/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210228.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, February 28, 2021, Vol. 25, No. 58 Headlines AMERICAN CREDIT: DBRS Confirms 11 Rating Across 7 Transactions ARBOR REALTY 2020-FL1: DBRS Confirms B(low) Rating on Class G Notes ATLAS SENIOR XVI: S&P Assigns BB- (sf) Rating on Class E Notes BALLYROCK CLO 2019-2: Moody's Rates $18MM Class D-R Notes Ba3 BANK 2019-BNK17: Fitch Affirms B- Rating on 2 Tranches BEAR STEARNS 2007-TOP28: DBRS Confirms C Rating on 4 Cert. Classes BENEFIT STREET X: S&P Assigns Prelim BB- (sf) Rating on D-RR Notes BLUEMOUNTAIN CLO XXVIII: S&P Assigns Prelim BB- Rating on E Notes BX TRUST 2017-SLCT: S&P Affirms B+ (sf) Rating on Class F Certs BX TRUST 2018-BILT: Fitch Keeps B- Rating on F Debt on Watch Neg. BXMT 2020-FL2: DBRS Confirms B (low) Rating on Class G Notes CFMT 2021-HB5: DBRS Finalizes BB(sf) Rating on Class M4 Notes CIFC FUNDING 2021-I: S&P Assigns Prelim BB- (sf) Rating on E Notes CIM TRUST 2021-J1: Fitch to Rate Class B5 Certs 'B(EXP)' CITIGROUP COMM'L 2020-GC46: DBRS Confirms BB(low) on G-RR Certs. COLUMBIA CENT 31: S&P Preliminary Rates Class E Notes BB-(sf) CSMC 2021-AFC1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes FANNIE MAE: Moody's Hikes 59 Tranches of RMBS Issued 2016-2017 FINANCE OF AMERICA 2021-HB1: DBRS Gives Prov. BB(low) on M4 Notes FLAGSHIP CREDIT 2021-1: DBRS Finalizes BB(high) Rating on E Notes FORTRESS CREDIT X: S&P Assigns BB- (sf) Rating on Class E Notes FREDDIE MAC 2021-HQA1: Moody's Gives B3 Rating on Class B-1B Debt FREDDIE MAC 2021-HQA1: S&P Assigns B- (sf) on Class B-1B Notes FREDDIE MAC: Moody's Hikes 39 Tranches of RMBS Issued 2015-2017 GS MORTGAGE 2006-GG8: Moody's Cuts Rating on A-J Certs to Ca(sf) GS MORTGAGE 2015-GC32: Fitch Affirms B Rating on Class F Certs GS MORTGAGE 2021-PJ2: DBRS Gives Prov. B Rating on Class B-5 Certs GULF STREAM 3: S&P Assigns BB- (sf) Rating on $12MM Class D Notes JP MORGAN 2021-3: Moody's Gives (P)B3 Rating on Class B-5 Certs JPMBB COMMERCIAL 2014-C24: Fitch Cuts Rating on 2 Tranches to CC KAYNE CLO 10: S&P Assigns Prelim BB- (sf) Rating on Class E Notes MADISON PARK L: S&P Assigns Prelim BB- (sf) Rating on Class E Notes MADISON PARK XL: S&P Affirms B (sf) Rating on Class E-R Notes MADISON PARK XL: S&P Affirms B (sf) Rating on Class E-R Notes MADISON PARK XLVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes MANITOULIN USD 2019-1: DBRS Confirms BB(high) Rating on Tranche C MARATHON CLO IX: S&P Affirms B- (sf) Rating on Class D Notes MCA FUND III: Fitch Affirms BB Rating on Class C Notes MMCAPS FUNDING XVIII: Fitch Affirms C Rating on Class D Debt MORGAN STANLEY 2007-TOP25: DBRS Cuts Class B Certs Rating to C MORGAN STANLEY 2011-C1: S&P Lowers Class G Certs Rating to CCC(sf) NASSAU 2019: Fitch Affirms BB Rating on $65MM Class B Notes NEW RESIDENTIAL 2021-NQM1R: Fitch to Rate Class B-2 Debt 'B(EXP)' OHA CREDIT 8: S&P Assigns Prelim BB- (sf) Rating on Class E Notes PALMER SQUARE 2021-1: Moody's Rates $16MM Class D Notes 'Ba2' PROG 2021-SFR1: DBRS Gives Prov. B (low) Rating on Class G Certs REAL ESTATE 2020-1: DBRS Confirms B(sf) Rating on Class G Certs REGIONAL MANAGEMENT 2021-1: S&P Assigns BB- (sf) Rating on D Notes RESIDENTIAL 2021-1R: S&P Assigns Prelim B(sf) Rating on B-2 Notes SCF EQUIPMENT 2021-1: Moody's Gives B3(sf) Rating on Class F Notes SHACKLETON 2019-XV: S&P Assigns BB- (sf) Rating on Class E-R Notes SIXTH STREET XVII: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes SOUND POINT VIII-R: Moody's Rates $14MM Class R2-D2 Notes 'Ba1' TICP CLO 2016-2: S&P Assigns Prelim 'BB-' Rating on Cl. E-R2 Certs TOWD POINT 2020-3: DBRS Gives B(sf) Rating on 10 Classes of Notes TOWD POINT 2021-HE1: Fitch Gives B-(EXP) Rating on 7 Debt Tranches TRIMARAN CAVU 2021-1: S&P Assigns Prelim BB-(sf) Rating on E Notes WELLS FARGO 2011-C5: Fitch Affirms B Rating on Class G Certs WELLS FARGO 2015-C30: Fitch Affirms B- Rating on Class F Certs WELLS FARGO 2018-C43: Fitch Affirms B- Rating on Class F Debt [*] S&P Takes Various Actions on 43 Classes From 38 U.S. RMBS Deals [*] S&P Takes Various Actions on 68 Classes From 7 US RMBS Deals ********* AMERICAN CREDIT: DBRS Confirms 11 Rating Across 7 Transactions -------------------------------------------------------------- DBRS, Inc. confirmed 11 ratings, upgraded 20 ratings, and discontinued five ratings across seven American Credit Acceptance Receivables Trust transactions. The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: January 2021 Update," published on January 28, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on January 28, 2021, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- 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 (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. Notes: The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. The rating is available at https://bit.ly/37xvas6 ARBOR REALTY 2020-FL1: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of commercial mortgage-backed notes issued by Arbor Realty Commercial Real Estate Notes 2020-FL1, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. As of January 2021, no loans are in special servicing or on the servicer's watchlist. According to the collateral manager, no borrowers have requested relief to date or have forewarned of future cash flow problems due to the ongoing Coronavirus Disease (COVID-19) pandemic. It was also noted that there have been no material issues or delays regarding borrowers' abilities to complete individual business plans contemplated at issuance. Given the general progression with borrowers' business plans and the lack of negative effects from the pandemic, DBRS Morningstar does not deem there to be any material changes in our credit view since issuance. The transaction is a managed collateralized loan obligation pool with a maximum funded balance of $800 million. As of the January 2021 remittance, the pool consisted of 46 multifamily properties totaling $800 million. In contrast, at closing, the pool consisted of 31 loans totaling $640.5 million. The vast majority of loans are secured by properties in various stages of transition with reserves available to borrowers to aid in property stabilization. The transaction has a 36-month reinvestment period, which will expire in March 2023. Reinvestment is subject to Eligibility Criteria that include a rating agency condition by DBRS Morningstar. Notes: All figures are in U.S. dollars unless otherwise noted. ATLAS SENIOR XVI: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Atlas Senior Loan Fund XVI Ltd./Atlas Senior Loan Fund XVI LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Atlas Senior Loan Fund XVI Ltd./Atlas Senior Loan Fund XVI LLC Class A, $305.00 million: AAA (sf) Class B-1, $41.25 million: AA (sf) Class B-2, $33.75 million: AA (sf) Class C-1 (deferrable), $26.57 million: A (sf) Class C-2 (deferrable), $3.43 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinated notes, $50.95 million: Not rated BALLYROCK CLO 2019-2: Moody's Rates $18MM Class D-R Notes Ba3 ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Ballyrock CLO 2019-2 Ltd. (the "Issuer"). Moody's rating action is as follows: US$240,000,000 Class A-1a-R Senior Secured Floating Rate Notes Due 2030 (the "Class A-1a-R Notes"), Assigned Aaa (sf) US$44,000,000 Class A-2-R Senior Secured Floating Rate Notes Due 2030 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$24,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class B-R Notes"), Assigned A2 (sf) US$22,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class C-R Notes"), Assigned Baa3 (sf) US$18,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class D-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Ballyrock Investment Advisors LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a change to the definition of "Adjusted Weighted Average Moody's Rating Factor" will occur in connection with the refinancing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $399,060,822 Defaulted par: $0 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2898 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.60% Weighted Average Recovery Rate (WARR): 47.43% Weighted Average Life (WAL): 5.77 years In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: an additional cashflow analysis assuming a lower WAS to test the sensitivity to LIBOR floors; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of corporate assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BANK 2019-BNK17: Fitch Affirms B- Rating on 2 Tranches ------------------------------------------------------ Fitch Ratings has affirmed 18 classes of BANK 2019-BNK17 commercial mortgage pass-through certificates, series 2019-BNK17. DEBT RATING PRIOR ---- ------ ----- BANK 2019-BNK17 A-1 065403AY3 LT AAAsf Affirmed AAAsf A-2 065403AZ0 LT AAAsf Affirmed AAAsf A-3 065403BB2 LT AAAsf Affirmed AAAsf A-4 065403BC0 LT AAAsf Affirmed AAAsf A-S 065403BF3 LT AAAsf Affirmed AAAsf A-SB 065403BA4 LT AAAsf Affirmed AAAsf B 065403BG1 LT AA-sf Affirmed AA-sf C 065403BH9 LT A-sf Affirmed A-sf D 065403AJ6 LT BBBsf Affirmed BBBsf E 065403AL1 LT BBB-sf Affirmed BBB-sf F 065403AN7 LT BB-sf Affirmed BB-sf G 065403AQ0 LT B-sf Affirmed B-sf X-A 065403BD8 LT AAAsf Affirmed AAAsf X-B 065403BE6 LT AA-sf Affirmed AA-sf X-C 065403BJ5 LT A-sf Affirmed A-sf X-D 065403AA5 LT BBB-sf Affirmed BBB-sf X-F 065403AC1 LT BB-sf Affirmed BB-sf X-G 065403AE7 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall performance and loss expectations have remained stable since issuance. Fitch's current ratings incorporate a base case loss of 3.40%. The Negative Outlooks on classes F, G, X-F and X-G reflect losses that could reach 4.60% when factoring in additional stresses related to the coronavirus pandemic and a potential outsized loss on the Great Wolf Lodge Southern California loan. Fitch Loans of Concern: Six loans (13.8% of pool) are designated as Fitch Loans of Concern, including one loan (3%) in special servicing. The specially serviced Great Wolf Lodge Southern California loan (3%) is secured by a 603-key waterpark resort hotel located in Garden Grove, CA, approximately three miles from Disneyland. The loan transferred to special servicing in June 2020 due to imminent monetary default. Property performance has been significantly impacted by the coronavirus pandemic with the servicer reported TTM September 2020 NOI down 99% from YE 2019. The property remains closed due to the ongoing pandemic, but is currently accepting reservations from March 23, 2021 onward, according to its website. Per the servicer, forbearance was granted to the borrower in July 2020 with terms allowing for the use of existing reserves to pay debt service and operating expenses, deferral of FF&E payments through 2020, and exclusion of 2020 financials from debt yield test calculations. The loan is expected to return to the master servicer after receipt of three consecutive payments under the terms of the forbearance. The largest FLOC is the Vista Village Shopping Center loan (5.3%), which is secured by a 195,009 square foot anchored retail center located in Vista, CA, approximately 30 miles northeast of San Diego. The servicer-reported YTD September 2020 NOI DSCR fell to 1.30x from 2.39x at YE 2019. Per the servicer, the decline was attributed to lower rental income and expense reimbursements as a result of the pandemic. The largest tenants are Cinepolis (movie theater; 35.7% of NRA through November 2023), Frazier Farms (grocer; 12.8%; September 2025), Crunch Fitness (9.7%; April 2026) and Pet Plus (5.4%; September 2027). As of the September 2020 rent roll, the property was 97% leased, compared to 94.7% at issuance. Cinepolis (36.9% of base rental income) remains temporarily closed due to local COVID-19 restrictions. Crunch Fitness was closed briefly at the onset of the pandemic, but has since reopened. Near-term lease rollover consists of 0.8% of the NRA that is currently month-to-month, 3.5% with leases that expired by YE 2020, 8.2% rolling in 2021, 2.7% in 2022 and 40.9% in 2023. Fitch applied a 25% haircut to YE 2019 NOI in its analysis to account for declining performance related to the coronavirus, including the closure of the largest tenant, and moderate upcoming lease rollover. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario which assumed a potential outsized loss of 20% on the current balance of the Great Wolf Lodge Southern California loan to reflect the unique asset type, operational risk and high vulnerability of the property to the ongoing coronavirus pandemic; this analysis drove the Negative Rating Outlook revisions on classes F, G, X-F and X-G. Additional Stresses Applied due to Coronavirus Exposure: Twenty loans (25.7%) are secured by retail properties, two loans (4.2%) are secured by hotel properties and nine loans (20.1%) are secured by multifamily properties. Fitch applied additional coronavirus-related stresses to six retail loans and one hotel loan; these additional stresses contributed to the Negative Rating Outlook revisions on classes F, G, X-F and X-G. Minimal Changes to Credit Enhancement (CE): As of the January 2021 remittance reporting, the pool's aggregate balance has paid down by 0.5% to $828.7 million from $833.0 million at issuance. No loans have been paid off or defeased since issuance. The pool has 24 full-term, interest-only loans (60.5%) and 16 partial interest-only loans (23%). From securitization to maturity, the pool is projected to pay down by 5.7%. Credit Opinion Loans: Four loans, representing 20.9% of the pool, had investment-grade credit opinions at issuance, including Tower 28, ILPT Hawaii Portfolio, Landmark West Loop and Southgate Owners. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C, X-B and X-C may occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic, including the Great Wolf Lodge Southern California; however, adverse selection and increased concentrations could cause this trend to reverse. -- Upgrades to classes D, E and X-D would also take into account these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if interest shortfalls are likely. Upgrades to classes F, G, X-F and X-G are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre pandemic levels, and there is sufficient CE. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1, A 2, A-3, A-4, A-SB, A-S, B, X-A and X-B are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes C, D, E, X-C and X-D are possible should expected losses for the pool increase significantly and/or the Great Wolf Lodge Southern California loan incur an outsized loss, which would erode CE. Downgrades to classes F, G, X-F and X-G would occur if performance of the FLOCs or loans susceptible to the coronavirus pandemic, including Great Wolf Lodge Southern California, do not stabilize and/or additional loans default and/or transfer to special servicing. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects additional negative rating actions, including downgrades and/or additional Negative Outlook revisions. 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. BEAR STEARNS 2007-TOP28: DBRS Confirms C Rating on 4 Cert. Classes ------------------------------------------------------------------ DBRS Limited confirmed the ratings of all classes of the Commercial Mortgage Pass-Through Certificates, Series 2007-TOP28 issued by Bear Stearns Commercial Mortgage Securities Trust, Series 2007-TOP28 as follows: -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) These classes have ratings that do not carry trends. As of January 2021, these classes continue to maintain Interest in Arrears designations. The rating confirmations reflect the DBRS Morningstar outlook for the remaining loan in the transaction, which had a balance of $91.3 million as of the January 2021 remittance. The loan is secured by a regional mall in Charleston, West Virginia, and has been in special servicing for several years as the loan sponsor, Forest City, was unable to sell the property or repay the loan at the September 2017 maturity date. The property is currently real estate owned. Based on the January 2020 appraised value of $25.5 million, DBRS Morningstar anticipates losses for this loan could flow into Class C, supporting the rating confirmations at C (sf) for the outstanding Certificates. In the analysis for this review, DBRS Morningstar assumed a loss severity in excess of 90% at liquidation. Notes: All figures are in U.S. dollars unless otherwise noted. BENEFIT STREET X: S&P Assigns Prelim BB- (sf) Rating on D-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-RR, A-2A-RR, A-2B-RR, B-RR, C-RR, and D-RR replacement notes and new class X floating-rate notes from Benefit Street Partners CLO X Ltd./Benefit Street Partners CLO X LLC, a CLO originally issued in August 2019 that is managed by Benefit Street Partners LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The replacement class B-RR notes are expected to be issued at a lower spread than the original notes, while the replacement class A-1-RR, A-2A-RR, and D-RR notes are expected to be issued at a higher spread than the original notes. The preliminary ratings are based on information as of Feb. 23, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 4, 2021, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." Based on provisions in the supplemental indenture: -- The stated maturity and reinvestment period will be extended by five years. -- There will be a two-year non-call period. -- Of the underlying collateral obligations, 100.00% have credit ratings assigned by S&P Global Ratings. -- Of the underlying collateral obligations, 95.68% have recovery ratings assigned by S&P Global Ratings. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary. Preliminary Ratings Assigned Benefit Street Partners CLO X Ltd./Benefit Street Partners CLO X LLC Class X, $5.00 million: AAA (sf) Class A-1-RR, $305.00 million: AAA (sf) Class A-2A-RR, $55.00 million: AA (sf) Class A-2B-RR, $20.00 million: AA (sf) Class B-RR (deferrable), $30.00 million: A (sf) Class C-RR (deferrable), $30.00 million: BBB- (sf) Class D-RR (deferrable), $16.25 million: BB- (sf) Subordinated notes, $61.90 million: Not rated BLUEMOUNTAIN CLO XXVIII: S&P Assigns Prelim BB- Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BlueMountain CLO XXVIII Ltd./BlueMountain CLO XXVIII LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 23, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned BlueMountain CLO XXVIII Ltd./BlueMountain CLO XXVIII LLC Class A, $244.0 million: AAA (sf) Class B, $60.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $13.0 million: BB- (sf) Subordinated notes, $41.0 million: Not rated BX TRUST 2017-SLCT: S&P Affirms B+ (sf) Rating on Class F Certs --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on four classes of commercial mortgage pass-through certificates from BX Trust 2017-SLCT, a U.S. CMBS transaction. S&P said, "We affirmed our ratings on classes D, E, and F because the current rating levels were generally in line with the model-indicated ratings. While the transaction has benefitted from pay down due to property releases, and the model-indicated rating was higher for class D, we considered the portfolio's decline in performance during the COVID-19 pandemic, the related uncertainty around the duration of the demand disruption, and the time needed until the portfolio's performance may rebound. "We affirmed the rating on the class X-EXT interest-only (IO) certificates 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. The notional amount of class X-EXT references the class B, C, and D certificates." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Transaction Summary This is a stand-alone (single borrower) transaction backed by a floating-rate, IO mortgage loan currently secured by the borrower's fee simple and leasehold interests in a portfolio of 19 extended-stay hotels, 10 limited-service hotels, and one full-service hotel totaling 3,998 guestrooms across six U.S. states. At issuance, the portfolio consisted of 55 extended-stay hotels, 40 limited-service hotels, and one full-service hotel totaling 12,447 guestrooms across 24 U.S. states. Following the release of the 66 properties to date, as of the Feb. 16, 2021, trustee remittance report, the loan has paid down to $471.5 million from $1,393.5 million at issuance. The 30 remaining hotels were built between 1986 and 2010 and have between 93 and 288 guestrooms. The hotels operate under 11 different national brands, each of which are affiliated with Marriott, Hilton, or Hyatt. The two largest brands are Residence Inn (11 hotels; 43.6% by allocated loan amount (ALA)) and Homewood Suites (five hotels; 14.4%). A majority of the hotels are located in California (18 hotels; 66.0% by ALA), followed by Florida (eight hotels; 18.6%) and Washington (one hotel; 6.3%). No other state represents more than 5.5% of the ALA. Sixteen of the hotels (62.2% by ALA) are in primary markets (as categorized by S&P Global Ratings), 11 (29.2%) are in secondary markets, and three (8.6%) are located in tertiary markets. The loan is floating-rate with an interest rate equal to one-month LIBOR plus 3.32% and had an initial maturity date of July 8, 2019, with five, one-year extension options. The loan is currently in the second extension period, with a maturity date of July 9, 2021. In addition to the trust mortgage loan, there are two mezzanine loans totaling $95.1 million, down from $281.5 million at issuance. According to the servicer, KeyBank Real Estate Capital, the borrower has requested a loan modification with respect to the debt yield test due to potential cash flow concerns caused by the COVID-19 pandemic. However, the borrower has been current on its debt service payments throughout the pandemic and exercised its second extension option in July 2020. KeyBank has noted that the loan is not at immediate risk of transfer to the special servicer and is currently reviewing the borrower's request. Property Analysis The COVID-19 pandemic has brought about unprecedented social distancing and curtailment measures, which are resulting in a significant decline in corporate, leisure, and group travel. Since the outbreak, there has been a dramatic decline in airline passenger miles stemming from government restrictions on international travel and a significant decline in domestic travel. In an effort to curtail the spread of the virus, most group meetings (both corporate and social) have been cancelled and corporate transient travel has been restricted. Leisure travel has also slowed due to fear of travel and the closure/cancellation of demand generators, such as amusement parks, casinos, concerts, and sporting events. As of the February 2021 reporting period, all the remaining hotels are currently open and operating. S&P said, "Our property-level analysis included a re-evaluation of the lodging properties that secure the mortgage loan in the trust. We considered the portfolio's stable performance prior to the pandemic." The servicer-reported net operating income (NOI) for the remaining 30 properties was $80.3 million in 2017, $80.3 million in 2018, and $80.1 million in 2019. However, the servicer-reported NOI declined 53.0% to $37.6 million in the trailing-12-months (TTM) ended Sept. 30, 2020, which includes about seven months of performance impacted by the pandemic. The servicer-reported debt service coverage for the TTM ended Sept. 30, 2020, was 1.16x based on a one-month LIBOR plus 3.32% spread interest rate. The properties are predominantly limited-service or extended-stay hotels, whose demand is primarily driven by transient demand from the commercial and leisure segments. The hotels generally have limited meeting space and therefore generate limited meeting and group demand. While leisure travel has slowly increased since April 2020, leisure travelers have thus far favored hotels in smaller markets and more remote locations in an effort to socially distance. The 2020 reported performance has significantly declined from the previous year and the remaining portfolio is concentrated in California, which has been significantly impacted by COVID-19 and its resulting restrictions. S&P said, "In our analysis, instead of revising the S&P Global Ratings' sustainable net cash flow of $58.9 million (after adjusting for the released properties), we increased our weighted-average capitalization rate to 10.02% (up 50 basis points from 9.52% at issuance, adjusted for the released properties) because there is significant uncertainty regarding the duration of the pandemic, the time needed to disseminate vaccines, and also the time needed for lodging demand to return to normalized levels. As a result, we increased the capitalization rate for the portfolio to account for this risk. We also deducted from value $11.8 million to account for our estimate of future property improvement plan needs and a proposition 13 value adjustment to arrive at an S&P Global Ratings' value of $575.7 million ($143,997 per guestroom) and a loan-to-value (LTV) ratio of 81.9% on the trust balance. At issuance, for the 96 properties, we arrived at a value of $1.51 billion ($121,206 per guestroom) and a 92.4% LTV ratio on the original trust balance. We will continue to monitor for updated information and may take further rating actions as we deem appropriate." Ratings Affirmed BX Trust 2017-SLCT Commercial mortgage pass-through certificates Class D: AA- (sf) Class E: BBB- (sf) Class F: B+ (sf) Class X-EXT: AA- (sf) Class R, not applicable: Not rated BX TRUST 2018-BILT: Fitch Keeps B- Rating on F Debt on Watch Neg. ----------------------------------------------------------------- Fitch Ratings has maintained 79 classes from 14 U.S. CMBS single borrower transactions on Rating Watch Negative (RWN). Fitch originally placed the classes on RWN on March 19, 2020. DEBT RATING PRIOR ---- ------ ----- BX Trust 2018-BILT A 05606JAA3 LT AAAsf Rating Watch Maintained AAAsf B 05606JAG0 LT AA-sf Rating Watch Maintained AA-sf C 05606JAJ4 LT A-sf Rating Watch Maintained A-sf D 05606JAL9 LT BBB-sf Rating Watch Maintained BBB-sf E 05606JAN5 LT BB-sf Rating Watch Maintained BB-sf F 05606JAQ8 LT B-sf Rating Watch Maintained B-sf X-CP 05606JAC9 LT BBB-sf Rating Watch Maintained BBB-sf X-EXT 05606JAE5 LT BBB-sf Rating Watch Maintained BBB-sf MSC 2018-SUN A 61691MAA5 LT AAAsf Rating Watch Maintained AAAsf B 61691MAG2 LT AA-sf Rating Watch Maintained AA-sf C 61691MAJ6 LT A-sf Rating Watch Maintained A-sf D 61691MAL1 LT BBB-sf Rating Watch Maintained BBB-sf X-CP 61691MAC1 LT AAAsf Rating Watch Maintained AAAsf X-EXT 61691MAE7 LT AAAsf Rating Watch Maintained AAAsf BAMLL 2018-DSNY A 054967AA2 LT AAAsf Rating Watch Maintained AAAsf B 054967AG9 LT AA-sf Rating Watch Maintained AA-sf C 054967AJ3 LT A-sf Rating Watch Maintained A-sf D 054967AL8 LT BBB-sf Rating Watch Maintained BBB-sf X-CP 054967AC8 LT BBB-sf Rating Watch Maintained BBB-sf X-EXT 054967AE4 LT BBB-sf Rating Watch Maintained BBB-sf GS Mortgage Securities Corporation Trust 2019-BOCA A 36256QAA5 LT AAAsf Rating Watch Maintained AAAsf B 36256QAC1 LT AA-sf Rating Watch Maintained AA-sf C 36256QAE7 LT A-sf Rating Watch Maintained A-sf D 36256QAG2 LT BBB-sf Rating Watch Maintained BBB-sf BLFD Trust 2019-DPLO A 054970AA6 LT AAAsf Rating Watch Maintained AAAsf B 054970AG3 LT AA-sf Rating Watch Maintained AA-sf C 054970AJ7 LT A-sf Rating Watch Maintained A-sf D 054970AL2 LT BBB-sf Rating Watch Maintained BBB-sf GSMS 2018-LUAU A 36256AAA0 LT AAAsf Rating Watch Maintained AAAsf WFCM 2019-JWDR A 95002NAA5 LT AAAsf Rating Watch Maintained AAAsf B 95002NAG2 LT AA-sf Rating Watch Maintained AA-sf C 95002NAJ6 LT A-sf Rating Watch Maintained A-sf D 95002NAL1 LT BBB-sf Rating Watch Maintained BBB-sf E 95002NAN7 LT BB-sf Rating Watch Maintained BB-sf F 95002NAQ0 LT B-sf Rating Watch Maintained B-sf BX Trust 2018-GW A 12433UAA3 LT AAAsf Rating Watch Maintained AAAsf B 12433UAG0 LT AA-sf Rating Watch Maintained AA-sf C 12433UAJ4 LT A-sf Rating Watch Maintained A-sf D 12433UAL9 LT BBB-sf Rating Watch Maintained BBB-sf X-CP 12433UAC9 LT BBB-sf Rating Watch Maintained BBB-sf X-EXT 12433UAE5 LT BBB-sf Rating Watch Maintained BBB-sf DBWF 2018-GLKS A 23307GAA4 LT AAAsf Rating Watch Maintained AAAsf B 23307GAG1 LT AA-sf Rating Watch Maintained AA-sf C 23307GAJ5 LT A-sf Rating Watch Maintained A-sf D 23307GAL0 LT BBB-sf Rating Watch Maintained BBB-sf E 23307GAN6 LT BB-sf Rating Watch Maintained BB-sf F 23307GAQ9 LT B-sf Rating Watch Maintained B-sf GS Mortgage Securities Corporation Trust 2018-HULA A 36259AAA7 LT AAAsf Rating Watch Maintained AAAsf B 36259AAJ8 LT AA-sf Rating Watch Maintained AA-sf C 36259AAL3 LT A-sf Rating Watch Maintained A-sf D 36259AAN9 LT BBB-sf Rating Watch Maintained BBB-sf X-CP 36259AAC3 LT BBB-sf Rating Watch Maintained BBB-sf X-FP 36259AAE9 LT BBB-sf Rating Watch Maintained BBB-sf X-NCP 36259AAG4 LT BBB-sf Rating Watch Maintained BBB-sf JPMCC 2018-LAQ A 46649VAA9 LT AAAsf Rating Watch Maintained AAAsf B 46649VAG6 LT AA-sf Rating Watch Maintained AA-sf C 46649VAJ0 LT A-sf Rating Watch Maintained A-sf D 46649VAL5 LT BBB-sf Rating Watch Maintained BBB-sf E 46649VAN1 LT BBsf Rating Watch Maintained BBsf HRR 46649VAQ4 LT BB-sf Rating Watch Maintained BB-sf X-CP 46649VAC5 LT BBB-sf Rating Watch Maintained BBB-sf X-EXT 46649VAE1 LT BBB-sf Rating Watch Maintained BBB-sf CGCMT 2018-TBR A 17326MAA0 LT AAAsf Rating Watch Maintained AAAsf B 17326MAG7 LT AA-sf Rating Watch Maintained AA-sf C 17326MAJ1 LT A-sf Rating Watch Maintained A-sf D 17326MAL6 LT BBB-sf Rating Watch Maintained BBB-sf X-CP 17326MAC6 LT AAAsf Rating Watch Maintained AAAsf X-NCP 17326MAE2 LT AAAsf Rating Watch Maintained AAAsf Margaritaville Beach Resort Trust 2019-MARG A 56658LAA8 LT AAAsf Rating Watch Maintained AAAsf B 56658LAG5 LT AA-sf Rating Watch Maintained AA-sf C 56658LAJ9 LT A-sf Rating Watch Maintained A-sf D 56658LAL4 LT BBB-sf Rating Watch Maintained BBB-sf X-CP 56658LAC4 LT BBB-sf Rating Watch Maintained BBB-sf X-EXT 56658LAE0 LT BBB-sf Rating Watch Maintained BBB-sf Hilton Orlando Trust 2018-ORL A 432885AA9 LT AAAsf Rating Watch Maintained AAAsf B 432885AG6 LT AAsf Rating Watch Maintained AAsf C 432885AJ0 LT A-sf Rating Watch Maintained A-sf D 432885AL5 LT BBB-sf Rating Watch Maintained BBB-sf X-EXT 432885AE1 LT BBB-sf Rating Watch Maintained BBB-sf KEY RATING DRIVERS The 14 transactions represent the entire portfolio of Fitch-rated single borrower hotel transactions. The transactions were issued in 2019 (four) and 2018 (10). The majority are secured by an individual hotel property; the underlying properties are located in Florida (six deals), Hawaii (four), Arizona (two) and California (one). There is one transaction secured by a portfolio of La Quinta hotels. Three transactions, MSC 2018-SUN (Shutters On The Beach and Casa Del Mar), BAMLL 2018-DSNY (The Swan and Dolphin) and DBWF 2018-GLKS (JW Marriott Grande Lakes and Ritz-Carlton Grande Lakes), are backed by two hotels adjacent to one another. The majority of the properties that serve as collateral for the 14 transactions remain open; however, some are limiting service at restaurants and other hotel amenities such as gyms, pools and spas. All of the loans remain current. The RWNs remains in place as Fitch continues to monitor property-level performance and cash flow recovery while hotels look to increase occupancy and revenue in 2021. As vaccine rollout increases in 2021 and travel demand begins to recover to pre-pandemic levels, Fitch will reassess the RWNs on a case-by-case basis, and they may be removed if reporting for 2021 shows improved performance that Fitch deems sustainable. The La Quinta portfolio (JPMCC 2018-LAQ) is backed by a group of 219 limited service hotels, all of which remain open for business. The transaction has had 95 property releases since issuance resulting in paydown of approximately 31%. To date, limited- service hotels have performed better than full service hotels. However, recent performance data reflects significant stress. As of September 2020, a decline in occupancy to 51% from 65% at year-end (YE) 2019 has caused effective gross income to decline 41% over the same time period. Fitch will monitor the portfolio performance over the next two to three months for signs of a sustained recovery. Three hotels from three different transactions are currently closed while undergoing renovations, but all are scheduled to reopen in 1H 2021. The Diplomat Beach Resort Hotel (BFLD 2019-DPLO), located in Hollywood, FL, suspended operations starting in March 2020 and is scheduled to reopen in April 2021. The Turtle Bay Resort (CGCMT 2018-TBR) in Kahuku (O'ahu), Hawaii is updating all guestrooms, food and beverage outlets as well as the spa and fitness center; reservations are being accepted starting June 1, 2021. The Arizona Biltmore (BX 2018-BILT) in Phoenix, AZ has also been closed since March 2020 and the hotel website detailed various renovations being undertaken at the property; reopening is scheduled for April 2021. The loan securitized within the MSC 2018-SUN transaction had transferred to special servicing after the borrower did not make the May and June 2020 payments and requested a forbearance due to the pandemic. However, the borrower and lender executed a modification and reinstatement agreement in December 2020 that cured the defaults and allowed the borrowers (Edward Slatkin and Thomas Slatkin) to exercise the first of five one-year extension options through July 2021. Terms of the agreement also include a replacement interest rate cap agreement, satisfaction of all property protection advances and workout fees and an exclusion of debt yield tests through the first extended maturity date. Two additional transactions have had COVID-19-related relief granted: Hilton Orlando (HILT 2018-ORL) and Grand Lakes Resort (DBWF 2018-GLKS). For the Hilton Orlando, a consent agreement allowed for the borrower (joint venture between affiliates of RIDA Development Corporation, Ares Management L.P., and Park Hotels & Resorts Inc.) to utilize reserve funds to cover debt service payments; funds have been utilized from April through December 2020. The borrower has also exercised its first extension option through December 2021. For the Grande Lakes Resort, the borrower (Blackstone) is allowed to commingle FF&E reserves between two collateral hotels (JW Marriot - Grande Lakes and Ritz Carlton - Grande Lakes) to fund property related improvements but not for interest payments. In addition, relief terms were or are in discussion for the following: the Grand Wailea (BX 2018-GW), the Arizona Biltmore Resort (BX 2018-BILT) and the Diplomat Beach Resort (BFLD 2019-DPLO). Ten transactions had 2020 maturities, though all had the ability to extend the loan without a performance hurdle; extension options were exercised for all 10 transactions. Three transactions have an initial maturity date in 2021 with options to extend: JPMCC 2019-MARG, GSMS 2019-BOCA and BFLD 2019-DPLO. As expected, many of the hotels are reporting severely depressed property level cash-flows for 2020 (reporting for seven transactions reflects the TTM period ending in September while the others are from June or December). On average, the TTM 2020 net cash flow across all of the collateral hotels is down 79% from the Fitch net cash flow at issuance (this figure does not include the JPMCC 2018-LAQ transaction due to property releases pursuant to provisions in the loan agreement). Fitch believes this recent hotel data reflecting pandemic performance is not a reliable indication of sustainable cash flow when determining a long-term stressed value and maintains that there is inherent value in the collateral assets as evidenced by land and replacement values compared to the debt levels at each rating category. Fitch expects a slow and uneven recovery path for the lodging sector and forecasts a gradual rebound of revenue per available room (RevPar) in 2021 to around 30% below pre-pandemic levels. This recovery will accelerate from 2H21 supported by leisure demand and the prospect of effective roll-out of vaccines. Fitch also expects the performance recovery for full-service hotels, in particular the upper tier and luxury segments, will initially lag limited-service hotels; much of this difference in performance is expected to moderate by year-end 2022. RATING SENSITIVITIES The RWNs remais in place as the performance impact on the hotel sector from the coronavirus pandemic is still being determined. Fitch will monitor the status and performance of the hotels following reopening, any future COVID-19 related relief requests and forward-booking information, if available. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are not considered likely given the uncertainty within the sector. The Negative Watch may be removed if performance improves and travel and tourism levels start to recover. Fitch may also take into account the amount of leverage for each transaction at each rating category, including debt per key, relative to a loan's recovery, and refinanceability. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the senior bonds, including the 'AAAsf' rated classes, remains a possibility, but remain less likely due to the high level of recoverability based on the high quality of most of the properties as well as the low leverage at the higher rating categories. Many of the hotels, especially the Hawaiian hotels, are in locations that cannot be replicated, have low rated debt compared to normalized values and strong sponsors. Macroeconomic considerations, such as travel and tourism levels, will determine their ultimate fate and will be closely monitored by Fitch. -- Downgrades to the junior bonds especially if already non investment grade are possible if the economic impact of the pandemic is prolonged. Fitch expects limited refinancing and liquidity for all hotels, which will prevent property valuations through sales comparisons and near-term dispositions of assets that default. Downgrades are more likely if loans default and value declines are determined to be prolonged or permanent. 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. BXMT 2020-FL2: DBRS Confirms B (low) Rating on Class G Notes ------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of notes issued by BXMT 2020-FL2, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. The transaction closed in February 2020 and the initial collateral consisted of 34 floating-rate mortgages secured by 80 mostly transitional properties with a cut-off balance totaling $1.5 billion, excluding approximately $1.2 billion of participated loan future funding cut-off date commitment. As of the January 2021 remittance, a total of 31 loans secured by 77 commercial properties remained in the trust with a total current balance of $1.44 billion. The collateral is primarily secured by properties located in core markets with the overall pool's weighted-average (WA) DBRS Morningstar Market Rank of 5.6. The pool's property quality is considered strong as 12 loans, representing 38.8% of the trust cut-off balance, have an above-average property quality rating. Most of the loans were used to fund acquisitions (64.4% of the trust balance at issuance), which typically include fresh borrower equity. As of January 2021, the pool had a WA loan-to-value (LTV) ratio of 73.0% based on the issuance appraised value and a WA LTV of 57.7% based on the respective stabilized appraised values. In this transaction, rating agency confirmation (RAC) is not required to acquire participations of existing trust assets, but the transaction documents require the resulting pool DBRS Morningstar WA expected loss (EL) to be no greater than 6.5%. This is intended by the Issuer to keep credit risk fairly constant, as the initial-pool DBRS Morningstar WA EL is 6.0%. While it is possible for loans to get worse (or better) after securitization, and the EL being used could be lower (or higher) than it truly should be, DBRS Morningstar believes that the capital structure adequately accounts for the risk of negative credit migration. Any significant modifications will require RAC, and such loan will have its EL updated based on such modification. Four loans, representing 15.1% of the trust cut-off balance, are on the servicer's watchlist. Most of these loans were placed on the servicer's watchlist because of upcoming initial loan maturity dates; however, all watchlist loans feature extension options. Based on the most recent reporting, all loans are performing in line with issuance expectations and reported cash flow growths ranging from 17% to 31% as of the Q2 2020 financials when compared with year-end 2019. Hospitality properties represent a significant property type concentration in the pool with seven loans representing 25.3% of the trust cut-off balance secured by this property type. The hospitality properties are in high barrier-to-entry markets, such as the San Francisco CBD, the Las Vegas Strip, and the Hawaii coastline. Notes: All figures are in U.S. dollars unless otherwise noted. CFMT 2021-HB5: DBRS Finalizes BB(sf) Rating on Class M4 Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Notes, Series 2021-1, issued by CFMT 2021-HB5, LLC: -- $614.0 million Class A at AAA (sf) -- $50.7 million Class M1 at AA (low) (sf) -- $37.0 million Class M2 at A (low) (sf) -- $35.5 million Class M3 at BBB (low) (sf) -- $12.3 million Class M4 at BB (sf) The AAA (sf) rating reflects 18.1% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), and BB (sf) ratings reflect 11.3%, 6.4%, 1.6%, and 0.0% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowners association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (December 31, 2020), the collateral has approximately $749.5 million in unpaid principal balance (UPB) from 3,295 nonperforming home equity conversion mortgage reverse mortgage assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. The assets were constructed between 1995 and 2016. Of the total loans, 60 have a fixed interest rate (2.01% of the balance), with a 5.01% weighted-average coupon (WAC). The remaining 3,235 loans have floating-rate interest (97.99% of the balance) with a 1.81% WAC, bringing the entire collateral pool to a 1.88% WAC. All the assets in this transaction are nonperforming (i.e., inactive) loans. There are 1,377 assets that are referred for foreclosure (45.3% of balance), 114 are in bankruptcy (3.4%), 867 are called due (26.8%), 56 are real estate owned (1.6%), 880 are in default (22.9%), and one loan with a pending claim. However, all these assets are insured by the United States Department of Housing and Urban Development (HUD), and this insurance acts to mitigate losses vis-à-vis uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 55.9% for these loans. The WA LTV is calculated by dividing the UPB by the maximum claim amount plus the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. The Class M notes have principal lockout terms insofar as they are not entitled to principal payments until after the expected final payment of the upstream notes. Available cash will be trapped until these dates at which stage the notes will start to receive payments. Specifically, Classes M1, M2, M3, and M4 are locked out until November 2023, March 2024, May 2024, and July 2024, respectively. Note that the DBRS Morningstar cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. CIFC FUNDING 2021-I: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CIFC Funding 2021-I Ltd./CIFC Funding 2021-I LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 18, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned CIFC Funding 2021-I Ltd./CIFC Funding 2021-I LLC Class A, $306.25 million: AAA (sf) Class B, $73.75 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $47.48 million: Not rated CIM TRUST 2021-J1: Fitch to Rate Class B5 Certs 'B(EXP)' -------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by CIM Trust 2021-J1 (CIM 2021-J1). DEBT RATING ---- ------ CIM Trust 2021-J1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-IO1 LT AAA(EXP)sf Expected Rating A-IO2 LT AAA(EXP)sf Expected Rating A-IO3 LT AAA(EXP)sf Expected Rating A-IO4 LT AAA(EXP)sf Expected Rating A-IO5 LT AAA(EXP)sf Expected Rating A-IO6 LT AAA(EXP)sf Expected Rating A-IO7 LT AAA(EXP)sf Expected Rating A-IO8 LT AAA(EXP)sf Expected Rating A-IO9 LT AAA(EXP)sf Expected Rating A-IO10 LT AAA(EXP)sf Expected Rating A-IO11 LT AAA(EXP)sf Expected Rating A-IO12 LT AAA(EXP)sf Expected Rating A-IO13 LT AAA(EXP)sf Expected Rating A-IO14 LT AAA(EXP)sf Expected Rating A-IO15 LT AAA(EXP)sf Expected Rating A-IO16 LT AAA(EXP)sf Expected Rating A-IO17 LT AAA(EXP)sf Expected Rating A-IO18 LT AAA(EXP)sf Expected Rating A-IO19 LT AAA(EXP)sf Expected Rating A-IO20 LT AAA(EXP)sf Expected Rating A-IO21 LT AAA(EXP)sf Expected Rating A-IO22 LT AAA(EXP)sf Expected Rating A-IO23 LT AAA(EXP)sf Expected Rating A-IO24 LT AAA(EXP)sf Expected Rating A-IO25 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-IO1 LT AA(EXP)sf Expected Rating B-1A LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-IO2 LT A(EXP)sf Expected Rating B-2A LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 425 fixed-rate mortgages (FRMs) with a total balance of approximately $404.78 million as of the cutoff date. The loans were originated by various mortgage originators, and the seller, Fifth Avenue Trust, acquired the loans from Bank of America, National Association (BANA). Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year fixed-rate fully amortizing safe harbor qualified mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. Per Fitch's calculation methodology, the loans are seasoned an average of four months. The pool has a weighted average (WA) original FICO score of 778, which is indicative of very high credit-quality borrowers. Approximately 87% of the loans have a borrower with a FICO score above 750. In addition, the original WA combined loan to value ratio (CLTV) of 62% represents substantial borrower equity in the property and reduced default risk. Geographic Concentration (Negative): Approximately 48% of the pool is concentrated in California. The largest MSA concentration is in the San Francisco, CA MSA (20%), followed by the Los Angeles, CA MSA (17%) and the Chicago, IL MSA (9%). The top three MSAs account for 46% of the pool. As a result, there was a 1.04x PD penalty for geographic concentration. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Full Servicer Advancing (Mixed): The servicer will provide full advancing for the life of the transaction (the servicer is also expected to advance delinquent P&I on loans that enter a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Wells Fargo, as master servicer, will advance if the servicer fails to do so. Subordination Floor (Positive): A CE or senior subordination floor of 1.20% has been considered in order to mitigate potential tail-end risk and loss exposure for senior tranches as pool size declines and performance volatility increases, due to adverse loan selection and small loan count concentration. Also, a junior subordination floor of 0.85% will be maintained to mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five years following deal closing. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net weighted average coupon (WAC) of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $300,000 per annum, which can be carried over each year, subject to the cap until paid in full. Payment Forbearance (Neutral): As of Feb. 1, 2021, none of the borrowers in the pool are on an active coronavirus forbearance plan. Any borrowers which previously entered into a coronavirus-related forbearance plan have since been reinstated (Fitch did not penalize these loans). In the event that after closing a borrower enters into or requests an active coronavirus-related forbearance plan, such loan will remain in the pool, and the Servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such mortgage loan during the forbearance period (to the extent such advances are deemed recoverable), and the mortgage loan will be considered delinquent for all purposes under the transaction documents. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from principal collections on the overall pool. This will likely result in writedowns to the most subordinate class, which will be written back up as subsequent recoveries are realized. Since there will be no borrowers on a coronavirus forbearance plan as of the closing date and forbearance requests have significantly declined, Fitch did not increase its loss expectation to address the potential for writedowns due to reimbursement of servicer advances. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of the pool by Clayton Services, Opus CMC and Consolidated Analytics, which are respectively assessed as Acceptable - Tier 1, Acceptable - Tier 2 and Acceptable - Tier 3 by Fitch. The due diligence results identified no material exceptions as 100% of loans were graded "A" or "B". Credit exceptions were deemed immaterial and supported by compensating factors, and compliance exceptions were primarily related to the TRID rule and cured with subsequent documentation. Fitch applied a credit for loans that received due diligence, which ultimately reduced the 'AAAsf' loss expectation by 15bps. Representation and Warranty Framework Adjustment (Negative): The loan-level representation and warranty (R&W) framework is consistent with a Tier 1 framework, as it contains the full list of representations that are outstanding for the life of the mortgage loans. Despite a strong framework, repurchase obligations are designated to a separate fund that does not hold an investment-grade rating. The fund may have issues fulfilling repurchases in times of economic stress, particularly if the fund must repurchase on behalf of the underlying originators. Fitch increased its loss expectations by 12bps at the 'AAAsf' rating category to account for the non-investment-grade counterparty risk of the R&W provider. Low Operational Risk (Negative): Operational risk is well controlled for in this transaction. Chimera actively purchases prime jumbo loans and is assessed as an 'Average' aggregator by Fitch. Loans were primarily originated by Guaranteed Rate, Inc., which Fitch has reviewed and assessed as an 'Average' originator. Shellpoint Mortgage Servicing is the named servicer for the transaction and is responsible for primary and special servicing functions. Fitch views Shellpoint as a sound servicer of prime loans. The company is rated 'RPS2'/Stable. Wells Fargo Bank, N.A. (RMS1-/Negative) will act as Master Servicer. Overall, Fitch increased its expected losses at the 'AAAsf rating stress slightly, by 7bps, to reflect the absence of originator assessments covering a portion of the transaction coupled with the 'Average' aggregator assessment. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. 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. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.8% 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: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. 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. Fitch has added a Coronavirus Sensitivity Analysis that that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade 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. 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 Consolidated Analytics, Clayton Services and Opus . The third-party due diligence described in Form 15E focused on credit, compliance, data integrity and property valuation . Fitch considered this information in its analysis. 100% of the pool received a final grade of "A" or "B", which confirms no incidence of material exceptions. Approximately 39% of the loan pool (by loan count) was assigned a final grade "B", which is in line with other prime jumbo RMBS reviewed by Fitch. Loans graded "B" were primarily due to credit exceptions. Approximately 30% of the pool received credit exceptions that were considered immaterial as they were supported with significant compensating factors identified by both the seller and Chimera during the acquisition process. Additionally, approximately 14% of the pool was graded "B" for immaterial compliance exceptions primarily to the TILA-RESPA Integrated Disclosure (TRID) rule that were corrected by the seller with subsequent and/or post-closing documentation. Fitch did not apply any loss adjustments. Fitch applied a credit for loans that received due diligence, which ultimately reduced the AAAsf loss expectation by 15bps. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CITIGROUP COMM'L 2020-GC46: DBRS Confirms BB(low) on G-RR Certs. ---------------------------------------------------------------- DBRS Limited confirmed all ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-GC46 issued by Citigroup Commercial Mortgage Trust 2020-GC46: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G-RR at BB (low) (sf) All trends are Stable. With this review, DBRS Morningstar removed Class G-RR from Under Review with Negative Implications, where it was placed on August 6, 2020. The ratings confirmations reflect the overall stable performance of the transaction since issuance. At issuance, the trust consisted of 46 loans secured by 139 commercial and multifamily properties with a total trust balance of $1.22 billion. Per the January 2021 remittance report, all original loans and properties remain in the pool and the aggregate balance has been reduced by just 0.1%. The transaction includes eight loans, representing 36.2% of the trust balance, that were shadow-rated investment grade by DBRS Morningstar at issuance. The trust benefits from the high amount of urban-concentrated properties as there are seven loans, representing 29.2% of the trust balance, with a DBRS Morningstar Market Rank of seven or greater. The loans also exhibit relatively low leverage as the weighted-average loan-to-value ratio (LTV) was 54.3% based on the issuance appraised values. However, the leverage of the pool is barbelled by 16 loans, representing 25.5% of the trust balance, that had LTVs greater than 67.1% and 17 loans, comprising 52.8% of the pool balance, with an issuance LTV lower than 59.3%. Most of the higher leverage loans are secured by retail properties, which have been more susceptible to stress during the Coronavirus Disease (COVID-19) pandemic. Additionally, there are 23 loans, totaling 66.5% of the trust balance, that are structured with full-term interest only (IO) periods and an additional 13 loans, totaling 25.5% of the trust balance, structured with partial IO terms. The lack of amortization is mitigated by seven of the full-term IO loans being shadow-rated investment grade by DBRS Morningstar at issuance. Per the January 2021 remittance report, there was one loan, The Westin Book Cadillac (Prospectus ID#8 – 3.7% of the trust balance), in special servicing and an additional 15 loans, representing 27.9% of the trust balance, on the servicer's watchlist. The Westin Book Cadillac loan is secured by the fee-interest in a 32-story, 453-key, full-service hotel located in the Detroit central business district. The loan transferred to the special servicer in August 2020 for imminent monetary default as the June and July 2020 loan payments were delinquent. The borrower requested forbearance relief as the hotel was closed in April, May, and most of June 2020; however, the discussions have yet to result in any debt relief and the special servicer is dual-tracking foreclosure with the forbearance discussions. The collateral was reappraised in September 2020 for a value of $74.8 million, a decrease of 45.2% from the issuance appraised value of $136.0 million. The updated appraised value indicates an implied LTV of 103.2%, compared with the 56.6% LTV based on the issuance value. DBRS Morningstar will continue to monitor the ongoing negotiations between the special servicer and sponsor. The loans on the servicer's watchlist were all performing as of the January 2021 remittance report. Most of the watchlist loans exhibited low debt service coverage ratios or exhibited increased risk of default caused by the coronavirus pandemic. DBRS Morningstar is monitoring the 1025-1075 Brokaw Road loan (Prospectus ID#12 – 2.7% of the trust balance), which is secured by an unanchored neighborhood retail center in San Jose, California. The loan was added to the servicer's watchlist in December 2020 after the cash lockbox was activated due to a substantially low net operating income. The primary tenant is LA Fitness (46.9% of net rentable area; lease expiration of March 2028), which has been directly affected by mandatory closures in California. DBRS Morningstar has observed other LA Fitness locations withhold scheduled rent payments during the pandemic, especially in California. Notes: All figures are in U.S. dollars unless otherwise noted. COLUMBIA CENT 31: S&P Preliminary Rates Class E Notes BB-(sf) ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Columbia Cent CLO 31 Ltd./Columbia Cent CLO 31 Corp.'s fixed- and floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 17, 2021. 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 diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Columbia Cent CLO 31 Ltd./Columbia Cent CLO 31 Corp. Class X(i), $4.00 million: AAA (sf) Class A-1, $235.00 million: AAA (sf) Class A-F, $25.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $26.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $36.00 million: Not rated (i)Class X notes are expected to begin amortizing using interest proceeds beginning in July 2021. It is expected that $200,000 will be paid down on each payment date for the first 20 payment dates. CSMC 2021-AFC1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CSMC 2021-AFC1 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest-only periods). The loans are secured by single-family residential properties (including one townhouse property), planned-unit developments, condominiums, and two- to four-family residential properties to prime and nonprime borrowers. The pool consists of 531 non-qualified mortgage (non-QM/ability to repay [ATR] compliant) and ATR-exempt loans. The preliminary ratings are based on information as of Feb, 23, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, DLJ Mortgage Capital Inc.; -- The mortgage originator, AmWest Funding Corp.; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned(i) CSMC 2021-AFC1 Trust Class A-1, $207,668,000 million: AAA (sf) Class A-2, $12,030,000 million: AA (sf) Class A-3, $20,007,000 million: A (sf) Class M-1, $8,357,000 million: BBB (sf) Class B-1, $3,191,000 million: BB (sf) Class B-2, $1,621,000 million: B (sf) Class B-3, $380,240 million: Not rated Class A-IO-S, notional(ii) Not rated Class XS, notional(iii) Not rated Class PT(iv), $253,254,240 million: Not rated FANNIE MAE: Moody's Hikes 59 Tranches of RMBS Issued 2016-2017 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 59 tranches from five transactions issued by Fannie Mae between 2016 and 2017. These five transactions are actual loss credit risk transfer transaction. Additionally, group II of Connecticut Avenue Securities, Series 2016-C01 is backed by high-LTV collaterals that benefits from mortgage insurance. A List of Affected Credit Ratings is available at: https://bit.ly/37w7Lra Complete rating actions are as follows: Issuer: Connecticut Avenue Securities, Series 2016-C01 Cl. 1M-2B, Upgraded to Baa1 (sf); previously on Nov 14, 2018 Upgraded to Baa2 (sf) Issuer: Connecticut Avenue Securities, Series 2016-C02 Cl. 1M-2B, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Issuer: Connecticut Avenue Securities, Series 2016-C04 Cl. 1M-2, Upgraded to Baa2 (sf); previously on Nov 14, 2018 Upgraded to Baa3 (sf) Cl. 1M-2I*, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. 1M-2A, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. 1M-2F, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. 1M-2B, Upgraded to Baa3 (sf); previously on Nov 14, 2018 Upgraded to Ba1 (sf) Issuer: Connecticut Avenue Securities, Series 2017-C03 Cl. 1A-I1*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1A-I2*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1A-I3*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1A-I4*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1B-I1*, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1B-I2*, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1B-I3*, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1B-I4*, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1E-A1, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1E-B1, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1E-A2, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1E-B2, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1E-A3, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1E-B3, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1E-A4, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1E-B4, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Cl. 1E-D1, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. 1E-D2, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. 1E-D3, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. 1E-D4, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. 1E-D5, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. 1M-2, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba1 (sf) Cl. 1M-2A, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1M-2B, Upgraded to Baa3 (sf); previously on Jan 18, 2019 Upgraded to Ba1 (sf) Issuer: Connecticut Avenue Securities, Series 2017-C05 CL. 1A-I2*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1A-I3*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1A-I4*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1A-I1*, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1B-I2*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1B-I3*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1B-I4*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1B-I1*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-A2, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1E-A3, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1E-A4, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1E-A1, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) CL. 1E-B2, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-B3, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-B4, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-D2, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-D3, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-D4, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-B1, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-D5, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1E-D1, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. 1M-2B, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. 1M-2A, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa2 (sf) Cl. 1M-2, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba1 (sf) CL. 1-X2*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1-X3*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1-X4*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) CL. 1-X1*, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) *Reflects Interest Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. In these transactions, high prepayment rates, generally in the range of 30% - 50% over the past six months, driven by the low interest rate environment, have benefited the bonds by increasing the paydown and building credit enhancement. In addition, these transaction are structured with a sequential principal distributions amongst the subordinate bonds. In Moody's analysis Moody's considered the additional risk posed by borrowers enrolled in payment relief programs. Moody's increased its MILAN model-derived median expected losses by 15% and its Aaa losses by 5% to reflect the performance deterioration resulting from a slowdown in US economic activity due to the COVID-19 outbreak. Moody's identified loans granted payment relief based on a review of loan level cashflows over the last few months. In Moody's analysis, Moody's considered loans that: (1) were not liquidated but took a loss in the reporting period (to capture loans with monthly deferrals that were reported as current) or (2) have actual balances that increased or were unchanged in the reporting period, excluding interest-only loans and pay-ahead loans, to be loans under a payment relief program. Based on Moody's analysis, the proportion of borrowers in these GSE pools that are currently enrolled in payment relief plans ranged around 4.5% to 5.5%. In response to the COVID-19-spurred economic shock, the GSEs have enacted temporary policies that allow servicers to offer payment forbearance to borrowers impacted by COVID-19. The GSEs report these loans that are granted forbearance as delinquent for purposes of CRT transactions despite suspension of reporting borrowers to the credit bureaus. Additionally, delinquencies caused by COVID-19 qualify for "natural disaster" treatment, and these transactions provide a grace period for such loans before they are recognized as Credit Event Reference Obligation (i.e. when the loan becomes 180 day or more delinquent). These CRT transactions allocate losses based on actual losses incurred upon liquidation of defaulted mortgage loans in the reference pool (i.e., "actual loss" transaction) and these losses are allocated to bondholders, reverse sequentially. The delinquencies underlying the pools have risen due to impact of the pandemic and range between 3.5% - 5.5% as of December 2020. This has resulted in the deals failing their performance triggers, thus slowing down the amortization on the sequential pay bonds. Despite the recent slowdown in payment, the bonds have benefited from sustained prepayment and increases in credit enhancement. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the due diligence findings of the third-party reviews received at the time of issuance. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous, and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. FINANCE OF AMERICA 2021-HB1: DBRS Gives Prov. BB(low) on M4 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Asset-Backed Notes to be issued by Finance of America HECM Buyout 2021-HB1: -- $413.3 million Asset-Backed Notes, Series 2021-HB1 Class A at AAA (sf) -- $45.8 million Asset-Backed Notes Series 2021-HB1 Class M1 at AA (low) (sf) -- $33.0 million Asset-Backed Notes Series 2021-HB1 Class M2 at A (low) (sf) -- $29.1 million Asset-Backed Notes Series 2021-HB1 Class M3 at BBB (low) (sf) -- $26.2 million Asset-Backed Notes Series 2021-HB1 Class M4 at BB (low) (sf) The AAA (sf) rating reflects 27.67% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), and BB (low) (sf) ratings reflect 19.66%, 13.89%, 8.79%, and 4.21% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowners association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the December 31, 2020, Cut-Off Date, the collateral had approximately $571.4 million in unpaid principal balance (UPB) from 2,551 performing and nonperforming home equity conversion mortgage reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. Of the total loans, 1,761 have fixed-rate interest (71.93% of the balance) with a weighted-average coupon (WAC) of 5.03%. The remaining 790 loans have floating-rate interest (28.07% of the balance) with a WAC of 3.00%, bringing the entire collateral pool to a WAC of 4.46%. As of the Cut-Off Date, the loans in this transaction are both performing and nonperforming (i.e., inactive). There are 530 performing loans comprising 24.50% of the total UPB. As for the 2,021 nonperforming loans, 785 loans are referred for foreclosure (30.91% of the balance), 107 are in bankruptcy status (4.04%), 470 are called due following recent maturity (18.75%), 156 are real estate owned (REO; 5.63%), two are referred (0.06%), and the remaining 501 are in default (16.10%). However, all these loans are insured by the United States Department of Housing and Urban Development (HUD), which mitigates losses vis-à-vis uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the WA effective LTV adjusted for HUD insurance, which is 54.48% for the loans in this pool. To calculate the WA LTV, DBRS Morningstar divides the UPB by the maximum claim amount and the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available funds caps. Notes: All figures are in U.S. dollars unless otherwise noted. FLAGSHIP CREDIT 2021-1: DBRS Finalizes BB(high) Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Flagship Credit Auto Trust 2021-1: -- $177,310,000 Class A Notes at AAA (sf) -- $25,190,000 Class B Notes at AA (sf) -- $32,490,000 Class C Notes at A (sf) -- $18,720,000 Class D Notes at BBB (high) (sf) -- $11,290,000 Class E Notes at BB (high) (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) DBRS Morningstar's projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19) pandemic. While considerable uncertainty remains with respect to the intensity and duration of the shock, the DBRS Morningstar-projected CNL includes an assessment of the expected impact on consumer behavior. The DBRS Morningstar CNL assumption is 11.35% based on the expected Cut-Off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus pandemic, available in its commentary "Global Macroeconomic Scenarios: January 2021 Update," published on January 28, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on January 28, 2021, and are reflected in DBRS Morningstar's rating analysis. The assumptions also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. (4) The consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Flagship with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Flagship and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) DBRS Morningstar exclusively used the static pool approach because Flagship 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 Flagship could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (8) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Flagship 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 to purchase late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 36.60% of initial hard credit enhancement provided by subordinated notes in the pool (31.85%), the reserve account (1.00%), and OC (3.75%). The ratings on the Class B, C, D, and E Notes reflect 27.45%, 15.65%, 8.85%, and 4.75% 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. FORTRESS CREDIT X: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fortress Credit BSL X Ltd./Fortress Credit BSL X LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Fortress Credit BSL X Ltd./Fortress Credit BSL X LLC Class A, $300.00 million: AAA (sf) Class B, $70.00 million: AA (sf) Class C (deferrable), $32.50 million: A (sf) Class D (deferrable), $30.10 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinated notes, $52.90 million: Not rated FREDDIE MAC 2021-HQA1: Moody's Gives B3 Rating on Class B-1B Debt ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 28 classes of credit risk transfer notes issued by Freddie Mac STACR REMIC TRUST 2021-HQA1. The ratings range from Baa1 (sf) to B3 (sf). Freddie Mac STACR REMIC TRUST 2021-HQA1 (STACR 2021-HQA1) is the first transaction of 2021 in the HQA series issued by the Federal Home Loan Mortgage Corporation (Freddie Mac) to share the credit risk on a reference pool of mortgages with the capital markets. The transaction is structured as a real estate mortgage investment conduit (REMIC). Class coupons of floating rate notes are based on secured overnight financing rate (SOFR) and their respective fixed margin. The notes in STACR 2021-HQA1 receive principal payments as the loans in the reference pool amortize or prepay. Principal payments to the notes are paid from assets in the trust account established from proceeds of the notes issuance. Interest payments to the notes are paid from a combination of investment income from trust assets, an asset of the trust known as the interest-only (IO) Q-REMIC interest, and Freddie Mac. Freddie Mac is responsible to cover (1) any interest owed on the notes not covered by the investment income from the trust assets and the yield on the IO Q-REMIC interest and (2) to reimburse the trust for any investment losses from sales of the trust assets. Investors have no recourse to the underlying reference pool. The credit risk exposure of the notes depends on the actual realized losses and modification losses incurred by the reference pool. Freddie Mac is obligated to pay off the notes in August 2033 if any balances remain outstanding. Of note, this is the first STACR REMIC transaction in the HQA series with 12.5-year stated bullet maturity on the offered notes, instead of 30-year maturity for recent transactions. The complete rating actions are as follows: Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA1 Cl. M-1, Assigned Baa1 (sf) Cl. M-2, Assigned Ba1 (sf) Cl. M-2A, Assigned Baa3 (sf) Cl. M-2B, Assigned Ba2 (sf) Cl. M-2R, Assigned Ba1 (sf) Cl. M-2S, Assigned Ba1 (sf) Cl. M-2T, Assigned Ba1 (sf) Cl. M-2U, Assigned Ba1 (sf) Cl. M-2I*, Assigned Ba1 (sf) Cl. M-2AR, Assigned Baa3 (sf) Cl. M-2AS, Assigned Baa3 (sf) Cl. M-2AT, Assigned Baa3 (sf) Cl. M-2AU, Assigned Baa3 (sf) Cl. M-2AI*, Assigned Baa3 (sf) Cl. M-2BR, Assigned Ba2 (sf) Cl. M-2BS, Assigned Ba2 (sf) Cl. M-2BT, Assigned Ba2 (sf) Cl. M-2BU, Assigned Ba2 (sf) Cl. M-2BI*, Assigned Ba2 (sf) Cl. M-2RB, Assigned Ba2 (sf) Cl. M-2SB, Assigned Ba2 (sf) Cl. M-2TB, Assigned Ba2 (sf) Cl. M-2UB, Assigned Ba2 (sf) Cl. B-1, Assigned B2 (sf) Cl. B-1A, Assigned B1 (sf) Cl. B-1AR, Assigned B1 (sf) Cl. B-1AI*, Assigned B1 (sf) Cl. B-1B, Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.70%, in a baseline scenario-median is 0.48%, and reaches 4.88% at a stress level consistent with our Aaa ratings. Moody's calculated losses on the pool using our US Moody's Individual Loan Analysis (MILAN) GSE model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, qualitative adjustments for origination quality and third-party review (TPR) scope. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around our forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. The contraction in economic activity in the second quarter was severe and the overall recovery in the second half of the year will be gradual. However, there are significant downside risks to our forecasts in the event that the pandemic is not contained and lockdowns have to be reinstated. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Moody's increased our model-derived median expected losses by 15%, 11.74% for the mean) and Moody's Aaa losses by 5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. Moody's increased its model-derived median expected losses by 15% (11.74% for the mean) and our Aaa losses by 5% to reflect the likely performance deterioration resulting from of the slowdown in US economic activity due to the coronavirus outbreak. Servicing practices, including tracking coronavirus related loss mitigation activities, may vary among servicers in the transaction. These inconsistencies could impact reported collateral performance and affect the timing of any breach of performance triggers and the amount of modification losses. Moody's may infer and extrapolate from the information provided based on this or other transactions or industry information, or make stressed assumptions. Collateral Description The reference pool consists of 211,832 prime, fixed-rate, one- to four-unit, first-lien conforming mortgage loans acquired by Freddie Mac. The loans were originated on or after January 1, 2015 with a weighted average seasoning of five months. Each of the loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80% and less than or equal to 97%. 7.4% of the pool are loans underwritten through Home Possible or HomeReady program and 99.1% of loans in the pool are covered by mortgage insurance as of the cut-off date. About 17.1% of loans in this transaction were underwritten through Freddie Mac's Automated Collateral Evaluation (ACE) program. Under ACE program, Freddie Mac assesses whether the estimate of value or sales price of a mortgaged property, as submitted by the seller, is acceptable as the basis for the underwriting of the mortgage loan. If a loan is assessed as eligible for appraisal waiver, the seller will not be required to obtain an appraisal and will be relieved from R&Ws related to value, condition and marketability of the property. A loan originated without a full appraisal will lack details about the property's condition. Moody's consider ACE loans weaker than loans with full appraisal. Specifically, for refinance loans, seller estimated value, which is the basis for calculating LTV, may be biased where there is no arms-length transaction information. Although such value is validated against Freddie Mac's in-house HVE model, there's still possibility for over valuations subject to Freddie Mac's tolerance levels. All ACE loans in this transaction are either rate or term refinance loans where Moody's made haircuts to property values to account for overvaluation risk. Aggregation/Origination Quality Moody's consider Freddie Mac's overall seller management and aggregation practices to be adequate and Moody's did not apply a separate loss-level adjustment for aggregation quality. Underwriting Freddie Mac uses a delegated underwriting process to purchase loans. Sellers are required to represent and warrant that loans are made in accordance with negotiated terms or Freddie Mac's guide. Numerous checks in the selling system ensures that loans with the correct characteristics are delivered to Freddie Mac. Sellers are required to cure, make an indemnification payment or repurchase the loans if a material underwriting defect is discovered subject to certain limits. In certain cases, Freddie Mac may elect to waive the enforcements of the repurchase if an alternative such as an indemnification payment is provided. Quality control Freddie Mac monitors each seller's risk exposure both on an aggregated basis as well as by product lines. A surveillance team reviews sellers' financials at least on an annual basis, monitors exposure limits, risk ratings, lenders QC reports and internal audit results and may adjust credit limits, require additional loan/operational reviews or put the seller on a watch list, as needed. Home Possible or HomeReady program Approximately 7.4% of the loans by cut-off date balance were originated under the Home Possible or HomeReady program. The program is designed to make responsible homeownership accessible to low- to moderate-income homebuyers, by requiring low down payments, lower risk-adjusted pricing, flexibility in sources of income, and, in certain circumstances, lower than standard mortgage insurance coverage. Home Possible and HomeReady loans in STACR 2021-HQA1's reference pool, collectively, have a WA FICO of 748 and WA LTV of 93.9%, versus a WA FICO of 756 and a WA LTV of 90.5% for the rest of the loans in the pool. While Moody's MILAN model takes into account characteristics listed on the loan tape, such as lower FICOs and higher LTVs, there may be risks not captured by its model due to less stringent underwriting, including allowing more flexible sources of funds for down payment and lower risk-adjusted pricing. Moody's applied an adjustment to the loss levels to address the additional risks that Home Possible or HomeReady loans may add to the reference pool. Enhanced Relief Refinance (ERR) The ERR program is designed to provide refinance opportunities to borrowers with existing Freddie Mac's mortgage loans who are current on their mortgage payments but whose LTV ratios exceed the maximum permitted for standard refinance products. The program is intended to offer refinance opportunities to borrowers so they can reduce their monthly payment. STACR 2021-HQA1's reference pool does not include ERR loans at closing, however, transaction documents allow for the replacement of loans in the reference pool with ERR loans in the future. The replacement will not constitute a prepayment on the replaced loan, credit event or a modification event. At closing, Moody's did not make any adjustment to its collateral losses due to the existence of the ERR program. Moody's believe the programs are beneficial for loans in the pool, especially during an economic downturn when limited refinancing opportunities would be available to borrowers with low or negative equity in their properties. However, since such refinanced loans are likely to have later maturities and slower prepayment rates than the rest of the loans, the reference pool is at risk of having a high concentration of high LTV loans at the tail of the transaction's life. Moody's will monitor ERR loans in the reference pool and may make an adjustment in the future if the percentage of them becomes significant after closing. Mortgage insurance 99.3% of the loans in the pool were originated with mortgage insurance. 97.6% of the loans benefit from BPMI which is usually terminated when LTV falls below 78% under scheduled amortization, and 2.0% of the loans benefit from LPMI or IPMI which lasts through the life of the loan. Freddie Mac will cover the amount that is reported as payable under any effective mortgage insurance policy , but not received due to a mortgage insurer insolvency or due to a settlement between the mortgage insurer and Freddie Mac. The servicer is required to reimburse Freddie Mac for claim curtailments rejections due to the servicer's violation of the mortgage insurance policy. The MILAN model output accounts for the presence of mortgage insurance backed by Freddie Mac. Moody's rejection rate assumption is 0% under base case and 1% under Aaa scenario. Servicing arrangement As master servicer, Freddie Mac has strong servicer oversight and monitoring processes. Generally, Freddie Mac does not itself conduct servicing activities. When a mortgage loan is sold to Freddie Mac, the seller enters into an agreement to service the mortgage loan for Freddie Mac in accordance with a comprehensive servicing guide for servicers to follow. Freddie Mac monitors primary servicer performance and compliance through its Servicer Success Program, scorecard and servicing quality assurance group. Freddie Mac also reviews individual loan files to identify servicing performance gaps and trends. Moody's consider the servicing arrangement to be adequate and Moody's did not make any adjustments to its loss levels based on Freddie Mac's servicer management. Third-party Review Moody's consider the scope of the TPR based on Freddie Mac's acquisition and QC framework to be adequate. Moody's assessed an adjustment to loss at a Aaa stress level due to lack of compliance review on TILA-RESPA Integrated Disclosure (TRID) violations. The results and scope of the pre-securitization third-party, loan-level review (due diligence) suggest a heavier reliance on sellers' representations and warranties (R&Ws) compared with private label securitizations. The scope of the TPR, for example, is weaker because the sample size is small (only 0.40% of the loans in reference pool are included in the sample). To the extent that the TPR firm classifies certain credit or valuation discrepancies as 'findings', Freddie Mac will review and may provide rebuttals to those findings, which could result in the change of event grades by the review firm. The third-party due diligence scope focuses on the following: Compliance: The diligence firm reviewed 400 loans for compliance with federal, state and local high cost Home Ownership and Equity Protection Act (HOEPA) regulations (379 loans were reviewed for compliance plus 21 loans were reviewed for both credit/valuation and compliance). None were determined to be noncompliant. Appraisals: The third-party diligence provider also reviewed property valuation on 1,500 loans in the sample pool (1,479 loans were reviewed for credit/valuation plus 21 loans were reviewed for both credit/valuation and compliance). 34 loans received final valuation grades of "C". 33 of the 34 loans are ACE loans and had Appraisal Desktop with Inspections (ADI) which did not support the original appraised value within the 10% tolerance. The valuation result is in line with the prior STACR transaction in terms of percentage of TPR sample. Moody's didn't make additional adjustment based on this result given we have already made property value haircuts to all ACE loans in the reference pool. Credit: The third-party diligence provider reviewed credit on 1,500 loans in the sample pool. Within these 1,500 loans, the diligence provider reviewed 1,479 loans for credit only, and 21 loans were reviewed for both credit/valuation and compliance. Five loans had final grades of "C" due to underwriting defects. These loans were removed from the transaction. The results were better than prior STACR transactions we rated. Data integrity: The third-party review firm analyzed the sample pool for data calculation and comparison to the imaged file documents. The review revealed 125 data discrepancies on 117 loans. Unlike private label RMBS transactions, a review of TRID violation was not part of Freddie Mac's due diligence scope. A lack of transparency regarding how many loans in the transaction contain material violations of the TRID rule is a credit negative. However, since Moody's expect overall losses on STACR transactions owing to TRID violations to be fairly minimal, Moody's only made a slight qualitative adjustment to losses under a Aaa scenario. Furthermore, lender R&Ws and the GSEs' ability to remove defective loans from the transactions will likely mitigate some of aforementioned concerns. Reps & Warranties Framework Freddie Mac is not providing loan level R&Ws for this transaction because the notes are a direct obligation of Freddie Mac. The reference obligations are subject to R&Ws made by the sellers. As such, Freddie Mac commands robust R&Ws from its seller/servicers pertaining to all facets of the loan, including but not limited to compliance with laws, compliance with all underwriting guidelines, enforceability, good property condition and appraisal procedures. Freddie Mac will be responsible for enforcing the R&Ws made by the sellers/lenders in the reference pool. To the extent that Freddie Mac discovers a confirmed underwriting defect or a major servicing defect, the respective loan will be removed from the reference pool. Since Freddie Mac retains a significant portion of the risk in the transaction, it will likely take necessary steps to address any breaches of R&Ws. For example, Freddie Mac undertakes quality control reviews and servicing quality assurance reviews of small samples of the mortgage loans that sellers deliver to Freddie Mac. These processes are intended to determine, among other things, the accuracy of the R&Ws made by the sellers in respect of the mortgage loans that are sold to Freddie Mac. Moody's made no adjustments to the transaction regarding the R&W framework. The notes We refer to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B notes as the original notes, and the 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-2, B-1AR, B-1AI, B-2AR and B-2AI notes as the Modifiable and Combinable REMICs (MACR) notes; together we refer to them as the notes. The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes. The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes. The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes. Classes M-2I , M-2AI, M-2BI, B-1AI and B-2AI are interest only notes referencing to the balances of Classes M-2, M-2A, M-2B, B-1A and B-2A, respectively. Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for two classes that are initially offered at closing. Moody's ratings of M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B only, disregarding the rating of M-2AI. This is the case because Class M-2AI's cash flow represents an insignificant portion of the overall promise. In the event Class M-2B gets written down through losses and Class M-2AI is still outstanding, Moody's would continue to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class M-2B's last outstanding rating so long as Classes M-2RB, M-2SB, M-2TB and M-2UB are still outstanding. Transaction Structure Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. Realized losses are allocated in a reverse sequential order starting with the Class B-3H reference tranche. Interest due on the notes is determined by the outstanding principal balance and the interest rate of the notes. The interest payment amount is the interest accrual amount of a class of notes minus any modification loss amount allocated to such class on each payment date, or plus any modification gain amount. The modification loss and gain amounts are calculated by taking the respective positive and negative difference between the original accrual rate of the loans, multiplied by the unpaid balance of the loans, and the current accrual rate of the loans, multiplied by the interest-bearing unpaid balance. So long as the senior reference tranche is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. The STACR 2021-HQA1 transaction allows for principal distribution to subordinate notes by the supplemental subordinate reduction amount even if performance triggers fail. The supplemental subordinate reduction amount equals the excess of the offered reference tranche percentage over 6.15%. The distribution of the supplemental subordinated reduction amount would reduce principal balances of the offered reference tranche and correspondingly limit the credit enhancement of class A-H reference tranche to be always below 6.15% plus the note balance of B-3H. This feature is beneficial to the offered certificates. Credit Events and Modification Events Reference tranche write-downs occur as a result of loan level credit events. A credit event with respect to any loan means any of the following events: (i) a short sale with respect to the related mortgaged property is settled, (ii) a related seriously delinquent mortgage note is sold prior to foreclosure, (iii) the mortgaged property that secured the related mortgage note is sold to a third party at a foreclosure sale, (iv) an REO disposition occurs, or (v) the related mortgage note is charged-off. As a result, the frequency of credit events will be the same as actual loan default frequency, and losses will impact the notes similar to that of a typical RMBS deal. Loans that experience credit events that are subsequently found to have an underwriting defect, a major servicing defect or are deemed ineligible will be subject to a reverse credit event. Reference tranche balances will be written up for all reverse credit events in sequential order, beginning with the most senior tranche that has been subject to a previous write-down. In addition, the amount of the tranche write-up will be treated as an additional principal recovery, and will be paid to noteholders in accordance with the cash flow waterfall. If a loan experiences a forbearance or mortgage rate modification, the difference between the original mortgage rate and the current mortgage rate will be allocated to the reference tranches as a modification loss. The Class B-3H reference tranche, which represents 0.25% of the pool, will absorb modification losses first. The final coupons on the notes will have an impact on the amount of interest available to absorb modification losses from the reference pool. Tail Risk Similar to prior STACR transactions, the initial subordination level of 3.25% is lower than the deal's minimum credit enhancement trigger level of 3.50%. The transaction begins by failing the minimum credit enhancement test, leaving the subordinate tranches locked out of unscheduled principal payments until the deal builds an additional 0.25% subordination. STACR 2021-HQA1 does not have a subordination floor. This is mitigated by the sequential principal payment structure of the deal, which ensures that the credit enhancement of the subordinate tranches is not eroded early in the life of the transaction. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. FREDDIE MAC 2021-HQA1: S&P Assigns B- (sf) on Class B-1B Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Freddie Mac STACR REMIC Trust 2021-HQA1's asset-backed notes. The note issuance is an RMBS transaction backed by fully amortizing, high loan-to-value, first-lien, fixed-rate residential mortgage loans secured by one-to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to mostly prime borrowers. The ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The credit quality of the collateral included in the reference pool--a majority of this collateral is covered by mortgage insurance backstopped by Freddie Mac; -- A REMIC structure that reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments, but, at the same time, pledges the support of Freddie Mac (a highly rated counterparty) to cover shortfalls, if any, on interest payments and to make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the deal's performance, which, in S&P's view, enhances the notes' strength; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework; and -- The impact that COVID-19 is likely to have on the U.S. economy and the U.S. housing market and the additional structural provisions included to address corresponding forbearance and subsequent defaults. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Freddie Mac STACR REMIC Trust 2021-HQA1 Class A-H(i), $60,933,083,834: NR Class M-1, $335,000,000: BBB (sf) Class M-1H(i), $137,349,486: NR Class M-2, $560,000,000: B+ Class M-2A, $280,000,000: BB+ (sf) Class M-2AH(i), $113,624,573: NR Class M-2B, $280,000,000: B+ (sf) Class M-2BH(i), $113,624,573: NR Class M-2R, $560,000,000: B+ (sf) Class M-2S, $560,000,000: B+ (sf) Class M-2T, $560,000,000: B+ (sf) Class M-2U, $560,000,000: B+ (sf) Class M-2I, $560,000,000: B+ (sf) Class M-2AR, $280,000,000: BB+ (sf) Class M-2AS, $280,000,000: BB+ (sf) Class M-2AT, $280,000,000: BB+ (sf) Class M-2AU, $280,000,000: BB+ (sf) Class M-2AI, $280,000,000: BB+ (sf) Class M-2BR, $280,000,000: B+ (sf) Class M-2BS, $280,000,000: B+ (sf) Class M-2BT, $280,000,000: B+ (sf) Class M-2BU, $280,000,000: B+ (sf) Class M-2BI, $280,000,000: B+ (sf) Class M-2RB, $280,000,000: B+ (sf) Class M-2SB, $280,000,000: B+ (sf) Class M-2TB, $280,000,000: B+ (sf) Class M-2UB, $280,000,000: B+ (sf) Class B-1, $223,000,000: B- (sf) Class B-1A, $111,500,000: B+ (sf) Class B-1AR, $111,500,000: B+ (sf) Class B-1AI, $111,500,000: B+ (sf) Class B-1AH(i), $45,949,829: NR Class B-1B, $111,500,000: B- (sf) Class B-1BH(i), $45,949,829: NR Class B-2, $268,000,000: NR Class B-2A, $134,000,000: NR Class B-2AR, $134,000,000: NR Class B-2AI, $134,000,000: NR Class B-2AH(i), $23,449,829: NR Class B-2B, $134,000,000: NR Class B-2BH(i), $23,449,829: NR Class B-3H(i), $157,449,829: NR (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of each of these tranches. NR--Not rated. FREDDIE MAC: Moody's Hikes 39 Tranches of RMBS Issued 2015-2017 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 39 tranches from five transactions issued by Freddie Mac between 2015 and 2017. These five transactions are actual loss credit risk transfer transaction. Additionally, Structured Agency Credit Risk (STACR) Debt Notes, Series 2017-HQA1 and Structured Agency Credit Risk (STACR) Debt Notes, Series 2017-HQA3 are high-LTV transactions that benefit from mortgage insurance (MI). A List of Affected Credit Ratings is available at: https://bit.ly/3dDvdGG The complete rating actions are as follows: Issuer: STACR 2017-HQA1 Cl. M-2A, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AR, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AS, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AT, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AI*, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AU, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2R, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2S, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2T, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2U, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2I*, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-DNA1 Cl. M-3, Upgraded to Aa2 (sf); previously on Mar 13, 2019 Upgraded to Aa3 (sf) Cl. M-3F, Upgraded to Aa2 (sf); previously on Mar 13, 2019 Upgraded to Aa3 (sf) Cl. M-3I*, Upgraded to Aa2 (sf); previously on Mar 13, 2019 Upgraded to Aa3 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-DNA2 Cl. M-3, Upgraded to Aa3 (sf); previously on Jun 13, 2019 Upgraded to A1 (sf) Cl. M-3F, Upgraded to Aa3 (sf); previously on Jun 13, 2019 Upgraded to A1 (sf) Cl. M-3I*, Upgraded to Aa3 (sf); previously on Jun 13, 2019 Upgraded to A1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2016-DNA1 Cl. M-3, Upgraded to A3 (sf); previously on Jan 25, 2019 Upgraded to Baa1 (sf) Cl. M-3F, Upgraded to A3 (sf); previously on Jan 25, 2019 Upgraded to Baa1 (sf) Cl. M-3I*, Upgraded to A3 (sf); previously on Jan 25, 2019 Upgraded to Baa1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2017-HQA3 Cl. M-2A, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AT, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AU, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AR, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2AS, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2B, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2BR, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba2 (sf) Cl. M-2BS, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba2 (sf) Cl. M-2BT, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba2 (sf) Cl. M-2BU, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba2 (sf) Cl. M-2R, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2S, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2T, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2U, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. M-2AI*, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. M-2BI*, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded to Ba2 (sf) Cl. M-2I*, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) *Reflects Interest Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. In these transactions, high prepayment rates, generally in the range of 30% - 50% over the past 6 months, driven by the low interest rate environment, have benefited the bonds by increasing the paydown and building credit enhancement. In addition, these transactions are structured with sequential principal distributions amongst the subordinate bonds. In Moody's analysis Moody's considered the additional risk posed by borrowers enrolled in payment relief programs. Moody's increased its MILAN model-derived median expected losses by 15% and its Aaa losses by 5% to reflect the performance deterioration resulting from a slowdown in US economic activity due to the COVID-19 outbreak. For transactions with more than 4% exposure to loans that are on payment relief and have not been cash-flowing for over three months, Moody's further increased the median expected losses for the respective pools. This loss increase was based on the assumption that 50% of such loans will incur a deferral of the missed payments or a modification to the loan terms. As loans remain enrolled in the payment relief programs for extended periods of time, it will become harder for such borrowers to make up all such missed payments and become current. As of November 2020, STACR 2017-HQA1 and STACR 2017-HQA3 have more than 4% exposure to such loans. Moody's identified loans granted payment relief based on a review of loan level cashflows over the last few months. In Moody's analysis, Moody's considered loans that: (1) were not liquidated but took a loss in the reporting period (to capture loans with monthly deferrals that were reported as current) or (2) have actual balances that increased or were unchanged in the reporting period, excluding interest-only loans and pay-ahead loans, to be loans under a payment relief program. Based on Moody's analysis, the proportion of borrowers in these GSE pools that are enrolled in payment relief plans ranged between 5% to 8% as of November 2020. In response to the COVID-19-spurred economic shock, the GSEs have enacted temporary policies that allow servicers to offer payment forbearance to borrowers impacted by COVID-19. The GSEs report these loans that are granted forbearance as delinquent for purposes of CRT transactions despite suspension of reporting borrowers to the credit bureaus. Additionally, delinquencies caused by COVID-19 qualify for "natural disaster" treatment, and these transactions provide a grace period for such loans before they are recognized as Credit Event Reference Obligation (when the loans become 180 day or more delinquent). These CRT transactions allocate losses based on actual losses incurred upon liquidation of defaulted mortgage loans in the reference pool (i.e., "actual loss" transaction) and these losses are allocated to bondholders, reverse sequentially. The delinquencies underlying the pools have risen due to impact of the pandemic and range between 2% to 6% as of November 2020. This has resulted in the deals failing their performance triggers, thus slowing down the amortization on the sequential pay bonds. Despite the recent slowdown in payment, the bonds have benefited from sustained prepayment and increases in credit enhancement. Moody's updated loss expectations on the pools incorporate, amongst other factors, its assessment of the due diligence findings of the third-party reviews received at the time of issuance. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous, and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. GS MORTGAGE 2006-GG8: Moody's Cuts Rating on A-J Certs to Ca(sf) ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes and downgraded the rating on one class in GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8 as follows: Cl. A-J, Downgraded to Ca (sf); previously on Oct 15, 2018 Affirmed Caa1 (sf) Cl. B, Affirmed C (sf); previously on Oct 15, 2018 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Oct 15, 2018 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Oct 15, 2018 Affirmed C (sf) Cl. X*, Affirmed C (sf); previously on Oct 15, 2018 Affirmed C (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on principal and interest (P&I) Cl. A-J was downgraded due to higher anticipated losses from the two specially serviced loans. Both of the remaining loans in pool are in special servicing and are either already REO (33% of the pool) or more than 90 days delinquent (67% of the pool). The ratings on three P&I classes were affirmed because the ratings are consistent with Moody's expected plus realized losses. The rating on the interest-only (IO) class, Cl. X, was affirmed based on the credit quality of the referenced classes. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of commercial real estate from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety Moody's rating action reflects a base expected loss of 82.0% of the current pooled balance, compared to 54.3% at Moody's last review. Moody's base expected loss plus realized losses is now 14.9% of the original pooled balance, compared to 13.7% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool or an increase in realized and expected losses from specially serviced loans. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior class. DEAL PERFORMANCE As of the February 12, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $246.8 million from $4.24 billion at securitization. The certificates are collateralized by two remaining specially serviced loans. Forty-seven loans have been liquidated from the pool, contributing to an aggregate realized loss of $429 million (for an average loss severity of 51%). The largest loan in the pool is the CA Headquarters Loan ($165.6 million -- 67.1% of the pool), which is secured by a 778,000 square foot (SF) suburban office property in Islandia, New York. The loan initially transferred to special servicing ahead of its initial August 2016 maturity date. The loan subsequently returned to the master servicer in May 2017 with a maturity date extension to October 2020 and an option to further extend the maturity to August 2021. The loan transferred back to special servicing in September 2020 and did not pay off at its October 2020 maturity date. The property is fully leased to CA Technologies (formerly Computer Associates) through August 2021, however, the property is vacant except for approximately 150,000 SF of subleased space. A recent valuation of the property indicates a value which is materially below the loan amount and the master servicer has recognized $121 million appraisal reduction. Special servicer commentary indicates a borrower proposal to modify and extend the loan again is being reviewed. The loan is last paid through its August 2020 payment date and Moody's anticipates a significant loss on this loan. The second specially serviced loan is the Fair Lakes Office Park Loan ($81.1 million -- 32.9% of the pool), which represents a pari passu portion of a $180.3 million senior mortgage loan. The loan is secured by a suburban office park in Fairfax, Virginia which at securitization consisted of nine properties totaling 1.3 million SF. The loan transferred to special servicing in June 2015 for imminent default. The servicer subsequently pursued foreclosure and the collateral is currently REO. The servicer has sold and released eight of the properties, leaving only one property as the remaining loan collateral, Fair Lakes VII (75,522 SF). A recent valuation of the property indicates a value which is materially below the loan amount and the loan has been deemed non-recoverable. Moody's estimates an aggregate $203 million loss for the specially serviced loans (82% expected loss on average). As of the February 2021 remittance statement, cumulative interest shortfalls for the outstanding classes were $76 million and impact all of the remaining classes in the pool. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. GS MORTGAGE 2015-GC32: Fitch Affirms B Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of GS Mortgage Securities Trust 2015-GC32 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- GSMS 2015-GC32 A-2 36250PAB1 LT AAAsf Affirmed AAAsf A-3 36250PAC9 LT AAAsf Affirmed AAAsf A-4 36250PAD7 LT AAAsf Affirmed AAAsf A-AB 36250PAE5 LT AAAsf Affirmed AAAsf A-S 36250PAH8 LT AAAsf Affirmed AAAsf B 36250PAJ4 LT AA-sf Affirmed AA-sf C 36250PAL9 LT A-sf Affirmed A-sf D 36250PAM7 LT BBB-sf Affirmed BBB-sf E 36250PAP0 LT BBsf Affirmed BBsf F 36250PAR6 LT Bsf Affirmed Bsf PEZ 36250PAK1 LT A-sf Affirmed A-sf X-A 36250PAF2 LT AAAsf Affirmed AAAsf X-B 36250PAG0 LT AA-sf Affirmed AA-sf X-D 36250PAN5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance: Overall performance and loss expectations for the majority of the pool remain stable. There are 18 Fitch Loans of Concern (FLOCs; 30.2% of pool), including five specially serviced loans (8.8%). Fitch's current ratings incorporate a base case loss of 4.1%. The Negative Rating Outlooks on classes D, E, F and X-D reflect losses could reach 7.4% when factoring in additional stresses related to the coronavirus pandemic. Largest Contributors to Loss: The largest contributor to loss is the Bassett Place loan (7% of pool), which is secured by a 598,472-sf power center, located in El Paso, TX. The property was built as a regional mall and has been re-positioned as a power center over time. The center is leased to approximately 60+ tenants; the largest are Target (19.7% NRA), Kohls (14% NRA) and Premiere Cinema (10.3% NRA). YE19 in-line sales were reported at $344 psf. The servicer reported YTD October 2020 NOI DSCR was 1.44x, compared with 1.36x at YE19. Occupancy was 96%, as of the October 2020 rent roll. There is a limited tenant roll until 2022, when 28.6% of the NRA has lease maturities. Fitch applied a 20% haircut to the YE19 NOI due to concerns about the impact of the coronavirus pandemic on the center's performance. The next largest contributor to loss is the Fig Garden Village Loan (8.2%), which is secured by a 301,671-sf, grocery-anchored open-aired lifestyle center located in Fresno, CA. The property is anchored by Whole Foods (10.2% of NRA, recently extended through 2025). There are approximately 50 other tenants at the property, including CVS, Pottery Barn, Banana Republic, Starbucks and Chipotle. TTM September 2020 sales at Whole Foods were $957 psf, compared with $945 psf at issuance. The servicer-reported September 2020 NOI DSCR was 1.88x, compared with 2.20x at YE19. The loan began amortizing in June 2020. Occupancy at the subject was 90%, as of September 2020 rent roll. Approximately 18% of the NRA rolls through 2021. Rents have historically been above market levels. Fitch applied a 20% haircut to the YE19 NOI due to concerns about the upcoming rollover as well as the impact of the pandemic on the center's performance. The third largest contributor to loss is the JW Marriott Cherry Creek loan (6.7%), which is secured by a 196-key full-service hotel located in Denver, CO. The loan, which has been designated a FLOC, has been substantially affected by the ongoing pandemic with negative cash flow, as of YTD September 2020. Per the September 2020 STR report, the subject hotel had TTM occupancy, ADR and RevPAR rates of 54%, $228 and $123, respectively. RevPAR is down 32.6% year over year. RevPAR at issuance was $212. The hotel underwent a significant renovation in 2019 and had not stabilized prior to the onset of the pandemic. Fitch applied a 26% haircut to the servicer-reported YE18 NOI to account for the impact of the coronavirus pandemic. The next largest contributor to loss is the Cypress Retail Center loan (2.2%), which is secured by a 74,289-sf neighborhood retail center located in Cypress, CA. Office Depot (24.2% of NRA) vacated at its YE20 lease maturity. The largest tenant is 24 Hour Fitness, which requested relief related to the ongoing pandemic. According to its website, 24 Hour Fitness is currently operating outdoors. As of 2Q20, the servicer reported NOI DSCR was 0.98x, compared with 1.44x at YE19. Fitch applied a 30% haircut to the servicer-reported YE19 NOI to account for the loss of Office Depot and the impact to cash flow from the pandemic. The next largest contributor to loss is the special servicing Hilton Garden Inn Pittsburgh/Southpointe loan (3.2%), which is secured by a 175-key limited-service hotel located in Canonberg, PA. The loan transferred to special servicing in June 2020 for payment default. According to servicer updates, modification discussions are ongoing. Property performance had begun to decline prior to the pandemic due to the slowdown in the local fracking industry. Per the YE20 STR report, the hotel had TTM occupancy, ADR and RevPAR rates of 26%, $99 and $25, respectively, compared with the TTM October 2019 figures of 60%, $118 and $71. RevPAR at issuance was $96. Minimal Change in Credit Enhancement, Increased Defeasance: As of the January 2021 distribution date, the pool's aggregate principal balance was reduced by 10.8% to $895 million from $1 billion at issuance. Five loans (18.5% of pool) are fully defeased, including 16.5% over the last year. There have been no realized losses to date, and interest shortfalls are currently affecting the non-rated class. Six loans (7.1%) are full-term interest-only (IO), and one loan (5.8%) remains in its partial IO period. One loan (0.9%) was scheduled to mature in February 2021, but the loan was modified and the maturity date was extended to July 2022. The remainder of the pool matures between April 2025 and July 2025. Coronavirus Exposure: Significant economic impact to certain hotels, and retail and multifamily properties is expected due to the pandemic and the lack of clarity at this time on the potential length of the impact. Twenty-eight loans are collateralized by retail properties (40.1% of pool), seven by hotels (16.3%) and six (7%) by multifamily properties. Fitch's base case analysis applied additional stresses to 13 retail and seven hotel loans due to their vulnerability to the coronavirus pandemic; this contributed to the Negative Rating Outlooks. RATING SENSITIVITIES The Stable Outlooks reflect the class' sufficient credit enhancement (CE) relative to expected losses as well as the stable performance of the majority of the pool and expected continued amortization. The Negative Rating Outlooks reflect concerns over the FLOCs as well as the unknown impact of the pandemic on the overall pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades to classes B and C would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of the FLOCs, could reverse this trend. An upgrade to class D is considered unlikely and would be limited based on sensitivity to concentrations or further adverse selection. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. An upgrade to classes E and F is not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and if there is sufficient CE to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to classes A-2 through A-S are not likely due to their position in the capital structure and the high CE; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to class B and C would occur if loss expectations increase significantly and/or should CE be eroded. Downgrades to classes D, E and F would occur if the performance of the FLOC continues to decline and/or fail to stabilize, or should losses from specially serviced loans/assets be larger than expected. In addition to its baseline scenario, Fitch envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that classes assigned a Negative Rating Outlook will be downgraded one or more categories and additional classes may be downgraded or have their Rating Outlooks revised to Negative. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2021-PJ2: DBRS Gives Prov. B Rating on Class B-5 Certs ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2021-PJ2 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2021-PJ2: -- $363.5 million Class A-1 at AAA (sf) -- $363.5 million Class A-2 at AAA (sf) -- $43.0 million Class A-3 at AAA (sf) -- $43.0 million Class A-4 at AAA (sf) -- $272.6 million Class A-5 at AAA (sf) -- $272.6 million Class A-6 at AAA (sf) -- $90.9 million Class A-7 at AAA (sf) -- $90.9 million Class A-8 at AAA (sf) -- $406.4 million Class A-9 at AAA (sf) -- $406.4 million Class A-10 at AAA (sf) -- $406.4 million Class A-X-1 at AAA (sf) -- $363.5 million Class A-X-2 at AAA (sf) -- $43.0 million Class A-X-3 at AAA (sf) -- $272.6 million Class A-X-5 at AAA (sf) -- $90.9 million Class A-X-7 at AAA (sf) -- $6.4 million Class B-1 at AA (sf) -- $5.8 million Class B-2 at A (sf) -- $4.3 million Class B-3 at BBB (sf) -- $1.3 million Class B-4 at BB (sf) -- $1.1 million Class B-5 at B (sf) Classes A-X-1, A-X-2, A-X-3, A-X-5, and A-X-7 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-4, A-6, A-8, A-9, A 10, and A-X-2 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 4.95% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.45%, 2.10%, 1.10%, 0.80%, and 0.55% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 435 loans with a total principal balance of $427,613,235 as of the Cut-Off Date (February 1, 2021). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of two months. Approximately 99.3% of the pool is traditional, nonagency, prime jumbo mortgage loans. The remaining 0.7% of the pool is conforming, high-balance mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related presale report. The originators for the mortgage pool are CrossCountry Mortgage LLC (33.1%), Guaranteed Rate, Inc. (26.0%), and various other originators, each comprising less than 15.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. For certain originators, the related loans were sold to MAXEX Clearing LLC (6.3%) and were subsequently acquired by the Mortgage Loan Seller. NewRez LLC doing business as Shellpoint Mortgage Servicing will service the mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure. For this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, five loans (0.8% of the pool) had been granted forbearance plans because the borrowers reported financial hardship related to the Coronavirus Disease (COVID-19) pandemic. These forbearance plans allow temporary payment holidays followed by repayment once the forbearance period ends. As of the Cut-Off Date, all five loans satisfied their forbearance plans and are current. Furthermore, none of the loans in the pool are on active coronavirus forbearance plans. CORONAVIRUS PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario, for the prime asset class, DBRS Morningstar assumes a combination of higher unemployment rates and more conservative home price assumptions than those DBRS Morningstar previously used. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, a satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional weaknesses that include the R&W framework, entities lacking financial strength or securitization history, the servicer's financial capabilities, and borrowers on forbearance plans. Notes: All figures are in U.S. dollars unless otherwise noted. GULF STREAM 3: S&P Assigns BB- (sf) Rating on $12MM Class D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Gulf Stream Meridian 3 Ltd./Gulf Stream Meridian 3 LLC's floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Gulf Stream Meridian 3 Ltd./Gulf Stream Meridian 3 LLC Class A-1, $249.60 million: AAA (sf) Class A-2, $50.40 million: AA (sf) Class B (deferrable), $27.00 million: A (sf) Class C (deferrable), $25.00 million: BBB- (sf) Class D (deferrable), $12.00 million: BB- (sf) Subordinated notes, $35.00 million: not rated JP MORGAN 2021-3: Moody's Gives (P)B3 Rating on Class B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 51 classes of residential mortgage-backed securities issued by J.P. Morgan Mortgage Trust (JPMMT) 2021-3. The ratings range from (P)Aaa (sf) to (P)B3 (sf). The certificates are backed by 1,179 fully-amortizing fixed-rate mortgage loans with a total balance of $1,098,975,861 as of the January 31, 2020 cut-off date. The loans have original terms to maturity of up to 30 years. JPMMT 2021-3 includes predominantly prime jumbo non-agency eligible (97.8%) and GSE eligible (2.2%) mortgages purchased by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC), the sponsor and mortgage loan seller, from various originators and MaxEx Clearing, LLC (MaxEx). The characteristics of the mortgage loans underlying the pool are generally comparable to those of other JPMMT transactions backed by prime mortgage loans that Moody's have rated. As of the cut-off date, no borrower under any mortgage loan is in a COVID-19 related forbearance plan with the servicer. However, two borrowers had previously entered a COVID-19 related forbearance plan but continued making timely interest and principal payments without going delinquent. Approximately 39.1% of the loans in the pool are purchased from MaxEx. Guaranteed Rate Inc, together with its affiliates Guaranteed Affinity, LLC & Proper Rate, LLC, and Finance of America Mortgage, LLC originated approximately 13.7% and 10.7% of the mortgage loans (by balance), respectively in the pool. All other originators accounted for less than 10% of the pool by balance. With respect to the mortgage loans, each originator and MaxEx, as applicable, made a representation and warranty (R&W) that the mortgage loan constitutes a qualified mortgage (QM) under the QM rule. NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint") will interim service approximately about 90.9%, loanDepot.com, LLC (loanDepot) will service about 8.1% (subserviced by Cenlar, FSB), Johnson Bank will service about 0.8%, First Republic will service about 0.1% and USAA Federal Savings Bank (USAA) will service about 0.1% (subserviced by Nationstar). Shellpoint will act as interim servicer from the closing date until the servicing transfer date, which is expected to occur on or about April 1, 2021 (but which may occur after such date). After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association, (JPMCB). The servicing fee for loans serviced by JPMCB (Shellpoint, until the servicing transfer date) and loanDepot will be based on a step-up incentive fee structure and additional fees for servicing delinquent and defaulted loans. Johnson Bank, First Republic Bank, and USAA Federal Savings Bank ("USAA") have a fixed fee servicing framework. Nationstar Mortgage LLC (Nationstar) will be the master servicer and Citibank, N.A. (Citibank) will be the securities administrator and Delaware trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Three third-party review (TPR) firms verified the accuracy of the loan level information. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. Distributions of principal and interest (P&I) and loss allocations are based on a typical shifting interest structure that benefits from senior and subordination floors. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In coding the cash flow, Moody's took into account the step-up incentive servicing fee structure. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2021-3 Cl. A-1, Rating Assigned (P)Aaa (sf) Cl. A-2, Rating Assigned (P)Aaa (sf) Cl. A-3, Rating Assigned (P)Aaa (sf) Cl. A-3-A, Rating Assigned (P)Aaa (sf) Cl. A-3-X*, Rating Assigned (P)Aaa (sf) Cl. A-4, Rating Assigned (P)Aaa (sf) Cl. A-4-A, Rating Assigned (P)Aaa (sf) Cl. A-4-X*, Rating Assigned (P)Aaa (sf) Cl. A-5, Rating Assigned (P)Aaa (sf) Cl. A-5-A, Rating Assigned (P)Aaa (sf) Cl. A-5-X*, Rating Assigned (P)Aaa (sf) Cl. A-6, Rating Assigned (P)Aaa (sf) Cl. A-6-A, Rating Assigned (P)Aaa (sf) Cl. A-6-X*, Rating Assigned (P)Aaa (sf) Cl. A-7, Rating Assigned (P)Aaa (sf) Cl. A-7-A, Rating Assigned (P)Aaa (sf) Cl. A-7-X*, Rating Assigned (P)Aaa (sf) Cl. A-8, Rating Assigned (P)Aaa (sf) Cl. A-8-A, Rating Assigned (P)Aaa (sf) Cl. A-8-X*, Rating Assigned (P)Aaa (sf) Cl. A-9, Rating Assigned (P)Aaa (sf) Cl. A-9-A, Rating Assigned (P)Aaa (sf) Cl. A-9-X*, Rating Assigned (P)Aaa (sf) Cl. A-10, Rating Assigned (P)Aaa (sf) Cl. A-10-A, Rating Assigned (P)Aaa (sf) Cl. A-10-X*, Rating Assigned (P)Aaa (sf) Cl. A-11, Rating Assigned (P)Aaa (sf) Cl. A-11-X*, Rating Assigned (P)Aaa (sf) Cl. A-11-A, Rating Assigned (P)Aaa (sf) Cl. A-11-AI, Rating Assigned (P)Aaa (sf) Cl. A-11-B, Rating Assigned (P)Aaa (sf) Cl. A-11-BI, Rating Assigned (P)Aaa (sf) Cl. A-12, Rating Assigned (P)Aaa (sf) Cl. A-13, Rating Assigned (P)Aaa (sf) Cl. A-14, Rating Assigned (P)Aaa (sf) Cl. A-15, Rating Assigned (P)Aaa (sf) Cl. A-16, Rating Assigned (P)Aaa (sf) Cl. A-17, Rating Assigned (P)Aaa (sf) Cl. A-X-1*, Rating Assigned (P)Aaa (sf) Cl. A-X-2*, Rating Assigned (P)Aaa (sf) Cl. A-X-3*, Rating Assigned (P)Aaa (sf) Cl. A-X-4*, Rating Assigned (P)Aaa (sf) Cl. B-1, Rating Assigned (P)Aa3 (sf) Cl. B-1-A, Rating Assigned (P)Aa3 (sf) Cl. B-1-X*, Rating Assigned (P)Aa3 (sf) Cl. B-2, Rating Assigned (P)A3 (sf) Cl. B-2-A, Rating Assigned (P)A3 (sf) Cl. B-2-X*, Rating Assigned (P)A3 (sf) Cl. B-3, Rating Assigned (P)Baa3 (sf) Cl. B-4, Rating Assigned (P)Ba3 (sf) Cl. B-5, Rating Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Moody's expected loss for this pool in a baseline scenario-mean is 0.28%, in a baseline scenario-median is 0.14%, and reaches 2.87% at a stress level consistent with our Aaa ratings. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous, and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around our forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (9.8% for the mean) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from of a slowdown in US economic activity due to the coronavirus outbreak. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence, and the R&W framework of the transaction. Collateral Description JPMMT 2021-3 is a securitization of a pool of 1,179 fully-amortizing fixed-rate prime jumbo non-conforming (97.8%) and GSE-eligible conforming (2.2%) mortgage loans with a total balance of $1,098,975,861 as of the cut-off date, with a weighted average (WA) remaining term to maturity of 357 months, and a WA seasoning of 2 months. The WA original FICO score is 784 and the WA original combined loan-to-value ratio (CLTV) is 69.6%. About 4.0% and 16.5% (by loan balance) of mortgage loans were originated through correspondent and broker channels, respectively. The borrowers have high monthly income (about $32,451 on WA. average), and significant liquid cash reserve (about $377,861 on average), all of which have been verified as part of the underwriting process and reviewed by the third-party review firms. The GSE-eligible loans have an average balance of $679,165 compared to the average GSE balance of approximately $238,000. The higher conforming loan balance is attributable to the greater amount of properties located in high-cost areas, such as the metro areas of Los Angeles, San Francisco and New York City. The GSE-eligible loans, which make up about 2.2% of the JPMMT 2021-3 pool by loan balance, were underwritten pursuant to GSE guidelines and were approved by DU/LP. All the loans are subject to the QM and Ability-to-Repay (ATR) rules. Overall, the characteristics of the loans underlying the pool are generally comparable to those of other JPMMT transactions backed by prime mortgage loans that Moody's have rated. Aggregation/Origination Quality Moody's consider JPMMAC's aggregation platform to be adequate and Moody's did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing JPMMAC as an aggregator, Moody's have also reviewed the originator(s) contributing a significant percentage of the collateral pool (above 10%) and MaxEx. Additionally, Moody's did not make an adjustment for GSE-eligible loans, since those loans were underwritten in accordance with GSE guidelines. Moody's increased its base case and Aaa loss expectations for certain originators of non-conforming loans where Moody's do not have clear insight into the underwriting practices, quality control and credit risk management. Servicing Arrangement Moody's considers the overall servicing arrangement for this pool to be adequate given the strong servicing arrangement of the servicers, as well as the presence of a strong master servicer to oversee the servicers. The servicers are contractually obligated to the issuing entity to service the related mortgage loans. However, the servicers may perform their servicing obligations through sub-servicers. In this transaction, Nationstar Mortgage LLC (Nationstar Mortgage Holdings Inc. corporate family rating B2) will act as the master servicer. The servicers are required to advance P&I on the mortgage loans. To the extent that the servicers are unable to do so, the master servicer will be obligated to make such advances. In the event that the master servicer, Nationstar, is unable to make such advances, the securities administrator, Citibank, N.A. (rated Aa3) will be obligated to do so to the extent such advance is determined by the securities administrator to be recoverable. COVID-19 Impacted Borrowers As of the cut-off date, 0.19% of the borrowers had entered into a COVID-19 related forbearance plan with the servicer but are no longer active. However, these borrowers continued to pay their contractual principal and interest obligations while in the forbearance plan and were never delinquent. JPMMAC will be removing any mortgage loan with respect to which the related borrower requests or enters into a COVID-19 related forbearance plan after the cut-off date but on or prior to the closing date, which would be a closing date substitution amount treated like a prepayment at month one. In the event that after the closing date a borrower enters into or requests a COVID-19 related forbearance plan, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. Typically, the borrower must contact the servicer and attest they have been impacted by a COVID-19 hardship and that they require payment assistance. The servicer will offer an initial forbearance period to the borrower, which can be extended if the borrower attests that they require additional payment assistance. At the end of the forbearance period, if the borrower is unable to make the forborne payments on such mortgage loan as a lump sum payment or does not enter into a repayment plan, the servicer may defer the missed payments, which could be added as a non-interest-bearing payment due at the end of the loan term. If the borrower can no longer afford to make payments in line with the original loan terms, the servicer would typically work with the borrower to modify the loan (although the servicer may utilize any other loss mitigation option permitted under the pooling and servicing agreement with respect to such mortgage loan at such time or any time thereafter). However, it should be noted that servicing practices, including tracking COVID-19-related loss mitigation activities, may vary among servicers in this particular transaction. These inconsistencies could impact reported collateral performance and affect the timing of any breach of performance triggers, servicer advance recoupment, the extent of servicer fees, and additional expenses for R&W breach reviews when loans become seriously delinquent. Servicing Fee Framework The servicing fee for loans serviced by JPMCB (and Shellpoint, until the servicing transfer date) and loanDepot will be based on a step-up incentive fee structure with a monthly base fee of $40 per loan and additional fees for delinquent or defaulted loans. Johnson Bank, and USAA will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans. By establishing a base servicing fee for performing loans that increases when loans become delinquent, the fee-for-service structure aligns monetary incentives to the servicer with the costs of servicing. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less costly and labor-intensive. The fee-for-service compensation is reasonable and adequate for this transaction because it better aligns the servicer's costs with the deal's performance. Furthermore, higher fees for the more labor-intensive tasks make the transfer of these loans to another servicer easier, should that become necessary. The incentive structure includes an initial monthly base servicing fee of $40 for all performing loans and increases according to a pre-determined delinquent and incentive servicing fee schedule. The delinquent and incentive servicing fees will be deducted from the available distribution amount and Class B-6 net WAC. The transaction does not have a servicing fee cap, so, in the event of a servicer replacement, any increase in the base servicing fee beyond the current fee will be paid out of the available distribution amount. Third-Party Review Three TPR firms, AMC Diligence, LLC (AMC), Clayton Services, LLC (Clayton), and Inglet Blair, LLC (IB) (collectively, TPR firms) reviewed 100% of the loans in this transaction for credit, regulatory compliance, property valuation, and data accuracy. Each mortgage loan was reviewed by only one of the TPR firms and each TPR firm produced one or more reports detailing its review procedures and the related results. The TPR results indicated compliance with the originators' underwriting guidelines for majority of loans, no material compliance issues, and no material appraisal defects. Overall, the loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, or clean payment histories. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations related to fees that were out of variance but then were cured and disclosed. In addition, there are twelve loans (1.2% by balance) that have exterior only appraisal due to COVID-19, instead of full appraisal. These exterior-only loans are all non-conforming loans, underwritten through Guaranteed Rate's guidelines except one loan which is underwritten to Supreme Lending's guidelines. Since the exterior-only appraisal only covers the outside of the property there is a risk that the property condition cannot be verified to the same extent had the appraiser been provided access to the interior of the home. Also, two loans representing 0.2% of pool balance are appraisal waiver loans. These loans do not have a traditional appraisal but instead an estimate of value or sales price is provided, typically, by the seller. Moody's did not make any specific adjustment for exterior-only appraisal or appraisal waiver loans since they make a de minimis portion of the pool. The TPR firms compared third-party valuation products to the original appraisals. Property valuation was conducted using a third-party collateral desk appraisal (CDA), field review and automated valuation model (AVM) or a Collateral Underwriter (CU) risk score. For a portion of the mortgage loans in the pool, a CDA or a field review or AVM was not provided and had a CU risk score less than or equal to 2.5. Moody's consider the use of CU risk score for non-conforming loans to be credit negative due to (1) the lack of human intervention which increases the likelihood of missing emerging risk trends, (2) the limited track record of the software and limited transparency into the model and (3) GSE focus on non-jumbo loans which may lower reliability on jumbo loan appraisals. Moody's did not apply an adjustment to the loss for such loans because (i) the statistically significant sample size and valuation results of the loans that were reviewed using a third-party valuation product such as a CDA and field review is sufficient, (ii) the original appraisal balances for non-conforming loans (average of approximately $1.4 million) were not significantly higher than that of appraisal values for GSE-eligible loans and (iii) the borrowers of such loans have strong credit characteristics including high FICO scores, low LTV and adequate reserves. R&W Framework JPMMT 2021-3's R&W framework is in line with that of other JPMMT transactions where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Moody's review of the R&W framework considers the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyze the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Moody's applied an adjustment to all R&W providers that are unrated and/or financially weaker entities. For loans that JPMMAC acquired via the MaxEx platform, MaxEx under the assignment, assumption and recognition agreement with JPMMAC, will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and assigned to the trust are in line with the R&Ws found in other JPMMT transactions, hence Moody's applied the same adjustment as other loans in the pool. No other party will backstop or be responsible for backstopping any R&W providers who may become financially incapable of repurchasing mortgage lxans. With respect to the mortgage loan R&Ws made by such originators or MaxEx, as applicable, as of a date prior to the closing date, JPMMAC will make a "gap" representation covering the period from the date as of which such R&W is made by such originator or MaxEx, to the cut-off date or closing date, as applicable. Additionally, no party will be required to repurchase or substitute any mortgage loan until such loan has gone through the review process. Trustee and Master Servicer The transaction Delaware trustee is Citibank. The custodian's functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Citibank. Nationstar, as master servicer, is responsible for servicer oversight, servicer termination and for the appointment of any successor servicer. In addition, Nationstar is committed to act as successor if no other successor servicer can be found. The master servicer is required to advance P&I if the servicer fails to do so. If the master servicer fails to make the required advance, the securities administrator is obligated to make such advance. Transaction Structure The transaction has a shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bonds have been reduced to zero i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. In addition, the pass-through rate on the bonds (other than the Class A-R Certificates) is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. In the event that there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero. The Class A-11, Class A-11-A, Class A-11-B Certificates will have a pass-through rate that will vary directly with the SOFR rate and the Class A-11-X Certificates will have a pass-through rate that will vary inversely with the SOFR rate. Tail Risk & Subordination Floor This deal has a standard shifting interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 0.55% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. The subordinate bonds benefit from a floor as well. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 0.50% of the original pool balance, those tranches that are junior to it do not receive principal distributions. The principal those tranches would have received is directed to pay more senior subordinate bonds pro-rata. In addition, until the aggregate class principal amount of the senior certificates (other than the interest only certificates) is reduced to zero, if on any distribution date, the aggregate subordinate percentage for such distribution date drops below 6.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor is equal to an amount which is the sum of the balance of the six largest loans at closing multiplied by the higher of their corresponding MILAN Aaa severity or a 35% severity. The credit neutral floor for Aaa rating is $6,044,367. The senior subordination floor of 0.55% and subordinate floor of 0.50% are consistent with the credit neutral floors for the assigned ratings. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. JPMBB COMMERCIAL 2014-C24: Fitch Cuts Rating on 2 Tranches to CC ---------------------------------------------------------------- Fitch Ratings has affirmed 10 and downgraded eight classes of JPMBB Commercial Mortgage Securities Trust 2014-C24. Fitch has also revised the Rating Outlook to Negative from Stable on classes A-S, B, X-A and X-B1. DEBT RATING PRIOR ---- ------ ----- JPMBB 2014-C24 A-2 46643GAB6 LT AAAsf Affirmed AAAsf A-3 46643GAC4 LT AAAsf Affirmed AAAsf A-4A1 46643GAD2 LT AAAsf Affirmed AAAsf A-4A2 46643GAQ3 LT AAAsf Affirmed AAAsf A-5 46643GAE0 LT AAAsf Affirmed AAAsf A-S 46643GAJ9 LT AAAsf Affirmed AAAsf A-SB 46643GAF7 LT AAAsf Affirmed AAAsf B 46643GAK6 LT AA-sf Affirmed AA-sf C 46643GAL4 LT BBBsf Downgrade A-sf D 46643GAY6 LT B-sf Downgrade BBB-sf E 46643GBA7 LT CCCsf Downgrade Bsf EC 46643GAM2 LT BBBsf Downgrade A-sf F 46643GBC3 LT CCsf Downgrade CCCsf X-A 46643GAG5 LT AAAsf Affirmed AAAsf X-B1 46643GBJ8 LT AA-sf Affirmed AA-sf X-B2 46643GAH3 LT B-sf Downgrade BBB-sf X-C 46643GAS9 LT CCCsf Downgrade Bsf X-D 46643GAU4 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increase in Loss Expectations: Loss expectations have increased primarily due to increased losses associated with the largest loan in the pool, The Mall of Victor Valley. Additionally, Fitch has modeled higher losses to certain loans stemming from the coronavirus pandemic. Fitch identified nine loans (45.1%) as Fitch Loans of Concern (FLOCs), including the four specially serviced loans (17.9%), three of which transferred since the last rating action. Fitch's current ratings incorporate a base case loss of 11%. Fitch's analysis also included additional sensitivities that indicate losses could reach 13.9%. These additional sensitivities relate to effects of the pandemic on several property types as well as an outsized loss on the largest FLOC in the pool, The Mall of Victor Valley. FLOCs: The largest contributor to losses remains the North Riverside Park Mall (6.3%). The loan transferred to special servicing in August 2019 after the borrower indicated they would not be able to refinance at the October 2019 loan maturity. The collateral is the 424,000-sf portion of a 1.1 million-sf regional mall located in Riverside, IL, just west of Chicago. The mall is anchored by non-collateral tenant JCPenney; former non-collateral anchor tenants included Sears and Carson Pirie Scott, which vacated in September 2020 and August 2018, respectively. A portion of the former Sears space is now leased to Round 1 Entertainment. The largest collateral tenant, Classic Cinema 6 (6.8% NRA; 2% base rent), extended its lease until October 2026. As of the October 2020 rent roll, the collateral was 85% occupied. The special servicer has reported it will dual track foreclosure with a potential loan modification once the Illinois moratorium on foreclosure actions expires. Fitch's expected losses of approximately 66% are based on a discount to the updated appraisal value provided by the special servicer and imply a cap rate of 30% to the TTM June 2019 cash flow. The second largest contributor to loss expectations, and the largest increase in loss expectations, is The Mall of Victor Valley (10.7%), secured by the 485,000-sf portion of a 580,000-sf regional mall located in Victorville, CA. The mall is anchored by a Macy's (non-collateral) and collateral tenants JCPenney, Cinemark Theater and Dick's Sporting Goods. Former collateral anchor Sears (16% NRA) closed in February 2020. With the loss of Sears, property occupancy is expected to fall to approximately 80% from 99% at YE19. Additionally, the second largest collateral tenant Cinemark (13% NRA) has a lease expiration in November 2021; Fitch assumed this tenant will likely vacate. Fitch has inquired about co-tenancy clauses related to the anchor tenants but is still awaiting a response. Tenant sales have decreased to $379 psf as of the September 2020 TTM from $581 psf as of the September 2019 TTM. The mall was closed for two separate stints, from March to May and from July to September, as a result of measures in place related to the pandemic. Fitch's analysis includes a 20% cap rate and a 20% NOI haircut to reflect concerns about mall performance, which resulted in a loss severity of approximately 30%. The third largest contributor to loss expectations, Hilton Houston Post Oak (3.1%), transferred to special servicing in May 2020 at the borrower's request. The loan is secured by the leasehold interest in a 15-story, 448-key full-service hotel located in Houston, TX, one block north of the Houston Galleria mall. The hotel's management agreement with Hilton expires in 2035. The property is subject to an unsubordinated ground lease that expires in 2068. The hotel had been struggling pre-pandemic due to the market's exposure to the oil and gas sector. As of the September 2020 TTM, occupancy was 45%, down from 74% at YE19. Fitch's modeled loss of 29% is based on a discount to a recent valuation from the special servicer. Canyon Ranch Portfolio (2.7%) is secured by a portfolio of two Canyon Ranch destination resorts and spas, one located in Tucson, AZ and the other in Lenox, MA. The properties have struggled as a result of the adverse impact of the coronavirus pandemic on leisure travel and closed in March 2020. The properties generated negative NOI for the September 2020 TTM period, and combined portfolio occupancy fell to 43%, from 54% at YE19 and 59% at YE18. The loan was granted payment relief that allowed the borrower to utilize reserves to service debt for the months of April through August 2020. The Tucson property reopened in August 2020 and has remained open. The Lenox property reopened in July 2020 but closed again in January 2021 and is expected to remain closed until April 1, 2021 in accordance with Massachusetts guidelines. Fitch's base case analysis includes a 26% stress on NOI to account for the severe impact of the pandemic on the lodging/leisure industry. This stress resulted in an approximately 19% loss severity. Kenwood City Retail (2.1%) is secured by two adjacent retail properties located in Cincinnati, OH, approximately 12 miles north of the CBD and in close proximity to the Kenwood Towne Center, the leading regional mall in the market. The largest tenants are LA Fitness (51% NRA, expires December 2029) and Cooper's Hawk Winery and Restaurant (13% NRA, expires December 2023). Occupancy fell to 83.5% as of the September 2020 rent roll from 98% at YE17, due to the loss of three tenants, the largest of which (7.6% NRA) vacated at lease expiration in January 2019. As a result of the occupancy decline, NOI also declined, by 14% over the same period. Fitch modeled a loss of 15%. Specially Serviced Assets: The largest loan in special servicing, 635 Madison Avenue (8.2%), is secured by the leasehold interest in a 176,000-sf office property with ground-floor retail, located in Midtown Manhattan near East 59th Street. The ground lease commenced in January 1955 and is set to expire in April 2030, but does have a 21-year extension option. The loan transferred to special servicing in August 2020 for payment default. There is currently a moratorium on foreclosure in New York State. Once the moratorium expires, the special will reportedly begin dual tracking foreclosure with other possible workout options. The fourth specially serviced loan, Anchor Industrial Park (0.3%), is secured by a 119,000-sf industrial/flex property located in Cheektowaga, NY, approximately 8 miles east of Buffalo. The loan transferred in November 2020 due to borrower disputes related to the amount of funds charged to the loan reserve accounts and other servicing issues. As of the December 2020 rent roll, the property was 100% occupied, and the third largest tenant, Crystal Rock LLC (18% NRA), is currently negotiating a renewal on their lease, which expires in September 2021. The two remaining FLOCs are within the top 15. The largest, Columbus Square Portfolio (8.6%), is secured by five retail units and a parking garage located in the Upper West Side of Manhattan. This loan was flagged as a FLOC due to the loss of several tenants. Petco (3.5%) expired at lease expiration in October 2020; that space is currently being marketed. Modell's (4.3% NRA) had a lease expiration in July 2020 but closed in February 2020 due to bankruptcy proceedings. The Modell's space has been replaced by Target, with a lease effective date in June 2020. The Target is not yet open, although the master servicer has confirmed they are expected to open in June 2021. Lastly, Michael's (6.3% NRA) closed in January 2021, but is expected to honor its rental obligations through lease expiration in March 2022. Factoring in the Petco & Michael's vacancies and adding back the Target lease, occupancy is expected to be about 89%, down from 98.5% at YE19. Oakland Square and Oakland Plaza (3%) is secured by two adjacent retail centers totaling 392,000 sf located in Troy, MI, approximately 16 miles north of the Detroit CBD. The loan transferred to the special servicer in July 2020 due to Covid-19 issues. It has since been returned to the master servicer in December 2020 with a forbearance agreement. The terms of the forbearance allowed the borrower to utilize funds from the leasing reserve for up to 50% of debt service payments, monthly tax deposits and insurance deposits for six months (July-December 2020). The agreement also allowed for deferral of 50% of leasing reserve and replacement reserve payments for six months (July-December 2020). The loan is currently in the repayment period for the deferred payments, which runs through January-December 2021. Fitch will continue to monitor loan performance to ensure the loan remains performing. Minimal Improvements in Credit Enhancement: There have been limited improvements in credit enhancement (CE) since Fitch's previous rating action. As of the January 2021 distribution date, the pool's aggregate balance has been paid down 15.4% to $1.075 billion from $1.276 billion at issuance. There are eight defeased loans (6.1%) totaling $65.8 million, including two that have defeased since the prior rating action. Of the non-defeased loans, there are three (30.2%) that are full-term interest only (IO). The remaining loans are all amortizing. The transaction has not realized any losses to date; interest shortfalls are currently affecting the non-rated class (NR). Alternative Loss Scenario: In addition to a base case loss, Fitch applied a 50% outsized loss on the maturity balance of The Mall of Victor Valley loan. The potential for an outsized loss reflects concerns relating to the regional mall property type, tertiary market location, the loss of anchor tenant Sears, the rollover of anchor tenant Cinemark and declining sales. This scenario did not result in additional rating actions. Coronavirus Exposure: Three loans are secured by hotel properties and 15 non-defeased loans are secured by retail properties. The hotel properties have a weighted average (WA) NOI DSCR of 2.09x and can sustain a WA decline in NOI of 47% before DSCR would fall below 1.0x. The retail properties have a WA NOI DSCR of 2.56x and can sustain a WA decline in NOI of 55% before DSCR would fall below 1.0x. Fitch applied additional stresses to one hotel loan and two retail loans to account for potential cash flow disruptions due to the coronavirus pandemic. These stresses contributed to the downgrades and Negative Rating Outlooks. RATING SENSITIVITIES The Negative Rating Outlooks on classes A-S, B, C, D, X-A, X-B1, X-B2 and EC reflect the potential for downgrades due to concerns surrounding the ultimate impact of the coronavirus pandemic and performance concerns associated with the FLOCs, primarily the largest loan in the pool, The Mall of Victor Valley, as well as the specially serviced North Riverside Park Mall. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance, particularly of the large FLOCs, coupled with increasing paydown and/or defeasance. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to classes B and C would likely occur with significant improvement in CE and with improvement in the performance of the FLOCs, particularly The Mall of Victor Valley and North Riverside Park Mall. -- An upgrade to class D is not likely until the later years of the transaction and only if the performance of the remaining pool is stable, as the FLOCs and other properties vulnerable to the coronavirus stabilize, and if there is sufficiently high CE to the class. Upgrades to classes E and F are unlikely but could occur with substantial improvement amongst the FLOCs and/or with much higher recoveries than expected on the specially serviced loans. Factors that could, individually or collectively, lead to a negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the super senior A-2, A-3, A-4A1, A-4A2, A-5 and A-SB classes are less likely due to high CE, but may occur if losses increase or if there is likelihood for interest shortfalls. -- A downgrade to classes A, S, B and C would likely occur as expected losses increase or as CE is eroded; as loans susceptible to the coronavirus transfer to special servicing or as outsized losses on large loans are realized, particularly The Mall of Victor Valley and North Riverside Park Mall. -- A downgrade to class D would occur as loss expectations continue to increase further and/or as loans continue to transfer to special servicing. Further downgrades of classes E and F, both currently with distressed ratings, will occur with increased certainty of losses and as losses are realized. In addition to its baseline scenario related to the coronavirus, Fitch envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects negative rating actions, including further downgrades and/or Negative Rating Outlook revisions. 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 JPMBB 2014-C24 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to two malls that are underperforming as a result of changing consumer preferences to shopping, which has a negative impact on the credit profile and is highly relevant to the rating, resulting in Negative Rating Outlooks on classes A-S, B, X-A and X-B1. 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. KAYNE CLO 10: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Kayne CLO 10 Ltd./Kayne CLO 10 LLC's floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 19, 2021. 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 diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Kayne CLO 10 Ltd./Kayne CLO 10 LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $49.10 million: Not rated MADISON PARK L: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Madison Park Funding L Ltd.'s floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 18, 2021. 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 diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Madison Park Funding L Ltd. Class A, $230.625 million: AAA (sf) Class B, $54.375 million: AA (sf) Class C, $22.500 million: A (sf) Class D, $22.500 million: BBB- (sf) Class E, $15.000 million: BB- (sf) Subordinated notes, $35.600 million: Not rated MADISON PARK XL: S&P Affirms B (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R-2, B-R-2, and C-R-2 replacement notes Madison Park Funding XL Ltd., a CLO originally issued in 2013 that later reset in 2017 and is managed by Credit Suisse Asset Management. The replacement notes will be issued via a proposed supplemental indenture. The class D-R and E-R are not being refinanced. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information provided as of Feb. 17, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb.22, 2021, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." S&P said, "Our review of this transaction included a cash flow analysis. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned Madison Park Funding XL Ltd./Madison Park Funding XL LLC Class A-R-2, $549.56 million: AAA (sf) Class B-R-2, $91.59 million: AA (sf) Class C-R-2, $70.01 million: A (sf) Other Outstanding Ratings Madison Park Funding XL Ltd./Madison Park Funding XL LLC Class D-R: BB+ (sf) Class E-R: B (sf) MADISON PARK XL: S&P Affirms B (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R-2, B-R-2, and C-R-2 replacement notes from Madison Park Funding XL Ltd., a CLO originally issued in 2013 that later reset in 2017 and is managed by Credit Suisse Asset Management. The replacement notes were issued via a supplemental indenture. S&P withdrew its ratings on the class A-R, B-R, and C-R notes following payment in full on the Feb. 22, 2021, refinancing date. At the same time, S&P affirmed its ratings on the class D-R and E-R notes. On the Feb. 22, 2021, refinancing date, the proceeds from the class A-R-2, B-R-2, and C-R-2 replacement note issuances were used to redeem the class A-R, B-R, and C-R notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the notes in line with their full redemption, and it is assigning ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Madison Park Funding XL Ltd./Madison Park Funding XL LLC Replacement class A-R-2, $549.56 million: AAA (sf) Replacement class B-R-2, $91.59 million: AA (sf) Replacement class C-R-2, $70.01 million: A (sf) Ratings Affirmed Madison Park Funding XL Ltd./Madison Park Funding XL LLC Class D-R: BB+ (sf) Class E-R: B (sf) Ratings Withdrawn Madison Park Funding XL Ltd./Madison Park Funding XL LLC Class A-R: to NR from AAA (sf) Class B-R: to NR from AA (sf) Class C-R: to NR from A (sf) NR--Not rated. MADISON PARK XLVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Madison Park Funding XLVIII Ltd./Madison Park Funding XLVIII LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Madison Park Funding XLVIII Ltd./Madison Park Funding XLVIII LLC Class A, $544.00 million: AAA (sf) Class B, $102.00 million: AA (sf) Class C (deferrable), $51.00 million: A (sf) Class D (deferrable), $51.00 million: BBB- (sf) Class E (deferrable), $29.75 million: BB- (sf) Subordinated notes, $72.00 million: Not rated MANITOULIN USD 2019-1: DBRS Confirms BB(high) Rating on Tranche C ----------------------------------------------------------------- DBRS, Inc. removed the Under Review with Negative Implications status and confirmed the AAA (sf), A (low) (sf), and BB (high) (sf) provisional ratings on the Tranche A Amount, the Tranche B Amount, and the Tranche C Amount, respectively of two unexecuted, unfunded financial guarantees (the Financial Guarantees) with respect to a portfolio of primarily U.S. and Canadian senior secured or senior unsecured loans originated or managed by Bank of Montreal (BMO; rated AA with a Stable trend by DBRS Morningstar) and to be issued by Manitoulin USD Ltd., Muskoka 2019-1. The provisional ratings on the Tranche Amounts address the likelihood of a reduction to the respective Tranche Amounts caused by a Tranche Loss Balance on each respective tranche, resulting from defaults and losses within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date (as defined in the Financial Guarantees). DBRS Morningstar's ratings are expected to remain provisional until the underlying agreements are executed. BMO may have no intention of executing the Financial Guarantees. DBRS Morningstar will maintain and monitor the provisional ratings throughout the life of the transaction or while it continues to receive performance information. DBRS Morningstar also removed the Under Review with Negative Implications status and confirmed its ratings on the Muskoka Series 2019-1 Class B Guarantee Linked Notes at A (low) (sf), the Muskoka Series 2019-1 Class C Guarantee Linked Notes (the Class C Notes) at BB (high) (sf), and the Muskoka Series 2019-1 Class D Guarantee Linked Notes (the Class D Notes; together, with the Class B Notes and Class C Notes, the Notes) at B (high) (sf). Manitoulin issued the Notes referencing the executed Junior Loan Portfolio Financial Guarantee dated as of January 30, 2019, between Manitoulin as Guarantor and BMO as Beneficiary with respect to a portfolio of primarily U.S. and Canadian senior secured and senior unsecured loans. The ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the Scheduled Termination Date. The payment of the interest due to the Notes is subject to the Beneficiary's ability to pay the Guarantee Fee Amount. To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate, internal assessment, or ratings mapping of the Beneficiary's internal ratings model for each corporate obligor in the portfolio. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. On the Effective Date, the Issuer will use the proceeds of the issue of the Notes to make a deposit into the Cash Deposit Accounts with the Cash Deposit Bank. DBRS Morningstar may review the ratings on the Notes in the event of a downgrade of the Cash Deposit Bank below certain thresholds, as defined in the transaction documents. As the Coronavirus Disease (COVID-19) spread around the world, certain countries imposed quarantines and lockdowns, including the U.S., which accounts for more than one-quarter of confirmed cases worldwide. The coronavirus pandemic has negatively affected not only the economies of the nations most afflicted but also the overall global economy, with diminished demand for goods and services as well as disrupted supply chains. The effects of the pandemic may result in deteriorated financial conditions for many companies and obligors, some of which will experience the effects of such negative economic trends more than others. At the same time, governments and central banks in multiple regions, including the U.S. and Europe, have taken significant measures to mitigate the economic fallout from the coronavirus pandemic. In conjunction with DBRS Morningstar's commentary, "Global Macroeconomic Scenarios: Implications for Credit Ratings," published on April 16, 2020, and its updated commentary "Global Macroeconomic Scenarios: January 2021 Update," published on January 28, 2021, DBRS Morningstar further considers additional adjustments to assumptions for the collateralized loan obligation (CLO) asset class in the moderate economic scenario outlined in the commentaries. The adjustments include a higher default assumption for the weighted-average credit quality of the current collateral obligation portfolio. To derive the higher default assumption, DBRS Morningstar notches ratings for obligors in certain industries and obligors at various rating levels based on their perceived exposure to the adverse disruptions caused by the coronavirus pandemic. Considering a higher default assumption would result in losses that exceed the original default expectations for the affected classes of notes. DBRS Morningstar may adjust the default expectations further if the duration or severity of the adverse disruptions caused by the coronavirus change. DBRS Morningstar ran an additional higher default adjustment on the current collateral obligation pool and then ran this adjusted modeling pool through the DBRS Morningstar CLO Asset Model to generate a stressed default rate. The results of this adjustment indicate that the ratings can withstand an additional higher default stress commensurate with a moderate-scenario impact of the coronavirus pandemic. Notes: All figures are in U.S. dollars unless otherwise noted. MARATHON CLO IX: S&P Affirms B- (sf) Rating on Class D Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1AR replacement notes from Marathon CLO IX Ltd./Marathon CLO IX Ltd., a CLO that is managed by Marathon Asset Management L.P. At the same time, S&P withdrew its rating on the original class A-1A notes following payment in full on the Feb. 17, 2021, refinancing date and affirmed our ratings on the class A-1B, A-2, B, C, and D notes. On the Feb. 17, 2021, refinancing date, the proceeds from the class A-1AR note replacement note issuances were used to redeem the original class A-1A notes, as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our rating on the original class A-1A notes in line with their full redemption and assigned our rating to the class A-1AR replacement notes. The replacement notes are being issued via a proposed supplemental indenture. We also affirmed our ratings on the class A-1B, A-2, B, C, and D notes, which were unaffected by the amendment." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our view that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings on the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Withdrawn Marathon CLO IX Ltd./Marathon CLO IX Ltd. Class A-1A: to NR from 'AAA (sf)' Ratings Affirmed Marathon CLO IX Ltd./Marathon CLO IX Ltd. Class A-1B: AAA (sf) Class A-2: AA (sf) Class B: A- (sf) Class C: BB+ (sf) Class D: B- (sf) NR--Not rated. MCA FUND III: Fitch Affirms BB Rating on Class C Notes ------------------------------------------------------ Fitch Ratings has affirmed the MCA Fund III Holding, LLC (MCA Fund III) notes. DEBT RATING PRIOR ---- ------ ----- MCA Fund III Holding, LLC Class A 55283AAA7 LT Asf Affirmed Asf Class B 55283AAB5 LT BBBsf Affirmed BBBsf Class C 55283AAC3 LT BBsf Affirmed BBsf TRANSACTION SUMMARY MCA Fund III is a private equity collateralized fund obligation (PE CFO) managed by MEMBERS Capital Advisors, Inc., an affiliate of CMFG Life Insurance Company (CMFG). MCA Fund III owns interests in a globally diversified pool of alternative investment funds. The notes issued by MCA Fund III are backed by the cash flows generated by the funds. The transaction consisted of approximately $594 million net asset value (NAV) of funded commitments and $180 million of unfunded capital commitments across 71 funds, as of the Oct. 31, 2020 valuation date. KEY RATING DRIVERS The affirmations of the class A, B, and C notes reflects their net loan-to-value (LTV) detachment points of approximately 39%, 56%, and 68%, respectively, of NAV, as of the Nov. 16, 2020 distribution date. At these levels of LTV the class A, B, and C notes can withstand a very large decline in transaction NAV before they would breach Fitch's relevant sensitivity scenarios at their respective rating levels. The NAV as of Oct. 31, 2020 was based on valuations of the underlying funds primarily as of June 30, 2020 or Sept. 30, 2020, and adjusted for subsequent capital calls and distributions. While the class C notes passed Fitch's 'BBBsf' stress scenarios, they are notched down to 'BBsf' due to their subordination and because the initial and current LTV detachment point is substantially above the 50% limit Fitch's criteria indicates for investment grade PE CFO ratings. Fitch believes MCA III's liquidity position is strong. CMFG will continue to fund capital calls, one distribution's period's interest for the class A and B notes will be reserved, and interest payments on the notes are deferrable if cash flow is insufficient. Remaining liquidity needs within the structure are relatively small and expected to be covered by distributions from the underlying funds, particularly the transaction's income producing funds, even in a weak market environment. In the six months through June 30 2020, MCA Fund III's pro forma liquidity needs were estimated to include approximately $36 million in capital calls, $1 million in expenses and $10 million in aggregate note interest, for a total of $47 million. Over the same period liquidity sources included $190 million of unfunded committed capital to be covered by CMFG, and $12 million of cash from distributions. Based on these figures Fitch estimates the transaction's base case liquidity coverage ratio for a period of six months at 5x. Key structural protections for MCA Fund III include quarterly, step-down amortization triggers tied to LTV levels, interest reserve account, CMFG's obligation to cover capital calls, and long final maturities on the notes to allow the structure additional time to potentially weather a down market. Fitch measured the ability of the structure to withstand weak performance in its underlying funds in combination with adverse market cycles. Class A notes are rated 'Asf', class B notes are rated 'BBBsf', and class C notes are rated 'BBsf', reflecting their ability to withstand fourth-quartile-, third-quartile-, and all quartile-level performance, respectively, in the underlying funds under Fitch's scenario analysis. Certain structural features of the transaction involve reliance on counterparties, such as the sponsor and account banks. The ratings of the notes could be negatively affected in the event that key counterparties fail to perform their duties. While CMFG's credit profile is currently not acting as a constraint on MCA Fund III's ratings, a deterioration in Fitch's assessment of the credit quality of CMFG may lead to a downgrade of the notes, absent other mitigants. In the case of the account banks, Fitch believes this risk is mitigated by counterparty rating requirements and replacement provisions in the transaction documents that align with Fitch's criteria. Fitch believes the transaction manager (MEMBERS Capital) has the capabilities and resources required to manage this transaction. MCA Fund III is the third in a series of similar transactions launched by the sponsor. The sponsor's and noteholders' interests are strongly aligned, as the sponsor holds the equity stake in MCA Fund III as well as the class C notes and part of the class A and B notes. Fitch has a rating cap at 'A+sf' for PE CFO transactions to reflect the less proven nature of the PE CFO asset class relative to other structured finance asset classes, uncertainty related to investment performance and timing of cash flows, variability of asset valuations, and lags in performance reporting. An additional rating cap at 'A+sf' applies to the notes as their interest payments are deferrable. TRANSACTION PERFORMANCE While not very seasoned, thus far MCA Fund III's underlying fund investments have performed well. As of Nov. 16, 2020, the LTV detachment point net of reserves for the class A notes was 39% of current NAV, compared to 40% at launch; the LTV detachment for the class B notes net of reserves was 56% of current NAV, compared to 58% at launch; and the LTV detachment for the class C notes net of reserves was 68%, compared to 70% at launch. MCA III has had sufficient cash distributions to cover expenses and interest payments thus far. As a result, no interest payments were deferred on the notes. RATING SENSITIVITIES PE CFOs have many inherent risks that the ratings may be sensitive to, including the uncertainty of distributions, less liquid nature of the underlying investments, the degree of transaction leverage and the subjective nature of NAV valuations. Factor that could, individually or collectively, lead to positive rating actions/upgrades include: -- The ratings of the class A, B, and C notes may be upgraded if the notes' LTVs decrease further, absent counterparty rating constraints, and subject to the 'A' category rating cap. Factors that could, individually or collectively, lead to negative rating actions/upgrades include: -- The ratings of the notes may be downgraded if cash flows materialize at levels lower than modeled in Fitch's stress scenarios. A material decline in NAV that, in Fitch's view, would indicate insufficient forthcoming cash distributions to support the notes could also lead to downgrades. -- The ratings of class A, B and C notes may be downgraded if they fail Fitch's 'Asf', 'BBBsf', and 'BBsf' modelling scenarios, respectively, on a sustained basis. -- A downgrade of a counterparty may also materially affect the ratings of the notes, given the reliance of the issuer on counterparties to provide functions, including any provider of the bank accounts, as discussed above. A deterioration in Fitch's assessment of the credit quality of CMFG could lead to a downgrade of the class A notes, absent other mitigants. If CMFG is replaced as the counterparty responsible for funding capital calls, the credit quality of the replacement counterparty could serve as a constraint on the ratings of the MCA Fund III notes. -- Fitch relied in its analysis on the legal documentation and opinions for the transaction. If any relevant party to the transaction does not follow its responsibilities and procedures as described in the documentation, the ratings on the notes may be affected. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION Fitch's analysis of the class B note issuance included a variation from Fitch's criteria, "Exposure Draft: Private Equity Collateralized Fund Obligations Rating Criteria," as relates to the 50% LTV limit for investment grade ratings. While the class B notes' LTV is above 50%, Fitch's expected 'BBBsf' rating for the class B notes was based on the factors outlined in the section of the new issue report "Structural Features: Class B Notes Rating Above the 50% LTV Investment Grade Threshold." The expected rating of the class B notes would have been 'BBsf' if Fitch did not apply this criteria variation. 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 As the timing and size of the cash flows is uncertain, Fitch used historical private equity fund performance data from a well-known third-party data provider, which covers all performance quartiles of the various fund strategies and vintages ranging from 1990 to 2019, to model expected distributions, capital calls and NAVs of the private equity funds. MMCAPS FUNDING XVIII: Fitch Affirms C Rating on Class D Debt ------------------------------------------------------------ Fitch Ratings has affirmed 40, upgraded two, and revised Rating Outlooks to three tranches from eight collateralized debt obligations (CDOs) backed primarily by Trust Preferred (TruPS) securities issued by banks. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. DEBT RATING PRIOR ---- ------ ----- MMCapS Funding XVIII, Ltd./Corp A-1 60688HAA3 LT Asf Affirmed Asf A-2 60688HAB1 LT Asf Affirmed Asf B 60688HAC9 LT BBBsf Affirmed BBBsf C-1 60688HAD7 LT CCCsf Affirmed CCCsf C-2 60688HAE5 LT CCCsf Affirmed CCCsf C-3 60688HAF2 LT CCCsf Affirmed CCCsf D 60688HAG0 LT Csf Affirmed Csf Trapeza CDO VI, Ltd./Inc. A-2 89412UAC2 LT AAsf Affirmed AAsf B-1 89412UAD0 LT CCsf Affirmed CCsf B-2 89412UAE8 LT CCsf Affirmed CCsf Trapeza CDO V, Ltd./Inc. A1B 89412RAB1 LT AAsf Affirmed AAsf B 89412RAC9 LT AAsf Affirmed AAsf C-1 89412RAD7 LT CCCsf Upgrade CCsf C-2 89412RAL9 LT CCCsf Upgrade CCsf D 89412RAE5 LT Csf Affirmed Csf Trapeza CDO VII, Ltd./Inc. A-1 89412WAA2 LT AAsf Affirmed AAsf A-2 89412WAC8 LT Asf Affirmed Asf B-1 89412WAE4 LT Csf Affirmed Csf B-2 89412WAG9 LT Csf Affirmed Csf U.S. Capital Funding V Ltd./Corp. A-1 90342WAA5 LT Asf Affirmed Asf A-2 90342WAC1 LT BBBsf Affirmed BBBsf A-3 90342WAE7 LT Bsf Affirmed Bsf B-1 90342WAG2 LT Csf Affirmed Csf B-2 90342WAJ6 LT Csf Affirmed Csf C 90342WAL1 LT Csf Affirmed Csf Trapeza CDO IV, LLC A1B 894126AB7 LT AAsf Affirmed AAsf B 894126AC5 LT Asf Affirmed Asf C-1 894126AD3 LT Csf Affirmed Csf C-2 894126AE1 LT Csf Affirmed Csf D 894126AF8 LT Csf Affirmed Csf E 894126AG6 LT Csf Affirmed Csf U.S. Capital Funding VI, Ltd./Corp. Class A-1 903428AA8 LT BBBsf Affirmed BBBsf Class A-2 903428AB6 LT Bsf Affirmed Bsf Class B-1 903428AD2 LT Csf Affirmed Csf Class B-2 903428AE0 LT Csf Affirmed Csf Class C-1 903428AF7 LT Csf Affirmed Csf Class C-2 903428AC4 LT Csf Affirmed Csf Trapeza CDO III, LLC B 89412MAE6 LT AAsf Affirmed AAsf C-1 89412MAG1 LT CCsf Affirmed CCsf C-2 89412MAJ5 LT CCsf Affirmed CCsf D 89412MAL0 LT Csf Affirmed Csf E 89412MAN6 LT Csf Affirmed Csf KEY RATING DRIVERS Reviewed transactions experienced modest deleveraging since last review, with an offsetting trend of negative migration in the underlying pools in all but one CDO. These performance factors underpinned the majority of the rating actions. The ratings on 15 classes of notes in seven of the eight transactions have been capped based on the application of the performing CE cap as described in Fitch's "U.S. Trust Preferred CDOs Surveillance Rating Criteria". For two tranches of notes issued by Trapeza CDO V, Ltd./Inc. (Trapeza V), Upgrades reflect better performance in the concentration sensitivity scenario due to the combined impact from improvement in performing credit enhancement (CE) and the disposition of a defaulted asset. In three CDOs, the revision of Outlooks from Stable to Positive on three tranches reflects increasing performing CE levels, which are advancing into the next category's range. The rating of the issuer account bank was considered in the ratings for class B in Trapeza CDO III, Ltd./Inc., class A1B in Trapeza CDO IV, Ltd./Inc., class A1B in Trapeza V and class A-1 in Trapeza CDO VII, Ltd./Inc. due to the transaction documents not conforming to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria". The accompanying rating action report details the magnitude of the deleveraging for each CDO and credit quality migration in the underlying pools, as measured by a combination of Fitch's bank scores and public ratings. There was one new cure and one new deferral since last review. In addition, one bank issuer cured and deferred again over this review period. No new defaults have been reported. RATING SENSITIVITIES To address potential risks of adverse selection and increased portfolio concentration, Fitch applied a sensitivity scenario, as described in the criteria, to applicable transactions. In addition, this review applied a coronavirus stress scenario. Under this scenario, all issuers in the pool were downgraded either by 0.5 for private bank scores or one notch for publicly rated banks and insurance issuers with a mapped rating. The outcome of this scenario was considered in assignment of Outlooks and when notes' performing CE was indicating a potential Upgrade. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Future Upgrades to the rated notes may occur if a transaction experiences improvement in CE through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the rated notes may occur if a significant share of the portfolio issuers defers or defaults on their TruPS instruments, which would cause a decline in performing CE levels. If the pandemic inflicted disruptions become more prolonged, Fitch will formulate a sensitivity scenario that represents a more severe impact on the banking and insurance sectors than the scenario specified. 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. MORGAN STANLEY 2007-TOP25: DBRS Cuts Class B Certs Rating to C -------------------------------------------------------------- DBRS, Inc. downgraded the rating on one class of the Commercial Mortgage Pass-Through Certificates, Series 2007-TOP25 issued by Morgan Stanley Capital I Trust, Series 2007-TOP25 (the Trust) as follows: -- Class B to C (sf) from B (sf) DBRS Morningstar also confirmed the ratings on the remaining two classes as follows: -- Class A-J at BBB (low) (sf) -- Class C at C (sf) The trend on Class A-J is Stable while Classes B and C have ratings that do not carry a trend. The rating downgrade reflects DBRS Morningstar's updated loss projections for the two loans in special servicing, which cumulatively represent 81.7% of the pool. Both loans are secured by retail assets and are real estate owned (REO) following foreclosure actions executed by the servicer. Both are expected to be resolved with significant losses to the Trust. As of the January 2021 remittance, there has been collateral reduction of 93.1% since issuance, with realized losses of approximately $98.0 million applied to date through Class D. Principal repayment has paid down the senior bonds and into Class A-J, now the most senior bond remaining in the Trust. There are currently eight of the original 204 loans remaining in the transaction. In addition to the two loans in special servicing, there is one loan, representing 1.9% of the pool on the servicer's watchlist. Four loans, representing 14.5% of the pool, are scheduled to mature throughout 2021. The largest loan in special servicing, Shoppes at Park Place (Prospectus ID#3; 65.5% of the pool), is secured by an anchored retail center in Pinellas Park, Florida. The loan initially transferred to the special servicer in January 2017 due to maturity default and the asset has been REO since March 2020. The property is shadow anchored by Target with collateral retailers including Regal Park Place and RPX, American Signature Furniture, Michaels, Marshalls and Petco. The property also has exposure to bankrupt tenants including GNC, GameStop, and Mattress Firm. Additionally, two former junior anchors, Office Depot and Off Broadway Shoes, have permanently closed. The property was appraised at $80.5 million as of March 2020, down marginally from the January 2019 appraised value of $81.5 million. However, it is noteworthy that this valuation does not take into account the impact from the ongoing Coronavirus Disease (COVID-19) pandemic, which has had a significant effect on the performance of the already strained brick-and-mortar retail sector. Given the timing, DBRS Morningstar believes it is likely the as-is value has fallen further amid the pandemic and a stressed haircut was applied to the value in the analysis for this transaction, resulting in a loss severity in excess of 20.0%. The other loan in special servicing, Romeoville Town Center (Prospectus ID#16; 16.2% of the pool), is secured by a former grocer-anchored retail center in the Chicago suburb of Romeoville, Illinois. The loan initially transferred to the special servicer in March 2014 for imminent default and the property has been REO since February 2019. The property was appraised at $7.2 million as of August 2020, down from the October 2018 appraised value of $9.1 million. In the analysis for this review, a loss severity of approximately 100.0% was assumed, based on the most recent valuation and the likely dim prospects for the ultimate resolution given the lack of leasing activity for the former grocer's space and the effects of the pandemic that have driven investor demand even lower for transitional retail properties. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2011-C1: S&P Lowers Class G Certs Rating to CCC(sf) ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2011-C1, a U.S. CMBS transaction. In addition, S&P discontinued its ratings on the class D, E, and F certificates. Seven of these eight ratings that were previously on CreditWatch with negative implications have been removed from CreditWatch. Ratings Rationale S&P said, "We previously placed our ratings on classes E, F, G, H, J, K, and L on CreditWatch with negative implications in June 2020 and August 2020 primarily because we viewed them as being at an increased risk of experiencing monthly payment disruption or reduced liquidity due to their exposure to the specially serviced Hilton Times Square real estate owned (REO) asset ($75.6 million, 100% of the current pool). "While the model-indicated rating on class G was higher than the current lowered rating level, the downgrade on class G, as well as on classes H, J, K, and L, to the 'CCC' rating category reflect our view of protracted interest shortfalls and potential principal losses upon the eventual resolution of the specially serviced Hilton Times Square asset. Specifically, we considered the ongoing uncertainty surrounding the current appraisal value, ground rent amount, and resolution timing on the sole remaining asset. According to the February 2021 trustee remittance report, the asset was deemed nonrecoverable this month by the master servicer, which resulted in interest shortfalls to classes subordinate to and including class H. As such, we expect class G to experience interest shortfalls starting as early as the March 2021 payment period. We expect interest shortfalls to continue until the asset is liquidated from the trust. "The rating actions also reflect our concerns that the Hilton Times Square asset may resolve at a value that is significantly below our expected-case value because of the circumstances surrounding the collateral property and the overall lodging sector. We will continue to monitor the valuation and liquidation/workout strategy of the asset and may update our analysis as additional information becomes available. "We discontinued our ratings on classes D, E, and F following their full principal repayment as reflected in the February 2021 trustee remittance report." Four performing loans in the trust totaling $101.9 million with scheduled February 2021 maturity dates paid off in full, of which $91.8 million was used to repay classes D, E, and F in full. The remaining $10.1 million of the principal proceeds was withheld by the master servicer to repay prior servicer advances, as well as future property-related expenses on the Hilton Times Square asset. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Transaction Summary As of the Feb. 18, 2021, trustee remittance report, the collateral pool balance was $75.6 million, which is 4.9% of the pool balance at issuance. The pool currently includes only the specially serviced Hilton Times Square REO asset, down from 37 loans at issuance. To date, the transaction has experienced $10.1 million in principal losses or 0.7% of the original pool trust balance. Due to the uncertainty surrounding the expected cash flow, recovery value, and resolution timing on the sole remaining Hilton Times Square property, S&P believes that there is the potential for the trust to experience additional losses that could reach the $75.6 million outstanding balance upon the eventual resolution of the Hilton Times Square asset. Credit Considerations As of the February 2021 trustee remittance report, the Hilton Times Square asset is with the special servicer, Torchlight Loan Services LLC. The asset consists of a leasehold interest in Hilton Times Square, a 460-guestroom hotel in the Times Square submarket of Manhattan. The property features a lobby on the ground floor, which provides access to the sky lobby on the 23rd floor, meeting spaces totaling 5,749 sq. ft. on the 24th floor, and guestrooms on floors 25 through 44. The property ceased operating shortly after becoming REO. The loan transferred to special servicing on March 20, 2020, due to imminent default, and the property became REO in December 2020 after the borrower consented to a deed-in-lieu of foreclosure. The property has an outstanding balance and exposure of $75.6 million, down from $80.5 million as of the January 2021 reporting period after applying a portion of the principal proceeds received from the remaining performing loans paying off this month. In addition to the generally negative impact that the COVID-19 pandemic has had on the performance of lodging properties, the Hilton Times Square asset faces additional challenges stemming from the uncertainty surrounding the ground rent amount and an expiration of the PILOT program. The property is subject to a ground lease, and the ground rent amount was scheduled to increase substantially in May 2020. According to Torchlight, the ground rent expense may reset to an amount ranging between $1.9 million and $8.0 million from the current amount of $2.3 million. Due to the underlying issues with determining the new ground rent amount, the special servicer indicated that it is unable to obtain a reliable appraisal valuation at this time. Furthermore, the property benefited from a PILOT program that expired in 2019, whereby the hotel is subject to base and percentage rent in lieu of direct real estate taxes. A second PILOT program began in 2020 through 2029 during which the hotel will be subject to full real estate tax payments, as well as recapture obligations. S&P said, "It is our understanding that the ground rent payments and real estate taxes on the property are currently delinquent. Based on information received from Torchlight, the total ground rent and property taxes due are approximately $9.2 million. The borrower consented to a deed-in-lieu of foreclosure on the property in December 2020 and paid a $20.0 million settlement payment to the trust. Torchlight stated that the settlement payment may be used to cover potential expenses associated with the operations, management, and maintenance of the property, which we expect would also cover real estate taxes and ground rent payments. Torchlight indicated that following the deed-in-lieu, it has commenced discussion with the ground lessor regarding the ground rent reset amount. "To derive our long-term sustainable net cash flow (NCF) assumptions, we considered the high 99.3% occupancy and declining servicer-reported NCF over the past three years prior to COVID-19: $9.0 million in 2017, $8.2 million in 2018, and $5.8 million in 2019. However, because of the potential increase in real estate taxes and ground rent expense, we arrived at an S&P Global Ratings NCF of $1.7 million. We used a 10.25% S&P Global Ratings capitalization rate and included in our value the $20.0 million settlement amount from the borrower, net of unpaid property level obligations at the property, to derive an S&P Global Ratings expected-case value of $26.4 million, or about $57,000 per guestroom. "Since the property is currently closed and is subject to cash flow and valuation uncertainty at this time, we also considered that the ultimate recovery of the property may differ significantly from our expected-case value." Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety. Ratings Lowered; Off CreditWatch Morgan Stanley Capital I Trust 2011-C1 Commercial mortgage pass-through certificates Class G, To: CCC (sf); From: BB (sf)/Watch Neg Class H, To: CCC- (sf); From: B (sf)/Watch Neg Class J, To: CCC- (sf); From: CCC (sf)/Watch Neg Class K, To: CCC- (sf); From: CCC (sf)/Watch Neg Class L, To: CCC- (sf); From: CCC (sf)/Watch Neg Ratings Discontinued Morgan Stanley Capital I Trust 2011-C1 Commercial mortgage pass-through certificates Class D, To: NR; From: AA- (sf) Class E, To: NR; From: A (sf)/Watch Neg Class F, To: NR; From: BBB (sf)/Watch Neg NR--Not rated. NASSAU 2019: Fitch Affirms BB Rating on $65MM Class B Notes ----------------------------------------------------------- Fitch Ratings has taken the following rating actions on the notes issued by Nassau 2019 CFO LLC (Nassau 2019 CFO): -- Undrawn liquidity facility affirmed at 'A+sf'; Outlook Stable assigned; -- $162 million class A notes affirmed at 'Asf'; Outlook revised to Stable from Negative; -- $65 million class B notes affirmed at 'BBsf'; Outlook revised to Stable from Negative. TRANSACTION SUMMARY Nassau 2019 CFO is a private equity collateralized fund obligation (PE CFO) managed by Nassau Alternative Investments (NAI), an affiliate of Nassau Financial Group. Nassau 2019 CFO owns interests in a diversified pool of alternative investment funds. The notes issued by Nassau 2019 CFO are backed by the cash flows generated by the funds. The transaction consisted of approximately $323.5 million net asset value (NAV) of funded commitments and $59.9 million of unfunded capital commitments across 106 funds, as of the Oct. 31, 2020 valuation date. KEY RATING DRIVERS The affirmation of the undrawn liquidity facility reflects its senior position in the capital structure and low LTV of approximately 8.5% if fully drawn. The affirmations of the class A and B notes reflect their loan-to-value (LTV) detachment points of approximately 50% and 70% of NAV, respectively, as of the Nov. 16, 2020 distribution date. The affirmations also reflect Fitch's expectation that the notes will continue to pass Fitch's stress scenarios at the current rating levels with sufficient cushion. At these LTV levels the class A notes could withstand approximately a 10% decline in transaction NAV before breaching Fitch's relevant stress scenario at the 'Asf' rating level, while the class B notes could withstand approximately a 20% NAV decline before breaching the relevant 'BBsf' stress scenario. The NAV as of Oct. 31, 2020 was based on valuations of the underlying private equity funds primarily as of June 30, 2020 and adjusted for subsequent capital calls and distributions. While the class B notes passed Fitch's 'BBBsf' stress scenarios, they are notched down to 'BBsf' as the initial and current LTV detachment point is substantially above the 50% limit Fitch's criteria indicates for investment grade PE CFO ratings. The revision of the Outlook on the class A and B notes to Stable from Negative reflects the transaction's performance through the coronavirus pandemic and the sufficient cushion in the transaction before breaching Fitch's modelling scenarios or LTV limits. Fitch believes Nassau 2019 CFO's liquidity position is good, which should allow it to continue meeting capital calls, expenses, and interest, even if distributions were to decline, for example due to a coronavirus resurgence and further economic downturn. In the six months through Nov. 16, 2020, Nassau 2019 CFO's liquidity needs included approximately $7 million in capital calls, $1.5 million in expenses, $6 million in note interest, for a total of $14 million. Over the same period liquidity sources included $30 million of capacity available on the liquidity facility, and $42 million of cash from distributions. Based on these figures Fitch estimates the transaction's liquidity coverage ratio for a period of six months at 5x. Fitch measured the ability of the structure to withstand weak performance in its underlying funds in combination with adverse market cycles. The class A notes are rated 'Asf', and the class B notes are rated 'BBsf', reflecting their ability to withstand fourth-quartile- and average performance, respectively, in the underlying funds under Fitch's scenario analysis. Certain structural features of the transaction involve reliance on counterparties, such as the liquidity lender and account banks. The ratings of the notes could be negatively affected in the event that key counterparties fail to perform their duties. Fitch believes this risk is mitigated by counterparty rating requirements and replacement provisions in the transaction documents that align with Fitch's criteria. Fitch believes the manager (NAI) has the capabilities and resources required to manage this transaction. NAI's management team has extensive experience, although the team is comparably smaller than at other Fitch-rated PE CFOs. The sponsor and noteholders' interests are sufficiently aligned, as the sponsor and its affiliates hold the equity stake and a portion of the class B notes in Nassau 2019 CFO. Fitch has a rating cap at 'A+sf' for PE CFO transactions to reflect the less proven nature of the PE CFO asset class relative to other structured finance asset classes, uncertainty related to investment performance and timing of cash flows, variability of asset valuations, and lags in performance reporting. An additional rating cap at 'A+sf' applies to class B notes as their interest payment is deferrable. TRANSACTION PERFORMANCE In the short period of time since inception, Nassau 2019 CFO's underlying fund investments have performed well, and better than the stress scenarios run by Fitch in the rating analysis. Nassau 2019 CFO received distributions of $119 million and capital calls of $32 million since inception as of Oct. 31, 2020. Nassau 2019 CFO has had sufficient cash distributions to cover expenses, interest payments, and capital calls thus far. As a result, there have been no draws on the transaction's liquidity facility. RATING SENSITIVITIES PE CFOs have many inherent risks that the ratings may be sensitive to, including the uncertainty of distributions, less liquid nature of the underlying investments, the degree of transaction leverage and the subjective nature of NAV valuations. Factors that could, individually or collectively, lead to positive rating actions/upgrades include: -- The class A and B notes could be upgraded if the notes' LTV detachment points decrease significantly, although this is unlikely in the short term. -- Fitch has an 'A' category rating cap for PE CFOs. Therefore, positive rating sensitivities are not applicable for the undrawn liquidity facility. Factors that could, individually or collectively, lead to negative rating action/downgrade include: -- The class A note rating is likely to be downgraded to 'A-sf' if NAV decline cushions to Fitch's stress scenarios are expected to sustain at low single digits for a prolonged period. The class A notes are likely to be downgraded to 'BBBsf' if Fitch's 'Asf' stress scenarios are expected to be breached for a sustained period, or if liquidity deteriorates materially. -- The class B notes are likely to be downgraded to 'BB-sf' if cushions to Fitch's stress scenarios are expected to sustain at low single digits for a prolonged period. The class B notes are likely to be downgraded to 'Bsf' if Fitch's 'BBsf' stress scenarios are expected to be breached for a sustained period, or if liquidity deteriorates materially. -- The liquidity facility rating is likely to be downgraded if it is drawn and the transaction's liquidity position is expected to deteriorate materially. -- The ratings assigned to the notes may be sensitive to cash flows coming in lower than model projections, creating an increased risk that the funds will not generate enough overall cash to repay the noteholders, or pay for capital calls, expenses, and interest on time. -- A material decline in NAV that in Fitch's view would indicate insufficient forthcoming cash distributions to support the notes at the assigned rating level stress. -- The ratings are sensitive to the financial health of the transaction's counterparties. A downgrade of a counterparty may be linked to and materially affect the ratings on the notes, given the reliance of the issuer on counterparties to provide functions, including providers of the liquidity facility and bank accounts. 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 As the timing and size of the cash flows is uncertain, Fitch used historical private equity fund performance data from a well-known third-party data provider, which covers all performance quartiles of the various fund strategies and vintages ranging from 1990 to 2018, to model expected distributions, capital calls and NAVs of the underlying funds. NEW RESIDENTIAL 2021-NQM1R: Fitch to Rate Class B-2 Debt 'B(EXP)' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to New Residential Mortgage Loan Trust 2021-NQM1R (NRMLT 2021-NQM1R). DEBT RATING ---- ------ NRMLT 2021-NQM1R 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-1 LT NR(EXP)sf Expected Rating XS-2 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2021-NQM1R (NRMLT 2021-NQM1R). The notes are supported by 528 loans from two NRMLT collapsed transactions that have a balance of $262.7 million as of the Feb. 1, 2021 cutoff date. This will be the ninth Fitch-rated nonqualified mortgages (NQMs) transaction consisting of loans solely originated by NewRez LLC (NewRez), formerly known as New Penn Financial, LLC. The loans in this pool are from two called deals, previously rated by Fitch, NRMLT 2018-NQM1 and NRMLT 2019-NQM1. The notes are secured mainly by NQMs as defined by the Ability-to-Repay (ATR) Rule. Approximately 75% of the loans in the pool are designated as NQM, with 0.6% QM loans, and the remaining 24.4% are investor properties and, thus, not subject to the ATR Rule. There is LIBOR exposure in this transaction. The collateral consists of 48% adjustable-rate loans, which reference one-year LIBOR. The certificates are fixed rate and capped at the net weighted average coupon (WAC). KEY RATING DRIVERS NonPrime Credit Quality (Mixed): The collateral consists of 528 loans, totaling $263 million, and seasoned approximately 31 months in aggregate according to Fitch (29 months per the collateral strats). The borrowers have an adequate credit profile similar to other NQM transactions (732 FICO and 33% DTI as determined by Fitch) and moderate leverage [72% supervisory loan-to-value (sLTV)]. The pool consists of 72.8% of loans where the borrower maintains a primary residence, while 27.2% is an investor property or second home. Additionally, 19% of the loans were originated through a retail channel. Additionally, 0.6% are designated as QM loan, while 0% are HPQM, 75% are NonQM and the remainder are not subject to QM as they are investor loans. All of the loans were originated by NewRez LLC and have been serviced since origination by Shellpoint Mortgage Servicing. Geographic Concentration (Negative): Approximately 38.9% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA (21.7%), followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA (18.3%) and the Miami-Fort Lauderdale-Miami Beach, FL (9.4%). The top three MSAs account for 49.4% of the pool. As a result, there was a 1.06x probability of default (PD)penalty for geographic concentration. Loan Documentation (Negative): Approximately 77.6% of the pool was underwritten to less than full documentation as determined by Fitch. Approximately 72% was underwritten to a 12 or 24 month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's ATR Rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. Additionally, 0.36% are an Asset Depletion product (1 loan), and 5.34% are a debt service coverage ratio product. Fitch considered 22.4% of the pool as fully documented based on the loans underwritten to 12-24 months of W2s and/or tax returns. High Investor Property Concentrations (Negative): Approximately 25% of the pool comprises investment property loans, including 5% underwritten to a cash flow ratio rather than the borrower's debt-to-income ratio. Investor property loans exhibit higher PDs and higher loss severities (LS) than owner-occupied homes. The borrowers of the investor properties in the pool have strong credit profiles, with a WA FICO of 741 and an original LTV of 66% (loans underwritten to the cash flow ratio have a WA FICO of 718 and an original LTV of 65%). Fitch increased the PD by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. Limited Advancing (Mixed): The servicers will be advancing delinquent monthly payments of P&I for 180 days. Advances of delinquent P&I required, but not paid, by Shellpoint will be paid by Nationstar, and if Nationstar is unable to advance, advances will be made by U.S. Bank, National Association, the transaction's paying agent. The limited advancing feature resulted in lower expected losses than a full advancing structure, as there is less money returned to the servicer in the event of liquidation. The Servicer will advance the principal, interest, tax and insurance payments not made by the mortgagor notwithstanding the fact that such amounts are not due from the mortgagor during the forbearance period. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Payment Forbearance (Mixed): As of the cut-off date, there are four loans on active coronavirus-related forbearance plans. Three of these loans entered into a forbearance plan in December 2020 (two-month forbearance plan ending in February 2021) and one loan entered into a forbearance plan on November 2020 (five-month FB plan ending in April 2021). A total of 116 loans had previously entered into a coronavirus-related forbearance plan with Shellpoint and are currently no longer on a forbearance plan. The majority of these borrowers (79 loans) had their missed payments deferred. The remaining (37 loans) were either always current or repaid in full any missed payments. Shellpoint is offering borrowers up to an initial three-month payment forbearance plan (some borrowers have been offered a two-month payment forbearance plan). At the end of each month during the initial forbearance period, the amount advanced by the Servicer with respect to a COVID Mortgage Loan (to the extent not paid by the mortgagor) will be deferred as a non-interest bearing deferred amount, with such deferred amount not due until the maturity date, payoff of the related Mortgage Loan or the sale of the related mortgaged property. The servicer will continue to advance during the initial forbearance period. Recoveries of advances will be taken from general principal collections received in respect of all of the Mortgage Loans. The principal portion of any such deferred amount for a COVID Mortgage Loan will be treated as a realized loss and allocated to the Offered Notes. While this may increase realized losses, the 410 bps of excess spread as of the closing date should be available to absorb these amounts and reduce the potential for writedowns. Prior to the end of the applicable initial forbearance period for each COVID Mortgage Loan, the Servicer will attempt to contact each related mortgagor to identify whether such mortgagor is still experiencing an ongoing hardship as a direct or indirect result of the coronavirus outbreak. To the extent that a mortgagor is granted additional payment relief by the Servicer following the initial three-month forbearance period, the Servicer will advance the principal, interest, tax and insurance payments not made by the mortgagor. This is notwithstanding the fact that such amounts are not due from the mortgagor during the forbearance period, but such advanced amounts will be reimbursed to the Servicer only as described under "Servicing of the Mortgage Loans-Advances" in the private placement memorandum and such amounts will not be deferred as non-interest bearing deferred amounts or treated as realized losses. Operational Risk (Positive): Well controlled for in this transaction. NewRez, a wholly owned subsidiary of NRZ, contributed 100% of the loans in the securitization pool. NewRez employs robust sourcing and underwriting processes and is assessed by Fitch as an 'Average' originator. Fitch believes NRZ has solid RMBS experience despite its limited non-QM issuance, and is an 'Acceptable' aggregator. Primary and master servicing functions will be performed by Shellpoint Mortgage Servicing (Shellpoint) and Nationstar Mortgage LLC (Nationstar), rated 'RPS2' and 'RMS2+', respectively. The sponsor's retention of at least 5% of each class of bonds helps ensure an alignment of interest between the issuer and investors. Representation and Warranty Framework (Negative): The seller will be providing loan-level representations (reps) and warranties (R&W) to the loans in the trust. The R&W framework for this transaction is classified as a Tier 2 due to the lack of an automatic review for loans other than those with ATR realized losses. While the seller is not rated by Fitch, its parent, NRZ, has an internal credit opinion from Fitch. Through an agreement, NRZ ensures that the seller will meet its obligations and remain financially viable. Fitch increased its loss expectations 75bps at the 'AAAsf' rating category to account for the limitations of the Tier 2 framework and the counterparty risk. Third-Party Due Diligence (Positive): Third-party due diligence was performed on 100% of loans in the transaction by AMC Diligence, LLC, an 'Acceptable - Tier 1' TPR. The results of the review confirm strong origination practices with no material exceptions. Exceptions on loans with 'B' grades either had strong mitigating factors or were mostly accounted for in Fitch's loan loss model. Fitch applied a credit for the high percentage of loan level due diligence which reduced the 'AAAsf' loss expectation by 37bps. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative stress 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 38.5% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. -- The analysis assumes positive home price growth of 10.0%. Excluding the senior classes which are already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. 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. Fitch has also added a coronavirus sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a reemergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade 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. 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. The third-party due diligence described in Form 15E focused on three areas: a compliance review, a credit review, and a valuation review, and was conducted on 100% of the loans in the pool. Fitch considered this information in its analysis and believes the overall results of the review generally reflected strong underwriting controls. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with its published standards for reviewing loans and in accordance with the independence standards outlined in its criteria. Fitch considered all the above information in its analysis and, as a result, Fitch did not make any adjustments to its analysis. DATA ADEQUACY Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on three areas: a compliance review, a credit review, and a valuation review, and was conducted on 100% of the loans in the pool. Fitch considered this information in its analysis and believes the overall results of the review generally reflected strong underwriting controls. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with its published standards for reviewing loans and in accordance with the independence standards outlined in its criteria. Fitch considered all the above information in its analysis and, as a result, Fitch did not make any adjustments to its analysis. 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. OHA CREDIT 8: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OHA Credit Funding 8 Ltd./OHA Credit Funding 8 LLC's floating- and fixed-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by Oak Hill Advisors L.P. The preliminary ratings are based on information as of Feb. 22, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OHA Credit Funding 8 Ltd./OHA Credit Funding 8 LLC Class X, $3.00 million: AAA (sf) Class A, $372.00 million: AAA (sf) Class B-1, $72.00 million: AA (sf) Class B-2, $12.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $36.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $50.00 million: Not rated PALMER SQUARE 2021-1: Moody's Rates $16MM Class D Notes 'Ba2' ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Palmer Square Loan Funding 2021-1, Ltd. (the "Issuer" or "Palmer Square 2021-1"). Moody's rating action is as follows: US$264,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$48,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Definitive Rating Assigned Aa1 (sf) US$24,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Definitive Rating Assigned A1 (sf) US$18,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned Baa1 (sf) US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Ba2 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Palmer Square 2021-1 is a static CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. The portfolio is fully ramped as of the closing date. Palmer Square Capital Management LLC (the "Servicer") may engage is disposition of the assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sale and unscheduled principal proceeds received will be used to amortize the notes in sequential order. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 73 Weighted Average Rating Factor (WARF): 2625 Weighted Average Spread (WAS): 3.43% (actual spread vector of the portfolio) Weighted Average Recovery Rate (WARR): 48.2% Weighted Average Life (WAL): 5.2 years (actual amortization vector of the portfolio) The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of corporate assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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. PROG 2021-SFR1: DBRS Gives Prov. B (low) Rating on Class G Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Single-Family Rental Pass-Through Certificates to be issued by Progress Residential 2021-SFR1 Trust (PROG 2021-SFR1): -- $187.9 million Class A at AAA (sf) -- $43.8 million Class B at AA (sf) -- $27.0 million Class C at A (sf) -- $32.2 million Class D at BBB (high) (sf) -- $41.2 million Class E at BBB (low) (sf) -- $57.9 million Class F at BB (low) (sf) -- $46.3 million Class G at B (low) (sf) The AAA (sf) rating on the Class A Certificates reflects 61.6% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (low) ratings reflect 52.6%, 47.1%, 40.5%, 32.1%, 20.3%, and 10.8% credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. PROG 2021-SFR1's 2,107 properties are in nine states, with the largest concentration by broker price opinion value in Florida (26.1%). The largest metropolitan statistical area (MSA) by value is Atlanta (12.5%), followed by Nashville (12.1%). The geographic concentration dictates the home-price stresses applied to the portfolio and the resulting market value decline (MVD). The MVD at the AAA (sf) rating level for this deal is 58.4%. PROG 2021-SFR1 has properties from 18 MSAs, most of which did not experience home price index declines as dramatic as those in the recent housing downturn. DBRS Morningstar assigned the provisional ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar's analysis includes estimated base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio higher than 1.0 times. Furthermore, DBRS Morningstar reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to DBRS Morningstar. DBRS Morningstar also conducted a legal review and found no material rating concerns. Notes: All figures are in U.S. dollars unless otherwise noted. REAL ESTATE 2020-1: DBRS Confirms B(sf) Rating on Class G Certs --------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-1 issued by Real Estate Asset Liquidity Trust, Series 2020-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class X at A (high) (sf) -- Class C at A (sf) -- Class D-1 at BBB (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. As of the January 2021 remittance, all 52 of the original loans remain in the pool, with an aggregate trust balance of $522.2 million, representing a collateral reduction of approximately 1.8% since issuance as a result of loan amortization. The transaction is concentrated by property type, as 16 loans, representing 34.9% of the current trust balance, are secured by retail assets, while 19 loans, representing 34.3% of the current trust balance, are secured by multifamily properties. All loans in the pool amortize through their respective loan terms, while 40 loans, representing 65.7% of the current trust balance, benefit from some level of meaningful recourse to the loan's sponsor. According to the January 2021 remittance report, there are no loans in special servicing and none are delinquent, but there are six loans on the servicer's watchlist, representing 23.2% of the current trust balance. All six of these loans have been affected by the ongoing difficulties caused by the Coronavirus Disease (COVID-19) pandemic, and all have received various forms of short-term forbearances and are making payments based on the terms of their respective forbearances. The two largest loans on the watchlist, representing 15.2% of the current trust balance, are also the two largest loans in the pool. The Sheraton Gateway Hotel Toronto A-1 (Prospectus ID#1, 8.2% of the current trust balance) is secured by a 474-key full-service hotel connected to Toronto Pearson International Airport in Mississauga, Ontario. The loan was added to the servicer's watchlist in May 2020 after a request for mortgage relief because of the decline in traveler demand and has subsequently had two loan modifications, allowing the borrower to use capital expenditure reserve funds to pay principal and interest payments through March 2021, with the reserve to be replenished over a 24-month period starting in April 2021. As of January 2021, the borrower had a total of $10.6 million in capital expenditure reserves. At issuance, the borrower was beginning a $35.0 million brand-mandated property improvement plan, of which $15.0 million was reserved upfront, with an expectation that renovations would be completed in approximately 12 months. While no details on the renovations have been provided to date, Knightstone Capital Management (the sponsor) indicates on its website that renovations are ongoing and scheduled to be completed in 2021. Although the loan is nonrecourse, the sponsor is a well-known Canadian developer, with $65.0 million of equity contributed at issuance to help finance the acquisition of the property and the planned renovations. LBC Carrefour Retail (Prospectus ID#2, 7.0% of the current trust balance) is secured by an anchored retail complex in Trois-Rivières, Quebec, roughly 130 kilometers (km) southwest of Québec City and 138 km northeast of Montréal. The loan was added to the servicer's watchlist in May 2020 after a request for mortgage relief; the loan was subsequently changed from amortizing to interest only for three months through July 2020, with deferred payments to be repaid over the ensuing six months through December 2020. According to servicer commentary, the property is currently 94.3% occupied by 28 tenants, of which 16 were not able to make payments under the provincial government's mandatory closures for nonessential businesses. During the lockdown, only Walmart (32.8% of the net rentable area (NRA)) and Uniprix (2.5% of the NRA) were open for business; however, as of February 8, 2020, all nonessential stores were permitted to reopen as restrictions eased. Notes: All figures are in Canadian dollars unless otherwise noted. REGIONAL MANAGEMENT 2021-1: S&P Assigns BB- (sf) Rating on D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Regional Management Issuance Trust 2021-1's personal consumer loan-backed notes. The note issuance is an ABS securitization backed by personal consumer loan receivables. The ratings reflect: -- The availability of approximately 49.77%, 47.45%, 42.01%, and 35.42% credit support for the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the ratings on the notes based on our stressed cash flow scenarios. -- S&P said, "Our worst-case weighted average base-case loss assumption for this transaction of 16.71%. This base-case is a function of the transaction-specific reinvestment criteria, actual Regional Management Corp. (Regional) loan performance to date, and a moderate adjustment in response to the COVID-19 pandemic-related macroeconomic environment. Our base case further reflects year-over-year performance volatility observed in annual loan vintages across time." -- S&P said, "Liquidity analyses that we conducted to assess the impact of a temporary disruption in loan principal and interest payments over the next 12 months as a result of the COVID-19 pandemic. The disruptions included elevated deferment levels and a reduction of voluntary prepayments to 0%. Based on our analyses, the note interest payments and transaction expenses are a small component of the total collections from the pool of receivables, and, accordingly, we believe the transaction could withstand temporary, material declines in collections and still make full and timely liability payments." -- That, to date, Regional's central facilities and local branches remain open and operational. Regional has the capacity to shift branch employees to other branches as needed and in May began rolling out the option to close loans remotely, as opposed to within branches, if needed. -- Regional's tightening of its underwriting and enhanced servicing procedures for its portfolio in response to the COVID-19 pandemic. Regional selectively eliminated loans to lower-credit grade borrowers, reduced advances to lower-credit grade existing borrowers, and lowered lending limits to new borrowers across all risk levels. Since the third quarter of 2020, Regional has gradually begun to reverse some of these policies. -- Regional's introduction of new payment deferral options to borrowers negatively impacted by the COVID-19 pandemic. While deferment levels rose and peaked in April 2020, they decreased through July 2020 to historic trend levels. Transaction documents dictate that a reinvestment criteria event will occur if loans subject to deferment during the previous collection period exceed 10.0% of the aggregate principal balance. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions" published Jan. 5, 2021. -- The timely interest and full principal payments expected to be made by the final maturity date under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- The operational risks associated with Regional's decentralized business model. -- The transaction's payment and legal structures. Ratings Assigned Regional Management Issuance Trust 2021-1 Class A, $203.13 million, 1.68% coupon: A (sf) Class B, $7.16 million, 2.42% coupon: A- (sf) Class C, $17.32 million, 3.04% coupon: BBB- (sf) Class D, $21.09 million, 5.07% coupon: BB- (sf) RESIDENTIAL 2021-1R: S&P Assigns Prelim B(sf) Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Residential Mortgage Loan Trust 2021-1R's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien fixed- and adjustable-rate amortizing (some with interest-only periods) residential mortgage loans secured primarily by single-family residences, planned-unit developments, two- to four-family residences and condominiums to both prime and nonprime borrowers. The pool has 338 loans, which are primarily nonqualified mortgage loans. The preliminary ratings are based on information as of Feb. 19, 2021. 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 credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty (R&W) framework; -- The geographic concentration; -- The mortgage aggregator, Seer Capital Management L.P.; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned Residential Mortgage Loan Trust 2021-1R(i) Class A-1, $85,354,000: AAA (sf) Class A-2, $7,237,000: AA (sf) Class A-3, $11,195,000: A (sf) Class M-1, $6,185,000: BBB (sf) Class B-1, $5,628,000: BB (sf) Class B-2, $3,340,000: B (sf) Class B-3, $4,763,399: not rated Class XS, notional(ii): not rated Class A-IO-S, notional(ii): not rated Class R, not applicable: not rated (i)The collateral and structural information in this report reflects the term sheet dated Feb. 17, 2021. The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the loans' aggregate stated principal balance. SCF EQUIPMENT 2021-1: Moody's Gives B3(sf) Rating on Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the Equipment Contract Backed Notes, Series 2021-1, Class A-1, Class A-2, Class A-3, Class B, Class C, Class D, Class E, and Class F (Series 2021-1 notes or the notes) issued by SCF Equipment Leasing 2021-1 LLC and SCF Equipment Leasing Canada 2021-1 Limited Partnership. Stonebriar Commercial Finance LLC (unrated, Stonebriar) along with its Canadian counterpart - Stonebriar Commercial Finance Canada Inc. (unrated) are the originators and Stonebriar alone is the servicer of the assets backing this transaction. The issuers are wholly-owned, limited purpose subsidiaries of Stonebriar and Stonebriar Commercial Finance Canada Inc. The assets in the pool consist of loan and lease contracts, secured primarily by corporate aircraft, manufacturing and assembly equipment, and railcars. The Series 2021-1 transaction is the eighth securitization sponsored by Stonebriar and seventh that Moody's rates. Stonebriar was founded in 2015 and is led by a management team with an average of over 25 years of experience in equipment financing. The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 Limited Partnership Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A3 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) Class F Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The definitive ratings are based on; the experience of Stonebriar's management team and the company as servicer; U.S. Bank National Association (long-term deposits Aa1/ long-term CR assessment Aa2(cr), short-term deposits P-1, BCA aa3) as backup servicer for the contracts; the weak credit quality and concentration of the obligors backing the loans and leases in the pool; the assessed value of the collateral backing the loans and leases in the pool; the large percentage of called collateral from prior transactions in the pool; the credit enhancement, including overcollateralization, excess spread and reserve account and the sequential pay structure. The rating also considers the heightened risk owing to the unprecedented shock that the coronavirus outbreak is causing on the global economy. Additionally, Moody's base our P-1 (sf) rating of the Class A-1 notes on the cash flows that Moody's expect the underlying receivables to generate during the collection periods prior to the Class A-1 notes' legal final maturity date on March 11, 2022. At closing the Class A, Class B, Class C, Class D, Class E and Class F notes benefit from 33.0%, 24.0%, 21.3%, 17.0%, 13.5% and 7.0% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of initial overcollateralization of 4.50% which will build to a target of 8.00% of the outstanding pool balance with a floor of 5.00% of the initial pool balance, a 1.50% fully funded reserve account which will step down to 1.00% of the initial pool balance after month 24 if passing the CNL trigger event, and subordination. The notes will also benefit from excess spread. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of corporate assets from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. The equipment loans and leases that back the notes were extended primarily to middle market obligors and are secured by various types of equipment including; aircraft, railcars, manufacturing and assembly equipment, and a chemical plant. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Additionally, Moody's could downgrade the Class A-1 short term rating following a significant slowdown in principal collections that could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligor's payments. SHACKLETON 2019-XV: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes from Shackleton 2019-XV CLO Ltd., a collateralized loan obligation (CLO) originally issued in December 2019 that is managed by Alcentra NY LLC. The replacement notes were issued via a proposed supplemental indenture. Proceeds from the issuance of the replacement notes were used to redeem the original notes, and ratings on the original notes have been withdrawn. Ratings on the replacement notes reflect our opinion that the credit support available is commensurate with the associated rating levels. The replacement notes were issued via a proposed supplemental indenture, which, in addition to outlining the notes' terms, will also: -- Issue the replacement class A-R, B-R, C-R, D-1-R, and E-R notes at a lower spread than the original notes. -- Issue the replacement class D-2-R notes at a fixed coupon, replacing the current floating spread. -- Issue new class X notes at a floating spread. -- Extend the stated maturity, reinvestment period, non-call period, and weighted average life test date by two years. -- Establish a new non-call period with a deadline of Feb. 18, 2022. -- Allow the deal to purchase bonds up to 5% of the collateral principal amount upon amendment of the Volker Rule. The deal is now allowed to purchase workout assets with the following requirements: -- If principal proceeds are used, the principal balance of all collateral obligations (excluding defaulted obligations) plus the S&P Global Ratings' collateral value of defaulted obligations plus eligible investments must be greater than or equal to the reinvestment target par balance, and each overcollateralization (O/C) ratio test must be satisfied. -- If interest proceeds are used, there must be sufficient interest proceeds present to pay all interest on the rated notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Assigned Shackleton 2019-XV CLO Ltd. Class X, $1.80 million: AAA (sf) Class A-R, $255.00 million: AAA (sf) Class B-R, $49.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $11.50 million: BBB- (sf) Class D-2-R (deferrable), $10.50 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Subordinated notes, $37.75 million: Not rated Ratings Withdrawn Shackleton 2019-XV CLO Ltd. Class A, To: NR; From: AAA (sf) Class B, To: NR; From: AA (sf) Class C, To: NR; From: A (sf) Class D, To: NR; From: BBB (sf) Class E, To: NR; From: BB- (sf) SIXTH STREET XVII: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sixth Street CLO XVII Ltd./Sixth Street CLO XVII LLC Class A, $263.500 million: AAA (sf) Class B, $59.500 million: AA (sf) Class C (deferrable), $23.375 million: A (sf) Class D (deferrable), $25.500 million: BBB- (sf) Class E (deferrable), $14.875 million: BB- (sf) Subordinated notes, $43.000 million: Not rated SOUND POINT VIII-R: Moody's Rates $14MM Class R2-D2 Notes 'Ba1' --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Sound Point CLO VIII-R, Ltd. (the "Issuer"). Moody's rating action is as follows: US$396,000,000 Class A-R Senior Secured Floating Rate Notes Due 2030 (the "Class A-R Notes"), Assigned Aaa (sf) US$63,000,000 Class B-R Senior Secured Floating Rate Notes Due 2030 (the "Class B-R Notes"), Assigned Aa2 (sf) US$25,000,000 Class C-1-R Mezzanine Secured Deferrable Floating Rate Notes Due 2030 (the "Class C-1-R Notes"), Assigned A3 (sf) US$6,000,000 Class C-2-R Mezzanine Secured Deferrable Fixed Rate Notes Due 2030 (the "Class C-2-R Notes"), Assigned A3 (sf) US$14,000,000 Class R2-D2 Mezzanine Secured Deferrable Floating Rate Notes Due 2030 (the "Class R2-D2 Notes"), Assigned Ba1 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Sound Point Capital Management, LP (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued three other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include extension of non-call period and changes to the definition of "Moody's Outlook/Review Rules". Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $576,424,616 Defaulted par: $4,824,600 Diversity Score: 84 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.52% Weighted Average Recovery Rate (WARR): 47.33% Weighted Average Life (WAL): 5.50 years In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from our base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; an additional cashflow analysis assuming a lower WAS to test the sensitivity to LIBOR floors; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of corporate assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around Moody's forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. TICP CLO 2016-2: S&P Assigns Prelim 'BB-' Rating on Cl. E-R2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to TICP CLO VI 2016-2 Ltd./TICP CLO VI 2016-2 LLC's floating-rate notes. This is a proposed refinancing of TICP CLO VI 2016-2 Ltd.'s December 2016 transaction, which S&P Global Ratings did not rate. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by TICP CLO VI 2016-2 Management LLC. The preliminary ratings are based on information as of Feb. 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned TICP CLO VI 2016-2 Ltd./TICP CLO VI 2016-2 LLC Class X-R, $4.50 million: AAA (sf) Class A-R2, $240.00 million: AAA (sf) Class B-R2, $60.00 million: AA (sf) Class C-R2 (deferrable), $26.00 million: A (sf) Class D-R2 (deferrable), $24.00 million: BBB- (sf) Class E-R2 (deferrable), $16.00 million: BB- (sf) Subordinated notes, $46.50 million: Not rated TOWD POINT 2020-3: DBRS Gives B(sf) Rating on 10 Classes of Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following ratings to the Asset-Backed Securities, Series 2020-3 issued by Towd Point Mortgage Trust 2020-3 (TPMT 2020-3): -- $35.7 million Class B1A at BB (sf) -- $35.7 million Class B1AX at BB (sf) -- $35.7 million Class B1B at BB (sf) -- $35.7 million Class B1BX at BB (sf) -- $35.7 million Class B1C at BB (sf) -- $35.7 million Class B1CX at BB (sf) -- $35.7 million Class B1D at BB (sf) -- $35.7 million Class B1DX at BB (sf) -- $35.7 million Class B1E at BB (sf) -- $35.7 million Class B1EX at BB (sf) -- $25.9 million Class B2A at B (sf) -- $25.9 million Class B2AX at B (sf) -- $25.9 million Class B2B at B (sf) -- $25.9 million Class B2BX at B (sf) -- $25.9 million Class B2C at B (sf) -- $25.9 million Class B2CX at B (sf) -- $25.9 million Class B2D at B (sf) -- $25.9 million Class B2DX at B (sf) -- $25.9 million Class B2E at B (sf) -- $25.9 million Class B2EX at B (sf) Classes B1AX, B1BX, B1CX, B1DX, B1EX, B2AX, B2BX, B2CX, B2DX, and B2EX are interest-only notes. The class balances represent a notional amount. All classes listed above are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The BB (sf) ratings on the Notes reflect 10.70% of credit enhancement provided by subordinated certificates. The B (sf) rating reflects 9.10% of credit enhancement. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2021-HE1: Fitch Gives B-(EXP) Rating on 7 Debt Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Towd Point HE Trust 2021-HE1 (TPHT 2021-HE1). DEBT RATING ---- ------ TPHT 2021-HE1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating A3 LT A-(EXP)sf Expected Rating A4 LT A-(EXP)sf Expected Rating A5 LT A-(EXP)sf Expected Rating A2A LT AA-(EXP)sf Expected Rating A2AX LT AA-(EXP)sf Expected Rating A2B LT AA-(EXP)sf Expected Rating A2BX LT AA-(EXP)sf Expected Rating M1A LT A-(EXP)sf Expected Rating M1AX LT A-(EXP)sf Expected Rating M1B LT A-(EXP)sf Expected Rating M1BX LT A-(EXP)sf Expected Rating M2A LT BBB-(EXP)sf Expected Rating M2AX LT BBB-(EXP)sf Expected Rating M2B LT BBB-(EXP)sf Expected Rating M2BX LT BBB-(EXP)sf Expected Rating M2C LT BBB-(EXP)sf Expected Rating M2CX LT BBB-(EXP)sf Expected Rating B1A LT BB-(EXP)sf Expected Rating B1AX LT BB-(EXP)sf Expected Rating B1B LT BB-(EXP)sf Expected Rating B1BX LT BB-(EXP)sf Expected Rating B1C LT BB-(EXP)sf Expected Rating B1CX LT BB-(EXP)sf Expected Rating B2A LT B-(EXP)sf Expected Rating B2AX LT B-(EXP)sf Expected Rating B2B LT B-(EXP)sf Expected Rating B2BX LT B-(EXP)sf Expected Rating B2C LT B-(EXP)sf Expected Rating B2CX LT B-(EXP)sf Expected Rating B3A LT NR(EXP)sf Expected Rating B3AX LT NR(EXP)sf Expected Rating B3B LT NR(EXP)sf Expected Rating B3BX LT NR(EXP)sf Expected Rating B3C LT NR(EXP)sf Expected Rating B3CX LT NR(EXP)sf Expected Rating B4A LT NR(EXP)sf Expected Rating B4AX LT NR(EXP)sf Expected Rating B4B LT NR(EXP)sf Expected Rating B4BX LT NR(EXP)sf Expected Rating B4C LT NR(EXP)sf Expected Rating B4CX LT NR(EXP)sf Expected Rating D LT NR(EXP)sf Expected Rating XA LT NR(EXP)sf Expected Rating KEY RATING DRIVERS Credit Quality (Mixed): The pool in aggregate is seasoned almost 12 years with the first lien portion seasoned roughly 11 years and the second lien portion seasoned roughly 12 years. 97.5% of the loans are current and 2.5% are currently 30-days delinquent. Nearly 63% of the loans have been performing for at least the previous 36 months, and therefore received a credit in Fitch's model. Additionally, 29% of loans have received a prior modification. The pool exhibits a relatively strong credit profile as shown by the 724 weighted average (WA) FICO as well as the 66.9% sustainable loan-to-value ratio (sLTV). HELOC Collateral (Negative): This pool consists of various product types including both open and closed-end HELOCs in the first and second lien positions. Roughly 31% of the pool are first lien loans with the remaining 69% being junior liens. About 26% of this population are open HELOCs, with the ability for borrowers to draw down additional amounts. The first lien portion is currently utilizing 56% of the total line and the second lien portion using 62%. To address this risk, the max draw amount was used in Fitch's loss analysis and for determining applicable LTVs. 100% Loss Severity Applied to Junior Liens (Negative): Fitch assumed no recovery and 100% LS on defaulted second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans, after controlling for credit attributes, no additional default penalty was applied. Realized Loss and Writedown Feature (Positive): Second lien loans that are delinquent for 180 days or more under the MBA method, will be considered a realized loss and, therefore, will cause the most subordinated class to be written down. Despite the 100% LS assumed for each defaulted loan, Fitch views the writedown feature positively as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AAsf' notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 180 days delinquent will be passed on to bondholders as principal. Modified Sequential Structure (Positive): The transaction utilizes a modified sequential pay structure in which principal collections are paid pro-rata to classes A1, A2 and M1 subject to transaction performance triggers with all classes below class M1 paying down sequentially. The class D certificates will receive their pro rata share of principal collections concurrently with classes A1through B5 so long as performance triggers are passing. Additionally, excess cash flow, can be used to pay down the notes in the same order of priority of principal subject to the same triggers. To the extent any of the triggers are failing, all allocations of principal and excess cash flow are paid sequentially. In all instances, interest is paid sequentially with losses distributed reverse sequentially. No Servicer Advancing (Positive): The servicers will not be advancing delinquent monthly payments of principal and interest. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Payment Holidays Related to Coronavirus Pandemic (Negative): There are 14 loans (0.51% of UPB) on an active coronavirus-related forbearance plan included in this pool, two of which are currently delinquent. Additionally, there are 402 loans (9.13% of UBP) that were previously on coronavirus-related forbearance plan that which has since ended. Of this population, 41 resulted in deferred balances, 26 were modified and 16 are on a repayment plan. Due to the delinquency status of these loans Fitch did not make any adjustments to the pay strings. Additionally, none of the open HELOC loans are on an active forbearance plan and only 40 of the loans that were previously on a forbearance plan are open HELOCs -- none of which have been modified, deferred or on a repayment plan. Stronger Credit Profile than Legacy HELOC Transactions (Positive): This transaction benefits from a credit profile that is materially stronger than that seen in legacy HELOC transactions. This transaction benefits from a WA credit score of more than 14 points higher than historical levels. Borrowers for both the first and second lien loans have a meaningful amount of equity in the properties with an original CLTV of 77%, which is lower than the historical CLTV of 83%. The aggregate seasoning of these loans over 10 years provides additional benefit as there has been meaningful home price growth since origination as well as insight into the performance of these borrowers. As a result of these key differences, a comparison to historical transactions is not likely to provide much context in how this deal will perform compared with legacy deals. A stronger credit profile and a more supportive structure should provide for a meaningful positive difference in performance. Variable Funding Account (Neutral): Borrower draws following deal closing will be funded first from the servicer and reimbursed from principal collections received on the mortgage loans. To the extent principal collected is insufficient, draws will be funded by the servicer and reimbursed by the holder of the class D certificates through deposits made into the VFA held by the indenture trustee. Any draws funded by the class D certificate holder will result in a corresponding increase in the class D certificate balance. Class D receives a pro rata share of principal and losses concurrently with the notes; however, if performance triggers fail, the deal reverts to a straight sequential pay structure with the class D certificates locked out from principal collected until the classes A, M and B notes are paid in full and will absorb all losses up to the outstanding balance, effectively increasing the available loss protection to the class A, M and B notes. Representations and Warranty (R&W) Framework Includes Knowledge Qualifiers and Excludes Certain Reps (Negative): The transaction has two different loan-level representations and warranties (R&Ws) frameworks to cover first liens and second liens, respectively. Both frameworks are consistent with a Tier 3 framework. In addition to the inclusion of knowledge qualifiers and the exclusion of several representations, such as loans identified as having unpaid taxes, the frameworks do not benefit from a high percentage of due diligence on the pool which can help mitigate missing representations. The low due diligence percentage on the pool, approximately 21%, contributes to the Tier 3 assessment. Separately, based on Fitch's calculation, approximately 5.8% of the pool is considered to be newly originated, which are subject to additional representations that are not included in either framework. Fitch treated these loans as Tier 4. Fitch increased its loss expectations by 310 bps at the 'AAAsf' rating category to account for both the limitations of the R&W framework as well as the non-investment-grade counterparty risk of the R&W provider. Third-Party Due Diligence (Negative): Third-party due diligence was performed on approximately 20.9%/43.7% of the loans in the transaction pool by loan count/UPB. The review was conducted by SitusAMC and Clayton, both of which are assessed by Fitch as 'Acceptable - Tier 1' TPR firms. The results of the review indicate moderate operational risk with approximately 17.7% of the reviewed loans assigned a 'C' or 'D' grade. However, only 7.8% of loans that are graded 'C' or 'D' received loan level adjustments due to missing final documents that required to properly test for compliance with predatory lending regulations. Because the review was sampled from the transaction pool, Fitch extrapolated the results to the non-reviewed population and adjusted its loss expectation at the 'AAAsf' rating category by approximately 205bps to account for potential assignee liability associated with material compliance exceptions. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. FirstKey Mortgage, LLC (FirstKey) has an established operating history acquiring different mortgage products, including second liens and home equity lines of credit (HELOCs); the aggregator is assessed as 'Above Average' by Fitch. Select Portfolio Servicing, Inc. (SPS) and Specialized Loan Servicing (SLS) are the named servicers for this transaction and are rated by Fitch as RPS1- and RPS2+, respectively. High-rated servicers reflect strong and established operational capabilities, which have the potential to mitigate losses given borrower default. Fitch decreased its initial loss expectations by 38bps at the 'AAAsf' rating category to reflect the servicer's strong ratings. Issuer retention of at least 5% of the bonds also helps ensure an alignment of interest between both the issuer and investor. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level; that is, positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior class, which is already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 6.2% at the base case. The analysis indicates that there is some potential rating migration with higher MVDs compared with the model projection. -- 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. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to the transaction's presale report. Fitch has also added a coronavirus sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade 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. CRITERIA VARIATION Fitch's analysis incorporated four criteria variations from the "U.S. RMBS Rating Criteria." The first variation related to the due diligence sample size. Fitch's criteria looks for a 20% minimum due diligence sample on second liens regardless of originator. Fitch did not make an adjustment to the losses for this variation. Fitch applies a 100% loss severity to all second lien loans and therefore any adjustment for due diligence, which is primarily applied to loss severity, would not further penalize the loss levels. This variation had no rating impact. The second variation relates to the age of the tax/title review. Per criteria, Fitch expects updated tax and title to be performed within 6 months of the transaction cutoff date. For loans that received a tax and title search, approximately 91.5% of the sample was reviewed in July 2020 of later, which is a variation to Fitch's criteria. However, approximately 92.6% of the sample loans were reviewed within 12 months and almost all the remaining loans were reviewed no more than 24 months ago. No adjustment was made and the review was completed just slightly outside of Fitch's expected timeframe. Additionally, the servicer is monitoring the tax and title status as part of standard practice and the servicer will advance where deemed necessary to keep the first lien position of each loan. The third variation relates to the due diligence scope for newly originated loans. Fitch expects that loans seasoned less than 24 months receive a full credit, compliance and valuation review as part of its due diligence scope. Approximately 6% of the loans in the transaction pool were originated within 24 months, these loans received a seasoned due diligence scope which consists of a compliance review but no credit or property valuation review. However, all non-reviewed newly originated first liens are HELOCs and do not carry the same industry underwriting requirements as first lien residential mortgage loans. HELOCs are exempt from ATR/QM and typically do not receive a full appraisal when originated. Additionally, 84% of the newly originated loans (by loan count) are second liens and are therefore being treated as 100% loss severity. Fitch also treated the RW&E framework for newly originated loans as Tier 4 given that new origination reps were not provided. This variation increased the loss expectations by 6bps at 'AAA'. 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 Fitch relied on an independent third-party due diligence review performed on approximately 20.9% of the pool by loan count. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC and Clayton were engaged to perform the review. Loans reviewed under this engagement were given compliance grades, and assigned an initial grade. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. TRIMARAN CAVU 2021-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trimaran CAVU 2021-1 Ltd./Trimaran CAVU 2021-1 LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Trimaran CAVU 2021-1 Ltd./Trimaran CAVU 2021-1 LLC Class A, $289.750 million: AAA (sf) Class B, $71.250 million: AA (sf) Class C (deferrable), $28.500 million: A (sf) Class D (deferrable), $26.000 million: BBB- (sf) Class E (deferrable), $17.875 million: BB- (sf) Subordinated notes, $51.200 million: Not rated WELLS FARGO 2011-C5: Fitch Affirms B Rating on Class G Certs ------------------------------------------------------------ Fitch Ratings has affirmed nine classes of Wells Fargo Bank, N.A. Commercial Mortgage Trust commercial mortgage pass-through certificates series 2011-C5 (WFRBS 2011-C5). DEBT RATING PRIOR ---- ------ ----- WFRBS 2011-C5 A-4 92936JBB9 LT AAAsf Affirmed AAAsf A-S 92936JAE4 LT AAAsf Affirmed AAAsf B 92936JAG9 LT AAAsf Affirmed AAAsf C 92936JAJ3 LT Asf Affirmed Asf D 92936JAL8 LT BBB+sf Affirmed BBB+sf E 92936JAN4 LT BBB-sf Affirmed BBB-sf F 92936JAQ7 LT BBsf Affirmed BBsf G 92936JAS3 LT Bsf Affirmed Bsf X-A 92936JAA2 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Stable Loss Expectations; Pool Concentration: Overall performance and loss expectations have remained stable since Fitch's last rating action; however, the pool has become increasingly concentrated, with 49 loans remaining and the largest loan representing 23% of the pool. All loans in the pool are scheduled to mature by November 2021. Fitch has designated 10 loans (20.3% of pool) as Fitch Loans of Concern (FLOCs), including two specially serviced loans (1.9%), both of which are new transfers since April 2020 due to the coronavirus pandemic. Fitch's current ratings incorporate a base case loss of 4.50%. The Negative Rating Outlooks on classes F and G reflect losses could reach 7.40% when factoring in additional coronavirus-related stresses and a potential outsized loss on The Domain. The largest loan, The Domain (22.7%), which is sponsored by Simon Property Group, is secured by a lifestyle center comprising retail and office space located in Austin, TX. Although property performance has remained stable since issuance, Fitch expects the borrower's ability to refinance the asset to be increasingly challenged, given the upcoming August 2021 loan maturity and unknown duration of the ongoing coronavirus pandemic. Non-collateral anchors include Macy's and Dillard's; Neiman Marcus is a collateral anchor (9% of NRA leased through March 2027). Major collateral tenants include Dick's Sporting Goods (9%; January 2025), iPic Theatres (4.7%; January 2031), Forever 21 (3.6%; September 2021) and H&M (2.7%; January 2023). The overall property was 90.8% occupied as of September 2020, compared with 88.7% in September 2019, 92% in December 2018 and 92.4% in December 2017. The Domain Phase I tenants occupying less than 10,000 sf reported comparable in-line average sales of $617 psf for TTM September 2020, compared with $730 for TTM September 2019, $711 psf for TTM March 2019 and $772 psf for TTM March 2018. Tenants in Phase II, which opened for business in 2010, reported TTM September 2020 comparable in-line sales of $223 psf, compared with $268 psf for TTM September 2019, $251 psf for TTM March 2019 and $235 psf for TTM March 2018. Neiman Marcus, Dillard's and iPic Theaters have reported declining sales in recent years. The largest FLOC is the Village of Rochester Hills loan (5.9%), which is secured by a retail lifestyle center located in Rochester Hills, MI. The property has experienced declining cash flow since issuance, with significant upcoming lease rollover. Prior to closing in August 2018, the property was shadow anchored by Carson's which contributed to common area maintenance. According to various media reports, a Von Maur department store is expected to open in the former Carson's space in Spring 2021; the opening has been delayed from Fall 2020 due to the pandemic. The property is anchored by Whole Foods Market (21.4% of NRA leased through August 2028), with other major tenants including Barnes & Noble (5.8%; April 2029), Pottery Barn (4.1%; January 2021), The Gap (3.5%; January 2021) and Banana Republic (2.9%; January 2022). Upcoming lease rollover includes 22% of the NRA in 2021 (11 tenants), 8.8% in 2022 (six tenants) and 5.8% in 2023 (five tenants). Additionally, nine tenants (combined, 9.2%) have leases that expired in 2019 or 2020. The property was 96.1% occupied as of September 2020, compared with 95.6% in December 2019 and 88.2% in December 2018. Occupancy had dropped in 2018 due to five smaller tenants (combined 6.1% of NRA) vacating in 2018, but has since improved after Barnes & Noble opened for business in April 2019 and multiple smaller tenants signed new leases at the property in 2019 and 2020. YE 2019 NOI declined 9.2% from YE 2018 due to lower rental income and increased operating expenses. The servicer-reported YTD September 2020 NOI DSCR was 1.13x, down from 1.19x at YE 2019 and 1.31x at YE 2018. The loan is scheduled to mature in November 2021. The next largest increase in loss since the prior rating action is the Marriott Courtyard Monroeville loan (1%), which is secured by a 98-room limited service hotel in Monroeville, PA. The loan transferred to special servicing in May 2020 for imminent monetary default at the borrower's request as a result of the coronavirus pandemic. The loan was 60 days delinquent as of January 2021. The property was experiencing performance declines prior to the pandemic. The special servicer continues to monitor the hotel's performance and evaluate workout options with the borrower. TTM September 2020 occupancy, ADR and RevPAR were 45.8%, $96 and $44, respectively, compared with 68.4%, $105 and $72, respectively, as of YE 2019. Increased Credit Enhancement and Defeasance: As of the January 2021 distribution date, the pool's aggregate principal balance has paid down by 28.8% to $776.7 million from $1.1 billion at issuance. Defeasance has increased to 35.1% of the pool (25 loans; $272 million) from 24.4% (17 loans; $195 million) at the last rating action. The pool has experienced $2.2 million (0.2% of original pool balance) in realized losses to date from the liquidation of two specially serviced loans/assets. Since the last rating action, the REO Candlewood Suites Houston, TX asset was liquidated with slightly better than expected losses. Alternative Loss Considerations: Fitch's analysis included an additional sensitivity scenario that factored in the paydown from the defeased loans and applied a potential outsized loss of 15% on the maturity balance of The Domain loan to reflect refinance concerns; this analysis supports the Negative Outlooks maintained on classes F and G. Additional Stresses Applied due to Coronavirus Exposure: Loans secured by retail, hotel and multifamily properties represent 49.8% of the pool (10 loans), 8.4% (four loans) and 0.2% (one loan), respectively. The retail loans have a weighted average (WA) NOI DSCR of 1.70x and can withstand an average 41.3% decline to NOI before DSCR falls below 1.00x. The hotel loans have a WA NOI DSCR of 1.77x and can withstand an average 43.5% decline to NOI before DSCR falls below 1.00x. The multifamily loan has an NOI DSCR of 2.11x and can withstand a 52.7% decline to NOI before DSCR falls below 1.00x. Fitch's analysis applied additional coronavirus-related stresses on seven retail loans (44.9%) and all four hotel loans (8.4%) to account for potential cash flow disruptions due to the coronavirus pandemic. These additional stresses contributed to the Negative Rating Outlooks on classes F and G. RATING SENSITIVITIES The Negative Rating Outlooks on classes F and G reflect the additional sensitivity scenario applied to The Domain loan, as well as concerns surrounding the ultimate impact of the pandemic and the performance concerns associated with the FLOCs. The Stable Rating Outlooks on classes A-4 through E reflect the increasing credit enhancement, expected continued amortization and the relatively stable performance of the majority of the pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are currently not expected given the retail outlook, the uncertainty surrounding the duration of the pandemic and the expectation that The Domain and other loans susceptible to the coronavirus pandemic will have difficulties refinancing at their 2021 maturities. Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes C, D, E, F and G may occur with the payoff, modification and/or workout of The Domain loan and other loans susceptible to the pandemic that may result in scenarios better than currently expected. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-4, A S, X-A and B are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes C, D, E, F and G may occur with an outsized loss on The Domain loan or should overall loss expectations increase due to a continued decline in the performance of the FLOCs, additional loans default and/or transfer to special servicing and/or loans susceptible to the pandemic not stabilize. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021. Should this scenario play out, classes with Negative Rating Outlooks may be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2015-C30: Fitch Affirms B- Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2015-C30 commercial pass-through certificates. Fitch has also revised the Rating Outlooks on three classes. DEBT RATING PRIOR ---- ------ ----- WFCM 2015-C30 A-3 94989NBD8 LT AAAsf Affirmed AAAsf A-4 94989NBE6 LT AAAsf Affirmed AAAsf A-S 94989NBG1 LT AAAsf Affirmed AAAsf A-SB 94989NBF3 LT AAAsf Affirmed AAAsf B 94989NBK2 LT AA-sf Affirmed AA-sf C 94989NBL0 LT A-sf Affirmed A-sf D 94989NAL1 LT BBB-sf Affirmed BBB-sf E 94989NAN7 LT BB-sf Affirmed BB-sf F 94989NAQ0 LT B-sf Affirmed B-sf PEX 94989NBM8 LT A-sf Affirmed A-sf X-A 94989NBH9 LT AAAsf Affirmed AAAsf X-E 94989NAA5 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Concerns with Regional Mall: Riverpark Square loan (8.3% of pool), is the second largest loan in the pool and the largest Fitch Loan of Concern (FLOC). The subject is secured by 374,490 square feet (sf) within a regional mall located in Spokane, WA, and is anchored by Nordstrom and AMC Theater, both of which are collateral for the loan. Nordstrom has an upcoming lease expiration in February 2023, two years prior to the loan's scheduled maturity. The store's sales have been declining and have historically been below the retailer's national average. The YE2019 sales were $139 psf compared to $174 at YE2018. Inline tenant sales excluding Apple were $332 psf at YE2019 and $336 psf at YE2018. The mall was closed for a portion of 2020 due to the pandemic. There continues to be concern with the retail market overall, especially regarding how long it will take for malls to restabilize once mitigation measures are relaxed. This Nordstrom location is not on the retailer's most recent list of store closures; however, the potential loss of the mall's only traditional anchor tenant presents a major binary risk for the loan's ongoing performance. In addition to a base case loss of 4.50%, Fitch ran an additional sensitivity stress on the Riverpark Square mall loan assuming a 50% loss to reflect the potential for an extended disposition timeline should the loan default. This sensitivity contributed to the Negative Outlooks on classes D and E. Additional Stresses Applied due to Coronavirus Exposure: Loans secured by retail, hotel and multifamily properties represent 22.7% of the pool (20 loans), 12.5% (six loans) and 16.0% (15 loans), respectively. The retail loans have a weighted average (WA) NOI debt service coverage ratio (DSCR) of 1.81x and can withstand an average 43.6% decline to NOI before DSCR falls below 1.00x. The hotel loans have a WA NOI DSCR of 1.96x and can withstand an average 49.2% decline to NOI before DSCR falls below 1.00x. The multifamily loans have a WA NOI DSCR of 1.72x and can withstand an average 46.1% decline to NOI before DSCR falls below 1.00x. Fitch's analysis applied additional coronavirus-related stresses on 13 retail loans (16.1%), five hotel loans (11.1%) and one multifamily loan (1%) to account for potential cash flow disruptions due to the coronavirus pandemic. Increased Loss Expectations: Loss expectations have increased primarily as a result of additional stresses on the Fitch Loans of Concern (FLOCs). Fitch has designated 14 loans (27.2% of the pool) as FLOCs, including three specially serviced loans (3.3%), one of which transferred since Fitch's last rating action. Fitch's current ratings incorporate a base case loss of 4.50%. The Negative Outlooks on classes D through F reflect additional stresses related to the pandemic including higher losses on the Riverpark Square mall loan, which assumes that losses could reach 8.43%. Increased Credit Enhancement: As of the January 2021 distribution date, the pool's aggregate principal balance was paid down by 8.2% to $680 million from $740 million at issuance. Six loans (14.95% of the pool) are fully defeased including the largest loan in the pool. Since the last rating action, two loans (combined issuance balance of $4.6) were repaid in full prior to or at maturity. There have been no realized losses since issuance. Interest shortfalls of approximately $78,000 are currently contained to the unrated class H certificate. Four loans (1.5%) are full term interest-only and one loan (3.2%) originally structured with a partial interest-only period has not yet begun to amortize. The remainder of the pool (95.3% of the pool) is currently amortizing. All of the remaining loans in the pool are scheduled to mature in 2025. Co-Op Collateral: The pool contains 17 loans (6.4% of pool) secured by multifamily co-operative properties, all of which are located in New York, within the greater New York City Metro area. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that could lead to upgrades include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B and C would only occur with significant improvement in credit enhancement and/or defeasance and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- An upgrade of class D is not likely until the later years in the transaction and only if performance of the Riverside Square loan has stabilized and the performance of the remaining pool is stable. Classes E and F are unlikely to be upgraded absent significant performance improvement for the FLOCs and higher recoveries than expected on the specially serviced loans. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes rated 'AAAsf' and 'AA-sf' are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes B and C are possible should the Riverside Square loan default. Class D may be downgraded should loss expectations increase due to further performance decline for the FLOCs. Downgrades to classes E and F may occur should additional loans transfer to special servicing or performance of the FLOCs fail to return to pre-pandemic levels. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021. Should this scenario play out, classes with Negative Outlooks may be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2018-C43: Fitch Affirms B- Rating on Class F Debt ------------------------------------------------------------- Fitch Ratings has affirmed Wells Fargo Commercial Mortgage Trust 2018-C43. DEBT RATING PRIOR ---- ------ ----- WFCM 2018-C43 A-1 95001LAQ5 LT AAAsf Affirmed AAAsf A-2 95001LAR3 LT AAAsf Affirmed AAAsf A-3 95001LAT9 LT AAAsf Affirmed AAAsf A-4 95001LAU6 LT AAAsf Affirmed AAAsf A-S 95001LAX0 LT AAAsf Affirmed AAAsf A-SB 95001LAS1 LT AAAsf Affirmed AAAsf B 95001LAY8 LT AA-sf Affirmed AA-sf C 95001LAZ5 LT A-sf Affirmed A-sf D 95001LAC6 LT BBB-sf Affirmed BBB-sf E 95001LAE2 LT BB-sf Affirmed BB-sf F 95001LAG7 LT B-sf Affirmed B-sf X-A 95001LAV4 LT AAAsf Affirmed AAAsf X-B 95001LAW2 LT A-sf Affirmed A-sf X-D 95001LAA0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations are in line with loss expectations at issuance. Fitch's ratings assume a base case loss is 3.8%. Fitch ran an additional stress scenario where losses reached 4.5%, but did not impact the ratings or Outlooks. The stress scenario assumed higher losses on loans expected to be impacted by the coronavirus pandemic. Eight loans (28.0% of pool), including two loans (4.5%) in special servicing, were designated as Fitch Loans of Concern (FLOCs). As of the January 2021 distribution period there were 15 loans (39%) on the servicer's watchlist for low DSCR, deferred maintenance, rolling tenants and requesting COVID relief. Minimal Change to Credit Enhancement: As of the January 2021 distribution date, the pool's aggregate principal balance has paid down by .14% to $704.5 million from $722.4 million at issuance. At issuance, based on the scheduled balance at maturity, the pool will pay down by 9.8%, which is above the 2018 average of 7.2% and the 2017 average of 7.9%. Since Fitch's prior rating action in 2020, Wichita MHP Portfolio prepaid in May 2020 for $7.2 million in principal balance. No loans mature until 2023 and no loans have been defeased. Of the remaining pool balance, 11 loans comprising 33.1% of the pool is classified as full interest-only through the term of the loan. Exposure to Coronavirus: Six loans (6.4% of pool), which have a weighted average NOI DSCR of 1.80x, are secured by hotel properties. Thirteen loans (24.2%), with a weighted average NOI DSCR of 2.10x, are secured by retail properties. Four loans (4.8%), with a weighted average NOI DSCR of 2.54x, are secured by multifamily properties. Fitch's base case analysis applied additional stresses to four hotel loans and three retail loans, given the significant declines in property-level cash flow expected in the short term, as a result of the decrease in consumer spending and property closures from the pandemic. Specially Serviced Loans: Galleria Oaks (2.2%) is a neighborhood shopping center located in Austin, TX. This loan transferred to special serving in April 2020 for non-monetary default due to three mechanic liens filed against the collateral in the last year, totaling approximately $25,000. Complaint and Petition for Appointment of Receiver was filed in November 2020. Per the special servicer, all defaults remain uncured. Fairfield Inn & Suites - Willow Grove (1.1%) is a 108-key, limited service hotel located in Willow Grove, PA (Philadelphia MSA). This loan transferred to special servicing in June 2020 for payment default due to pandemic-related economic hardship. The special servicer is currently dual tracking the loan. The borrower has proposed a forbearance agreement in the form of debt service relief. The lender has engaged outside counsel ,and the borrower has stated they would cooperate with the appointment of a receiver. As of January 2021, no forbearance has been executed and negotiations between the borrower and lender are ongoing. Fitch Loans of Concern Not In Special Servicing: Southpoint Office Center (5.2%) is collateralized by a suburban office property located in the Bloomington, MN. The subject's largest tenant, Wells Fargo (NRA 18.2%), lease was scheduled to expire in October 2020. According to the subject's September 2020 rent roll, Wells Fargo paid $13.90 psf in annual base rent, below the subject's submarket mean asking rent of $26.41 psf (REIS 4Q20). If Wells Fargo vacated at lease expiration, Fitch estimates occupancy would fall to 68% compared to September 2020 occupancy of 86%. The remaining two FLOCs (1.5%) account for less than 1.0% of aggregate principal balance on an individual basis. Holiday Inn Express - Waldorf loan (.9%) and Holiday Inn Express Greenville Airport loan (.7%) are securitized lodging properties. Both are on the servicer's watchlist for underperformance as a result of pandemic-related economic hardship. ADDITIONAL CONSIDERATIONS Investment-Grade Credit Opinion Loans: Two loans, representing 11.9% of the transaction, were credit assessed at issuance. The largest loan, Moffett Towers II Building 2 (7.7%) was given a stand-alone credit opinion at issuance of 'BBB-sf', with a Fitch DSCR and Fitch LTV of 1.26x and 70.4%, respectively. The seventh largest loan, Apple Campus 3 (4.3%) was given a stand-alone credit opinion at issuance of 'BBB-sf', with a Fitch DSCR and Fitch LTV of 1.25x and 71.4%, respectively. Property Type Concentrations: At issuance, the pool's industrial concentration of 26.2% was significantly above the 2017 and 2016 averages of 6.3% and 5.8%, respectively. At issuance, the pool's manufactured housing concentration of 7.4% was also significantly higher than the 2017 and 2016 averages of 0.8% and 1.6%, respectively. At issuance, the pool's hotel concentration of 6.6% was significantly lower than the 2017 and 2016 averages of 15.8% and 16.0%, respectively. At issuance, 13 loans, representing 34.0% of the pool, are designated full or partial single-tenant properties by Fitch, including seven of the top 10 loans. However, two of these loans, Moffett Towers II Building 2 and Apple Campus 3, were each given stand-alone credit opinions at issuance of 'BBB-sf'. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-1 through F reflect the overall stable performance of the majority of the pool and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'Asf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. -- An upgrade of the 'BBB-sf' class is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were a likelihood of interest shortfalls. An upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1 through A-S and the interest-only classes X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. -- Downgrades to classes B, C, D, E, X-B and X-D are possible should performance of the FLOCs continue to decline; should loans susceptible to the coronavirus pandemic not stabilize; and/or should further loans transfer to special servicing. Class F could be downgraded should the specially serviced loan not return to the master servicer and/or as there is more certainty of loss expectations from other FLOCs. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks will be downgraded one or more categories. 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. [*] S&P Takes Various Actions on 43 Classes From 38 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 43 classes from 38 U.S. RMBS transactions issued between 2003 and 2017. The review yielded 11 downgrades due to observed principal write-downs and 29 downgrades due to observed interest shortfalls. S&P also placed one of the ratings that was lowered due to interest shortfalls on CreditWatch with negative implications. In addition, it discontinued its ratings on three classes, including class B-2 from Angel Oak Mortgage Trust I LLC 2017-2, as the issuer exercised the optional clean-up call. RATING ACTIONS The rating changes reflect S&P's opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. S&P said, "The lowered ratings due to interest shortfalls are consistent with our "S&P Global Ratings Definitions," published Aug. 7, 2020, which impose a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment (e.g. interest on interest), and whether or not the missed interest payments will be repaid by the maturity date. "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions to assign the rating on the class. Four classes were impacted in this review. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payment, including the capitalized interest, would be reimbursed under our various rating scenarios. Twenty-five classes were impacted in this review, including the WFALT 2005-2 class M-1 certificates as discussed below. "The lowered ratings due to outstanding principal write-downs reflect our assessment of the principal write-downs' impact on the affected classes during recent remittance periods. All of the classes that were lowered due to outstanding principal write-downs were rated 'CCC (sf)' or 'CC (sf)' before the rating actions. "We lowered our rating on the class M-1 certificates from Wells Fargo Alternative Loan Trust 2005-2 (WFALT 2005-2), to 'BB+ (sf)' from 'AAA (sf)' and placed the rating on CreditWatch negative. The transaction documents prohibit any payment distributions (including reimbursement of prior interest shortfalls) once a class' balance has been reduced to zero. The downgrade reflects our assessment that ultimate interest repayments are unlikely at higher rating levels." The CreditWatch placement reflects the risk that the interest shortfalls will not be reimbursed prior to class M-1's balance reducing to zero. During the November 2020 remittance period, the class M-1 certificates, with a remaining class factor of 8%, incurred its first interest shortfall of $1,033. At the time of the shortfall, class M-1, which is the senior most class, had 87.52% credit support (up from an original credit support of 7.5%) and was receiving all principal funds due to a performance trigger that precludes subordinate classes from receiving principal distributions. In addition, class M-1 benefitted from $631,000 in overcollateralization (O/C) and excess spread of approximately 3.11%. Since the November 2020 distribution, class M-1 has incurred two additional interest shortfalls, and as of January 2021 has a remaining unpaid interest shortfall amount of $2,815. S&P has confirmed with the trustee, Wells Fargo Bank N.A., that distributions have been made in accordance with the transaction documents and that the interest shortfalls occurred after certain cash adjustments were applied to the transaction. While unable to provide a specific break-down of adjustments, the trustee confirmed that typical adjustments can include such things as adjustments for non-advancing loans, reimbursements on non-advancing loans, modification-related incentives and adjustments, as well as expenses of the trust. The cash adjustments were completed prior to interest payments to the certificates, which left the trust with an insufficient amount of interest funds remaining to pay the trust's current period's interest obligation. As a result, all classes within the transaction, including the 'AAA (sf)' rated M-1 class, experienced interest shortfalls. WFALT 2005-2 is similar to most legacy RMBS O/C transactions in that class M-1 receives additional interest to compensate for the delay in interest payments, and the repayment of interest shortfalls only occurs after an overcollateralization target is achieved (i.e., delayed reimbursement). As of the January 2021 remittance report, the current overcollateralization level is 50% of the target overcollateralization amount. However, WFALT 2005-2 is unlike most legacy RMBS O/C transactions in that it prohibits any payment distributions (including reimbursement of prior interest shortfalls) once a class' balance has been reduced to zero. In typical RMBS transactions, classes are able to receive payments after their balance reduces to zero and, in many cases, this allows additional time for the O/C target to be achieved and prior interest shortfalls to be reimbursed. S&P said, "We placed the WFALT 2005-2 class M-1 certificates on CreditWatch with negative implications. The Credit Watch placement reflects reported interest shortfalls on this class, the current level of O/C (50% of the target) and the potential for the target to be reached prior to the class M-1 certificates being paid in full. We will continue to monitor the O/C level and principal pay down of the class M-1 balance. If the reimbursement of missed interest payments becomes more unlikely under our analysis, we will adjust the rating as we consider appropriate pursuant to our criteria." ANALYTICAL CONSIDERATIONS S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." A list of Affected Ratings can be viewed at: https://bit.ly/3dlz7UF [*] S&P Takes Various Actions on 68 Classes From 7 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 68 classes from seven U.S. RMBS re-securitized real estate mortgage investment conduits (re-REMIC) issued between 2005 and 2010. The review yielded 16 upgrades, 47 affirmations, and five discontinuances. At the same time, we removed class 1-A4 from RBSSP Resecuritization Trust 2009-12 from CreditWatch, where it was placed with negative implications on Dec. 8, 2020. S&P said, "On Dec. 8, 2020, we placed 145 classes from 87 U.S. RMBS transactions, including 22 U.S. RMBS re-REMIC transactions, on CreditWatch. The review for the CreditWatch placements followed the update to our criteria guidance article regarding how we analyze the impact of reductions in interest payments to security holders due to loan rate modifications and other credit-related events." The updates to how S&P applies its analytical judgment to determine and assess the impact of interest reduction amounts, include: -- A monthly calculation has been introduced that considers (a)the portion of the pool reported as modified; (b) S&P's assumption as to what percentage of the modified portion has experienced an interest rate adjustment; and (c)an assumed amount of interest rate reduction; -- A calculation that captures expected cumulative interest reduction amount (CIRA) for the remaining life of the security from existing modifications has been updated; -- S&P clarified that the projected interest reduction amount is not applicable for pre-2009 transactions given significant seasoning; -- The maximum potential rating thresholds was updated; and -- More clarity regarding other considerations that may be used and applied in the analysis has been provided. Analytical Considerations S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows." These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Factors related to the COVID-19 pandemic; -- Underlying collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Historical missed interest payments; -- Expected short duration; -- Payment priority; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections." A list of Affected Ratings can be viewed of: https://bit.ly/2NTukyW ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2021. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***