. (1.6%) and Oath Inc. (1.2%).

Per the March 2022 rent roll, upcoming lease rollover includes 0.4%
of the NRA in 2022, 18.6% in 2023 and 10.3% in 2024. The 2023
rollover is primarily concentrated in the August 2023 expiration of
Bankers Life and Casualty (6.5%) and the November 2023 expiration
of the GSA (8.4%). Total occupancy is expected to fall to
approximately 54% in August 2023, as media reports indicated that
indicate Bankers Life and Casualty will be relocating to another
nearby office property after their current lease expires.

Fitch modeled loss of approximately 18% is based on a cap rate of
10% and a 10% stress to the YE 2021 NOI, which reflects property's
declined occupancy and cash flow, and the upcoming lease rollover
risk.

Specially Serviced Loan: The Doubletree Jersey City loan (6.2%),
which is secured by a 198-key hotel in Jersey City, NJ, transferred
to special servicing in October 2020 due to COVID impact. Borrower
previously intended to give back title to this property but has
informed Special Servicer that it intends to retain the property as
operations have been improving. Negotiations for resolution are in
process. As of TTM March 2022 STR, occupancy and RevPAR have
declined to 50.9% and $94.9 from 83.3% and $180.4 in 2020, but up
from 23.9% and $32.15 in 2021.

Fitch's modeled loss of 11% is based on a discount to a recent
appraisal value. Fitch's stressed value reflects approximately
$295,000 per room.

Minimal Change in Credit Enhancement: As of the June 2022
remittance reporting, the pool's aggregate balance has paid down by
12.7% to $963.6 million from $1.1 billion at issuance. Eleven loans
(5.9%) have been fully defeased. Nine loans (46.2% of pool) are
full-term, interest-only, the remainder of the pool are amortizing.
Scheduled loan maturities include one loan (1.4%) in 2022 and 56
loans (98.6%) in 2025.

Credit Opinion Loan: One loan, 590 Madison Avenue (10.4%), received
an investment-grade credit opinion on a stand-alone basis at
issuance of 'AA+'.

RATING SENSITIVITIES

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

Downgrades to classes A-2, A-3, A-4, A-AB and X-A are not
considered likely due to their position in the capital structure,
but may occur should interest shortfalls affect these classes.
Downgrade to classes A-S may occur should outsized loss incurred on
FLOCs and/or interest shortfalls affect the class. Downgrades to B,
X-B, C, PEZ, D and X-D may occur should FLOCs' performance continue
to deteriorate, additional loans transfer to special servicing,
or/and potential outsized losses incurred on the specially serviced
loans. Downgrades to the distressed classes E and F would occur as
losses are realized and/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:

Upgrades to classes B, C and X-B may occur with significant
improvement in credit enhancement (CE) and/or defeasance, and with
the stabilization of performance on the FLOCs. Upgrades to classes
D and X-D are considered unlikely and would be limited based on
concentrations or the potential for future concentration. Classes
would not be upgraded above 'Asf' if interest shortfalls were
likely. Upgrades to the distressed classes E and F are not likely
unless resolution of the specially serviced loans is better than
expected, FLOCs' performance stabilize or 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.


CITIGROUP 2017-B1: Fitch Affirms B- Rating on Class F Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2017-B1 (CGCMT 2017-B1). In addition, the Rating Outlooks on
classes E, X-E and F have been revised to Stable from Negative.

   DEBT          RATING                  PRIOR
   ----          ------                  -----
Citigroup Commercial Mortgage Trust 2017-B1

A-3 17326CAY0   LT   AAAsf    Affirmed   AAAsf

A-4 17326CAZ7   LT   AAAsf    Affirmed   AAAsf

A-AB 17326CBA1  LT   AAAsf    Affirmed   AAAsf

A-S 17326CBB9   LT   AAAsf    Affirmed   AAAsf

B 17326CBC7     LT   AA-sf    Affirmed   AA-sf

C 17326CBD5     LT   A-sf     Affirmed   A-sf

D 17326CAA2     LT   BBB-sf   Affirmed   BBB-sf

E 17326CAC8     LT   BB-sf    Affirmed   BB-sf

F 17326CAE4     LT   B-sf     Affirmed   B-sf

X-A 17326CBE3   LT   AAAsf    Affirmed   AAAsf

X-B 17326CBF0   LT   AA-sf    Affirmed   AA-sf

X-D 17326CAJ3   LT   BBB-sf   Affirmed   BBB-sf

X-E 17326CAL8   LT   BB-sf    Affirmed   BB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's base case loss expectations have
remained relatively stable since Fitch's prior rating action. The
Outlook revisions to Stable from Negative on classes E, X-E and F
reflect performance stabilization and better than expected
performance of properties affected by the pandemic. This includes
the two largest hotel loans, Old Town San Diego Hotel Portfolio
(5.9% of pool) and McNeill Hotel Portfolio (3.7%), which have had
significantly improved performance in 2021 from the onset of the
pandemic, have begun to stabilize and are no longer considered
Fitch Loans of Concern (FLOCs).

Fitch's current ratings incorporate a base case loss of 4.40%. Six
loans (10.4%), including two (2.1%) in special servicing, were
designated FLOCs.

The largest contributor to loss expectations, Lakeside Shopping
Center (6.9%), is secured by a 1.2 million sf super regional mall
located in Metairie, LA, approximately 7.8 miles northwest of New
Orleans. The loan is sponsored by the Feil Organization. The mall
is anchored by Dillard's, which leases 25.7% net rentable area
(NRA) through December 2029, Macy's, which has a ground lease for
19.0% NRA through February 2029 and JCPenney, which leases 16.8%
NRA through July 2023.

The property has had relatively stable performance, with minimal
impact from the pandemic. The YE 2021 NOI is relatively flat to YE
2020; however, it remains 12% below the issuer's underwritten NOI.
This IO loan has remained current, with debt service coverage ratio
(DSCR) reporting at 2.61x for YE 2021 compared with 2.58x at YE
2020 and 2.96x at issuance.

Occupancy has remained relatively flat since issuance, most
recently reporting at 97% as of YE 2021. The property faces near
term rollover risks, with leases for 26.5% of NRA scheduled to
expire by YE 2023, including JCPenney (16.8% NRA) which executed a
short-term lease extension through July 2023 from a prior November
2022 lease expiration. Recent tenant sales remain outstanding;
however, at issuance, the mall reported in-line sales of $795 psf
($651 excluding Apple).

Fitch's analysis includes a 12% cap rate and 5% stress to the YE
2021 NOI, resulting in an 11% base case loss.

Increasing Credit Enhancement (CE): As of the June 2022
distribution date, the pool's aggregate balance has been paid down
by 8.6% to $861.0 million from $941.6 million at issuance. Two
loans ($53.7 million balance) paid in full since Fitch's prior
rating action. Nineteen loans (59.4% of pool) are full-term, IO.
Sixteen loans (20.7%) had a partial-term, IO component at issuance
of which 12 have begun amortizing. Five loans (4.1%) are fully
defeased. Interest shortfalls of $467,031 are currently affecting
the non-rated classes H and VRR.

Pool Concentration: The top 10 loans comprise 55.5% of the pool.
Loan maturities are concentrated in 2027 (96.6%). Based on property
type, the largest concentrations are mixed-use at 26.7%, retail at
21.7% and office at 15.6%. The largest loan in the pool, General
Motors Building (10.8%), received a stand-alone, investment-grade
credit opinion of 'AAAsf' at issuance.

RATING SENSITIVITIES

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

Downgrades of classes in the 'AAAsf' and 'AAsf' categories are not
likely due to sufficient CE expected continued amortization but
would occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls
occur. Downgrades of classes in the 'Asf' and 'BBBsf' categories
would occur if additional loans become FLOCs or if performance of
the FLOCs deteriorates further. Classes E, X-E and F would be
downgraded if loss expectations increase or additional loans
transfer to special servicing and/or become FLOCs.

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 of classes B, X-B, C, D and X-D may occur with significant
improvement in CE and/or defeasance but would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is a likelihood for interest shortfalls. Upgrades of classes E, X-E
and F could occur if performance of the FLOCs improves
significantly and/or if there is sufficient CE, which would likely
occur if the non-rated classes are 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.


CITIGROUP 2019-GC41: Fitch Affirms 'B-' Rating on Class GRR Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Citigroup Commercial
Mortgage (CGCMT) Trust 2019-GC41 commercial mortgage pass-through
certificates.

   DEBT         RATING                    PRIOR
   ----         ------                    -----
CGCMT 2019-GC41

A-1 17328FAS4  LT    AAAsf    Affirmed   AAAsf

A-2 17328FAT2  LT    AAAsf    Affirmed   AAAsf

A-3 17328FAU9  LT    AAAsf    Affirmed   AAAsf

A-4 17328FAV7  LT    AAAsf    Affirmed   AAAsf

A-5 17328FAW5  LT    AAAsf    Affirmed   AAAsf

A-AB 17328FAX3 LT    AAAsf    Affirmed   AAAsf

A-S 17328FAY1  LT    AAAsf    Affirmed   AAAsf

B 17328FAZ8    LT    AA-sf    Affirmed   AA-sf

C 17328FBA2    LT    A-sf     Affirmed   A-sf

D 17328FAA3    LT    BBBsf    Affirmed   BBBsf

E 17328FAC9    LT    BBB-sf   Affirmed   BBB-sf

F 17328FAE5    LT    BB-sf    Affirmed   BB-sf

GRR 17328FAG0  LT    B-sf     Affirmed   B-sf

X-A 17328FBB0  LT    AAAsf    Affirmed   AAAsf

X-B 17328FAL9  LT    A-sf     Affirmed   A-sf

X-D 17328FAN5  LT    BBB-sf   Affirmed   BBB-sf

X-F 17328FAQ8  LT    BB-sf    Affirmed   BB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
has remained stable since Fitch's prior rating action, with the
majority of loans impacted by the pandemic continuing to stabilize.
Fitch's current ratings incorporate a base case loss of 3.88%,
which is in-line with issuance. Fitch has identified six loans
(14.1% of the pool) as Fitch Loans of Concern (FLOCs), which
includes one loan (0.6%) in special servicing.

Fitch Loans of Concern: The largest FLOC is the Millennium Park
Plaza loan (5.5% of the pool), the second largest loan in the pool,
which is secured by a mixed-use property located in Chicago, IL.
The property consists of 561 multifamily units, 85,000-sf of retail
space, and 18,000-sf of office. Located in the Loop in downtown
Chicago and two blocks from Maggie Daley Park, the property has
experienced pandemic-related performance declines, with overall
occupancy dropping to 85% at YE 2020 from 99% at issuance. While
occupancy has since improved to 98% as of YE 2021, the
servicer-reported NOI DSCR remains low at 0.95x at YE 2021,
compared to 1.56x at YE 2020.

Fitch expects performance to continue to improve and return to
issuance expectations as the impacts from the pandemic continues to
subside. The multifamily portion of the collateral, which accounts
for 76.7% of the base rent, has improved to 100% occupancy at YE
2021, with office occupancy reporting at 100% and retail at 88%.

The second largest FLOC is the Zappettini Portfolio (4.3%), which
is secured by a portfolio of 10 office buildings located in
Mountain View, CA. Occupancy has declined to 82.4% per the March
2022 rent rolls, from 89% at December 2021 and 100% at issuance.
Recent tenant departures include X Motors (6.6% of the NRA) in June
2021 and Vita Insurance Associates (5.9%) in December 2021.
Near-term rollover includes five leases totaling 35% of the NRA
schedule to expire by YE 2023.

Despite recent tenant departures and upcoming rollover, the
properties are well located in the tight Palo Alto office submarket
and are in close proximity to Google's global headquarters and
Microsoft's Silicon Valley campus. The portfolio benefits from
credit-worthy tenancy, including Google and the County of Santa
Clara (AA+/Stable). The portfolio has also experienced significant
lease renewals with its largest tenants; Iridex Corporation (14.8%)
extended their lease from September 2021 to September 2023, and
County of Santa Clara (9.9%) extended from February 2022 to August
2024.

The interest-only loan has remained current since issuance, with
NOI DSCR at 1.66x as of YE 2021 compared to 1.96x at YE 2020 and
1.83x at issuance.

Minimal Changes to Credit Enhancement (CE): As of the June 2022
distribution date, the pool's aggregate balance has been paid down
by 0.46% of the original pool balance. There are 27 loans (80.9% of
the pool) that are full-term, interest-only (IO), eight loans
(9.2%) that are partial IO, and eight loans (9.9%) that are
currently amortizing. Interest shortfalls of $67,334 and $2,440 are
affecting the JRR and VRR classes, respectively.

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 specially serviced
    loans;

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

-- Downgrades to the 'BBB-sf' through 'A-sf' rated classes may
    occur should expected losses for the pool increase
    substantially and all of the loans susceptible to the
    coronavirus pandemic suffer losses, which would erode CE;

-- Downgrades to the 'B-sf' and 'BB-sf' rated classes would occur

    with greater certainty of loss 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 could lead to upgrades would include stable to
    improved asset performance, particularly on the FLOCs, coupled

    with paydown and/or defeasance;

-- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely
    occur with significant improvement in CE and/or defeasance;
    However, adverse selection and increased concentrations or
    underperformance of the FLOCs could cause this trend to
    reverse;

-- Upgrades to the 'BBBsf' and below-rated classes 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. Additionally, an upgrade to the 'BB-sf' and 'B-sf'

    rated classes is not likely until later years of the
    transaction and only if the performance of the remaining pool
    is stable and/or there is sufficient CE, 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.


CITIGROUP 2022-GC48: DBRS Gives Prov. BB(low) Rating on YL-C Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Yorkshire & Lexington Towers Loan-Specific Certificates to be
issued by Citigroup Commercial Mortgage Trust 2022-GC48:

-- Class YL-A at A (sf)
-- Class YL-B at BBB (low) (sf)
-- Class YL-C at BB (low) (sf)

All trends are Stable.

The Yorkshire & Lexington Towers Loan-Specific Certificates are
secured by the borrower's fee-simple interest in two multifamily
properties totaling 808 units on the Upper East Side of Manhattan.
There are 503 market-rate units and 305 rent-stabilized units
across the two properties. In addition to 57 unit renovations that
have already been completed, the sponsor has identified 311 units
that will be renovated over the next three years. More
specifically, the business plan contemplates 283 traditional
renovations at an estimated cost of $19,382 per unit and 28 major
renovations at an estimated cost of $37,143 per unit. The major
renovations are more complex, combining multiple units into a
single larger unit or materially altering floorplans. When the unit
size or floorplan is materially altered, rent stabilization
regulations allow for the rent-stabilized legal rent to be reset to
the first rent achieved following the renovation. While DBRS
Morningstar considers there to be an inherent risk in the business
plan, it also believes that there are appropriate loan structures
in place to mitigate the risk, including a $6.5 million upfront
unit upgrade reserve and a $5.9 million upfront supplemental income
reserve that will cover any income lost while units are undergoing
renovation. Additionally, the DBRS Morningstar net cash flow and
value assumptions do not include any stabilization credit.

The subject whole loan of $714.0 million ($883,663 per unit) will
refinance $550.0 million ($665,054 per unit) of existing debt that
was originated in October 2017 and securitized in various conduit
transactions, equating to an increase of 29.8% in total debt load.
The collateral's net operating income increased approximately 53.3%
to $24.3 million in 2021 from $15.8 million in 2017. However, the
January 2022 as-is appraised value of $954.0 million ($1.2 million
per unit) represents an increase of only 7.2% over the October 2017
appraised value of $890.0 million ($1.1 million per unit). As a
result, the total debt leverage has increased notably as evidenced
by the current loan-to-value ratio (LTV) of 74.8%, based on the
whole loan of $714.0 million and as-is appraised value of $954.0
million, compared with the 2017 LTV of 61.8%, based on the previous
whole loan of $550.0 million and appraised value of $890.0 million.
If the sponsor is able to successfully carry out its business plan,
the gap would be partially bridged as the appraiser's stabilized
value estimate of $1.1 billion indicates a LTV of 67.5% on the
whole loan of $714.0 million.

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



CITIGROUP COMMERCIAL 2013-GC15: Fitch Affirms B- on 2 Classes
-------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Citigroup Commercial
Mortgage Trust (CGCMT) commercial mortgage pass-through
certificates, series 2013-GC15. In addition, the Rating Outlooks
for three classes were revised to Stable from Negative.

   DEBT            RATING                  PRIOR
   ----            ------                  -----
Citigroup Commercial Mortgage Trust 2013-GC15

A-3 17321JAC8    LT   AAAsf    Affirmed    AAAsf

A-4 17321JAD6    LT   AAAsf    Affirmed    AAAsf

A-AB 17321JAE4   LT   AAAsf    Affirmed    AAAsf

A-S 17321JAF1    LT   AAAsf    Affirmed    AAAsf

B 17321JAG9      LT   AA-sf    Affirmed    AA-sf

C 17321JAH7      LT   A-sf     Affirmed    A-sf

D 17321JAP9      LT   BBB-sf   Affirmed    BBB-sf

E 17321JAR5      LT   B-sf     Affirmed    B-sf

F 17321JAT1      LT   CCCsf    Affirmed    CCCsf

PEZ 17321JAZ7    LT   A-sf     Affirmed    A-sf

X-A 17321JAJ3    LT   AAAsf    Affirmed    AAAsf

X-C 17321JAM6    LT   B-sf     Affirmed    B-sf

KEY RATING DRIVERS

Improved Loss Expectations: The Outlook revisions to Stable on
classes D, E and X-C reflect improved loss expectations for the
pool since Fitch's last rating action due to performance
stabilization of properties affected by the pandemic and the return
of two previously specially serviced loans that have been brought
current transferring back to the master servicer.

Fitch's current ratings incorporate a base case loss of 7.30%. Ten
loans (20%) are considered Fitch Loans of Concern (FLOCs) including
the three specially serviced loans for occupancy declines,
performance declines related to the pandemic, upcoming rollover,
and/or deferred maintenance.

The largest improvement in expected loss is the Walpole Shopping
Mall loan (2.3% of the pool), which is secured by a 363,132-sf
anchored retail center and seven pad/outparcel sites containing
34,880 sf located in Walpole, MA. The property is anchored by
Kohl's (lease expiry in June 2029), LA Fitness (May 2029), Barnes &
Noble (January 2024), Aldi (December 2031), Jo-Ann Stores (January
2025), PetSmart (September 2027) and Old Navy (March 2025).

The loan was previously transferred to special servicing in May
2020 for imminent monetary default and was returned to the master
servicer in October 2021 as a corrected loan. The loan was modified
to allow for a temporary waiver of the DSCR covenants until the
tenant, Aldi, opened for business in January 2022. The property's
occupancy has improved to 89.3% as of March 2022 from 84.7% in
February 2021. There is minimal upcoming rollover of 3% in 2023 and
12% in 2024. A recent tenant sales report was requested but not
received. Fitch's base case loss of 14% is based on a 9% cap rate
and 5% stress to the YE 2021 NOI.

The next largest improvement in expected loss is the Parkway Centre
East loan (3.4%), which is secured by a 162,470-sf retail center
located in the Columbus suburb of Grove City, OH. LA Fitness (12.3%
of NRA) vacated in June 2020. The borrower had a previous tenant (a
church) that occupied this space for a year and was paying
substantially lower rent than LA Fitness; however, the tenant has
since vacated. The borrower is actively marketing the space and
recently received a letter of intent for a national retailer which
is currently under review.

Additionally, the lease for AMC Theatres (34% of NRA) expired on
January 31, 2022. Per the master servicer, AMC is currently on
month-to-month terms and is paid current at the holdover rent as
negotiations remain ongoing on a possible five-year lease renewal
with the tenant. The property's YE 2021 NOI improved 30% from YE
2020 as tenants which were not paying rents in 2020 have resumed
rental payments. Fitch's base case loss of 8% reflects a 9.50% cap
rate and 10% stress to the YE 2021 NOI for rollover concerns.

The largest contributor to overall loss expectations is the
specially serviced 735 Sixth Avenue loan (4.9%), which is secured
by 16,500-sf of ground-level retail of a 40-story, mixed-use
residential condominium building located in Manhattan along Sixth
Avenue between West 24 and 25 Streets. The loan was transferred to
special servicing in February 2019 due to delinquent payments. Both
David's Bridal, which occupied 10,283 sf, and T-Mobile, which
occupied 2,400 sf, vacated at their respective lease expirations in
October and November 2018; this caused occupancy to drop to 19% and
resulted in insufficient cash flow to make debt service payments. A
new tenant, Veterinary Emergency Group, has leased the former
T-Mobile space in 2021, bringing occupancy to 28%.

Per the special servicer, the borrower also reported that two
tenants (a liquor store and nail salon) remain in rent arrears.
Foreclosure was filed in October 2019 and the court granted motion
for summary judgement in April 2021. A foreclosure sale date from
the court is forthcoming, while the lender continues to evaluate
various workout strategies, including possible loan modification
while dual tracking legal remedies and a potential note sale.
Fitch's base case loss of 83% reflects a stressed value of $798
psf.

Increased Credit Enhancement/Defeasance: As of the June 2022
remittance, the pool's aggregate principal balance has been reduced
by 37.8% to $693.6 million from $1.12 billion at issuance. Realized
losses for the pool to date total $3.1 million (0.28% of the
original pool). Twenty-one loans (19%) are defeased, including an
additional 5.6% since the last rating action. Three loans (20.8%)
are full-term interest only. Ten loans (21.3%) were structured with
a partial interest-only period and have all transitioned into their
amortization periods.

Alternative Loss Consideration: All of the loans in the pool mature
in 2023, primarily during the third quarter. Due to significant
upcoming maturities, Fitch performed a paydown scenario that
grouped the remaining loans based on the likelihood of repayment
and recovery prospects; this scenario supports the current ratings
and Outlooks. Classes A-1 through B are reliant on defeased and
performing loans in the pool that are expected to refinance at
maturity. Classes C through F are reliant on proceeds from FLOCs
and specially serviced loans.

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 classes A-3, A-4, A-SB, A-S, X-A and B are not likely
due to the continued expected amortization, position in the capital
structure and repayment from loans expected to refinance at
maturity, but may occur should interest shortfalls affect these
classes. Downgrades to classes C, PEZ and D would occur should
overall pool losses increase from continued underperformance of the
FLOCs or higher loss expectations on the specially serviced loans.
Downgrades to classes E, F and X-C will occur with a greater
certainty of loss 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 lead to upgrades would include stable to
improved asset performance coupled with pay down and/or
defeasance.

Upgrades to classes B, C and PEZ may 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, rated 'BBB-sf', is 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.

Upgrades to classes E, F and X-C are not likely until the later
years of the transaction and only if the performance of the
remaining pool is stable and/or properties vulnerable to the
coronavirus return to pre-pandemic levels, and there is sufficient
credit enhancement to these 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.


CITIGROUP COMMERCIAL 2017-P8: Fitch Affirms B- Rating on 2 Tranches
-------------------------------------------------------------------
Fitch Ratings has affirmed 22 classes of Citigroup Commercial
Mortgage Trust 2017-P8 commercial mortgage pass-through
certificates (CGCMT 2017-P8). The Rating Outlooks for four classes
have been revised to Stable from Negative.

   DEBT                RATING                 PRIOR
   ----                ------                 -----
CGCMT 2017-P8

A-1 17326DAA0     LT    AAAsf     Affirmed    AAAsf

A-2 17326DAB8     LT    AAAsf     Affirmed    AAAsf

A-3 17326DAC6     LT    AAAsf     Affirmed    AAAsf

A-4 17326DAD4     LT    AAAsf     Affirmed    AAAsf

A-AB 17326DAE2    LT    AAAsf     Affirmed    AAAsf

A-S 17326DAF9     LT    AAAsf     Affirmed    AAAsf

B 17326DAG7       LT    AA-sf     Affirmed    AA-sf

C 17326DAH5       LT    A-sf      Affirmed    A-sf

D 17326DAM4       LT    BBB-sf    Affirmed    BBB-sf

E 17326DAP7       LT    BB-sf     Affirmed    BB-sf

F 17326DAR3       LT    B-sf      Affirmed    B-sf

V-2A 17326DBF8    LT    AAAsf     Affirmed    AAAsf

V-2B 17326DBH4    LT    AA-sf     Affirmed    AA-sf

V-2C 17326DBK7    LT    A-sf      Affirmed    A-sf

V-2D 17326DBM3    LT    BBB-sf    Affirmed    BBB-sf

V-3AC 17326DBR2   LT    A-sf      Affirmed    A-sf


V-3D 17326DBV3    LT    BBB-sf    Affirmed    BBB-sf

X-A 17326DAJ1     LT    AAAsf     Affirmed    AAAsf

X-B 17326DAK8     LT    AA-sf     Affirmed    AA-sf

X-D 17326DAV4     LT    BBB-sf    Affirmed    BBB-sf

X-E 17326DAX0     LT    BB-sf     Affirmed    BB-sf

X-F 17326DAZ5     LT    B-sf      Affirmed    B-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
and base case loss expectations 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 seven
Fitch Loans of Concern (FLOCs; 17.0% of the pool), including one
(1.4%) specially serviced loan. Six loans (14.4%) are on the master
servicer's watchlist for declines in occupancy, pandemic-related
performance declines, upcoming rollover and/or deferred
maintenance. Fitch's current ratings incorporate a base case loss
of 4.6%.

The largest contributor to overall loss expectations is the Mall of
Louisiana loan (4% of pool), which is secured by a 1.5 million-sf
(776,789 sf collateral) super-regional mall located in Baton Rouge,
LA. Collateral tenants include an AMC Theater (9.4% of NRA), Dick's
Sporting Goods (9.3%), Main Event Entertainment (6.2%) and
Nordstrom Rack (3.8%). Non-collateral anchor tenants are Macy's,
JCPenney and Dillard's. A non-collateral Sears closed in May 2021
and the borrower has not reported any leasing prospects. The March
2022 rent roll reflected mall occupancy of 87% compared with 77% at
YE 2021, 89% at YE 2020 and 97% at YE 2019. Four new leases
totaling 17,123 sf are expected to commence in June or October
2022, which will bring occupancy up to 89%. YE 2021 NOI DSCR
declined to 1.48x, from 2.00x at YE 2020 and 2.39x at YE 2019. The
loan began to amortize in September 2020, which also contributed to
the decline in DSCR. The servicer reported YE 2021 NOI declined by
8.3% compared to 2020, and is down 37.3% from underwritten
expectations.

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 subject is the dominant
mall in its market, but was flagged a FLOC due to the declining
NOI, vacant non-collateral Sears anchor box and upcoming tenant
rollover of 12.9% and 8.3% NRA in 2022 and 2023, respectively.
Fitch's modeled loss of 17% reflects a 5% stress to the YE 2021 NOI
and a 12.5% cap rate.

The second largest contributor to overall loss expectations is the
Starwood Capital Group Hotel Portfolio (4.3%), 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.
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
modeled loss of 18% reflects an 11.50% cap rate to the portfolio's
YE 2021 NOI.

Minimal Change in Credit Enhancement (CE): As of the June 2022
distribution date, the pool's aggregate balance has been paid down
by 2.8% to $1.06 billion from $1.09 billion at issuance and all 53
of the original loans remain in the pool. Three loans (5.4% of
current pool) are fully defeased. Nineteen loans (44.3%) are
full-term IO and seventeen loans (35.6%) have a partial IO period
remaining.

Property Type Concentration: Approximately 34.3% of the loans in
the pool are secured by office properties followed by retail at
30.7%, mixed-use at 13.2%, hotel at 9.8% and industrial at 6.0%.

Pari Passu Loans: Thirteen loans (22.5% of pool) 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 or specially serviced loans. Downgrades to the
'AA-sf' and 'AAAsf' categories are not likely due to sufficient CE
and expected continued amortization, but may occur should interest
shortfalls affect these classes. Downgrades to the 'A-sf' and
'BBB-sf' categories would occur if a high proportion of the pool
defaults and expected losses increase significantly. Downgrades to
the 'B-sf' and 'BB-sf' categories would occur should loss
expectations increase due to an increase in FLOCs or specially
serviced loans.

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 the 'A-sf' and
'AA-sf' categories would likely occur with significant improvement
in CE and/or defeasance; however, adverse selection, increased
concentrations and/or further underperformance of the FLOCs or
loans expected to be negatively affected by the coronavirus
pandemic could cause this trend to reverse. Upgrades to the
'BBB-sf' category would also take into account these factors but
would be limited based on sensitivity to concentrations or the
potential for future concentration. Classes would not be upgraded
above 'Asf' if interest shortfalls are likely. Upgrades to the
'B-sf' and 'BB-sf' categories are not likely until the later years
in a transaction and only if the performance of the remaining pool
is stable and 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.


CITIGROUP MORTGAGE 2022-RP3: Fitch Assigns B Rating on B-2 Debt
---------------------------------------------------------------
Fitch Ratings has assigned final ratings to Citigroup Mortgage Loan
Trust 2022-RP3 (CMLTI 2022-RP3).

   DEBT       RATING                  PRIOR
   ----       ------                  -----
CMLTI 2022-RP3

A-1      LT    AAAsf   New Rating    AAA(EXP)sf

A-2      LT    AAsf    New Rating    AA(EXP)sf

A-3      LT    AAsf    New Rating    AA(EXP)sf

A-4      LT    Asf     New Rating    A(EXP)sf

A-5      LT    BBBsf   New Rating    BBB(EXP)sf

M-1      LT    Asf     New Rating    A(EXP)sf

M-2      LT    BBBsf   New Rating    BBB(EXP)sf

B-1      LT    BBsf    New Rating    BB(EXP)sf

B-2      LT    Bsf     New Rating    B(EXP)sf

B-3      LT    NRsf    New Rating    NR(EXP)sf

B-4      LT    NRsf    New Rating    NR(EXP)sf

B-5      LT    NRsf    New Rating    NR(EXP)sf

B        LT    NRsf    New Rating    NR(EXP)sf

A-IO-S   LT    NRsf    New Rating    NR(EXP)sf

X        LT    NRsf    New Rating    NR(EXP)sf

SA       LT    NRsf    New Rating    NR(EXP)sf

PT       LT    NRsf    New Rating    NR(EXP)sf

PT-1     LT    NRsf    New Rating    NR(EXP)sf

R        LT    NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed notes to be issued
by Citigroup Mortgage Loan Trust 2022-RP3 (CMLTI 2022-RP3), as
indicated above. The notes are supported by two collateral groups
consisting of 5,173 seasoned performing loans (SPLs) and
reperforming loans (RPLs), with a total balance of approximately
$1,013 million, including $55.2 million, or 5.5%, of the aggregate
pool balance in noninterest-bearing deferred principal amounts as
of the cutoff date.

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

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.1% above a long-term sustainable level (versus
9.2% on a national level). Underlying fundamentals are not keeping
pace with growth in home prices, which is the result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 18.9% yoy nationally as of December 2021.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. Of the pool, 4.4%
was 30 days delinquent as of the cutoff date, and 83.6% of the
loans are current but have had delinquencies within the past 24
months. Additionally, 93.7% of the loans have a prior modification.
Fitch increased its loss expectations to account for the delinquent
loans and loans with prior delinquencies.

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

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

RATING SENSITIVITIES

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

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 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% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for
seasoned collateral. While all but one loan is seasoned 24 months
or greater, 2,410 loans received a credit and property valuation
review in additional to a regulatory compliance review. All loans
received an updated tax and title search and review of servicing
comments.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments: increased the LS due to HUD-1
issues, missing modification agreements, material TRID exceptions,
as well as delinquent taxes and outstanding liens. These
adjustments resulted in an increase in the 'AAAsf' expected loss of
approximately 33bps.

ESG CONSIDERATIONS

CMLTI 2022-RP3 has an ESG Relevance Score of '4' [+] for
Transaction Parties & Operational Risk due to its well-controlled
operational risk, including strong R&Ws, transaction due diligence
and a highly-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.


COLT 2022-6: Fitch Assigns 'B' Rating on Class B2 Certificates
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates to be issued by COLT 2022-6 Mortgage
Loan Trust (COLT 2022-6).

   DEBT       RATING              PRIOR
   ----       ------              -----
COLT 2022-6

A1     LT   AAAsf   New Rating   AAA(EXP)sf

A2     LT   AAsf    New Rating   AA(EXP)sf

A3     LT   Asf     New Rating   A(EXP)sf

M1     LT   BBBsf   New Rating   BBB(EXP)sf

B1     LT   BBsf    New Rating   BB(EXP)sf

B2     LT   Bsf     New Rating   B(EXP)sf

B3     LT   NRsf    New Rating   NR(EXP)sf

AIOS   LT   NRsf    New Rating   NR(EXP)sf

X      LT   NRsf    New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 1,017 nonprime loans with a total
balance of approximately $423 million as of the cutoff date. Loans
in the pool were originated by multiple originators and aggregated
by Hudson Americas L.P. Loans are currently serviced by Select
Portfolio Servicing, Inc. (SPS) or Northpointe Bank.

In early July, news emerged that Sprout Mortgage was laying off the
majority of their workforce and shutting down operations. Sprout
Mortgage originated 10.4% of the collateral within the transaction.
Fitch feels like the primary risks associated with Sprout Mortgage
have been mitigated against and there are no changes from the
expected ratings.

After the presale was published, the Sponsor revised the
transaction documents to no longer look to Sprout as representation
and warranty (R&W) provider for the loans, with the Sponsor being
the sole R&W provider for the Sprout originated loans. Given Sprout
Mortgage's lack of IDR initially, Fitch assumed they would default
as a R&W provider during the life of the transaction, and had
already increased the loss expectations to account for the risk. To
address the R&W framework Fitch initially incorporated a 155bps
increase to the 'AAAsf' expected loss on the Sprout Mortgage
portion of loans..

Additional concerns about the loan underwriting and manufacturing
process were mitigated by 100% due diligence performed by AMC,
Evolve, and Opus, where 100% of the grades were 'A' or 'B'. The due
diligence review also noted all exceptions, where most of the
exceptions were either immaterial or modest exceptions to
guidelines. Additionally, Fitch's Operational Risk Group conducted
an updated Originator review of Sprout on May 4th, and identified
no material concerns with the origination process. Fitch feels
there was no deterioration in loan quality from prior transactions,
and the risks were captured in Fitch's high expected defaults and
severities for the loans.

Lastly, all Sprout Mortgage originated loans have transferred
servicing, so there is no remaining tie to Sprout Mortgage in the
transaction.

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 9.7% 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 20.6% yoy
nationally as of March 2022.

Non-QM Credit Quality (Negative): The collateral consists of 1,017
loans, totaling $423 million and seasoned approximately five months
in aggregate (calculated as the difference between origination date
and cutoff date). The borrowers have a moderate credit profile --
739 model FICO and 46.5% model debt-to-income ratio (DTI) -- and
leverage -- 78.0% sustainable loan-to-value ratio (LTV) and 71.9%
combined LTV (cLTV). The pool consists of 44.5% of loans where the
borrower maintains a primary residence, while 50.0% comprise an
investor property. Additionally, 50.0% are non-qualified mortgage
(non-QM); the QM rule does not apply to the remainder,

Fitch's expected loss in the 'AAAsf' stress is 23%. This is mostly
driven by the non-QM collateral and the significant investor cash
flow product concentration.

Loan Documentation (Negative): Approximately 79% of the loans in
the pool were underwritten to less than full documentation, and 34%
were underwritten to a bank statement program for verifying income,
which is not consistent with Appendix Q standards and Fitch's view
of a full documentation program. A key distinction between this
pool and legacy Alt-A loans is that these loans adhere to
underwriting and documentation standards required under the
Consumer Financial Protections Bureau's Ability to Repay (ATR) Rule
(ATR Rule, or the Rule), which reduces the risk of borrower default
arising from lack of affordability, misrepresentation or other
operational quality risks due to rigor of the Rule's mandates with
respect to the underwriting and documentation of the borrower's
ATR.

Fitch's treatment of alternative loan documentation increased the
'AAAsf' expected loss by 584bps relative to a fully documented
loan.

High Percentage of DSCR Loans (Negative): There are 579 debt
service coverage ratio (DSCR) product and eight no-ratio loans in
the pool (58% by loan count). These loans are available to real
estate investors that are qualified on a cash flow basis, rather
than DTI, and borrower income and employment are not verified. For
DSCR loans, Fitch converts the DSCR values to a DTI and treats as
low documentation. Additionally, two loans were commercial investor
loans underwritten under a no-ratio basis.

Fitch's expected loss for these loans is 32.5% in the 'AAAsf'
stress, which is driving the higher pool expected losses due to the
42% WA concentration.

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

Advances of delinquent principal and interest (P&I) will be made on
the mortgage loans for the first 180 days of delinquency, to the
extent such advances are deemed recoverable. If the P&I advancing
party fails to make a required advance, the master servicer and
then securities administrator will be obligated to make such
advance.

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

COLT 2022-6 has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lesser of a
100-bp increase to the fixed coupon or the net weighted average
coupon (WAC) rate. Fitch expects the senior classes to be capped by
the net WAC. Additionally, after the step-up date, the B-1, B-2 and
B-3 classes are converted to Principal-Only bonds and interest
allocation goes toward the senior interest.; this increases the P&I
allocation for the senior classes.

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

SUMMARY OF FINANCIAL ADJUSTMENTS

International scale credit ratings for Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years.

The complete span of best- and worst-case scenario credit ratings
for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and
worst-case scenario credit ratings are based on historical
performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Clayton, Evolve, Consolidated Analytics, Covius,
Opus, Infinity, Stonehill, EdgeMac, Selene and Recovco. The
third-party due diligence described in Form 15E focused on credit,
compliance and property valuation review. Fitch considered this
information in its analysis and, as a result, Fitch made the
following adjustment(s) to its analysis: a 5% credit at the loan
level for each loan where satisfactory due diligence was completed.
This adjustment resulted in a 44bps reduction to the 'AAAsf'
expected loss.

DATA ADEQUACY

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

ESG CONSIDERATIONS

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


COMM 2012-CCRE1: Moody's Lowers Rating on Cl. C Certs to Ba1
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
and downgraded the ratings on three classes in COMM 2012-CCRE1
Mortgage Trust ("COMM 2012-CCRE1"), Commercial Pass-Through
Certificates, Series 2012-CCRE1 as follows:

Cl. B, Downgraded to Baa1 (sf); previously on Apr 23, 2021
Downgraded to A2 (sf)

Cl. C, Downgraded to Ba1 (sf); previously on Apr 23, 2021
Downgraded to Baa2 (sf)

Cl. D, Affirmed Caa1 (sf); previously on Apr 23, 2021 Downgraded to
Caa1 (sf)

Cl. E, Affirmed Caa2 (sf); previously on Apr 23, 2021 Downgraded to
Caa2 (sf)

Cl. F, Affirmed Caa2 (sf); previously on Apr 23, 2021 Downgraded to
Caa2 (sf)

Cl. G, Affirmed Caa3 (sf); previously on Oct 2, 2020 Downgraded to
Caa3 (sf)

Cl. X-B*, Downgraded to Caa2 (sf); previously on Oct 2, 2020
Downgraded to Caa1 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on two P&I classes were downgraded due to increased
risk of losses and interest shortfalls driven primarily by the
significant exposure to class B regional malls and loans in special
servicing. RiverTown Crossings Mall (27% of the pool) is in special
servicing and Crossgates Mall (60% of the pool) failed to payoff at
its original scheduled maturity in May 2022.

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

The rating on the IO class was downgraded due to a decline in the
credit quality of its referenced classes. The IO class references
all P&I classes including Class H, which is not rated by Moody's.

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

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

Moody's rating action reflects a base expected loss of 33.4% of the
current pooled balance, compared to 9.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.0% of the
original pooled balance, compared to 6.5% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published May 2022.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 40% of the pool is in
special servicing and the remaining loan not in special servicing,
Crossgates Mall, has been identified as a troubled loan
representing 60% of the pool. In this approach, Moody's determines
a probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced and troubled loans to the most junior
class(es) and the recovery as a pay down of principal to the most
senior class(es).

DEAL PERFORMANCE

As of the June 17, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 82% to $167 million
from $933 million at securitization. The certificates are
collateralized by four mortgage loans ranging in size from 6% to
60% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of two, compared to a Herf of 13 at Moody's last
review.

Three loans, constituting 40% of the pool, are currently in special
servicing. All of the specially serviced loans have transferred to
special servicing since March 2020.

The largest specially serviced loan is the RiverTown Crossings Mall
Loan ($45.5 million – 27.2% of the pool), which is represents a
pari-passu portion of a $127.8 million mortgage loan. The loan is
secured by an approximately 635,800 square feet (SF) portion of a
1.2 million SF regional mall located in Grandville, Michigan. The
property was built in 2000 and is anchored by Macy's, Kohl's, J.C.
Penney, Dick's Sporting Goods and Celebration Cinemas. The sponsor
purchased a vacant, former non-collateral Younkers (closed 2018)
anchor box (150,081 SF) in 2019 for $4.4 million. There was also a
former non-collateral Sears which closed in January 2021. The only
collateral anchors are Dick's Sporting Goods and Celebration
Cinemas, and both tenants have renewed their leases in early 2020
for an additional five years. As of September 2021, the collateral
and inline occupancy were 80% and 79%, respectively, compared to an
in-line occupancy of 86% in June 2021 and 88% in March 2020. As of
year-end 2020, comparable in-line sales (less than 10,000 SF) were
$309 PSF, compared to $382 PSF for the year ending December 2019.
While property performance generally improved through 2016, it has
since declined primarily due to lower rental revenues. The year-end
2020 net operating income (NOI) was 17% lower than in 2019 and 14%
lower than underwritten levels. The loan transferred to special
servicing in October 2020 due to imminent monetary default and
failed to pay off at its maturity date in June 2021. Cash
management is in place and the borrower and special servicer are
discussing a potential loan modification or deed-in-lieu of
foreclosure. The loan has amortized 18% since securitization and is
last paid through its June 2022 payment date.

The second largest specially serviced loan is the Claremont
Corporate Center Loan ($11.5 million – 6.9% of the pool), which
is secured by an office property located in Summit, NJ. The
property was 88% occupied as of year-end 2021 compared to 73% as of
year-end 2020. The loan is passed its maturity and the property is
under contract for sale.

The third largest specially serviced loan is the Philadelphia
Square Loan ($10.5 million – 6.3% of the pool), which is secured
by a student housing property located in Indiana, Pennsylvania
approximately 60 miles east of Pittsburgh. The property is located
several blocks from the Indiana University of Pennsylvania campus.
Indiana University's enrollment has dropped 35% in the 2020-2021
school year from the 2012-2013 school year.

The largest loan not in special servicing is the Crossgates Mall
Loan ($99.7 million – 59.6% of the pool), which represents a
pari-passu portion of a $251.1 million mortgage loan. The loan is
secured by a two-story, 1.3 million SF super regional mall located
in Albany, New York. The mall is anchored by Macy's
(non-collateral), J.C. Penney, Dick's Sporting Goods, Burlington
Coat Factory, Best Buy, and Regal Crossgates 18. A non-collateral
anchor, Lord & Taylor, has closed its store at the property due to
its recent filing for Chapter 11 bankruptcy reorganization. As of
June 2020, the total mall and collateral occupancy was 96%. The
in-line occupancy was 86% occupied compared to 90% in 2019. The
property performance had been stable through year-end 2021 and the
2021 NOI was 2% higher than securitization levels. The mall
represents a dominant super-regional mall with over 10 anchors and
junior anchors and benefits from its location at the junction of
Interstate 87 and Interstate 90. A new appraisal was completed in
August 2020 which reduced the as-is value to $281.0 million
compared to $470.0 million at securitization and resulted in an
appraisal reduction of $6.9 million for the trust. The loan has
been extended through May 2023.

As of the June 2022 remittance statement cumulative interest
shortfalls were $564,034. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans.
Interest shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal entitlement reductions
(ASERs), loan modifications and extraordinary trust expenses.


COMM 2012-CCRE3: Moody's Lowers Rating on Cl. F Certs to C
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on three classes in COMM 2012-CCRE3
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2012-CCRE3 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Oct 2, 2020 Affirmed Aaa
(sf)

Cl. A-M, Affirmed A1 (sf); previously on Apr 23, 2021 Downgraded to
A1 (sf)

Cl. B, Affirmed Ba2 (sf); previously on Apr 23, 2021 Downgraded to
Ba2 (sf)

Cl. C, Affirmed B2 (sf); previously on Apr 23, 2021 Downgraded to
B2 (sf)

Cl. D, Affirmed Caa1 (sf); previously on Apr 23, 2021 Downgraded to
Caa1 (sf)

Cl. E, Downgraded to Caa3 (sf); previously on Oct 2, 2020
Downgraded to Caa2 (sf)

Cl. F, Downgraded to C (sf); previously on Oct 2, 2020 Downgraded
to Caa3 (sf)

Cl. G, Affirmed C (sf); previously on Oct 2, 2020 Downgraded to C
(sf)

Cl. PEZ**, Affirmed Ba2 (sf); previously on Apr 23, 2021 Downgraded
to Ba2 (sf)

Cl. X-A*, Downgraded to Aa2 (sf); previously on Apr 23, 2021
Downgraded to Aa1 (sf)

Cl. X-B*, Affirmed Caa3 (sf); previously on Apr 23, 2021 Downgraded
to Caa3 (sf)

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

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

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

The ratings on two P&I classes were downgraded due to the
anticipated timing of losses of loans in special servicing as well
as exposure to underperforming class B regional malls. The largest
loan in special servicing, Solano Mall (17% of the pool), is a
class B regional mall that is more than 90 days delinquent and
Crossgates Mall (14% of the pool) failed to payoff at its original
scheduled maturity in May 2022.

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

The rating on one exchangeable class was affirmed due to the credit
quality of the referenced exchangeable classes.

The rating on one IO Class was downgraded due to the decline in the
credit quality of its reference classes resulting from principal
paydowns of higher quality reference classes.

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

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

Moody's rating action reflects a base expected loss of 13.2% of the
current pooled balance, compared to 16.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.3% of the
original pooled balance, compared to 12.3% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the June 17, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 50% to $627 million
from $1.25 billion at securitization. The certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 20% of the pool, with the top ten loans (excluding
defeasance) constituting 83% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of seven, compared to a Herf of 11 at Moody's last
review.

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

Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $47 million (for an average loss
severity of 72%). Two loans, constituting 17% of the pool, are
currently in special servicing.

The largest specially serviced loan is the Solano Mall Loan ($105.0
million – 16.7% of the pool), which is secured by a 561,000
square feet (SF) portion of 1.1 million SF super regional mall
located in Fairfield, California. The mall's non-collateral anchors
include Macy's, J.C. Penney, and a now vacant Sears, though Dave
and Buster's has backfilled approximately 30,000 SF of the total
former Sears space of 149,000 SF. The largest collateral tenant is
Edwards Cinemas (11.2% of NRA, lease expiration December 2024).
Junior anchor tenant Forever 21 has also closed at this property.
Property performance has continued to decline from securitization
and both the property's 2019 and 2020 net operating income (NOI)
were 27% lower than securitization levels. The collateral was 77%
leased as of December 2020, down from 94% as of December 2019 and
100% leased as of December 2018. The loan is interest only for its
entire term and matures in July 2022. The mall re-opened in late
May 2020 after its temporary closure, however, the loan transferred
to special servicing in June 2020 for imminent default as a result
of the coronavirus pandemic and is last paid through its November
2021 payment date. Foreclosure notice was filed on July 16, 2020,
and a receiver has been appointed. Loan sponsor Starwood has sold
or surrendered many of its US regional mall properties in the past
two years.

The other specially serviced loan is secured by a limited service
hotel in South Carolina that transferred to special servicing for
payment default since November 2019.

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 22% of the pool. Moody's has
estimated an aggregate loss of $79.8 million (a 33% expected loss
based on a 65% probability default) from the specially serviced and
troubled loans.

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

Moody's received full year 2020 and 2021 operating results for 94%
and 93% of the pool, respectively. Moody's weighted average conduit
LTV is 106%, compared to 99% at Moody's last review. Moody's
conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 17% to the most recently available NOI. Moody's
value reflects a weighted average capitalization rate of 9.3%.

Moody's actual and stressed conduit DSCRs are 1.60X and 1.03X,
respectively, compared to 1.62X and 1.13X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three loans not in special servicing represent 46.4% of the
pool balance. The largest loan is the 260 and 261 Madison Avenue
Loan ($126.0 million – 20.1% of the pool), which is secured by
two Class-B office towers located in midtown Manhattan on Madison
Avenue between East 36th and East 37th Street. The properties total
approximately 840,000 SF of office space, 37,000 SF of retail
space, and a 46,000 SF parking garage. This loan represents a
pari-passu portion of a $231.0 million first mortgage. As of March
2022, the properties had a combined occupancy of 81%, compared to
92% as of December 2020, 87% as of December 2018 and 90% at
securitization. The loan is interest only throughout its entire
term and Moody's LTV and stressed DSCR are 120% and 0.81X,
respectively, the same as at the last review.

The second largest loan is the Crossgates Mall Loan ($89.7 million
– 14.3% of the pool), which represents a pari-passu portion of a
$251.1 million mortgage loan. The loan is secured by a two-story,
1.3 million square foot (SF) super regional mall located in Albany,
New York. The mall is anchored by Macy's (non-collateral), J.C.
Penney, Dick's Sporting Goods, Burlington Coat Factory, Best Buy,
and Regal Crossgates 18. A non-collateral anchor, Lord & Taylor,
has closed its store at the property due to its recent filing for
Chapter 11 bankruptcy reorganization. As of June 2020, the total
mall and collateral occupancy was 96%. The in-line occupancy was
86% occupied compared to 90% in 2019. The property performance had
been stable through year-end 2021 and the 2021 net operating income
(NOI) was 2% higher than securitization levels. The mall represents
a dominant super-regional mall with over 10 anchors and junior
anchors and benefits from its location at the junction of
Interstate 87 and Interstate 90. A new appraisal was completed in
August 2020 which reduced the as-is value to $281.0 million
compared to $470.0 million at securitization and resulted in an
appraisal reduction of $6.9 million for the trust. The loan has
been extended through May 2023. Moody's has identified this loan as
a potentially troubled loan.

The third largest loan is the Prince Building Loan ($75.0 million
– 12.0% of the pool), which represents a pari-passu portion of a
$200.0 million mortgage loan. The loan is secured by the fee
interest in a 12-story retail and office building, totaling 355,000
SF and located in the SoHo neighborhood of Manhattan. The property
contains 69,346 SF of retail space and 285,257 SF of office space.
The property's NOI has generally declined since securitization due
to slightly lower rental revenues and significant increases in
operating expenses. However, the property has benefited from recent
leasing and was 92% leased as of March 2022, compared to 91% in
December 2019. The property's revenues in 2020 and 2021 were
impacted by rent abatement periods of several new tenants as well
as rent deferral agreements due to the pandemic. The loan is
interest only throughout its entire term and matures in October
2022. Moody's LTV and stressed DSCR are 116% and 0.81X,
respectively, unchanged from the last review.


CONN’S RECEIVABLES 2022-A: Fitch Gives 'B(EXP)' Rating on C Notes
-------------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to the
notes issued by Conn's Receivables Funding 2022-A, LLC, which
consists of notes backed by retail loans originated by Conn
Appliances, Inc. or Conn Credit Corporation, Inc. and serviced by
Conn Appliances, Inc.

   DEBT                   RATING
   ----                   ------

Conns Receivables Funding 2022-A, LLC

A    LT   BBB(EXP)sf   Expected Rating

B    LT   BB(EXP)sf    Expected Rating

C    LT   B(EXP)sf     Expected Rating

KEY RATING DRIVERS

Forward-Looking Approach to Base Case Default Derivation: Fitch
considered economic conditions and future expectations when
deriving the base case default assumption of 27%. During the
pandemic, Conn's managed performance improved as the company
tightened underwriting, and as obligors benefitted from available
stimulus payments and re-age and deferral programs offered by
Conn's. Conn's has also tightened use of the re-age policy in
recent years, which is contributing to an increase in early
defaults. Due to the recency of these changes and shifting
macroeconomic conditions, Fitch relied on historical default timing
trends and pre-pandemic performance to set the base case default
assumption.

Rating Stress Reflects Subprime Collateral: The Conn's 2022-A
receivables pool has a weighted average (WA) FICO score of 616, and
8.9% of the loans have scores below 550 or no score. Fitch applied
2.2x, 1.5x and 1.2x stresses to the 27% default assumption at the
'BBBsf', 'BBsf' and 'Bsf' levels, respectively. The default
multiple reflects the high absolute value of the historical
defaults, the variability of default performance in recent years
and the high geographical concentration of the portfolio.

Rating Cap at 'BBBsf': The rating cap reflects the subprime
credit-risk profile of the customer base; higher loan defaults in
the years prior to the coronavirus pandemic; the high concentration
of receivables from Texas; the recent disruption in servicing
contributing to increased defaults in recent securitized vintages;
and servicing collection risk (albeit reduced in recent years) due
to a portion of customers making in-store payments.

Payment Structure — Sufficient CE: Initial hard credit
enhancement (CE) totals 53.93%, 31.61% and 20.95% for class A, B
and C notes, respectively. Initial CE is sufficient to cover
Fitch's stressed cash flow assumptions for all classes.

Adequate Servicing Capabilities: Conn Appliances, Inc. has a long
track record as an originator, underwriter and servicer. The
credit-risk profile of the entity is mitigated by the backup
servicing provided by Systems & Services Technologies, Inc. (SST),
which has committed to a servicing transition period of 30 days.
Fitch considers all parties to be adequate servicers for this pool
at the expected rating levels. Fitch evaluated the servicers'
business continuity plan as adequate to minimize disruptions in the
collection process during the pandemic.

RATING SENSITIVITIES

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

Unanticipated increases in the frequency of defaults or charge-offs
could produce loss levels higher than the base case, and would
likely result in declines of CE and remaining net loss coverage
levels available to the notes. Decreased CE may make certain
ratings on the notes susceptible to potential negative rating
actions, depending on the extent of the decline in coverage.

Fitch conducts sensitivity analysis by stressing a transaction's
initial base case default assumption by an additional 10%, 25% and
50% and examining the rating implications. These increases of the
base case default rate are intended to provide an indication of the
rating sensitivity of the notes to unexpected deterioration of a
trusts performance. The most severe downside sensitivity run of a
50% increase in the base case default rate could result in
downgrades of one rating category for the class A notes, two
categories for the class B notes, and a downgrade below 'CCCsf' for
the class C notes.

During the sensitivity analysis, Fitch examines the magnitude of
the multiplier compression by projecting the expected cash flows
and loss coverage levels over the life of investments under higher
than the initial base case default assumptions. Fitch models cash
flows with the revised default estimates while holding constant all
other modeling assumptions.

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If the defaults are 20% less than the
projected base case default rate, the expected ratings for the
class B notes could be upgraded by one notch and the expected
ratings for the class C notes could be upgraded by one category.

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 third-party due diligence information from
Ernst & Young LLP. The third-party due diligence focused on
comparing certain information with respect to a sample of loans
from the statistical data file. Fitch considered this information
in its analysis, and the findings did not have an impact on Fitch's
analysis. A copy of the ABS Due Diligence Form-15E received by
Fitch in connection with this transaction may be obtained through
the link contained on the bottom of this rating action commentary.

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.


CSAIL 2017-CX9: Fitch Affirms B- Rating on Class F Certificates
---------------------------------------------------------------
Fitch Ratings has affirmed 18 classes of CSAIL 2017-CX9 Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2017-CX9 (CSAIL 2017-CX9). The Rating Outlooks for six
classes have been revised to Stable from Negative.

   DEBT            RATING                 PRIOR
   ----            ------                 -----
CSAIL 2017-CX9

A-2 12595FAB8    LT   AAAsf    Affirmed   AAAsf

A-3 12595FAC6    LT   AAAsf    Affirmed   AAAsf

A-4 12595FAD4    LT   AAAsf    Affirmed   AAAsf

A-5 12595FAE2    LT   AAAsf    Affirmed   AAAsf

A-S 12595FAJ1    LT   AAAsf    Affirmed   AAAsf

A-SB 12595FAF9   LT   AAAsf    Affirmed   AAAsf

B 12595FAK8      LT   AA-sf    Affirmed   AA-sf

C 12595FAL6      LT   A-sf     Affirmed   A-sf

D 12595FAP7      LT   BBB-sf   Affirmed   BBB-sf

E 12595FAR3      LT   BB-sf    Affirmed   BB-sf

F 12595FAT9      LT   B-sf     Affirmed   B-sf

V1-A 12595FBB7   LT   AAAsf    Affirmed   AAAsf

V1-B 12595FBC5   LT   A-sf     Affirmed   A-sf

V1-D 12595FBD3   LT   BBB-sf   Affirmed   BBB-sf

V1-E 12595FBF8   LT   BB-sf    Affirmed   BB-sf

X-A 12595FAG7    LT   AAAsf    Affirmed   AAAsf

X-B 12595FAH5    LT   AA-sf    Affirmed   AA-sf

X-E 12595FAM4    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.
The Outlook revisions to Stable from Negative reflect performance
stabilization of properties affected by the pandemic. Fitch has
identified nine Fitch Loans of Concern (FLOCs; 25% of pool)
including eight loans in special servicing (25%), six of which are
still performing (19%). Fitch's current ratings reflect a base case
loss of 3.1%.

Largest Contributors to Loss: The largest contributor to loss is
The Manhattan loan (3.9%), which is secured by a 77,851sf mixed use
(office/retail) property located in Washington, DC. The loan
transferred to special servicing in June 2021 as a result of
WeWork's notice of intention to terminate its lease. According to
servicer updates, the borrower submitted a request to replace
WeWork with a borrower affiliated tenant which is currently being
negotiated. A re-tenanting request was conditionally approved;
however, the borrower has not yet complied with the terms set
forth. The loan remains current as of June 2022.

Fitch modeled a loss of 22% reflects a 9% cap, 10.09% constant and
a 30% total haircut to the annualized 3Q 2020 NOI to account for
WeWork vacating prior to lease expiration.

The next largest contributor to loss is the 300 Montgomery loan
(4.7%), which is secured by a 192,574-sf office building located in
San Francisco, CA within the financial district. The loan has been
designated as a FLOC due to low occupancy. Per the March 2022 rent
roll, occupancy was 53%. The servicer reported interest-only YE
2021 NOI DSCR declined to 1.44x from 3.70x at YE 2020. The decline
is attributed to a 42% decrease in GPR. Consulate General of Brazil
has signed a 10-year lease extension for 4.9% of the NRA downsizing
from 6.75%.

Fitch modelled a loss of approximately 8% which utilized a 9.5% cap
rate, 10.5% constant and a 40% total haircut to the YE 2020 NOI to
reflect the significant occupancy decline.

Slight Increase to Credit Enhancement: As of the June 2022
distribution date, the pool's aggregate balance has been paid down
by 10.2% to $771.5 million from $858.9 million at issuance. The
increase in credit enhancement is primarily attributed to loan
payoffs. Since Fitch's last rating action two loans have been paid
in full ($63.9 million). 29 loans remain in the pool and there has
been no realized losses to date. One loan (2%) is defeased. Eleven
loans representing 64.7% of the pool are full-term interest-only,
and three loans representing 3.6% of the pool remain in their
partial interest only period. Four loans (22%) have an upcoming
maturity in 2022, followed by two loans (12.7%) in 2024 and the
remaining in 2027.

RATING SENSITIVITIES

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

Downgrades to the senior classes, rated 'A-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' would occur if the performance of the FLOCs continue
to decline or fail to stabilize. Downgrades to the 'BB-sf' and
'B-sf' are possible should performance of the FLOCs continue to
decline, additional loans transfer to special servicing and/or
losses become 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:

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' 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 is a likelihood of
interest shortfalls. An upgrade to the 'BB-sf' and 'B-sf' 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.

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.


CSAIL 2019-C17: Fitch Affirms B- Rating on Class GRR Debt
---------------------------------------------------------
Fitch Ratings has affirmed CSAIL 2019-C17 Commercial Mortgage
Trust. The Rating Outlook for class G-RR remains Negative.

   DEBT           RATING                  PRIOR
   ----           ------                  -----
CSAIL 2019-C17

A-1 12597BAQ2    LT   AAAsf    Affirmed   AAAsf

A-2 12597BAR0    LT   AAAsf    Affirmed   AAAsf

A-3 12597BAS8    LT   AAAsf    Affirmed   AAAsf

A-4 12597BAT6    LT   AAAsf    Affirmed   AAAsf

A-5 12597BAU3    LT   AAAsf    Affirmed   AAAsf

A-S 12597BAY5    LT   AAAsf    Affirmed   AAAsf

A-SB 12597BAV1   LT   AAAsf    Affirmed   AAAsf

B 12597BAZ2      LT   AA-sf    Affirmed   AA-sf

C 12597BBA6      LT   A-sf     Affirmed   A-sf

D 12597BAC3      LT   BBB-sf   Affirmed   BBB-sf

E-RR 12597BAE9   LT   BBB-sf   Affirmed   BBB-sf

F-RR 12597BAG4   LT   BB-sf    Affirmed   BB-sf

G-RR 12597BAJ8   LT   B-sf     Affirmed   B-sf

X-A 12597BAW9    LT   AAAsf    Affirmed   AAAsf

X-B 12597BAX7    LT   A-sf     Affirmed   A-sf

X-D 12597BAA7    LT   BBB-sf   Affirmed   BBB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
and loss expectations remain stable from the prior review. Fitch
has identified eight Fitch Loans of Concern ([FLOCs] 20.5% of the
pool balance) with no loans in special servicing.

Fitch's current ratings incorporate a base case loss of 5.80%. The
Negative Outlook factors performance concerns related to office
properties in the pool with declining occupancy and an additional
sensitivity applied to the Great Wolf Lodge Southern California
loan to account for the unique asset type, operational risk and
property performance not having recovered to pre-pandemic levels,
reflecting losses that could reach 6.30%.

Fitch Loans of Concern: The largest FLOC and the largest
contributor to expected losses is the Selig Office Portfolio
(9.5%). This loan is securitized by an urban office portfolio
consisting of three properties all located in downtown Seattle, WA.
Occupancy continues to trend downward as March 2022 occupancy fell
to 77% from 85% at YE 2020 and 95% at issuance. The
servicer-reported NOI DSCR has declined to 1.62x as of September
2021, compared with 1.76x at YE 2020 and 1.48x at YE 2019.

The loan's cash trap was previously activated due to Leafly (NRA
7%) vacating in March 2021. Per the subject's rent roll, Leafly
paid $51 psf in annual base rent. In addition, New Engen's (NRA
8.9%) lease is scheduled to expire in September 2022. New Engen
pays $34.50 psf in annual base rent below the Belltown/Denny
Regrade office submarket asking rent of $38.26 psf (Costar).
According to the borrower, New Engen had plans to downsize at its
initial lease expiration in 2021; however, the borrower extended
the in-place lease for an additional year through September 2022
and the tenant has not yet downsized to date.

Fitch's base case loss of 15% reflects a stressed cap rate of 9.75%
to account for the office property quality and related
underperformance and a 5% stress to the TTM September 2021 NOI due
to increased vacancy into 2021.

The next largest contributor to modeled losses is the Marriott Fort
Collins (3.3%). The loan is secured by a full-service hotel located
in Fort Collins, CO adjacent to the Foothills Mall. The hotel has
exhibited a slow recovery out of the pandemic with the most
recently reported RevPAR 40% below RevPAR in the same period in
2020. As of TTM March 2022, RevPAR increased to $53 from $38 in
2021, but remains below RevPAR of $83 as of TTM March 2020.
Although the hotel has previously led its competitive set with
respect to RevPAR, most recently the hotel has been underperforming
as it was ranked 7 of 8 with a penetration rate of 64.8%

Fitch's base case loss of 15% reflects a 11.25% cap rate and 15%
stress to the YE 2019 NOI to account for the lack of recovery and
underperformance against its competitive set, resulting in a
stressed value of $96,500 per key

The third largest contributor to modeled losses is the APX
Morristown loan (5.0%), which is secured by a 486,742-sf suburban
office property located in Morristown, NJ. Occupancy has declined
at the property to 63% as of March 2022 from 92% at YE 2021 due to
the departure and downsizing of several tenants. The largest
tenant, Louis Berger (NRA 22.3%), which was acquired by WSP in late
2018, vacated in January 2022 ahead of its lease expiration in
2026. Additionally, Majesco (6.4%) vacated in Q3-2021 and the
second-largest tenant, New York Marine & General Insurance,
downsized by 6.8% of the NRA and extended their lease for the
remaining space (12.8%) through 2032. According to the borrower,
there is interest in a partial backfill of the vacant Majesco
space.

Fitch's base case loss of 11% reflects a stressed cap rate of 10%
to account for the office property quality and suburban location
and a 25% stress to the YE 2021 NOI to account the increased
vacancy coupled with high space availability (22.8%) in the
submarket.

Minimal Change in Credit Enhancement (CE): The CE has increased
slightly since issuance due to amortization, with 1.03% of the
original pool balance repaid. No losses have been realized losses
to date and 2.8% of the pool is defeased. Interest shortfalls are
currently affecting the non-rated class NR-RR. Of the remaining
pool balance, 11 loans comprising 34.6% of the pool are full
interest-only through the term of the loan.

Alternative Loss Consideration: Fitch performed an additional
sensitivity scenario which applied a potential outsized loss of 20%
on the Great Wolf Lodge Southern California loan to reflect the
unique asset type and operational risk which includes lodging and
waterpark components and property performance not having recovered
to pre-pandemic levels. The Negative Outlook on class G-RR
partially reflects this sensitivity scenario as well as ongoing
concerns with office properties facing headwinds due to the hybrid
work environment and changes in workspace needs.

RATING SENSITIVITIES

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

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

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

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

Upgrades to the 'BBB-sf' category would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is likelihood for interest shortfalls. Upgrades to 'BB-sf' and
'B-sf' categories are not likely until the later years in a
transaction and only if the performance of the remaining pool is
stable and 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.


DRYDEN 108 CLO: Moody's Assigns (P)B3 Rating to $2.5MM Cl. F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of notes to be issued by Dryden 108 CLO, Ltd. (the "Issuer"
or "Dryden 108 CLO").

Moody's rating action is as follows:

US$315,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned (P)Aaa (sf)

US$2,500,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned (P)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.

Dryden 108 CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans, and up to 10.0% of the portfolio may consist
of second lien loans and unsecured loans, provided no more than
5.0% of the portfolio may consist of bonds. Moody's expect the
portfolio to be approximately 80% ramped as of the closing date.

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

In addition to the Rated Notes, the Issuer will issue 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: 90

Weighted Average Rating Factor (WARF): 2939

Weighted Average Spread (WAS): SOFR + 3.40%

Weighted Average Coupon (WAC): 6.0%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 8.0 years

Methodology Underlying the Rating Action:

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

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

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


ELLINGTON FINANCIAL 2022-3: Fitch Gives B(EXP) Rating on B2 Debt
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Ellington Financial
Mortgage Trust 2022-3.

   DEBT      RATING
   ----     -------
EFMT 2022-3

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

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by Ellington Financial Mortgage Trust 2022-3, Mortgage
Pass-Through Certificates, Series 2022-3 (EFMT 2022-3), as
indicated above. The certificates are supported by 765 loans with a
balance of $345.65 million as of the cutoff date. This will be the
sixth Ellington Financial Mortgage Trust transaction rated by Fitch
and the third EFMT transaction in 2022.

The certificates are secured mainly by nonqualified mortgages
(non-QM) as defined by the Ability to Repay (ATR) rule (the Rule).
Approximately 79.4% of the loans were originated by LendSure
Mortgage Corporation, a joint venture between LendSure Financial
Services, Inc. (LFS) and Ellington Financial, Inc. (EFC).
Approximately 12.4% of the loans were originated by American
Heritage Lending. The remaining 8.2% of the loans were originated
by third-party originators.

Of the pool, 58% of the loans are designated as non-QM, and the
remaining 42% are investment properties not subject to ATR.
Rushmore Loan Management Services LLC will be the servicer and
Nationstar Mortgage LLC will be the master servicer for the
transaction.

There is LIBOR exposure in this transaction. While the majority of
the loans in the collateral pool comprise fixed-rate mortgages,
0.75% of the pool comprises loans with an adjustable rate. 0.26% of
the pool comprising loans based on LIBOR and the remaining 0.49% of
the pool comprises loans based on SOFR. The offered certificates
have the following coupon rates: A-1, A-2 and A-3 are fixed rate
with a step-up coupon at year four and capped at the net weighted
average coupon (WAC) while M-1, B-1, B-2 and B-3 pay the net WAC.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.7% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since 1Q22).
Underlying fundamentals are not keeping pace with growth in prices,
resulting from a supply/demand imbalance driven by low inventory,
favorable mortgage rates and new buyers entering the market. These
trends have led to significant home price increases over the past
year, with home prices rising 18.2% yoy nationally as of December
2021.

Nonprime Credit Quality (Mixed): Collateral consists mainly of
30-year fully amortizing loans, either fixed rate or adjustable
rate, and 22% of the loans have an interest-only period. The pool
is seasoned at about four months in aggregate, as determined by
Fitch. The borrowers in this pool have relatively strong credit
profiles with a 743 WA FICO score (745 WA FICO per the transaction
documents) and a 41.7% debt-to-income ratio (DTI), both as
determined by Fitch, as well as moderate leverage, with an original
combined loan-to-value ratio (CLTV) of 71.3%, translating to a
Fitch-calculated sustainable LTV of 78.0%.

Fitch considered 53.2% of the pool to consist of loans where the
borrower maintains a primary residence, while 41.9% comprises
investor property and 4.9% represents second homes. 2.09% of the
pool is comprised of non-permanent residents that were underwritten
to a foreign national program, Fitch does not make adjustments to
occupancy, documentation scores or liquid reserves for
non-permanent, since historical performance has shown they perform
the same or better than U.S. citizens.

In total, 100% of the loans were originated through a nonretail
channel. Additionally, 58% of the loans are designated as non-QM,
while the remaining 42% are exempt from QM status. The pool
contains 70 loans over $1.0 million, with the largest loan at $2.53
million.

Fitch determined that self-employed, non-debt service coverage
ratio (DSCR) borrowers make up 45.2% of the pool; salaried non-DSCR
borrowers make up 24.1%; and 30.7% comprises investor cash flow
DSCR loans. About 41.9% of the pool comprises loans on investor
properties (11.2% underwritten to borrowers' credit profiles and
30.7% comprising investor cash flow loans). There were no loans
made to foreign nationals in the pool. There are no second liens in
the pool, and three loans have subordinate financing.

Around 28% of the pool is concentrated in California with
relatively low MSA concentration. The largest MSA concentration is
in the Los Angeles MSA (12.2%), followed by the Miami MSA (9.0%)
and the San Francisco MSA (4.3%). The top three MSAs account for
25.4% of the pool. As a result, there was no adjustment for
geographic concentration.

All loans are current as of July 1, 2022. Overall, the pool
characteristics resemble nonprime collateral; therefore, the pool
was analyzed using Fitch's nonprime model.

Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans
(Negative): Fitch determined that about 79.2% of the pool was
underwritten to less than full documentation, and 38.6% was
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 these loans adhere to
underwriting and documentation standards required under the
Consumer Financial Protection Bureau's ATR Rule.

This reduces the risk of borrower default arising from lack of
affordability, misrepresentation or other operational quality risks
due to the rigor of the Rule's mandates with respect to
underwriting and documentation of the borrower's ATR. Additionally,
4.8% comprises an asset depletion product, 0.0% is a CPA or P&L
product and 30.7% is a DSCR product.

Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent P&I. The limited advancing reduces
loss severities, as there is a lower amount repaid to the servicer
when a loan liquidates, and liquidation proceeds are prioritized to
cover principal repayment over accrued but unpaid interest. The
downside is additional stress on the structure side, as there is
limited liquidity 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 subordinate bonds from principal until classes A-1,
A-2 and A-3 are reduced to zero. To the extent that either a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
classes A-1, A-2 and A-3 until they are reduced to zero.

The transaction has excess spread that will be available to
reimburse the certificates for losses or interest shortfalls. The
excess spread may be reduced on and after August 2026, since
classes A-1, A-2 and A-3 have a step-up coupon feature that goes
into effect after that date. To mitigate the impact of the step-up
feature, principal and interest payments are redirected from the
B-3 class to the A-1, A-2 and A-3 classes on and after August
2026.

RATING SENSITIVITIES

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Evolve and AMC. 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. Based on the results of the 100% due diligence
performed on the pool, Fitch reduced the overall 'AAAsf' expected
loss by 0.44%.

DATA ADEQUACY

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

EFMT 2022-3 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in EFMT 2022-3, including strong transaction due diligence as well
as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in
expected losses. This has a positive impact on the credit profile
and is relevant to the ratings in conjunction with other factors.

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


ENCINA EQUIPMENT 2022-1: DBRS Gives Prov. BB Rating on E Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
asset-backed notes (the Notes) to be issued by Encina Equipment
Finance 2022-1, LLC:

-- $119,810,000 Class A-1 Notes at AAA (sf)
-- $60,000,000 Class A-2 Notes at AAA (sf)
-- $12,043,000 Class B Notes at AA (sf)
-- $14,844,000 Class C Notes at A (sf)
-- $21,285,000 Class D Notes at BBB (sf)
-- $18,482,000 Class E Notes at BB (sf)

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

(1) 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 pandemic scenarios, which were
first published in April 2020. The baseline macroeconomic scenarios
reflect the view that, 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 United States remains relatively positive.

(2) DBRS Morningstar's respective stressed cumulative net loss
(CNL) hurdle rates of 31.10%, 26.68%, 22.37%, 15.74%, and 11.18% in
the cash flow scenarios commensurate with the AAA (sf), AA (sf), A
(sf), BBB (sf), and BB (sf) ratings did not assign any credit to
seasoning of the collateral of approximately 6.5 months as of the
Cut-Off Date.

(3) DBRS Morningstar assessed the stressed CNL hurdle rates at each
rating level by blending the respective stressed net loss
assumptions for the concentrated (including 23 obligors) and more
granular portions of the collateral pool based on their share of
the Aggregate Securitization Value.

(4) The transaction's capital structure and form and sufficiency of
available credit enhancement. The subordination,
overcollateralization, cash held in the reserve account, available
excess spread, and other structural provisions create credit
enhancement levels that are commensurate with the respective
ratings for each class of Notes.

(5) The weighted-average (WA) yield for the collateral pool is
approximately 7.55%. The securitization value of the collateral
pool is determined by discounting all leases and loans at either
implied or actual applicable contract rate, thus, creating excess
spread that may be available to the Notes.

(6) The transaction is the second 144A term securitization to be
sponsored by Encina Equipment Finance, LLC (Encina EF), which has
been operating since 2017. The company's senior management team has
extensive experience in equipment industry, originating,
underwriting, and managing credit to small- and middle-market
companies in the United States through multiple market cycles.

(7) Since inception, Encina EF has experienced a limited number of
obligor defaults and low and intermittent amount of charge-offs.
Moreover, as of May 2022 reporting date, there were no
delinquencies and zero CNL reported for its inaugural term
asset-backed securitization, Encina Equipment Finance 2021-1, LLC,
Series 2021-1 (Series 2021-1). Approximately 37% (by the Aggregate
Securitization Value as of the Cut-Off Date) of the collateral pool
is represented by obligors that were also in the Series 2021-1.

(8) The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
non-consolidation of the special-purpose vehicle with Encina EF,
that the trustee has a valid first-priority security interest in
the assets, and the consistency with the DBRS Morningstar Legal
Criteria for U.S. Structured Finance.

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



FREDDIE MAC 2022-DNA5: DBRS Gives Prov. B Rating on 7 Classes
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Structured Agency Credit Risk (STACR) REMIC 2022-DNA5 Notes (the
Notes) to be issued by Freddie Mac STACR REMIC Trust 2022-DNA5
(STACR 2022-DNA5):

-- $519.0 million Class M-1A at A (low) (sf)
-- $488.0 million Class M-1B at BBB (sf)
-- $125.5 million Class M-2A at BB (high) (sf)
-- $125.5 million Class M-2B at BB (sf)
-- $41.0 million Class B-1A at BB (low) (sf)
-- $41.0 million Class B-1B at B (sf)
-- $251.0 million Class M-2 at BB (sf)
-- $251.0 million Class M-2R at BB (sf)
-- $251.0 million Class M-2S at BB (sf)
-- $251.0 million Class M-2T at BB (sf)
-- $251.0 million Class M-2U at BB (sf)
-- $251.0 million Class M-2I at BB (sf)
-- $125.5 million Class M-2AR at BB (high) (sf)
-- $125.5 million Class M-2AS at BB (high) (sf)
-- $125.5 million Class M-2AT at BB (high) (sf)
-- $125.5 million Class M-2AU at BB (high) (sf)
-- $125.5 million Class M-2AI at BB (high) (sf)
-- $125.5 million Class M-2BR at BB (sf)
-- $125.5 million Class M-2BS at BB (sf)
-- $125.5 million Class M-2BT at BB (sf)
-- $125.5 million Class M-2BU at BB (sf)
-- $125.5 million Class M-2BI at BB (sf)
-- $125.5 million Class M-2RB at BB (sf)
-- $125.5 million Class M-2SB at BB (sf)
-- $125.5 million Class M-2TB at BB (sf)
-- $125.5 million Class M-2UB at BB (sf)
-- $82.0 million Class B-1 at B (sf)
-- $82.0 million Class B-1R at B (sf)
-- $82.0 million Class B-1S at B (sf)
-- $82.0 million Class B-1T at B (sf)
-- $82.0 million Class B-1U at B (sf)
-- $82.0 million Class B-1I at B (sf)
-- $41.0 million Class B-1AR at BB (low) (sf)
-- $41.0 million Class B-1AI at BB (low) (sf)

Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT,
M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB,
M-2TB, M-2UB, B-1, B-1R, B-1S, B-1T, B-1U, B-1I, B-2, B-2R, B-2S,
B-2T, B-2U, B-2I, B-1AR, B-1AI, B-2AR, and B-2AI are Modifiable and
Combinable STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI,
B-1I, B-2I, B-1AI, and B-2AI are interest-only MAC Notes.

The A (low) (sf), BBB (sf), BB (high) (sf), BB (sf), BB (low) (sf),
and B (sf) ratings reflect 3.60%, 2.05%, 1.65%, 1.25%, 1.00%, and
0.75% of credit enhancement, respectively. Other than the specified
classes above, DBRS Morningstar does not rate any other classes in
this transaction.

STACR 2022-DNA5 is the 34th transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 109,786
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were estimated to be originated
on or after December 1, 2020, and were securitized by Freddie Mac
between December 1, 2021, and December 31, 2021.

On the Closing Date, the Trust will enter into a Collateral
Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as
the credit protection buyer, will be required to make transfer
amount payments. The Trust is expected to use the aggregate
proceeds realized from the sale of the Notes to purchase certain
eligible investments to be held in a custodian account. The
eligible investments are restricted to highly rated, short-term
investments. Cash flow from the Reference Pool will not be used to
make any payments; instead, a portion of the eligible investments
held in the custodian account will be liquidated to make principal
payments to the Noteholders and return amounts, if any, to Freddie
Mac upon the occurrence of certain specified credit events and
modification events.

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available (please see the Private
Placement Memorandum (PPM) for more details). DBRS Morningstar did
not run interest rate stresses for this transaction, as the
interest is not linked to the performance of the reference
obligations. Instead, the trust will use the net investment
earnings on the eligible investments together with Freddie Mac's
transfer amount payments to pay interest to the Noteholders.

In this transaction, approximately 35.3% of the loans were
originated using property values determined by using Freddie Mac's
automated collateral evaluation (ACE) assessment rather than a
traditional full appraisal. Loans where the property values were
determined by using ACE assessments generally have better credit
attributes. Please see the PPM for more details about the ACE
assessment.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR DNA
transactions issued after and including STACR 2018-DNA2, the
scheduled and unscheduled principal will be combined and allocated
pro rata between the senior and nonsenior tranches only if certain
performance tests are satisfied. For transactions prior to STACR
2018-DNA2, the scheduled principal was allocated pro rata between
the senior and nonsenior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro rata subject to certain performance tests being met.

Unlike the prior STACR 2021-DNA7 transaction that DBRS Morningstar
rated, the minimum credit enhancement test—one of the three
performance tests—for STACR 2022-DNA5 is set to pass at the
Closing Date. Additionally, the nonsenior tranches are also
entitled to the supplemental subordinate reduction amount if the
offered reference tranche percentage increases above 5.50%.

The Notes are scheduled to mature on the payment date in June 2042,
but are also subject to a mandatory redemption prior to the
scheduled maturity date in the case of a termination of the CAA.

The sponsor of the transaction is Freddie Mac. U.S. Bank Trust
Company, National Association will act as the Indenture Trustee,
Custodian, and Exchange Administrator. Wilmington Trust, National
Association (rated AA (low) with a Stable trend and R-1 (middle)
with a Stable trend by DBRS Morningstar) will act as the Owner
Trustee.

The Reference Pool consists of approximately 0.5% of loans
originated under the Home Possible program. Home Possible is
Freddie Mac's affordable mortgage products designed to expand the
availability of mortgage financing to creditworthy low- to
moderate-income borrowers. In addition, 0.03% of loans were
originated under Freddie Mac Refi Possible, which offers low- to
moderate- income borrowers options to refinance their current
loans, and less than 0.01% of loans were originated under Freddie
Mac HFA Advantage, a conventional mortgage product designed for
borrowers who qualify for HFA homeownership programs.

If a reference obligation is refinanced under the Enhanced Relief
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The Enhanced Relief Refinance
Program provides refinance opportunities to borrowers with existing
Freddie Mac mortgages who are current in their mortgage payments
but whose LTVs exceed the maximum permitted for standard refinance
products. The refinancing and replacement of a reference obligation
under this program will not constitute a credit event.

For this transaction, if a loan becomes delinquent and the related
Servicer reports that such loan is in disaster forbearance before
the sixth reporting period from the landfall of a hurricane,
Freddie Mac will remove the loan from the pool to the extent that
the related mortgaged property is in a Federal Emergency Management
Agency (FEMA) major disaster area and in which FEMA had authorized
individual assistance to homeowners in such area as a result of
such hurricane that affects such related mortgaged property prior
to the Closing Date.

Coronavirus Pandemic 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 the delinquencies for
many residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform 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 pandemic-induced
forbearance in 2020 performed better than expected, thanks to
government aid, low LTVs, and acceptable underwriting in the
mortgage market in general. Across nearly all RMBS asset classes in
recent months, delinquencies have been gradually declining as
forbearance periods come to an end for many borrowers.

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



FS RIALTO 2022-FL5: DBRS Gives Prov. B(low) Rating on Cl. G Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by FS Rialto 2022-FL5 Issuer, LLC (FSRIA
2022-FL5):

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

All trends are Stable.

The initial collateral consists of 23 floating-rate mortgage loans
and participation interests in mortgage loans secured by 52 mostly
transitional properties with a cut-off balance totaling $600.0
million, excluding $175.6 million of remaining future funding
commitments and $1.0 billion of pari passu debt. Two loans (NYC
Multifamily Portfolio and NYC Midtown West Multifamily Portfolio)
are cross-collateralized loans and are treated as a single loan in
the DBRS Morningstar analysis, resulting in a modified loan count
of 22. All figures below and throughout this report reflect this
modified loan count. The holder of the future funding companion
participations will be FS CREIT Finance Holdings LLC (the Seller),
a wholly owned subsidiary of FS Credit Real Estate Income Trust,
Inc. (FS Credit REIT), or an affiliate of the Seller.

The holder of each future funding participation has full
responsibility to fund the future funding companion participations.
The collateral pool for the transaction is managed with a 24-month
reinvestment period. During this period, the Collateral Manager
will be permitted to acquire reinvestment collateral interests,
which may include Funded Companion Participations, subject to the
satisfaction of the Eligibility Criteria and the Acquisition
Criteria. The Acquisition Criteria requires that, among other
things, the Note Protection Tests are satisfied, no EOD is
continuing, and Rialto Capital Management, LLC (Rialto) or one of
its affiliates acts as the subadvisor to the Collateral Manager.
The Eligibility Criteria has minimum and maximum DSCRs and LTVs,
Herfindahl scores of at least 18.0, and property type limitations,
among other items. The transaction stipulates that any acquisition
of any reinvestment collateral interests will need a rating agency
confirmation regardless of balance size. The loans are mostly
secured by cash flowing assets, many of which are in a period of
transition with plans to stabilize and improve the asset value. The
transaction will have a sequential-pay structure.

For the floating-rate loans, DBRS Morningstar incorporates an
interest rate stress that is based on the lower of a DBRS
Morningstar stressed rate that corresponded to the remaining fully
extended term of the loans or the strike price of the interest rate
cap with the respective contractual loan spread added to determine
a stressed interest rate over the loan term. When the debt service
payments were measured against the DBRS Morningstar As-Is NCF, 20
loans, comprising 89.9% of the initial pool balance, had a DBRS
Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold
indicative of default risk. Additionally, 14 loans, comprising
60.8% of the initial pool balance, had a DBRS Morningstar
Stabilized DSCR of 1.00x or below, which is indicative of elevated
refinance risk. The properties are often transitioning with
potential upside in cash flow; however, DBRS Morningstar does not
give full credit to the stabilization if there are no holdbacks or
if other structural features in place are insufficient to support
such treatment.

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



GENERATE CLO 10: Fitch Assigns 'BB-' Rating on Class E Debt
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Generate
CLO 10 Ltd.

   DEBT              RATING
   ----              ------

Generate CLO 10 Ltd.

A-1               LT    NRsf     New Rating

A-2               LT    NRsf     New Rating

B-1               LT    AAsf     New Rating

B-2               LT    AAsf     New Rating

C                 LT    Asf      New Rating

D-1               LT    BBB+sf   New Rating

D-2               LT    BBB-sf   New Rating

E                 LT    BB-sf    New Rating

F                 LT    NRsf     New Rating

   Subordinated   LT    NRsf     New Rating
   Notes   

TRANSACTION SUMMARY

Generate CLO 10 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Generate Advisors, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 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' 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
99.5% first-lien senior secured loans, and has a weighted average
recovery assumption of 75.8%. 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 5.0-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, the class B (class B-1
and B-2 notes), C, D-1, D-2 and E notes can withstand default rates
of up to 53.4%, 47.8%, 44.4%, 39.2% and 33.3%, respectively,
assuming portfolio recovery rates of 46.2%, 55.6%, 65.1%, 65.0% and
70.3% in Fitch's 'AAsf', 'Asf', 'BBB+sf', 'BBB-sf' and 'BB-sf'
scenarios, respectively.

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
a metric. The results under these sensitivity scenarios are between
'BB+sf' and 'AA+sf' for class B; between 'B-sf' and 'AA-sf' for
class C; between less than 'B-sf' and 'BBB+sf' for class D-1;
between less than 'B-sf' and 'BBB+sf' for class D-2; and between
less than 'B-sf' and 'BB+sf' for class E.

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-1 notes; between 'Asf' and 'A+sf' for class D-2 notes;
and between 'BBB+sf' and 'Asf' 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.


GENERATE CLO 10: Moody's Assigns B3 Rating to $1MM Class F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued by Generate CLO 10 Ltd.(the "Issuer" or "Generate CLO
10").

Moody's rating action is as follows:

US$242,000,000 Class A-1 Floating Rate Notes due 2035, Assigned Aaa
(sf)

US$14,000,000 Class A-2 Fixed Rate Notes due 2035, Assigned Aaa
(sf)

US$1,000,000 Class F Deferrable Floating Rate Notes due 2035,
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.

Generate CLO 10 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans, cash and eligible investments, and up to
10.0% of the portfolio may consist of assets that are not senior
secured loans, and no more than 5.0% of the portfolio may consist
of permitted non-loan assets. The portfolio is approximately 85%
ramped as of the closing date.

Generate Advisors, 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 six 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: 70

Weighted Average Rating Factor (WARF): 2818

Weighted Average Spread (WAS): SOFR + 3.30%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 8.0 years

Methodology Underlying the Rating Action:

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

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

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


GS MORTGAGE 2010-C1: DBRS Confirms C Rating on Class D Certs
------------------------------------------------------------
DBRS Limited confirmed the ratings on all remaining classes of
Commercial Mortgage Pass-Through Certificates Series 2010-C1 issued
by GS Mortgage Securities Trust, 2010-C1 as follows:

-- Class B at AAA (sf)
-- Class C at A (high) (sf)
-- Class D at C (sf)

DBRS Morningstar changed the trend on Class C to Stable from
Negative. Class B also has a Stable trend and Class D has a rating
that does not carry a trend.

The rating confirmations and the trend change on Class C reflect
the increased credit support to the bonds as a result of the payoff
of 660 Madison Avenue, previously the largest loan in the pool, and
the improved performance outlook and recoverability for the two
remaining loans in the pool. As of the May 2022 remittance, the two
outstanding loans have a cumulative balance of $77.9 million,
representing a collateral reduction of 90.1% since issuance, and
9.4% since last review, primarily attributable to the payoff of 660
Madison Avenue in December 2021.

The remaining two loans are secured by regional malls, neither of
which are on the servicer's watchlist or in special servicing. The
sponsorship for both loans is provided by the Washington Prime
Group Inc. (WPG), a real estate investment trust that invests
primarily in retail properties. In June 2021, WPG had filed for
chapter 11 bankruptcy protection; however, the borrowing entities
for each of the trust loans were not included in any of the WPG
bankruptcy filings. At the time, both assets were considered tier 1
(core) assets, suggesting a longer-term commitment as compared with
those categorized in lower tiers. WPG emerged from bankruptcy in
October 2021.

As of the May 2022 remittance, both the loans are current and
performing. The largest remaining loan in the pool, Mall at Johnson
City (Prospectus ID#6, 53.2% of current pool balance), is secured
by a regional mall in Johnson City, Tennessee, approximately 120
miles from Knoxville. The loan transferred to special servicing in
November 2019 for imminent default and subsequently missed its May
2020 maturity. A loan modification was executed in December 2019,
which extended the maturity to May 2023, and included two one-year
extension options. The terms of the modification required the
borrower to make a $5.0 million principal curtailment that was due
in May 2020, deposit an additional $10.0 million into various
reserves, and remain in cash management. A forbearance was also
granted that allowed retroactive deferral of debt service payments
between May 2020 and August 2020 to be repaid in the subsequent 12
months.

According to the March 2022 rent roll, the occupancy rate at the
property was 97.0%, an increase from the March 2021 rent roll, when
the property was 83.7% occupied. Sears, previously an anchor
tenant, vacated in January 2020. Remaining anchors include
JCPenney, Belk Home Store, Belk for Her, and Dick's Sporting Goods.
There has been positive leasing activity in the last year,
including a new lease signed with HomeGoods to backfill part of the
vacant Sears box, which opened in fall 2021, along with a number of
smaller tenants that signed leases throughout 2021. Sales of $246
per square foot (psf) for the trailing 12-month (T-12) period ended
November 2021 are reflective of a 25% increase in total sales when
compared with the same period the previous year. The YE2021 debt
service coverage ratio (DSCR) was 1.75 times (x), an increase from
the YE2020 DSCR of 1.34x.

The Grand Central Mall loan (Prospectus ID#7, 46.8% of the current
pool balance), is secured by a regional mall in Vienna, West
Virginia, which is located along the Ohio-West Virginia border.
Occupancy declines began in 2018 when Toys "R" Us vacated, followed
by Sears in January 2019. The loan was transferred to special
servicing in April 2020 for imminent default and subsequently
missed the July 2020 maturity. The special servicer approved a loan
modification to allow for a maturity date extension to July 2021, a
three-month forbearance for the June, July, and August 2020 debt
service payments and escrows to be repaid over the subsequent 12
months, and permission to apply leasing and capital improvement
reserves toward operating shortfalls. A second maturity extension
was recently negotiated in June 2021, pushing the maturity date out
to July 2023, with two additional one-year extension options.

According to the March 2022 rent roll, the property was 97.1%
occupied, a slight increase from the March 2021 occupancy rate of
94.8% and 83.9% in YE2019. This is largely a result of the
sponsor's efforts to backfill the former Sears anchor box, which
was demolished in March 2019 and redeveloped for new tenants
TJMaxx, HomeGoods, and PetSmart, which were each open and operating
as of July 2021. Sales of $184 psf for the T-12 period ended
February 2022 is indicative of a 33.2% increase in total sales when
compared with the figure reported for the same period last year.
The servicer reported a YE2021 DSCR of 1.59x compared with the
YE2020 DSCR of 1.32x.

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


GS MORTGAGE 2015-590M: S&P Affirms BB (sf) Rating on Class E Certs
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on six classes of
commercial mortgage pass-through certificates from GS Mortgage
Securities Corp. Trust 2015-590M, a U.S. CMBS transaction

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

Rating Actions

S&P said, "The affirmations on the class A, B, C, D, and E
principal- and interest-paying classes reflect our reevaluation of
the office property that secures the sole loan in the transaction.
Our current analysis considers that the sponsor was able to attract
new tenants during the pandemic, including American Securities,
which signed a new lease commencing July 2020 for 8.6% of net
rentable area (NRA) at $111.68 per square feet (sq. ft.). The
sponsor executed new or renewal leases on approximately 327,097 sq.
ft. (31.6% of NRA) from 2020 through 2022, according to the
December 2021 rent roll. This positive leasing momentum helped the
property achieve an occupancy rate of 85.9% as of the December 2021
rent roll, which is in line with both the submarket vacancy rate
(which is 15.0% for 4- and 5-star office properties, according to
CoStar) and the 85.0% stabilized occupancy rate we assumed at
issuance and in our last review.

"Our current property-level analysis considers these factors and
near-term tenant movements, such as a major tenant, IBM, exercising
its option to surrender two floors comprising 48,109 sq. ft. (4.6%
of NRA) by October 2022. We arrived at an assumed occupancy rate of
82.3% and maintained our $52.1 million sustainable net cash flow
(NCF) and $820.8 million ($793 sq. ft.) expected-case value (which
is 45.3% lower than the 2015 appraisal value of $1.5 billion)
derived at issuance and in our last review. This yielded an S&P
Global Ratings loan-to-value (LTV) ratio of 79.2% on the whole loan
balance.

"Although we did not revise our NCF and valuation assumptions
derived at issuance, the master servicer recently confirmed that
two long-term tenants, Crowell & Moring and IBM (totaling 21.4% of
NRA) are expected to vacate when their leases expire in 2024 and
2025. We may revisit our analysis and adjust our ratings if these
spaces are not re-leased in a timely manner and if there are
worse-than-expected negative performance changes.

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

Property-Level Analysis

The property is a 42-story, 1.03 million-sq.-ft. class A office
building with ground floor retail space located at 590 Madison
Avenue in the Plaza District submarket of Midtown Manhattan. The
property, built in 1981 by IBM, was acquired by the sponsor, The
Board of the State Teachers Retirement System of Ohio, in 1994, and
has views of Central Park from the top 13 floors. The collateral
also includes 10,040 sq. ft. of land adjacent to the 590 Madison
Avenue office building, which is leased to an affiliate of The
Trump Organization. The ground lease extends to Jan. 31, 2094, with
ground rent increasing by 3.0% annually, except in 2020, when it
increased by 16.0%. The ground rent was $2.2 million, according to
the Dec. 31, 2021, rent roll.

The five largest office tenants at the office property comprise
36.9% of NRA, as of the December 2021 rent roll. These tenants
are:

-- Crowell & Moring (9.7% of NRA; $149.15 per sq. ft. or 13.9% of
in-place gross rent, as calculated by S&P Global Ratings; February
2024 lease expiration).

-- American Securities (8.6%; $115.23 per sq. ft. or 9.5%; March
2037).

-- Aspen Insurance U.S. Service (7.0%; $99.45 per sq. ft. or 6.7%;
February 2032).

-- IBM (7.0%; $98.00 per sq. ft. or 6.6%; June 2025--excluding the
48,109 sq. ft. recently surrendered).

-- Morgan Stanley (4.6%; $95.65 per sq. ft. or 4.3%; July 2025).

S&P said, "The property's occupancy rate dropped to 77.9% in 2015
(at issuance) from 95.1% in 2009 due to a series of large leases
rolled. However, we assumed a stabilized occupancy rate of 85.0%, a
stabilized base rent of $115.00 per sq. ft., and 2.0 years downtime
because the property's occupancy rate has been above 84.0% since
2001 (averaging 93.5% from 2001 through 2014), coupled with strong
submarket office fundamentals (less than 9.0% market vacancy rate).
We arrived at a S&P Global Ratings' stabilized NCF of $52.1
million, compared with our in-place NCF of $45.7 million at
issuance. We then divided the $6.4 million incremental NCF by an
S&P Global Ratings capitalization rate of 6.50% (compared with
6.25% on the S&P Global Ratings in-place NCF), which resulted in an
S&P Global Ratings value of $820.8 million, or $793 per sq. ft.

"In our May 2018 review, the property had an occupancy rate of
78.5%, based on the Sept. 30, 2017, rent roll. We had maintained
the in-place and stabilized assumptions derived at issuance, based
on our expectation that the property would take some time to
stabilize, and our view of its desirable location, market, and
historical occupancy levels. The property's reported occupancy rate
has gradually increased since then to our assumed 85.0% stabilized
occupancy level: 79.1% in 2019, 86.3% in 2020, and 85.9% in 2021.
However, the servicer reported NOI remained below our expectations
($46.8 million in 2019, $37.4 million in 2020, and $49.8 million in
2021). To offset this, the borrower has budgeted a $57.3 million
NOI for 2022, which is in line with our projected stabilized NOI of
$58.9 million.

"We attributed the lower-than-expected reported NOI primarily to
higher concessions, which according to the sponsor, is 12 months or
more for new leases and four to six months, on average, for renewal
leases. Further, although the lease for the second-largest tenant
commenced in July 2020, American Securities will pay base rent of
$111.68 per sq. ft. starting in March 2023 (according to the
December 2021 rent roll). Nonetheless, we expect the NOI to
increase once the rent abatement periods burn off. The property's
average base rent increased to $115.84 per sq. ft. as of the Dec.
31, 2021, rent roll from $107.49 per sq. ft. at issuance and
$108.13 per sq. ft. in our last review in May 2018, as calculated
by S&P Global Ratings."

Although the property's occupancy rate has improved since issuance
and is in line with the submarket's vacancy level, the property
faces elevated rollover risk in 2024 (9.7% of NRA), 2025 (19.9%),
and 2027 (7.7%). According to various news articles, IBM confirmed
that it will consolidate its 10 New York City office locations and
relocate to One Madison Avenue, where it signed a 328,000 sq. ft.
lease in March 2022. While IBM's lease at the subject property
expires in June 2025, the tenant surrendered 48,109 sq. ft. (of its
121,055 sq. ft.) on floors 12 and 16 earlier this year and paid a
$2.1 million termination fee.

The master servicer, Wells Fargo Bank N.A., has also indicated that
the current largest tenant, Crowell & Moring LLP, is expected to
vacate when its lease expires in February 2024. If both IBM and
Crowell & Moring LLP fully vacate and their spaces are not
backfilled in a timely manner, occupancy may drop to approximately
66.0%. According to the transaction documents, the borrower has
established and is required to maintain one or more lockbox
accounts. During an event of default or when the debt service
coverage (DSC) falls below 1.25x, the amount in the lockbox account
is required to be swept to a lender-controlled management account.
Otherwise, it will be released to the borrower.

The Plaza District office submarket has experienced higher vacancy
rates in recent years due to increased remote work, according to
CoStar. The market rent for 4- to 5-star office properties in the
submarket declined 2.5% in 2020 and 0.9% in 2021 before increasing
by 0.9% as of July 2022. CoStar noted that the 4- to 5-star office
properties submarket asking rent, vacancy rate, and availability
rate were $94.37 per sq. ft., 15.0%, and 17.8%, respectively, as of
July 2022. This compares to an office submarket rent and vacancy
rate of $94.36 per sq. ft. and 9.8%, respectively, in 2018 (at our
last review) and $91.21 per sq. ft. and 7.2% in 2015 (at issuance).
CoStar forecasts office submarket vacancy rate and asking rent of
14.7% and $103.19 per sq. ft., respectively, in 2023.

S&P said, "Our property-level analysis reflects the known near-term
tenant movements after the December 2021 rent roll (which resulted
in our assumed occupancy rate of 82.3%), the weakened Plaza
District office submarket, and concentrated rollover risk. However,
we also considered the sponsor's recent leasing activity during the
COVID-19 pandemic: It executed 10 leases comprising 7.8% of NRA, at
an average rent of $100.21 per sq. ft., in 2022; seven leases
comprising 5.6% of NRA, at $105.80 per sq. ft., in 2021; and eight
leases comprising 16.3% of NRA, at $101.02 per sq. ft., in 2020. As
a result, we now maintain our sustainable NCF of $52.1 million and
valuation of $820.8 million, or $793 per sq. ft., derived at
issuance."

Transaction Summary

This is a U.S. stand-alone (single-borrower) transaction backed by
a portion of a 10-year, fixed-rate, IO mortgage whole loan. The
loan is secured by the borrower's fee simple interest in an office
property located at 590 Madison Avenue in Manhattan.

The IO mortgage whole loan had an initial and current balance of
$650.0 million, pays an annual fixed interest rate of 3.815%, and
matures on Oct. 6, 2025. The whole loan is split into three senior
A notes and a subordinate junior B note. The $450.0 million trust
balance (according to the July 12, 2022, trustee remittance
report), comprises the $169.4 million senior note A-1 and $280.6
million subordinate note B. The other loan pieces were included in
two U.S. CMBS transactions that are not rated by S&P Global
Ratings: the $100.0 million senior note A-2 is in Citigroup
Commercial Mortgage Trust 2015-GC35 and the $100.0 million senior
note A-3 is in GS Mortgage Securities Trust 2015-GS1. The senior A
notes are pari passu to each other and senior to the B note.

The borrower is permitted to incur mezzanine debt, subject to
certain conditions, including a combined LTV ratio of less than
41.2% and a combined DSC greater than 2.14x. Wells Fargo Bank N.A.
confirmed there are no additional debt. The trust has not incurred
any principal losses to date.

The whole loan had a reported current payment status through its
July 2022 debt service payment date, and the borrower did not
request COVID-19-related relief. Wells Fargo reported a DSC of
1.97x on the whole loan as of year-end 2021--an increase from 1.47x
as of year-end 2020.

The recent rapid spread of the omicron variant highlights the
inherent uncertainties of the pandemic, as well as the importance
and benefits of vaccines. 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. S&P said, "Consequently, we do
not expect a repeat of the sharp global economic contraction of
second-quarter 2020. Meanwhile, we continue to assess how well each
issuer adapts to new waves in its geography or industry."

  Ratings Affirmed

  GS Mortgage Securities Corp. Trust 2015-590M

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



JP MORGAN 2011-C3: DBRS Confirms B Rating on Class E Certs
----------------------------------------------------------
DBRS Limited downgraded two classes of the Commercial Mortgage
Pass-Through Certificates, Series 2011-C3 issued by JP Morgan Chase
Commercial Mortgage Securities Trust 2011-C3 as follows:

-- Class F to C (sf) from CCC (sf)
-- Class G to C (sf) from CCC (sf)

In addition, DBRS Morningstar confirmed the remaining classes as
follows:

-- Class B at AAA (sf)
-- Class C at AA (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at B (sf)
-- Class H at C (sf)
-- Class J at C (sf)

DBRS Morningstar maintained the Negative trends on Classes D and E.
The trends on Classes B and C remain Stable. Classes F, G, H, and J
have ratings that do not carry trends.

The downgrades and Negative trends reflect the significant property
value declines from issuance and the sustained weakened performance
of the Holyoke Mall (Prospectus ID#1, 76.8% of the pool) and
Sangertown Square (Prospectus ID#6, 23.2% of the pool) loans. Both
properties are regional malls owned and operated by affiliates of
the Pyramid Companies. A hypothetical liquidation scenario for both
loans was applied in the DBRS Morningstar analysis with additional
stress applied to the most recently reported appraisal values. DBRS
Morningstar acknowledges there has been erosion in credit support
to the bottom rated classes in the transaction in light of the
significant value declines for both properties; however, DBRS
Morningstar believes that further significant value decline would
be needed to suggest potential losses to the investment-grade rated
classes.

Holyoke Mall is secured by a 1.6 million-square-foot (sf) regional
mall in Holyoke, Massachusetts. The mall is anchored by JCPenney,
Macy's, Target, and Burlington Coat Factory with Macy's owning its
space and not part of the loan collateral. One anchor space remains
empty as Sears vacated in 2018. Junior anchors include Round1, Best
Buy, DSW, Hobby Lobby, and Planet Fitness, which opened in 2019. An
updated appraisal completed in August 2020, valued the property at
$200 million, down from $400 million at issuance. The updated value
reflects a trust debt loan-to-value ratio (LTV) of 100% and a whole
loan LTV of 117.5% when factoring in the $35 million mezzanine
loan. Pyramid had begun the process of converting the vacant Sears
space into a Cinemark theater prior to the onset of the pandemic,
securing permits in late 2019; however, an online article from
masslive.com dated March 2022 noted the project remains on hold due
to construction materials shortages. The loan returned to the
master servicer in May 2021 after the servicer rejected the request
for a second modification. Performance improved throughout 2021 as
the year-end (YE) 2021 net cash flow (NCF) was 9.0% above the
YE2019 NCF but remains 20% below issuance levels. Occupancy has
remained stable, reported at 69.0% as of December 2021, similar to
the 70.0% occupancy rate as of December 2020. As of the most
recently reported financials, the loan reported a YE2021 debt
service coverage ratio (DSCR) of 1.39 times (x), an increase from
the YE2020 DSCR of 1.15x, but remaining below the issuance DSCR of
1.62x. The loan will remain on the servicer's watchlist for a
servicing trigger event, which will remain in effect until all
amounts due on the loan have been paid in full. As of the May 2022
reserve report, the aggregate balance of $5.4 million consisted
primarily of $3.0 million in the rollover account and $1.9 million
in the other account. In its analysis, DBRS Morningstar assumed a
hypothetical loss severity on the trust loan in excess of 30%

Sangertown Square is secured by a 894,127-sf regional mall in New
Hartford, New York, a tertiary market between Utica and Syracuse.
The loan transferred back to the master servicer in December 2021
following its second modification. Terms included the extension of
the interest-only period to September 2022 from August 2020 and the
deferral of any accrued amounts owed to be repaid over a 24-month
period instead of 12 months, beginning January 2021. The most
recent appraisal, dated November 2021, valued the property at $19.1
million, representing a 82% decline from the issuance value of
$107.0 million. The property is anchored by Dick's Sporting Goods,
Target, and Boscov's, with the other two anchor spaces formerly
occupied by JC Penney and Macy's remaining vacant. The occupancy
rate remained depresse, as of the December 2021 rent roll at 58.0%
occupied compared with the 76.0% occupancy rate at YE2020 following
JC Penney's departure. Although the second loan modification has
provided the borrower temporary relief, the decline in value
indicates the trust will likely realize a significant loss at
resolution. In its analysis, DBRS Morningstar assumed a
hypothetical loss severity on the trust loan in excess of 75.0%.

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


JP MORGAN 2018-WPT: DBRS Confirms B(low) Rating on 2 Classes
------------------------------------------------------------
DBRS Limited confirmed the following ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2018-WPT issued by J.P.
Morgan Chase Commercial Mortgage Securities Trust 2018-WPT:

-- Class A-FL at AAA (sf)
-- Class A-FX at AAA (sf)
-- Class XA-FX at AAA (sf)
-- Class B-FL at AA (low) (sf)
-- Class B-FX at AA (low) (sf)
-- Class C-FL at A (low) (sf)
-- Class C-FX at A (low) (sf)
-- Class X-FL at BBB (high) (sf)
-- Class XB-FX at BBB (high) (sf)
-- Class D-FL at BBB (sf)
-- Class D-FX at BBB (sf)
-- Class E-FL at BBB (low) (sf)
-- Class E-FX at BBB (low) (sf)
-- Class F-FL at BB (low) (sf)
-- Class F-FX at BB (low) (sf)
-- Class G-FL at B (low) (sf)
-- Class G-FX at B (low) (sf)

All trends are Stable.

The rating confirmations and Stable trends reflect the overall
stable performance of the transaction since DBRS Morningstar's last
review. The collateral loan is secured by the fee and leasehold
interests in a portfolio of 147 properties, consisting of nearly
9.9 million square feet (sf) of office and flex space with a loan
balance of $1.1 billion as of the May 2022 reporting, reflecting a
0.3% collateral reduction since issuance. Built between 1972 and
2013, the portfolio includes 88 office properties (6.5 million sf)
and 59 flex buildings (3.4 million sf). Located across four states,
Pennsylvania, Florida, Minnesota, and Arizona, the collateral
encompasses five distinct metropolitan statistical areas (MSAs) and
more than 15 submarkets. The largest concentration of properties is
in the Philadelphia MSA, with 69 properties totalling 40.3% of the
allocated loan balance (ALB) at issuance, followed by the Tampa MSA
(34 properties; 16.5% of the ALB), the Minneapolis MSA (19
properties; 13.0% of the ALB), the Phoenix MSA (14 properties;
12.9% of the ALB), and the Southern Florida MSA (11 properties;
17.3% of the ALB). These properties are generally in dense suburban
markets that benefit from favorable accessibility and close
proximity to their respective central business districts.

Property releases are permitted upon the following provisions: (1)
a prepayment of 115% of the original allocated loan amount (ALA)
and (2) a remaining portfolio loan-to-value ratio (LTV) equal to or
less than the issuance LTV or the LTV prior to the release.
Specific to the 155 Great Valley Parkway asset, there is a tenant
with a purchase option at a price that is greater than the release
price of 110% of the ALA. According to the servicer, the 300-309
Lakeside Drive property was released on June 19, 2020.

The mortgage loan is split into (1) a floating-rate component of
approximately $255.0 million, with a two-year initial term and
three one-year extension options and (2) a five-year fixed-rate
loan totalling $1.02 billion, comprising the $850.0 million trust
balance and three companion loans totalling $170.0 million. The
companion loans are secured across three other DBRS
Morningstar-rated transactions, including BMARK 2018-B5, BMARK
2018-B6, and BMARK 2018-B7, as well as a fourth deal, BMARK
2018-B8, which was not rated by DBRS Morningstar. The DBRS
Morningstar rated companion notes are shadow-rated investment grade
and are within the top 10 loans in the BMARK 2018-B7 and BMARK
2018-B5 transaction; DBRS Morningstar confirmed all ratings with
Stable trends during the most recent review of BMARK 2018-B5 in
January 2022. In July 2020, the sponsor submitted an unscheduled
principal payment (curtailment) of nearly $3.0 million, which
partially paid down the most senior bond in the transaction, Class
A-FL.

According to the May 2022 reporting, the loan has been removed from
the servicer's watchlist upon receiving a maturity extension to
July 2023. As of YE2021, the portfolio reported a physical
occupancy rate of 84.1%, a slight decline from the 88.6% occupancy
rate reported at issuance. The portfolio benefits from a granular
rent roll with more than 500 tenants, and none of them occupy more
than 4.2% of the total net rentable area (NRA). Per the December
2021 rent roll, tenants occupying approximately 16.9% of the total
portfolio NRA are scheduled to rollover prior to maturity in July
2023. The most recent financials reported a YE2021 revenue figure
of $190 million with a consolidated debt service coverage ratio
(DSCR) of 1.57 times (x), compared with the YE2020 figures of $189
million and 1.64x, respectively. The slight decline in performance
year-over-year was the increase in real estate taxes and repair and
maintenance expenses.

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



JP MORGAN 2022-7: Fitch Assigns 'B' Rating on B-5 Debt
------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2022-7 (JPMMT 2022-7).

   DEBT        RATING                     PRIOR
   ----        ------                     -----
JPMMT 2022-7

1-A-1       LT    AA+sf     New Rating    AA+(EXP)sf

1-A-2       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-3       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-4       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-4-A     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-4-X     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-5       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-5-A     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-5-B     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-5-X     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-6       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-6-A     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-6-X     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-7       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-7-A     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-7-B     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-7-X     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-8       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-8-A     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-8-X     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-9       LT    AAAsf     New Rating    AAA(EXP)sf

1-A-9-A     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-9-B     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-9-X     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-10      LT    AAAsf     New Rating    AAA(EXP)sf

1-A-10-A    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-10-X    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-11      LT    AAAsf     New Rating    AAA(EXP)sf

1-A-11-A    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-11-X    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-12      LT    AAAsf     New Rating    AAA(EXP)sf

1-A-12-A    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-12-X    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-13      LT    AAAsf     New Rating    AAA(EXP)sf

1-A-13-A    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-13-X    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-14      LT    AAAsf     New Rating    AAA(EXP)sf

1-A-14-A    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-14-X    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-15      LT    AAAsf     New Rating    AAA(EXP)sf

1-A-15-A    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-15-X    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-16      LT    AAAsf     New Rating    AAA(EXP)sf

1-A-16-A    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-16-X    LT    AAAsf     New Rating    AAA(EXP)sf

1-A-17      LT    AA+sf     New Rating    AA+(EXP)sf

1-A-17-A    LT    AA+sf     New Rating    AA+(EXP)sf

1-A-18      LT    AA+sf     New Rating    AA+(EXP)sf

1-A-18-A    LT    AA+sf     New Rating    AA+(EXP)sf

1-A-19      LT    AA+sf     New Rating    AA+(EXP)sf

1-A-19-A    LT    AA+sf     New Rating    AA+(EXP)sf

1-A-X-1     LT    AA+sf     New Rating    AA+(EXP)sf

1-A-X-2     LT    AAAsf     New Rating    AAA(EXP)sf

1-A-X-3     LT    AA+sf     New Rating    AA+(EXP)sf

1-A-X-3-A   LT    AA+sf     New Rating    AA+(EXP)sf

1-A-X-3-B   LT    AA+sf     New Rating    AA+(EXP)sf

2-A-1       LT    AA+sf     New Rating    AA+(EXP)sf

2-A-2       LT    AA+sf     New Rating    AA+(EXP)sf

2-A-2-A     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-2-B     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-3       LT    AAAsf     New Rating    AAA(EXP)sf

2-A-3-A     LT    AAAsf     New Rating    AAA(EXP)sf

2-A-3-B     LT    AAAsf     New Rating    AAA(EXP)sf

2-A-4       LT    AAAsf     New Rating    AAA(EXP)sf

2-A-4-A     LT    AAAsf     New Rating    AAA(EXP)sf

2-A-4-B     LT    AAAsf     New Rating    AAA(EXP)sf

2-A-5       LT    AAAsf     New Rating    AAA(EXP)sf

2-A-5-A     LT    AAAsf     New Rating    AAA(EXP)sf

2-A-5-B     LT    AAAsf     New Rating    AAA(EXP)sf

2-A-6       LT    AA+sf     New Rating    AA+(EXP)sf

2-A-6-A     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-6-B     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-7       LT    AA+sf     New Rating    AA+(EXP)sf

2-A-7-A     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-7-B     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-8       LT    AA+sf     New Rating    AA+(EXP)sf

2-A-8-A     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-8-B     LT    AA+sf     New Rating    AA+(EXP)sf

2-A-X-1     LT    AA+sf     New Rating    AA+(EXP)sf

B-1        LT    AA-sf     New Rating    AA-(EXP)sf

B-2        LT    A-sf      New Rating    A-(EXP)sf

B-3        LT    BBB-sf    New Rating    BBB-(EXP)sf

B-4        LT    BBsf      New Rating    BB(EXP)sf

B-5        LT    Bsf       New Rating    B(EXP)sf

B-6        LT    NRsf      New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates issued by J.P. Morgan Mortgage Trust 2022-7 (JPMMT
2022-7) as indicated above. The certificates are supported by 444
loans with a total balance of approximately $477.92 million as of
the cutoff date. The pool consists of prime-quality fixed-rate
mortgages from various mortgage originators.

The pool consists of loans originated by United Wholesale Mortgage,
LLC (44.5%), loanDepot.com, LLC (14.8%), and Guaranteed Rate Inc.
(11.3%) with the remaining 29.4% of the loans originated by various
originators each contributing less than 10% to the pool. The loan
level representations and warranties are provided the various
originators or Maxex (aggregator).

NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint
Mortgage Servicing (Shellpoint), will act as interim servicer for
approximately 40.5% of the pool from the closing date until the
servicing transfer date, which is expected to occur on or about
Oct. 1, 2022. After the servicing transfer date, these mortgage
loans will be serviced by JPMorgan Chase Bank, National Association
(Chase). Since Chase will service these loans after the transfer
date, Fitch performed its analysis assuming Chase is the servicer
for these loans. Other servicers in the transaction include United
Wholesale Mortgage, LLC (servicing 44.5% of the loans) and
loanDepot.com, LLC (servicing 14.8% of the loans), and Johnson Bank
(servicing 0.3% of the loans). Nationstar Mortgage LLC (Nationstar)
will be the master servicer.

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

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

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.4% above a long-term sustainable level (versus
9.2% on a national level as of April 2022, down 1.4% since 1Q22).
Underlying fundamentals are not keeping pace with growth in prices,
resulting from a supply/demand imbalance driven by low inventory,
favorable mortgage rates and new buyers entering the market. These
trends have led to significant home price increases over the past
year, with home prices rising 18.2% yoy nationally as of December
2021.

High Quality Mortgage Pool (Positive): The pool consists of very
high quality, fixed-rate, fully amortizing loans with maturities of
30 years. All of the loans qualify as SHQM, agency SHQM or QM
safe-harbor (APOR) loans. The loans were made to borrowers with
strong credit profiles, relatively low leverage and large liquid
reserves.

The loans are seasoned at an average of five months, according to
Fitch (three months per the transaction documents). The pool has a
WA original FICO score of 764, as determined by Fitch, which is
indicative of very high credit quality borrowers. Approximately
70.1% (as determined by Fitch) of the loans have a borrower with an
original FICO score equal to or above 750. In addition, the
original WA combined loan-to-value (CLTV) ratio of 74.0%,
translating to a sustainable loan-to-value (sLTV) ratio of 80.4%,
represents substantial borrower equity in the property and reduced
default risk.

A 95.5% portion of the pool comprises nonconforming loans, while
the remaining 4.5% represents conforming loans. All of the loans
are designated as QM loans, with 51.0% of the pool originated by a
retail and correspondent channel.

Of the pool, 100.0% comprises loans where the borrower maintains a
primary or secondary residence. Single-family homes, planned unit
developments (PUDs), single-family attached dwellings and
Townhouses constitute 92.4% of the pool; condominiums make up 5.7%;
and multifamily homes make up 2.0%. The pool consists of loans with
the following loan purposes: purchases (62.5%), cashout refinances
(27.2%) and rate-term refinances (10.3%).

A total of 218 loans in the pool are over $1 million, and the
largest loan is $2.95 million. Fitch determined that eight of the
loans were made to nonpermanent residents.

Of the pool, 45.7% is concentrated in California. The largest MSA
concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA
(16.0%), followed by the San Francisco-Oakland-Fremont, CA MSA
(7.4%) and the New York-Northern New Jersey-Long Island, NY-NJ-PA
MSA (6.8%). The top three MSAs account for 30% of the pool. As a
result, there was no probability of default (PD) penalty applied
for geographic concentration.

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

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

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

CE Floor (Positive): A CE or senior subordination floor of 1.70%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 1.20% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

RATING SENSITIVITIES

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.1% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Consolidated Analytics, Covius,
Digital Risk, Inglet Blair, and Opus. The third-party due diligence
described in Form 15E focused on four areas: compliance review,
credit review, valuation review and data integrity. Fitch
considered this information in its analysis and, as a result, Fitch
decreased its loss expectations by 0.28% at the 'AAAsf' stress due
to 100% due diligence with no material findings.

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

JPMMT 2022-7 has an ESG Relevance Score of '4'[+] for Transaction
Parties & Operational Risk due to strong due diligence results on
100% of the pool, an 'Above Average' aggregator, the majority of
the pool being originated by an 'Above Average' originator, and 40%
of the pool being serviced by 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.

Although this transaction has loans that were purchased in
connection with the Sponsor's Elevate D&I Program or the Sponsor's
Clean Energy Program, Fitch did not take these programs into
consideration when assigning the ESG Relevance Score as they did
not directly impact the expected losses assigned or were relevant
to the ratings in Fitch's view.

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


JP MORGAN 2022-DATA: DBRS Gives Prov. BB Rating on Class E Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-DATA to
be issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2022-DATA:

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

All trends are Stable.

The property is a 2019-built, hyperscale data center with 238,000
square feet (sf) of space and 46.2 megawatts of critical IT load
and is 100% leased to Google LLC (Google) through 2029. DBRS
Morningstar views the collateral as a strong asset with a strong
critical infrastructure, including power and redundancy that is
built to accommodate technology needs of not only today, but also
into the future. The loan has low leverage with an appraised
loan-to-value ratio (LTV) of 45.0% and a DBRS Morningstar LTV of
90%. The appraised dark value is $522.0 million, which provides
adequate coverage for the loan in the event that the tenant vacates
the property.

The collateral backing this transaction is a modern, hyperscale
facility that was purpose built to the needs of the client. As
such, DBRS Morningstar believes that the current tenant, or any
replacement tenant, would find that the property is not only
suitable for its current needs, but has the flexibility of design
to grow as the industry's needs evolve. Google, the Internet search
giant, is the sole tenant under a lease that expires in April 2029.
As with many such centers, the tenant has termination options built
into its lease to allow it to re-focus its operations in other
areas. Google may terminate its lease any time after March 2024.
While this creates a risk that the property could be left with no
revenue after that date, DBRS Morningstar has considered certain
mitigating factors.

From a financial standpoint, an exercise of the termination option
requires 18 months' notice and the payment of a termination fee
equal to the present value of all remaining lease payments. The
termination fee could be as high as $143.6 million, or $603 per
square foot (psf), should Google exercise the option in 2024. This
payment would be equal to about 45% of the outstanding loan balance
and would provide cash that could be used to update the center to
attract a new tenant. A cash flow sweep would also be triggered
upon notice of termination that would impound additional cash
during the 18-month notice period.

From the standpoint of the physical plant, the property is heavily
powered with over 46 megawatts of critical IT load. Since taking
occupancy, Google has slowly ramped up its usage and steadily added
equipment. The power usage as of May 2022 was about 17 megawatts,
meaning that Google has room to grow at the property as its own
needs increase. Further, the configuration of the property was
built with flexibility in mind, so that if Google was to terminate
the lease, the property would be leasable to single or multiple
users. Furthermore, the power and redundancy are more than adequate
for a modern user and the construction and security features are
sufficient to maintain the continuity of operations and the safety
of the data being stored at the facility. Therefore, DBRS
Morningstar expects the use as a data center to continue going
forward.

Data centers, while having existed in one form for another for many
years, have become a key component in the modern global technology
industry. The advent of cloud computing, streaming media, file
storage, and artificial intelligence applications has increased the
need for these facilities over the last 10 years in order to
manage, store, and transmit data globally. While previous
incarnations of data centers were often constructed in existing
buildings and converted, the needs of the market have begun to
require purpose-built facilities that are engineered for this
single use.

Data centers require large amounts of power in order to operate all
of the equipment on site, adequate cooling to protect the equipment
from heat, and redundancy to ensure that the centers can continue
to operate through any disruptions in service. These items are
critical factors in rating a data center transaction, because the
lack of any one of these components could potentially result in a
data center becoming functionally obsolete as the industry grows.
The property has good power input with multiple feeds from the
electrical grid to reduce the risk of a short term disruption in
power. In addition, the modern design of the facility allows for a
Power Usage Effectiveness ratio of 1.09, which is highly efficient
and means that a high percentage of the power employed by the
facility is used by the IT equipment rather than by the
infrastructure and overhead. The cooling infrastructure is robust
with a large network of chillers. The cooling system consists of a
process water system that reduces the need to constantly operate
the chillers and reduces electricity usage.

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


JPMBB COMMERCIAL 2015-C27: DBRS Confirms CCC Rating on 2 Classes
----------------------------------------------------------------
DBRS Limited (DBRS Morningstar) downgraded the following ratings on
the Commercial Mortgage Pass-Through Certificates, Series 2015-C27
issued by JPMBB Commercial Mortgage Securities Trust 2015-C27:

-- Class D to BB (low) (sf) from BB (high) (sf)
-- Class X-D to BB (sf) from BBB (low) (sf)

DBRS Morningstar confirmed the remaining ratings as follows:

-- Class A-3A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class E at CCC (sf)
-- Class F at CCC (sf)

DBRS Morningstar changed the trends on Classes C and EC to Negative
from Stable. The trends on Classes D and X-D remain Negative. All
other trends are Stable with the exception of Classes E and F,
which have ratings that do not carry trends. DBRS Morningstar also
designated Classes D, E, and F as having Interest in Arrears.

The Negative trends and rating downgrades reflect the continued
performance challenges for the loans showing increased risks from
issuance, including two loans that remain in special servicing and
several watchlisted loans that are being monitored for occupancy
and performance declines. DBRS Morningstar's concerns and outlook
for these loans are further outlined below.

The rating confirmations reflect DBRS Morningstar's view that,
outside of the loans in special servicing and on the servicer's
watchlist, the transaction's overall performance remains stable
since the last surveillance review. The trust consists of 33 of the
original 44 loans, with an aggregate principal balance of $610.4
million, reflecting a collateral reduction of 27.0% since issuance
as a result of loan repayments and scheduled amortization. In
addition, three loans, representing 2.7% of the pool, are fully
defeased. As of the May 2022 reporting, there are 16 loans,
representing 38.3% of the pool, on the servicer's watchlist. There
are two loans in special servicing, representing 16.5% of the pool,
and one loan, 4.1% of the pool, that is 30+ days delinquent and
still with the master servicer. The pool has not realized any
losses to date; however, DBRS Morningstar expects significant
losses will be realized with the resolution of the largest loan in
special servicing, supporting the CCC (sf) ratings for Classes E
and F and the downgrades for Classes D and X-D with this review.
One loan previously in special servicing, Hampton Inn & Suites –
Union Centre (Prospectus ID#25, 1.6% of the pool), has been
resolved and returned to the master servicer. Although the
resolution is considered a positive development, DBRS Morningstar
notes that a July 2021 appraisal estimated an as-is value for the
collateral hotel that suggests the loan-to-value ratio remains near
100%, suggesting the overall risk profile for the loan remains
significantly elevated from issuance.

The largest specially serviced loan, The Branson at Fifth
(Prospectus ID#3, 11.9% of the pool), is secured by a mixed-use
(multifamily and retail) property in Midtown Manhattan, New York.
The property was transferred back to special servicing for a second
time in September 2021 based on insufficient cash flow and, as of
the May 2022 remittance, remains delinquent. The borrower requested
an additional loan modification in the form of forbearance or
discounted payoff. The retail portion of the property is more than
20% vacant, and the sole tenant is paying reduced rent. Cash flows
have been reported well below breakeven since YE2019, a trend that
began with the loss of the sole commercial tenant at issuance,
Domenico Vacca, earlier that year. The multifamily units were 89.3%
occupied as of February 2022, up from 79.5% at November 2021.
Updated values reported by the special servicer have been well
below the issuance value of $119.0 million, with the most recent
figure, from November 2021, showing an as-is value of $37.7
million, well below the trust's exposure of approximately $75.0
million. Based on a haircut to the 2021 appraisal, DBRS Morningstar
estimates a loss in excess of $40.0 million will be realized at
resolution.

The second specially serviced loan, The Outlet Shoppes Of The
Bluegrass (Prospectus ID#6, 4.5% of the pool), is secured by an
outlet mall in Simpsonville, Kentucky, approximately 25 miles east
of Louisville. The loan transferred to special servicing in
February 2021 after the loan sponsor, CBL Properties (CBL), filed
for bankruptcy. The loan has been current throughout the stint in
special servicing and the servicer reports that, as of the May 2022
remittance, the loan has been modified as a corrected mortgage loan
and will be returned to the master servicer once the waiver of
default is finalized. The property was 93.0% occupied as of
November 2021, and there have been several new tenants signed at
the property including Rally House (1.8% of net rentable area
(NRA)), a sports-centered apparel company which opened in April
2022, and Restoration Hardware Outlet, a luxury furniture company
which opened in February 2022. In addition to recent leasing
traction, the property reported annual sales of $395 per square
foot at YE2020, in line with the previous year, suggesting the
impact of the Coronavirus Disease (COVID-19) pandemic to mall
traffic was relatively minimal. Revenues have fallen since
issuance, however, with the YE2021 figure of $10.7 million up from
the YE2020 figure by approximately $500,000, but almost $2.0
million below the Issuer's figure of $12.7 million. The recent
lease signings should contribute to an increase in revenues.
Although CBL is considered a weaker operator, the subject property
benefits from its status as the primary outlet mall in the
Louisville area, with the nearest competing malls owned by Simon
Property Group almost 100 miles away, in Edinburgh, Indiana, and
Cincinnati, Ohio.

DBRS Morningstar is monitoring one of the larger watchlisted loans,
4141 North Scottsdale Road (Prospectus ID#9, 4.1% of the pool),
which is secured by a Class A low-rise suburban office building in
Scottsdale, Arizona. The loan was added to the servicer's watchlist
in June 2021 after the former largest tenant, Aetna, Inc. (Aetna;
previously 71.0% of the NRA), failed to renew its lease 12 months
prior to lease expiration and subsequently vacated the property at
lease expiration in December 2021. No leasing activity has been
reported, and the loan was reported 30+ days delinquent as of the
May 2022 remittance. A springing lockbox was triggered with Aetna's
nonrenewal, and the loan reported approximately $1.06 million
across the leasing and lockbox reserves as of May 2022. The
property was 16.1% occupied at YE2021, and the servicer commentary
notes several leads to backfill the vacancy and the borrower's plan
to complete comprehensive building upgrades as part of a marketing
strategy. Leasing such a large space will be difficult in this
environment and the market dynamics do not suggest heavy demand.
According to Reis, similar properties within a five-mile radius
reported an average vacancy rate of 21.0%. DBRS Morningstar has
requested further information regarding the loan's payment status
and prospects for backfilling space. As of the date of this press
release, the servicer's response is pending.

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


KKR CLO 49: Fitch Assigns 'BB-' Rating on Class E Debt
------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO
49 Ltd.

   DEBT               RATING
   ----               ------
KKR CLO 49 Ltd.

A-1                  LT    NRsf     New Rating

A-1L                 LT    NRsf     New Rating

A-2                  LT    AAAsf    New Rating

B-1                  LT    AAsf     New Rating

B-2                  LT    AAsf     New Rating

C                    LT    Asf      New Rating

D                    LT    BBB-sf   New Rating

E                    LT    BB-sf    New Rating

F                    LT    NRsf     New Rating

Subordinated Notes   LT    NRsf     New Rating

TRANSACTION SUMMARY

KKR CLO 49 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by KKR
Financial Advisors II, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 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
97.7% first-lien senior secured loans and has a weighted average
recovery assumption of 74.21%. 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 40.0% 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 3.0-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, the class A-2, B-1 and
B-2 (together class B notes), C, D, and E notes can withstand
default rates of up to 60.2%, 52.6%, 46.9, 39.5%, and 32.7%
respectively, assuming portfolio recovery rates of 37.5%, 46.4%,
55.9%, 65.4%, and 70.6% in Fitch's 'AAAsf', 'AAsf', 'Asf',
'BBB-sf', and 'BB-sf' scenarios, respectively.

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
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for
class B, between 'Bsf' and 'A+sf' for class C, between less than
'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and
'BBsf' for class E.

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

Upgrade scenarios are not applicable to the class A-2 notes, as
these notes are in the highest rating category of 'AAAsf'.

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 'BBB+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.


KKR CLO 49: Moody's Assigns B3 Rating to $500,000 Class F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued and one class of loans incurred by KKR CLO 49 Ltd.
(the "Issuer" or "KKR CLO 49").                

Moody's rating action is as follows:

US$300,000,000 Class A-1L Loans maturing 2035, Assigned Aaa (sf)

US$10,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$500,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned B3 (sf)

The loans and notes listed are referred to herein, collectively, as
the "Rated Debt." The Class A-1L 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 49 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 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 issued six 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: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2954

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 46.50%

Weighted Average Life (WAL): 7 years

Methodology Underlying the Rating Action:

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


KREST COMMERCIAL 2021-CHIP: DBRS Confirms B Rating on Cl. F Trust
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of KREST
Commercial Mortgage Securities Trust 2021-CHIP, Series 2021-CHIP,
as follows:

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

The rating confirmations reflect the recent vintage and overall
stable performance of the transaction, which remains in line with
DBRS Morningstar expectations at issuance. The transaction is
collateralized by the fee-simple interest in HQ @ First, a 603,666
square-foot (sf), LEED Gold Certified office campus in San Jose,
California. The property was designed and constructed in 2010 as a
built-to-suit for network equipment producer, Brocade
Communications Systems, which occupied the campus until its
acquisition by Broadcom, Inc. in 2017. In 2019, investment-grade
tenant, Micron Technology, Inc. executed a 16-year lease for 100%
of the property to serve as its Silicon Valley headquarters. The
10-year loan is interest-only (IO) and is structured with an
Anticipated Repayment Date beginning in August 2031 and a final
maturity date in November 2034.

The $408.0 million whole loan comprises $230 million in senior debt
and $178.0 million in junior debt. The subject transaction of
$267.0 million consists of $89.0 million of senior debt and the
entire junior debt.

The property benefits from long-term, institutional-quality tenancy
which results in a stable, long-term cash flow stream with 3%
annual contractual rent increases. Micron's lease expires on
December 31, 2034, and has two five-year extension options at fair
market rate as long as the tenant is not in default under the
lease. Micron leased the entire property with the intention of
growing into the space over time but has subleased approximately
20.0% of the net rentable area to Zscaler until September 2026,
which uses the space as its headquarters. Zscaler's sublease is
structured with contractual expansion options in October 2022 and
October 2025. According to Reis, the Airport/Milpitas submarket
reported a Q1 2022 vacancy rate of 24.6%, with an asking rent of
$35.61 per sf (psf), compared with the Q1 2021 vacancy rate of
28.2% and asking rent of $34.77 psf, which is relatively lower than
Micron's rental rate of $41.83 psf for 2022.

Based on the most recent financials, the loan reported a trailing
six month ended December 31, 2021, debt service coverage ratio
(DSCR) of 1.39 times (x), compared with the DBRS Morningstar DSCR
of 2.16x at issuance. The DBRS Morningstar net cash flow analysis
includes straight-lining of Micron's rent over the loan term given
its consideration as a long-term credit tenant. The transaction
sponsor is KKR Real Estate Select Trust, a private REIT for
individual investors sponsored by KKR & Co. Inc.

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



MFA 2022-NQM2: DBRS Finalizes B Rating on Class B-2 Certs
---------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on
the following Mortgage Pass-Through Certificates, Series 2022-NQM2
issued by MFA 2022-NQM2 Trust (MFA 2022-NQM2):

-- $355.2 million Class A-1 at AAA (sf)
-- $42.7 million Class A-2 at AA (high) (sf)
-- $62.4 million Class A-3 at A (high) (sf)
-- $27.3 million Class M-1 at BBB (high) (sf)
-- $24.3 million Class B-1 at BB (sf)
-- $17.3 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 34.30%
of credit enhancement provided by subordinate certificates. The AA
(high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (sf)
ratings reflect 26.40%, 14.85%, 9.80%, 5.30%, and 2.10% of credit
enhancement, respectively.

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate nonprime first-lien residential mortgages funded by
the issuance of the Mortgage Pass-Through Certificates, Series
2022-NQM2 (the Certificates). The Certificates are backed by 709
mortgage loans with a total principal balance of $540,656,479 as of
the Cut-Off Date (April 30, 2022).

The pool is, on average, five months seasoned with loan age ranges
from zero months to 63 months. FundLoans Capital, Inc. (63.2% of
the pool), Citadel Servicing Corporation (17.8% of the pool),
Castle Mortgage Corporation doing business as Excelerate Capital
(10.2% of the pool), and Change Lending LLC (8.8% of the pool) are
the originators. Planet Home Lending, LLC (82.2% of the pool) and
Citadel Servicing Corporation (17.8% of the pool) are Servicers for
this pool. ServiceMac, LLC will subservice all but one of the
Citadel Servicing Corporation-serviced mortgage loans under a
subservicing agreement dated September 18, 2020.

Although the applicable mortgage loans were originated to satisfy
the CFPB Ability-to-Repay (ATR) rules, they were made to borrowers
who generally do not qualify for agency, government, or
private-label nonagency prime jumbo products for various reasons.
In accordance with the QM/ATR rules, 62.0% of the loans are
designated as non-QM. Approximately 38.0% of the loans are made to
investors for business purposes or foreign nationals, which are not
subject to the QM/ATR rules.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible horizontal interest consisting
of the Class B-3, XS, and some portion of B-2 Certificates
representing at least 5% of the aggregate fair value of the
Certificates (reduced by proportion of Community Development
Financial Institution loans) to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.

On or after the earlier of (1) three years after the Closing Date
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, any preclosing deferred
amounts due to the Class XS Certificates, and other amounts
described in the transaction documents (optional redemption). After
such purchase, the Depositor must 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 unpaid
principal balance 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 unpaid
principal balance 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, and expenses that are payable or
reimbursable to the transaction parties, as described in the
transaction documents (optional termination). An optional
termination is conducted as a qualified liquidation.

For this transaction, the Servicers will not fund advances of
delinquent principal and interest (P&I) on any mortgage. However,
the Servicers are 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 a 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 (applicable to the loans serviced by such
Servicer), 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 structure with a
pro rata principal distribution among the senior tranches subject
to certain performance triggers related to cumulative losses or
delinquencies exceeding a specified threshold (Trigger Event).
Principal proceeds can be used to cover interest shortfalls first
on the Class A-1 and second, on A-2 Certificates (IIPP) before
being applied sequentially to senior and subordinate Certificates.
For Class A-3 and more subordinate Certificates, principal proceeds
can be used to cover interest shortfalls after the more senior
Certificates are paid in full. Also, the excess spread can be used
to cover realized losses by reducing the balance of the Class A-1
Certificates and then, sequentially, of the other Certificates,
before being allocated to unpaid Cap Carryover Amounts due to Class
A-1 down to Class A-3.

Coronavirus Disease (COVID-19) Impact

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the coronavirus 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 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.



MFA TRUST 2022-RPL1: Fitch Assigns 'B(EXP)' Rating on Cl. B-3 Debt
------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by MFA 2022-RPL1 Trust (MFA 2022-RPL1).

   DEBT           RATING
   ----           ------
MFA 2022-RPL1

A-1       LT    AAA(EXP)sf   Expected Rating

A-2       LT    AA(EXP)sf    Expected Rating

M-1       LT    A(EXP)sf     Expected Rating

M-2       LT    BBB(EXP)sf   Expected Rating

B-1       LT    BB(EXP)sf    Expected Rating

B-2       LT    B(EXP)sf     Expected Rating

B-3       LT    NR(EXP)sf    Expected Rating

A-IO-S    LT    NR(EXP)sf    Expected Rating

S-A       LT    NR(EXP)sf    Expected Rating

X         LT    NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The notes are supported by a collateral group consisting of 1,824
seasoned performing loans (SPLs) and reperforming loans (RPLs) with
a total balance of approximately $335.8 million, including $18.2
million, or 5.4%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts as of the cutoff
date.

KEY RATING DRIVERS

Mixed Performance History (Mixed): The collateral pool consists
primarily of peak-vintage SPLs and RPLs. A 1.3% portion of the pool
was 30 days' delinquent as of the cutoff date, and 21.2% of loans
are current but have had delinquencies within the past 24 months.
Roughly 53% of loans by unpaid principal balance (UPB) have been
modified. Fitch increased its loss expectations to account for the
delinquent loans and the high percentage of "dirty current" loans.
The remaining 77.5% of loans have had clean payment histories for
at least the past two years, which Fitch views as a benefit to the
transaction.

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.4% above a long-term sustainable level (versus
9.2% on a national level). Underlying fundamentals are not keeping
pace with growth in home prices, which is the result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 20.6% yoy nationally as of March 2022.

Low Loan-to-Value Ratio (Positive): Despite the distressed
performance history and elevated home price overvaluation, this
pool benefits from a very low loan-to-value ratio (LTV). Based on
updated property values and indexation by Fitch, the mark-to-market
(MtM) combined LTV (CLTV) is 45.5%; additionally, after haircutting
values based on Fitch's views of overvaluation, Fitch's sustained
LTV (sLTV) is 50.3%. The significant amount of equity is a
considerable driver of Fitch's low expected loss rate relative to
other RPL/SPL transactions.

Despite the low LTVs, Fitch applies minimum loss severity (LS)
floors for each given stress scenario, starting at 10% for the
'Bsf' rating stress and reaching 30% for the 'AAAsf' stress. Given
the low LTVs, the majority of the pool has a 30% LS in a 'AAAsf'
stress scenario.

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

RATING SENSITIVITIES

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

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

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 41.1% at 'AAA'. The analysis indicates some
potential rating migration with higher MVDs for all rated classes,
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

SUMMARY OF FINANCIAL ADJUSTMENTS

International scale credit ratings for 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
Third-party due diligence was performed on 78% of the loans in the
transaction by SitusAMC and Clayton; both entities are assessed as
'Acceptable' third-party review (TPR) firms by Fitch. The pool
received a regulatory compliance review on 78% of loans to ensure
the loans were originated in accordance with predatory lending
regulations.

For the remaining 22%, Fitch made adjustments based on the risk
that the loans would not be in compliance with predatory lending
regulations. An 11.3% portion of the pool received final compliance
grades of 'C' or 'D'. Adjustments were applied to loans primarily
due to missing or estimated final HUD-1 documents, and these loans
are subject to testing for compliance with predatory lending
regulations. These regulations are not subject to statute of
limitations, contrary to most compliance findings, which ultimately
exposes the trust to added assignee liability risk. Fitch adjusted
its loss expectation at the 'AAAsf' rating category by 73 bps to
account for these added risks presented in the diligence scope.

DATA ADEQUACY

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

ESG CONSIDERATIONS

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


MORGAN STANLEY 2013-C10: Moody's Affirms B2 Rating on Cl. C Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on fourteen
classes in Morgan Stanley Bank of America Merrill Lynch Trust
2013-C10, Commercial Mortgage Pass-Through Certificates, Series
2013-C10 as follows:

Cl. A-SB, Affirmed Aaa (sf); previously on Nov 5, 2020 Affirmed Aaa
(sf)

Cl. A-3, Affirmed Aaa (sf); previously on Nov 5, 2020 Affirmed Aaa
(sf)

Cl. A-3FL, Affirmed Aaa (sf); previously on Nov 5, 2020 Affirmed
Aaa (sf)

Cl. A-3FX, Affirmed Aaa (sf); previously on Nov 5, 2020 Affirmed
Aaa (sf)

Cl. A-4, Affirmed Aaa (sf); previously on Nov 5, 2020 Affirmed Aaa
(sf)

Cl. A-5, Affirmed Aaa (sf); previously on Nov 5, 2020 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aa2 (sf); previously on Apr 23, 2021 Downgraded
to Aa2 (sf)

Cl. B, Affirmed Baa2 (sf); previously on Apr 23, 2021 Downgraded to
Baa2 (sf)

Cl. C, Affirmed B2 (sf); previously on Apr 23, 2021 Downgraded to
B2 (sf)

Cl. D, Affirmed Caa2 (sf); previously on Apr 23, 2021 Downgraded to
Caa2 (sf)

Cl. E, Affirmed Caa3 (sf); previously on Apr 23, 2021 Downgraded to
Caa3 (sf)

Cl. F, Affirmed C (sf); previously on Apr 23, 2021 Downgraded to C
(sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Nov 5, 2020 Affirmed Aaa
(sf)

Cl. PST**, Affirmed Ba2 (sf); previously on Apr 23, 2021 Downgraded
to Ba2 (sf)

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on nine P&I classes, Cl. A-SB through Cl. C, were
affirmed because of their credit support and the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the transaction's
Herfindahl Index (Herf), are within acceptable ranges. The ratings
on three P&I classes, Cl. D, Cl. E and Cl. F, were affirmed because
the ratings are consistent with Moody's expected loss.

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

The rating on exchangeable class PST was affirmed due to the credit
quality of its referenced exchangeable classes.

Moody's rating action reflects a base expected loss of 12.0% of the
current pooled balance, compared to 13.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 10.2% of the
original pooled balance, compared to 11.2% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the June 17, 2022 distribution date, the transaction's
aggregate certificate balance has decreased by 21% to $1.18 billion
from $1.49 billion at securitization. The certificates are
collateralized by 65 mortgage loans ranging in size from less than
1% to just over 10% of the pool, with the top ten loans (excluding
defeasance) constituting 49% of the pool. One loan, constituting
0.8% of the pool, is secured by a residential cooperative building
in Manhattan, NY and has an investment-grade structured credit
assessment of aaa (sca.pd). Thirteen loans, constituting 28% of the
pool, have defeased and are secured by US government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared to 18 at Moody's last review.

As of the June 2022 remittance report, loans representing 89% were
current or within their grace period on their debt service payments
and 11% were greater than 90 days delinquent or in foreclosure. All
but two loans, Westfield Citrus Park (10.3% of the pool) and Hotel
Oceana Santa Monica (3.2%), have loan maturity dates on or before
July 2023. These two loans have maturity dates in June 2028.

Thirteen loans, constituting 14.5% of the pool, are on the master
servicer's watchlist, of which six loans, representing 7% of the
pool, indicate the borrower has received loan modifications in
relation to the coronavirus impact on the property. The watchlist
includes loans that meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, the agency reviews the watchlist to assess which loans
have material issues that could affect performance.

One loan has been liquidated from the pool, resulting in a realized
loss of $10 million. Three loans, constituting 13% of the pool, are
currently in special servicing. The specially serviced loans have
all transferred to special servicing since June 2020.

The largest specially serviced loan is the Milford Plaza Fee Loan
($110 million -- 9.3% of the pool), which represents a pari passu
interest in a $275 million mortgage loan. The loan is secured by
the ground interest underlying the Row Hotel, a 1,331 key full
service hotel located on 8th avenue in New York City. The ground
lease commenced in 2013, runs through 2112 and has annual CPI
increases. The loan transferred to the special servicer in June
2020 due to payment default on the ground rent due to the
significant decline in performance of the non-collateral
improvements. The loan is last paid through April 2020. Special
servicer commentary indicates they are dual tracking foreclosure
with workout discussions and the borrower has proposed a sale and
loan assumption/modification to a third party that would include
collapsing the ground lease and allowing the new owner to directly
control the hotel. Moody's analysis considered the value of the
non-collateral improvements that the leased fee interest underlies
when assessing the risk of the loan, as the subject loan is senior
to any debt on the improvements. Due to the delinquent status and
decline in performance of the non-collateral hotel property,
Moody's has assumed a small loss on this loan.

The second largest specially serviced loan is the Mall at Tuttle
Crossing Loan ($26.3 million -- 2.2% of the pool), which represents
a pari-passu portion of a $109.6 million mortgage loan. The loan is
secured by a 385,000 SF component of an approximately 1.13 million
SF super-regional mall located in Dublin, Ohio approximately 17
miles northwest of Columbus. The mall's non-collateral anchors
include JC Penney, Scene 75, an entertainment venue that backfilled
a former Macy's Home Store, and Macy's (all three of which are
non-collateral). The mall currently has an additional vacant
non-collateral anchor space, a former Sears (149,000 SF), that
vacated in early 2019. The collateral portion was 81% leased as of
December 2021, compared to 70% in April 2020, 76% in June 2019 and
88% in December 2015. The mall's in-line occupancy was 76% in
December 2021 compared to a low of 64% in April 2020 but still
lower than the 82% in December 2017. The property's net operating
income (NOI) has generally declined since 2016 due to lower
revenues. The 2019 NOI was already 26% lower than underwritten
levels and the property faced significant further NOI declines due
to the pandemic. The 2021 NOI was only $5 million compared to the
underwritten NOI of $16.6 million causing the NOI DSCR to be well
below 1.00X. The loan transferred to special servicing in July 2020
and the loan sponsor, Simon Property Group, has classified this
mall under their "Other Properties." The loan is last paid through
its July 2021 payment date and has an original maturity date in May
2023. Special servicer commentary indicated enforcement options are
being evaluated and a court appointed receiver has been working to
stabilize the property and prepare for a potential receivership
sale. As of the June 2022 remittance statement an appraisal
reduction of $43.2 million has been realized, which is based on
November 2021 appraisal which valued the property 79% lower than
the appraised value at securitization and nearly 56% below the
outstanding total mortgage loan. Due to the declining performance
and the current retail environment, Moody's anticipates a
significant loss on this loan.

The third largest specially serviced loan is the Oak Brook Office
Center Loan ($19.8 million -- 1.7% of the pool), which is secured
by a 312,000 SF suburban office complex located in Oak Brook,
Illinois, west of the Chicago CBD. The loan transferred to special
servicing in April 2022 due to payment default. One of the
buildings was recently fully vacated and total occupancy declined
to 32% as of March 2022, compared to 75% in 2021 and 89% at
securitization. The loan remains current as of the June 2022
remittance statement but special servicer commentary indicates the
borrower has offered a deed-in-lieu of foreclosure and the servicer
is considering all options.

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 11% of the pool, and has estimated
an aggregate loss of $131 million (a 45% expected loss on average)
from these specially serviced and troubled loans. The largest
troubled loan is secured by the Westfield Citrus Park. The second
largest troubled loan is secured by a retail property located in
the Bronx, NY which has suffered from tenant bankruptcies and
departures.

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

Moody's received full year 2021 operating results for 100% of the
pool, and full or partial year 2022 operating results for 92% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 96%, compared to 108% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 16% to the most recently
available net operating income (NOI), excluding hotel properties
that had significantly depressed NOI in 2020/2021. Moody's value
reflects a weighted average capitalization rate of 10.1%.

Moody's actual and stressed conduit DSCRs are 1.80X and 1.19X,
respectively, compared to 1.67X and 1.04X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three performing loans represent 24% of the pool balance.
The largest loan is the Westfield Citrus Park Loan ($121.4 million
-- 10.3% of the pool), which is secured by the borrower's fee
simple interest in a 506,914 square foot (SF) portion of a 1.1
million SF regional mall located in northwest Tampa, Florida. The
mall's current non-collateral anchors include Dillard's, Macy's and
J.C. Penney. One tenant, Sear's (non-collateral), closed its
location in 2019 and the space is now owned by Prime Time
Amusement, which plans to open an elev8 Fun entertainment center
that is anticipated to open in late 2022. The largest collateral
tenants include a 20-screen Regal Cinemas, 17% of the NRA with a
lease expiration in January 2024 and Dick's Sporting Goods, 10% of
NRA with a lease expiration in January 2023. The Regal Cinema movie
theater has historically performed poorly, generating sales of less
than $300,000 per screen, and was temporarily closed during the
pandemic but re-opened and started making monthly payments in
August 2021. As of December 2021, the collateral was 83% leased
(excluding temp. tenants), compared to 81% in December 2019. The
property's performance has declined annually since 2016 primarily
due to declining revenues. The 2019 NOI was already 30% lower than
in 2016 and the property faced further NOI declines due to the
pandemic. The 2021 NOI was 44% below 2016 levels. Additionally, the
property faces competition from International Plaza and Westshore
Plaza, both located 11 miles from the property. The loan
transferred to special servicing in July 2020 after the original
sponsor, Westfield, indicated they would no longer support the
asset. A recent loan modification in connection with a loan sale
and assumption to the Hull Property Group was executed. The loan
modifications included, among other items, a maturity date
extension to June 2028 and the loan will remain in cash trap for
the remainder of the term. The loan was returned to the master
servicer as of the June 2022 remittance and is now current on debt
service payments. The loan has amortized 17% since securitization,
however, the most recent reported appraisal dated August 2021
valued the property at $89 million. Due to the declining
performance from securitization, Moody's identified this as a
troubled loan.

The second largest loan is the 500 North Capitol Loan ($105 million
-- 8.9% of the pool), which is secured by a 233,000 SF, Class A
office building located in downtown Washington, DC. The property
was built in 1966 and renovated to a modern look in 2012 when
former single tenant the IRS vacated the property. As of December
2021, the property was 99% leased, compared to 98% at year-end
2019. The largest tenant at the property, McDermott Will & Emery
LLP, comprises 80% of the net rentable area (NRA) and has a lease
expiration in September 2027. Due to the single tenant
concentration, Moody's utilized a lit/dark analysis. This loan is
interest-only throughout the loan term and matures in June 2023.
Moody's LTV and stressed DSCR are 117% and 0.91X, respectively, the
same as at Moody's last review.

The third largest loan is the Pot-Nets Bayside MHC Loan ($55.8
million -- 4.7% of the pool), which is secured by a 1,518-pad MHC
located in Long Neck, Delaware. The property is located along
Indian River Bay, which connects to Rehoboth Bay to the north and
the Atlantic Ocean to the east. The community was built in 1962 and
was later expanded in 2007. The pads are improved with
occupant-owned model homes. The property is part of the larger
Pot-Nets development, which is comprised of six neighboring
communities. All six Pot-Nets communities, totaling over 3,200
sites, share amenities amongst one another. The property was 74%
occupied as of December 2021, compared to 70% in March 2020 and 75%
at securitization. Property performance has improved since
securitization due to higher rental revenues and the loan has
amortized 18%. The loan matures in June 2023 and Moody's LTV and
stressed DSCR are 80% and 1.25X, respectively, compared 91% and
1.11X at the last review.


MORGAN STANLEY 2018-SUN: DBRS Confirms B Rating on Class G Certs
----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-SUN issued by Morgan Stanley
Capital I Trust 2018-SUN as follows:

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

With this review, DBRS Morningstar changed the trends on Classes E,
F, G, and H to Stable from Negative. With this change, all trends
are Stable.

The rating confirmations and trend changes reflect the overall
improved performance as the collateral properties continue to
recover from the effects of the Coronavirus Disease (COVID-19)
pandemic. The underlying floating-rate interest-only (IO) loan is
secured by the fee-simple interest in two luxury beachfront hotels
totalling 327 keys in Santa Monica, California. The loan was
previously in special servicing in April 2020 following the
sponsor's request for a forbearance. A loan modification was
executed in December 2020 that required the borrower to bring all
delinquent debt service and reserve deposits current. In addition,
the sponsors contributed $3.5 million in cash to satisfy all legal
fees and other ancillary costs incurred by the special servicer. In
consideration for the borrower's commitment, the special servicer
agreed to accept a cure of loan defaults and conditionally waive
the pursuit of accrued default interest as long as no other
monetary default occurs over the remainder of the loan term. The
loan was transferred back to the master servicer in April 2021 and
is currently on the watchlist because of its upcoming maturity in
July 2022. The loan has three one-year extension options
remaining.

Loan proceeds of $356.6 million and mezzanine debt of $73.4 million
(held outside of trust) refinanced existing debt of $422.5 million
and returned $3.2 million to the sponsors. The loan features a
two-year initial term with five one-year extension options. The
Shutters on the Beach (Shutters) hotel consists of 198 guest rooms,
three food and beverage locations, a spa, and 8,632 square feet
(sf) of meeting space. The Casa del Mar hotel consists of 129 guest
rooms, one restaurant and bar/lounge, a spa, and roughly 11,000 sf
of meeting space. The properties are the only hotels directly on
the beach in the Santa Monica market, giving the collateral
portfolio a significant advantage over the few direct competitors.
Both hotels are recognized as two of the premier luxury hotels in
Southern California, and their respective restaurants derive
considerable income from non-hotel guests.

According to the December 2021 STR report, Shutters reported a
trailing 12 months (T-12) ended December 31, 2021, occupancy rate
of 59.0%, average daily rate (ADR) of $716.81, and revenue per
available room (RevPAR) of $422.99, with a RevPAR penetration rate
of 118.4%. This is a significant improvement from the T-12 ended
March 31, 2021, RevPAR of $172.36, but it's below the T-12 ended
December 31, 2019, RevPAR of $568.58. Casa del Mar reported a T-12
ended December 31, 2021, occupancy rate of 55.1%, ADR of $737.68,
and RevPAR of $406.49, with a RevPAR penetration rate of 128.3%.
RevPAR has significantly improved from the T-12 ended March 31,
2021, RevPAR of $166.32, but it's still below the T-12 ended
December 31, 2019, RevPAR of $555.60.

Based on the T-12 ended March 31, 2022, financials, the loan
reported a net cash flow (NCF) of $19.9 million, an improvement
from the YE2021 NCF of $11.3 million and YE2020 when the loan
reported a negative NCF. Although the in-place debt service
coverage ratio remains low, with cash flows down by approximately
$10.0 million from issuance, DBRS Morningstar expects a successful
extension option will be executed for the July 2022 maturity date
given the sponsors' commitment to the loan and performance trends
for the collateral hotels over the last year.

The loan includes a cash flow sweep in the event the debt yield
falls below 5.75% on a 12-month basis any time prior to the first
day of the third extension, and 6.25% at any time during the third
extension and onward. Based on the most recent financials, the loan
reported a whole-loan debt yield of 4.6%, and according to the
servicer, there is $9.3 million held in the cash management account
as of June 2022. Based on the May 2022 loan level reserve report,
there is $1.3 million held in a furniture, fixture, and equipment
reserve and $9.3 million held in other reserves (which typically
includes tax and insurance impounds).

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



MORGAN STANLEY 2019-PLND: DBRS Confirms B(low) Rating on G Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2019-PLND issued by Morgan
Stanley Capital I Trust 2019-PLND as follows:

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

DBRS Morningstar changed the trends on Classes A, B, C, X-EXT, and
D to Stable from Negative with this review. Classes E, F, and G
continue to carry Negative trends.

The transaction is secured by a $240.0 million first-lien mortgage
loan on two Hilton-branded full-service hotels in Portland, Oregon.
Across the two hotels are 782 rooms, approximately 63,000 square
feet of meeting space, and three food and beverage outlets. The
loan sponsor is an affiliate of Brookfield Asset Management Inc.
(rated A (low) with a Stable trend by DBRS Morningstar).

The rating confirmations and Stable trends on five classes are
supported by the valuation trends for the collateral hotel
portfolio. At issuance, the portfolio's combined value was $340.6
million, and, since the loan's transfer to special servicing in
June 2020, the special servicer has obtained three updated
valuations. The value declined to a low of $267.3 million and
$277.0 million on an as-is basis in the August 2020 and April 2021
appraisals, respectively. On a stabilized basis, the values were
reported at $350.7 million and $365.7 million, respectively.
However, as of the most recent appraisal, dated October 2021, the
subject was valued at $290.9 million on an as-is basis and $365.0
million on a stabilized basis, with a continued improvement in the
implied loan-to-value ratio to 82.5%. Although value remains
depressed from issuance, the most recently reported as-is figure
remains well above the DBRS Morningstar value derived in September
2020 of $221.0 million and suggests value outside the trust
exposure that should cushion against significant loss at
resolution.

The loan initially transferred to the special servicer for monetary
default, and, since that time, the loan has also passed its initial
maturity date of May 2021. The borrower and special servicer
exchanged numerous draft modifications throughout 2020; however, no
agreement could be reached and the servicer reported that
modification discussions with the borrower ceased in January 2021.
A receiver has been in place since December 2020, and, according to
updates provided by the special servicer, a foreclosure of the
collateral will be pursued and the properties will eventually be
put up for sale after a period of stabilization efforts.

As of the provided Smith Travel Research (STR) report for the
trailing 12-month (T-12) period ended April 30, 2022, were
provided, and the Hilton Downtown Portland (Hilton Downtown)
reported T-12 occupancy, average daily rate, revenue per available
room (RevPAR), and RevPAR penetration figures of 32.1%, $146.84,
$47.11, and 84.9%, respectively. The Duniway reported figures of
45.8%, $161.12, $73.78, and 100.9%, respectively, for the same T-12
period. The properties have seen negligible improvement in
performance metrics when compared with figures for the T-12 period
ended December 31, 2021. The special servicer calculated a debt
service coverage ratio (DSCR) of -0.05 times (x) for the T-12
period ended February 28, 2022, a modest increase from the -0.31x
at YE2020; however, the DSCR remains significantly depressed from
the YE2019 figure of 1.43x.

The collateral hotel properties are well located in the Portland
central business district; however, tourist and business traffic to
the area has been affected by a number of factors, including the
ongoing Coronavirus Disease (COVID-19) pandemic and civil unrest
that led to high-profile demonstrations and riots in 2020, which
resulted in damage to commercial buildings and area infrastructure.
The Hilton Downtown property was closed and boarded up for most of
2020 as a result of these events. Although the transaction benefits
from favorable valuation trends for the appraisals obtained since
the loan's transfer to special servicing, the in-place cash flows
remain severely depressed. For these reasons, among others, there
remains uncertainty with regard to the servicer's ability to sell
the assets and recover enough proceeds to repay the outstanding
debt and all fees and advances, supporting the Negative trends
maintained for the three lowest-rated classes with this review.

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


NATIXIS 2019-MILE: DBRS Confirms B(low) Rating on Class F Certs
---------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2019-MILE
issued by Natixis Commercial Mortgage Securities Trust 2019-MILE:

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

DBRS Morningstar has maintained the Negative trends on Classes D,
E, and F as a reflection of the continued concern surrounding the
collateral's increased vacancy, primarily driven by WeWork's
decision to relinquish their space. DBRS Morningstar considered a
hypothetical stressed value scenario to determine the bonds exposed
to the increased risks, as further described below. The rating
confirmations and Stable trends for all other classes reflect DBRS
Morningstar's view that the overall credit profile of the
transaction remains healthy given the sponsor's significant equity
contribution at close, the significant reserves in place, and the
property's below-market occupancy rate.

The transaction is secured by the fee-simple and leasehold
interests in Wilshire Courtyard, which comprises two six-story,
LEED Gold-certified office buildings with an aggregate of 1.1
million square feet (sf) in Los Angeles. The ground-leased parcel
is 3.5% of the property's total site area with a ground rent of
$215,066 through 2066 that increases every 10 years based on
cumulative CPI increases. The trust's assets consist of a $408.2
million fully funded floating-rate mortgage loan with an initial
maturity date in July 2022 and two 12-month extension options,
exercisable under a debt service and coverage ratio (DSCR) of 1.10
times (x), with a fully extended maturity in July 2024. In addition
to the trust debt, there is mezzanine financing in the amount of
$69.4 million at issuance.

The loan has been on the servicer's watchlist since February 2021
for low debt service coverage ratio (DSCR) and has remained in cash
management. As of May 2022, the servicer confirmed that the loan's
first extension option had been executed, extending the maturity
date to July 2023. Based on DBRS Morningstar's analysis of the
current in-place cash flow and the concentration of upcoming lease
expirations, DBRS Morningstar does not expect that the borrower
will meet the DSCR threshold for its second extension option unless
a master lease is signed.

According to the April 2022 rent roll, the property's physical
occupancy rate fell to 56.3% from 73.0% as of February 2021,
attributable to the departure of WeWork (previously 31.5% of the
net rentable area (NRA)). Twentieth Television, Inc. (previously
7.1% of the NRA) has also recently vacated the property, bringing
down occupancy to an implied rate of 49.2%. Leases representing an
additional 4.2% of the NRA are scheduled to roll by the end of
2022, and an additional 19.3% is scheduled to roll by the end of
2024. The remaining tenancy is quite granular, with the largest
tenant representing 8.4% of the NRA on a lease ending in October
2023. According to the YE2021 financials, net cash flow (NCF) was
reported at $23.5 million (with a DSCR of 1.19 times (x)), in
comparison with the YE2020 figure of $24.2 million and the DBRS
Morningstar NCF of $26.5 million (with a DSCR of 1.21x). The slight
year-over-year decline is predominately due to a 20.5% drop in
other income and a 23.6% increase in real estate taxes.

The sponsor contributed $208.2 million in equity to close the
subject transaction and more recently, has been reportedly planning
an extensive redevelopment of the property, slated to begin in
2025. The property is well located in an affluent area with high
barriers to entry; however, market vacancy rates are high.
According to Reis, Class A office space within a one-mile radius
from the subject property reported an average asking rent and
vacancy rate of $43.59 per square (psf) and 20.0%, respectively, as
of Q1 2022. In comparison, the subject property achieved an average
rental rate of $53.30 psf as of the April 2022 rent roll. Reis
projects that the Mid-Wilshire/Miracle Mile/Park Mile submarket
will experience an annualized average rent growth of 1.4% during
2023 and 2024, with vacancy declining to 18.4% by 2025.

In the analysis conducted to assign ratings to the transaction in
April 2020, DBRS Morningstar derived a value of $355.2 million
($334 per square foot (psf)), a variance of -46.8% from the
appraised value of $668.0 million ($629 psf) at issuance. Given the
increased vacancy at the subject, DBRS Morningstar anticipates that
the as-is value has likely declined significantly since that time
and could remain depressed if there is not an improvement in the
occupancy rate within the near to moderate term. To evaluate the
impact of the possibility that the sponsor could be purposely
keeping space open and/or not renewing leases over the remainder of
the loan term as part of a redevelopment plan, DBRS Morningstar
analyzed two value stress scenarios, resulting in a hypothetical
as-is value and a hypothetical dark value, which suggested values
of approximately $200 million ($188 psf) and $281 million ($265
psf), respectively. In evaluating the impact of these scenarios,
DBRS Morningstar gave credit to the $55.8 million ($53 psf) held
between leasing reserves, termination fees, and the letter of
credit, all of which may be used to re-lease the property or in the
event of default, be held as additional collateral for the subject
loan. This analysis supported the Negative trends maintained for
Classes D, E and F, which would be most exposed to the possibility
of interest shortfalls and/or losses should those hypothetical
scenarios bear out during the loan term or at maturity. DBRS
Morningstar notes the loan remains current, with no indication the
sponsor's commitment to the asset or loan has changed since
issuance.

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



NEW RESIDENTIAL 2022-NQM4: Fitch Assigns 'B+' Rating on B2 Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes to be issued by New Residential Mortgage Loan
Trust 2022-NQM4 (NRMLT 2022-NQM4).

   DEBT      RATING                PRIOR
   ----      ------                -----

New Residential Mortgage Loan Trust 2022-NQM4

A-1      LT   AAAsf   New Rating   AAA(EXP)sf

A-2      LT   AA+sf   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

R        LT   NRsf    New Rating   NR(EXP)sf

XS-1     LT   NRsf    New Rating   NR(EXP)sf

XS-2     LT   NRsf    New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 527 newly originated loans that have a
balance of $272.4 million as of the June 1, 2022 cutoff date. The
pool consists of loans originated by NewRez LLC, which was formerly
known as New Penn Financial, LLC, and Caliber Home Loans, a NewRez
subsidiary.

The notes are secured mainly by non-qualified mortgage (QM) loans
as defined by the Ability-to-Repay (ATR) Rule. Of the loans in the
pool, 69.4% are designated as non-QM, while the remainder are not
subject to the ATR Rule.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.5% above a long-term sustainable level (relative
to 9.2% on a national level as of April 1, 2022). Underlying
fundamentals are not keeping pace with the growth in prices, which
is a result of a supply/demand imbalance driven by low inventory,
low mortgage rates and new buyers entering the market. These trends
have led to significant home price increases over the past year,
with home prices rising 18.2% yoy nationally as of Dec. 31, 2021.

Non-Prime Credit Quality (Mixed): The collateral consists of 527
loans, totaling $272 million and seasoned approximately three
months in aggregate, according to Fitch (as calculated from
origination date). The borrowers have a stronger credit profile
when compared with other non-QM transactions, with a 750 Fitch
model FICO score and 38% debt/income ratios (DTI), as determined by
Fitch after converting the debt service coverage ratio (DSCR)
values, as well as moderate leverage (74.1% sustainable loan/value
[sLTV]).

The pool consists of 63.1% of loans where the borrower maintains a
primary residence, while 36.9% are considered an investor property
or second home. Additionally, only 34% of the loans were originated
through a retail channel. Moreover, 69% are considered non-QM and
the remainder are not subject to QM. NewRez and Caliber originated
100% of the loans, which have been serviced since origination by
Shellpoint Mortgage Servicing (SMS).

Modified Sequential-Payment Structure (Mixed): The structure pays
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 paid
sequentially to class A-1, A-2 and A-3 notes until they are reduced
to zero.

After the 48th payment date, the A-1 through M-1 classes will be
contractually due the lower of the fixed rate for the class plus
1.0% or the net Weighted average coupon (WAC) rate. This increases
the principal and interest (P&I) allocation for the A-1 through
M-1, and decreases the amount of excess spread available in the
transaction. At this time, amounts otherwise distributable to the
class B-3 will be redirected to pay Cap Carryover amounts to
classes A-1 through M-1 sequentially.

Loan Documentation (Negative): Eighty-four percent of the pool was
underwritten to less than full documentation, according to Fitch.
Approximately 62% was underwritten to a 12-month or 24-month bank
statement program for verifying income, which is not consistent
with Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protection Bureau's (CFPB)
ATR Rule. The standards are meant to reduce the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to rigor of the ATR Rule's
mandates with respect to the underwriting and documentation of the
borrower's ATR. Additionally, 22% are debt service coverage ratio
(DSCR) product.

High Investor Property Concentrations (Negative): Approximately 31%
of the pool comprises investment property loans, including 22%
underwritten to a cash flow ratio rather than the borrower's DTI
ratio. Investor property loans exhibit higher probability of
defaults (PDs) and higher loss severities (LS) than owner-occupied
homes. Fitch increased the PD by approximately 2.0x for the cash
flow ratio loans (relative to a traditional income documentation
investor loan) to account for the increased risk.

RATING SENSITIVITIES

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 MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 41.2% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

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 Recovco Mortgage Management (Recovco), Canopy Financial
Technology Partners, LLC (Canopy) and Clayton Services (Clayton).
The third-party due diligence described in Form 15E focused on a
full review of the loans as it relates to credit, compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis:

-- A 5% credit was applied to each loan's probability of default
    assumption.

This adjustment resulted in a 46bps reduction to the 'AAAsf'
expected loss.

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.


PALISADES CENTER 2016-PLSD: Moody's Cuts Cl. B Certs Rating to B2
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded the ratings on three classes in Palisades Center Trust
2016-PLSD, Commercial Mortgage Pass-Through Certificates, Series
2016-PLSD as follows:

Cl. A, Downgraded to Baa2 (sf); previously on Mar 4, 2021
Downgraded to A3 (sf)

Cl. B, Downgraded to B2 (sf); previously on Mar 4, 2021 Downgraded
to Ba3 (sf)

Cl. C, Downgraded to Caa2 (sf); previously on Mar 4, 2021
Downgraded to B3 (sf)

Cl. D, Affirmed Caa3 (sf); previously on Mar 4, 2021 Downgraded to
Caa3 (sf)

RATINGS RATIONALE

The ratings on Cl. A, Cl. B, and Cl. C were downgraded due to the
heightened refinance risk the loan faces ahead of its already
extended maturity date of October 2022 as a result of its decline
in performance in recent years and the uncertainty of the
property's ability to recover to its financial performance prior to
the coronavirus pandemic. Although the property's net cash flow
(NCF) improved year over year in 2021, its cash flow remains well
below its 2019 levels and the 2021 NCF was approximately 44% lower
than in 2016. Based on the first quarter performance in 2022, the
annualized 2022 NCF would be at similar levels with that of 2021.
 Furthermore, the loan has already received a maturity extension
after the borrower was unable to payoff the loan at its initial
maturity date in in April 2021.

The rating on Cl. D was affirmed due to Moody's loan-to-value (LTV)
and the current performance of the loan underlying the
transaction.

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

Moody's regard the coronavirus outbreak as a social risk under
Moody's ESG framework, given the substantial implications.

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

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

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

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the June 15, 2022 payment date, the transaction's aggregate
certificate balance remains unchanged since securitization at
approximately $389 million. The whole loan of $419 million has a
split loan structure represented by the trust loan component of
$389 million and a companion loan component of $30 million (not
included in the trust) that is securitized in JPMDB 2016-C2. The
trust includes notes A, B, C and D. The $229 million senior trust A
note and the $30 million companion loan component in JPMDB 2016-C2
are pari passu. The trust notes B, C and D are junior to the trust
note A and the companion loan component.  Additionally, there is
$142 million of mezzanine debt held outside the trust. The
five-year fixed-rate mortgage loan originally had a maturity in
April 2021. However, the loan was previously transferred to special
servicing in 2020 and the maturity was eventually extended to
October 2022. The loan returned to the master servicer in May 2021
and has since remained current on its debt service payments.

The Palisades Center is located approximately 3.5 miles northwest
of the Tappan Zee Bridge and 18 miles northwest of New York City.
The property is managed by the loan's sponsor, Pyramid Management
Group, LLC, a privately held real estate management and development
company headquartered in Syracuse, New York.

The Palisades Center contains several occupied anchors comprised of
Macy's (201,000 square feet (SF)), Home Depot (132,800 SF), Target
(130,140 SF), BJ's Wholesale Club (118,076 SF), Dick's Sporting
Goods (94,745 SF) and Burlington Coat Factory (54,609 SF).

Anchor collateral for the loan does not include the Macy's space.
Other larger collateral tenants include a 21-screen AMC Palisades
Center Cinema, Barnes and Noble, Best Buy, Dave and Busters, DSW,
and Autobahn Indoor Speedway.

The property's occupancy rate has declined since securitization. In
July 2017, JC Penney closed and vacated their three-level 157,000
SF anchor space, which is part of the loan collateral. The JC
Penney space remains vacant. In addition, Lord & Taylor (120,000
SF) closed in January 2020 and Bed Bath and Beyond (45,000 SF with
lease expiring in January 2022) closed in June 2020. As of March
2022, the property was 74% occupied and the collateral was 76%
occupied.

The loan was transferred to special servicing in April 2020 as a
result of the impact and temporary closure of the center related to
the coronavirus outbreak. The most recent appraisal value from
August 2020 valued the property 52% below the appraisal at
securitization but slightly above the outstanding loan amount.
After a loan modification was completed, which included a 6-month
principal and interest forbearance and an 18-month maturity
extension, the loan returned to the master servicer in May 2021 and
as of the June 2022 remittance report the loan has remained current
on debt service payments.

The property's performance was already declining prior to 2020 but
was further significantly impacted by the coronavirus pandemic. The
property reported a $16.2 million NCF in 2020 and while the
property's NCF increased year over year to $25.0 million in 2021,
the 2021 NCF was still 32% lower than in 2019 and approximately 44%
below the 2016 NCF. The property's NCF in 2019 was $36.9 million,
down from $40.5 million in 2018 and $44.9 million in 2016. Moody's
LTV and trust stressed debt service coverage ratio (DSCR) for the
first mortgage ratio is 140% and 0.58X, respectively. As of the
June 2022 remittance report, the loan remained current on debt
service payments, however, the loan has outstanding P&I advances
totaling approximately $2.82 million to be repaid as a result the
prior loan modification.


PIKES PEAK 11: Moody's Assigns B3 Rating to $1MM Class F Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued by Pikes Peak CLO 11 Ltd (the "Issuer" or "Pikes Peak
11").

Moody's rating action is as follows:

US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$12,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2034, 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.

Pikes Peak 11 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, unsecured loans
and permitted securities. The portfolio is approximately 90% ramped
as of the closing date.

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

In addition to the Rated Notes, the Issuer issued four other
classes of 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: 75

Weighted Average Rating Factor (WARF): 2853

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

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.


PRKCM 2022-AFC1: DBRS Finalizes B Rating on Class B-2 Notes
-----------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on
the following Mortgage-Backed Notes, Series 2022-AFC1 issued by
PRKCM 2022-AFC1 Trust (the Trust):

-- $212.7 million Class A-1 at AAA (sf)
-- $180.7 million Class A-1A at AAA (sf)
-- $32.0 million Class A-1B at AAA (sf)
-- $27.2 million Class A-2 at AA (high) (sf)
-- $35.9 million Class A-3 at A (sf)
-- $15.7 million Class M-1 at BBB (sf)
-- $11.2 million Class B-1 at BB (high) (sf)
-- $8.5 million Class B-2 at B (sf)

Class A-1 is an exchangeable class of Notes. This class can be
exchanged for combinations of the initial exchangeable Notes as
specified in the offering documents.

Class A-1A is a senior class of Notes that benefits from additional
protection from the Class A-1B senior Notes with respect to loss
allocation because the principal payments are made sequentially to
the Class A-1A Notes and then to the Class A1-B Notes, and the
realized losses are applied in reverse order.

The AAA (sf) rating on the Notes reflects 33.45% of credit
enhancement provided by subordinated Notes. The AA (high) (sf), A
(sf), BBB (sf), BB (high) (sf), and B (sf) ratings reflect 24.95%,
13.70%, 8.80%, 5.30%, and 2.65% of credit enhancement,
respectively.

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

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate, expanded prime, and nonprime first-lien
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 703 mortgage loans with a total principal
balance of $319,540,834 as of the Cut-Off Date (May 1, 2022).

AmWest Funding Corp. (AmWest) is the Originator and Servicer for
the mortgage pool. DBRS Morningstar conducted a telephone review of
AmWest's origination and servicing platform and believes the
company is an acceptable mortgage loan originator and servicer.

This is the third securitization by the Sponsor, Park Capital
Management Sponsor LLC, an affiliate of the Seller, the Originator,
and the Servicer, which are the same entity. Also, several prior
securitizations included loans originated and/or serviced by
AmWest.

The pool is about three months seasoned on a weighted-average (WA)
basis, although seasoning may span from two month to six months.
All loans in the pool are current as of the Cut-Off Date.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and
Ability-to-Repay (ATR) rules where applicable, they were made to
borrowers who generally do not qualify for agency, government, or
private-label nonagency prime jumbo products for various reasons.
In accordance with the QM/ATR rules, approximately 44.8% of the
loans are designated as non-QM.

Approximately 55.2% of the loans are made to investors for business
purposes and, hence, are not subject to the QM/ATR rules. The
mortgage loans were underwritten to program guidelines for
business-purpose loans that are designed to rely on the
property-level cash flows for approximately 34.7% of the loans, and
mortgagor's credit profile and debt-to-income ratio, property
value, and the available assets, where applicable, for
approximately 20.5% of the loans. Since the loans were made to
investors for business purposes, they are exempt from the CFPB ATR
rules and Truth in Lending Act (TILA) and the Real Estate
Settlement Procedures Act (RESPA) Integrated Disclosure rule.

For investor loans originated to investors under debt service
coverage ratio (DSCR) programs (34.7% of the pool), lenders use
property-level cash flow or the DSCR to qualify borrowers for
income. The DSCR is typically calculated as market rental value
(validated by an appraisal report) divided by the principal,
interest, taxes, insurance, and association dues (PITIA).

Also, approximately 16.1% of the pool comprises residential
investor loans underwritten to the property-focused underwriting
guidelines. The loans were underwritten to program guidelines for
business-purpose loans where the lender generally expects the
property (or its value) and the borrower assets to be the primary
source of repayment. The lender reviews the mortgagor's credit
profile, though it does not rely on the borrower's income to make
its credit decision.

For this transaction, the Servicer will fund advances of delinquent
principal and interest (P&I) until loans become 180 days delinquent
or are otherwise deemed unrecoverable. Additionally, the Servicer
is obligated to make advances with respect to taxes, insurance
premiums, and reasonable costs incurred in the course of servicing
and disposing of properties (Servicing Advances). If the Servicer
fails in its obligation to make P&I advances, the Master Servicer
(Nationstar Mortgage LLC) will be obligated to fund such advances.
In addition, if the Master Servicer fails in its obligation to make
P&I advances, Citibank, N.A. (rated AA (low) with a Stable trend by
DBRS Morningstar) as the Paying Agent, will be obligated to fund
such advances. The Master Servicer and Paying Agent are only
responsible for P&I Advances; the Servicer is responsible for P&I
Advances and Servicing Advances.

The Sponsor, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class B-1 Notes, Class B-2 Notes, Class
B-3 Notes, and Class XS Notes, collectively representing at least
5% of the fair value of the Notes, to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.

On any date on or after the earlier of (1) the payment date
occurring in May 2025 or (2) on or after the payment date when the
aggregate stated principal balance of the mortgage loans is reduced
to less than or equal to 20% of the Cut-Off Date balance, the
Sponsor may terminate the Issuer (Optional Termination) by
purchasing the loans, any real estate owned (REO) properties, and
any other property remaining in the Issuer at the optional
termination price, specified in the transaction documents. After
such a purchase, the Sponsor will have to complete a qualified
liquidation, which requires a complete liquidation of assets within
the Trust and the distribution of proceeds to the appropriate
holders of regular or residual interests.

The Controlling Holder in the transaction is a majority holder (or
majority holders if there is no single majority holder) of the
outstanding Class XS Notes, initially, the Seller. The Controlling
Holder will have the option, but not the obligation, to repurchase
any mortgage loan that becomes 90 or more days delinquent under the
Mortgage Banker Association (MBA) Method (or in the case of any
mortgage loan that has been subject to a forbearance plan related
to the impact of the Coronavirus Disease (COVID-19) pandemic, on
any date from and after the date on which such loan becomes 90 or
more days delinquent under the MBA Method from the end of the
forbearance period) at the repurchase price (par plus interest),
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.

The transaction employs a sequential-pay cash flow structure with a
pro rata principal payment among the Class A-1 (sequentially to
class A-1A then to A-1B), A-2, and A-3 Notes (senior classes of
Notes) subject to certain performance triggers related to
cumulative losses or delinquencies exceeding a specified threshold
(Credit Event). Also, principal proceeds can be used to cover
interest shortfalls on the senior classes of Notes (IIPP) before
being applied sequentially to amortize the balances of the Notes.
For the Class A-3 Notes (only after a Credit Event) and for the
mezzanine and subordinate classes of notes, principal proceeds can
be used to cover interest shortfalls after the more senior tranches
are paid in full. Also, the excess spread can be used to cover
realized losses first before being allocated to unpaid Cap
Carryover Amounts due to Class A-1A down to Class A-3 Notes. Of
note, the interest and principal otherwise available to pay the
Class B-3 Notes interest and interest shortfalls may be used to pay
the Class A-1A and A-1B Cap Carryover amounts after the Class A-1A
and A-1B coupons step up by 100bps on and after the payment date in
June 2026. Also, the interest rate on the Class B-2 Notes drops to
0.00% from Net WAC Rate on and after the payment date in June 2026,
which helps to increase the amount of interest available to pay the
stepped-up coupon on Class A-1A and A-1B Notes.

Coronavirus Impact

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the coronavirus, the option to
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 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.


READY CAPITAL 2022-FL9: DBRS Gives Prov. B(low) Rating on G Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Ready Capital Mortgage Financing 2022-FL9,
LLC (the Issuer):

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

All trends are Stable.

The initial collateral consists of 25 short-term, floating-rate
mortgage assets with an aggregate cutoff date balance of $754.2
million secured by 75 mortgaged properties. The aggregate unfunded
future funding commitment of the future funding participations as
of the cutoff date is approximately $82.3 million. The holder of
the future funding companion participations, Ready Capital
Subsidiary REIT II, LLC, has full responsibility to fund the pari
passu future funding participations. The collateral pool for the
transaction is static with no ramp-up period or reinvestment
period. However, all or a portion of the pari passu future funding
participations are eligible to be acquired and held by the issuer
to become a part of the collateral, with the exception of the $10.5
million future funding participation associated with the Chronos
Portfolio loan. The Issuer has a limited right to use principal
proceeds to acquire pari passu future funding participations
subject to stated criteria during the Permitted Funded Companion
Participation Acquisition Period, which begins on the closing date
and ends on the payment date June 2024. Acquisitions of future
funding participations of $500,000 or greater will require rating
agency confirmation (RAC). Interest can be deferred for the Class
F, Class G, and Class H notes, and interest deferral will not
result in an event of default unless it occurs on the Final Rated
Maturity date. The priority of payments are paid sequentially,
starting with the highest-rated note.

As aforementioned, the aggregate remaining unfunded future funding
commitment of the future funding participations as of the cutoff
date is approximately $82.3 million. However, the $10.5 million
unfunded future funding tied to the Chronos Portfolio loan is not
eligible to become a part of this collateral as a related funded
companion participation as the participation control is under the
RCMF 2022-FL8 securitization and pursuant to the terms of that
certain indenture dated May 8, 2022. As such, the unfunded future
funding commitment as of the cutoff date for this transaction
totals $71.8 million.

Of the 75 properties, 71 are multifamily assets (95.7% of the
mortgage asset cutoff date balance), inclusive of one student
housing property—The Orchard (2.8% of the mortgage asset cutoff
date balance). The remaining properties are secured by one
industrial property (1.3%), and three self-storage properties
(3.0%). The property types reflect the current, and in some cases,
converted use as implanted by the owner's business plan being
executed.

The loans are mostly secured by cash-flowing assets, most of which
are in a period of transition with plans to stabilize and improve
the asset value. Three loans, representing 12.9% of the total pool
balance, are whole loans, and the other 22 loans (87.1% of the
mortgage asset cutoff date balance) are participations with
companion participations that have remaining future funding and/or
pari passu commitments totaling $223.5 million. The future funding
for each loan is generally to be used for capital expenditure to
renovate the property or build out space for new tenants. All of
the loans in the pool are interest only (IO) during their entire
initial terms and have floating interest rates initial indexed to
Libor or average Secured Overnight Financing Rate. There are seven
loans (41.3% of the pool) that are full-term IO through the fully
extended loan term. The remaining 18 loans are all IO through the
initial loan term and then amortize during all of the related
extension period(s). To determine a stressed interest rate over the
loan term, DBRS Morningstar used the one-month Libor index, which
was the lower of DBRS Morningstar's stressed rates that
corresponded to the remaining fully extended term of the loans and
the strike price of the interest rate cap with the respective
contractual loan spread added. The properties are often
transitioning with potential upside in cash flow; however, DBRS
Morningstar does not give full credit to the stabilization if there
are no holdbacks or if the other loan structural features are
insufficient to support such treatment. Furthermore, even if the
structure is acceptable, DBRS Morningstar generally does not assume
the assets will stabilize above market levels.

The transaction is sponsored by Ready Capital Corporation, a
publicly traded mortgage real estate investment trust, externally
managed by Waterfall Asset Management, LLC, a New York-based
SEC-registered investment advisor. The sponsor has strong
origination practices and substantial experience in originating
loans and managing commercial real estate properties, with an
emphasis on small business lending. The sponsor has provided more
than $13.7 billion in capital across all of its commercial real
estate lending programs through April 29, 2022 (approximately $2.4
billion year-to-date), and generally lends from $2.0 million to
$45.0 million for commercial real estate loans.

The Depositor, Ready Capital Mortgage Depositor VII, LLC, which is
a majority-owned affiliate and subsidiary of the sponsor, expects
to retain the Class F, Class G, and Class H Notes, collectively
representing the most subordinate 18.75% of the transaction by
principal balance.

The pool is mostly composed of multifamily assets (95.7% of the
mortgage asset cutoff date balance). Historically, multifamily
properties have defaulted at much lower rates than other property
types in the overall CMBS universe.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that a related loan sponsor will not successfully execute
its business plans and that the higher stabilized cash flow will
not materialize during the loan term, particularly with the ongoing
Coronavirus Disease (COVID-19) pandemic and its impact on the
overall economy. The loan sponsor's failure to execute the business
plans could result in a term default or the inability to refinance
the fully funded loan balance. DBRS Morningstar made relatively
conservative stabilization assumptions and, in each instance,
considered the business plans to be rational and the loan structure
to be sufficient to substantially implement such plans. In
addition, DBRS Morningstar analyzes loss severity given default
(LGD) based on the as-is credit metrics, assuming the loan is fully
funded with no net cash flow or value upside. Future funding
companion participations will be held by affiliates of Ready
Capital Subsidiary REIT II, LLC and have the obligation to make
future advances. Sutherland Partners, L.P. agrees to indemnify the
Issuer against losses arising out of the failure to make future
advances when required under the related participated loan.
Furthermore, Sutherland Partners, L.P. will be required to meet
certain liquidity requirements on a quarterly basis.

Six loans, comprising 31.3% of the trust balance, are in DBRS
Morningstar MSA Group 1. Historically, loans in this MSA Group have
demonstrated higher probability of defaults (PODs) and LGDs,
resulting in higher individual loan-level expected losses than the
weighted average (WA) pool expected loss. Two of these loans (8.4%
of the pool) are in DBRS Morningstar Market Rank 6 or higher.
Additionally, the 31.3% concentration in MSA Group 1 is less than
the 49.9% average in the past three DBRS Morningstar-rated RCMF
securitizations (FL8, FL7, and FL6).

Six loans, representing 23.7% of the trust balance, have DBRS
Morningstar As-Is LTVs (fully funded loan amount) greater than
85.0%, which represents significantly high leverage. Three of those
loans, 20.1% of the trust balance, are among the 10 largest loans
in the pool. All loans were originated in 2021 or 2022 and have
sufficient time to reach stabilization. Additionally, all the loans
have DBRS Morningstar Stabilized LTVs of 65.6% or less, indicating
improvements to value based on the related sponsors' business
plans. The WA DBRS Morningstar Stabilized LTV for the pool is
67.8%, and no loans have a DBRS Morningstar Stabilized LTV greater
than 83.7%.

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



ROCKFORD TOWER 2022-2: Fitch Assigns 'BB' Rating on Class E Debt
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Rockford
Tower CLO 2022-2, Ltd.

   DEBT                RATING
   ----                ------
Rockford Tower CLO 2022-2, Ltd.

A-1                   LT   NRsf     New Rating

A-2                   LT   NRsf     New Rating

B                     LT   AAsf     New Rating

C                     LT   NRsf     New Rating

D-1                   LT   BBB+sf   New Rating

D-2                   LT   BBB-sf   New Rating

E                     LT   BBsf     New Rating

F                     LT   NRsf     New Rating

Subordinated Notes    LT   NRsf     New Rating

TRANSACTION SUMMARY

Rockford Tower CLO 2022-2, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Rockford Tower Capital Management, L.L.C. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400.0 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', 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
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 75.3%. 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 2.0-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 scenario, the class B, D-1, D-2 and
E notes can withstand default rates of up to 49.9%, 40.9%, 36.2%
and 31.2%, respectively, assuming portfolio recovery rates of
46.2%, 64.9%, 64.9% and 70.0% in Fitch's 'AAsf', 'BBB+sf', 'BBB-sf'
and 'BBsf' scenarios, respectively.

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
a metric. The results under these sensitivity scenarios are between
'BB+sf' and 'AAsf' for class B, between less than 'B-sf' and
'BBB+sf' for class D-1, between less than 'B-sf' and 'BBB-sf' for
class D-2, and between less than 'B-sf' and 'BBsf' for class E.

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, 'A+sf' for class D-1 notes, between 'Asf' and 'A+sf'
for class D-2 notes, and 'BBB+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 its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


ROCKFORD TOWER 2022-2: Moody's Assigns B3 Rating to Class F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
notes issued by Rockford Tower CLO 2022-2, Ltd. (the "Issuer" or
"Rockford 2022-2")

Moody's rating action is as follows:

US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)

US$16,000,000 Class A-2 Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)

US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2033, Assigned A3 (sf)

US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2033, 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.

Rockford 2022-2 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans, cash, and eligible investments, and up to 10%
 of the portfolio may consist of second lien loans, unsecured
loans and permitted non-loan assets. The portfolio is approximately
97.5% ramped as of the closing date.

Rockford Tower Capital Management, L.L.C. (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 two 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 four 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: 65

Weighted Average Rating Factor (WARF): 2763

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 6.4 years (Actual+1)

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.


RR 21 LTD: Moody's Assigns B3 Rating to $2MM Class E Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by RR 21 LTD (the "Issuer" or "RR 21").

Moody's rating action is as follows:

US$252,000,000 Class A-1a Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$2,000,000 Class E Secured Deferrable Floating Rate Notes due
2035, 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.

RR 21 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans 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 100%
ramped as of the closing date.

Redding Ridge 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 seven other
classes of secured notes and 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: 50

Weighted Average Rating Factor (WARF): 2924

Weighted Average Spread (WAS): SOFR + 3.35%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 48.0%

Weighted Average Life (WAL): 8.27 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.


RR 21: Fitch Assigns 'BB' Rating on Class D Debt
------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to RR 21
Ltd.

   DEBT              RATING
   ----              ------
RR 21 LTD

A-1a                LT   NRsf     New Rating

A-1b                LT   AAAsf    New Rating

A-2                 LT   AAsf     New Rating

B-1                 LT   Asf      New Rating

B-2a                LT   A+sf     New Rating

B-2b                LT   Asf      New Rating

C                   LT   BBB-sf   New Rating

D                   LT   BBsf     New Rating

E                   LT   NRsf     New Rating

Subordinate Notes   LT   NRsf     New Rating

TRANSACTION SUMMARY

RR 21 Ltd. (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by Redding Ridge Asset
Management LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $400 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 CE and standard U.S. CLO structural features.

Asset Security (Positive): The indicative portfolio consists of
97.0% first-lien senior secured loans, and has a weighted average
recovery assumption of 74.34%. 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 5.0-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, the class A-1b, A-2, B-1,
B-2a, B-2b, C and D notes can withstand default rates of up to
57.5%, 53.6%, 47.9%, 49.2%, 47.9%, 38.4% and 35.5% assuming
recoveries of 37.2%, 45.5%, 55.2% ,55.0%, 55.2%, 64.5% and 69.7%,
respectively.

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
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1b, between 'BB+sf' and 'AAsf' for
class A-2, between 'Bsf' and 'Asf' for class B-1, between 'B+sf'
and 'A+sf' for class B-2a, between 'Bsf' and 'Asf' for class B-2b,
between less than 'B-sf' and 'BBB-sf' for class C, and between less
than 'B-sf' and 'BBsf' for class D.

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

Upgrade scenarios are not applicable to the class A-1b notes, as
these notes are in the highest rating category of 'AAAsf'.
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 A-2 notes, between 'A+sf' and 'AA+sf' for class B-1 notes ,
between 'A+sf' and 'AA+sf' for class B-2a notes, between 'A+sf' and
'AA+sf' for class B-2b notes, between 'A-sf' and 'A+sf' for class C
notes, and 'BBB+sf' for 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.

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.


SDART 2021-3: Moody's Hikes Rating on Class E Notes From Ba1
------------------------------------------------------------
Moody's Investors Service has upgraded the Class E bond issued by
Santander Drive Auto Receivables Trust (SDART) 2021-1 and Santander
Drive Auto Receivables Trust (SDART) 2021-3. The bonds are backed
by pools of retail automobile loan contracts originated and
serviced by Santander Consumer USA Inc.

The complete rating actions are as follows:

Issuer: Santander Drive Auto Receivables Trust 2021-1

Class E Notes, Upgraded to A3 (sf); previously on May 6, 2022
Upgraded to Baa1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-3

Class E Notes, Upgraded to Baa3 (sf); previously on May 6, 2022
Upgraded to Ba1 (sf)

RATINGS RATIONALE

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

Moody's updated lifetime cumulative net loss expectation is 8.5%
for Santander Drive Auto Receivables Trust 2021-1 and 11% for
Santander Drive Auto Receivables Trust 2021-3. The loss
expectations reflect updated performance trends on the underlying
pools.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
July 2022.

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

Up

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

Down

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


SHELTER GROWTH 2022-FL4: DBRS Gives Prov. B(low) Rating on G Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Shelter Growth CRE 2022-FL4 Issuer Ltd (SGCP
2022-FL4):

-- Class A 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 collateral pool consists of 23 short-term, floating-rate
mortgage assets with an aggregate cut-off date balance of $400.7
million secured by 24 properties. The aggregate unfunded future
funding commitment of the future funding participations as of the
cut-off date is approximately $49.8 million. The holder of the
future funding companion participations, Shelter Growth Master
Commercial Real Estate Credit Fund B IV LP (Credit Fund B Seller),
Shelter Growth Master Term Fund B III LP (Term Fund B Seller or the
Sponsor), Shelter Growth Capital Partners LLC (SGCP), or another
affiliate or entity managed by or under common management with SGCP
has full responsibility to fund the future funding companion
participations. The collateral pool for the transaction is static
with no ramp-up period or reinvestment period. However, the Issuer
has the right to use principal proceeds to acquire funded pari
passu companion participations subject to stated Acquisition
Criteria during the Permitted Funded Companion Participation
Acquisition period, which ends on the payment date in December
2023. Acquisition of future funding participations (when funded) of
$500,000 or greater will require rating agency confirmation (RAC).

Of the 24 properties, 23 are predominantly multifamily assets
(92.8% of the mortgage asset cut-off date balance). The remaining
loan (Phoenix Huron Campus) is secured by a mixed-use asset (7.2%
of the mortgage asset cut-off date balance).

The loans are mostly secured by cash-flowing assets, most of which
are in a period of transition with plans to stabilize and improve
the asset's value. Two loans, Phoenix Huron Campus and The Palmer
(1.4% of the cut-off balance) have negative DBRS Morningstar As-Is
Net Cash Flows (NCFs). Five are whole loans (18.5% of the mortgage
asset cut-off date balance), while the other 18 loans (81.5% of the
mortgage asset cut-off date balance) are participations with
companion participations that have remaining future funding
commitments totaling approximately $49.8 million. The future
funding for each loan is generally to be used for capex to renovate
the property or build out space for new tenants.

All of the loans in the pool have floating interest rates initially
indexed to either Libor (16 loans; 77.3% of the aggregate mortgage
asset cut-off date balance) or Secured Overnight Financing Rate
(SOFR) (seven loans; 22.7% of the aggregate mortgage asset cut-off
date balance). All 23 loans are interest only (IO) through their
initial terms; 22 loans are IO through all extension options (96.8%
of the mortgage asset cut-off date balance), while the remaining
loan (3.2% of the mortgage asset cut-off date balance) provides for
amortization using a fixed amortization schedule during the related
extension period(s). As such, to determine a stressed interest rate
over the loan term, DBRS Morningstar used the one-month Libor
index, which was the lower of DBRS Morningstar's stressed rates
that corresponded to the remaining fully extended term of the loans
and the strike price of the interest rate cap with the respective
contractual loan spread added. The properties are often
transitioning with potential upside in cash flow; however, DBRS
Morningstar does not give full credit to the stabilization if there
are no holdbacks or if the other loan structural features are
insufficient to support such treatment. Furthermore, even if the
structure is acceptable, DBRS Morningstar generally does not assume
the assets will stabilize above market levels.

The transaction is sponsored by Term Fund B Seller, an affiliate of
SGCP and SG Capital Partners LLC (SG Capital). As of April 1, 2022,
SG Capital has funded $3.6 billion of loans and invested in more
than 500 individual credit commercial mortgage-backed securities
(CMBS) bonds since 2015, totaling $6.5 billion of market value in
purchases as of April 1, 2022. SGCP was founded in 2014 and has
approximately $1.1 billion in assets under management as of April
1, 2022, including uncalled capital commitments. SGCP 2022-FL4 will
be SG Capital's fourth commercial real estate collateralized loan
obligation (CRE CLO) transaction; of the three prior securitized
transactions, SGCP 2018-FL1 was called in January 2021; a notice to
call SGCP 2019-FL2 has been put in and the transaction is expected
to be collapsed in June 2022; and SGCP 2021-FL3 is performing.

A wholly owned subsidiary (SGCP Holder 1) of Term Fund B Seller
will acquire the Class F and Class G Notes at closing, and Shelter
Growth Term Fund III CRE 2022-FL4 Holder LLC, which is jointly
owned by the Sponsor, as majority owner, and Credit Fund B Seller
will purchase 100% of the Preferred Shares, collectively
representing the most subordinate 20.1% of the transaction by
principal balance.

The pool is mostly composed of multifamily assets (92.8% of the
mortgage asset cut-off date balance). Historically, multifamily
properties have defaulted at much lower rates than other property
types in the overall CMBS universe.

All of the loans in the pool were originated after the onset of the
Coronavirus Disease (COVID-19) pandemic, resulting in the pool's WA
remaining fully extended term of 52 months, which gives the
sponsors enough time to execute their respective business plans
without risk of imminent maturity. In addition, the appraisal and
financial data provided are reflective of conditions after the
onset of the pandemic.

There are five properties, comprising 32.6% of the mortgage asset
cut-off date balance, that were built after 2017. Because many of
the loans are backed by recently built collateral, approximately
31.2% of the pool received a property quality score of either Above
Average or Average +.

There are 21 loans, or 74.2% of the pool balance, that represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, resulting
in a higher sponsor cost basis in the underlying collateral, and
aligns the financial interests between the Sponsor and the lender.

The DBRS Morningstar Weighted-Average (WA) Stabilized Loan-to-Value
Ratio (LTV) is lower than those of many CRE CLO transactions
recently rated by DBRS Morningstar. Thirteen loans (out of a DBRS
Morningstar modified loan count of 20), representing 58.2% of the
total trust balance, have a DBRS Morningstar Stabilized LTV of less
than 70.0%, which decreases refinance risk at maturity.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that a related loan sponsor will not successfully execute
its business plan and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. The
loan sponsor's failure to execute the business plan could result in
a term default or the inability to refinance the fully funded loan
balance. However, DBRS Morningstar sampled a large portion of the
loans, representing 83.0% of the mortgage asset cut-off date
balance. In addition, DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plans to be rational and the loan structure to be
sufficient to substantially implement such plans. In addition, DBRS
Morningstar analyzes loss given default (LGD) based on the as-is
credit metrics, assuming the loan is fully funded with no NCF or
value upside.

The 10 largest loans in the pool make up a significant portion of
the entire pool at approximately 66.0% of the mortgage asset
cut-off date balance. Additionally, the pool (based on the DBRS
Morningstar modified loan count of 20 loans) has a relatively low
Herfindahl score of 13.1, which is below that of recent CRE CLO
transactions. Furthermore, five loans, representing 18.4% of the
cut-off date balance, are in Tulsa and Oklahoma City, Oklahoma, and
have related sponsors. However, the largest loan in the pool, City
Club Crossroads KC, makes up approximately 16.3% of the cut-off
date balance and exhibits the lowest expected loss level in the
pool. In addition, DBRS Morningstar combined the Oklahoma loans
with the related sponsor into two loan groups representing 9.6% and
8.8% of the cut-off balance.

Ubiquity Solar Inc. (Ubiquity), which occupies 21.0% of the net
rentable area (NRA) at Phoenix Huron Campus under three leases
expiring between June 30, 2026, and September 30, 2026, has
termination options through July 31, 2022, covering 21.0% of the
NRA at the mortgaged property, if it fails to receive $25,000,000
in irrevocable funding commitments, an approved incentive offer
from the New York State Empire State Development agency, and
obtaining operational permits from the local municipality for
tenant operations. As of a May 2022 update, only one of three
contingencies has been met. If the contingencies are not met and
Ubiquity exercises its termination option, there could be a
negative impact of more than $3.7 million, or 19.5% of annual gross
potential rent, on the DBRS Morningstar As-Stabilized NCF. However,
according to the Issuer, the tenant is on track to file an initial
public offering by the end of the second quarter of 2022, which
should help it achieve its funding commitment target. In addition,
DBRS Morningstar modeled the loan with a DBRS Morningstar Business
Plan Score (BPS) adjustment to increase the DBRS Morningstar BPS to
3.5 from the model-derived 2.68. A higher DBRS Morningstar BPS
indicates more execution risk for a sponsor's business plan and
impacts the probability of default (POD), and ultimately the
expected loss, of a loan in the model. Further, the loan is
structured with a $3.7 million upfront debt service reserve to
offset the potential negative impact on the property's NCF.

Eleven loans (Oklahoma #10, #12, and #15 Roll Up and Oklahoma #7
and #9 Roll Up), representing 52.6% of the pool balance, are
secured by properties with DBRS Morningstar Market Ranks of 3 or 4,
which represent areas that are generally suburban in nature and
have historically had higher default and loss rates. Additionally,
11 loans, representing 34.8% of the pool balance, are secured by
properties with DBRS Morningstar Market Ranks of 1 or 2, which are
indicative of more rural or tertiary settings. No loans are within
DBRS Morningstar Market Ranks 7 or 8, and the pool's DBRS
Morningstar WA Market Rank of 3.5 indicates a high concentration of
properties in less densely populated areas. However, DBRS
Morningstar analyzed properties in less densely populated markets
with higher PODs and LGDs than those in more urban markets.

All loans have floating interest rates, and all loans are IO during
the original term with remaining initial terms ranging from 19
months to 32 months. However, all loans are short-term loans and,
even with extension options, have a fully extended maximum loan
term of five years. In addition, for the floating-rate loans, DBRS
Morningstar used the one-month Libor index, which is based on the
lower of a DBRS Morningstar stressed rate that corresponded to the
remaining fully extended term of the loans or the strike price of
the interest rate cap with the respective contractual loan spread
added to determine a stressed interest rate over the loan term.
Further, the borrowers of all floating-rate loans have purchased
Libor rate caps that result in mortgage rate caps ranging from
3.50% to 6.75% to protect against rising interest rates through the
duration of the loan term. In addition to the fulfillment of
certain minimum performance requirements, exercise of any extension
options would also require the purchase of interest rate cap
protection through the duration of the respectively exercised
option.

The current transaction Note benchmark is Term SOFR, which provides
an indication of the one-month forward-looking measurement of SOFR
based on market expectations implied from derivatives markets.
Because Term SOFR is a relatively new rate, the Notes will likely
have no established trading market when issued, and an established
trading market may never develop or may not be very liquid. Market
terms for debt securities linked to Term SOFR, such as the spread
over the rate reflected in interest rate provisions, may evolve
over time, and trading prices of the Notes may be lower than those
of later-issued Term SOFR-based debt securities as a result.
Similarly, if Term SOFR does not prove to be widely used in
securities like the Notes, the trading price of the Notes may be
lower than those Notes linked to rates that are more widely used.
In the event that Term SOFR is discontinued as specified in the
definition of Benchmark Transition Event or is not available, a
Benchmark Replacement will occur. If a Benchmark Transition Event
occurs with respect to any Benchmark, such Benchmark will be
replaced with the applicable Benchmark Replacement, as determined
by the Designated Transaction Representative in accordance with the
procedures and notice provisions set forth in the Indenture.
Noteholders will not have any right to approve or disapprove of any
changes as a result of a Benchmark Transition Event, the selection
of a Benchmark Replacement or Benchmark Replacement Adjustment, or
the implementation of any Benchmark Replacement Conforming Changes
(as those terms are defined in the offering documents), and
Noteholders will be deemed to have agreed to each of the foregoing
determinations and to have waived and will be deemed to have
released any and all claims relating to any such determinations.

In the event of a Benchmark Replacement, the new benchmark under
the Asset Documents may not be based on the same base rate or match
the applicable Benchmark Replacement at which interest on the Notes
will accrue. Currently, some of the Mortgage Loans are based on
Libor and some are based on SOFR. The triggers for a conversion
from the benchmark under the Asset Documents may also differ from
each other and that under the Indenture. Mismatches between
SOFR-based rates, and between SOFR-based rates and other rates, may
cause economic inefficiencies, particularly if market participants
seek to hedge one kind of SOFR-based rate by entering into hedge
transactions based on another SOFR-based rate or another rate.

Consistent with the ongoing evolution of Administrative
Modifications and Criteria-Based Modifications, the transaction
permits the Directing Holder to cause the Special Servicer to
effectuate a wider range of Administrative Modifications and
Criteria-Based Modifications subject to certain conditions; the
Servicing Standard does not apply to such Administrative
Modifications and Criteria-Based Modifications. A Criteria-Based
Modification is defined as one that would result in a change in
interest rate, a delay in the required timing of any payment of
principal, an increase in the principal balance of the related
loan, the related sponsors incurring additional indebtedness in the
form of a mezzanine loan or preferred equity, or a change of
maturity date or extended maturity date of the related loan. The
transaction limits the number of Criteria-Based Modifications to
five subject to, among other conditions, satisfaction of the Par
Value Test, no event of default having occurred or occurring, and
an RAC from DBRS Morningstar. However, the five Criteria-Based
Modifications allowed in this transaction are generally less than
the number allowed in recent CRE CLO transactions.

ENVIRONMENTAL (E) FACTORS

Two loans in the pool, City Club Crossroads KC and Phoenix Huron
Campus, had Environmental factors that had a relevant effect on the
credit analysis, as a result of having a recognized environmental
condition (REC) and a controlled recognized environmental condition
(CREC), respectively. In the case of City Club Crossroads KC, the
REC is due to the presence of volatile organic compounds in the
soil and groundwater at levels slightly higher than the Missouri
Department of Natural Resources (MDNR) thresholds, which represent
concentrations below which exposure would not create a risk to
human health. In the case of Phoenix Huron Campus, the CREC is a
result of certain chemicals (used by IBM (a former owner/operator)
to clean metal parts used in the manufacture of mainframe
computers) leaching into the groundwater. In addition, three
inactive storage tanks were identified on the property that were
not properly removed. However, for the City Club Crossroads KC
property, the affected soil has been removed, albeit without MDNR
oversight, and there is environmental insurance in place. In
addition, DBRS Morningstar modeled the loan with a cap rate
adjustment and a value lower than that concluded by the appraiser.
In the case of Phoenix Huron Campus, IBM continues to be
responsible for the remediation of the environmental impacts on the
groundwater. The previous owner assigned IBM's indemnity to the
related loan sponsor (but not directly to the lender) and the
sponsor indemnified the lender, and, separately, $625,000 was
reserved upfront to finance the costs of decommissioning the three
250,000-gallon inactive storage tanks on the property and
installing secondary containment in the two 10,000-gallon tanks
that do not have secondary containment. Furthermore, DBRS
Morningstar modeled the Phoenix Huron Campus property with a Below
Average property quality score.

There were no Social/Governance factor(s) that had a significant or
relevant effect on the credit analysis.

The DBRS Morningstar sample included 17 loans, and site inspections
were performed at all of the sampled properties, representing 83.0%
of the pool by mortgage asset cut-off date balance. The photos and
content in the site inspection summaries in the related Presale
Report refer to the property and market conditions at the time of
the inspection.

DBRS Morningstar completed a cash flow review and cash flow
stability and structural review on 17 of the 23 loans, representing
83.0% of the pool by mortgage asset cut-off date balance. Overall,
the Issuer's cash flows were generally recent, from early or
mid-2021, and reflective of recent conditions. For the loans not
subject to the NCF review, DBRS Morningstar applied NCF variances
of -37.7% and -5.0% to the Issuer's As-Is and Stabilized NCFs,
respectively.

DBRS Morningstar applied upward cap rate adjustments to eight
loans—City Club Crossroads KC, The Pier Conway, Residence at Lake
Highlands Apartments, Amalie Point & Greenbriar Apartments, The
Mason, Cityscape Arts, Park 7, and The Centennial—comprising
48.2% of the cut-off date pool balance. DBRS Morningstar adjusted
values to reflect its view of the respective markets and the
inherent risk associated with the sponsors' business plans.

One loan, City Club Crossroads KC, has additional debt in the form
of a B note. All subordinate debt is held by the Issuer. No loans
in the pool are permitted to obtain additional future debt.

Eighteen loans, representing 81.5% of the initial pool balance,
have a future funding component. The aggregate amount of future
funding remaining is approximately $49.8 million, with future
funding amounts per loan ranging from $420,000 to $12.1 million.
The proceeds necessary to fulfill the future funding obligations
will primarily be drawn from a committed warehouse line and will be
initially held outside the trust but will be pari passu with the
trust participations. The future funding is generally to be used
for property renovations and leasing costs. It is DBRS
Morningstar's opinion that the business plans are generally
achievable, given market conditions, recent property performance,
and adequate available future funding (or upfront reserves) for
planned renovations and leasing costs.

There are no leasehold loans in the pool.

Two loans—Phoenix Huron Campus and Amalie Point & Greenbriar
Apartments—allow for the release of a specific portion of the
mortgaged collateral, subject to the payment of a release price
that varies across the loans. For Phoenix Huron Campus, the
borrower shall have the ability to release an individual property
from the collateral, subject but not limited to a release price of
125% of allocated loan amount (ALA) in connection with the sale or
100% of the net sale proceeds if greater. For Amalie Point &
Greenbriar Apartments, the borrower shall have the ability to
release the Greenbriar individual property from the collateral,
subject but not limited to a release price of 115% of ALA in
connection with the sale or 100% of the net sale proceeds if
greater.

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



SIERRA TIMESHARE 2022-2: Fitch Gives BB(EXP) Rating on Cl. D Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
notes issued by Sierra Timeshare 2022-2 Receivables Funding LLC
(2022-2).

   DEBT        RATING
   ----        ------
Sierra Timeshare 2022-2 Receivables Funding LLC

A           LT   AAA(EXP)sf   Expected Rating

B           LT   A(EXP)sf     Expected Rating

C           LT   BBB(EXP)sf   Expected Rating

D           LT   BB(EXP)sf    Expected Rating

KEY RATING DRIVERS

Borrower Risk - Shifted Collateral Composition: Approximately
70.96% of Sierra 2022-2 consists of WVRI originated loans; the
remainder of the pool comprises WRDC loans. Fitch has determined
that, on a like-for-like FICO basis, WRDC's receivables perform
better than WVRI's. The weighted average (WA) original FICO score
of the pool is 733, slightly higher than 729 in Sierra 2022-1.
Additionally, compared to the prior transaction, the 2022-2 pool
has overall stronger FICO segment concentrations but slightly
higher concentration in WVRI loans.

Forward-Looking Approach on Cumulative Gross Default (CGD) Proxy
— Increasing CGDs: Similar to other timeshare originators, T+L's
delinquency and default performance exhibited notable increases in
the 2007-2008 vintages, stabilizing in 2009 and thereafter.
However, more recent vintages, from 2014 through 2019, have begun
to show increasing gross defaults versus prior vintages dating back
to 2009, partially driven by increased paid product exits. Fitch's
CGD proxy for this pool is 22.50% (up from 22.25% for 2022-1).
Given the current economic environment and consistent with the
prior transaction, Fitch used proxy vintages that reflect
recessionary periods along with recent performance, specifically
2007-2009 and 2016-2019.

Structural Analysis — Shifting CE: Initial hard CE for the class
A, B, C and D notes is 66.1%, 44.5%, 21.7% and 12.0%, respectively.
CE is lower for class A but higher for the class B through D notes
relative to 2022-1, mainly due to higher overcollateralization (OC)
and lower excess spread as compared to the prior transaction. Hard
CE comprises OC, a reserve account and subordination. Soft CE is
also provided by excess spread and is expected to be 7.69% per
annum. Loss coverage for all notes is able to support default
multiples of 3.25x, 2.25x, 1.50x and 1.25x for 'AAAsf', 'Asf',
'BBBsf' and 'BBsf', respectively.

Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: T+L has demonstrated sufficient abilities as
an originator and servicer of timeshare loans. This is evidenced by
the historical delinquency and loss performance of securitized
trusts and of the managed portfolio.

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.

Therefore, 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 GCD and prepayment sensitivities
include 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 the 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 we have 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 (see "What a Stagflation Scenario Would Mean
for Global Structured Finance" at www.fitchratings.com).

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 expected ratings would be maintained for the
class A note at a stronger rating multiple. For class B, C and D
notes, the multiples would increase resulting in potential upgrade
of approximately one rating category for each of the subordinate
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

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 recomputation of
certain characteristics with respect to 150 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.


SOHO TRUST 2021-SOHO: DBRS Confirms B Rating on 2 Classes of Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2021-SOHO issued by SOHO Trust
2021-SOHO as follows:

-- Class A at A (low) (sf)
-- Class B at BBB (low) (sf)
-- Class C at BB (low) (sf)
-- Class D at B (sf)
-- Class HRR at B (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which benefits from the collateral property's
desirable location, the strong sponsorship and high concentration
of investment-grade tenancy, and the limited tenant rollover during
the loan term.

The collateral consists of the borrower's fee-simple interest in a
786,891-square-foot (sf), Class A office/retail property known as
One SoHo Square, comprising two adjacent mid-rise office buildings
separated by an adjoined 19-storey glass tower on the northwest
corner of Sixth Avenue and Spring Street in the SoHo neighborhood
in Manhattan, New York. The submarket has seen an increased demand
in leasing over the past few years, most notably from technology
companies, with Google, Facebook, and Amazon taking space in the
vicinity. The sponsor, Stellar Management (Stellar), purchased the
assets in 2012 and subsequently invested approximately $268.0
million in base building upgrades to reposition the asset. Stellar
has more than 35 years of ownership and management experience in
New York City and currently owns more than 2.0 million sf of office
space, and more than 12,000 residential units across 100 buildings
in New York City and Miami.

Whole loan proceeds of $785.0 million comprise 23 promissory notes:
20 senior A notes totalling $470.0 million and three junior B notes
totalling $315.0 million. The subject transaction totals $316.0
million and consists of three senior A notes with an aggregate
principal balance of $1.0 million and the three junior B notes with
an aggregate principal balance of $315.0 million. The remaining
companion senior A notes are securitized in other transactions not
rated by DBRS Morningstar. Additionally, the mortgage lenders
provided a $120.0 million mezzanine loan for a total debt of $905.0
million. The transaction represents a cash-in refinance of the
existing debt on the property, and the loan will be used to pay off
the existing debt of approximately $900.0 million and pay closing
costs. The loan is interest only throughout its seven-year loan
term.

The loan benefits from its investment-grade tenancy, including the
three largest tenants: Flatiron Health (Flatiron) (29.0% of the net
rentable area (NRA), expiring February 2031), Aetna Inc. (13.5% of
the NRA, expiring July 2029), and MAC Cosmetics (11.3% of the NRA,
expiring March 2034). In addition, five tenants, collectively
representing 59.8% of the NRA, are headquartered at the property
and have long-term leases. These tenants are Flatiron; MAC
Cosmetics; Warby Parker (10.6% of the NRA, expiring January 2025);
Glossier (5.0% of the NRA, expiring April 2028); and DoubleVerify,
Inc. (DoubleVerify; 3.9% of the NRA, expiring November 2023). There
is minimal rollover risk with only 22.3% of the NRA scheduled to
roll throughout the loan term. The earliest lease expiration, Warby
Parker, is scheduled to expire January 2025, and only 13.8% of the
NRA is scheduled to roll by YE2027. DoubleVerify has a lease
expiration in November 2023; however, Flatiron has already executed
a lease for the space through February 2031.

Two tenants, Flatiron and Juul Labs (Juul; 6.9% of the NRA), have
space marketed for sublease. Juul listed its entire space for
sublease, with Flatiron initially putting all of its space in the
West building (48.7% of its space) up for sublease as the company
had strategically overleased with plans to ultimately grow into its
space but later reduced the square footage listed for sublease to
less than 15.0% of the NRA. As of Q1 2022, CB Richard Ellis
reported a vacancy rate of 9.2% for Class A office properties in
the Hudson Square/SoHo submarket, and no new inventory has been
added to the submarket within the past year.

The all-in DBRS Morningstar loan-to-value ratio, inclusive of the
$120 million mezzanine debt, is high at 109.9%. The high leverage
point could result in an elevated refinance risk and loss
severities in the event of default. Mitigating this risk is the
property's prime location, which attracts high-quality tenants, and
strong submarket fundamentals.

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


SREIT TRUST 2021-FLWR: DBRS Confirms B(low) Rating on Cl. F Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2021-FLWR issued by SREIT Trust
2021-FLWR as follows:

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

All trends are Stable. The rating confirmations and Stable trends
reflect a deal that is early in its lifecycle with limited
reporting and no changes to the performance of the underlying
portfolio from issuance.

The trust consists of a single mortgage loan, secured by the
borrower's fee-simple interests in a portfolio of 16 Class A
multifamily properties totaling 5,260 units across 11 unique
metropolitan statistical areas (MSAs) in six states in the
southeastern United States. The transaction closed in July 2021 and
there has been minimal updated financial reporting. Rent rolls,
dated as of December 31, 2021, for each of the properties reported
a weighted average (WA) occupancy rate of 95.3%, which is generally
in line with the portfolio's issuance occupancy rate of 96.2%. The
servicer reported a YE2021 net cash flow (NCF) of $45.2 million,
compared with the issuer's $44.8 million and DBRS Morningstar's
issuance NCF of $41.3 million. The YE2021 WA debt service coverage
ratio (DSCR) was 3.49 times (x) compared with 3.17x at issuance,
with the increase primarily attributed to the floating interest
rate, which resulted in an 8.4% decline in the debt service amount
from the issuer's figure.

The loan has a two-year term with the initial maturity date in July
2023, but is also subject to three one-year extension options. The
interest-only (IO) loan has a floating interest rate based on Libor
plus 1.60%. To hedge exposure to Libor, the borrower entered into
an interest rate cap agreement that has a strike price of 1.00% and
a five-year term, consistent with the fully extended loan maturity.
The loan has a partial pro rata/sequential-pay structure, which
allows for pro rata paydowns across the capital structure for the
first 20% of the unpaid principal balance. The borrower can release
individual properties subject to customary debt yield and
loan-to-value ratio (LTV) tests. The prepayment premium for the
release of individual assets is 105.0% of the allocated loan amount
(ALA) on the first 15.0% of the original principal balance, and
110.0% of the ALA for the release of individual assets thereafter,
which DBRS Morningstar considers to be weaker than a generally
credit-neutral standard of 115.0%.

The transaction benefits from experienced sponsorship in Starwood
Real Estate Income Trust (Starwood), a private investment company
with significant ownership and management experience in commercial
real estate across the world. The borrower, a Starwood affiliate,
used loan proceeds of $796.5 million, along with borrower equity of
$387.5 million, to acquire the portfolio for approximately $1.09
billion ($216,300 per unit). At issuance, DBRS Morningstar
estimated the value of the portfolio at approximately $660.4
million ($125,556 per unit), implying a DBRS Morningstar LTV of
120.6%, which is substantial. To account for the high leverage,
DBRS Morningstar reduced its LTV benchmark targets by 2.5% across
the capital structure. The high leverage point and the lack of
scheduled amortization pose potentially elevated refinance risk at
loan maturity, however, the DBRS Morningstar LTV on the last dollar
of rated debt is much lower at 98.5%.

The underlying properties were constructed between 2006 and 2017,
and generally exhibit high-quality finishes and comprehensive
amenities. The properties are located in generally strong,
high-growth markets, with geographic concentrations in Texas and
Florida representing 78.2% of the total units and 76.8% of the
total purchase price combined. From a loan balance perspective, the
portfolio's ALA is not heavily concentrated on one particular
asset. The average allocated purchase price is 6.3% across the
portfolio, with only one property accounting for more than 10% of
the total purchase price. Furthermore, only the Travesia asset
(9.5% of ALA) accounted for more than 10% of the total portfolio's
YE2021 NCF at 10.2%.

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



STARWOOD MORTGAGE 2022-4: Fitch Assigns B- Rating on B-2-RR Debt
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to Starwood Mortgage
Residential Trust 2022-4.

   DEBT       RATING                   PRIOR
   ----       ------                   -----
STAR 2022-4

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-RR     LT    B-sf    New Rating    B-(EXP)sf

B-3-1-RR   LT    NRsf    New Rating    NR(EXP)sf

B-3-2-RR   LT    NRsf    New Rating

XS-RR      LT    NRsf    New Rating    NR(EXP)sf

A-IO-S     LT    NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed certificates to be
issued by Starwood Mortgage Residential Trust 2022-4, series 2022-4
(STAR 2022-4), as indicated above. The certificates are supported
by 673 loans with a balance of approximately $357.4 million as of
the cutoff date. This is the fourth Fitch-rated STAR transaction in
2022 and the tenth STAR transaction Fitch has rated since 2020.

The certificates are secured primarily by mortgage loans originated
by third-party originators, with Luxury Mortgage Corporation,
HomeBridge Financial Services, Inc. and CrossCountry Mortgage LLC
sourcing 87.6% of the pool. The remaining 12.4% of the mortgage
loans were originated by various originators that contributed less
than 10% each to the pool. Select Portfolio Servicing, Inc is the
servicer and Wells Fargo Bank N.A. is the master servicer.

Of the loans in the pool, 54.5% are designated as non-qualified
mortgages (non-QMs or NQMs), and 45.5% are not subject to the
Consumer Finance Protection Bureau's (CFPB) Ability to Repay Rule
(ATR Rule) or the rule.

There is no LIBOR exposure in this transaction. The collateral
consists of 31 adjustable-rate loans that reference one-month
Secured Overnight Financing Rate (SOFR) and fixed rate loans. The
class A-1 certificates will be fixed rate and capped at the net WAC
and will have a step-up feature where the coupon will equal will
equal the lesser of (a) the sum of (i) the class A-1 fixed rate
(ii) 1.00% and (b) the net WAC Rate for the related Distribution
Date, class A-2 and A-3 certificates are fixed rate and capped at
the net weighted average coupon (WAC), the class M-1, B-1, and B-3
certificates are based on the net WAC and the B-2-RR has a
step-down feature where the coupon will be based on the net WAC
prior to July 2026 and after July 2026 the coupon will be 0.0%.

The transaction priced on June 21, 2022 and a revised structure was
analyzed. Although the losses remain unchanged from the presale
report that was published, the transaction's credit enhancement
(CE) increased due to the increase in coupons. Fitch ran the
revised structure and found that the CE provided was sufficient to
pass the assigned rating stresses. Fitch's losses and revised
transaction CE are listed below.

-- A-1 rated 'AAAsf'; Fitch expected loss 20.75%; transaction CE
    24.70%;

-- A-2 rated 'AAsf'; Fitch expected loss 15.75%; transaction CE
    17.65%;

-- A-3 rated 'Asf'; Fitch expected loss 11.25%; transaction CE
    12.65%;

-- M-1 rated 'BBBsf'; Fitch expected loss 7.75%; transaction CE
   8.75%;

-- B-1 rated 'BB-sf'; Fitch expected loss 4.85%; transaction CE
    5.55%;

-- B-2 rated 'B-sf'; Fitch expected loss 3.00%; transaction CE
   3.15%.

The final ratings assigned remain unchanged from the expected
ratings.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, we view the home price values of
this pool as 9.6% 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 led to significant home price increases over
the past year, with home prices rising 18.2% yoy nationally as of
December 2021.

Nonprime Credit Quality (Mixed): The collateral consists of
15-year, 30-year, fixed-rate fully amortizing loans (77.4%), 17.3%
fixed-rate loans with an initial interest-only (IO) term, 5.4% 7/1
and 10/1 adjustable-rate mortgages (ARMs) with an initial IO term.
The pool is seasoned at approximately four months in aggregate, as
determined by Fitch.

Borrowers in this pool have relatively strong credit profiles, with
a 737 weighted average FICO score and a 46% debt-to-income (DTI)
ratio, as determined by Fitch, and relatively high leverage with an
original combined loan-to-value (LTV) ratio of 72.1% that
translates to a Fitch-calculated sustainable LTV ratio of 79.2%.

The Fitch DTI is higher than the DTI in the transaction documents
with a DTI of 31.26% in the transaction documents due to Fitch
assuming a 55% DTI for asset depletion loans and converting the
debt service coverage ratio (DSCR) to a DTI for the DSCR loans. Of
the pool, 48.8% consist of loans where the borrower maintains a
primary residence, while 51.2% comprise an investor property or
second home; and 53.2% of the loans were originated through a
retail channel. Additionally, 54.5% are designated as non-QM and
45.5% are exempt from QM.

The pool contains 84 loans over $1 million, with the largest being
$3.027 million and 46.4% of the pool was underwritten to a 12- or
24-month bank statement program for verifying income, while 4.9%
are asset depletion loans and 38.9% are investor cash flow DSCR
loans. Approximately 46.0% of the pool comprise loans on investor
properties with 7.1% underwritten to the borrowers' credit profile
and 38.9% comprising investor cash flow loans. A portion of the
loans, 0.3%, has subordinate financing, and there are no
second-lien loans.

Five loans in the pool were underwritten to foreign nationals.
Fitch treated these loans as being investor occupied and having no
documentation for income and employment. We assumed a FICO score of
650 for foreign nationals without a credit score. Although the
credit quality of the borrowers is higher than in prior NQM
transactions, the pool characteristics resemble nonprime
collateral; therefore, the pool was analyzed using Fitch's nonprime
model.

Geographic Concentration (Negative): Approximately 32.3% of the
pool are concentrated in California. The largest MSA concentration
is in the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA
(16.9%), Los Angeles-Long Beach-Santa Ana, CA MSA (15.2%), followed
by the Miami-Fort Lauderdale-Miami Beach, FL MSA (10.1%). The top
three MSAs account for 42.2% of the pool. As a result, there was a
1.02x probability of default penalty for geographic concentration,
which increased the 'AAA' loss by 0.24%.

Loan Documentation (Negative): About 91.6% of the pool were
underwritten to less than full documentation, and 46.4% were
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is these
loans adhere to underwriting and documentation standards required
under the CFPB's ATR Rule, which reduces the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to the rigor of the rule's
mandates with respect to the underwriting and documentation of the
borrower's ability to repay. Additionally, 4.9% of loans in the
pool are an asset depletion product, 0.0% are a CPA or PnL product,
and 38.9% are a DSCR product.

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

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

There is excess spread in the transaction that is available to
reimburse for losses or interest shortfalls should they occur.
However excess spread will be reduced on and after July 2026, since
the class A-1 has a step-up coupon feature where the coupon rate
will increase by 1.0%, subject to a net WAC cap. To mitigate the
effect of the A-1 step up coupon, the B-2 coupon has a step-down
coupon feature where the coupon rate will decline to 0.0% on and
after July 2026.

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 were conducted at
the state and national levels to assess the effect of higher MVDs
for the subject pool as well as lower MVDs, illustrated by a gain
in home prices.

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

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

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analyses were 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 and Recovco Mortgage Management, LLC. The
third-party due diligence described in Form 15E focused on
compliance review, credit review and valuation review. Fitch
considered this information in its analysis and, as a result, Fitch
did not make any 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
0.48%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor,
Starwood Non-Agency Lending, LLC, engaged SitusAMC and Recovco
Mortgage Management, LLC to perform the review. Loans reviewed
under these engagements were given compliance, credit, and
valuation grades and assigned initial grades for each subcategory.

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company and no material discrepancies were noted.

ESG CONSIDERATIONS

STAR 2022-4 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to operational risk being well
controlled for in STAR 2022-4, strong transaction due diligence as
well as a 'RPS1-' Fitch-rated servicer, which has a positive impact
on the credit profile, and is relevant to the ratings in
conjunction with other factors.

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


STRATUS STATIC 2022-1: Fitch Rates Class F Debt 'B+sf'
------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Stratus
Static CLO 2022-1, Ltd.

   DEBT               RATING
   ----               ------

Stratus Static CLO 2022-1, Ltd.

A                    LT AAAsf   New Rating

B                    LT AAsf    New Rating

C                    LT Asf     New Rating

D                    LT BBB+sf  New Rating

E                    LT BB+sf   New Rating

F                    LT B+sf    New Rating

Subordinated Notes   LT NRsf    New Rating

TRANSACTION SUMMARY

Stratus Static CLO 2022-1, Ltd. (the issuer) is a static arbitrage
cash flow collateralized loan obligation (CLO). Blackstone CLO
Management LLC will be the collateral manager for the transaction,
and net proceeds from the issuance of the secured and subordinated
notes will provide financing on a portfolio of approximately $400.0
million of primarily first lien senior secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
purchased portfolio is '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 purchased portfolio consists of
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 75.65%.

Portfolio Composition (Positive): The largest three industries
constitute 45.8% of the purchased portfolio balance in aggregate
while the top five obligors represent 3.5% of the purchased
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 does not have a
reinvestment period; however, the issuer has the ability to extend
the weighted average life of the portfolio as a result of maturity
amendments. Fitch's analysis was based on a stressed portfolio
incorporating potential maturity amendments on the underlying loans
as well as a one-notch downgrade on the Fitch Issuer Default Rating
Equivalency Rating for assets with a Negative Outlook on the
driving rating of the obligor. The shorter risk horizon means the
transaction is less vulnerable to underlying price movements,
economic conditions and asset performance.

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. Each class of notes was able to withstand default
rates in excess of the respective rating hurdles.

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
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A, between 'BBB-sf' and 'AA-sf' for
class B, between 'B-sf' and 'A-sf' for class C, between less than
'B-sf' and 'BBBsf' for class D, between less than 'B-sf' and
'BB+sf' for class E, and between less than 'B-sf' and 'B+sf' for
class F.

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

Upgrade scenarios are not applicable to the class A notes, as these
notes are in the highest rating category of 'AAAsf'. 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 'AA-sf' and 'AA+sf' for class C notes,
'AA-sf' for class D notes, 'BBB+sf' for class E notes, and 'BBB+sf'
for class F 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 its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


STRATUS STATIC 2022-2: Fitch Assigns 'B+' Rating on Class F Debt
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Stratus
Static CLO 2022-2, Ltd.

   DEBT               RATING
   ----               ------
Stratus Static CLO 2022-2, Ltd.

A                    LT   AAAsf    New Rating

B                    LT   AAsf     New Rating

C                    LT   Asf      New Rating

D                    LT   BBB-sf   New Rating

E                    LT   BB-sf    New Rating

F                    LT   B+sf     New Rating

Subordinated Notes   LT   NRsf     New Rating

TRANSACTION SUMMARY

Stratus Static CLO 2022-2, Ltd. (the issuer) is a static arbitrage
cash flow collateralized loan obligation (CLO). Blackstone Liquid
Credit Strategies LLC will be the collateral manager for the
transaction, and net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $400.0 million of primarily first lien senior secured
leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
purchased portfolio is '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 purchased portfolio consists of
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 75.47%.

Portfolio Composition (Positive): The largest three industries
constitute 43.5% of the purchased portfolio balance in aggregate
while the top five obligors represent 3.5% of the purchased
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 does not have a
reinvestment period; however, the issuer has the ability to extend
the weighted average life of the portfolio as a result of maturity
amendments. Fitch's analysis was based on a stressed portfolio
incorporating potential maturity amendments on the underlying loans
as well as a one-notch downgrade on the Fitch Issuer Default Rating
Equivalency Rating for assets with a Negative Rating Outlook on the
driving rating of the obligor. The shorter risk horizon means the
transaction is less vulnerable to underlying price movements,
economic conditions and asset performance.

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. Each class of notes was able to withstand default
rates in excess of the respective rating hurdles.

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
a metric. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A, between 'BB+sf' and 'AA-sf' for
class B, between 'B-sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and
'B+sf' for class E, and between less than 'B-sf' and 'Bsf' for
class F.

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

Upgrade scenarios are not applicable to the class A notes, as these
notes are in the highest rating category of 'AAAsf'. 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, 'BBB+sf' for class E notes, and 'BBB+sf' for
class F 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 its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


TOWD POINT 2022-1: Fitch Assigns 'B-(EXP)' Rating on Class B2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2022-1 (TPMT 2022-1).

   DEBT     RATING
   ----     ------
TPMT 2022-1

A1     LT   AAA(EXP)sf    Expected Rating

A2     LT   AA-(EXP)sf    Expected Rating

M1     LT   A-(EXP)sf     Expected Rating

M2     LT   BBB-(EXP)sf   Expected Rating

B1     LT   BB-(EXP)sf    Expected Rating

B2     LT   B-(EXP)sf     Expected Rating

B3     LT   NR(EXP)sf     Expected Rating

B4     LT   NR(EXP)sf     Expected Rating

B5     LT   NR(EXP)sf     Expected Rating

A1A    LT   AAA(EXP)sf    Expected Rating

A1AX   LT   AAA(EXP)sf    Expected Rating

A1B    LT   AAA(EXP)sf    Expected Rating

A1BX   LT   AAA(EXP)sf    Expected Rating

A2A    LT   AA-(EXP)sf    Expected Rating

A2AX   LT   AA-(EXP)sf    Expected Rating

A2B    LT   AA-(EXP)sf    Expected Rating

A2BX   LT   AA-(EXP)sf    Expected Rating

A2C    LT   AA-(EXP)sf    Expected Rating

A2CX   LT   AA-(EXP)sf    Expected Rating

M1A    LT   A-(EXP)sf     Expected Rating

M1AX   LT   A-(EXP)sf     Expected Rating

M1B    LT   A-(EXP)sf     Expected Rating

M1BX   LT   A-(EXP)sf     Expected Rating

M1C    LT   A-(EXP)sf     Expected Rating

M1CX   LT   A-(EXP)sf     Expected Rating

M2A    LT   BBB-(EXP)sf   Expected Rating

M2AX   LT   BBB-(EXP)sf   Expected Rating

M2B    LT   BBB-(EXP)sf   Expected Rating

M2BX   LT   BBB-(EXP)sf   Expected Rating

M2C    LT   BBB-(EXP)sf   Expected Rating

M2CX   LT   BBB-(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by Towd Point Mortgage Trust 2022-1 (TPMT 2022-1) as
indicated above. The transaction is expected to close on July 25,
2022. The notes are supported by one collateral group that consists
of 2,861 seasoned performing loans (SPLs) and re-performing loans
(RPLs) with a total balance of approximately $507.5 million,
including $25.6 million, or 5.0%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date.

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

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.1% 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, which is the result of a supply/demand imbalance
driven by low inventory, low mortgage rates and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 18.9% yoy
nationally as of December 2021.

SPL & RPL Collateral (Mixed): The collateral pool consists
primarily of peak-vintage SPLs and RPLs, as defined by Fitch. Of
the pool, approximately 2.3% were delinquent (DQ) as of the
statistical calculation date. Approximately 83.4% have had clean
pay histories for 24 months or more (defined by Fitch as "clean
current"), and the remaining 14.3% of the loans are current but
have had recent delinquencies or incomplete 24-month pay strings.
Fitch applied a probability of default (PD) credit to account for
the pool's large concentration of clean current loans. Roughly
63.9% have been modified.

Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original CLTV of 83.6%. All loans received updated
property values, which translates to a WA current (MtM) CLTV ratio
of 51.8% and sustainable LTV (sLTV) of 57.2% at the base case. This
reflects low leverage borrowers, and is stronger than recently
rated SPL/RPL transactions.

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

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

RATING SENSITIVITIES

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 40.9% 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:

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

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

Fitch's analysis incorporated three criteria variations from the
"U.S. RMBS Rating Criteria."

The first variation is that a tax and title review was not
completed on 100% of seasoned first lien loans. Approximately 0.3%
by loan count (nine loans) did not receive an updated tax and title
search. This was viewed as an immaterial amount relative to the
overall pool. FirstKey confirmed that the servicers are monitoring
the tax and title status as part of standard practice and the
servicer will advance where deemed necessary to keep the first lien
position. Additionally, for all loans, FirstKey confirmed they will
complete a clear chain of assignment within 18 months of the deal,
or will repurchase the loan. Given this, the variation had no
rating impact.

The second variation is that a due diligence compliance and data
integrity review was not completed on 100% of RPL and SPL loans
from unknown originators. Approximately 55.2% by loan count (48.5%
by UPB) of TPMFT Mortgage Loans did not receive a due diligence
compliance and data integrity review. The transferring trust
originally acquired the TPMFT Mortgage Loans from various unrelated
third-party sellers.

The due diligence results from the TPMFT Mortgage Loans that were
reviewed were extrapolated to the loans which did not receive a due
diligence review from the expected losses of the TPMFT Mortgage
Loans that received due diligence review. The loss expectations
were increased by approximately 5 bps at AAA to account for this.
This variation had no rating impact.

The third variation relates to the pay history review. Fitch
expects a pay history review to be completed on 100% of RPLs and
expects the review to reflect the past 24 months. The pay history
sample completed on SPLs meets Fitch's criteria. A pay history
review was either not completed, was outdated or a pay string was
not received from the servicer for approximately 60.3% of the RPLs.
For the loans where a pay history review was conducted, the results
verified what was provided on the loan tape. Additionally, the pay
strings provided on the loan tape were provided to FirstKey by the
current servicer. This variation did not have a rating impact.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Clayton and Westcor. A third-party due diligence
review was completed on 50.6% (by loan count) of the loans in this
transaction. While the review was substantially similar to Fitch
criteria with respect to RPL transactions, the sample size yielded
minor variations to the criteria, which resulted in various
loan-level adjustments for loans that were not reviewed. However,
loans that were subject to the review received a due diligence
scope that is in line with Fitch criteria, which consisted
primarily of a regulatory compliance review, pay history review,
updated tax and title, and a review of collateral files from the
custodian.

Seasoned performing and re-performing loans constitute 100% of the
pool and were acquired from two collateral sources - TPMFT Mortgage
Loans (88.3% by loan count) and Securitization Trust Mortgage Loans
(11.7% by loan count).

Approximately 44.8% of the TPMFT Mortgage Loans were reviewed. The
transferring trust originally acquired the TPMFT Mortgage Loans
from various unrelated third-party sellers. A criteria variation
was applied as the criteria expect 100% review for loans if unknown
originators. TPMFT Mortgage Loans that did not receive a review
were applied a multiple extrapolated from the expected losses of
the reviewed loans.

Securitization Trust Mortgage Loans were originally acquired by
affiliates of the sponsor and received a compliance sample of 94%,
which meets Fitch criteria, as they allow for a 20% sample to be
reviewed.

Fitch received certifications indicating that due diligence was
conducted in accordance with its published standards for
legal/regulatory compliance. The certifications also stated that
the companies performed their work in accordance with the
independence standards, per Fitch's "U.S. RMBS Rating Criteria."

Based on the due diligence findings, Fitch made loan-level
adjustments on 121 of the reviewed loans, or approximately 4.2% of
the total pool, which received a final grade of 'D' as the loan
file did not have a final HUD-1 for compliance testing purposes.
The absence of a final HUD-1 file does not allow the TPR firm to
properly test for compliance surrounding predatory lending in which
the statute of limitations does not apply. These regulations may
expose the trust to potential assignee liability in the future and
create added risk for bond investors.

The remaining 115 loans with a final grade of 'C' or 'D' reflect
missing final HUD-1 files that are not subject to predatory
lending, missing state disclosures and other missing documents
related to compliance testing. Fitch notes that these exceptions
are unlikely to add material risk to bondholders since the statute
of limitations on these issues have expired. No adjustment to loss
expectations were made for these loans.

Fitch also applied an adjustment on 7 loans that had missing
modification agreements. Each loan received a three-month
foreclosure timeline extension to represent a delay in the event of
liquidation as a result of these files not being present.

Fitch adjusted its loss expectation at 'AAAsf' by approximately 25
bps to reflect missing final HUD-1 files, modification agreements,
note, assignment/endorsement and title issues.

FirstKey has received updated tax and title on 99.7% of the pool by
loan count, and 99.99% by UPB. The tax, title and lien search
identified the loans with outstanding liens and taxes that could
take priority over the subject mortgage. FirstKey will not clear
all outstanding delinquent property taxes including property tax
liens, any recorded lien resulting from unpaid property taxes and
delinquent energy lien installments within 12 months. To the extent
that there are outstanding HOA liens, municipal liens or delinquent
taxes, the servicer will advance those payments. Fitch adjusted its
LS by approximately 8 bps at 'AAAsf' to account for this.

All tax/title search were completed within six months of the
closing date, which meets Fitch criteria. Additionally, the
servicers are monitoring the tax and title status as part of
standard practice, and the servicers will advance where deemed
necessary to keep the first lien position of each loan.

There is 1 loan for which FirstKey has been unable to complete the
endorsement and/or assignment chain and does not expect to complete
the chain. In most cases, the missing assignments/ endorsements are
due to the entity no longer being in existence or the inability to
find the signatory.

FirstKey's transaction documents include a provision where any
first lien loan in which the endorsement and/or assignment chain
cannot be completed within 18 months will be repurchased. These
loans will be carved out of this requirement. To account for the
risk that the missing document could delay or potentially prevent
foreclosure, these loans were run assuming a 100% LS.

In addition, 34 loans (1.2% by loan count) resulted in inconclusive
title results. The loans had title "noise" without a title policy
to cure that noise. FirstKey indicated that the findings could be
real (e.g. municipal lien) or clerical (e.g. scrivener's error). In
either case, these issues have potential to cloud lien priority.

While these loans were purchased loans as first liens, and the
loans continue to be serviced as first liens (servicer is advancing
if necessary to protect first lien status or proceed with loss
mitigation action, including foreclosure), the title search showed
some noise and was not able to conclusively confirm the first lien
status. Additionally, these loans will be carved out of the title
rep. Given the title review was not conclusive, these loans were
run as second liens and, therefore, received 100% LS.


UPSTART SECURITIZATION 2022-3: Moody's Gives Ba2 Rating to B Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Upstart Securitization Trust 2022-3 ("UPST
2022-3"), the third personal loan securitization issued from the
UPST shelf this year. The collateral backing UPST 2022-3 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 2022-3

$166,653,000, 5.50%, Class A Notes, Definitive Rating Assigned A3
(sf)

$29,760,000, 8.50%, Class B Notes, Definitive Rating Assigned 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 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. (S&ST unrated).

Moody's median cumulative net loss expectation for the 2022-3 pool
is 16.2% and the stress loss is 56.0%. 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 for the macroeconomic
environment during the life of the transaction.

At closing, the Class A and Class B notes are expected to benefit
from 30.5% and 18.0% of hard credit enhancement. Hard credit
enhancement for the notes consists of a combination of
overcollateralization and a non-declining reserve account. 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 2022-3: DBRS Gives Prov. B Rating on 3 Classes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage-Backed
Certificates, Series 2022-3 to be issued by Velocity Commercial
Capital Loan Trust 2022-3 (VCC 2022-3 or the Issuer) as follows:

-- $189.9 million Class A at AAA (sf)
-- $189.9 million Class A-S at AAA (sf)
-- $189.9 million Class A-IO at AAA (sf)
-- $19.5 million Class M-1 at AA (sf)
-- $19.5 million Class M1-A at AA (sf)
-- $19.5 million Class M1-IO at AA (sf)
-- $10.2 million Class M-2 at A (sf)
-- $10.2 million Class M2-A at A (sf)
-- $10.2 million Class M2-IO at A (sf)
-- $6.5 million Class M-3 at BBB (high) (sf)
-- $6.5 million Class M3-A at BBB (high) (sf)
-- $6.5 million Class M3-IO at BBB (high) (sf)
-- $53.6 million Class M-4 at BB (sf)
-- $53.6 million Class M4-A at BB (sf)
-- $53.6 million Class M4-IO at BB (sf)
-- $16.6 million Class M-5 at B (sf)
-- $16.6 million Class M5-A at B (sf)
-- $16.6 million Class M5-IO at B (sf)
-- $3.2 million Class M-6 at B (low) (sf)
-- $3.2 million Class M6-A at B (low) (sf)
-- $3.2 million Class M6-IO at B (low) (sf)

Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 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 39.75% of credit
enhancement (CE) provided by subordinated certificates. The AA
(sf), A (sf), BBB (high) (sf), BB (sf), B (sf), and B (low) (sf)
ratings reflect 33.55%, 30.30%, 28.25%, 11.25%, 6.00%, and 5.00% of
CE, respectively.

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

VCC 2022-3 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
(SBC) mortgages collateralized by various types of commercial,
multifamily rental, and mixed-use properties. The securitization is
funded by the issuance of the Certificates. The Certificates are
backed by 682 mortgage loans with a total principal balance of
$315,237,052 as of the Cut-Off Date (May 1, 2022).

Approximately 43.7% of the pool comprises residential investor
loans and about 56.3% of SBC loans. Velocity Commercial Capital,
LLC (Velocity or VCC) originated 98.4% of the loans in this
securitization. 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 Ability-to-Repay rules and
TILA-RESPA Integrated Disclosure rule.

The pool is about 10 months seasoned on a weighted-average (WA)
basis, although seasoning may span from zero up to 168 months.

PHH Mortgage Corporation 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 are 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 (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-7 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 real estate owned (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; held at all times by the Seller or a 50%
affiliate of the Seller).

The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A CE falling below
10.0% of the loan balance as of the Closing 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 nonperforming 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).

COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY

Of the 298 loans, 256 loans, representing 92.2% of the SBC portion
of the pool, have a fixed interest rate with a straight average of
7.07%. The 42 floating-rate loans have an interest rate ranging
from 6.99% to 11.13% and an interest rate margin of 5.00%. To
determine the probability of default (POD) and loss given default
inputs in the 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 WA modeled coupon rate was 6.89%. Most
of the loans have original loan term lengths of 30 years and fully
amortize over 30-year schedules. However, 25 loans, which comprise
14.2% of the SBC pool, have an initial IO period ranging from 36
months to 120 months and then fully amortize over shortened 20- to
25-year schedules.

All SBC loans were originated between April 2008 and March 2022,
resulting in a WA seasoning of 8.1 months. The SBC pool has a WA
original term length of 358.1 months, or nearly 30 years. Only two
SBC loans have an original term of 15 years, with the remaining 296
loans having 30-year terms. Based on the current loan amount, which
reflects approximately 114 basis points (bps) of amortization, and
the current appraised values, the SBC pool has a WA LTV ratio of
62.3%. However, DBRS Morningstar made LTV adjustments to 50 loans
that had an implied capitalization rate more than 200 bps lower
than a 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 71.3%. 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 CMBS
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 the IO rating up 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.
Those loans' historical prepayment performance is close to 0%
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 $595,661, a concentration profile
equivalent to that of a transaction with 167 equal-size loans, and
a top 10 loan concentration of 13.6%. 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 between 180 months and 360 months, reducing
refinance risk.

As classified by DBRS Morningstar for modeling purposes, the SBC
pool contains a significant exposure to retail (30.8% of the SBC
pool) and a smaller exposure to office (9.8% 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 one-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 28.6% 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 the second-largest property type
concentration in the SBC pool (25.3%). 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 64 loans DBRS
Morningstar sampled, nine were Average quality (16.4%), 28 were
Average – (38.4%), 22 were Below Average (38.0%), and five were
Poor (7.2%). 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 22.9%
of the SBC pool balance. These appraisals were issued between
November 2021 and April 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 -1.2%
to -100.0%, with an average of -17.6% when excluding outliers;
however, DBRS Morningstar generally applied more conservative
haircuts on the unsampled loans. No ESA reports were provided and
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 17 loans, representing 4.5% of the SBC pool
balance. Finally, DBRS Morningstar received a borrower FICO score
for all loans, with an average FICO score of 724. While the CMBS
Methodology does not contemplate FICO scores, the residential
mortgage-backed securities (RMBS) methodology, "RMBS Insight 1.3:
U.S. Residential Mortgage-Backed Securities Model and Rating
Methodology," does and would characterize a FICO score of 724 as
near-prime, whereas prime is considered greater than 750. Borrowers
with a FICO score of 724 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. The SBC pool is
quite diverse based on loan size, with an average cut-off date loan
balance of $595,661, a concentration profile equivalent to that of
a transaction with 167 equal-size loans, and a top-10 loan
concentration of 13.6%. Increased pool diversity helps to insulate
the higher-rated classes from event risk.

RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY

The collateral pool consists of 384 mortgage loans with a total
balance of approximately $137.7 million collateralized by one- to
four-unit investment properties. Velocity underwrote the mortgage
loans to No Ratio program guidelines for business-purpose loans.

The coronavirus pandemic and the resulting isolation measures
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
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
LTVs, 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.



VISIO 2022-1: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Visio 2022-1
Trust's mortgage-backed notes.

The note issuance is an RMBS securitization backed by Investor only
business purpose, first-lien, fixed, and hybrid adjustable-rate
residential mortgage loans secured by single-family residences,
planned unit developments, condominiums, and two-four family
residential properties to non-conforming (both prime and non-prime)
borrowers. The pool has 688 loans backed by 691 properties that are
exempt from ability-to-repay rules. One loan in the pool was cross
collateralized by four properties.

The preliminary ratings are based on information as of July 13,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

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

-- The mortgage originator, Visio Financial Services Inc.; 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%."

  Preliminary Ratings Assigned

  Visio 2022-1 Trust

  Class A-1(i), $135,001,000: AAA (sf)
  Class A-2(i), $19,640,000: AA (sf)
  Class A-3(i), $24,269,000: A (sf)
  Class M-1(i), $15,351,000: BBB (sf)
  Class B-1(i), $11,852,000: BB (sf)
  Class B-2, $13,546,000: B- (sf)
  Class B-3, $6,095,384: Not rated
  Class XS, notional(ii): Not rated
  Class R, not applicable: Not rated

(i)The offered notes.

(ii)The class XS notes will have a notional amount equal to the
aggregate unpaid principal balance of the mortgage loans as of the
first day of the related collection period.



WELLS FARGO 2014-C22: Fitch Lowers Class D Certificates to B-sf
---------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed eleven classes
of Wells Fargo Bank, N.A.'s WFRBS Commercial Trust Series 2014-C22
commercial mortgage trust pass-through certificates. Fitch has
revised the Outlook for four affirmed classes to Stable from
Negative.

   DEBT            RATING                  PRIOR
   ----            ------                  -----
WFRBS 2014-C22

A-4 92890KAZ8    LT    AAAsf   Affirmed    AAAsf

A-5 92890KBA2    LT    AAAsf   Affirmed    AAAsf

A-S 92890KBC8    LT    AAAsf   Affirmed    AAAsf

A-SB 92890KBB0   LT    AAAsf   Affirmed    AAAsf

B 92890KBF1      LT    AA-sf   Affirmed    AA-sf

C 92890KBG9      LT    A-sf    Affirmed    A-sf

D 92890KAJ4      LT    B-sf    Downgrade   Bsf

E 92890KAL9      LT    CCCsf   Affirmed    CCCsf

F 92890KAN5      LT    CCCsf   Affirmed    CCCsf

X-A 92890KBD6    LT    AAAsf   Affirmed    AAAsf

X-C 92890KAA3    LT    CCCsf   Affirmed    CCCsf

X-D 92890KAC9    LT    CCCsf   Affirmed    CCCsf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations have remained
relatively stable since the last rating action. While properties
adversely affected by the pandemic have generally stabilized,
performance of several Fitch Loans of Concern (FLOCs) have declined
or failed to improve. There are four loans (2.8% of the pool) that
have been in special servicing for more than two years and an
additional six loans (16.8% of the pool) flagged as FLOCs,
including the third largest loan in the pool.

Fitch's current ratings incorporate a base case loss of 7.60%.
Fitch also performed a Sensitivity which reflects losses could
reach 10.2% when factoring in more conservative loss estimates for
the Stamford Plaza Portfolio loan. The downgrade to class D
primarily reflects concerns about the refinancability of the
Stamford Plaza Portfolio.

Stamford Plaza Portfolio (7.9% of the pool), is the third largest
loan in the pool and the largest contributor to losses. It is
secured by two 15-story class A office buildings and two 16-story
class A office buildings comprising 982,483 sf located in Stamford,
CT. The loan has been flagged as a FLOC given occupancy issues have
persisted since 2018 when property occupancy declined to 65% from
83% in 2017. Servicer reported occupancy was 63% as of March 2022
compared to 63% at YE 2021, 68% at YE 2020, and 67% at YE 2019.
Submarket vacancy for the Stamford office market remains high at
approximately 25%.

The partial interest-only period ended in August 2019, further
exacerbating declining performance metrics. The YE 2021 NOI DSCR
was 0.70x compared to 0.73x at YE 2020, 0.72x at YE 2019, 0.95x at
YE 2018, and 1.71x at YE 2017. Despite the performance challenges
at the property, the loan has remained current. The loan is
scheduled to mature in 2024 and Fitch remains concerned about the
loan refinancing at maturity.

Fitch modeled a base case loss of 37% for this loan. Fitch
conducted an additional sensitivity analysis on the loan, which
assumed a loss of 50%, based on a more conservative recovery
estimated given the soft Stamford market and risk that the loan may
transfer to special servicing. The Sensitivity scenario is driving
the Negative Outlook for class D.

States Addition Apartments (1.8% of the pool), is the largest
specially serviced loan and second largest contributor to losses.
The asset is secured by a 235-unit multifamily property located in
Dickinson, ND, which is within the Bakken shale formation area.
Local employment has been significantly impacted given its
dependency on oil and gas exploration. As of May 2022, the property
was 98% occupied with average effective rents of approximately
$935/month compared to 94.9% occupancy and average effective rents
of $850/month as of May 2021, and May 2020 when the property was
97% occupied with average effective rents of $888/month. Fitch's
analysis included a haircut to the most recent appraisal value.

Alternative Loss Considerations: An additional sensitivity was
performed which applied more conservative losses to the Stamford
Plaza Portfolio loan; this sensitivity drives the Negative Outlook
for class D.

Increasing Credit Enhancement: Credit enhancement (CE) has
increased since the prior rating action due to amortization, loans
disposing, and defeasance. The pool balance has been reduced by
17.98% since issuance. Three loans (0.63% of the pool balance at
the last rating action) re-paid at or prior to their maturity
dates. One additional loan (0.64% of the pool balance at the last
rating action), previously in Special Servicing, disposed with
better than expected recoveries. There are a total of 20 loans
(9.7% of the pool; $118,175,7688) that have been fully defeased.
This is up from 12 loans (6.4% of the pool) being defeased at the
last review.

All remaining loans in the pool are scheduled to mature in 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 underperforming loans. Downgrades to 'AAAsf' rated
classes are not considered likely due to the position in the
capital structure, but may occur at 'AAAsf' rated classes should
interest shortfalls occur. Downgrades of classes B, C and D are
possible should Fitch's projected losses increase due to declines
in pool performance, additional loan defaults, or greater than
expected losses on the Specially Serviced loans. Downgrades of
classes E and F are possible should the 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:

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or defeasance. Upgrades
of classes B and C would likely occur with a significant
improvement in CE and/or defeasance; however, increased
concentrations, further underperformance of FLOCs, Specially
Serviced loans, or new delinquencies/defaults may prevent this.

An upgrade to class D would be limited based on sensitivity to
concentrations, or the potential for future concentration. Classes
would not be upgraded above 'Asf' if there were a likelihood for
interest shortfalls. Upgrades to classes E and F are not likely due
to actual or expected performance decline for FLOCs, but could
occur if performance of the FLOCs improves or loans currently in
special servicing resolve with better than expected losses.

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-C34: DBRS Confirms CCC Rating on 2 Classes
-----------------------------------------------------------
DBRS Limited downgraded one class of Commercial Mortgage
Pass-Through Certificates, Series 2016-C34 issued by Wells Fargo
Commercial Mortgage Trust 2016-C34 as follows:

-- Class G to C (sf) from CCC (sf)

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

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

DBRS Morningstar changed the trend on Classes B and X-B to Stable.
Negative trends were maintained on Classes C and D. The trends on
all remaining classes are Stable with the exception of Classes E,
F, and G, which have ratings that do not carry trends. The Interest
in Arrears designation remains on Classes E, F, and G. The Interest
in Arrears designation was removed from Class D.

The rating confirmations and trend change on Class B are reflective
of a smaller-than-expected loss amount for a top 10 loan that was
recently liquidated. The transaction has seen an uptick in
specially serviced loans in recent years, a factor that contributed
to rating downgrades that DBRS Morningstar made to seven classes in
February 2021. One of the loans driving those downgrades, 200
Precision & 425 Privet Portfolio (Prospectus ID#6), was liquidated
in April 2022 at a loss to the trust of approximately $1.0 million,
well below the loss of approximately $10.0 million estimated by
DBRS Morningstar, based on the most recent appraisal obtained by
the special servicer. The proceeds were reported at more than $28.0
million, well above the December 2020 value estimate of $22.3
million. In addition, Storage Solutions Self Storage Portfolio
(Prospectus ID#9) was also liquidated from the pool in August 2021
and took a small loss of approximately $87,000, an outcome that was
generally in line with DBRS Morningstar's expectations. The losses
for these loans were contained to the non-rated Class H.

The rating downgrade of Class G and Negative trends maintained on
Classes C and D reflect DBRS Morningstar's ongoing concerns about
the largest loan in special servicing, Regent Portfolio (Prospectus
ID #1, 11.1% of the pool), detailed below.

At issuance, the transaction consisted of 68 fixed-rates loans
secured by 92 commercial and multifamily properties with an
aggregate trust balance of $702.8 million. According to the May
2022 remittance, 63 loans remain in the pool and there has been a
15.6% collateral reduction to date. The pool benefits from three
loans, representing 2.3% of the pool, that are fully defeased. Five
loans, representing approximately 20.0% of the pool, are currently
in special servicing, down from eight loans, or approximately 30.0%
of the pool, in July 2021. Fifteen loans, representing
approximately 20.0% of the pool, are on the servicer's watchlist
and four of them are in the top 15 loans.

The largest loan in special servicing, Regent Portfolio (Prospectus
ID#1; 11.1% of the pool), was secured at issuance by 13 buildings
in New Jersey, New York, and Florida. Space uses consisted of
traditional office, medical office, and warehouse. The loan sponsor
is also the primary owner of the portfolio's largest tenant,
Sovereign Medical Services Inc. The loan transferred to special
servicing in June 2019 and the borrower filed for bankruptcy in
February 2020, with the workout still ongoing. Since the loan's
transfer to special servicing, one medical office building property
in Wayne, New Jersey, was sold with net proceeds of $11.3 million,
approximately $2.6 million below the issuance value. That amount
was used to recover outstanding servicer advances and to pay past
due debt service payments. An updated appraisal has not been
obtained to date, and it is not clear why the special servicer, LNR
Partners, has not provided an updated value given the loan's length
of time in special servicing and its extended delinquency. However,
given the sponsor's financial difficulties, the lack of updated
financial reporting available for the portfolio, and the general
uncertainty surrounding the bankruptcy filing and ultimate
resolution, DBRS Morningstar expects the as-is value has declined
significantly and the trust will experience a significant loss with
this loan.

The second-largest loan in special servicing, Nolitan Hotel
(Prospectus ID#8; 3.7% of the pool), is secured by a 57-room,
full-service boutique hotel in New York City. The loan transferred
to special servicing in December 2020 because of payment default.
The loan remains more than 90 days delinquent and the workout
negotiations remain ongoing. Based on the January 2022 appraisal,
the subject was valued at $30.2 million, down 24% from the issuance
value of $39.5 million but still suggestive of a relatively healthy
loan-to-value ratio of approximately 72%. Given these factors, DBRS
Morningstar believes the ultimate resolution will result in a
relatively minor loss to the trust and, given the extended period
in special servicing, an elevated probability of default (POD) was
applied to stress the loan in the analysis.

The third-largest loan in special servicing, Shoppes at Alafaya
(Prospectus ID #10; 3.3% of the pool balance), is secured by a
two-building, single-story, 120,723-sf shopping center in Orlando.
The loan has been with the special servicer since October 2018 for
delinquent payments. The former largest tenant, Toys "R" Us (49% of
the net rentable area (NRA)), filed for bankruptcy and vacated in
2017 but, in 2019, the borrower approved a lease with Burlington to
backfill the space on a lease through 2029, bringing the physical
occupancy at the collateral to approximately 95%. The
second-largest tenant is Dick's Sporting Goods (41% of the NRA,
lease expiry in January 2023). As of the May 2022 remittance, the
loan is more than 90 days delinquent and the special servicer cites
a workout strategy of foreclosure, but also notes ongoing
discussions with the borrower regarding a loan modification. The
reason for the extended delinquency remains unclear; DBRS
Morningstar has previously noted that the loan sponsor and the
special servicer have a litigious history and it is possible the
delinquency could be a continuation of that relationship. Given the
stabilized occupancy rate with two national tenants in place and
the most recent appraisal report, dated October 2021, which valued
the property at $26.5 million, down just slightly from the
appraised value of $28.7 million at issuance, DBRS Morningstar does
not expect a significant loss with this loan. However, given the
extended delinquency and stay in special servicing, DBRS
Morningstar analyzed the loan with an elevated POD to increase the
expected loss.

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



WELLS FARGO 2016-NXS6: Fitch Affirms 'B-' Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed all 14 classes of Wells Fargo Commercial
Mortgage Trust 2016-NXS6 (WFCM 2016-NXS6). The Rating Outlooks for
three classes have been revised to Stable from Negative.

   DEBT            RATING                 PRIOR
   ----            ------                 -----
WFCM 2016-NXS6

A-2 95000KAZ8    LT   AAAsf    Affirmed   AAAsf

A-3 95000KBA2    LT   AAAsf    Affirmed   AAAsf

A-4 95000KBB0    LT   AAAsf    Affirmed   AAAsf

A-S 95000KBD6    LT   AAAsf    Affirmed   AAAsf

A-SB 95000KBC8   LT   AAAsf    Affirmed   AAAsf

B 95000KBG9      LT   AA-sf    Affirmed   AA-sf

C 95000KBH7      LT   A-sf     Affirmed   A-sf

D 95000KAJ4      LT   BBB-sf   Affirmed   BBB-sf

E 95000KAL9      LT   BB-sf    Affirmed   BB-sf

F 95000KAN5      LT   B-sf     Affirmed   B-sf

X-A 95000KBE4    LT   AAAsf    Affirmed   AAAsf

X-B 95000KBF1    LT   AA-sf    Affirmed   AA-sf

X-D 95000KAA3    LT   BBB-sf   Affirmed   BBB-sf

X-E 95000KAC9    LT   BB-sf    Affirmed   BB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
and base case loss expectations remained relatively stable since
Fitch's prior rating action. The Outlook revision to Stable from
Negative reflects the performance stabilization for the majority of
properties affected by the pandemic. Fitch has identified 13 Fitch
Loans of Concern (FLOCs; 37.9% of the pool balance), including
three (11.8%) specially serviced loans. Nine loans (15.4%) are on
the master servicer's watchlist for declines in occupancy,
performance declines as a result of the pandemic, upcoming rollover
and/or deferred maintenance. Fitch's current ratings incorporate a
base case loss of 5.9%.

The largest contributor to overall loss expectations is the largest
specially serviced loan in the pool, Cassa Times Square Mixed-Use
(5.4%). The loan is secured by an 86-key boutique hotel, ground
floor retail, and a below ground parking garage located in Midtown
Manhattan, a couple blocks from Times Square. Performance had
suffered as a result of the pandemic, and the loan transferred to
special servicing in May 2020 for imminent monetary default. A
receiver and new property manager, Aimbridge Hospitality, have
recently taken control of the property and have renamed the hotel
Truss Hotel Times Square. Fitch's modeled loss of 25% is based on a
discount to a recent servicer-provided valuation, and equates to a
stressed value of approximately $358,000 per key.

The second largest contributor to overall loss expectations is the
Peachtree Mall (2.6% of the pool) loan, which is secured by 621,367
sf of an 822,443 sf regional mall located in Columbus, GA and
sponsored by Brookfield Properties Retail Group. The loan was
designated a FLOC given the secular consumer shift away from
traditional regional mall retail. The mall is anchored by a
non-collateral Dillard's and collateral tenants that include
JCPenney, At Home and Macy's. Per the March 2022 rent roll, the
collateral was 96% occupied, which is up from 91% in 2021 and 93%
in 2020. Servicer-reported NOI debt service coverage ratio (DSCR)
for this amortizing loan was 1.65x as of the YTD March 2022
compared with 1.58x at YE 2021 and 1.56x at YE 2020.

Comparable in-line tenant sales were $444 psf for YE 2021, up from
$331 psf at YE 2020, $383 psf at YE 2019 and $409 psf at issuance.
Tenants comprising approximately 10.3% of the NRA have leases
scheduled to expire by YE 2022 with another 22.8% scheduled to
expire in 2023, including At Home (13.8% NRA). Fitch's base case
loss of approximately 22% reflects a 20% cap rate and 5% total
haircut to the YE 2021 NOI.

Increasing Credit Enhancement (CE): As of the June 2022
distribution date, the pool's aggregate balance has been reduced by
15.6% to $638.7 million from $757.1 million at issuance. Three
loans (11.5% at prior review) have paid down at maturity or post
maturity including the second largest loan, Novo Nordisk (10.1%).
Four loans (3.2% of current pool) are fully defeased. Nine loans
(47.8%) are full-term IO. Of the 14 loans (15.3%) structured with a
partial IO period, all have begun amortizing. The transaction has
not realized any losses to date. Currently, interest shortfalls are
affecting the non-rated classes G and H and also class F.

Pool Concentration: The largest 10 loans make up 58.3% of the
remaining deal balance and the largest 15 make up 71.1%. Based on
property type, the highest concentration is retail (30.1%),
followed by office (19.4%) and mixed use (18.9%).

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 the 'AA-sf' and 'AAAsf' categories are
less likely due to increasing CE and expected continued
amortization but may occur if losses increase substantially or
shortfalls affect these classes. A downgrade to the 'BBB-sf' and
'A-sf' categories would likely occur if multiple large loans
transfer to special servicing and expected losses increase
considerably. Downgrades to 'B-sf', 'BB-sf' categories would occur
with continued transfer of loans to special servicing or if
performance of the FLOCs, specifically those within the top 15,
fail 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.

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

Sensitivity factors that lead to upgrades would occur with stable
to improved asset performance coupled with paydown and/or
defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories could
occur with large improvement in CE and/or defeasance, and with the
stabilization of performance amongst the FLOCs and specially
serviced loans. Upgrades to the 'BBB-sf' category 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. An upgrade to the 'B-sf' and 'BB-sf'
categories are not likely until the later years in a transaction
and only if the performance of the remaining pool is stable and
there is sufficient CE 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.


WELLS FARGO 2021-C60: DBRS Confirms B(low) Rating on L-RR Certs
---------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2021-C60 issued by Wells Fargo
Commercial Mortgage Trust 2021-C60 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 X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class X-B at AA (sf)
-- Class C at AA (low) (sf)
-- Class X-D at AA (low) (sf)
-- Class D at A (high) (sf)
-- Class E-RR at A (low) (sf)
-- Class F-RR at BBB (high) (sf)
-- Class G-RR at BBB (sf)
-- Class H-RR at BB (high) (sf)
-- Class J-RR at BB (high) (sf)
-- Class K-RR at BB (low) (sf)
-- Class L-RR at B (low) (sf)

All trends are Stable. The confirmations and Stable trends reflect
a deal that is early in its lifecycle with limited reporting and no
changes to the performance of the underlying portfolio from
issuance.

At issuance, the collateral consisted of 61 fixed-rate loans,
secured by 105 commercial and multifamily properties with an
initial trust balance of $748.6 million. As of the April 2022
remittance, all of the original 61 loans remain outstanding, with a
total trust balance of $746.3 million, down from $748.6 million at
issuance. Twenty-nine loans representing 59.6% of the pool are
interest-only (IO) for the full term. An additional 16 loans
representing 21.9% of the pool are structured with partial
interest-only terms, only two of which have begun amortizing. The
pool is concentrated by property type, with retail, multifamily,
industrial, and office assets representing, 25.9%, 23.0%, 15.6%,
and 13.6%, respectively, of the current pool balance. Despite the
portfolio's high concentration of retail properties, 74.3% of
retail collateral is secured by anchored or shadow-anchored
properties, and 42.9% of the overall retail concentration have
sponsors that DBRS Morningstar deems to be Strong. One loan, The
Westchester (2.7% of the total pool balance), is secured by a
regional mall.

There are no loans in special servicing, but there are six loans,
representing 7.2% of the current pool balance, on the servicer's
watchlist. The largest loan on the servicer's watchlist, Rollins
Portfolio (3.3% of the current pool balance), is backed by a
portfolio of 14 flex-industrial buildings throughout Northern
California. As of April 2022, the loan was delinquent on county
taxes. The servicer has contacted the borrower regarding the
delinquency, and proof of payment has been requested. The second
largest loan on the servicer's watchlist, TownePlace Suites Laplace
(1.1% of the current pool balance), is backed by a 93-key lodging
property in LaPlace, Los Angeles. The property was affected by
Hurricane Ida in August 2021 and sustained major water damage due
to a lost roof caused by the storm. A new roof was scheduled to be
installed in September 2021, and DBRS Morningstar will continue to
monitor the loan for confirmation that repairs have been
completed.

At issuance, one loan—The Grace Building (6.7% of the current
pool balance)—exhibited credit characteristics consistent with an
investment-grade shadow rating of A (sf). The 48-story Class A
office tower is on the northern edge of Bryant Park in Manhattan.
As of December 2021, the property was 99.0% leased to a granular
rent roll of tenants, including the Bank of America and Bain &
Company. Credit metrics for the loan remain strong, with both cash
flow and the debt service coverage ratio (2.16 times as of YE2021)
in line with expectations at issuance. With this review, DBRS
Morningstar confirms that the characteristics of this loan remain
consistent with the investment-grade shadow rating.

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



WESTLAKE AUTOMOBILE 2022-2: DBRS Gives Prov. B(high) on F Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Westlake Automobile Receivables Trust 2022-2
(Westlake 2022-2 or the Issuer):

-- $230,600,000 Class A-1 Notes at R-1 (high) (sf)
-- Class A-2-A Notes at AAA (sf) *
-- Class A-2-B Notes at AAA (sf) *
-- $148,580,000 Class A-3 Notes at AAA (sf)
-- $90,230,000 Class B Notes at AA (high) (sf)
-- $143,030,000 Class C Notes at A (high) (sf)
-- $123,650,000 Class D Notes at BBB (high) (sf)
-- $40,100,000 Class E Notes at BB (high) (sf)
-- $100,920,000 Class F Notes at B (high) (sf)

*The combination of the Class A-2-A and Class A-2-B Notes is
expected to equal $422,890,000. The allocation of the principal
amount between the Class A-2-A and Class A-2-B Notes will be
determined at or before the time of pricing (subject to a maximum
allocation of 30% to the Class A-2-B notes) and may result in the
principal amount of the Class A-2-B notes being zero.

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

(1) Transaction capital structure, 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 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 principal by the
legal final maturity date for each class.

(2) The Westlake 2022-B Notes are exposed to interest risk because
of the fixed-rate collateral and the variable interest rate borne
by the Class A-2-B Notes.

-- DBRS Morningstar ran interest rate stress scenarios to assess
the effect on the transaction's performance and its ability to pay
noteholders per the transaction's legal documents.

-- DBRS Morningstar assumed two stressed interest rate
environments for each rating category, which consist of increasing
and declining forward interest rate paths for 30-day average
Secured Overnight Financing Rate (SOFR) based on the DBRS
Morningstar Unified Interest Rate Tool.

(3) The DBRS Morningstar CNL assumption is 10.10% based on the
expected 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 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 United States
remains relatively positive.

(4) The Westlake 2022-2 Notes are exposed to interest risk because
of the fixed-rate collateral and the variable interest rate borne
by the Class A-2-B Notes.

-- DBRS Morningstar ran interest rate stress scenarios to assess
the effect on the transaction's performance and its ability to pay
noteholders per the transaction's legal documents.

-- DBRS Morningstar assumed two stressed interest rate
environments for each rating category, which consist of increasing
and declining forward interest rate paths for 30-day average
Secured Overnight Financing Rate (SOFR) based on the DBRS
Morningstar Unified Interest Rate Tool.

(5) The consistent operational history of Westlake Services, LLC
(Westlake or the Company) and the strength of the overall Company
and its management team.

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

(6) The capabilities of Westlake with regard to originations,
underwriting, and servicing.

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

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

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

(8) The Company indicated that it may be subject to various
consumer claims and litigation seeking damages and statutory
penalties. Some litigation against Westlake could take the form of
class action complaints by consumers; however, the Company
indicated that there is no material pending or threatened
litigation.

(9) Westlake 2022-2 provides for Class F Notes with an assigned
rating of B (sf). While DBRS Morningstar's "Rating U.S. Retail Auto
Loan Securitizations" methodology does not set forth a range of
multiples for this asset class at the B (sf) level, the analytical
approach for this rating level is consistent with that contemplated
by the methodology. The typical range of multiples DBRS Morningstar
applies in its stress analysis for a B (sf) rating is 1.00 times
(x) to 1.25x.

(10) Computershare Trust Company, N.A. (rated BBB and R-2 (middle)
with Stable trends by DBRS Morningstar) has served as a backup
servicer for Westlake.

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

The collateral securing the notes consists entirely of a pool of
retail automobile contracts secured by predominantly used vehicles
that typically have high mileage. The loans are primarily made to
obligors who are categorized as subprime, largely because of their
credit history and credit scores.

Westlake 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 ratings on the Class A-1, A-2-A, A-2-B, and A-3 Notes reflect
41.00% of initial hard credit enhancement provided by subordinated
notes in the pool (37.25%), the reserve account (1.00%), and OC
(2.75%). The ratings on the Class B, Class C, Class D, Class E, and
Class F Notes reflect 34.25%, 23.55%, 14.30%, 11.30%, and 3.75% 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.



[*] DBRS Reviews 1200 Classes from 34 U.S. RMBS Transactions
------------------------------------------------------------
DBRS, Inc. reviewed 1200 classes from 34 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 1200 classes
reviewed, DBRS Morningstar upgraded 211 ratings, confirmed 950
ratings, and discontinued 39 ratings.

The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The discontinued ratings reflect the full
repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of
seasoned, and prime mortgage collateral.

The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers these differences material deviations; however, in these
cases, the ratings on the subject securities may reflect additional
seasoning being warranted to substantiate a further upgrade or that
the actual deal or tranche performance is not fully reflected in
the projected cash flows/model output.

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-2

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-2-A

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-2-X

-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series
2019-J1, Class B-3

-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series
2019-J1, Class B-4

-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series
2019-J1, Class B-5

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-3

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-4

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-5

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series
2020-J1, Class B-2

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series
2020-J1, Class B-IO2

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series
2020-J1, Class B-2A

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series
2020-J1, Class B-3

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series
2020-J1, Class B-4

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series
2020-J1, Class B-5

-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage
Pass-Through Certificates, Series 2020-PJ4, Class B-3-A

-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage
Pass-Through Certificates, Series 2020-PJ4, Class B-4

-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage
Pass-Through Certificates, Series 2020-PJ4, Class B-5

-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage
Pass-Through Certificates, Series 2020-PJ4, Class B-3-X

-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage
Pass-Through Certificates, Series 2020-PJ4, Class B-3

-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage
Pass-Through Certificates, Series 2020-PJ4, Class B

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-2

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-2-A

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-2-X

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-3

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-3-A

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-3-X

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-4

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-5

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-X

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-5-Y

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-2

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-2-A

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-2-X

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-3

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-3-A

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-3-X

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-4

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-5

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-X

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-5-Y

-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through
Certificates, Series 2020-6, Class B-2

-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through
Certificates, Series 2020-6, Class B-2-A

-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through
Certificates, Series 2020-6, Class B-2-X

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-2

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-2-A

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-2-X

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-3

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-3-A

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-3-X

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-4

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-5

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-X

-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through
Certificates, Series 2020-7, Class B-5-Y

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-2

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-2-A

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-2-X

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-3

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-3-A

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-3-X

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-4

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-5

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-X

-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through
Certificates, Series 2020-INV2, Class B-5-Y

-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2,
Class B-2

-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2,
Class B2-IO

-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2,
Class B2-A

-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2,
Class B-3

-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2,
Class B-4

-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2,
Class B-5

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B-1

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B1-IO1

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B1-IO2

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B1-A

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B1-B

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-1

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-1-IO1

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-1-IO2

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-1-A

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-1-B

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-2

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-2-IO1

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-2-IO2

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-2-A

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B2-2-B

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B-3

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B-4

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B-5

-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3,
Class B6-1

-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B4

-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B5

-- Wells Fargo Mortgage Backed Securities 2020-5 Trust, Mortgage
Pass-Through Certificates, Series 2020-5, Class B-5

-- WinWater Mortgage Loan Trust 2014-3, Mortgage Pass-Through
Certificates, Series 2014-3, Class B-4

-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through
Certificates, Series 2015-A, Class B-4

-- GS Mortgage-Backed Securities Trust 2021-PJ7, Mortgage
Pass-Through Certificates, Series 2021-PJ7, Class B-2

-- Mello Mortgage Capital Acceptance 2021-MTG3, Mortgage
Pass-Through Certificates, Series 2021-MTG3 Class B2

-- Mello Mortgage Capital Acceptance 2021-MTG3, Mortgage
Pass-Through Certificates, Series 2021-MTG3 Class B2A

-- Mello Mortgage Capital Acceptance 2021-MTG3, Mortgage
Pass-Through Certificates, Series 2021-MTG3 Class BX2

-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes,
Series 2019-1, Class A-3

-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes,
Series 2019-1, Class M-1

-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes,
Series 2019-1, Class B-1

-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes,
Series 2019-1, Class B-2

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B2

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B3

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B4

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B5

-- CIM Trust 2018-R3, Mortgage-Backed Notes, Series 2018-R3, Class
B1

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M1

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M2

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B1

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B2

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B3

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class A5

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M1A

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M1AX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M1B

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M1BX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M2A

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M2AX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M2B

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class M2BX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B1A

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B1AX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B1B

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B1BX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B2A

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B2AX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B2B

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B2BX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B3A

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B3AX

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B3B

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities,
Series Asset-Backed Securities, Series 2019-MH1, Class B3BX

CORONAVIRUS DISEASE (COVID-19) IMPACT

The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
RMBS asset classes shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
coronavirus, because the option to forbear mortgage payments was so
widely available, it drove forbearance to a very high level. When
the dust settled, coronavirus-induced forbearance in 2020 performed
better than expected, thanks to government aid 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: The principal methodology is U.S. RMBS Surveillance
Methodology (February 21, 2020), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.


[*] Fitch Affirms 11 SLM & 1 Navient Private Student Loan Trusts
----------------------------------------------------------------
Fitch Ratings has affirmed 30 tranches from 11 SLM Private Credit
Student Loan Trusts (SLM) and seven tranches from two Navient
Private Education Loan Trusts (NAVSL).

The affirmations reflect Fitch's assessment of the available credit
enhancement (CE) commensurate at each note's corresponding rating
level. While CE has been increasing for all senior and mezzanine
notes, all transactions have seen asset performance reverting back
to pre-Covid-19 levels, with increasing delinquencies and
defaults.

The remaining term to maturity for all transactions has remained
flat or has increased as a consequence of loan modifications and
loan forbearance, increasing maturity risk on the liability side.

   DEBT           RATING                 PRIOR
   ----           ------                 -----
SLM Private Credit Student Loan Trust 2004-A

A-3 78443CBH6    LT   AAsf     Affirmed   AAsf

SLM Private Credit Student Loan Trust 2003-B

A-3 78443CAN4    LT   A-sf     Affirmed   A-sf

A-4 78443CAP9    LT   A-sf     Affirmed   A-sf

B 78443CAQ7      LT   BBBsf    Affirmed   BBBsf

C 78443CAR5      LT   CCsf     Affirmed   CCsf

SLM Private Credit Student Loan Trust 2003-A

A-3 78443CAJ3    LT   A-sf     Affirmed   A-sf

A-4 78443CAK0    LT   A-sf     Affirmed   A-sf

B 78443CAG9      LT   BBB+sf   Affirmed   BBB+sf

C 78443CAH7      LT   CCsf     Affirmed   CCsf

SLM Private Credit Student Loan Trust 2003-C

A-3 78443CBA1    LT   A-sf     Affirmed   A-sf

A-4 78443CBB9    LT   A-sf     Affirmed   A-sf

A-5 78443CBC7    LT   A-sf     Affirmed   A-sf

B 78443CBD5      LT   BBBsf    Affirmed   BBBsf

C 78443CBE3      LT   CCsf     Affirmed   CCsf

SLM Private Credit Student Loan Trust 2006-B

A-5 78443CCU6    LT   Asf      Affirmed   Asf

A-5W 78443CCY80  LT   Asf      Affirmed   Asf

B 78443CCV4      LT   BBB+sf   Affirmed   BBB+sf

Navient Private Education Loan Trust 2015-A

A-2A 63939EAB9   LT   AAAsf    Affirmed   AAAsf

A-2B 63939EAC7   LT   AAAsf    Affirmed   AAAsf

A3 63939EAD5     LT   AAAsf    Affirmed   AAAsf

B 63939EAE3      LT   AAsf     Affirmed   AAsf

Navient Private Education Loan Trust 2016-A

A-2A 63939NAB9   LT   AAAsf    Affirmed   AAAsf

A-2B 63939NAC7   LT   AAAsf    Affirmed   AAAsf

B 63939NAD5      LT   AAsf     Affirmed   AAsf

SLM Private Credit Student Loan Trust 2004-B

A-3 78443CBN3    LT   AAAsf    Affirmed   AAAsf

A-4 78443CBP8    LT   AAsf     Affirmed   AAsf

SLM Private Credit Student Loan Trust 2007-A

A-4 78443DAD4    LT   A-sf     Affirmed   A-sf

B 78443DAF9      LT   BBBsf    Affirmed   BBBsf

C-1 78443DAH5    LT   BB+sf    Affirmed   BB+sf

C-2 78443DAJ1    LT   BB+sf    Affirmed   BB+sf

SLM Private Credit Student Loan Trust 2006-C

A-5 78443JAE9    LT   AA-sf    Affirmed   AA-sf

B 78443JAF6      LT   Asf      Affirmed   Asf

C 78443JAG4      LT   BBB-sf   Affirmed   BBB-sf

SLM Private Credit Student Loan Trust 2005-A

A-4 78443CBV5    LT   A+sf     Affirmed   A+sf

SLM Private Credit Student Loan Trust 2006-A

A-5 78443CCL6    LT   A+sf     Affirmed   A+sf

B 78443CCM4      LT   Asf      Affirmed   Asf

SLM Private Credit Student Loan Trust 2005-B

A-4 78443CCB8    LT   A+sf    Affirmed    A+sf

KEY RATING DRIVERS

Collateral Performance: All trusts are collateralized by private
student loans, originated by SLM Corp. (BB+/Positive/B) and Navient
Corp. (BB-/Stable/B). Loans in the SLM trusts were originated under
the Signature Education Loan Program, LAWLOANS program, MBA Loans
program, and MEDLOANS program. SLM 2007-A and Navient trusts also
included loans originated under the Direct to Consumer and Private
Credit Consolidation programs. Navient also comprises Navient's
Smart Option program, launched in 2009.

For transactions modelled for this surveillance review, Fitch's
remaining default projections (as a percentage of the outstanding
non-defaulted pool balance) are as follows:

SLM 2003-A: 9.1%

SLM 2003-B: 9.3%

SLM 2003-C: 9.2%

SLM 2004-A: 9.1%

SLM 2004-B: 9.4%

SLM 2005-A: 11.2%

SLM 2005-B: 11.2%

SLM 2006-A: 11.7%

SLM 2006-B: 13.7%

SLM 2006-C: 13.7%

SLM 2007-A: 15.0%

Navient 2015-A: 14.7%

Navient 2016-A: 14.4%

The recovery assumption is 18.0% of defaulted amounts for all
transactions, unchanged from previous surveillance reviews.

For SLM 2003-A, SLM 2003-B, SLM 2003-C, SLM 2004-A, SLM 2004-B, SLM
2005-A, and SLM 2005-B, Fitch applied a low default stress multiple
in the multiple range from Fitch's Private Student Loan Criteria,
resulting in a 3.5x multiple at 'AAAsf'. For SLM 2006-A, SLM
2006-B, SLM 2006-C, 2007-A, Navient 2015-A, and Navient 2016-A,
Fitch applied a medium/low default stress multiple of 3.75x
multiple at 'AAAsf'. The assumed multiples are unchanged from the
previous surveillance review.

Payment Structure: For all transactions, available CE is sufficient
to provide loss coverage in line with the assigned rating category.
CE is provided by a combination of overcollateralization (OC; the
excess of the trust's asset balance over the bond balance), excess
spread, and subordination of more junior notes. As reflected in the
assigned ratings, the class C notes for SLM 2003-A, 2003-B and
2003-C are currently under collateralized. OC for SLM 2004-A is at
$30.9M as of June 2022 vs a floor of $26.9M. All other deals are at
their OC floor level.

Operational Capabilities: Navient Solutions LLC is the servicer for
all the loans in the trusts. Fitch has reviewed the servicing
operations of Navient and considers it to be an effective private
student loan servicer.

RATING SENSITIVITIES

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

SLM 2003-A

Current Ratings: 'A-sf'/'A-sf'/'BBB+sf'.

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Increase base-case defaults by 10%: 'A+sf'/'A+sf'/'Asf';

Increase base-case defaults by 25%: 'Asf'/'Asf'/'A-sf';

Increase base-case defaults by 50%: 'BBB+sf'/'BBB+sf'/'BBBsf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/B):

Reduce base-case recoveries by 10%: 'AA-sf'/'AA-sf'/'Asf';

Reduce base-case recoveries by 20%: 'AA-sf'/'AA-sf'/'Asf';

Reduce base-case recoveries by 30%: 'AA-sf'/'AA-sf'/'Asf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/B):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'A+sf'/'A+sf'/'Asf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'Asf'/'Asf'/'BBB+sf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'BBB+sf'/'BBB+sf'/'BBB-sf'.

SLM 2003-B

Current Ratings: 'A-sf'/'A-sf'/'BBBsf'.

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Increase base-case defaults by 10%: 'BBBsf'/'BBBsf'/'BB+sf';

Increase base-case defaults by 25%: 'BBB-sf'/'BBB-sf'/'BBsf';

Increase base-case defaults by 50%: 'BBsf'/'BBsf'/'B-sf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/B):

Reduce base-case recoveries by 10%: 'BBB+sf'/'BBB+sf'/'BBB-sf';

Reduce base-case recoveries by 20%: 'BBB+sf'/'BBB+sf'/'BBB-sf';

Reduce base-case recoveries by 30%: 'BBBsf'/'BBBsf'/'BBB-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/B):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'BBBsf'/'BBBsf'/'BB+sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'BB+sf'/'BB+sf'/'BBsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'B+sf'/'B+sf'/'CCCsf'.

SLM 2003-C

Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf'.

Expected impact on the note rating of increased defaults (class
A-3/A-4/A-5/B):

Increase base-case defaults by 10%:
'BBB-sf'/'BBB-sf'/'BBB-sf'/'BBsf';

Increase base-case defaults by 25%:
'BB+sf'/'BB+sf'/'BB+sf'/'B+sf';

Increase base-case defaults by 50%: 'B+sf'/'B+sf'/'B+sf'/'CCCsf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/A-5/B):

Reduce base-case recoveries by 10%:
'BBBsf'/'BBBsf'/'BBBsf'/'BB+sf';

Reduce base-case recoveries by 20%:
'BBBsf'/'BBBsf'/'BBBsf'/'BB+sf';

Reduce base-case recoveries by 30%:
'BBBsf'/'BBBsf'/'BBBsf'/'BB+sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/A-5/B):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'BBB-sf'/'BBB-sf'/'BBB-sf'/'BBsf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'BBsf'/'BBsf'/'BBsf'/'Bsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'B-sf'/'B-sf'/'B-sf'/'CCCsf'.

SLM 2004-A

Current Ratings: 'AAsf'.

Expected impact on the note rating of increased defaults (class
A-3):

Increase base-case defaults by 10%: 'AA+sf';

Increase base-case defaults by 25%: 'AAsf';

Increase base-case defaults by 50%: 'AA-sf'.

Expected impact on the note rating of reduced recoveries (class
A-3):

Reduce base-case recoveries by 10%: 'AAAsf';

Reduce base-case recoveries by 20%: 'AAAsf';

Reduce base-case recoveries by 30%: 'AAAsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'AA+sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'AAsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'A+sf'.

SLM 2004-B

Current Ratings: 'AAAsf'/'AAsf'.

Expected impact on the note rating of increased defaults (class
A-3/A-4):

Increase base-case defaults by 10%: 'AAAsf'/'A+sf';

Increase base-case defaults by 25%: 'AAAsf'/'Asf';

Increase base-case defaults by 50%: 'AAAsf'/'BBB+sf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4):

Reduce base-case recoveries by 10%: 'AAAsf'/'AA-sf';

Reduce base-case recoveries by 20%: 'AAAsf'/'AA-sf';

Reduce base-case recoveries by 30%: 'AAAsf'/'AA-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'AAAsf'/'A+sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'AAAsf'/'Asf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'AAAsf'/'BBB+sf'.

SLM 2005-A

Current Ratings: 'A+sf'.

Expected impact on the note rating of increased defaults (class
A-4):

Increase base-case defaults by 10%: 'A-sf';

Increase base-case defaults by 25%: 'BBBsf';

Increase base-case defaults by 50%: 'BB+sf'.

Expected impact on the note rating of reduced recoveries (class
A-4):

Reduce base-case recoveries by 10%: 'A-sf';

Reduce base-case recoveries by 20%: 'A-sf';

Reduce base-case recoveries by 30%: 'A-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-4):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'BBB+sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'BBBsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'BB+sf'.

SLM 2005-B

Current Ratings: 'A+sf'/'A-sf'.

Expected impact on the note rating of increased defaults (class
A-4):

Increase base-case defaults by 10%: 'BBB+sf';

Increase base-case defaults by 25%: 'BBB-sf';

Increase base-case defaults by 50%: 'BBsf'.

Expected impact on the note rating of reduced recoveries (A-4):

Reduce base-case recoveries by 10%: 'BBB+sf';

Reduce base-case recoveries by 20%: 'BBB+sf';

Reduce base-case recoveries by 30%: 'BBB+sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-4):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'BBBsf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'BBB-sf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'BB-sf'.

SLM 2006-A

Current Ratings: 'A+sf'/'Asf'.

Expected impact on the note rating of increased defaults (class
A-5/B):

Increase base-case defaults by 10%: 'BBB+sf'/'BBBsf';

Increase base-case defaults by 25%: 'BBBsf'/'BB+sf';

Increase base-case defaults by 50%: 'BB+sf'/'BBsf'.

Expected impact on the note rating of reduced recoveries (class
A-5/B):

Reduce base-case recoveries by 10%: 'A-sf'/'BBB+sf';

Reduce base-case recoveries by 20%: 'A-sf'/'BBBsf';

Reduce base-case recoveries by 30%: 'BBB+sf'/'BBBsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-5):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'BBB+sf'/'BBBsf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'BBBsf'/'BB+sf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'BBsf'/'B+sf'.

SLM 2006-B

Current Ratings: 'Asf'/'BBB+sf'.

Expected impact on the note rating of increased defaults (class
A-5/B):

Increase base-case defaults by 10%: 'BBB-sf'/'BBB-sf';

Increase base-case defaults by 25%: 'BB+sf'/'BBsf';

Increase base-case defaults by 50%: 'BB-sf'/'Bsf'.

Expected impact on the note rating of reduced recoveries (class
A-5/B):

Reduce base-case recoveries by 10%: 'BBBsf'/'BBB-sf';

Reduce base-case recoveries by 20%: 'BBBsf'/'BBB-sf';

Reduce base-case recoveries by 30%: 'BBBsf'/'BBB-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-5/B):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'BBB-sf'/'BB+sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'BB+sf'/'BBsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'B+sf'/'CCCsf'.

SLM 2006-C

Current Ratings: 'AA-sf/'Asf'/'BBB-sf'.

Expected impact on the note rating of increased defaults (class
A-5/B/C):

Increase base-case defaults by 10%: 'AAAsf'/'AA-sf'/'BBB-sf';

Increase base-case defaults by 25%: 'AA+sf'/'A+sf'/'BBsf';

Increase base-case defaults by 50%: 'AA-sf'/'A-sf'/'Bsf'.

Expected impact on the note rating of reduced recoveries (class
A-5/B/C):

Reduce base-case recoveries by 10%: 'AAAsf'/'AAsf'/'BBBsf';

Reduce base-case recoveries by 20%: 'AAAsf'/'AAsf'/'BBB-sf';

Reduce base-case recoveries by 30%: 'AAAsf'/'AAsf'/'BBB-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-5/B/C):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'AAAsf'/'AA-sf'/'BB+sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'AA+sf'/'Asf'/'BBsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'A+sf'/'BBB+sf'/'CCCsf'.

SLM 2007-A

Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf'.

Expected impact on the note rating of increased defaults (class
A-4/B/C-1/C-2):

Increase base-case defaults by 10%:
'Asf'/'BBB+sf'/'BB-sf'/'BB-sf';

Increase base-case defaults by 25%: 'A-sf'/'BBB-sf'/'B-sf'/'B-sf';

Increase base-case defaults by 50%:
'BBBsf'/'BBsf'/'CCCsf'/'CCCsf'.

Expected impact on the note rating of reduced recoveries (class
A-4/B/C-1/C-2):

Reduce base-case recoveries by 10%: 'A+sf'/'BBB+sf'/'BBsf'/'BBsf';

Reduce base-case recoveries by 20%: 'A+sf'/'BBB+sf'/'BBsf'/'BBsf';

Reduce base-case recoveries by 30%: 'A+sf'/'BBB+sf'/'BBsf'/'BBsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-4/B/C-1/C-2):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'Asf'/'BBB+sf'/'B+sf'/'B+sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'A-sf'/'BBB-sf'/'CCCsf'/'CCCsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'BBBsf'/'BBsf'/'CCCsf'/'CCCsf'.

NAVSL 2015-A

Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'.

Expected impact on the note rating of increased defaults (class
A-2A/A-2B/A-3/B):

Increase base-case defaults by 10%:
'AAAsf'/'AAAsf'/'AAAsf'/'A-sf';

Increase base-case defaults by 25%:
'AAAsf'/'AAAsf'/'AA+sf'/'BBB+sf';

Increase base-case defaults by 50%:
'AAAsf'/'AAAsf'/'AA-sf'/'BBB-sf'.

Expected impact on the note rating of reduced recoveries (class
A-2A/A-2B/A-3/B):

Reduce base-case recoveries by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'Asf';

Reduce base-case recoveries by 20%: 'AAAsf'/'AAAsf'/'AAAsf'/'Asf';

Reduce base-case recoveries by 30%: 'AAAsf'/'AAAsf'/'AAAsf'/'Asf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2A/A-2B/A-3/B):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'AAAsf'/'AAAsf'/'AA+sf'/'A-sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'AAAsf'/'AAAsf'/'AAsf'/'BBBsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'AA+sf'/'AA+sf'/'A+sf'/'BB+sf'.

NAVSL 2016-A

Current Ratings: 'AAAsf'/'AAAsf'/'AAsf'.

Expected impact on the note rating of increased defaults (class
A-2A/A-2B/B):

Increase base-case defaults by 10%:'AA+sf'/'AA+sf'/'A-sf'

Increase base-case defaults by 25%: 'AAsf'/'AAsf'/'BBB+sf';

Increase base-case defaults by 50%: 'A+sf'/'A+sf'/'BBB-sf'.

Expected impact on the note rating of reduced recoveries (class
A-2A/A-2B/B):

Reduce base-case recoveries by 10%: 'AAAsf'/'AAAsf'/'Asf';

Reduce base-case recoveries by 20%: 'AAAsf'/'AAAsf'/'Asf';

Reduce base-case recoveries by 30%: 'AAAsf'/'AAAsf'/'A-sf.'

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2A/A-2B/B):

Increase base-case defaults and reduce base-case recoveries each by
10%: 'AA+sf'/'AA+sf'/'A-sf';

Increase base-case defaults and reduce base-case recoveries each by
25%: 'AAsf'/ 'AAsf'/ 'BBBsf';

Increase base-case defaults and reduce base-case recoveries each by
50%: 'Asf'/'Asf'/'BB+sf'.


Factors that could, individually or collectively, lead to positive
rating action/upgrade:
SLM 2003-A

Current Ratings: 'A-sf'/'A-sf'/'BBB+sf'.

Expected impact on the note rating of decreased defaults (class
A-3/A-4/B):

Decrease base-case defaults by 10%: 'AAsf'/'AAsf'/'A+sf';

Decrease base-case defaults by 25%: 'AA+sf'/'AA+sf'/'AAsf';

Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.

SLM 2003-B

Current Ratings: 'A-sf'/'A-sf'/'BBBsf';

Expected impact on the note rating of decreased defaults (class
A-3/A-4/B):

Decrease base-case defaults by 10%: 'A-sf'/'A-sf'/'BBBsf';

Decrease base-case defaults by 25%: 'A'/'Asf'/'A-sf';

Decrease base-case defaults by 50%: 'AA+sf'/'AA+sf'/'AA-sf'.

SLM 2003-C

Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf'.

Expected impact on the note rating of decreased defaults (class
A-3/A-4/A-5/B):

Decrease base-case defaults by 10%:
'BBB+sf'/'BBB+sf'/'BBB+sf'/'BBB-sf';

Decrease base-case defaults by 25%: 'Asf'/'Asf'/'Asf'/'BBB+sf'';

Decrease base-case defaults by 50%: 'AAsf'/'AAsf'/'AAsf'/'A+sf'.

SLM 2004-A

Current Ratings: 'AAsf'.

Expected impact on the note rating of decreased defaults (class
A-3):

Decrease base-case defaults by 10%: 'AAAsf';

Decrease base-case defaults by 25%: 'AAAsf';

Decrease base-case defaults by 50%: 'AAAsf'.

SLM 2004-B

Current Ratings: 'AAAsf'/'AAsf'.

Expected impact on the note rating of decreased defaults (class
A-3/A-4):

Decrease base-case defaults by 10%: 'AAAsf'/'AAsf';

Decrease base-case defaults by 25%: 'AAAsf'/'AA+sf';

Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'.

SLM 2005-A

Current Ratings: 'A+sf'.

Expected impact on the note rating of decreased defaults (class
A-4):

Decrease base-case defaults by 10%: 'Asf';

Decrease base-case defaults by 25%: 'AA-sf';

Decrease base-case defaults by 50%: 'AAAsf'.

SLM 2005-B

Current Ratings: 'A+sf'.

Expected impact on the note rating of decreased defaults (class
A-4):

Decrease base-case defaults by 10%: 'Asf';

Decrease base-case defaults by 25%: 'A+sf';

Decrease base-case defaults by 50%: 'AA+sf'.

SLM 2006-A

Current Ratings: 'A+sf'/'Asf'.

Expected impact on the note rating of decreased defaults (class
A-5/B):

Decrease base-case defaults by 10%: 'Asf'/'A-sf';

Decrease base-case defaults by 25%: 'AA-sf'/'A+sf';

Decrease base-case defaults by 50%: 'AAAsf'/'AA+sf'.

SLM 2006-B

Current Ratings: 'Asf'/'BBB+sf'.

Expected impact on the note rating of decreased defaults (class
A-5/B):

Decrease base-case defaults by 10%: 'BBB+sf'/'BBB+sf';

Decrease base-case defaults by 25%: 'Asf'/'A-sf';

Decrease base-case defaults by 50%: 'AA+sf'/'AA+sf'.

SLM 2006-C

Current Ratings: 'AA-sf/'Asf'/'BBB-sf'.

Expected impact on the note rating of decreased defaults (class
A-5/B/C):

Decrease base-case defaults by 10%: 'AAAsf'/'AA+sf'/'BBB+sf';

Decrease base-case defaults by 25%: 'AAAsf'/'AAAsf'/'Asf';

Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AA+sf'.

SLM 2007-A

Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf'.

Expected impact on the note rating of decreased defaults (class
A-4/B/C-1/C-2):

Decrease base-case defaults by 10%: 'AA-sf'/'Asf'/'BB+sf'/'BB+sf';

Decrease base-case defaults by 25%:
'AA+sf'/'A+sf'/'BBBsf'/'BBBsf';

Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'A+sf'/'A+sf'.

NAVSL 2015-A

Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'.

Expected impact on the note rating of decreased defaults (class
A-2A/A-2B/A-3/B):

Decrease base-case defaults by 10%: 'AAA'/'AAAsf'/'AAAsf'/'A+sf';

Decrease base-case defaults by 25%:
'AAAsf'/'AAAsf'/'AAAsf'/'AAsf';

Decrease base-case defaults by 50%:
'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf'.

NAVSL 2016-A

Current Ratings: 'AAAsf'/'AAAsf'/'AAsf'.

Expected impact on the note rating of decreased defaults (class
A-2A/A-2B/B):

Decrease base-case defaults by 10%: 'AAAsf'/'AAAsf'/'A+sf';

Decrease base-case defaults by 25%: 'AAAsf'/'AAAsf'/'AAsf';

Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.


[*] Moody's Upgrades Rating on $184MM of US RMBS Issued 2005-2006
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight bonds
from six 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/3c7z2Fq

Complete rating actions are as follows:

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-OP2

Cl. A-1, Upgraded to A2 (sf); previously on Nov 7, 2018 Upgraded to
Baa1 (sf)

Cl. A-2C, Upgraded to A2 (sf); previously on Nov 7, 2018 Upgraded
to Baa2 (sf)

Cl. A-2D, Upgraded to Baa2 (sf); previously on Nov 7, 2018 Upgraded
to Ba1 (sf)

Issuer: CSFB Home Equity Asset Trust 2005-8

Cl. M-2, Upgraded to A2 (sf); previously on Jul 11, 2018 Upgraded
to Baa2 (sf)

Issuer: CSFB Home Equity Asset Trust 2006-5

Cl. 2-A-3, Upgraded to B1 (sf); previously on Mar 27, 2018 Upgraded
to B3 (sf)

Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-4

Cl. M-6, Upgraded to Baa3 (sf); previously on Aug 1, 2019 Upgraded
to Ba2 (sf)

Issuer: Structured Asset Investment Loan Trust 2005-1

Cl. M3, Upgraded to A3 (sf); previously on Jan 24, 2019 Upgraded to
Baa2 (sf)

Issuer: Structured Asset Investment Loan Trust 2005-HE1

Cl. M2, Upgraded to A3 (sf); previously on Jan 31, 2020 Upgraded to
Baa2 (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 2022.

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


                            *********

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