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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 24, 2022, Vol. 26, No. 204

                            Headlines

AJAX MORTGAGE 2022-B: DBRS Finalizes BB Rating on Class M-2 Notes
ANGEL OAK 2022-5: Fitch Assigns 'B(EXP)' Rating on Class B2 Debt
AREIT 2019-CRE3: DBRS Hikes Class F Certs Rating to B
AREIT 2022-CRE7: DBRS Finalizes B(low) Rating on Class G Notes
ARROYO MORTGAGE 2022-2: S&P Assigns B (sf) Rating on Cl. B-2 Notes

BAIN CAPITAL 2022-6: Fitch Assigns BB- Rating on Class E Debt
BANK 2019-BNK19: Fitch Affirms 'BB' Rating on Class F Debt
BANK 2021-BNK35: DBRS Confirms B Rating on Class J Certs
BBCMS MORTGAGE 2022-C16: DBRS Finalizes BB Rating on Class F Certs
BSPRT 2022-FL9: DBRS Finalizes B(low) Rating on Class H Notes

BX TRUST 2017-CQHP: DBRS Cuts Class E Certs Rating to B(high)
CHNGE MORTGAGE 2022-3: DBRS Gives Prov. B Rating on Class B2 Certs
CITIGROUP 2019-C7: DBRS Confirms B(low) Rating on Class J-RR Certs
CITIGROUP 2022-GC48: DBRS Finalizes BB(low) Rating on YL-C Certs
COLT 2022-7: Fitch Assigns 'B(EXP)' Rating on Cl. B2 Certificates

COLUMBIA CENT 32: S&P Assigns BB- (sf) Rating on Class E Notes
COMM 2013-GAM: DBRS Confirms B(high) Rating on Class F Certs
COMM 2014-CCRE20: Fitch Lowers Rating on Class F Debt to 'Csf'
COMM 2014-CCRE21: DBRS Confirms C Rating on 2 Classes
CONN'S RECEIVABLES 2022-A: Fitch Assigns 'B' Rating on F Notes

CPS AUTO 2019-D: S&P Raises Class F Notes Rating to BB+ (sf)
CSAIL 2015-C4: Fitch Affirms B- Ratings on 2 Tranches
CSMC 2018-SITE: DBRS Confirms BB Rating on Class HRR Certs
DBUBS 2011-LC2: DBRS Confirms B Rating on Class FX Certs
DEEPHAVEN 2022-3: DBRS Gives Prov. B Rating on Class B-2 Notes

DRYDEN 104: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
ELMWOOD CLO 18: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes
ENCINA EQUIPMENT 2022-1: DBRS Finalizes BB Rating on Class E Notes
FREDDIE MAC 2022-DNA5: DBRS Finalizes B Rating on 7 Classes
FS RIALTO 2022-FL5: DBRS Finalizes B(low) Rating on Class G Notes

GOLDENTREE LOAN 14: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Debt
GS MORTGAGE 2018-LUAU: DBRS Confirms B(low) Rating on Cl. F Certs
GS MORTGAGE 2018-SRP5: S&P Lowers Class C Notes Rating to CCC (sf)
HIT TRUST 2022-HI32: DBRS Gives Prov. B(low) Rating on Cl. G Certs
JP MORGAN 2022-DATA: DBRS Finalizes BB Rating on Class E Certs

JPMBB 2015-C33: Fitch Affirms 'B-' Rating on Class F Certs
KKR CLO 13: Moody's Upgrades Rating on $7MM Class F-R Notes to B2
KKR STATIC 1: Fitch Assigns BB+ Rating on Class E Debt
KREF 2021-FL2: DBRS Confirms B(low) Rating on 3 Classes of Notes
MANHATTAN 2020-1MW: DBRS Confirms BB(high) Rating on HRR Certs

MBRT 2019-MBR: DBRS Confirms B Rating on Class G Certs
MFA 2022-INV2: S&P Assigns Prelim B+ (sf) Rating on Cl. B-2 Certs
MFA 2022-RPL1: Fitch Assigns 'B' Rating on Class B-2 Notes
MOFT 2020-B6: DBRS Confirms B(high) Rating on Class D Certs
MORGAN STANLEY 2015-XLF2: DBRS Cuts Class SNMD Certs Rating to D

OCEANVIEW 2020-SBC1: DBRS Confirms B(low) Rating on Class B3 Trust
PALMER SQUARE 2021-2: Moody's Hikes Rating on Class E Notes to Ba3
READY CAPITAL 2022-FL9: DBRS Finalizes B(low) Rating on G Notes
REALT 2016-2: Fitch Affirms 'B' Rating on Class G Debt
RF CAPITAL: DBRS Confirms Pfd-4(high) Cumulative Preferred Rating

SHELTER GROWTH 2022-FL4: DBRS Finalizes B(low) Rating on G Notes
UNITED AUTO 2022-2: S&P Assigns BB (sf) Rating on Class E Notes
VELOCITY COMMERCIAL 2022-3: DBRS Finalizes B Rating on 3 Classes
WELLS FARGO 2015-C31: DBRS Cuts Class F Certs Rating to CCC
WELLS FARGO 2015-NXS4: Fitch Lowers Rating on 2 Tranches to Bsf

WELLS FARGO 2016-C36: Fitch Affirms CCCsf Rating on 4 Tranches
WESTLAKE AUTOMOBILE 2022-2: DBRS Finalizes B(high) on F Notes
[*] DBRS Confirms 19 Ratings from 8 American Credit Transactions
[*] DBRS Reviews 145 Classes from 28 U.S. RMBS Transactions
[*] DBRS Reviews 559 Classes from 78 U.S. RMBS Transactions

[*] DBRS Takes Actions on 4 Prestige Auto Receivables Trust Deals
[*] DBRS Takes Rating Actions on 4 Regional Management Trust Deals
[*] DBRS Takes Rating Actions on Seven DT Auto Owners Trust Deals
[*] Fitch Takes Various Actions in 4 US CMBS Concentrated 1.0 Deals

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AJAX MORTGAGE 2022-B: DBRS Finalizes BB Rating on Class M-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage-Backed Securities, Series 2022-B (the Notes) issued by
Ajax Mortgage Loan Trust 2022-B:

-- $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 the related 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 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 2022-5: Fitch Assigns 'B(EXP)' Rating on Class B2 Debt
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Angel Oak Mortgage
Trust 2022-5 (AOMT 2022-5).

   DEBT       RATING
   ----       ------
AOMT 2022-5

A-1      LT    AAA(EXP)sf    Expected Rating

A-2      LT    AA(EXP)sf     Expected Rating

A-3      LT    A(EXP)sf      Expected Rating

M-1      LT    BBB-(EXP)sf   Expected Rating

B-1      LT    BB(EXP)sf     Expected Rating

B-2      LT    B(EXP)sf      Expected Rating

B-3      LT    NR(EXP)sf     Expected Rating

A-IO-S   LT    NR(EXP)sf     Expected Rating

XS       LT    NR(EXP)sf     Expected Rating

R        LT    NR(EXP)sf     Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by Angel Oak Mortgage Trust 2022-5, Series 2022-5
(AOMT 2022-5), as indicated above. The certificates are supported
by 788 loans with a balance of $361.99 million as of the cutoff
date. This represents the 25th Fitch-rated AOMT transaction and the
fifth Fitch-rated AOMT transaction in 2022.

The certificates are secured by mortgage loans originated by Angel
Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC
(AOHL). Of the loans, 82.9% are designated as nonqualified mortgage
(non-QM) loans, and 17.1% are investment properties not subject to
the Ability to Repay (ATR) Rule.

There is minimal Libor exposure in this transaction, as there is
one ARM loan that references one-year Libor, and the bonds do not
have Libor exposure. 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. Class M-1, B-1 and B-3 certificates are based on
the net WAC; class B-2 certificates are based on the net WAC but
have a stepdown feature whereby the class becomes a principal-only
bond at the point the class A-1, A-2 and A-3 step-up coupons take
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 9.1% above a long-term sustainable level (vs. 9.2%
on a national level as of April 2022, down 1.4% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable mortgage rates and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 18.9% YoY
nationally as of December 2021.

Non-QM Credit Quality (Mixed): The collateral consists of 788 loans
totaling $361.99 million and seasoned at approximately nine months
in aggregate, according to Fitch, and seven months per the
transaction documents. The borrowers have a strong credit profile
(734 FICO and 35.7% debt-to-income [DTI] ratio, as determined by
Fitch), along with relatively moderate leverage, with an original
combined loan-to-value ratio (CLTV) of 75.0%, as determined by
Fitch, which translates to a Fitch-calculated sustainable LTV
(sLTV) of 79.3%.

Of the pool, 82.9% represents loans where the borrower maintains a
primary residence, while the remaining 17.1% comprises investor
properties based on Fitch's analysis and per the transaction
documents. Fitch determined that 16.4% of the loans were originated
through a retail channel.

Additionally, 82.9% are designated as non-QM, while the remaining
17.1% are exempt from QM status since they are investor loans.

The pool contains 71 loans over $1.0 million, with the largest
amounting to $3.0 million.

Loans on investor properties (2.2% underwritten to the borrower's
credit profile and 14.9% comprising investor cash flow loans)
represent 17.1% of the pool, as determined by Fitch. There are no
second lien loans, and 2.3% 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 none 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 Florida (24.9%), followed
by California (23.6%) and Texas (9.3%). The largest MSA is Miami
(13.1%), followed by Los Angeles (10.3%) and Atlanta (7.0%). The
top three MSAs account for 30.4% of the pool. As a result, there
was a no penalty for geographic concentration.

Loan Documentation (Negative): Fitch determined that 92.3% of the
loans in the pool were underwritten to borrowers with less than
full documentation. Per the transaction documents, 92.3% 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 may
explain any discrepancy between Fitch's percentage and the
transaction documents.

Of the loans underwritten to borrowers with less than full
documentation, 76.5% were underwritten to a 12-month or 24-month
bank statement program for verifying income, which is not
consistent with Appendix Q standards and Fitch's view of a full
documentation program. To reflect the additional risk, Fitch
increases the PD by 1.5x on bank statement loans. In addition to
loans underwritten to a bank statement program, 14.9% comprise a
debt service coverage ratio (DSCR) product, and 0.8% are an asset
depletion product. 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
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 August 2026, since class
A certificates have a step-up coupon feature whereby the coupon
rate will be the lesser of (i) the applicable fixed rate plus
1.000% and (ii) the Net WAC Rate. To offset the impact of the class
A certificates step-up coupon feature, class B-2 has a stepdown
coupon feature that will become effective in August 2026, which
will change the B-2 coupon to 0.0%. In addition, the transaction
was structured so that on and after August 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 class A-1 and A-2 being paid timely interest at
the step-up coupon rate and class 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 40.9% 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:

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.


AREIT 2019-CRE3: DBRS Hikes Class F Certs Rating to B
-----------------------------------------------------
DBRS, Inc. upgraded its ratings on five classes of Commercial
Mortgage Pass-Through Certificates, Series 2019-CRE3 issued by
AREIT 2019-CRE3 Trust as follows:

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

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

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

DBRS Morningstar changed the trends on Classes E and F to Stable
from Negative, while the trends on all other classes remain
Stable.

The rating upgrades and trend changes reflect the increased credit
support to the bonds as a result of successful loan repayment,
representing a collateral reduction of 42.1% since issuance as of
the June 2022 remittance. While select loans remaining in the
transaction, notably those secured by hotel properties or office
properties, have experienced delays in the stated business plans as
a result of the Coronavirus Disease (COVID-19) pandemic, DBRS
Morningstar has generally observed performance improvements across
the collateral pool since its last rating action in August 2021. In
conjunction with this press release, DBRS Morningstar has published
a Surveillance Performance Update report with in-depth analysis and
credit metrics for the transaction and with business plan updates
on select loans. For access to this report, please click on the
link under Related Documents below or contact us at
info@dbrsmorningstar.com.

At issuance, the collateral consisted of 30 floating-rate mortgage
loans secured by 31 mostly transitional commercial real estate
properties with a cut-off balance totaling $717.9 million,
excluding approximately $93.9 million of future funding commitments
to fund capital expenditures and operating shortfalls to aid in the
individual properties' stabilization plans.
The transaction is structured with a 36-month Permitted Funded
Companion Participation Acquisition Period ending August 2022,
whereby the Issuer can contribute funded participations of loans
into the Trust. As of the June 2022 remittance, there are no
available funds in the Permitted Funded Companion Participation
Acquisition Account.

As of the June 2022 reporting, 13 loans remain in the pool with a
current principal balance of $409.5 million. According to the
collateral manager, $42.7 million of loan future funding has been
advanced to nine individual borrowers to date to aid in business
plan completion. An additional $5.5 million of loan future funding
is allocated to the borrower on the Gulf Tower loan for tenant
improvements and leasing costs. The loan was structured with an
Outside Advance Date of June 2022, whereby the borrower had a
choice to have a portion or all outstanding loan future funding
placed into an interest accruing reserve held by the issuer or to
waive the right to receive any additional funding. The property
sustained significant damage in May 2021, however, as a result of
an explosion, which has stalled leasing momentum and led to a
significant restoration project. The borrower appears to have
repositioned the property using insurance proceeds with the project
expected to completed in 2022. The casualty event, combined with
the impact of the coronavirus pandemic, has extended the borrower's
business plan completion date; however, the borrower remains
committed to the property. It is unknown if the Outside Advance
Date has been extended given the casualty event.

The transaction is concentrated by property type as there are five
loans (55.3% of the current pool balance) secured by office
properties and five loans (33.6% of the current pool balance)
secured by hospitality properties. Eight loans, representing 69.8%
of the current pool balance, are in urban markets with DBRS
Morningstar Market Ranks of 6, 7, and 8. These markets have
historically shown greater liquidity and demand. There are five
loans, representing 30.2% of the current pool balance, secured by
properties in markets with a DBRS Morningstar Market Rank of 3 or
4, which are suburban in nature and have historically had higher
probability of default levels when compared with properties located
in urban markets.

As of June 2022 reporting, all loans remain current and there are
nine loans on the servicer's watchlist, representing 77.6% of the
pool balance. The three largest loans, representing 46.8% of the
current pool balance, were placed on the servicer's watchlist
because of upcoming loan maturity dates; however, all loans feature
extension options. DBRS Morningstar expects the individual
borrowers to exercise the loan extension options and in any
instances where property performance not does meet
performance-based hurdles to qualify for the extension options,
DBRS Morningstar expects the borrowers and lender to negotiate an
agreement to allow the extension to be exercised. The six remaining
loans, representing 30.8% of the current pool balance, were
generally added to the watchlist for low debt service coverage
ratios or declines in occupancy.

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



AREIT 2022-CRE7: DBRS Finalizes B(low) Rating on Class G Notes
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes 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.



ARROYO MORTGAGE 2022-2: S&P Assigns B (sf) Rating on Cl. B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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 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%."

  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 private placement memorandum dated July 11, 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.



BAIN CAPITAL 2022-6: Fitch Assigns BB- Rating on Class E Debt
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Bain Capital Credit CLO 2022-6, Limited.

   DEBT        RATING
   ----        ------
Bain Capital Credit CLO 2022-6, Limited

A-1             LT    AAA(EXP)sf    Expected Rating

A-2             LT    AAA(EXP)sf    Expected Rating

B               LT    AA(EXP)sf     Expected Rating

C               LT    A(EXP)sf      Expected Rating

D               LT    BBB-(EXP)sf   Expected Rating

E               LT    BB-(EXP)sf    Expected Rating

Subordinated    LT    NR(EXP)sf     Expected Rating
Notes

TRANSACTION SUMMARY

Bain Capital Credit CLO 2022-6, 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 $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', which is in line with that of recent
CLOs. The weighted average rating factor of the indicative
portfolio is 24.3, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.8. 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% first-lien senior secured loans. The weighted average recovery
rate of the indicative portfolio is 75.8%, versus a minimum
covenant, in accordance with the initial expected matrix point, of
74.8%.

Portfolio Composition (Positive): The largest three industries may
constitute up to 38.0% 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 5.2-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 our stress scenarios at the initial expected matrix
point, the rated notes can withstand default rates and recovery
assumptions consistent with other recent Fitch-rated CLO notes. The
performance of all classes of rated notes at the other permitted
matrix points will be analyzed as part of the final rating
analysis.

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The results under these sensitivity scenarios are between
'BBB+sf' and 'AAAsf' for class A-1 and A-2 notes, between 'BB+sf'
and 'AAsf' for class B notes, between 'B-sf' and 'Asf' for class C
notes, between less than 'B-sf' and 'BBB-sf' for class D notes and
between less than 'B-sf' and 'B+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 and A-2
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, between 'A+sf'
and 'AAsf' for class C notes, between 'Asf' and '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 its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


BANK 2019-BNK19: Fitch Affirms 'BB' Rating on Class F Debt
----------------------------------------------------------
Fitch Ratings has affirmed the ratings of 13 classes of BANK
2019-BNK19 commercial mortgage pass-through certificates, series
2019-BNK19. All Rating Outlooks are Stable.

   DEBT             RATING                   PRIOR
   ----             ------                   -----
BANK 2019-BNK19

A-1 06540WBA0     LT    AAAsf    Affirmed    AAAsf

A-2 06540WBC6     LT    AAAsf    Affirmed    AAAsf

A-3 06540WBD4     LT    AAAsf    Affirmed    AAAsf

A-S 06540WBE2     LT    AAAsf    Affirmed    AAAsf

A-SB 06540WBB8    LT    AAAsf    Affirmed    AAAsf

B 06540WBF9       LT    AA-sf    Affirmed    AA-sf

C 06540WBG7       LT    A-sf     Affirmed    A-sf

D 06540WAJ2       LT    BBBsf    Affirmed    BBBsf

E 06540WAL7       LT    BBB-sf   Affirmed    BBB-sf

F 06540WAN3       LT    BBsf     Affirmed    BBsf

X-A 06540WBH5     LT    AAAsf    Affirmed    AAAsf

X-B 06540WBJ1     LT    AA-sf    Affirmed    AA-sf

X-D 06540WAA1     LT    BBB-sf   Affirmed    BBB-sf

KEY RATING DRIVERS

Relatively Stable Performance: While loss expectations have
increased slightly since issuance mainly on the Fitch Loans of
Concern (FLOCs), overall performance for the majority of the pool
remains relatively stable. There are seven FLOCs (21.8% of pool),
including one specially serviced loan (3.2%). Two previously
specially serviced loans at Fitch's last rating action, Waterford
Lakes Town Center and Marriott Downtown Orlando, were returned to
the master servicer in November 2021 following their respective
forbearance and loan reinstatement. Fitch's current ratings
incorporate a base case loss of 4.00%.

The largest increase in loss since the prior rating action is the
University Square loan (5.6%), which is secured by a 331,872-sf
suburban office property located in Princeton, NJ. The loan was
flagged as a FLOC due to lower occupancy and cash flow since
issuance. Property occupancy was 69.2% as of the March 2022 rent
roll, unchanged from YE 2021, but down from 84.4% in March 2020 and
85% at YE 2019. Occupancy fell in 2020 due to the second largest
tenant, Axis Reinsurance Company (10.8% of NRA), vacating at its
September 2020 lease expiration.

The property is currently leased to two tenants, BlackRock, Inc.
(63.2%; lease expiry in September 2028) and Mercer (US) Inc, which
downsized to 19,654 sf (5.9%) from 34,537 sf (10.4%) upon renewing
its lease through April 2028. The servicer-reported YE 2021 NOI
declined 20% from 2020 due to the increased vacancy and tenant
downsizing; YE 2021 NOI debt service coverage ratio (DSCR) fell to
2.02x from 2.51x at YE 2020. Fitch's base case loss of 11% reflects
a 9.50% cap rate and a 5% haircut to the YE 2021 NOI.

The next largest increase in loss is the 29 West 35th Street loan
(3.2%), which is secured by a 12-story, 98,000-sf office building
with ground floor retail located in Midtown Manhattan, NY. The loan
was transferred to special servicing in August 2020 for payment
default, and foreclosure was filed in January 2022. The lender is
dual tracking the foreclosure process with discussion of workout
alternatives with the borrower.

Property occupancy dropped to 40.1% in December 2021 from 56.4% in
February 2021 and 99% at YE 2019. The largest tenant Knotel (39% of
NRA) filed bankruptcy in February 2021 and vacated. The property
reported negative YE 2021 NOI. Fitch's modeled loss of 21% is based
upon a discount to a recent valuation, and reflects a stressed
value of approximately $390 psf. While there are concerns with the
low occupancy, consideration was made for the location of the
asset.

Minimal Change in Credit Enhancement (CE): As of the June 2022
distribution date, the pool's aggregate balance was paid down by
0.9% to $1.29 billion from $1.30 billion at issuance. Two loans
(1.1% of pool) are defeased. At issuance, based on the scheduled
balance at maturity, the pool is expected to pay down by 5.9% prior
to maturity. There are 31 loans that are full-term, interest-only
(60.2%); 10 loans (15.2%) that are partial-term, interest-only and
have yet to begin amortizing; and the remainder is amortizing (32
loans; 24.6%).

Investment-Grade Credit Opinion Loans: Four loans (24.7%) were
assigned investment-grade credit opinions at issuance: 350 Bush
Street (6.6%; A-sf*), 30 Hudson Yards (6.5%; A-sf*), Grand Canal
Shoppes (7.8%; BBB-sf*) and Moffett Towers - Buildings 3 and 4
(3.9%; BBB-sf*).

Cooperative Loans: Loans secured by cooperative properties located
in the New York MSA comprise 7.7% of the pool.

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',
'BBBsf' and 'A-sf' categories would occur should overall pool
losses increase significantly and/or one or more large loans have
an outsized loss, which would erode CE. A downgrade to the 'BBsf'
category would occur should loss expectations increase and if
performance of the FLOCs 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' and 'BBBsf' categories would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is likelihood for interest shortfalls. An upgrade to the 'BBsf'
category is 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.


BANK 2021-BNK35: DBRS Confirms B Rating on Class J Certs
--------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-BNK35
issued by BANK 2021-BNK35 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-4-X1 at AAA (sf)
-- Class A-4-X2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-5-1 at AAA (sf)
-- Class A-5-2 at AAA (sf)
-- Class A-5-X1 at AAA (sf)
-- Class A-5-X2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class A-S at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B at AAA (sf)
-- Class B-1 at AAA (sf)
-- Class B-2 at AAA (sf)
-- Class B-X1 at AAA (sf)
-- Class B-X2 at AAA (sf)
-- Class C at AA (low) (sf)
-- Class C-1 at AA (low) (sf)
-- Class C-2 at AA (low) (sf)
-- Class C-X1 at AA (low) (sf)
-- Class C-X2 at AA (low) (sf)
-- Class X-D at A (low) (sf)
-- Class X-FG at BBB (low) (sf)
-- Class X-H at BB (high) (sf)
-- Class X-J at B (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (high) (sf)
-- Class H at BB (sf)
-- Class J at B (sf)

All trends are Stable.

The Class A-4-1, A-4-2, A-4-X1, A-4-X2, A-5-1, A-5-2, A-5-X1,
A-5-X2, A-S-1, A-S-2, A-S-X1, A-S-X2, B-1, B-2, B-X1, B-X2, C-1,
C-2, C-X1, and C-X2 certificates are also offered certificates.
Such classes of certificates, together with the Class A-4, A-5,
A-S, B, and C certificates, constitute the Exchangeable
Certificates. The Class A-1, A-2, A-SB, A-3, D, E, F, G, and H
certificates, together with the RR Interest and the Exchangeable
Certificates with a certificate balance, are referred to as the
principal balance certificates.

The rating confirmations reflect the recent vintage and overall
stable performance of the transaction, which remains in line with
DBRS Morningstar's expectations at issuance. The transaction
consists of 76 fixed-rate loans secured by 109 commercial and
multifamily properties with a trust balance of $1.4 billion. There
has been negligible collateral reduction of 0.24% since issuance.
Amortization will be limited through the life of the deal as there
are 48 loans, representing 75.0% of the pool balance, that are
structured with full-term interest-only (IO) periods. An additional
six loans, representing 9.2% of the pool balance, have partial IO
terms. The lack of amortization is partially offset by the pool's
favorable issuance leverage metrics with weighted-average (WA) DBRS
Morningstar issuance and balloon loan-to-value (LTV) ratios of
54.9% and 52.7%, respectively. However, it is noteworthy that the
pool's WA leverage metrics are significantly reduced because of the
very low LTVs of the shadow-rated loans and co-operative loans, the
latter of which represents 9.4% of the pool balance. By property
type, the pool is most concentrated by loans backed by office,
retail, and multifamily properties, representing 28.7%, 24.9%, and
23.9% of the current pool balance, respectively.

Given the recent vintage, updated financial reporting for the
underlying loans was generally limited. According to the May 2022
reporting, there are no loans in special servicing or on the
watchlist and there have been no recorded defaults or other
materially adverse credit events since issuance.

Three loans, Four Constitution Square (Prospectus ID #3, 4.0% of
the pool), River House Coop (Prospectus ID #4, 3.9% of the pool,
and Three Constitution Square (Prospectus ID #12, 2.7% of the
pool), were assigned investment-grade shadow ratings at issuance.
As part of this review, DBRS Morningstar concluded performance
remains consistent with the originally assigned shadow ratings.

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



BBCMS MORTGAGE 2022-C16: 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-C16 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.



BSPRT 2022-FL9: DBRS Finalizes B(low) Rating on Class H Notes
-------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following classes
of notes issued by BSPRT 2022-FL9 Issuer, LLC:

-- 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 TRUST 2017-CQHP: DBRS Cuts Class E Certs Rating to B(high)
-------------------------------------------------------------
DBRS Limited downgraded the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP
issued by BX Trust 2017-CQHP:

-- Class X-EXT to BBB (sf) from BBB (high) (sf)
-- Class D to BBB (low) (sf) from BBB (sf)
-- Class E to B (high) (sf) from BB (low) (sf)

In addition, DBRS Morningstar confirmed the ratings on the
remaining classes as follows:

-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class F at CCC (sf)

DBRS Morningstar changed the trends on all classes to Stable from
Negative with the exception of Class F, which has a rating that
does not typically carry a trend. Class F continues to have
Interest in Arrears.

The rating downgrades reflect the continued performance challenges
for the underlying collateral hotels and the increased risks in the
last few years with sustained negative cash flows and a sponsor who
has suggested a willingness to walk away from the properties and
subject loan. Although the collateral's as-is value increased to
$330.2 million, representing a 6.1% increase from the September
2020 value of $312.5 million, the trust balance of $273.7 million
and the $18.5 million of outstanding advances as of the May 2022
remittance mean the implied loan-to-value ratio is approaching
100%, putting the $51.9 million Class F (rated CCC (sf)) at risk of
loss should the assets be liquidated. The collateral has been
challenged since the onset of the Coronavirus Disease (COVID-19)
pandemic in early 2020 and since that time, DBRS Morningstar has
taken several rating actions to reflect the increased risks,
including downgrades for four classes in 2020 and downgrades for
six classes in 2021. Given the expectation that the cash flows have
bottomed out for the collateral hotels and the appraisals obtained
since the loan's transfer have been generally stable, the change in
trends to Stable from Negative is supported with this review.

The $273.7 million loan, along with $61.3 million of mezzanine debt
and $8.1 million of sponsor equity, refinanced $336.1 million in
existing debt and paid closing costs. The transaction is
collateralized by a single loan secured by a portfolio of four
hotel properties. The portfolio comprises four Club Quarters Hotels
totalling 1,228 keys across four major U.S. cities: San Francisco
(346 keys; 39.4% of allocated loan amount), Chicago (429 keys;
26.4% of allocated loan amount), Boston (178 keys; 18.2% of
allocated loan amount), and Philadelphia (275 keys; 16.0% of
allocated loan amount). The sponsor for this loan is Blackstone
Real Estate Partners VII, L.P. (Blackstone), which purchased the
portfolio in February 2016 from Masterworks Development
Corporation, an affiliate of Club Quarters. The loan is interest
only (IO) throughout the term and is structured with a two-year
initial term and three 12-month extension options. The borrower
exercised one of the extension options, extending the maturity date
to November 2020.

The loan transferred to special servicing in June 2020 for imminent
monetary default and is currently flagged as a nonperforming
matured balloon loan. According to the servicer, Blackstone has
advised that it is not willing to inject additional capital to fund
operating expenses or debt service payments. There are ongoing
negotiations to purchase the mezzanine loan, and as a result, a
resolution strategy has not been reached. As of March 2022, the
portfolio reported weighted-average trailing 12-month (T-12)
occupancy, average daily rate, and revenue per available room
(RevPAR) figures of 49.7%, $128, and $65, respectively. The
weighted-average RevPAR penetration rate for the T-12 period ended
March 31, 2022, was 69.0%.

Individual property performance has improved from YE2020 but
remains far below pre-pandemic levels. As of September 2021, all
four properties reported below breakeven debt service coverage
ratios and negative net cash flows. Both the Club Quarters San
Francisco and Club Quarters Boston properties have shown signs of
recovery, increasing their respective RevPAR figures for the T-12
period ended March 31, 2022, by 155% and 89%, respectively. Club
Quarters Philadelphia reported a RevPAR of $37 for the T-12 period
ended March 31, 2022, flat from the June 2021 figure, while Club
Quarters Chicago saw its RevPAR fall 39% during the same period.
Club Quarters Boston was the only property of the four that
outperformed its competitive set, reporting a RevPAR penetration
rate of 100.6% for the T-12 period ended March 31, 2022. Club
Quarters San Francisco, Club Quarters Chicago, and Club Quarters
Philadelphia reported RevPAR penetration figures of 56.5%, 58.3%,
and 81.6%, respectively.

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



CHNGE MORTGAGE 2022-3: DBRS Gives Prov. B Rating on Class B2 Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2022-3 to be issued by CHNGE
Mortgage Trust 2022-3 (CHNGE 2022-3 or the Trust):

-- $204.2 million Class A-1 at A (sf)
-- $17.3 million Class M-1 at BBB (sf)
-- $16.5 million Class B-1 at BB (sf)
-- $15.3 million Class B-2 at B (sf)

The A (sf) rating on the Class A-1 certificates reflects 24.50% of
credit enhancement provided by subordinated certificates. The BBB
(sf), BB (sf), and B (sf) ratings reflect 18.10%, 12.00%, and 6.35%
of credit enhancement, respectively.

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

This is a securitization of a portfolio of fixed- and
adjustable-rate expanded prime first-lien residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 383 mortgage loans with a total principal balance of
$270,508,945 as of the Cut-Off Date (June 1, 2022).

CHNGE 2022-3 represents the third securitization issued by the
Sponsor, Change Lending, LLC (Change or Change Lending). All the
loans in the pool were originated by Change, which is certified by
the U.S. Department of the Treasury as a Community Development
Financial Institution (CDFI). As a CDFI, Change is required to lend
at least 60% of its production to certain target markets, which
include low-income borrowers or other underserved communities.

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

The loans in the pool were underwritten through Change's Community
Mortgage (94.4%) and E-Z Prime (5.6%) programs, both of which are
considered weaker than other origination programs because income
documentation verification is not required. Generally, underwriting
practices of these programs focus on borrower credit, borrower
equity contribution, housing payment history, and liquid reserves
relative to monthly mortgage payments. Because post-2008 crisis
historical performance is limited on these products, DBRS
Morningstar applied additional assumptions to increase the expected
losses for the loans in its analysis.

On or after the earlier of (1) the distribution date occurring in
July 2024 and (2) the date on which the aggregate stated principal
balance of the loans falls to 30% or less of the Cut-Off Date
balance, at its option, the Depositor may redeem all of the
outstanding certificates at the redemption price (par plus
interest). Such optional redemption may be followed by a qualified
liquidation, which requires (1) a complete liquidation of assets
within the Trust and (2) proceeds to be distributed to the
appropriate holders of regular or residual interests.

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

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

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

In contrast to the prior two CHNGE securitizations, CHNGE 2022-3
has certain updates to the structure as follows:

-- A two-year optional call rather than three years,
-- A lower aggregate servicing fee of 0.375% rather than 0.500%,
-- A Net WAC interest rate for Class M-1 rather than a fixed-
     capped rate, and
-- A reduction of the Class B-3 interest to cover unpaid Cap
     Carryover Amounts for Class A-1.

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

Notwithstanding the exemption, Change has elected to retain the
Class B-3, A-IO-S, and XS certificates.

Coronavirus Pandemic Impact

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

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

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



CITIGROUP 2019-C7: DBRS Confirms B(low) Rating on Class J-RR Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the following Commercial
Mortgage Pass-Through Certificates, Series 2019-C7 issued by
Citigroup Commercial Mortgage Trust 2019-C7:

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

All trends are Stable. Additionally, DBRS Morningstar removed the
Interest in Arrears designation on Class J-RR.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction, which remain in line since
DBRS Morningstar's last review. According to the June 2022
reporting, the current pool balance is $1.26 billion, reflecting
minimal collateral reduction of 0.7% since issuance as all of the
original 55 fixed-rate loans remain in the pool. Additionally,
there are no specially serviced or defeased loans in the pool.
There are 12 loans, representing 26.6% of the current pool balance,
on the servicer's watchlist for a variety of reasons, including low
occupancy and low debt service coverage ratio (DSCR).

The Courtyard by Marriott New Haven Orange/Milford loan (Prospectus
ID#41; 0.8% of the pool), is secured by a 121-key limited-service
hotel in Orange, Connecticut. The loan transferred to special
servicing in July 2020 because of monetary default as a result of
cash flow disruptions resulting from the Coronavirus Disease
(COVID-19) pandemic. Since then, the borrower has been granted a
modification and has brought the loan payments current, and the
loan was returned to the master servicer in October 2021. However,
as of June 2022, the loan is being monitored on the servicer's
watchlist for low DSCR.

The 805 3rd Avenue (Prospectus ID#3, 4.4% of the pool) loan is
secured by a 29-story, 596,100 square foot Class A office property
within the Plaza District submarket. The loan has been on the
servicer's watchlist since August 2020, after the borrower
requested pandemic relief. Payment relief was provided in the form
of a Consent agreement that allowed the Borrower to make
interest-only (IO) payments and waive the tax escrow payments
through September 2020. According to the servicer, the borrower has
been making payments as per the agreement. The property benefits
from a diverse tenant roster, across a variety of industries,
including a sports TV network, a private equity firm, and a
permanent mission to the United Nations, among others. According to
the YE2021 reporting, the property was 80.9% occupied with a net
cash flow (NCF) of $10.9 million (with a DSCR of 1.90 times (x)),
in comparison with the YE2020 figures of 80.5% and $16.9 million
(with a DSCR of 2.82x), respectively. While occupancy has remained
flat year over year, the decline in NCF is predominantly due to a
decrease in rental income. DBRS Morningstar asked the servicer
about the 2021 revenue decline, and a response is pending as of the
date of this press release.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating on 650 Madison Avenue (Prospectus ID#2, 4.4% of the pool)
and 805 3rd Avenue. Despite the performance decline of 805 3rd
Avenue, the property's diverse and granular tenant roster, strong
sponsorship, and excellent location, are mitigants against the
property's increased credit risk because DBRS Morningstar believes
performance will rebound to pre-pandemic levels in the near to
medium term. With this review, DBRS Morningstar confirms that the
performance of these loans remain consistent with investment-grade
characteristics.

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



CITIGROUP 2022-GC48: DBRS Finalizes BB(low) Rating on YL-C Certs
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Yorkshire & Lexington Towers Loan-Specific Certificates
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.



COLT 2022-7: Fitch Assigns 'B(EXP)' Rating on Cl. B2 Certificates
-----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2022-7 Mortgage Loan Trust (COLT
2022-7).

   DEBT     RATING
   ----     ------
COLT 2022-7

A1   LT    AAA(EXP)sf   Expected Rating

A2   LT    AA(EXP)sf    Expected Rating

A3   LT    A(EXP)sf     Expected Rating

M1   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

TRANSACTION SUMMARY

The certificates are supported by 466 nonprime loans with a total
balance of approximately $293.5 million as of the cutoff date.
Loans in the pool were originated by multiple originators,
including Sprout Mortgage, 5th Street Capital and others. Loans
were 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 about 50% of the collateral within the
transaction. Fitch feels like the primary risks associated with
Sprout Mortgage have been mitigated against as outlined in Fitch's
presale report.

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 8.9% 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 20.4% yoy
nationally as of April 2022.

Non-QM Credit Quality (Negative): The collateral consists of 466
loans, totaling $293.5 million and seasoned approximately two
months in aggregate. The borrowers have a moderate credit profile
-- 730 model FICO and 40% model debt-to-income ratio (DTI) -- and
leverage -- 82.7% sustainable loan-to-value ratio (sLTV) and 75.7%
combined LTV (cLTV). The pool consists of 58.6% of loans where the
borrower maintains a primary residence, while 34.4% comprise an
investor property. Additionally, 65.6% are nonqualified mortgage
(non-QM); the QM rule does not apply to the remainder.

Fitch's expected loss in the 'AAAsf' stress is 27%. This is mostly
driven by the non-QM collateral and the significant investor cash
flow product concentration.

Loan Documentation (Negative): Approximately 83% of the loans in
the pool were underwritten to less than full documentation, and 55%
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 (CFPB) 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 675 bps relative to a fully documented
loan.

High Percentage of DSCR Loans (Negative): There are 198 debt
service coverage ratio (DSCR) products in the pool (42% by loan
count). These business purpose 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. Compared to
standard investment properties, for DSCR loans, Fitch converts the
DSCR values to a DTI and treats as low documentation.

Fitch's expected loss for these loans is 39.9% in the 'AAAsf'
stress, which is driving the higher pool expected losses due to the
27% weighted average (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 2022-7 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 WA coupon (WAC)
rate. Fitch expects the senior classes to be capped by the net WAC.
Additionally, after the step-up date, the unrated class B-3
interest allocation goes toward the senior cap carryover amount for
as long as the senior classes are outstanding. 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 40.8% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

Fitch'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, Evolve, Consolidated Analytics, Covius, Opus,
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 50bps 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.


COLUMBIA CENT 32: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned ratings to Columbia Cent CLO 32
Ltd./Columbia Cent CLO 32 Corp.'s floating- and fixed-rate debt.

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

The ratings reflect S&P's view of:

-- The collateral pool's diversification;

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

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

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

  Ratings Assigned

  Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp.

  Class X(i), $2.000 million: AAA (sf)
  Class A-1, $150.000 million: AAA (sf)
  Class A-1 loans, $50.000 million: AAA (sf)
  Class A-F, $24.000 million: AAA (sf)
  Class A-FJ, $7.000 million: AAA (sf)
  Class B-1, $15.000 million: AA (sf)
  Class B-F, $20.000 million: AA (sf)
  Class C-1 (deferrable), $16.000 million: A (sf)
  Class C-F (deferrable), $5.000 million: A (sf)
  Class D (deferrable), $21.000 million: BBB- (sf)
  Class E (deferrable), $11.375 million: BB- (sf)
  Subordinated notes, $30.250 million: Not rated

(i)The class X notes are expected to amortize using interest
proceeds, beginning in January 2023 and paying down $142,857.14 on
each of the first 14 payment dates. The class X notes will not be
paid down when curing any breached coverage test.



COMM 2013-GAM: DBRS Confirms B(high) Rating on Class F Certs
------------------------------------------------------------
DBRS Limited downgraded the rating on the following class of
Commercial Mortgage Pass-Through Certificates issued by COMM
2013-GAM Mortgage Trust:

-- Class B to AA (sf) from AA (high) (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

-- Class A-2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at B (high) (sf)

In addition, DBRS Morningstar changed the trends on Classes B, C,
D, E, and F to Stable from Negative. All trends are now Stable.

DBRS Morningstar previously assigned the Class B certificate, as
well as the others as listed above, a Negative trend. As such, the
downgrade for Class B with this review, reflects the sustained
performance decline of the collateral, Green Acres Mall, which
began in 2019 when occupancy and cash flow started to trend lower
as a result of tenant departures. DBRS Morningstar previously
downgraded Classes D, E, and F in July 2021 to reflect the
increased credit risks related to the borrower's inability to
obtain takeout financing prior to the loan's February 2021
scheduled maturity date and an updated appraisal that indicated a
30.5% value decline from issuance. According to the most recent
reporting, occupancy and cash flow remain stressed as the borrower
has been unable to reverse the downward performance trends to date.
DBRS Morningstar's analysis suggests the overall outlook remains
stable, for the reasons as further described below, supporting the
rating confirmations and Stable trends with this review.

The loan is secured by the borrower's fee simple and leasehold
interest in Green Acres Mall, a 1.8 million square foot (sf)
super-regional mall located in Valley Stream, New York. The mall
was originally built in 1956 and has been expanded and renovated
many times, with the last major expansion occurring in 2007. The
mall is owned and operated by The Macerich Company (Macerich),
which purchased the subject for $506.7 million in 2013,
contributing $181.7 million of cash equity. The eight-year,
fixed-rate loan matured in February 2021; however, both 12-month
extension options have been exercised by the borrower and the loan
is now scheduled to mature in February 2023. As of the June 2022
remittance, the loan has amortized down by 25.4% since issuance,
with a balance of $241.9 million.

The loan has remained current throughout multiple transfers to
special servicing, namely in May 2020 and December 2020 when the
loan transferred to the special servicer ahead of the scheduled
2021 maturity date. The mall has lost several large tenants since
2019, including anchor tenants Kohl's (formerly 6.5% of net
rentable area (NRA)), JCPenney (formerly 5.3% of NRA), and a number
of in-line tenants. The December 2021 rent roll indicated an
occupancy rate of 72.3%, slightly below the prior year's occupancy
rate of 76.9%. Although Sears (formerly 8.0% of NRA), the
third-largest tenant, closed its store in April 2021, the retailer
continues to pay rent through its lease expiration in October
2023.

The servicer indicated that the 97,213-sf former JCPenney space was
expected to be redeveloped and fully leased to a collection of
tenants including Primark, though the tenant is not expected to
take possession of its space until September 2022 at the earliest.
Additionally, it has been reported that Shoppers World had agreed
to backfill the 72,266-sf former Century 21 space, though a
potential move-in date and lease terms have not been provided. The
three largest tenants currently at the property include Macy's
(14.7% of NRA; expiring August 2026), Walmart (9.6% of NRA;
expiring August 2028), and Macy's Men's & Furniture (6.8% of NRA;
expiring July 2024).

Property performance has been trending downward since issuance,
with YE2021 net cash flow 10.9% below the 2013 figure at closing.
Likewise, the loan's debt service coverage ratio (DSCR) has fallen
to 1.52 times (x) from 1.71x over the same period. An August 2020
appraisal estimated the as-is value of the property at $357.0
million, with the appraiser using an 8.5% cap rate. Despite the
substantial decline in value from issuance, when the property was
estimated to be worth $514.0 million, the current as-is value
remains comfortably in excess of the outstanding loan balance of
$241.9 million. Moreover, at the time of the last rating action in
July 2021, DBRS Morningstar applied an additional stress in its
analysis by applying a cap rate of 8.5% to the downward adjusted
net cash flow of $24.7 million, resulting in a DBRS Morningstar
value of $291.2 million, a variance of -18.4% from the August 2020
appraised value. The DBRS Morningstar value implies a loan-to-value
(LTV) ratio of 88.4% compared with the LTV of 72.1% based on the
August 2020 appraised value. Macerich appears committed to the
collateral and the trust loan and should be well-positioned to
continue efforts to stabilize the mall's occupancy rate and obtain
a replacement loan or an additional maturity extension in the event
more time is needed.

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



COMM 2014-CCRE20: Fitch Lowers Rating on Class F Debt to 'Csf'
--------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed nine classes of
Deutsche Bank Securities, Inc.'s COMM 2014-CCRE20 Mortgage Trust
commercial mortgage trust pass-through certificates.

   DEBT           RATING                  PRIOR
   ----           ------                  -----
COMM 2014-CCRE20

A-3 12592LBH4   LT    AAAsf   Affirmed    AAAsf

A-4 12592LBJ0   LT    AAAsf   Affirmed    AAAsf

A-SB 12592LBG6  LT    AAAsf   Affirmed    AAAsf

AM 12592LBL5    LT    AAAsf   Affirmed    AAAsf

B 12592LBM3     LT    AA+sf   Affirmed    AA+sf

C 12592LBP6     LT    A-sf    Affirmed    A-sf

D 12592LAN2     LT    BB-sf   Downgrade   BBB-sf

E 12592LAQ5     LT    CCsf    Downgrade   B-sf

F 12592LAS1     LT    Csf     Downgrade   CCsf

PEZ 12592LBN1   LT    A-sf    Affirmed    A-sf

X-A 12592LBK7   LT    AAAsf   Affirmed    AAAsf

X-B 12592LAA0   LT    AA+sf   Affirmed    AA+sf

X-C 12592LAC6   LT    BB-sf   Downgrade   BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades reflect Fitch's
increased loss expectations since the prior rating action primarily
due to eroding values of two REO assets along with growing
exposures due to fees and advances. Fitch's ratings incorporate a
base case loss of 6.8%.

The largest contributors to modeled losses are two assets in
special servicing, both of which are REO.

Harwood Center (6% of the pool), the largest asset in special
servicing, is secured by an urban office property located in
Dallas, TX. The asset transferred to special servicing in May 2020
due to imminent monetary default. Occupancy declined significantly
due to lease rollover and downsizing. As of March 2022, the
property was 69% occupied, down from 91% at YE 2019. The asset
became REO in November 2021. The special servicer is working to
stabilize the asset before marketing for sale.

Fitch's modeled loss of 43% is based on a stress to the most recent
appraised value to reflect the property's declined performance
metrics, soft downtown Dallas leasing market, recent comparable
sales and growing exposure.

The second largest contributor to loss is the Crowne Plaza Houston
Katy Freeway (3.1% of pool). The property is a full service hotel
located in Houston, TX that was built in 1981 and renovated in
2012. The asset transferred to special servicing in May 2020 after
the borrower requested relief due to the pandemic. The NOI debt
service coverage ratio (DSCR) declined to 0.70x as of YE 2019 from
1.65x at YE 2017, indicating the property faced performance
challenges prior to the coronavirus outbreak. The lender took
possession of the title via deed-in-lieu of foreclosure and the
asset became REO in June 2021. The special servicer is working to
stabilize the property.

Fitch modeled a 54% loss on the loan based on a stress to the most
recent appraised value to reflect the property's declining
performance trends and accruing fees.

Increased Credit Enhancement to Senior Classes: Since the last
rating action, the transaction has continued to amortize, resulting
in increased credit support to the top of the capital structure.
Fifteen loans (20% of the pool) are fully defeased. The pool also
realized $18.9 million in losses from the disposition of the
Doubletree Beachwood asset with better than expected recoveries. As
of the July 2022 distribution date, the pool's aggregate pool
balance has decreased by 21.8% to $925.39 million from $1.18
billion at issuance. All of the remaining loans in the pool are
scheduled to mature in either 2024 or 2034.

RATING SENSITIVITIES

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

Factors that would lead to downgrades include an increase in pool
level losses from underperforming loans. Downgrades to the classes
rated 'AAAsf' are not considered likely due to the position in the
capital structure, but may occur at 'AAAsf' or 'AA-sf' rated
classes should interest shortfalls occur. Downgrades to classes C
and D are possible should additional loans default. Downgrades to
classes E and F are possible should performance of the FLOCs fail
to stabilize or should the REO loans languish in special servicing
or dispose with greater than anticipated losses.

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

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

Factors that would lead to upgrades include stable to improved
asset performance coupled with paydown and/or additional
defeasance. Upgrades to classes B and C may occur with increased
paydown and/or defeasance combined with improved collateral
performance. An upgrade to classes D, E or F is not likely without
better than expected recoveries on the REO assets.

BEST/WORST CASE RATING SCENARIO

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

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

ESG CONSIDERATIONS

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


COMM 2014-CCRE21: DBRS Confirms C Rating on 2 Classes
------------------------------------------------------
DBRS Limited upgraded the ratings on six classes of Commercial
Mortgage Pass-Through Certificates issued by COMM 2014-CCRE21 as
follows:

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

In addition, DBRS Morningstar confirmed the following ratings:

-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class E at CCC (sf)
-- Class F at C (sf)
-- Class G at C (sf)

DBRS Morningstar changed the trends on Classes X-B, X-C, C, D, and
PEZ to Stable from Negative, and removed the Negative trends on
Classes E, F, and G as those classes have either CCC (sf) or C (sf)
ratings, which do not typically carry trends. In addition, DBRS
Morningstar removed the Interest in Arrears designation on Classes
D and E. The Interest in Arrears designation was maintained on
Classes F and G.

As discussed in further detail below, the rating upgrades and trend
changes reflect positive developments for the transaction since
DBRS Morningstar's last review. These developments include
meaningful value improvements for two of the properties securing
loans in special servicing as well as increased defeasance.

At the last review in August 2021, DBRS Morningstar downgraded five
classes and placed or maintained Negative trends on eight classes,
which primarily reflected DBRS Morningstar's loss expectations for
the largest specially serviced loan, Kings' Shops (Prospectus ID#3;
7.5% of the current pool balance), which was showing a drastic
value decline according to the most recent appraisal at the time,
dated February 2021. Six loans were in special servicing at the
last review and DBRS Morningstar liquidated four of these loans,
with a combined projected loss of $56.9 million. Since that review,
two of the six loans (3.5% of the current pool) have been returned
to the master servicer and the remaining four have all reported
updated appraisals. In all cases, the values have improved from the
prior figures, with the improvements ranging from a nominal 0.1% to
a significant 106.5% on a percentage basis. Based on the updated
appraised values, DBRS Morningstar adjusted the projected loss
scenarios and, for the three loans liquidated in the analysis, the
combined loss figure was $38.3 million. This results in a marginal
erosion of Class F by 8.0% but suggests a full loss for the three
classes below (Class G and the unrated Classes H and J).

As of the June 2022 reporting, 52 of the of the original 59 loans
remain in the pool, representing a collateral reduction of 22.3%
since issuance, as a result of loan amortization, repayments, and
proceeds recovered and losses realized from loan liquidations.
Defeasance has significantly increased from the last review,
growing to $173.9 million (27.1% of the current pool) as of the
June 2022 reporting, including the largest loan, One Memorial
(Prospectus ID#1; 12.5% of the current pool) from $68.9 million. By
property type, the pool is most concentrated by retail, lodging,
and multifamily properties, which represent 22.9%, 18.8%, and 15.9%
of the current pool, respectively. Excluding defeasance, only three
loans (4.8% of current pool balance) are secured by office
properties.

The Kings' Shops loan is secured by a 69,023-square foot (sf)
retail property in Waikoloa, Hawaii. The loan transferred to
special servicing in September 2020 for payment default after the
borrower stopped making debt service payments and requested
Coronavirus Disease (COVID-19)-related relief. According to the
most recent servicer commentary, foreclosure has been filed and a
receiver has been granted by the court, with the foreclosure sale
expected to occur sometime in July 2022. The property was
reappraised in August 2021 with an as-is value of $45.8 million, a
106.3% increase from the February 2021 value of $22.2 million, but
remains well below the issuance value of $84.0 million. With this
review, DBRS Morningstar updated its liquidation scenario based on
a haircut to the updated appraisal. This resulted a projected loss
of a little more than $15.0 million (loss severity of 31.8%),
significantly improved from the loss severity in excess of 60% at
last review. DBRS Morningstar was comfortable adjusting the
liquidation scenario with the updated valuation given the
significant improvements in the outlook for economies with
significant reliance on tourism as the effects of the Coronavirus
Disease pandemic have waned in the last year.

The second-largest specially serviced loan, Hilton College Station
(Prospectus ID#7; 4.8% of the pool), is secured by a 303-key,
full-service hotel in College Station, Texas, the home of Texas A&M
University. The loan transferred to special servicing in August
2019 and the trust took title to the property in June 2020. The
most recent appraisal obtained by the special servicer, dated
December 2021, estimated an as-is value of $20.7 million, a 22.5%
increase from the April 2021 value of $16.9 million, but well below
the issuance value of $54.8 million. Given the improved outlook for
hotel properties over the last year, DBRS Morningstar considered
the updated appraised value in its liquidation scenario for this
review. The loss amount remains high, however, at approximately
$8.5 million, which results in a loss severity of 72.6%.

The Marine Club Apartments loan (Prospectus ID#9; 3.6% of the pool)
is secured by a fractured condominium community, with 204 of the
total 301 units serving as collateral, and the remaining 97 units
owned by individual owners. The loan was transferred to special
servicing in October 2020 for payment default. As of October 2021,
the property was valued at $35 million on an as-is basis, which is
a 0.1% increase from the issuance value of $34.95 million. In April
2022, the borrower made two settlement offers, both of which were
rejected by the special servicer. The preferred equity holder has
since initiated a process to replace the manager of the borrower,
and the lender is dual tracking a foreclosure process while
discussing workout alternatives. With this review, DBRS Morningstar
noted the significant increase in outstanding advances since the
August 2021 remittance, and increased the probability of default
adjustment to increase the expected loss.

The Manhattan Place loan (Prospectus ID#20; 1.6% of the pool) is
secured by a 137,315-sf community retail center in Harvey,
Louisiana, and was transferred to special servicing in January 2020
after the borrower failed to pay off the loan at the November 2019
maturity. While the foreclosure sale was originally scheduled in
January 2022, the borrower filed for bankruptcy and delayed the
proceedings in the process. As of September 2021, the property was
valued at $16 million, which is an 11.1% increase from the issuance
value of $19 million. With this review, DBRS Morningstar assumed a
liquidation scenario that resulted in a nominal loss to the trust.

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



CONN'S RECEIVABLES 2022-A: Fitch Assigns 'B' Rating on F Notes
--------------------------------------------------------------
Fitch Ratings has assigned 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              PRIOR
   ----   ------              -----
Conns Receivables Funding 2022-A, LLC

A   LT   BBBsf   New Rating   BBB(EXP)sf

B   LT   BBsf    New Rating   BB(EXP)sf

C   LT   Bsf     New Rating   B(EXP)sf

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 our
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.


CPS AUTO 2019-D: S&P Raises Class F Notes Rating to BB+ (sf)
------------------------------------------------------------
S&P Global Ratings raised its ratings on 25 classes of notes from
CPS Auto Receivables Trust's series 2017-C, 2017-D, 2018-A, 2018-B,
2018-C, 2018-D, 2019-A, 2019-B, 2019-C, 2019-D, 2020-B, and 2021-A
transactions. At the same time, S&P affirmed its ratings on four
classes from the transactions.

S&P said, "The rating actions reflect the transactions' collateral
performance to date, and its expectations regarding their future
collateral performance, as well as our view of each transaction's
structure and the respective credit enhancement levels.
Additionally, we incorporated secondary credit factors, including
credit stability, payment priorities under various scenarios, and
sector- and issuer-specific analyses. Considering these factors, we
believe the notes' creditworthiness is consistent with the raised
and affirmed ratings.

"Our analyses incorporate our view of the latest information,
including the better-than-expected performance results, and our
most recent macroeconomic and sector outlook. As a result, we
revised our lifetime loss expectations."

  Table 1

  Collateral Performance (%)

  As of the June 2022 distribution date

                   Pool   Current   60+ day
  Series   Mo.   factor       CNL   delinq.

  2017-C    59     9.48     13.57      8.01
  2017-D    56    11.47     13.20      7.97
  2018-A    53    13.40     11.57      7.26
  2018-B    50    15.35     10.84      6.61
  2018-C    47    15.26     10.15      6.55
  2018-D    44    18.15      9.46      6.12
  2019-A    41    20.98      8.48      6.01
  2019-B    38    24.43      7.86      6.12
  2019-C    35    27.19      7.57      6.65
  2019-D    32    30.76      6.67      6.55
  2020-B    25    39.60      4.61      5.95
  2021-A    17    51.21      2.69      5.39

  Mo.--Month.
  CNL--Cumulative net loss.
  Delinq.--Delinquencies.


  Table 2

  CNL Expectations (%)

              Original            Former       Revised
              lifetime          lifetime      lifetime
  Series      CNL exp.          CNL exp.      CNL exp.

  2017-C   18.00-19.00    15.25-15.75(i)   Up to 13.75
  2017-D   18.00-19.00    15.50-16.00(i)   Up to 13.75
  2018-A   18.00-19.00    14.50-15.00(i)   12.50-13.00
  2018-B   18.00-19.00    14.50-15.50(i)   12.25-12.75
  2018-C   17.00-18.00    14.25-15.25(i)   11.75-12.25
  2018-D   17.75-18.75    14.25-15.25(i)   11.50-12.00
  2019-A   17.75-18.75    13.75-14.75(i)   11.25-11.75
  2019-B   18.50-19.50    14.25-15.25(i)   11.25-11.75
  2019-C   18.50-19.50    15.00-16.00(i)   11.75-12.25
  2019-D   18.50-19.50    15.00-16.00(i)   12.00-12.50
  2020-B   21.50-22.50    16.00-17.00(i)   11.75-12.75
  2021-A   20.75-22.50   15.00-16.00(ii)   12.00-13.00

  (i)Revised in September 2021.
  (ii)Revised in March 2022.
  CNL exp.--Cumulative net loss expectations.

Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority. Each transaction
also has credit enhancement in the form of a nonamortizing reserve
account, overcollateralization, subordination for the higher-rated
tranches, and excess spread. As of the June 2022 distribution date,
the hard credit enhancement for each transaction is at the
specified target or floor. The affirmed and raised ratings reflect
our view that the total credit support as a percentage of the
amortizing pool balance, compared with S&P's expected remaining
losses, is commensurate with each raised or affirmed rating.

  Table 3

  Hard Credit Support(i)

  As of the August 2021 distribution date

                        Total hard   Current total hard
                    credit support       credit support
  Series   Class   at issuance (%)       (% of current)

  2017-C   E                  3.25                36.94
  2017-D   E                  2.85                30.51
  2018-A   D                 13.20               103.33
  2018-A   E                  2.85                26.11
  2018-B   D                 13.45                96.03
  2018-B   E                  2.55                25.01
  2018-C   D                 14.30                83.87
  2018-C   E                  5.00                22.93
  2018-D   D                 16.30                83.10
  2018-D   E                  5.60                24.16
  2019-A   D                 14.70                69.71
  2019-A   E                  5.00                23.47
  2019-B   D                 15.50                79.06
  2019-B   E                  4.60                34.46
  2019-B   F                  1.75                22.79
  2019-C   D                 13.65                65.28
  2019-C   E                  3.55                28.14
  2019-C   F                  1.25                19.68
  2019-D   C                 26.15               100.21
  2019-D   D                 13.70                59.73
  2019-D   E                  3.15                25.43
  2019-D   F                  1.25                19.25
  2020-B   C                 29.75                85.73
  2020-B   D                 20.15                61.48
  2020-B   E                 10.05                35.98
  2021-A   B                 40.15                85.04
  2021-A   C                 25.40                56.24
  2021-A   D                 14.50                34.95
  2021-A   E                  6.90                20.11

  (i)Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination.

S&P said, "We analyzed the current hard credit enhancement versus
the remaining expected cumulative net loss expectations for the
classes where hard credit enhancement alone--without credit to the
expected excess spread--was sufficient, in our view, to upgrade or
affirm the ratings at 'AAA (sf)'. For the other classes, we
incorporated a cash flow analysis to assess the loss coverage
levels, giving credit to stressed excess spread. Our various cash
flow scenarios included forward-looking assumptions on recoveries,
the timing of losses, and voluntary absolute prepayment speeds that
we believe are appropriate, given each transaction's performance to
date and our current economic outlook. We also conducted
sensitivity analyses to determine the impact that a moderate
('BBB') stress level scenario would have on our ratings if losses
trended higher than our revised base-case loss expectations. In our
view, the results demonstrated that all of the classes' ratings
meet our credit stability limits at their respective raised and
affirmed rating levels.

"We will continue to monitor the performance of all of the
outstanding transactions to ensure that the credit enhancement
remains sufficient, in our view, to cover our cumulative net loss
expectations under our stress scenarios for each of the rated
classes."

  RATINGS RAISED

  CPS Auto Receivables Trust

                       Rating
  Series   Class   To          From

  2017-C   E       AAA (sf)    BBB+ (sf)
  2017-D   E       AAA (sf)    BBB (sf)
  2018-A   E       AA (sf)     BBB (sf)
  2018-B   E       A+ (sf)     BB+ (sf)
  2018-C   D       AAA (sf)    AA (sf)
  2018-C   E       A- (sf)     BB (sf)
  2018-D   D       AAA (sf)    AA+ (sf)
  2018-D   E       A- (sf)     BB+ (sf)
  2019-A   D       AAA (sf)    AA (sf)
  2019-A   E       BBB+ (sf)   BBB- (sf)
  2019-B   D       AAA (sf)    AA (sf)
  2019-B   E       A+ (sf)     BBB (sf)
  2019-B   F       BBB+ (sf)   BB+ (sf)
  2019-C   D       AAA (sf)    A+ (sf)
  2019-C   E       A- (sf)     BBB (sf)
  2019-C   F       BBB (sf)    BB (sf)
  2019-D   D       AAA (sf)    A (sf)
  2019-D   E       BBB+ (sf)   BBB- (sf)
  2019-D   F       BB+ (sf)    BB (sf)
  2020-B   C       AAA (sf)    AA (sf)
  2020-B   D       AAA (sf)    A (sf)
  2020-B   E       A (sf)      BBB (sf)
  2021-A   C       AAA (sf)    AA- (sf)
  2021-A   D       A+ (sf)     A- (sf)
  2021-A   E       BBB+ (sf)   BBB- (sf)

  RATINGS AFFIRMED

  CPS Auto Receivables Trust

  Series   Class   Rating
  2018-A   D       AAA (sf)
  2018-B   D       AAA (sf)
  2019-D   C       AAA (sf)
  2021-A   B       AAA (sf)



CSAIL 2015-C4: Fitch Affirms B- Ratings on 2 Tranches
-----------------------------------------------------
Fitch Ratings has upgraded three and affirmed 12 classes of CSAIL
2015-C4 Commercial Mortgage Trust commercial mortgage pass-through
certificates series 2015-C4. The Rating Outlooks for classes B and
X-B are Positive following the upgrades of those classes. The
Rating Outlooks for classes G and X-G have been revised to Stable
from Negative.

   DEBT           RATING                    PRIOR
   ----           ------                    -----
CSAIL 2015-C4

A-3 12635RAW8    LT   AAAsf    Affirmed     AAAsf

A-4 12635RAX6    LT   AAAsf    Affirmed     AAAsf

A-S 12635RBB3    LT   AAAsf    Affirmed     AAsf

A-SB 12635RAY4   LT   AAAsf    Affirmed     AAAsf

B 12635RBC1      LT   AAsf     Upgrade      AA-sf

C 12635RBD9      LT   Asf      Upgrade      A-sf

D 12635RBE7      LT   BBBsf    Affirmed     BBBsf

E 12635RBF4      LT   BBB-sf   Affirmed     BBB-sf

F 12635RAL2      LT   BB-sf    Affirmed     BB-sf

G 12635RAN8      LT   B-sf     Affirmed     B-sf

X-A 12635RAZ1    LT   AAAsf    Affirmed     AAAsf

X-B 12635RBA5    LT   AAsf     Upgrade      AA-sf

X-D 12635RAA6    LT   BBB-sf   Affirmed     BBB-sf

X-F 12635RAE8    LT   BB-sf    Affirmed     BB-sf

X-G 12635RAG3    LT   B-sf     Affirmed     B-sf

KEY RATING DRIVERS

Stable Performance and Improved Loss Expectations: Fitch's base
case loss expectations have remained relatively stable since
Fitch's prior rating action and have improved significantly since
issuance, driven by improved performance and deleveraging of the
pool. Fitch's current ratings incorporate a base case loss of
3.30%. Ten loans (7.5% of pool), all outside of the top 15,
including two (1.3%) in special servicing, were designated Fitch
Loans of Concern (FLOCs).

The Outlook revisions to Stable from Negative on classes G and X-G
reflect the better than expected performance of the hotel and
retail backed loans affected by the pandemic. This includes the two
largest loans in the pool, Fairmont Orchid (13.3%; Kohala Coast,
HI) and Arizona Grand Resorts and Spa (5.0%; Phoenix, AZ). Both
have had significantly improved performance in 2021 and 2022 and
stabilized from the onset of the pandemic.

Increasing Credit Enhancement (CE): The upgrades to classes B, X-B
and C reflect the continued stabilization of properties impacted by
the pandemic, coupled with increasing CE. The Positive Outlooks on
classes B and X-B reflect the potential for further upgrades as the
class positions in the capital structure continue to benefit from
amortization and defeasance.

As of the June 2022 distribution date, the pool's aggregate balance
has been reduced by 9.9% to $847.1 million from $939.6 million at
issuance. Twelve loans (10.4% of pool) are fully defeased. Four
loans (17.4%) are full-term, interest-only, and 40 loans (51.1%),
which had a partial-term, interest-only component, have begun to
amortize. Actual Realized losses of $1.7 million and interest
shortfalls of $215,065 are currently affecting the non-rated class
NR.

Alternative Loss Consideration: Before considering the upgrades and
Positive Rating Outlooks, Fitch incorporated a pool-level
sensitivity scenario to test for the resiliency of the ratings by
applying higher cap rates and NOI stresses resulting in pool losses
that could reach 4.70%. Upgrades were limited based on this
additional stress.

Pool Concentration: The top 10 loans comprise 39.9% of the pool.
All remaining 84 loans maturity in 2025. Based on property type,
the largest concentrations are retail at 32.2%, hotel at 23.1% and
multifamily at 20.4%.

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 and 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 F, X-F, G
and X-G 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:

The Positive Outlooks on classes B and X-B reflect that upgrades to
these classes are possible with continued improvement in CE and/or
defeasance. Upgrades of classes C, D, E and X-D 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 F,
X-F, G and X-G 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.


CSMC 2018-SITE: DBRS Confirms BB Rating on Class HRR Certs
----------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-SITE
issued by CSMC 2018-SITE:

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

All trends are Stable.

The rating confirmation reflects the overall stable performance of
the transaction since DBRS Morningstar's last rating action. The
collateral for the trust is provided by a portion of the first-lien
mortgages on a portfolio of 10 cross-collateralized and
cross-defaulted retail properties across nine states, encumbering
the borrower's fee-simple interest on each of the properties. The
properties include a mix of seven power centers and three community
centers in 10 distinct markets. The retail properties total 4.1
million square feet (sf), of which approximately 3.4 million sf is
collateral for the underlying mortgages.

The trust loan is part of a split loan structure and includes a
$170.0 million senior promissory A note and a $144.3 million
subordinate promissory B note. The mortgage whole loan includes an
additional $50.0 million (non-trust) senior pari passu promissory A
note contributed to the DBRS Morningstar rated CSAIL 2019-C15
transaction. The whole loan is evidenced by a 64-month,
interest-only (IO), fixed-rate mortgage loan totalling $364.3
million in financing, with a maturity date in April 2024.

YE2021 servicer reporting noted a considerable improvement in cash
flow across all 10 of the portfolio properties, compared with
YE2020 reporting when the collateral faced cash flow disruptions as
a result of lower rental collections ultimately caused by the
Coronavirus Disease (COVID-19) pandemic. Servicer reported net cash
flow at YE2021 was $44.8 million, compared with $36.6 million at
YE2020 and $38.8 million at issuance. Likewise, the
weighted-average (WA) debt service coverage ratio (DSCR) improved
from 2.06 times (x) at YE2020 to 2.53x at YE2021. Only one property
reported a DSCR below 1.5x. The loan has never been delinquent and,
to date, not a single relief request has been submitted by the
sponsor.

The portfolio loan benefits from its highly granular rent roll,
geographic diversity, and strong tenant mix.

As of YE2021, consolidated occupancy across the portfolio was
95.2%, an improvement from the YE2020 occupancy rate of 88.2%. The
tenant roster includes over 180 unique tenants across 250 tenant
spaces, with no single tenant accounting for more than 7.6% of the
portfolio's net rentable area (NRA), and no single tenant space
accounting for more than 4.0% of portfolio NRA. Each of the
properties is in a different market, with the greatest market
exposure to the Phoenix (20.2% of NRA and 25.6% of the allocated
loan amount (ALA)), Hartford (16.6% of NRA and 15.3% of ALA), and
Kansas City (11.3% of NRA and 11.8% of ALA) markets. Seven
properties have grocery store anchors or shadow anchors.

The five largest tenants are Lowe's (7.6% of collateral NRA);
Kohl's (7.0% of NRA); AMC Theatres (6.8% of NRA); The TJX
Companies, Inc. (6.0% of NRA); and Dick's Sporting Goods (5.4% of
NRA). The vast majority of big box anchor tenants are on long-term
leases and have multiple lease extension options available.
Moreover, the tenant mix for the portfolio consists of a number of
credit-rated tenants, including Lowe's; Kohl's; TJX; Ross Stores,
Inc.; and Best Buy Co., Inc. Major shadow anchors include Target
(three properties), Sam's Club (one property), and Kohl's (one
property).

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



DBUBS 2011-LC2: DBRS Confirms B Rating on Class FX Certs
--------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2011-LC2
issued by DBUBS 2011-LC2 Mortgage Trust:

-- Class FX at B (sf)
-- Class F at B (low) (sf)

All trends are Stable.

The rating confirmations and Stable trends reflect DBRS
Morningstar's view of the remaining two loans in the pool, as
further described below. Although there remains a significant
amount of cushion in the unrated Class G first loss certificate,
which had a balance of just over $37.0 million as of the June 2022
remittance, there are challenges for each loan. These challenges
supported DBRS Morningstar's conservative approach for this
review.

As of the June 2022 remittance, there are two loans remaining in
the trust, with an aggregate balance of $52.3 million. The pool has
been paid down by 97.6% since issuance. The smaller of the two
loans, The Tower (Prospectus ID#28, 35.3% of the pool balance), is
in special servicing, and the larger loan, Magnolia Hotel Houston
(Prospectus ID#16, 64.7% of the pool balance), is on the servicer's
watchlist. One loan, Louisiana Tower, was recently liquidated from
the pool, which resulted in a loss of $3.5 million to the Class G
certificate. The loss amount was in line with DBRS Morningstar's
expectations.

The Tower is secured by a mixed-use complex (predominantly office
space) composed of three buildings in downtown Fort Worth, Texas.
The former largest tenant, Alcon (38.1% of the net rentable area),
exercised its termination option and vacated the property in
January 2021. The loan subsequently transferred to special
servicing in June 2021 for maturity default, and the trust
ultimately obtained title to the properties in January 2022. The
special servicer's commentary as of June 2022 stated the collateral
had been sold through an auction held in April 2022, with the
transaction expected to close by the end of June 2022. The May 2021
appraisal valued the complex at $32.4 million, down 6% from the
issuance value of $34.5 million. However, according to the
servicer, the property was less than 50% occupied the last time it
was calculated, suggesting a sale price could be diluted given
current challenges for leasing large blocks of vacant office space.
Given these factors, DBRS Morningstar assumed a haircut to the 2021
value that resulted in a loss of $5.1 million (loss severity in
excess of 25%) in the analysis for this review.

The Magnolia Hotel Houston loan is secured by a 314-key
full-service hotel in downtown Houston. The loan was previously in
special servicing for payment default following the borrower's
relief request associated with the Coronavirus Disease (COVID-19)
pandemic. A loan modification was executed, which allowed for
reduced payments between May 2021 and July 2021, and the loan
maturity was extended to June 2023 from June 2021. In addition, all
default interest and late fees were waived. The loan was returned
to the master servicer in February 2022 and will be cash managed
through loan maturity.

According to the September 2020 appraisal, the property was valued
at $46.6 million, down 27% from the issuance value of $63.7
million, representing a loan-to-value (LTV) ratio of 72.8%,
compared with the issuance LTV of 65.9%. Performance has been
depressed for several years with the debt service coverage ratios
reporting below breakeven. This was primarily driven by the
extensive property improvement plan renovations required to align
the property with Starwood Tribute brand standards, a factor
compounded by the general challenges within the oil and gas
industry in previous years and more recently by the effects of the
pandemic. According to the March 2022 STR, Inc. report, the
property reported a trailing 12 months ended March 31, 2022,
occupancy rate, average daily rate, and revenue per available room
(RevPAR) of 40.9%, $155.63, and $63.72, respectively, with a RevPAR
penetration rate of 77.7%. Although the sustained performance
declines are concerning, DBRS Morningstar believes property
performance should tick up over the near to moderate term as
leisure travel continues to pick up and the energy sector benefits
from recent increases in gas prices. The sponsor appears committed
to the property and the subject loan, and the 2020 appraisal
suggests the trust remains relatively well insulated from loss
should a liquidation ultimately occur.

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



DEEPHAVEN 2022-3: DBRS Gives Prov. B Rating on Class B-2 Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2022-3 to be issued by Deephaven
Residential Mortgage Trust 2022-3 (DRMT 2022-3 or the Issuer):

-- $128.8 million Class A-1 at AAA (sf)
-- $18.4 million Class A-2 at AA (sf)
-- $28.0 million Class A-3 at A (sf)
-- $15.4 million Class M-1 at BBB (sf)
-- $12.5 million Class B-1 at BB (sf)
-- $12.3 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Notes reflects 42.75% of
credit enhancement provided by subordinated Notes. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 34.55%, 22.10%,
15.25%, 9.70%, and 4.25% of credit enhancement, respectively.

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

DRMT 2022-3 is backed by a portfolio of fixed- and adjustable-rate
prime and nonprime first-lien residential mortgages funded by the
issuance of the Notes. The Notes are backed by 421 loans with a
total principal balance of approximately $224,978,650 as of the
Cut-Off Date (June 1, 2022).

The originators for the mortgage pool are Deephaven Mortgage LLC
(Deephaven; 32.3%); All Credit Considered Mortgage, Inc. (ACC;
12.9%); 5th Street Capital, Inc. (5th Street; 10.2%); and others
(44.6%). Deephaven acquired loans originated predominantly under
following underwriting guidelines:

-- Deephaven Expanded Prime
-- Deephaven Non-Prime
-- Deephaven Debt Service Coverage Ratio
-- ACC prime plus

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

Selene Finance LP (98.7%) and NewRez LLC doing business as
Shellpoint Mortgage Servicing (1.3%) are the Servicers for all
loans. RCF II Loan Acquisition, LP will act as the Sponsor and
Advance Reimbursement Party. Computershare Trust Company, N.A.
(rated BBB with a Stable trend by DBRS Morningstar) will act as the
Master Servicer, Paying Agent, Note Registrar, Certificate
Registrar, and REMIC Administrator. U.S. Bank National Association
(rated AA (high) with a Stable trend by DBRS Morningstar) will
serve as the Custodian; Wilmington Savings Fund Society, FSB will
act as the Owner Trustee; and Wilmington Trust National Association
(rated AA (low) with a Stable trend by DBRS Morningstar) will act
as the Indenture Trustee.

The pool is about three months seasoned on a weighted-average (WA)
basis, although seasoning spans from zero to 10 months.

In accordance with U.S. credit risk retention requirements, RCF II
Loan Acquisition, LP as the Sponsor, either directly or through a
Majority-Owned Affiliate, will retain an eligible horizontal
residual interest consisting of a portion of the Class B-2 Notes,
100% of the Class B-3 Notes, and the Class XS Notes representing
not less than 5% economic interest in the transaction, to satisfy
the requirements under Section 15G of the Securities and Exchange
Act of 1934 and the regulations promulgated thereunder. Such
retention aligns Sponsor and investor interest in the capital
structure.

Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
products for various reasons described above. In accordance with
the CFPB Qualified Mortgage (QM)/ATR rules, 67.3% of the loans are
designated as non-QM. Approximately 32.7% of the loans are made to
investors for business purposes and are thus not subject to the
QM/ATR rules.

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

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

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

The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the Class A-1, A-2, and A-3
Notes (Senior Classes) subject to certain performance triggers
related to cumulative losses or delinquencies exceeding a specified
threshold (Credit Event). Principal proceeds can be used to cover
interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP)
before being applied sequentially to amortize the balances of the
senior and subordinated bonds after a Credit Event has occurred.
For the Class A-3 Notes (only after a Credit Event) and for the
mezzanine and subordinate classes of Notes (both before and after a
Credit Event), principal proceeds will be available to cover
interest shortfalls only after the more senior classes have been
paid off in full. Furthermore, the excess spread can be used to
cover realized losses and prior period bond writedown amounts first
before being allocated to unpaid cap carryover amounts to Class A-1
to Class A-3. 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 Senior Classes' cap carryover
amounts after the coupons on Senior Classes step up by 100 basis
points on and after the payment date in July 2026.

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 pandemic, DBRS
Morningstar saw an increase in delinquencies for many residential
mortgage-backed securities (RMBS) asset classes.

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

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



DRYDEN 104: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Dryden 104
CLO Ltd./Dryden 104 CLO LLC's floating-rate notes.

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

The preliminary ratings are based on information as of July 19,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The collateral pool's diversification;

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

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

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

  Preliminary Ratings Assigned

  Dryden 104 CLO Ltd./Dryden 104 CLO LLC

  Class A-1, $306.25 million: AAA (sf)
  Class A-2, $13.75 million: Not rated
  Class B, $60.00 million: AA (sf)
  Class C, $28.50 million: A (sf)
  Class D, $27.50 million: BBB- (sf)
  Class E, $15.75 million: BB- (sf)
  Subordinated notes, $39.61 million: Not rated



ELMWOOD CLO 18: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elmwood CLO
18 Ltd./Elmwood CLO 18 LLC's floating-rate notes. The transaction
is managed by Elmwood Asset 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 preliminary ratings are based on information as of July 20,
2022. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

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

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

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

  Preliminary Ratings Assigned

  Elmwood CLO 18 Ltd./Elmwood CLO 18 LLC

  Class A, $307.50 million: AAA (sf)
  Class B, $72.50 million: AA (sf)
  Class C (deferrable), $29.25 million: A (sf)
  Class D (deferrable), $28.25 million: BBB- (sf)
  Class E (deferrable), $17.06 million: BB- (sf)
  Class F (deferrable), $5.44 million: B- (sf)
  Subordinated notes, $42.00 million: Not rated



ENCINA EQUIPMENT 2022-1: DBRS Finalizes BB Rating on Class E Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of asset-backed notes 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
sponsored by Encina Equipment Finance, LLC (Encina EF), which has
been operating since 2017. The company's senior management team has
extensive experience in the 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 a low and intermittent amount of charge-offs.
Moreover, as of the 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 included in the Series
2021-1.

(8) The legal structure and presence of legal opinions that 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 Finalizes B Rating on 7 Classes
------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Structured Agency Credit Risk (STACR) REMIC 2022-DNA5 Notes (the
Notes) 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 Finalizes B(low) Rating on Class G Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by FS Rialto 2022-FL5 Issuer, LLC (FS RIAL
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 (HERF) 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 1.00x 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.



GOLDENTREE LOAN 14: Fitch Assigns 'BB-(EXP)' Rating on Cl. E Debt
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
GoldenTree Loan Management US CLO 14, Ltd.

   DEBT                 RATING
   ----                 ------
GoldenTree Loan Management US CLO 14, Ltd.

X                    LT    NR(EXP)sf     Expected Rating

A                    LT    NR(EXP)sf     Expected Rating

B-1                  LT    AA(EXP)sf     Expected Rating

B-2                  LT    AA(EXP)sf     Expected Rating

C                    LT    A+(EXP)sf     Expected Rating

C-J                  LT    A(EXP)sf      Expected Rating

D                    LT    BBB-(EXP)sf   Expected Rating

E                    LT    BB-(EXP)sf    Expected Rating

F                    LT    NR(EXP)sf     Expected Rating

Subordinated Notes   LT    NR(EXP)sf     Expected Rating

TRANSACTION SUMMARY

GoldenTree Loan Management US CLO 14, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by GoldenTree Loan Management II, LP. Net proceeds from
the issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $492.00 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 class 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 75.17% Fitch Ratings 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
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 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 our stress scenarios, each class of notes was able
to withstand default rates in excess of their 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
'BB+sf' and 'AA+sf' for class B-1 and B-2, between 'Bsf' and 'A+sf'
for class C, between 'Bsf' and 'A+sf' for class C-J, between less
than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf'
and 'B+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-1 and B-2 notes, between 'A+sf' and 'AA+sf' for class C
notes, between 'A+sf' and 'AA+sf' for class C-J notes, between
'Asf' and '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.


GS MORTGAGE 2018-LUAU: DBRS Confirms B(low) Rating on Cl. F Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-LUAU
(the Certificates), issued by GS Mortgage Securities Corporation
Trust 2018-LUAU:

-- 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)
-- Class X-CP at BBB (sf)
-- Class X-NCP at BBB (sf)

DBRS Morningstar also changed the trends on all classes to Stable
from Negative.

The Negative trends previously reflected DBRS Morningstar's concern
with the performance challenges the underlying collateral faced
because of the travel restrictions brought on by the Coronavirus
Disease (COVID-19) global pandemic. According to YE2021 financials
the servicer provided, performance metrics have shown improvement
as tourism travel begins to rebound closer to pre-pandemic levels,
and, as such, DBRS Morningstar changed the trends to Stable to
reflect the improved performance and continued positive outlook of
the collateral.

The collateral for the Certificates is the fee-simple ownership
interest in the 466-key Ritz-Carlton Kapalua, a luxury resort hotel
on the island of Maui, Hawaii. The mortgage loan totals $215.0
million, and the property consists of the 300 hotel keys and 166
residential condominium suites. Of the 466 keys, 68 are owned by
third parties that rent their units on the Ritz-Carlton hotel
website. The unit owners pay all expenses and share revenue in a
50/50 split with the hotel. Additionally, the hotel owns the
remaining 98 condominium units, whose income is included as
collateral for the loan. Total collateral includes the 398 keys and
the revenue sharing from other units. The sponsor is Blackstone
Real Estate Partners VIII-NQ L.P., a leading global asset manager
with over $881.0 billion assets under management as of Q4 2021, and
$279.5 billion of real estate assets under management, making it
one of the largest owners of hotels in the world.

The floating-rate, interest-only (IO) loan matured in November
2020; however, the borrower has exercised the first two of five
total available one-year extension options with a current maturity
date of November 2022. Interest is set at the Secured Overnight
Financing Rate (SOFR) plus 275 basis points (bps), and the spread
is subject to an increase of 25 bps upon the fourth extension. The
borrower purchased an SOFR interest rate cap with a strike price of
3.5%.

The hotel was constructed in 1976 and opened as a Ritz-Carlton in
1992 on the 49-acre site that features a three-tiered swimming
pool, multiple whirlpools, a fitness facility and a
17,500-square-foot (sf) spa, six food and beverage outlets, retail
space, tennis courts, and 229,000 sf of multipurpose space,
including indoor meeting space and an outdoor ballroom. The hotel
has access to two championship golf courses that are not part of
the collateral.

According to the March 2022 financials, the trailing-twelve-months
(T-12) ended March 31, 2022 reported a net cash flow of $13.0
million (with a debt service coverage ratio (DSCR) of 2.09 times
(x)), an increase from the YE2020 figure of -$12.1 million (with a
DSCR of -1.63x), and below the YE2019 figure of $18.7 million (with
a DSCR of 1.71x). As previously noted, tourism has increased since
late 2021 as many travel restrictions have been lifted, which has
resulted in increased room revenue. According to the March 2022 STR
report, the portfolio's occupancy, average daily rate, and revenue
per available room reported T-12 figures of 53.0% (+187.6% over the
March 2021 figure), $742.48 (+24.3%), and $393.49 (+257.5%),
respectively. Relative to its competitive set, the property
exhibited occupancy, ADR, and RevPAR penetration rates of 76.6%,
139.8%, and 107.0%, respectively.

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




GS MORTGAGE 2018-SRP5: S&P Lowers Class C Notes Rating to CCC (sf)
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes and
affirmed its ratings on two classes of commercial mortgage
pass-through certificates from GS Mortgage Securities Corp. Trust
2018-SRP5, a U.S. CMBS transaction.

This is a stand-alone (single-borrower) transaction backed by a
floating-rate interest-only (IO) mortgage loan secured by the
borrowers' fee simple and/or leasehold interests in five enclosed
regional malls totaling 5.9 million sq. ft. (of which, 3.7 million
sq. ft. is collateral) located in California, Ohio, and
Washington.

Rating Actions

S&P said, "The downgrades of classes A, B, and C reflect our
reevaluation of the Starwood Regional Mall Portfolio, which secures
the sole loan in the transaction. Our analysis included a review of
the most recent available financial performance data provided by
the servicer, the reported performance at the property since the
onset of the COVID-19 pandemic, and the updated November 2021
appraisal values. For the portfolio, servicer-reported net cash
flow (NCF) rebounded to $37.0 million in 2021, from $31.2 million
in 2020. However, the reported performance is still materially
below the pre-pandemic reported NCF performance of $59.5 million
for 2019. Additionally, based on the borrower's 2022 budget
provided by the servicer, the budgeted 2022 net operating income
(NOI) of $44.9 million remains significantly below 2019's NOI of
$66.0 million and is only marginally higher than the
servicer-reported 2021 NOI figure of $43.5 million.

"Therefore, we have revised our sustainable NCF downward by 12.7%
to $44.6 million from $51.0 million at our prior review, which
reflects continued challenges facing the retail mall sector and
aligns our NCF closer to the 2021 servicer-reported NCF. Using a
10.28% S&P Global Ratings capitalization rate (unchanged from our
last review), we arrived at an expected-case valuation of $423.2
million, or $114 per sq. ft.--a decline of 14.0% from our last
review value of $492.0 million. Although our NCF assumptions for
the Franklin Park and Great Northern malls were modestly higher
than what we calculated during our last review, we did not revise
our estimated values for these two properties given the modest
improvement in our derived NCF. This yielded an S&P Global Ratings
loan-to-value ratio of 120.0% on the loan balance.

"While the model-indicated ratings on classes A and B were lower
than the classes' revised rating levels, we tempered our downgrades
because we qualitatively considered the classes' relative positions
in the waterfall and the potential that the operating performance
of some of the malls in the portfolio could improve above our
expectations. However, if there are any reported negative changes
in the portfolio's performance beyond what we have already
considered, we may revisit our analysis and adjust our ratings as
necessary. The downgrade of the class C rating to 'CCC (sf)' and
the affirmation of the class D rating at 'CCC (sf)' reflect our
view that these classes are more susceptible to reduced liquidity
support and exhibit an elevated risk of default and loss due to
current market conditions, based on an S&P Global Ratings' LTV
ratio over 100% on the loan.

"The affirmation on the class X-NCP IO certificates is based on our
criteria for rating IO securities, in which the rating on the IO
security would not be higher than that of the lowest-rated
reference class. Class X-NCP's notional amount references classes
A, B, C, and D."

Property-Level Analysis

S&P said, "Our property-level analysis considered the portfolio's
decreasing occupancy and servicer-reported NCF. NCF was down 8.8%
in 2018, 6.6% in 2019, and 42.9% in 2020. While performance
declined materially because of the COVID-19 pandemic, NCF rebounded
by 15.5% in 2021, to $37.0 million from $31.2 million in 2020. The
increase in performance from 2020 to 2021, however, was mainly a
result of lower reported operating expenses, as overall EGI
decreased modestly by 3.6%. We also considered the increasing trend
of retail tenant bankruptcies and store closures and, therefore,
increased our lost rent assumptions and excluded income from those
tenants no longer listed on the respective mall directory websites,
or those that have filed for bankruptcy protection or announced
store closures. Consequently, we derived an overall sustainable NCF
of $44.6 million (down 12.7% from our last review)."

The Five Regional Malls

Plaza West Covina ($141.1 million current allocated loan amount
[ALA])

Plaza West Covina is a 1.2 million-sq.-ft. (of which 667,814 sq.
ft. is collateral) regional mall in West Covina (Los Angeles),
Calif., anchored by J.C. Penney (210,274 sq. ft.; noncollateral),
Macy's (180,000 sq. ft.; noncollateral), and an anchor space
formerly occupied by Sears (137,820 sq. ft.; noncollateral).
According to the December 2021 rent roll, the collateral was 88.2%
occupied, down from the servicer-reported 93.0% occupancy rate in
2020 and 95.6% in 2019. The servicer-reported NOI declined by 2.9%
to $18.8 million in 2018, 7.0% to $17.4 million in 2019, and 40.7%
to $10.3 million in 2020. Operating performance did recover
somewhat in 2021, as NOI increased 23.4% to $12.8 million, mainly
due to lower reported operating expenses. According to the December
2021 rent roll, the five largest tenants made up 26.7% of the
collateral net rentable area (NRA). In addition, the NRA includes
leases that expire in 2022 (21.9%), 2023 (18.6%), and 2024 (7.3%).
Notable leases with upcoming rollover include Off Broadway Shoes
(3.0% of NRA, Jan. 1, 2023 lease expiry) and Forever 21 (5.1% of
NRA, Jan. 1, 2023).

Franklin Park Mall ($116.8 million current ALA)

Franklin Park is a 1.3 million-sq.-ft. (of which 705,503 sq. ft. is
collateral) regional mall in Toledo, Ohio, anchored by J.C. Penney
(222,990 sq. ft.; noncollateral), Dillard's (192,182 sq. ft.;
noncollateral), Macy's (186,621 sq. ft.; noncollateral), Cinemark
(83,443 sq. ft.), and Dick's Sporting Goods (75,000 sq. ft.).
According to the December 2021 rent roll, the collateral property
was 91.8% occupied, up modestly from the servicer-reported 89.0%
occupancy rate in 2020. The servicer-reported NOI decreased by
16.1% to $15.3 million in 2018, increased by 7.3% to $16.4 million
in 2019, decreased by 50.8% to $8.1 million in 2020, and then
increased by 38.4% in 2021 to $11.2 million. According to the
December 2021 rent roll, the five largest tenants made up 33.3% of
the collateral NRA. In addition, the NRA includes leases that
expire in 2022 (13.8%), 2023 (14.3%), and 2024 (6.5%). One notable
tenant, Forever 21 (3.1% of NRA) expires Jan. 1, 2023.

Parkway Plaza ($108.2 million current ALA)

Parkway Plaza is a 1.3 million-sq.-ft. (of which 944,728 sq. ft. is
collateral) regional mall in El Cajon (San Diego), Calif., anchored
by Walmart (160,000 sq. ft.), J.C. Penney (153,047 sq. ft.; ground
leased), and Macy's (115,612 sq. ft.; noncollateral). There is also
a vacant anchor space (255,622 sq. ft.; noncollateral). According
to the December 2021 rent roll, the collateral was 93.3% occupied,
which was modestly lower than the 94.9% servicer-reported occupancy
rate in 2020. Since year-end 2021, one material tenant has had its
lease expired (Crunch, 19,784 sq. ft.; 2.4% of NRA--the expiration
was in April 2022) and vacated the property. According to the most
recent leasing status report provided by the servicer, Aldi has
signed a new 10-year lease for 23,693 sq. ft. The servicer-reported
NOI declined by 4.4% to $15.8 million in 2018, 9.2% to $14.4
million in 2019, 37.5% to $9.0 million in 2020, and was flat in
2021 at about $9.0 million. According to the December 2021 rent
roll, the five largest tenants, excluding J.C. Penney, made up
46.5% of the collateral NRA. In addition, the NRA includes leases
that expire in 2022 (27.1%), 2023 (18.8%), and 2024 (21.3%).
Notable leases with upcoming rollover include Comics N Stuff (2.4%
of NRA, July 31, 2022 expiry), Forever 21 (2.5%, Jan. 1, 2023),
Ulta Beauty (1.5%, Oct. 11, 2023) and Regal Cinemas (10.5%, Oct.
31, 2023). According to the most recent leasing status report
provided to us by the servicer, Forever 21 and Regal Cinemas are in
discussions for lease renewals/extensions.

Capital Mall ($83.9 million current ALA)

Capital Mall is an 804,065-sq.-ft. regional mall in Olympia, Wash.,
anchored by Macy's (113,190 sq. ft.; ground leased), J.C. Penney
(93,481 sq. ft.; ground leased), Dick's Sporting Goods (51,060 sq.
ft.), and Century Theatres (45,171 sq. ft.). According to the
December 2021 rent roll, the collateral was 92.1% occupied, which
was modestly lower than the servicer-reported 93.6% occupancy rate
in 2020. The servicer-reported NOI declined by 8.3% to $11.3
million in 2018, 20.8% to $9.0 million in 2019, 25.9% to $6.6
million in 2020, and 38.5% to $4.1 million in 2021. The continued
decline in 2021 was driven by lower base rent and higher reported
operating expenses. According to the December 2021 rent roll, the
five largest tenants, excluding J.C. Penney and Macy's, made up
25.1% of the collateral NRA. In addition, the NRA includes leases
that expire in 2022 (26.0%), 2023 (14.4%), and 2024 (10.0%).
Notable tenants with upcoming lease rollover include TJ Maxx (3.8%
of NRA, Sept. 30, 2022 expiry), Party City (2.4%, Jan. 1, 2023),
and Total Wine & More (3.8%, July 31, 2023). According to the most
recent leasing status report provided by the servicer, TJ Maxx is
in discussions for a possible lease renewal/extension.

Great Northern Mall ($58.0 million current ALA)

Great Northern is a 1.2 million-sq.-ft. (606,933 sq. ft. is
collateral) regional mall in North Olmstead (Cleveland), Ohio,
anchored by Macy's (238,261 sq. ft.; noncollateral), Dillard's
(214,653 sq. ft.; noncollateral), Sears (179,624 sq. ft.;
noncollateral), J.C. Penney (165,428 sq. ft.), and Regal Cinemas
(43,955 sq. ft.). According to the December 2021 rent roll, the
collateral was 90.8% occupied, down from the servicer-reported
94.5% occupancy rate in 2020. The servicer-reported NOI decreased
by 14.5% to $8.4 million in 2018, increased by 4.5% to $8.8 million
in 2019, decreased by 58.7% to $3.6 million in 2020, and increased
materially by 77.6% to $6.4 million in 2021. The stronger reported
performance in 2021 relative to 2020 was primarily a result of
lower operating expenses, as effective gross income was down
modestly from 2020. According to the December 2021 rent roll, the
five largest tenants made up 54.2% of the collateral NRA. In
addition, the NRA includes leases that expire in 2022 (12.8%), 2023
(13.2%), and 2024 (31.5%). Notable tenants with upcoming lease
rollover include All Star Elite (2.8% of NRA, Jan. 1, 2023 expiry)
and Forever 21 (3.3%, Jan. 1, 2023).

Transaction Summary

According to the July 15, 2022, trustee remittance report, the IO
mortgage loan has a trust balance and whole loan balance of $508.1
million, down from $549.0 million at issuance. The loan pays a per
annum floating rate at weighted average spread of 2.90% over LIBOR
and currently matures on Dec. 9, 2025. At issuance, there was
$252.8 million of unsecured subordinate debt funded via a public
bond offering in Israel, which was also backed by the collateral.
It is our understanding that the subordinate creditors (ILS debt
holders) had succeeded in having a trustee appointed to take
control of the borrower entities and replaced the property manager.
The prior sponsor, Starwood, had defaulted on the ILS debt,
resulting in an auction of the properties to Pacific Retail Capital
Partners and Golden East Investors. The trust loan is not
cross-defaulted to the ILS debt.

According to the master servicer, the loan was previously
transferred to special servicing on June 3, 2020, because the
borrowers requested COVID-19 forbearance relief. The loan was later
modified on July 26, 2021, and was returned to the master servicer
as a corrected mortgage loan on Jan. 14, 2022. The modification
terms included:

-- Extending the loan's maturity to Dec. 9, 2025, with no
remaining extension options;

-- Putting a cash sweep in place, with excess cash being used to
pay down the loan's principal, and putting the loan under hard cash
management;

-- Requiring the sponsor to make a capital contribution of at
least $10.0 million;

-- Establishing a debt service reserve of $4.6 million and an
operating shortfall reserve of $4.0 million.

The master servicer, Wells Fargo Bank N.A., reported debt service
coverage of 1.42x for year-end 2021, compared with 1.19x in 2020
and 2.28x in 2019. To date, the trust has not incurred any
principal losses.

The recent rapid spread of the Omicron variant highlights the
inherent uncertainties of the pandemic but also the importance and
benefits of vaccines. 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 individual issuers
adapt to new waves in their geography or industry."

  Ratings Lowered

  GS Mortgage Securities Corp. Trust 2018-SRP5

  Class A: to BBB- (sf) from A- (sf)
  Class B: to BB- (sf) from BBB- (sf)
  Class C: to CCC (sf) from B- (sf)

  Ratings Affirmed

  GS Mortgage Securities Corp. Trust 2018-SRP5

  Class D: CCC (sf)
  Class X-NCP: CCC (sf)



HIT TRUST 2022-HI32: DBRS Gives Prov. B(low) Rating on Cl. G Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-HI32 to
be issued by HIT Trust 2022-HI32:

-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (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 HIT Trust 2022-HI32 (HIT 2022-HI32) transaction is secured by
the fee-simple and/or leasehold interests in 36 extended-stay,
full-service, limited-service, and select-service hospitality
properties across 18 states (the Original Properties). The
Borrowers are under contract to sell four Original Properties (the
Removal Properties), and DBRS Morningstar expects that the Removal
Properties will be released from the collateral of the Mortgage
Loan in the near term following the Origination Date. The remaining
32 properties are referred to herein as the Properties and
collectively as the Portfolio. All calculations in this report are
presented without regard to the Removal Properties. The Portfolio
consists of 4,168 total keys and the largest portion of the
Properties is categorized as select-service, which accounts for
35.6% of the allocated loan allowance (ALA). The Properties operate
under various flags under the Hilton (56.2% of the ALA), Marriott
(39.6% of the ALA), and Hyatt (4.2% of the ALA) brands, including
but not limited to Homewood Suites (four properties comprising
19.4% of the ALA), Hilton Garden Inn (four properties comprising
17.2% of the ALA), Hampton Inn (eight properties comprising 16.7%
of the ALA), and Courtyard (five properties comprising 15.9% of the
ALA). The properties were constructed between 1979 and 2013 and
have a weighted-average (WA) year built of 1999 and WA renovation
year of 2012.

The subject financing of $465.0 million, along with a $5.3 million
equity infusion from the sponsor, will go to retire $455.3 million
of existing debt (includes approximately $33.2 million of debt
encumbering the four Removal Properties), establish $8.0 million of
upfront property improvement plan (PIP) reserve, and cover closing
costs of $7.0 million. The loan is a two-year floating-rate
(one-month Secured Overnight Financing Rate (SOFR) plus 5.4% per
annum) IO mortgage loan with three one-year extension options. The
Borrower is expected to purchase an interest rate cap agreement
through July 15, 2024, with a one-month Term SOFR strike price of
4.2500%.

The transaction sponsor is an affiliate of Hospitality Investors
Trust, Inc. (HIT). Founded in 2013, HIT currently owns or has an
interest in a total of 98 hotels totaling 12,187 rooms across 29
states, all of which are operated under franchise or license
agreements with a national brand owned by one of Hilton Worldwide,
Inc.; Marriott International, Inc.; Hyatt Hotels Corporation; or
one of their respective subsidiaries or affiliates.

A total of approximately $79.8 million ($19,145 per room) in capex
has been invested in the subject from 2015 through 2021. There are
23 Properties, representing 70.2% of the Portfolio by ALA, that
have undergone substantial renovations since 2016. Future planned
capex at the subject totals approximately $92.7 million through
2027, $74.3 million of which is part of brand-mandated PIPs. In
addition to the upfront $8.0 million PIP reserve, the loan is
structured with a $15.0 million letter of credit and, beginning on
the monthly payment date in October 2023 and on each payment date
in January, April, July, and October thereafter, an ongoing $2.25
million (less the amount the Borrower has expended on scheduled PIP
expenses) quarterly PIP reserve to fund the planned PIPs and
ongoing monthly replacement reserves to fund the repair and
replacement of furniture, fixtures, and equipment (FF&E) and
routine capex. DBRS Morningstar applied a $6.7 million DBRS
Morningstar value adjustment to recognize the PIP shortfall during
the initial loan term.

The largest two properties by net cash flow (NCF) for the trailing
12-month (T-12) period ended April 30, 2022, are the Courtyard
Flagstaff, which represents approximately 10.6% of the T-12 April
2022 NCF, and the Hilton Garden Inn Monterey, which represents
approximately 10.2% of the T-12 April 2022 NCF. No other property
represents more than approximately 6.0% of the Portfolio NCF. The
properties average approximately 130 keys and the largest hotel,
Homewood Suites Orlando International Drive Convention Center,
contains 252 keys, or approximately 6.0% of the total aggregate
keys in the Portfolio. The Portfolio is located across 18 states
with the largest concentration by ALA in Washington and California,
which account for approximately 13.3% and 13.2% of the ALA,
respectively. The third-largest concentration is in Florida, which
accounts for approximately 12.8% of the ALA, followed by Arizona at
10.3%, with no other state accounting for more than 9.1%.

In 2019, prior to the Coronavirus Disease (COVID-19) pandemic, the
Portfolio averaged 77.3% occupancy and reported WA average daily
revenue (ADR) and revenue per available room (RevPAR) of $130.58
and $101.53, respectively. While occupancy has declined, the
sponsor has been successful in recovering ADR to above its
pre-pandemic historical average. As of the T-12 period ended April
30, 2022, WA RevPAR penetration for the Portfolio was 111.2% based
on occupancy of 70.6%, ADR of $128.50, and RevPAR of $90.72. From
2015 to 2019, the Portfolio exhibited WA occupancy, ADR, and RevPAR
rates of 77.8%, $127.17, and $98.87, respectively. Based on a
stabilized occupancy of 76.5% and ADR of $131.42, DBRS
Morningstar's concluded RevPAR of $100.53 is approximately 1.0%
below the Portfolio's 2019 RevPAR of $101.53. From 2015 to 2019,
the Portfolio achieved an average RevPAR of $98.87. DBRS
Morningstar's concluded NCF and value for the Portfolio reflect a
stabilized occupancy assumption of 76.5%, which is above the
Portfolio's 70.6% occupancy for the T-12 ending April 30, 2022
period. However, from 2015 to 2019, the Portfolio exhibited an
average annual occupancy of 77.8%. Portfolio occupancy has overall
been trending upward since March 2021 and, as of April 2022, was
70.6%, the highest since the pandemic began. DBRS Morningstar
elected to stabilize the Portfolio and assumed occupancy in line
with its pre-pandemic performance given the nationally recognized
brand affiliation of the properties as well as steady pre-pandemic
operating history, experienced management by nationally recognized
management companies, and the sponsorship of Hospitality Investors
Trust. Although certain assets in the Portfolio that are more
reliant on business and group demand experience a slower recovery,
others that are more focused on transient customers continue to see
rapid improvement.

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



JP MORGAN 2022-DATA: DBRS Finalizes BB Rating on Class E Certs
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on 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 2015-C33: Fitch Affirms 'B-' Rating on Class F Certs
----------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 12 classes of
JPMBB Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates series 2015-C33. Classes B and X-B were
upgraded to 'AAsf' from 'AA-sf' and the Rating Outlook for affirmed
class C was revised to Positive from Stable due to increasing
credit enhancement (CE).

   DEBT            RATING                   PRIOR
   ----            ------                   -----
JPMBB 2015-C33

A-3 46645JAC6    LT    AAAsf     Affirmed   AAAsf

A-4 46645JAD4    LT    AAAsf     Affirmed   AAAsf

A-S 46645JAF9    LT    AAAsf     Affirmed   AAAsf

A-SB 46645JAE2   LT    AAAsf     Affirmed   AAAsf

B 46645JAG7      LT    AAsf      Upgrade    AA-sf

C 46645JAH5      LT    A-sf      Affirmed   A-sf

D 46645JAS1      LT    BBB-sf    Affirmed   BBB-sf

D-1 46645JBG6    LT    BBBsf     Affirmed   BBBsf

D-2 46645JBJ0    LT    BBB-sf    Affirmed   BBB-sf

E 46645JAU6      LT    BB-sf     Affirmed   BB-sf

F 46645JAW2      LT    B-sf      Affirmed   B-sf

X-A 46645JAJ1    LT    AAAsf     Affirmed   AAAsf

X-B 46645JAL6    LT    AAsf      Upgrade    AA-sf

X-D 46645JAQ5    LT    BBB-sf    Affirmed   BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations increased since
Fitch's last rating action primarily due to increased losses
associated with two loans in the top 15 (Propst Promenade and
Sherwood Acres Apartments). There are eight Fitch Loans of Concern
([FLOCs] 12.3% of the pool), which were flagged for occupancy
declines, upcoming rollover risk and/or continued pandemic-related
performance concerns. No loans are currently in special servicing.
Fitch's current ratings incorporate a base case loss of 4.7%.

Largest Contributors to Loss: The largest contributor to losses and
second largest loan, Propst Promenade (5.7%), is secured by an
292,458-sf power center located in Alabaster, AL. Major tenants
include: Belk (Ground Lease, 25.2%; exp Dec. 31, 2024); Amstar
Entertainment (18.1% NRA; exp May 31, 2025) and Ross Dress for Less
(10.3%; exp Jan. 31, 2026). As of YE 2021, servicer reported
occupancy and NOI DSCR were 88.1% and 1.22x, respectively compared
to 98.6% and 1.74x at YE 2020. Base rent declined 8% while
operating expenses increased 2.1% at YE 2021 compared to the prior
year. 2021 was the first full year of debt service. Fitch modeled
an 8.8% LS based on 5% stress to YE 2021. The loan was not flagged
as a FLOC due to losses being in line with issuance expectations
(8.9%).

The second largest contributor to losses, 1106 South Euclid
Apartments (0.8%), is secured by an 84-bed, 21-unit student housing
building built in 2010. The property is on the east side of Euclid
Street, one-half block north and one-half block west of UI
Urbana-Champaign campus grounds. The asset was flagged as FLOC due
to continued low NOI DSCR: 0.59x (YE 2021); 0.77x (YE 2020); 0.78x
(YE 2019) and 1.30x (Issuance). Fitch modeled a 55.7% LS based on
YE 2021 NOI and an 9.25% cap rate.

The third largest contributor to losses and seventh largest loan,
Willowbend Lake Apartments (2.9%), is secured by a 360-unit garden
multifamily property located approximately nine miles southeast of
downtown Baton Rouge, LA. NOI has been trending downward due to
increasing operating expenses despite stable to improved EGI for
the last three years. As of YE 2021, servicer reported occupancy
and NOI DSCR were 92.5% and 1.75x, respectively compared to 91.1%
and 1.68x at YE 2020.

Improvement in Credit Enhancement: As of the June 2022 remittance
report, the pool's aggregate principal balance has been paid down
by 11.6% to $673.1 million from $761.8 million at issuance. Six
loans (6.5%) are defeased. 16 loans (47.1% of the pool) are
full-term interest-only (IO) and nine (19.6% of the pool) had
partial IO periods; all loans are no longer in their partial IO
period and have begun amortizing. The CE to senior classes is
expected to continue to improve given the pool's amortization; the
upgrades and Positive Outlook revision reflect the increased CE
which has offset increases losses to these classes.

RATING SENSITIVITIES

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

-- Downgrades to the classes rated in the 'AAsf' and 'AAAsf'
    categories are not likely due to sufficient CE expected and
    continued amortization but may occur should interest
    shortfalls affect these classes;

-- Downgrades to the classes rated in the 'BBB-sf', 'BBBsf' and
    'A-sf' categories may occur should additional loans become
    FLOCs or if performance of the FLOCs deteriorates further,
    which would erode CE;

-- Downgrades to classes rated in the 'B-sf' and 'BB-sf'
    categories would occur if loss expectations increase or 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:

-- Stable-to-improved asset performance, coupled with additional
    paydown and/or defeasance;

Upgrades to the 'A-sf' and 'AAsf' rated classes would likely occur
with continued improvement in CE and/or defeasance, and with the
stable performance of the pool; however, adverse selection and
increased concentrations, or underperformance of the FLOCs, could
cause this trend to reverse;

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

-- Upgrades to the 'B-sf' and 'BB-sf' rated classes are not
    likely until FLOCs' performance stabilize or return to pre-
    pandemic levels, 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.


KKR CLO 13: Moody's Upgrades Rating on $7MM Class F-R Notes to B2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by KKR CLO 13 Ltd.:

US$47,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2028 (the "Class B-1-R Notes"), Upgraded to Aaa (sf); previously on
November 7, 2019 Upgraded to Aa1 (sf)

US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-R Notes"), Upgraded to Aa1 (sf);
previously on February 5, 2021 Upgraded to Aa3 (sf)

US$24,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-R Notes"), Upgraded to A1 (sf);
previously on February 5, 2021 Upgraded to Baa1 (sf)

US$21,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class E-R Notes"), Upgraded to Ba2 (sf);
previously on February 5, 2021 Upgraded to Ba3 (sf)

US$7,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class F-R Notes"), Upgraded to B2 (sf);
previously on June 12, 2020 Downgraded to B3 (sf)

KKR CLO 13 Ltd., originally issued in December 2015 and refinanced
in March 2018, is a managed cashflow collateralized loan obligation
(CLO). The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in January 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2021. The Class A-1-R
notes have been paid down by approximately 46.9% or $74.4 million
since that time. Based on the trustee's May 2022 [1] report, the OC
ratios for the Class A/B, Class C, Class D, and Class E notes are
reported at 166.87%, 144.82%, 124.99%, and 111.62%, respectively,
versus July 2021 levels of 142.95%, 130.28%, 117.76%, and 108.63%,
respectively.

The deal has also benefited from an improvement in the credit
quality of the portfolio since July 2021. Based on the trustee's
May 2022 report [2], the weighted average rating factor (WARF) is
currently 2995 compared to 3264 in July 2021.

Notwithstanding the foregoing, the portfolio includes a number of
investments in securities that mature after the notes do. Based on
Moody's calculation, securities that mature after the notes do
currently make up approximately 7.4% of the portfolio. These
investments could expose the notes to market risk in the event of
liquidation when the notes mature.

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

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

Performing par and principal proceeds balance: $220,912,243

Defaulted par: $1,800,393

Diversity Score: 50

Weighted Average Rating Factor (WARF): 2843

Weighted Average Coupon (WAC): 13.00%

Weighted Average Spread (WAS) (before accounting for reference
floors): 3.30%

Weighted Average Recovery Rate (WARR): 48.29%

Weighted Average Life (WAL): 3.53 years

Methodology Used for the Rating Action

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

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

The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change.


KKR STATIC 1: Fitch Assigns BB+ Rating on Class E Debt
------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to KKR
Static CLO I Ltd.

   DEBT                 RATING
   ----                 ------
KKR STATIC CLO I LTD.

A-L                  LT   AAAsf    New Rating

A-N                  LT   AAAsf    New Rating

B                    LT   AA+sf    New Rating

C                    LT   A+sf     New Rating

D                    LT   BBB+sf   New Rating

E                    LT   BB+sf    New Rating

Subordinated Notes   LT   NRsf     New Rating

TRANSACTION SUMMARY

KKR Static CLO I Ltd. (the issuer) is a static 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 $450.0 million of primarily first lien
senior secured leveraged loans.

KEY RATING DRIVERS

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

Asset Security (Positive): The purchased portfolio consists of
98.7% first-lien senior secured loans and has a weighted average
recovery assumption of 75.27%.

Portfolio Composition (Positive): The largest three industries
constitute 30.6% of the portfolio balance in aggregate, while the
top five obligors represent 3.9% 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 does not have a
reinvestment period; however, the issuer has the ability to extend
the weighted average life (WAL) 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 IDR
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. In our stress scenarios, 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 'AAsf' for
class B, 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
'BB+sf' 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 'AAAsf' for class B notes, between
'AA-sf' and 'AA+sf' for class C notes, 'AA-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 its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


KREF 2021-FL2: DBRS Confirms B(low) Rating on 3 Classes of Notes
----------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of notes issued
by KREF 2021-FL2 Ltd. as follows:

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

At issuance, the collateral consisted of 20 floating-rate mortgages
secured by 29 mostly transitional commercial real estate properties
totalling approximately $1.0 billion, excluding approximately
$260.5 million of future funding commitments. The Issuer then added
additional proceeds into the proposed structure to bring the total
transaction structure from $1.0 billion to $1.3 billion. 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 August 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 will have a sequential-pay
structure following the expiration of the Reinvestment Period.

As of the June 2022 remittance, the pool comprises 20 loans secured
by 26 properties with a cumulative trust balance of $1.2 billion.
Since issuance, seven loans with a former cumulative trust balance
of $471.5 million have been successfully repaid from the pool. Over
the same period, seven loans with a current cumulative trust
balance of $359.5 million have been contributed to the trust. As of
the June 2022 remittance, there was $85.0 million remaining in the
Reinvestment Account.

In general, borrowers are progressing toward completion of the
stated business plans. Of the current collateral pool, 13 of the 20
outstanding loans were structured with future funding components
and, according to an update from the collateral manager, it had
advanced $57.5 million in loan future funding through March 2022 to
nine individual borrowers to aid in property stabilization efforts.
The largest advance was made to the borrower of the Boston South
End Life Science Campus loan ($36.8 million). The Boston South End
Life Science Campus loan is secured by two office and laboratory
(lab) properties in Boston. The borrower has used loan future
funding for leasing costs as well as ongoing capital improvement
projects at the property and, in addition, a portion of the future
funding will be used to convert one of the two collateral
properties from a traditional office building to lab space. An
additional $201.6 million of unadvanced loan future funding
allocated to 12 individual borrowers remains outstanding with the
largest portion ($83.7 million) allocated to the borrower of the
aforementioned Boston South End Life Science Campus loan.

The transaction consists of nine loans (totalling 47.7% of the
current trust balance) secured by multifamily properties, six loans
(totalling 27.1% of the current trust balance) secured by office
properties, and three loans (totalling 14.0% of the current trust
balance) secured by hotel properties. The remaining two loans
(totalling 11.2% of the current trust balance) are secured by
student housing properties. In comparison with the transaction
composition at closing in July 2021, loans secured by hotel
properties have increased by 10.1% of the trust balance from
issuance, while loans secured by multifamily properties have
decreased by 15.3% of the trust balance.

By geographical concentration, the collateral is most heavily
concentrated in Texas and California, with loans representing 23.3%
and 21.6% of the cumulative loan balance, respectively. Twelve
loans, representing 59.3% 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 eight loans, representing 40.7% 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 markets have
increased as a percent of the transaction from 55.9% while suburban
markets have decreased as a percent of the transaction from 44.1%.

As of June 2022 reporting, all loans remain current with one loan
on the servicer's watchlist, representing 3.5% of the pool balance.
The Lewis loan (Prospectus ID#17, 3.5% of the current trust
balance) is being monitored for a pending loan maturity; however,
according to the collateral manager, loan maturity has been
extended to April 2023 as the borrower exercised an extension
option. As such, DBRS Morningstar expects the loan to be removed
from the servicer's watchlist in the near term. There have been
four loans, representing 12.7% of the pool balance, that have
reported loan modifications, with all four loan modifications
executed such that the individual borrowers could qualify for
maturity date extensions. No borrowers have requested or were
granted forbearances.

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



MANHATTAN 2020-1MW: DBRS Confirms BB(high) Rating on HRR Certs
--------------------------------------------------------------
DBRS Inc. confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-1MW
issued by Manhattan West 2020-1MW Mortgage Trust:

-- 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 BBB (low) (sf)
-- Class HRR at BB (high) (sf)
-- Class X at AAA (sf)

All trends are Stable.

The rating confirmations reflect the stable performance of the
transaction, which remains in line with DBRS Morningstar's
expectations. The transaction is collateralized by a trophy
70-story Class A office building in the Hudson Yards submarket of
Manhattan. The building was delivered to market in July 2019, with
physical occupancy and tenant build-outs occurring through Q3 2020.
The asset is a component of Brookfield Property Partners L.P.'s
(BPY) larger Manhattan West mixed-use development project.

The asset benefits from long-term, institutional-grade tenancy with
a weighted-average remaining lease term of roughly 16 years. There
is virtually zero lease rollover during the loan term and existing
tenants have contractual rent increases built into many of their
leases. The earliest scheduled lease expirations of any of the
major tenants (Skadden, E&Y, Accenture, NHL, McKool Smith, and W.P.
Carey), which together are responsible for 94.5% of base rent, is
almost eight full years after loan maturity. Nonetheless, the
property's tenancy is heavily concentrated, with the top three
tenants (Skadden, E&Y, and Accenture) accounting for 74.5% of the
building's net rentable area and 76.8% of base rent.

According to the March 2022 rent roll, the property had a physical
occupancy rate of 96.6% with an average rental rate of $91.03 per
square foot. The servicer reported the net cash flow and debt
service coverage ratio at $105.3 million and 2.96 times (x),
respectively, for YE2021, compared with $34.6 million and 0.97x,
respectively, for YE2020, reflecting stabilization post build-out
of the tenanted spaces.

The Hudson Yards submarket has become one of the most desirable
office locations in Manhattan as large space users have opted to
move west and sign major leases. In addition, the transaction
benefits from strong, experienced institutional sponsorship in the
form of a joint venture partnership between BPY and the Qatar
Investment Authority. BPY, together with its affiliate Brookfield
Asset Management, is one of the largest commercial landlords in New
York City. BPY's core office portfolio includes interests in 134
Class A office buildings totalling 72.6 million square feet in
gateway markets around the world.

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



MBRT 2019-MBR: DBRS Confirms B Rating on Class G Certs
------------------------------------------------------
DBRS Limited confirmed all ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2019-MBR issued by MBRT 2019-MBR
as follows:

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

DBRS Morningstar changed the trends on Classes F, G, and X-A to
Stable from Negative. All remaining classes have Stable trends.

The rating confirmations and trend changes reflect the overall
improved performance of the collateral as it continues to recover
from the effects of the Coronavirus Disease (COVID-19) pandemic.
The interest-only (IO) floating-rate loan is secured by the fee
interest in the 400-key AAA Five Diamond-rated luxury, full-service
resort hotel and the leasehold interest in the Waldorf Astoria
Monarch Beach Resort and Club, previously known as the Monarch Bay
Beach Club, a private beach club near the hotel facilities in Dana
Point, California. Loan proceeds of $370.0 million, along with
sponsor equity of $127.6 million, financed the acquisition of the
property at a purchase price of $492.5 million. The loan had an
initial two-year term with three one-year extension options. The
first extension option was exercised last year and the loan is
currently scheduled to mature in November 2022.

The property was rebranded as a Waldorf Astoria hotel in September
2020, providing opportunity for the subject to leverage Hilton's
global sales and booking networks. According to the Branding and
Management agreement, Waldorf Astoria paid $40.0 million to operate
the property for a minimum of 30 years and the borrower was
required to complete a property improvement plan to align with
brand standards. Based on the servicer's November 2021 site
inspection report, approximately $40.0 million of renovations are
to be completed, with planned projects that included guestroom
renovations budgeted at $21.0 million and a lazy river installation
for $8.5 million.

According to the April 2022 STR report, the property reported a
trailing 12 months (T-12) ended April 30, 2022 occupancy rate of
46.7%, average daily rate (ADR) of $601.07 and revenue per
available room (RevPAR) of $280.80, representing a RevPAR
penetration rate of 75.8%. This is an improvement from the T-12
ended December 31, 2020, occupancy rate of 41.4%, ADR of $464.06,
and RevPAR of $192.18. The subject has historically underperformed
when compared with the competitive set with RevPAR penetration
rates hovering near 80.0%.

The loan is on the servicer's watchlist because of a trigger event
tied to a low debt yield but the servicer's commentary noted that
the Q1 2022 debt yield was 6.8%, which is above the 6.0% threshold.
As such, DBRS Morningstar expects that the loan will be removed
from the watchlist in the near term. Based on the year-end (YE)
2021 financials provided, the loan reported net cash flow (NCF) of
$18.0 million, compared with YE2020 when the loan reported a
negative NCF. Cash flows remain below the DBRS Morningstar NCF of
$22.2 million but are expected to continue to stabilize through the
end of 2022.

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



MFA 2022-INV2: S&P Assigns Prelim B+ (sf) Rating on Cl. B-2 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MFA
2022-INV2 Trust's mortgage pass-through certificates.

The certificate issuance is an RMBS securitization backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans secured by single-family
residences, two- to four-family homes, condominiums, townhomes, and
five-to-eight unit multi-family properties to both prime and
nonprime borrowers. The pool consists of 888 business-purpose
investor loans (including 206 cross-collateralized loans backed by
966 properties) that are exempt from the qualified mortgage and
ability-to-repay rules.

The preliminary ratings are based on information as of July 15,
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 and mortgage originator; and

-- The current and near-term macroeconomic conditions and the
effect they 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 the COVID-19 pandemic may have
on the overall credit quality of collateralized pools. While
pandemic-related performance concerns have waned, we maintain our
updated 'B' foreclosure frequency for the archetypal pool at 3.25%
given our current outlook for the U.S. economy, which includes the
Russia-Ukraine military conflict, supply-chain disruptions, and
rising inflation and interest rates.

  Preliminary Ratings Assigned

  MFA 2022-INV2 Trust

  Class A-1, $121,379,000: AAA (sf)
  Class A-2, $22,196,000: AA (sf)
  Class A-3, $25,519,000: A (sf)
  Class M-1, $14,798,000: BBB (sf)
  Class B-1, $10,186,000: BB (sf)
  Class B-2, $7,827,000: B+ (sf)
  Class B-3, $12,546,329: Not rated
  Class A-IO-S, notional: Not rated
  Class XS, notional: Not rated
  Class R, not applicable: Not rated



MFA 2022-RPL1: Fitch Assigns 'B' Rating on Class B-2 Notes
----------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes to be issued by MFA 2022-RPL1 Trust (MFA
2022-RPL1).

   DEBT          RATING              PRIOR
   ----          ------              -----
MFA 2022-RPL1

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

A-2      LT    AAsf    New Rating    AA(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

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

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

X        LT    NRsf    New Rating    NR(EXP)sf

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.


MOFT 2020-B6: DBRS Confirms B(high) Rating on Class D Certs
-----------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates issued by MOFT
2020-B6 Mortgage Trust:

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

All trends are Stable.

The rating confirmations reflect the current performance of the
collateral, which remains stable and in line with DBRS
Morningstar's expectations at issuance. The underlying loan is
secured by a 314,400-square-foot (sf) Class A office building in
Sunnyvale, California. The collateral is one of six identical
buildings that make up the Moffett Place campus within the greater
Moffett Park development. The subject was constructed in 2020 and
is 100.0% leased through January 2029 to Google LLC (Google), whose
parent company, Alphabet Inc., is rated investment grade. The whole
loan of $200.0 million is composed of eight pari passu senior notes
with an aggregate principal balance of $133.1 million and two
junior notes with an aggregate principal balance of $66.9 million.
The total trust balance of $67.4 million consists of the two junior
notes and $500,000 of senior debt. In addition, there is mezzanine
debt of $49.0 million. The 10-year, fixed-rate loan is interest
only throughout the loan term.

Google's initial lease is scheduled to expire before the August
2030 loan maturity; however, there are two seven-year renewal
options available to the tenant. Although the appraiser's estimated
market rent was $60.00 per sf (psf) on a triple net (NNN) basis at
issuance, which is higher than Google's base rental rate for year
one of $49.56 psf NNN, the lease is structured with annual rent
steps of approximately 2.0%, and a renewal would be at a market
rental rate. In addition, the loan is structured with a cash flow
sweep if notice to renew is not received 20 months prior to lease
expiration. The sweep is expected to generate $12.3 million
(approximately $40.00 psf) for future re-leasing costs.

As of April 2022, the building was 100% occupied; however, the loan
is being monitored on the servicer's watchlist because of the debt
service coverage ratio (DSCR) dropping below 1.10 times (x). The
servicer reported YE2021 net cash flow of $10.5 million and a DSCR
of 1.05x is considerably lower than DBRS Morningstar's analyzed
figures at closing of $14.6 million and 1.59x, respectively. The
variance is driven by a 30.2% decline in base rental income. The
variance in cash flow is not unexpected given that the build-out
work for Google began in May 2020 and, according to the terms of
the lease, Google started paying base rent in May 2021. As such,
the servicer-reported YE2021 financials are likely reflective of
partial-year reporting. Google's build-out was originally scheduled
for completion by October 2021, but was slightly delayed to
November 2021. The delay coincided with Google's plan to extend its
work-from-home policy through Q3 2021 amid the Coronavirus Disease
(COVID-19) pandemic; however, Google has subsequently announced
that its employees will be expected to return to the office a
minimum of three days a week.

The subject transaction benefits from the long-term lease to Google
and the collateral building's strong location, which should support
its continued desirability for Google, or other firms with a need
for a presence in a prominent area of Silicon Valley. In addition,
the sponsor for this transaction is an affiliate of Jay Paul
Company, a privately held real estate development firm founded in
1975 and based in San Francisco with significant experience and a
focus on the acquisition and development of high-end, build-to-suit
office product, specifically for firms interested in leasing space
in Silicon Valley.

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



MORGAN STANLEY 2015-XLF2: DBRS Cuts Class SNMD Certs Rating to D
----------------------------------------------------------------
DBRS Limited downgraded the rating on one class of Commercial
Mortgage Pass-Through Certificates, Series 2015-XLF2 issued by
Morgan Stanley Capital I Trust 2015-XLF2:

-- Class SNMD to D (sf) from C (sf)

In addition, the ratings on the remaining three classes (Classes
SNMA, SNMB, and SNMC, which were previously rated CCC (sf), C (sf),
and C (sf), respectively) have been discontinued. In accordance
with DBRS Morningstar's policies and procedures, the rating on
Class SNMD was simultaneously discontinued as there is no benefit
to investors to maintain the rating now that the transaction has
been collapsed.

The rating downgrade on Class SNMD and discontinuation of the other
three classes were due to the paydown and losses incurred with the
liquidation of the Starwood National Mall Portfolio loan, which was
collateralized by three super-regional malls: Stony Point, The
Shops at Willow Bend, and Fairlane Town Center.

The loan was liquidated with an $18.1 million loss to Class SNMD
with proceeds from the liquidation repaying the remaining classes.
The principal distribution with the May 2022 remittance of $83.2
million was slightly below the most recent appraised value for the
portfolio as of August 2020 of $89.0 million.

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




OCEANVIEW 2020-SBC1: DBRS Confirms B(low) Rating on Class B3 Trust
------------------------------------------------------------------
DBRS, Inc. upgraded the ratings on 16 classes of Mortgage-Backed
Securities, Series 2020-SBC1 issued by Oceanview Mortgage Loan
Trust 2020-SBC1 as follows:

-- Class M1-A to AAA (sf) from AA (sf)
-- Class M1-B to AAA (sf) from AA (sf)
-- Class M1-C to AAA (sf) from AA (sf)
-- Class M1-XA to AAA (sf) from AA (sf)
-- Class M1-XB to AAA (sf) from AA (sf)
-- Class M1-XC to AAA (sf) from AA (sf)
-- Class M1-XD to AAA (sf) from AA (sf)
-- Class M1-XE to AAA (sf) from AA (sf)
-- Class M2-A to AA (low) (sf) from A (sf)
-- Class M2-B to AA (low) (sf) from A (sf)
-- Class M2-C to AA (low) (sf) from A (sf)
-- Class M2-XA to AA (low) (sf) from A (sf)
-- Class M2-XB to AA (low) (sf) from A (sf)
-- Class M2-XC to AA (low) (sf) from A (sf)
-- Class M2-XD to AA (low) (sf) from A (sf)
-- Class M2-XE to AA (low) (sf) from A (sf)

In addition, DBRS Morningstar confirmed its ratings on the
following 31 classes:

-- Class A1-A at AAA (sf)
-- Class A1-B at AAA (sf)
-- Class A1-C at AAA (sf)
-- Class A1-XA at AAA (sf)
-- Class A1-XB at AAA (sf)
-- Class A1-XC at AAA (sf)
-- Class A1-XD at AAA (sf)
-- Class A1-XE at AAA (sf)
-- Class M3-A at BBB (sf)
-- Class M3-B at BBB (sf)
-- Class M3-C at BBB (sf)
-- Class M3-XA at BBB (sf)
-- Class M3-XB at BBB (sf)
-- Class M3-XC at BBB (sf)
-- Class M3-XD at BBB (sf)
-- Class M3-XE at BBB (sf)
-- Class M4-A at BBB (low) (sf)
-- Class M4-B at BBB (low) (sf)
-- Class M4-C at BBB (low) (sf)
-- Class M4-XA at BBB (low) (sf)
-- Class M4-XB at BBB (low) (sf)
-- Class M4-XC at BBB (low) (sf)
-- Class M4-XD at BBB (low) (sf)
-- Class M4-XE at BBB (low) (sf)
-- Class B1-A at BB (high) (sf)
-- Class B1-B at BB (high) (sf)
-- Class B1-XA at BB (high) (sf)
-- Class B1-XB at BB (high) (sf)
-- Class B1-XC at BB (high) (sf)
-- Class B2 at BB (low) (sf)
-- Class B3 at B (low) (sf)

In addition, following a request from the issuer, DBRS Morningstar
assigned new ratings to the following four classes:

-- Class XP1 at AAA (sf)
-- Class XP2 at AAA (sf)
-- Class XP3 at AAA (sf)
-- Class XP4 at AAA (sf)

The trends on all classes are Stable.

DBRS Morningstar was recently asked by the issuer to assign ratings
to Classes XP1, XP2, XP3, and XP4 (the XP Classes), which were not
rated at issuance. The XP Classes reference the Initial
Exchangeable Classes A1-XB and A1-XC, which are interest only (IO)
classes, plus Class P, which does not bear interest but entitles
the holder to receive Prepayment Premiums. The holder of the Class
P Notes may proportionally exchange all or any portion of such
Class P Notes, together with the Class A1-XB and A1-XC Notes, for
the Class XP1, XP2, XP3, and XP4 Notes, and vice versa. DBRS
Morningstar rated Classes A1-XB and A1-XC at issuance, but did not
rate Class P or the exchangeable XP Classes. DBRS Morningstar's
ratings on the Class XP1, XP2, XP3, and XP4 Notes are based solely
on the ratings on Classes A1-XB and A1-XC and do not address the
payment of prepayment premiums associated with the Class P Notes.

The rating upgrades and confirmations reflect the overall improved
credit support for the transaction. At issuance, the trust
consisted of 637 individual fixed- and floating-rate loans secured
by 761 commercial, multifamily, and single-family rental (SFR)
properties with an average loan balance of $428,354. The
transaction is configured with a sequential-pay pass-through
structure. As of the May 2022 remittance report, 498 loans remained
in the pool with an average loan balance of $435,865, representing
a collateral reduction of approximately 20.5% since issuance. Per
the most recent reporting, 14 loans, representing 2.0% of the pool,
were at least 30 days delinquent, while two loans, representing
0.7% of the pool, were in foreclosure. There have been no realized
losses to date. For its review, DBRS Morningstar elevated the
probability of default for loans more than 60 days delinquent to
reflect the increased risk to the trust. The May 2022 remittance
report also included a notice to certificateholders that 98 loans
were in "Active COVID Forbearance," with no further details
regarding the terms of the forbearance.

The pool is diverse, based on loan size, as the 10 largest loans
represent only 8.7% of the overall pool balance. Increased pool
diversity helps to insulate the higher-rated classes from
loan-level event risk. Of the 498 remaining loans, 317 loans,
representing 61.4% of the pool, have a fixed interest rate with an
average rate of 6.83%. The floating-rate loans have interest rate
life floors ranging from 2.00% to 10.3%, with a straight average of
7.04%. All but two of the loans fully amortize over their
respective remaining loan terms, resulting in 99.9% expected
amortization, virtually eliminating refinance risk.

While the monthly investor reporting package (IRP) classifies all
loans as "other" for property type, at issuance, DBRS Morningstar
noted that the pool was mostly secured by traditional property
types (retail, multifamily, office, and industrial) with no
exposure to hospitality properties and minimal exposure to
manufactured housing, which represented 0.2% of the pool balance.
The pool is heavily concentrated with multifamily properties,
representing 39.1% of the initial pool. Additionally, the pool was
mostly concentrated in California, Florida, and Texas, representing
20.0%, 13.4%, and 7.7% of the pool, respectively. DBRS Morningstar
received limited borrower and property-level information at
issuance and considered the overall property quality to be Average
–/Below Average based on those properties sampled; this sample
comprised 8.4% of the issuance pool balance. Cash flow and
occupancy figures were not provided in the May 2022 IRP.

DBRS Morningstar noted that 46 loans, representing 3.1% of the
issuance trust balance, were secured by SFR properties. The North
American CMBS Multi-Borrower Rating Methodology does not currently
contemplate ratings on SFR properties. To address this, at issuance
and for this review, DBRS Morningstar considerably increased the
expected loss on these loans by approximately 2.9 times over the
average non-SFR expected loss.

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



PALMER SQUARE 2021-2: Moody's Hikes Rating on Class E Notes to Ba3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Palmer Square Loan Funding 2021-2, Ltd.:

US$84,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Upgraded to Aaa (sf); previously on April
21, 2021 Definitive Rating Assigned Aa1 (sf)

US$42,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class B Notes"), Upgraded to Aa3 (sf); previously on
April 21, 2021 Definitive Rating Assigned A2 (sf)

US$24,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Upgraded to Baa1 (sf); previously
on April 21, 2021 Definitive Rating Assigned Baa2 (sf)

US$7,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Upgraded to Ba3 (sf); previously on
April 21, 2021 Definitive Rating Assigned B1 (sf)

Palmer Square Loan Funding 2021-2, Ltd., issued in April 2021, is a
static cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2021. The Class A-1
notes have been paid down by approximately 27% or $126.7 million
since July 2021. Based on the trustee's June 2022 report[1], the OC
ratios for the Class A, Class B, Class C and Class D notes are
reported at 132.31%, 120.62%, 114.71% and 109.35%, respectively,
versus July 2021 [2] levels of 124.85%, 116.14%, 111.60% and
107.40%, respectively.

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

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

Performing par and principal proceeds balance: $573,347,320

Defaulted par: $0

Diversity Score: 71

Weighted Average Rating Factor (WARF): 2541

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.21%

Weighted Average Recovery Rate (WARR): 48.01%

Weighted Average Life (WAL): 4.5 years

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, decrease in overall WAS
and lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change.


READY CAPITAL 2022-FL9: DBRS Finalizes B(low) Rating on G Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Ready Capital Mortgage Financing
2022-FL9, LLC:

-- 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.



REALT 2016-2: Fitch Affirms 'B' Rating on Class G Debt
------------------------------------------------------
Fitch Ratings has affirmed four and upgraded three classes of Real
Estate Asset Liquidity Trust (REAL-T) Series 2016-2. Following the
upgrades, class B has been assigned a Stable Rating Outlook and
class C has been assigned a Positive Outlook. All currencies are
denominated in Canadian dollars (CAD).

   DEBT          RATING                   PRIOR
   ----          ------                   -----
REAL-T 2016-2

A-2 75585RNR2   LT   AAAsf    Affirmed    AAAsf

B 75585RNZ4     LT   AAAsf    Upgrade     AAsf

C 75585RPA7     LT   AAsf     Upgrade     Asf

D 75585RPB5     LT   Asf      Upgrade     BBBsf

E 75585RPC3     LT   BBB-sf   Affirmed    BBB-sf

F 75585RPD1     LT   BBsf     Affirmed    BBsf

G 75585RPE9     LT   Bsf      Affirmed    Bsf

KEY RATING DRIVERS

Improved Credit Enhancement (CE): The upgrades and Positive Outlook
reflect improving CE, primarily due to loan amortization,
maturities and defeasance. As of the June 2022 reporting period,
the pool had paid down by 46.5% since issuance, to $225.4 million
from $421.5 million. Since Fitch's prior rating action in 2021, six
loans comprising $56.8 million in outstanding pool balance paid in
full at maturity or prepaid in full. One loan comprising 4.3% of
outstanding pool balance has been defeased. There are six loans
(23.6%) that are scheduled to mature between October and December
2022.

The Positive Outlook for class C reflects the expectation for
continuing improvement in CE as loans continue to amortize and
mature.

Additional Loss Considerations: To test the durability of the
upgrades, an additional sensitivity was performed which assumed a
higher loss recognition on loans considered to be a maturity
default risk and higher pool-wide stresses to servicer-reported NOI
for all loans in the pool; this scenario supported the upgrades for
classes B, C and D.

Stable Loss Expectations: Fitch's base case loss has been stable as
the result of the underlying pool performing in line with, or
better than, expectations at issuance. Fitch's base case loss is
1.8%. There are no loans currently in special servicing. Three
loans (14.2% of pool) were designated as Fitch Loans of Concern
(FLOCs) for high vacancy, underperformance/ongoing litigation and
coronavirus pandemic related underperformance.

The largest contributor to modelled losses is Rue Laval (FLOC,
4.8%), which is collateralized by a multi-tenant office property
located in Gatineau, QC. Subject April 2022 occupancy has fallen to
45.3% from 100% as of YE 2020 due to Public Works and Government
Services Canada (NRA 54.9%) vacating the property. At issuance,
this tenant comprised 60.5% of annual base rent. Additionally,
3005526_CANADA_INC's lease is scheduled to expire in August 2022.
The loan is sponsored by Nobel REIT and Rue Laval Property Limited
Partnership, each having equally sake in the property. Each partner
provides a 25% (50% in total) recourse guarantee of the outstanding
loan balance. Fitch's expected loss of 16.9% assumes a 9% cap rate
and a 30% haircut on YE 2020 NOI to reflect increased vacancy.

The second largest contributor to modelled losses is The Duke of
Devonshire (FLOC, 3.9%), which is securitized by an assisted senior
living property located in Ottawa, Ontario. The sponsor is
Chartwell Retirement Residences, which assumed the loan from the
original borrower, Dymon, at issuance and provides full recourse
for the loan. YE 2021 occupancy has fallen to 43% from 54% as of YE
2019 and underwritten occupancy of 95%. Due to the decline in
occupancy, YE 2021 NOI has fallen to $477 thousand from
underwritten NOI of $3.6 million.

According to the borrower, the initial decline in occupancy is due
high rental rates relative to the subject's market. The property's
rental packages included medical care and the borrower plans to
unbundle these services to make asking rent more competitive.
Additionally, the property reduced staff and is developing a new
sales strategy to improve performance. Furthermore, a lawsuit
commenced between Chartwell and Dymon regarding inconstancies in
the rent roll when the loan was assumed. Fitch's base case loss of
4.1% reflects a cap rate of 9% and a 5% haircut on Fitch's cash
flow.

ADDITIONAL LOSS CONSIDERATIONS

Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, additional guarantors and recourse to the borrowers.

RATING SENSITIVITIES

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

Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced loans.
Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not
likely due to the position in the capital structure, but may occur
at the 'AAsf' and 'AAAsf' categories should interest shortfalls
occur. Downgrades to the 'BBB-sf' category would occur should
overall pool losses increase and/or one or more large loans have an
outsized loss, which would erode credit enhancement. Downgrades to
the 'Bsf' and 'BBsf' categories would occur should loss
expectations increase due to an increase in 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:

Sensitivity factors that could lead to upgrades would include
stable to improved asset performance coupled with pay down and/or
defeasance. Upgrades to the 'Asf' and 'AAsf' categories would
likely occur with significant improvement in credit enhancement
and/or defeasance. However, adverse selection, increased
concentrations and 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 in to 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 there were likelihood for
interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' 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 credit enhancement 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.


RF CAPITAL: DBRS Confirms Pfd-4(high) Cumulative Preferred Rating
-----------------------------------------------------------------
DBRS Limited confirmed the Cumulative Preferred Shares rating of RF
Capital Group Inc. at Pfd-4 (high) and changed the trend to
Positive from Stable. The Company's Support Assessment is SA3.

KEY RATING CONSIDERATIONS

The rating confirmation and Positive trend recognize the continued
growth momentum of RF Capital's franchise. The Company enjoys a
solid wealth management franchise, which is underpinned by its good
reputation that supports a long track record of consistent growth
in assets under administration (AUA) and healthy operating
earnings. A significant portion of revenues are fee based,
supporting earnings consistency. The rating incorporates an
expectation of continuing franchise momentum while maintaining
solid balance sheet fundamentals. DBRS Morningstar sees operational
risk as a critical risk for the Company to manage, and expects that
investments and upgrades to various technology platforms to help
service clients should provide a longer-term benefit to RF
Capital's operational capabilities as well as its expense base. The
rating also considers that RF Capital could face challenges in
executing its ambitious strategy for future growth. Furthermore, in
order to grow the business through advisor acquisition, RF Capital
may require an increase in leverage.

RATING DRIVERS

Continued franchise momentum, coupled with consistent earnings and
expense improvement with solid balance sheet fundamentals, would
lead to a rating upgrade. Conversely, DBRS Morningstar would
downgrade the rating if RF Capital's credit fundamentals weaken or
if there are any significant operational or reputational issues.

RATING RATIONALE

RF Capital is one of Canada's leading independent wealth managers
with AUA of $36 billion. The Company operates 20 offices across the
country with 163 advisor teams serving 31,000 high-net-worth
clients. The wealth management industry in Canada is dominated by
the large banks with smaller independent firms competing to gain
market share. RF Capital has been successful in acquiring market
share over the years supported by the favorable reputation of its
majority owner, the Richardson family, which has a long proven
track record in the business. RF Capital is in the midst of
deploying an ambitious multi-year strategy aimed at growing the
Company's adjusted EBITDA to between $200 million and $300 million
and tripling the Company's AUA to $100 billion by 2025. This will
be achieved organically through the addition of advisor teams and
the investment in technology to improve platforms and product
offerings, and inorganically through opportunistic acquisitions and
strategic partnerships.

The Company reported consolidated results for the first time in Q1
2021, and thus this is the first year in which DBRS Morningstar is
able to compare results with prior periods. RF Capital's revenue
was up 6% year over year (YOY) reaching $88.8 million in Q1 2022.
The increase was driven largely by record fee revenue of $67.9
million, which was up 18% from Q1 2021. Importantly, the Company
benefits from solid revenue that has a steady proportion of fee
income that is supportive of the rating as recurring fee-based
revenue was 89% of commissionable revenue in Q1 2022. The adjusted
EBITDA margin (which excludes transformation and other one-time
costs) stood at 14.7% in Q1 2022 versus 17.4% for Q1 2021 as
revenue growth was offset by advisor compensation paid on that
revenue and higher operating expenses. Going forward, the Company
expects to realize run-rate operating expense savings from its
strategic carrying broker agreement with Fidelity Clearing Canada,
which is scheduled to begin providing custody, clearing, and trade
settlement services to Richardson Wealth in Q4 2022.

Following the sale of its capital markets business, RF Capital's
balance sheet risk mainly lies with its carrying broker services,
which include trade execution, clearing, settlement, custody, and
other middle- and back-office services. These carrying broker
services are used internally, as well as by Stifel Nicolaus Canada
Inc., which is the Canadian capital markets business of Stifel.
This market risk is well managed and has minimal impact on the
Company's financial position. However, RF Capital faces operational
risk as it implements various initiatives, including the
introduction of new technology platforms, to grow its business.

The Company is sufficiently funded and in Q3 2021 secured a $200
million revolving credit facility to facilitate investments in
platforms, recruiting, and finance advisor team acquisition. The
Company reported a fixed charge coverage ratio (using adjusted
EBITDA) of 3.4 times (x) in Q1 2022. Furthermore, RF Capital holds
appropriate working capital levels to manage its day-to-day
liquidity needs. The Company employs modest leverage with a debt
(including 25% of preferred shares per DBRS Morningstar criteria)
to adjusted EBITDA of 3.1x in Q1 2022.

Notes: All figures are in Canadian dollars unless otherwise noted.



SHELTER GROWTH 2022-FL4: DBRS Finalizes B(low) Rating on G Notes
----------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following classes
of notes 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.

Shelter Growth Term Fund III CRE 2022-FL4 Sub-Notes Holder LLC
(SGCP Holder 1), a Delaware limited liability company, which is a
wholly-owned subsidiary of Term Fund B Seller, will purchase on the
Closing Date 100% of the Class F Notes and the Class G Notes. It is
also anticipated that SGCP Holder 1 and its affiliates will
purchase on the Closing Date $26,553,000 of the Class C Notes and
100% of the Class D Notes and the Class E Notes (the Retained
Offered Notes). However, SGCP Holder 1 will not be required to
continue to hold any such Classes of Notes.

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.



UNITED AUTO 2022-2: S&P Assigns BB (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to United Auto Credit
Securitization Trust 2022-2's automobile receivables-backed notes
series 2022-2.

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

The ratings reflect:

-- The availability of approximately 60.17%, 52.22%, 43.56%,
33.77%, and 26.91% credit support for the class A, B, C, D, and E
notes, respectively, based on stressed break-even cash flow
scenarios (including excess spread). These credit support levels
provide coverage of approximately 2.90x, 2.50x, 2.05x, 1.55x, and
1.27x our expected net loss range of 19.75%-20.75% for the class A,
B, C, D, and E notes, respectively.

-- The likelihood of timely interest and principal payments by the
assumed legal final maturity dates under stressed cash flow
modeling scenarios that are appropriate for the assigned ratings.

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

-- Credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.

-- The collateral characteristics of the subprime pool being
securitized. It is approximately three months seasoned, with a
weighted-average original term of approximately 58 months and an
average remaining term of about 55 months. As a result, S&P expects
that the pool will pay down more quickly than many other subprime
pools that are usually characterized by longer weighted-average
original and remaining terms.

-- S&P's analysis of more than 10 years of static pool data
following the credit crisis and after United Auto Credit Corp.
(UACC) centralized its operations and shifted toward shorter loan
terms.

-- S&P also reviewed the performance of UACC's three outstanding
securitizations, as well as its paid-off securitizations.

-- UACC's more than 20-year history of originating, underwriting,
and servicing subprime auto loans.

-- The transaction's payment and legal structures.

  Ratings Assigned

  United Auto Credit Securitization Trust 2022-2

  Class A, $125.41 million: AAA (sf)
  Class B, $31.92 million: AA (sf)
  Class C, $27.93 million: A (sf)
  Class D, $34.62 million: BBB (sf)
  Class E, $35.20 million: BB (sf)



VELOCITY COMMERCIAL 2022-3: DBRS Finalizes B Rating on 3 Classes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed
Certificates, Series 2022-3 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 Disease (COVID-19) pandemic and the resulting
isolation measures caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. DBRS Morningstar saw increases in
delinquencies for many residential mortgage-backed securities
(RMBS) asset classes shortly after the onset of the pandemic.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term payment reliefs that
may perform very differently from traditional delinquencies. At the
onset of the pandemic, the option to forbear mortgage payments was
so widely available that it drove forbearances to a very high
level. When the dust settled, coronavirus-induced forbearances in
2020 performed better than expected, thanks to government aid, low
loan-to-value ratios (LTV), and good underwriting in the mortgage
market in general. Across nearly all RMBS asset classes,
delinquencies have been gradually trending down in recent months as
the forbearance period comes to an end for many borrowers.

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



WELLS FARGO 2015-C31: DBRS Cuts Class F Certs Rating to CCC
-----------------------------------------------------------
DBRS Limited downgraded two classes of the Commercial Mortgage
Pass-Through Certificates, Series 2015-C31 issued by Wells Fargo
Commercial Mortgage Trust 2015-C31 as follows:

-- Class E to B (high) (sf) from BB (low) (sf)
-- Class F to CCC (sf) from B (low) (sf)

In addition, DBRS Morningstar confirmed the remaining classes as
follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)

The trend on Class E has been changed to Stable from Negative. All
trends are Stable with the exception of Class F, which has a rating
that generally does not carry a trend in Commercial Mortgage-Backed
Securities ratings.

The rating downgrades reflect the continued concerns and projected
losses with the two loans in special servicing but the overall
stable performance of the remaining loans in the pool supports the
rating confirmations with Stable trends, including the trend change
on Class E.

At issuance, the transaction consisted of 102 fixed-rate loans
secured by 118 commercial and multifamily properties with an
initial trust balance of $988.5 million. As of the June 2022
remittance report, 91 loans remain in the transaction with a trust
balance of $876.0 million, representing a collateral reduction of
approximately 11.4%. Thirteen loans, representing 7.9% of the
current pool balance, are fully defeased. Two loans, representing
8.1% of the pool, are in special servicing and 20 loans,
representing 31.1% of the pool, are on the servicer's watchlist.

The largest specially serviced loan, Sheraton Lincoln Harbor Hotel
(Prospectus ID#2; 6.8% of the pool), is secured by a 343-room,
full-service hotel in Weehawken, New Jersey. The loan transferred
to special servicing in January 2021 because of imminent default
and was last paid in October 2020. The sponsor is no longer
supporting the hotel and is cooperating with the foreclosure
process. A receiver is managing the marketing efforts, which began
in May 2022, with a sale expected to take place in late summer or
early fall of 2022. As of the most recent appraisal, dated March
2021, the property's as-is value was $87.4 million, representing a
32.0% decline from the issuance appraised value of $128.0 million.
The most recent financials reported, for the trailing six months
ended June 30, 2021, showed a debt service coverage ratio (DSCR) of
-0.41 times (x) compared with the YE2020 DSCR of -1.42x. Based on a
haircut to the most recent appraisal, DBRS Morningstar's
liquidation scenario for the loan results in a loss to the trust of
just over $19.0 million, a loss severity of 32%.

The remaining loan in special servicing, Holiday Inn – Lafayette
(Prospectus ID#23; 1.2% of the pool) is secured by a 147-room,
full-service hotel in Lafayette, Indiana. The loan transferred to
special servicing in May 2019 for delinquent payments and,
initially, the servicer appeared poised to initiate foreclosure
proceedings. However, a forbearance agreement was reached in early
2020 and the loan was expected to return to the master servicer,
but the onset of the Coronavirus Disease pandemic meant the sponsor
could not comply with the terms of the forbearance and the loan
remained in default. Most recently, the servicer has reported that
a settlement agreement has been reached with the sponsor for an
amount that will cover the outstanding loan balance and most of the
incurred fees but, as of the May 2022 remittance, the loan remained
outstanding. Given the sponsor's previous difficulties and the 30%
value decline for the property according to the September 2021
appraisal, in its analysis for this review, DBRS Morningstar
assumed a loss to the trust of approximately $1.2 million will be
incurred at disposition.

The second-largest loan on the servicer's watchlist, City Place I
(Prospectus ID#3; 5.1% of the pool) is secured by a 39-story, Class
A office property totalling 884,366 square feet (sf) in downtown
Hartford, Connecticut. The loan was added to the servicer's
watchlist in January 2021 for a low DSCR, which was driven by lower
revenues tied to occupancy declines. Most recently, the loan
reported a DSCR of 1.59x and an occupancy rate of 85.0% as of the
trailing three months ended March 31, 2022, compared with the DSCR
of 1.37x and occupancy rate of 85.2% in 2021. The most noteworthy
of the tenancy changes since issuance is that of UnitedHealthcare
Services Inc. (42.4% of the net rentable area; lease expiry in July
2023), which downsized to 375,000 sf from 444,000 sf in 2017. There
do not appear to be any cash sweep provisions tied to
UnitedHealthcare's July 2023 lease expiry, but DBRS Morningstar has
asked the servicer to confirm. The March 2022 remittance showed
$1.3 million in the leasing reserve for this loan and a LoopNet
listing located online as of June 2022 showed spaces for lease that
suggest a current availability rate of approximately 16%. As of a
Q1 2022 Reis report, the Hartford central business district
submarket reported an average 2022 vacancy rate of 19.2%, which is
expected to remain at 19.3% in 2023. Given the soft market and
upcoming lease expiry for a sizeable tenant, the loan was analyzed
with an elevated probability of default to increase the expected
loss for this review.

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



WELLS FARGO 2015-NXS4: Fitch Lowers Rating on 2 Tranches to Bsf
---------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed 13 classes of
Wells Fargo Commercial Mortgage Trust Commercial Mortgage
Pass-Through Certificates series 2015-NXS4 (WFCM 2015-NXS4). In
addition, the Rating Outlooks for affirmed classes E and X-D have
been revised to Stable from Negative. Classes F and X-F remain on
Outlook Negative following the downgrades.

   DEBT             RATING                  PRIOR
   ----             ------                  -----
WFCM 2015-NXS4

A-3 94989XBB0    LT    AAAsf    Affirmed    AAAsf

A-4 94989XBC8    LT    AAAsf    Affirmed    AAAsf

A-S 94989XBE4    LT    AAAsf    Affirmed    AAAsf

A-SB 94989XBD6   LT    AAAsf    Affirmed    AAAsf

B 94989XBH7      LT    AA-sf    Affirmed    AA-sf

C 94989XBJ3      LT    A-sf     Affirmed    A-sf

D 94989XBL8      LT    BBBsf    Affirmed    BBBsf

E 94989XAL9      LT    BBB-sf   Affirmed    BBB-sf

F 94989XAN5      LT    Bsf      Downgrade   BB-sf

G 94989XAQ8      LT    CCCsf    Affirmed    CCCsf

X-A 94989XBF1    LT    AAAsf    Affirmed    AAAsf

X-B 94989XBG9    LT    AA-sf    Affirmed    AA-sf

X-D 94989XBK0    LT    BBB-sf   Affirmed    BBB-sf

X-F 94989XAA3    LT    Bsf      Downgrade   BB-sf

X-G 94989XAC9    LT    CCCsf    Affirmed    CCCsf

KEY RATING DRIVERS

Increased Certainty of Losses: While loss expectations have been
generally stable for the majority of the pool compared to Fitch's
prior rating action, the downgrades to classes F and X-F reflect
higher loss expectations for several large Fitch Loans of Concern
(FLOCs). Fitch's current ratings incorporate a base case loss of
6.80%. Fitch has identified 16 loans (43% of the pool) as FLOCs,
including six loans (8.9%) in special servicing.

The Negative Outlooks for classes F and X-F reflects the sustained
pandemic related declines and/or near-term occupancy and rollover
risks, particularly for the top-15 FLOCs (eight loans, 35% of the
pool). The Outlook revision to Stable on classes E and X-D reflects
the gradual stabilization from the pandemic and stable loss
expectations for the greater majority of loans in the pool since
Fitch's prior rating action.

Largest Contributors to Loss: The largest contributor to loss
expectations is the 1954 Halethorpe Farms Road loan (2.7% of the
pool), which is secured by an industrial/warehouse property
totaling 691,287-sf, located outside of Baltimore, MD. The loan was
designated a FLOC after the largest tenant, Arconic, Inc (54.8% of
the NRA) vacated in June 2020. A portion of the vacated space was
backfilled by Barker Steel Mid-Atlantic (133,520-sf; 19.3% NRA) in
July 2020, bringing occupancy to 43% per the March 2022 rent roll.

Per servicer commentary, and online reporting, Emanuel Tire has
executed a lease for 103,500-sf (15% NRA) which has been approved.
The property does face significant near-term rollover, including
larger tenants National Delivery System (9.1% of the NRA; LXP
August 2022), Venezia Stores (6.4%; LXP May 2023), and The Poole
and Kent Corporation (3.7%; LXP May 2023).

Due to the sustained occupancy declines, the NOI DSCR has remained
low at 0.67x as of YE 2021, compared to 0.98x at YE 2020 and 1.83x
at YE 2019. The loan has remained current, but has been in and out
of the grace period several times over the past 12 months. The loan
is cash managed with cash trap in place.

Fitch's base case loss of 37% is based off the YE 2021 NOI and a
9.0% cap rate. Fitch's analysis does give credit for the property's
recent leasing momentum and the loan status remaining current.
However, Fitch remains concerned for the potential of term default
given the loans low DSCR coupled with near term rollover concerns.

The second largest contributor to loss expectations is the
CityPlace I loan (5.8% of the pool), which is secured by an
884,366-sf office building in Hartford, CT. The loan has been
identified as a FLOC due to significant near-term rollover risks,
with leases for five tenants totaling 52% of the NRA scheduled to
expire in 2023. This includes the two largest tenants, United
Healthcare (42.5% NRA; LXP July 2023) and Bank of America (7.5%
NRA; July 2023).

Occupancy has slightly declined since issuance from 90% to 85% as
of YE 2021. Property NOI had declined in 2020 due to lower parking
income at the property. The YE 2021 NOI has improved, however
remains 23% below the issuers underwritten NOI. The NOI DSCR has
recovered to 1.74x as of YE 2021 compared to 1.51x at YE 2020 but
is below 2.24x at YE 2016.

Fitch's analysis reflects a 10% cap rate and a 10% stress the YE
2021 NOI, resulting in a 12.4% base case loss. Fitch's analysis
reflects concerns surrounding the near-term rollover risks and
potential office performance volatility.

The third largest contributor to loss expectations is the REO Farm
Fresh at Princess Anne loan (1.1%), secured by a 57,510 square foot
(sf) retail property in Virginia Beach, VA. At issuance, the
subject was fully occupied by a Farm Fresh Grocer, who declared
bankruptcy and vacated at its January 2019 lease expiration. The
anchor space has remained vacant since and transferred to special
servicing in January 2020. A foreclosure was completed in January
2021 and the loan became REO in June 2021.

Per servicer updates, a property manager and leasing agent are
in-place and the collateral is being actively marketed. Fitch's
base case loss of 65% reflects a stress to the most recent servicer
provided appraised value.

Increasing Credit Enhancement: Overall credit enhancement has
increased due to continued deleveraging of the pool. As of the June
2022 remittance report, the pool's aggregate balance has been
reduced by 24% to $588.8 million from $774.5 million, including
$6.19 million (0.80% of the original pool) of incurred losses
absorbed by the non-rated class H. There are seven loans (21.0% of
the pool) that are full-term, interest-only (IO); 23 loans (45.7%)
that are partial IO; and 24 loans (33.3%) that are currently
amortizing. Ten loans (13.6% of the original pool balance) have
fully defeased since issuance.

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 the classes rated
'AAAsf' are not considered likely due to the position in the
capital structure, but may occur at 'AAAsf' or 'AA-sf' should
interest shortfalls occur. Downgrades to classes C and D are
possible should additional loans default. Downgrades to classes E
and F are possible should performance of the FLOCs' performance
fail to stabilize and/or additional loans transfer to special
servicing.

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

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

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or continued defeasance.
Upgrades to classes B C, and X-B may occur with increased paydown
and/or defeasance combined with increased performance. An upgrade
to classes D, E, and X-D is not likely unless the FLOCs'
performance stabilizes and if the performance of the remaining pool
improves. An upgrade to classes F and X-F would be limited based on
sensitivity to concentrations, or the potential for future
concentration.

BEST/WORST CASE RATING SCENARIO

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

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

ESG CONSIDERATIONS

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


WELLS FARGO 2016-C36: Fitch Affirms CCCsf Rating on 4 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed all 16 classes of Wells Fargo Commercial
Mortgage Trust 2016-C36 commercial mortgage pass-through
certificates. In addition, Fitch has revised the Rating Outlooks on
classes A-S, B, C and interest only (IO) class X-B to Stable from
Negative.

   DEBT          RATING                    PRIOR
   ----          ------                    -----
WFCM 2016-C36

A-2 95000MBM2   LT    AAAsf    Affirmed    AAAsf

A-3 95000MBN0   LT    AAAsf    Affirmed    AAAsf

A-4 95000MBP5   LT    AAAsf    Affirmed    AAAsf

A-S 95000MBR1   LT    AAsf     Affirmed    AAsf

A-SB 95000MBQ3  LT    AAAsf    Affirmed    AAAsf

B 95000MBU4     LT    Asf      Affirmed    Asf

C 95000MBV2     LT    BBBsf    Affirmed    BBBsf

D 95000MAC5     LT    BB-sf    Affirmed    BB-sf

E 95000MAJ0     LT    CCCsf    Affirmed    CCCsf

E-1 95000MAE1   LT    B-sf     Affirmed    B-sf

E-2 95000MAG6   LT    CCCsf    Affirmed    CCCsf

EF 95000MAS0    LT    CCCsf    Affirmed    CCCsf

F 95000MAQ4     LT    CCCsf    Affirmed    CCCsf

X-A 95000MBS9   LT    AAAsf    Affirmed    AAAsf

X-B 95000MBT7   LT    Asf      Affirmed    Asf

X-D 95000MAA9   LT    BB-sf    Affirmed    BB-sf

Class X-A, X-B and X-D are IO.

The class E-1 and E-2 certificates may be exchanged for a related
amount of class E certificates, and the class E certificates may be
exchanged for a ratable portion of class E-1 and E-2 certificates.
Additionally, a holder of class E-1, E-2, F-1 and F-2 certificates
may exchange such classes of certificates (on an aggregate basis)
for a related amount of class EF certificates, and a holder of
class EF certificates may exchange that class EF for a ratable
portion of each class of the class E-1, E-2, F-1 and F-2
certificates.

A holder of class E-1, E-2, F-1, F-2, G-1 and G-2 certificates may
exchange such classes of certificates (on an aggregate basis) for a
related amount of class EFG certificates, and a holder of class EFG
certificates may exchange that class EFG for a ratable portion of
each class of the class E-1, E-2, F-1, F-2, G-1 and G-2
certificates.

Fitch does not rate classes F-1, F-2, G-1, G-2, G, EFG, H-1, H-2
and H.

KEY RATING DRIVERS

Stable Pool Performance and Improved Loss Expectations: The
affirmations and Outlook revisions reflect improved loss
expectations since Fitch's prior rating action as a result of
performance stabilization of properties that had been affected by
the pandemic. Eight loans (22.5%) were identified as Fitch loans of
concern (FLOCs), including all four (10.7%) specially serviced
loans. Fitch's current ratings incorporate a base case loss of
7.5%. The Negative Outlooks on classes D and E-1 reflect losses
could reach 8.1% when factoring an additional stress on the Mall at
Turtle Creek for recovery uncertainty.

The largest contributor to overall loss expectations and largest
decrease in losses since the prior rating action is the Gurnee
Mills loan (10.1%); Secured by a 1.7 million-sf portion of a 1.9
million-sf regional mall located in Gurnee, IL, approximately 45
miles north of Chicago. Non-collateral anchors include Burlington
Coat Factory, Marcus Cinema and Value City Furniture. Collateral
anchors include Macy's, Bass Pro Shops, Kohl's and a vacant anchor
box previously occupied by Sears. The loan previously transferred
to the special servicer in June 2020 for imminent monetary default,
returning to the master servicer in May 2021 after receiving a
forbearance.

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

The second largest contributor to losses is the specially serviced
Mall at Turtle Creek (3.6%). The loan, sponsored by Brookfield
Properties, is secured by 329,398sf of inline space within an
enclosed mall located in Jonesboro, AR (approximately 60 miles
northwest of Memphis). Non-collateral anchor tenants include
JCPenney, Dillard's and Target. The largest collateral tenants
include Barnes and Noble, Bed Bath & Beyond, Best Buy and H&M.

In March 2020, a tornado went through the Jonesboro area and caused
significant damage to the mall, including collapsing the walls of
the Best Buy store. None of the non-collateral anchors suffered
major damage, and all have reopened. Some of the insurance proceeds
have been released to the borrower for the demolition of areas
deemed to be unsafe by local officials; according to the servicer,
the majority of the loan collateral has been demolished.

The servicer continues to work with the borrower to determine the
best strategy moving forward, including a possible deed in lieu of
foreclosure. Fitch's loss expectations reflect a haircut to net
insurance proceeds expected to be received by the borrower and
results in an approximate 25% loss severity. In addition to its
base case analysis, Fitch performed a sensitivity on the loan,
which assumed a 40% loss severity.

Increased Credit Enhancement: As of the June 2022 distribution, the
pool's aggregate balance has been reduced by 13.5% to $742.7
million from $858.2 million at issuance. Nine loans (4.3%) have
been defeased. Eleven loans representing 33.4% of the pool are IO
for the full term. An additional twelve loans constituting 13.6% of
the pool were structured with partial IO periods, each of which are
currently amortizing.

Retail Exposure: Loans secured by retail and hotel properties
represent 33.6% (13 loans) of the pool, six of which are included
in the top 15 loans (27.9%), two are secured by reginal mall
properties (13.7%).

Coop Concentration: The pool contains 10 loans (8.8%) secured by
lowly leverage coop properties. The properties are predominately
located in the greater New York metro area, the largest being
located in Suffolk, Long Island.

RATING SENSITIVITIES

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

Downgrades to classes A3 through A-S and the associated IO class
X-A are not likely given the position in the capital structure and
high CE but may occur should interest shortfalls affect these
classes. Downgrades to classes B, C and X-D may occur should
expected pool losses increase significantly from further
performance declines on the FLOCs. Downgrades to classes with
Negative Outlooks are possible with higher than expected realized
losses on the specially serviced loans, particularly on the Mall at
Turtle Creek. The distressed classes could be further downgraded as
losses are realized or become more certain.

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

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

Upgrades to classes C and D would also consider those factors,
limited by the sensitivity to concentrations or the potential for
future concentrations. Classes would not be upgraded above 'Asf'
for likelihood of interest shortfalls. Upgrades to classes E-1 and
E-2 are not likely until the later years in the transaction and
only if performance of the remaining pool is stable with sufficient
CE.

BEST/WORST CASE RATING SCENARIO

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

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

ESG CONSIDERATIONS

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


WESTLAKE AUTOMOBILE 2022-2: DBRS Finalizes B(high) on F Notes
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Westlake Automobile Receivables Trust
2022-2 (Westlake 2022-2 or the Issuer):

-- $283,800,000 Class A-1 Notes at R-1 (high) (sf)
-- $364,330,000 Class A-2-A Notes at AAA (sf)
-- $156,140,000 Class A-2-B Notes at AAA (sf)
-- $182,870,000 Class A-3 Notes at AAA (sf)
-- $111,060,000 Class B Notes at AA (high) (sf)
-- $176,040,000 Class C Notes at A (high) (sf)
-- $152,180,000 Class D Notes at BBB (high) (sf)
-- $49,360,000 Class E Notes at BB (high) (sf)
-- $124,220,000 Class F Notes at B (high) (sf)

The 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 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.

(5) 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.

(6) 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.

(7) 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.

(8) 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.

(9) 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.

(10) The legal structure and expected presence of legal opinions
that 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 Confirms 19 Ratings from 8 American Credit Transactions
----------------------------------------------------------------
DBRS, Inc. upgraded 14 ratings, confirmed 19 ratings, and
discontinued five ratings as a result of repayment from eight
American Credit Acceptance Receivables Trust transactions.

The Affected Ratings Are Available https://bit.ly/3AYf9Lk

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.



[*] DBRS Reviews 145 Classes from 28 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 145 classes from 28 U.S. (ReREMICs) and
residential mortgage-backed security (RMBS) transactions. Of the
145 classes reviewed, DBRS Morningstar upgraded two ratings,
confirmed 137 ratings, downgraded two ratings, and discontinued
four ratings.

The Affected Ratings Are Available at https://bit.ly/3yFwdTG

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 rating downgrades reflect the unlikely
recovery of the bonds' interest shortfall amount. The discontinued
ratings reflect the full repayment of principal to bondholders.

The pools backing the reviewed ReREMIC and RMBS transactions
consist of Subprime, Alt-A, Scratch and Dent, Option
Adjustable-Rate Mortgage, Second Lien, and Reperforming
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.

-- C-BASS 2007-SP1 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2007-SP1, Class M-1

-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB7, Class M-1

-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB7, Class M-2

-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB7, Class M-3

-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB7, Class B-2

-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB7, Class B-3

-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage
Pass-Through Certificates, Series 2005-FFH2, Class M3

-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage
Pass-Through Certificates, Series 2005-WMC1, Class M-4

-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage
Pass-Through Certificates, Series 2005-WMC1, Class M-5

-- Securitized Asset-Backed Receivables LLC Trust 2005-EC1,
Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-2

-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates,
Series 2004-7HE, Class M-1

-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates,
Series 2004-7HE, Class M-2

-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates,
Series 2004-7HE, Class M-3

-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates,
Series 2004-7HE, Class S

-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates,
Series 2004-9HE, Class M-1

-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates,
Series 2004-9HE, Class M-2

-- Terwin Mortgage Trust 2004-13ALT, Asset-Backed Certificates,
Series 2004-13ALT, Class 2-P-X

-- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates,
Series 2004-15ALT, Class A-X

-- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates,
Series 2004-15ALT, Class A-1

-- Ajax Mortgage Loan Trust 2021-E, Mortgage-Backed Securities,
Series 2021-E, Class B-2

-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-4

-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series
2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-2

-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series
2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-3

CORONAVIRUS DISEASE (COVID-19) IMPACT

The coronavirus pandemic and the resulting isolation measures
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
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.



[*] DBRS Reviews 559 Classes from 78 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 559 classes from 78 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 559 classes
reviewed, DBRS Morningstar upgraded 40 ratings, confirmed 222
ratings, and discontinued 297 ratings.

The Affected Ratings Are Available at https://bit.ly/3ocbX7q

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 transactions
exercising their clean-up call option or the full repayment of
principal to bondholders.

The pools backing the reviewed RMBS transactions consist of
nonqualified mortgage, re-performing, prime, single family rental,
agency credit, and subprime 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
actual deal or tranche performance not being fully reflected in the
projected cashflows/model output.

-- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates,
Series 2019-4, Class M-1

-- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates,
Series 2019-4, Class B-1

-- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates,
Series 2019-4, Class B-2

-- Bunker Hill Loan Depositary Trust 2019-2, Mortgage-Backed
Notes, Series 2019-2, Class M-1

-- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes,
Series 2020-1, Class M-1

-- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes,
Series 2020-1, Class B-1

-- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes,
Series 2020-1, Class B-2

-- Verus Securitization Trust 2019-INV2, Mortgage Pass-Through
Certificates, Series 2019-INV2, Class M-1

-- Verus Securitization Trust 2019-INV2, Mortgage Pass-Through
Certificates, Series 2019-INV2, Class B-1

-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities,
Series 2019-F, Class A-3

-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities,
Series 2019-F, Class M-1

-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities,
Series 2019-F, Class B-1

-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates,
Series 2013-IVR4, Class A-IO-S

-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates,
Series 2013-IVR4, Class B-4

-- CSMC Trust 2015-3, Mortgage Pass-Through Certificates, Series
2015-3, Class B-4

-- CSMC Trust 2015-3, Mortgage Pass-through Certificates, Series
2015-3, Class A-IO-S

-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates, Series
2015-1, Class B-4

-- CSMLT 2015-1 Trust, Mortgage Pass-through Certificates, Series
2015-1, Class A-IO-S

-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through
Certificates, Series 2017-1, Class B-3

-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through
Certificates, Series 2017-1, Class B-4

-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through
Certificates, Series 2017-1, Class B-5

-- Flagstar Mortgage Trust 2018-1, Mortgage Pass-Through
Certificates, Series 2018-1, Class B-3

-- Flagstar Mortgage Trust 2018-1, Mortgage Pass-Through
Certificates, Series 2018-1, Class B-4

-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through
Certificates, Series 2018-2, Class B-4

-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through
Certificates, Series 2018-4, Class B-2

-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through
Certificates, Series 2018-4, Class B-4

-- Flagstar Mortgage Trust 2018-5, Mortgage Pass-Through
Certificates, Series 2018-5, Class B-2

-- Flagstar Mortgage Trust 2018-5, Mortgage Pass-Through
Certificates, Series 2018-5, Class B-3

-- Flagstar Mortgage Trust 2018-5, Mortgage Pass-Through
Certificates, Series 2018-5, Class B-4

-- J.P. Morgan Mortgage Trust 2019-6, Mortgage Pass-Through
Certificates, Series 2019-6, Class B-2

-- J.P. Morgan Mortgage Trust 2019-6, Mortgage Pass-Through
Certificates, Series 2019-6, Class B-3

-- J.P. Morgan Mortgage Trust 2019-6, Mortgage Pass-Through
Certificates, Series 2019-6, Class B-4

-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage
Pass-Through Certificates, Series 2019-1, Class B-3

-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage
Pass-Through Certificates, Series 2019-1, Class B-4

-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC
Asset-Backed Certificates, Series 2004-OPT5, Class A-4

-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC
Asset-Backed Certificates, Series 2004-OPT5, Class M-1

CORONAVIRUS DISEASE (COVID-19) IMPACT

The coronavirus pandemic and the resulting isolation measures
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
RMBS asset classes shortly after the onset of coronavirus.

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.
Because the option to forbear mortgage payments was so widely
available at the onset of the pandemic, 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 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 the U.S. RMBS Surveillance
Methodology (February 21, 2020), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



[*] DBRS Takes Actions on 4 Prestige Auto Receivables Trust Deals
-----------------------------------------------------------------
DBRS, Inc. upgraded three ratings, confirmed 13 ratings, and
discontinued four ratings as a result of repayment from four
Prestige Auto Receivables Trust transactions.

The Issuers are:

  - Prestige Auto Receivables Trust 2018-1
  - Prestige Auto Receivables Trust 2019-1
  - Prestige Auto Receivables Trust 2020-1
  - Prestige Auto Receivables Trust 2021-1

The Affected Ratings are available at https://bit.ly/3ILi77O

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 - June 2022 Update, published on June 29, 2022.
These baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse COVID-19 pandemic scenarios, which were first
published in April 2020.

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

-- The rating actions are the result of the stable 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.


[*] DBRS Takes Rating Actions on 4 Regional Management Trust Deals
------------------------------------------------------------------
DBRS, Inc. confirmed 16 ratings on four Regional Management
Issuance Trust transactions.

The Issuers are:

- Regional Management Issuance Trust 2021-2
- Regional Management Issuance Trust 2021-1
- Regional Management Issuance Trust 2020-1
- Regional Management Issuance Trust 2022-1

The Affected ratings are available at https://bit.ly/3Pgqhrk

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 - June 2022 Update, published on June 29, 2022.
These baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse COVID-19 pandemic scenarios, which were first
published in April 2020.

-- The level of hard credit enhancement in the form of
overcollateralization, subordination, and amounts held in the
reserve fund available in the transaction. Hard credit enhancement
and estimated excess spread are sufficient to support DBRS
Morningstar's current rating levels.

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance.

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


[*] DBRS Takes Rating Actions on Seven DT Auto Owners Trust Deals
-----------------------------------------------------------------
DBRS, Inc. upgraded 10 ratings, confirmed 14 ratings, and
discontinued three ratings as a result of repayment from seven DT
Auto Owner Trust transactions.

The Issuers are:

- DT Auto Owner Trust 2020-1
- DT Auto Owner Trust 2018-2
- DT Auto Owner Trust 2019-1
- DT Auto Owner Trust 2019-3
- DT Auto Owner Trust 2021-1
- DT Auto Owner Trust 2021-3
- DT Auto Owner Trust 2020-2

The Affected Ratings are available at https://bit.ly/3otptDT

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 - June 2022 Update, published on June 29, 2022.
These baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse COVID-19 pandemic scenarios, which were first
published in April 2020.

-- 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.


[*] Fitch Takes Various Actions in 4 US CMBS Concentrated 1.0 Deals
-------------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 65 classes in
four U.S. CMBS 1.0 transactions.

   DEBT           RATING                 PRIOR
   ----           ------                 -----

J.P. Morgan Chase Mortgage Securities Trust 2007-LDP12

A-J 46632HAL5    LT   Csf     Downgrade  CCsf

B 46632HAM3      LT   Dsf     Affirmed   Dsf

C 46632HAN1      LT   Dsf     Affirmed   Dsf

D 46632HAP6      LT   Dsf     Affirmed   Dsf

E 46632HAQ4      LT   Dsf     Affirmed   Dsf

F 46632HAR2      LT   Dsf     Affirmed   Dsf

G 46632HAS0      LT   Dsf     Affirmed   Dsf

H 46632HAU5      LT   Dsf     Affirmed   Dsf

J 46632HAW1      LT   Dsf     Affirmed   Dsf

K 46632HAY7      LT   Dsf     Affirmed   Dsf

L 46632HBA8      LT   Dsf     Affirmed   Dsf

M 46632HBC4      LT   Dsf     Affirmed   Dsf

N 46632HBE0      LT   Dsf     Affirmed   Dsf

P 46632HBG5      LT   Dsf     Affirmed   Dsf

Q 46632HBJ9      LT   Dsf     Affirmed   Dsf

T 46632HBL4      LT   Dsf     Affirmed   Dsf

Citigroup Commercial Mortgage Trust 2006-C5

A-J 17310MAH3    LT   Csf     Affirmed   Csf

B 17310MAJ9      LT   Csf     Affirmed   Csf

C 17310MAK6      LT   Csf     Affirmed   Csf

D 17310MAL4      LT   Dsf     Affirmed   Dsf

E 17310MAQ3      LT   Dsf     Affirmed   Dsf

F 17310MAS9      LT   Dsf     Affirmed   Dsf

G 17310MAU4      LT   Dsf     Affirmed   Dsf

H 17310MAW0      LT   Dsf     Affirmed   Dsf

J 17310MAY6      LT   Dsf     Affirmed   Dsf

K 17310MBA7      LT   Dsf     Affirmed   Dsf

L 17310MBC3      LT   Dsf     Affirmed   Dsf

M 17310MBE9      LT   Dsf     Affirmed   Dsf

N 17310MBG4      LT   Dsf     Affirmed   Dsf

O 17310MBJ8      LT   Dsf     Affirmed   Dsf

Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16

D 07388YAW2      LT   Csf     Affirmed   Csf

E 07388YAY8      LT   Dsf     Affirmed   Dsf

F 07388YBA9      LT   Dsf     Affirmed   Dsf

G 07388YBC5      LT   Dsf     Affirmed   Dsf

H 07388YBE1      LT   Dsf     Affirmed   Dsf

J 07388YBG6      LT   Dsf     Affirmed   Dsf

K 07388YBJ0      LT   Dsf     Affirmed   Dsf

L 07388YBL5      LT   Dsf     Affirmed   Dsf

M 07388YBN1      LT   Dsf     Affirmed   Dsf

N 07388YBQ4      LT   Dsf     Affirmed   Dsf

O 07388YBS0      LT   Dsf     Affirmed   Dsf

P 07388YBU5      LT   Dsf     Affirmed   Dsf

Q 07388YBW1      LT   Dsf     Affirmed   Dsf

J. P. Morgan Chase Commercial Mortgage Securities Corp. 2006-LDP9

A-J 46629PAF5    LT   Dsf     Affirmed   Dsf

A-JS 46629PAR9   LT   Dsf     Affirmed   Dsf

A-MS 46629PAQ1   LT   CCCsf   Affirmed   CCCsf

B 46629PAG3      LT   Dsf     Affirmed   Dsf

B-S 46629PAS7    LT   Dsf     Affirmed   Dsf

C 46629PAH1      LT   Dsf     Affirmed   Dsf

C-S 46629PAT5    LT   Dsf     Affirmed   Dsf

D 46629PAJ7      LT   Dsf     Affirmed   Dsf

D-S 46629PAU2    LT   Dsf     Affirmed   Dsf

E 46630AAA6      LT   Dsf     Affirmed   Dsf

E-S 46630AAC2    LT   Dsf     Affirmed   Dsf

F 46630AAE8      LT   Dsf     Affirmed   Dsf

F-S 46630AAG3    LT   Dsf     Affirmed   Dsf

G 46630AAJ7      LT   Dsf     Affirmed   Dsf

G-S 46630AAL2    LT   Dsf     Affirmed   Dsf

H 46630AAN8      LT   Dsf     Affirmed   Dsf

H-S 46630AAQ1    LT   Dsf     Affirmed   Dsf

J 46630AAS7      LT   Dsf     Affirmed   Dsf

K 46630AAU2      LT   Dsf     Affirmed   Dsf

L 46630AAW8      LT   Dsf     Affirmed   Dsf

M 46630AAY4      LT   Dsf     Affirmed   Dsf

N 46630ABA5      LT   Dsf     Affirmed   Dsf

P 46630ABC1      LT   Dsf     Affirmed   Dsf

KEY RATING DRIVERS

Fitch has affirmed all remaining classes of Bear Stearns Commercial
Mortgage Securities Trust 2007-PWR16 at their distressed ratings
due to continued high loss expectations on the two remaining REO
assets. The largest of the REO assets (80.2% of the pool) is the
leasehold interest in the 218, 059-sf grocery-anchored Shops at
Northern Boulevard in Long Island City, NY. Tenants at the property
include Stop & Shop (29.2% of NRA, lease expiry in January 2023),
Marshalls (15.6%, January 2023), Old Navy (11.4%, July 2023), Party
City (9%, January 2025) and Guitar Center (9%, February 2024).
Since the asset became REO in June 2019, two lease extensions have
been executed. The special servicer has completed repairs related
to the roof and environmental remediation. The other REO asset in
the pool is the Village at Town Center, a 38,957-sf retail property
in Bakersfield, CA, which was negatively cash flowing and only 44%
occupied as of April 2022.

Fitch has affirmed all remaining classes of Citigroup Commercial
Mortgage Trust 2006-C5 at their distressed ratings to reflect the
high certainty of losses on the two remaining REO assets. The
largest asset, IRET Portfolio (90% of the pool), which became REO
in January 2016, is comprised of a portfolio of two remaining
suburban office properties: The Flagship Corporate Center in Eden
Prairie, MN and the fully vacant Farnam Executive Center in Omaha,
NE. Seven office properties initially in the original portfolio at
issuance have been sold at auction between March 2017 and September
2018. The other REO asset in the pool is the North Branch Outlet
Center (10%), which is currently under contract and expected to
close in August 2022. Fitch expects high losses due to sales
proceeds that are expected to be significantly lower than the total
exposure on the asset.

Fitch has affirmed all remaining classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. 2006-LDP9. Repayment of the
A-MS class, rated 'CCCsf', is reliant on the remaining loan in the
pool, Discover Mills. The distressed rating on class A-MS reflects
possible default given the property's underperformance declines and
continued refinance concerns. The collateral is a 1.2 million-sf
superregional mall located in Lawrenceville, GA, part of the
greater Atlanta area. Occupancy has declined to 78% at YE 2021 from
81% at YE 2020 and 87% at YE 2019. The loan, which is sponsored by
Simon Property Group and Farallon Capital, remains current but has
been periodically delinquent due to challenges refinancing the
mall. The loan has already been modified multiple times, most
recently in February 2022, with an extension of the maturity date
to December 2024. The loan has been paid down from excess cash flow
after a rollover reserve requirement was satisfied.

Fitch has downgraded class A-J to 'Csf' from 'CCsf' of J.P. Morgan
Chase Mortgage Securities Trust 2007-LDP12, reflecting an increased
certainty of loss. The largest loan in special servicing is Oheka
Castle, which was bifurcated into A/B notes (65.5% of the pool,
combined). The loan, which is secured by a 32-room full service
hotel located in Huntington, NY, originally transferred to special
servicing in 2012 after the borrower failed to pay off the loan at
its initial 2012 maturity. The loan was subsequently modified,
extending the maturity, and returned to the master servicer in
2013.

The loan re-transferred to special servicing in 2015 as the
borrower failed to deposit funds into the cash management account
in accordance with the modification agreement. Receivership was
granted in January 2019 and in March 2019, the court granted
summary judgement to proceed with foreclosure; however, the court
has not set a sale date.

High Expected Losses: Each of the four transactions have high loss
expectations, as the majority of the remaining loans/assets in the
pool are in special servicing or are considered Fitch Loans of
Concern. Each transaction has seven or fewer assets remaining and
losses are expected to impact a majority of the remaining classes.

Low Credit Enhancement: Each of the remaining classes has low CE
relative to pool loss expectations. The distressed ratings on the
bonds reflect insufficient CE to absorb the expected losses and/or
high certainty of losses.

RATING SENSITIVITIES

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

All classes in these transactions are distressed. Further
downgrades are expected with increased certainty of losses or as
losses are incurred. Classes currently rated 'Dsf' will remain
unchanged as losses have already been incurred.

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

Although not expected given the significant pool concentration and
adverse selection, factors that could lead to upgrades include
significant improvement in loss expectations, from higher
valuations and/or better than expected performance of the remaining
specially serviced loans/assets.

BEST/WORST CASE RATING SCENARIO

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

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

ESG CONSIDERATIONS

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


                            *********

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