/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210307.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, March 7, 2021, Vol. 25, No. 65 Headlines ACC TRUST 2019-1: Moody's Raises Class B Notes From Ba1 AMERICREDIT AUTOMOBILE 2021-1: Fitch Gives BB(EXP) Rating on E Debt ANCHORAGE CREDIT 4: Moody's Rates $52.5M Class E-R Notes 'Ba3' ANGEL OAK 2021-1: Fitch Assigns B(EXP) Rating on Class B-2 Certs APIDOS CLO XXXV: S&P Assigns Prelim BB- (sf) on Class E Notes ATLAS SENIOR XVI: S&P Assigns BB- (sf) Rating on Class E Notes BEAR STEARNS 2007-PWR17: Fitch Affirms D Rating on 12 Tranches BENCHMARK TRUST 2021-B24: Fitch Assigns 'B-sf' Rating on 2 Tranches BENEFIT STREET II: S&P Assigns B- (sf) Rating on Class D-R Notes BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Class D-RR Notes BRAVO RESIDENTIAL 2021-HE1: Fitch Gives B(EXP) Rating on B-2 Notes BUSINESS JET 2021-1: S&P Assigns Prelim BB (sf) Rating on C Notes CASCADE MH 2021-MH1: Fitch to Rate Class B-2 Notes 'B-(EXP)' CFCRE TRUST 2018-TAN: S&P Affirms BB (sf) Rating on Class X Certs CIM TRUST 2021-J1: Moody's Gives (P)B1 Rating to Cl. B-5 Notes COLUMBIA CENT 31: S&P Assigns BB- (sf) Rating on Class E Notes CSMC 2021-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes ELLINGTON FINANCIAL 2021-1: S&P Assigns B (sf) Rating on B-2 Certs FLAGSTAR MORTGAGE 2021-1: Fitch Gives Final B+ Rating on B-5 Certs FLAGSTAR MORTGAGE 2021-1: Moody's Gives B2 Rating on Cl. B-5 Notes FREDDIE MAC 2021-DNA2: S&P Assigns BB- Prelim Rating on B-1B Notes GCAT 2021-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs GREYWOLF CLO IV: S&P Assigns Prelim BB-(sf) Rating on D-R Notes GS MORTGAGE 2018-SRP5: S&P Cuts Class X-NCP Notes Rating to CCC GS MORTGAGE 2021-PJ2: Fitch Assigns Final B Rating on B-5 Certs ICG US CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes JP MORGAN 2004-PNC1: Fitch Affirms D Rating on 9 Tranches JP MORGAN 2021-3: Fitch Assigns Final B Rating on B-5 Debt JP MORGAN 2021-3: Moody's Gives B3 Rating on Cl. B-5 Certs JP MORGAN 2021-CL1: Moody's Gives B1 Rating on Cl. M-5 Notes KKR CLO 29: S&P Assigns B- (sf) Rating on $4MM Class F Notes MADISON PARK XLVIII: S&P Assigns BB- (sf) Rating on Class E Notes MARINER FINANCE 2021-A: S&P Assigns Prelim BB- Rating on E Notes MORGAN STANLEY 2015-UBS8: Fitch Lowers Rating on 2 Tranches to 'C' MORGAN STANLEY 2019-L2: Fitch Affirms B- Rating on Cl. G-RR Certs N-STAR REAL IX: Fitch Affirms D Rating on 3 Tranches NATIXIS COMMERCIAL 2018-FL1: S&P Affirms 'B+' Rating on ORP1 Certs OFSI BSL VIII: S&P Stays B+ (sf) Rating on Class E Notes OFSI BSL X: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ONEMAIN FINANCIAL 2018-1: S&P Raises Class E Notes Rating to BB+ PIKES PEAK 7: Moody's Gives Ba3 Rating on $16M Class E Notes RESIDENTIAL MORTGAGE 2021-1R: S&P Assigns 'B' Rating on B-2 Notes SARATOGA INVESTMENT 2013-1: Moody's Rates Class E-R-3 Notes 'Ba3' SCULPTOR CLO XXV: S&P Assigns BB- (sf) Rating on Class D Notes SCULPTOR CLO XXV: S&P Assigns Prelim BB- (sf) Rating on D Notes SEQUOIA MORTGAGE 2004-1: S&P Cuts Class A Certs Rating to 'D (sf)' SEQUOIA MORTGAGE 2021-1: Fitch Assigns B Rating on B-4 Certs SG COMMERCIAL 2016-C5: Fitch Cuts Rating on 2 Tranches to 'CCC' TICP CLO 2016-2: S&P Assigns BB- (sf) Rating on Class E-R Notes TOWD POINT 2021-HE1: Fitch Assigns B- Rating on 7 Tranches TRINITAS CLO VI: S&P Assigns B- (sf) Rating on Class F Notes UBS-BARCLAYS COMMERCIAL 2013-C5: Moody's Cuts Class D Certs to B2 UNITED AUTO 2021-1: S&P Assigns Prelim B (sf) Rating on F Notes VIBRANT CLO XII: S&P Assigns Prelim BB- (sf) on Class D Notes WELLS FARGO 2012-C8: Fitch Lowers Rating on Class G Certs to 'B-' WFRBS 2012-C7: Fitch Lowers Rating on 2 Tranches to 'Csf' WFRBS COMMERCIAL 2011-C5: Moody's Affirms B2 Rating on Cl. G Certs WFRBS COMMERCIAL 2013-C12: Fitch Affirms CCC Rating on F Certs [*] S&P Takes Various Actions on 16 Tobacco Settlement-Backed Trust ********* ACC TRUST 2019-1: Moody's Raises Class B Notes From Ba1 ------------------------------------------------------- Moody's Investors Service has upgraded the Class B notes issued by ACC Trust 2019-1. The notes are backed by a pool of closed-end retail automobile leases originated by RAC King, LLC. RAC Servicer, LLC is the servicer and administrator for this transaction. The complete rating action is as follows: Issuer: ACC Trust 2019-1 Class B Notes, Upgraded to Baa3 (sf); previously on Feb 28, 2019 Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The upgrade was prompted by an increase in credit enhancement due to the sequential pay structure in addition to the non-declining reserve account and overcollateralization. Moody's lifetime cumulative credit net loss (CNL) expectation is 40.00% for the underlying pool, reflecting an approximately 20% increase to the remaining expected loss due to the performance deterioration as a result of the slowdown in US economic activity due to the COVID-19 outbreak. Moody's analyzed credit losses as well as the residual risk of the pool based on exposure to residual value risk, the historical turn-in rate, and historical residual value performance. Non-prime auto leases are more susceptible to the current economic slowdown due to the relatively weak credit quality of the underlying obligors. The COVID-19 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 consumer 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 COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2020. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles leading to a residual value gain when the vehicle is turned in at the end of the lease and remarketed. Portfolio losses also depend greatly on the US job markets, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given our expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. 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 vehicles leading to higher residual value loss when the vehicle is turned in at the end of a lease and remarketed. Portfolio losses also depend greatly on the US job markets and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance, and fraud. AMERICREDIT AUTOMOBILE 2021-1: Fitch Gives BB(EXP) Rating on E Debt ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to AmeriCredit Automobile Receivables Trust (AMCAR) 2021-1. DEBT RATING ---- ------ AmeriCredit Automobile Receivables Trust 2021-1 A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating TRANSACTION SUMMARY The social and market disruptions caused by the coronavirus pandemic and related containment measures have negatively affected the U.S. economy. To account for the potential impact on AMCAR 2021-1, Fitch's base case cumulative net loss (CNL) proxy was derived by taking into account GMF's 2006-2008 recessionary static-managed portfolio performance resulting from an elevated unemployment environment, along with more recent GMF-managed vintage performance. The sensitivity of the ratings to scenarios more severe than currently expected is provided in the Rating Sensitivities section of this report. KEY RATING DRIVERS Collateral and Concentration Risks - Consistent Credit Quality: The pool has consistent credit quality compared to recent pools based on the weighted average (WA) Fair Isaac Corp. (FICO) score of 586 and internal credit scores. Obligors with FICO scores of 600 and greater total 43.1%, up from 42.3% in 2020-3 and 39.3% in 2020-2. Extended-term (61+ month) contracts total 93.7%, which is consistent with prior transactions. The 73-75 month contracts total 14.1%, in line with transactions since 2019-2. However, 2021-1 is the third transaction to include 76-84 month contracts, at 9.0% of the pool, up from 5.0% and 3.8% in 2020-3 and 2020-2, respectively. Forward-Looking Approach to Derive Base Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions in deriving the series loss proxy. Losses on GMF's managed portfolio and securitizations have been normalizing in recent years, with 2015-2017 vintages tracking higher than the strong 2010-2014 vintages. However, overall performance continues to be within Fitch's expectations. Fitch accounted for the weaker performance of recent vintages when deriving the cumulative net loss (CNL) proxy of 11.00%. Payment Structure - Sufficient Credit Enhancement: Initial hard credit enhancement (CE) is consistent with that of 2020-3 and 2020-2, totaling 34.35%, 27.10%, 18.10%, 11.25% and 8.40% for classes A, B, C, D and E, respectively. Excess spread is expected to be 9.12% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base case CNL proxy. Coronavirus Causing Economic Shock: Fitch made assumptions about the spread of coronavirus and the economic impact of the related containment measures. As a base-case scenario, Fitch assumes that the global recession that took hold in 1H20 and subsequent activity bounce in 2H20 is followed by a slower recovery trajectory in early 2021 with GDP remaining below its 4Q19 level for 18 months-30 months. Under this scenario, Fitch's initial base case CNL proxy was derived utilizing 2006-2008 recessionary static managed portfolio performance and 2015-2016 vintages that have experienced slightly weaker performance, while also considering ABS performance. As a downside (sensitivity) scenario provided in the Rating Sensitivity section, Fitch considers a more severe and prolonged period of stress with recovery to pre-crisis GDP levels delayed until 2023 in the U.S. Under the downside case, Fitch also completed a rating sensitivity by doubling the initial base case loss proxy. Under this scenario, the notes could be downgraded by up to three categories. Seller/Servicer Operational Review - Consistent Origination/Underwriting/Servicing: Fitch rates GM and GMF 'BBB-/F3'/Stable. GMF demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch deems GMF capable of adequately servicing this series. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings would be maintained for the class A notes at stronger rating multiples and the subordinate notes could be upgraded by up to two categories. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. -- Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. -- Additionally, Fitch conducts increases of 1.5x and 2.0x to the CNL proxy, representing moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an automobile loan ABS structure and the rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. A more prolonged disruption from the pandemic is accounted for in the severe downside stress of 2.0x and could result in downgrades of up to three rating categories. Due to the coronavirus pandemic, the U.S. and the broader global economy remain under stress, with elevated unemployment and pressure on businesses stemming from government-led social distancing guidelines. Unemployment pressure on the consumer base may result in increases in delinquencies. In addition, an inability to repossess and recover on vehicles from charged off contracts might delay recovery cashflows available to the notes. For sensitivity purposes, Fitch assumes a 2.0x increase in delinquency stress. The results indicate no adverse rating impact to the notes. Fitch acknowledges that lower prepayments and longer recovery lag times due to a delayed ability to repossess and recover on vehicles may result from the pandemic. However, changes in these assumptions, with all else equal, would not have an adverse impact on modeled loss coverage, and Fitch has maintained its stressed assumptions. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation of certain characteristics with respect to 185 randomly selected sample loan contracts. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ANCHORAGE CREDIT 4: Moody's Rates $52.5M Class E-R Notes 'Ba3' -------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CDO refinancing notes (the "Refinancing Notes") issued by Anchorage Credit Funding 4, Ltd. (the "Issuer"). Moody's rating action is as follows: US$375,000,000 Class A-R Senior Secured Fixed Rate Notes Due 2039 (the "Class A-R Notes"), Definitive Rating Assigned Aaa (sf) US$90,000,000 Class B-R Senior Secured Fixed Rate Notes Due 2039 (the "Class B-R Notes"), Definitive Rating Assigned Aa3 (sf) US$48,750,000 Class C-R Mezzanine Secured Deferrable Fixed Rate Notes Due 2039 (the "Class C-R Notes"), Definitive Rating Assigned A3 (sf) US$33,750,000 Class D-R Mezzanine Secured Deferrable Fixed Rate Notes Due 2039 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$52,500,000 Class E-R Junior Secured Deferrable Fixed Rate Notes Due 2039 (the "Class E-R Notes"), Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on our methodology and considers all relevant risks particularly those associated with the CDO's portfolio and structure. The Issuer is a managed cash flow collateralized debt obligation (CDO). The issued notes are collateralized primarily by corporate bonds and loans. At least 30% of the portfolio must consist of first lien senior secured loans, senior secured notes, and eligible investments, and up to 15% of the portfolio may consist of second lien loans. Anchorage Capital Group, L.L.C. (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 extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest up to 50% of unscheduled principal payments and proceeds from sales of credit risk assets. The Issuer has issued the Refinancing Notes on February 25, 2021 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") originally issued on December 14, 2016 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels, the inclusion of alternative benchmark replacement provisions; additions to the CDO's ability to hold workout and restructured assets; and changes to the definition of "Adjusted Weighted Average Moody's Rating Factor". 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. 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: Portfolio par: $750,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3440 Weighted Average Coupon (WAC): 5.8% Weighted Average Recovery Rate (WARR): 35.0% Weighted Average Life (WAL): 11 years 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. ANGEL OAK 2021-1: Fitch Assigns B(EXP) Rating on Class B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2021-1 (AOMT 2021-1). DEBT RATING ---- ------ AOMT 2021-1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Angel Oak Mortgage Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1 (AOMT 2021-1) as indicated above. The certificates are supported by 509 loans with a balance of$272.29 million as of the cutoff date. This will be the 14th Fitch-rated AOMT transaction. The certificates are secured primarily by mortgage loans that were originated by Angel Oak affiliated entities (collectively Angel Oak), which include Angel Oak Mortgage Solutions LLC (AOMS) (89.7%), and Angel Oak Home Loans LLC (AOHL) (7.9%). The remaining loans were originated by third-party originators each contributing less than 2% to the pool. Of the loans in the pool, 89.3% are designated as nonqualified mortgage (non-QM), and 10.7% are investment properties not subject to Ability to Repay rule. There are no loans designated as QM in the pool. There is LIBOR exposure in this transaction. The collateral consists of 0.8% 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 Expanded Prime Credit Quality (Mixed): The collateral consists mainly of 30-year fixed rate fully amortizing loans (approximately 98%), 40-year fully amortizing fixed rate with 10-year I/O (1.7%), and 30-year fully amortizing ARM loans (0.8%). The pool is seasoned approximately 6 months in aggregate, as determined by Fitch. The borrowers in this pool have strong credit profiles with a 743 weighted average (WA) FICO score and 35% DTI, as determined by Fitch, and relatively high leverage (82% sLTV). In addition, the pool contains five loans over $1 million, with and the largest at $2.9 million. Self-employed (non-debt service coverage ratio [DSCR]) borrowers make up 86.5% of the pool, salaried non-DSCR borrowers make up 8.3% of the pool, and 5.2% of the loans in the pool are investor cash flow (DSCR) loans. Approximately 11% of the pool comprises loans on investor properties (5.5% underwritten to the borrowers' credit profile and 5.2% comprising investor cash flow loans). None of the borrowers have subordinate financing, there are no second lien loans, and only 1.3% of borrowers were viewed by Fitch as having a prior credit event in the past seven years. Although the credit quality of the borrowers is higher than prior AOMT transactions, the pool characteristics resemble non-prime collateral, and therefore, the pool was analyzed using Fitch's non-prime model. Loan Documentation (Negative): Approximately 88% of the pool was underwritten to less than full documentation. 81.5% was underwritten to a 12- or 24- month bank statement program for verifying income in accordance with either AOHL's or AOMS's guidelines, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on the bank statement loans. Besides loans underwritten to a bank statement program, 1% is an asset depletion product and 5.2% is DSCR product. Geographic Concentration (Neutral): Approximately 28.9% of the pool is concentrated in Florida. The largest MSA concentration is in the Miami-Fort Lauderdale-Miami Beach, FL MSA (14.3%), followed by the Los Angeles-Long Beach-Santa Ana, CA MSA (11.8%) and the Atlanta-Sandy Springs-Marietta, GA MSA (6.7%). The top three MSAs account for 32.8% of the pool. As a result, there was no adjustment for geographic concentration. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while shutting out the subordinate bonds from principal until all three classes have been reduced to zero. To the extent that either the cumulative loss trigger event or the 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 Holidays Related to Coronavirus Pandemic (Neutral): There are no loans currently on an active forbearance plan. All the loans that were previously on a forbearance plan are no longer on a plan as the plan has expired. For the loans that are contractually current as of the cutoff but had a prior delinquency due to a forbearance plan (dirty current loans), Fitch treated these loans as clean current even though the loans had a prior delinquency due to being on a coronavirus relief plan. This treatment was applied since all prior mortgage payments have been repaid and the borrower demonstrated the ability and willingness to repay the prior mortgage debt. Angel Oak is offering borrowers up to an initial three-month payment forbearance plan (some borrowers have been offered a two-month payment forbearance plan). Beginning in month three (or the expiration of the forbearance plan), the borrower can opt to reinstate (i.e. repay the three missed mortgage payments in a lump sum) or repay the missed amounts with a repayment plan. If reinstatement or a repayment plan is not affordable, the missed payments will be added to the end of the loan term due at payoff or maturity as a deferred principal. If the borrower does not become current under a repayment plan or is not able to make payments after a deferral plan was granted, other loss mitigation options will be pursued (including extending the forbearance term). The servicer will continue to advance during the forbearance period. Recoveries of advances will be repaid either from reinstated or repaid amounts from loans where borrowers are on a repayment plan. For loans with deferrals of missed payments, the servicer can recover advances from the principal portion of collections, which may result in a mismatch between the loan balance and certificate balance. While this may increase realized losses, the 473 bps of excess spread as of the closing date should be available to absorb these amounts and reduce the potential for writedowns. Investor Property Concentration (Negative): Of the pool, 10.7% comprises investment properties. Specifically, 5.5% of loans were underwritten using the borrower's credit profile, while the remaining 5.2% were originated through the originators' investor cash flow program that targets real estate investors qualified on a debt service coverage ratio (DSCR) basis. The borrowers of the non-DSCR investor properties in the pool have weaker credit profiles, with a WA FICO of 744 (as calculated by Fitch) and an original CLTV of approximately 69.3% and DSCR loans have a WA FICO of 758 (as calculated by Fitch) and an original CLTV of roughly 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. The percent of investment properties and DSCR loans is less than half the amount seen in prior AOMT transactions, which Fitch views positively. Foreign National Concentration (Negative): Approximately 0.6% of the loans in the pool (six loans) were underwritten to foreign nationals or non-permanent residents. These borrowers were mostly granted loans through Angel Oak's foreign national non-prime loan programs. Fitch reviewed the underwriting guidelines for this program and found them to be robust. Stop Advance Structure (Mixed): The transaction has a stop advance feature where the servicer will advance delinquent principal and interest (P&I) up to 180 days. While the limited advancing of delinquent P&I benefits the pool's projected loss severity (LS), it reduces liquidity. To account for the reduced liquidity of a limited advancing structure, principal collections are available to pay timely interest to the 'AAAsf', 'AAsf' and 'Asf' rated bonds. Fitch expects 'AAAsf' and 'AAsf' rated bonds to receive timely payments of interest and all other bonds to receive ultimate interest. Additionally, as of the closing date, the deal benefits from approximately 379 bps of excess spread, which will be available to cover shortfalls prior to any writedowns. The servicer, Select Portfolio Servicing (SPS), will provide P&I advancing on delinquent loans (even the loans that become subject to a coronavirus forbearance plan). If SPS is not able to advance, the master servicer (Wells Fargo Bank) will advance P&I on the certificates. Stronger Credit Quality From Prior Transactions (Positive): This transaction is the eighth Fitch rated securitization in the past year by this issuer. All of these transactions have been collateralized with generally comparable credit-quality and assets and have used the identical structure and similar transaction parties. This transaction consists of newly originated loans and has a stronger credit profile compared with prior AOMT transactions. Fitch's projected asset losses and the transaction's credit enhancement is in line with prior Non-QM transactions with similar collateral attributes and credit enhancement. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Angel Oak employs sound sourcing and underwriting processes and is assessed by Fitch as an 'Average' originator. Primary and master servicing responsibilities will be performed by Select Portfolio Servicing, Inc. (SPS) and Wells Fargo Bank, NA (Wells Fargo), rated 'RPS1-' and 'RMS1-', respectively, by Fitch. Fitch decreased its expected loss at the 'AAAsf' rating stress by approximately 162bps to reflect strong counterparties with established servicing platforms and operating experience in non-agency private label securitization. The sponsor's retention of an eligible horizontal residual interest of at least 5% helps ensure an alignment of interest between the issuer and investors. R&W Framework (Negative): AOHL will be providing loan-level representations and warranties (R&W) to the loans in the trust. If the entity is no longer an ongoing business concern, it will assign to the trust its rights under the mortgage loan purchase agreements with the originators, which include repurchase remedies for R&W breaches. While the loan-level reps for this transaction are substantially consistent with a Tier I framework, the lack of an automatic review for loans other than those with ATR realized loss and the nature of the prescriptive breach tests, which limit the breach reviewers' ability to identify or respond to issues not fully anticipated at closing, resulted in a Tier 2 framework. Fitch increased its loss expectations (65 bps at the 'AAAsf' rating category) to mitigate the limitations of the framework and the counterparty risk of the provider. Due Diligence Review Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction pool. The reviews were conducted by five different third-party review (TPR) firms, all of which are reviewed and approved by Fitch. The five TPR firms are: AMC Diligence, LLC, Clayton Services LLC, Edge Mortgage Advisory Company LLC, Consolidated Analytics, Inc. and Infinity IPS. The results of the review confirm sound origination practices with minimal incidence of material exceptions. Loans that received a final grade of 'B' had immaterial exceptions and either had strong compensating factors or 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 49 bps. AOMT 2021-1 has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk. Operational risk is well controlled for in AOMT 2021-1, including strong transaction due diligence as well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. 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. 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 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' rated, 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 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 7.6% at the base case. This 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 Fitch's stress and rating sensitivity analysis are discussed in its presale report "Angel Oak Mortgage Trust 2021-1". 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, Clayton, Consolidated Analytics, Infinity, and EdgeMAC. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.49%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Clayton, Consolidated Analytics, Infinity and EdgeMAC were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS AOMT 2021-1 has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk. Operational risk is well controlled for in AOMT 2021-1, including strong transaction due diligence as well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. 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. APIDOS CLO XXXV: S&P Assigns Prelim BB- (sf) on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Apidos CLO XXXV/Apidos CLO XXXV 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 preliminary ratings are based on information as of Feb. 26, 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 Apidos CLO XXXV/Apidos CLO XXXV LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C, $31.25 million: A (sf) Class D, $28.75 million: BBB- (sf) Class E, $17.50 million: BB- (sf) Subordinated notes, $53.60 million: Not rated ATLAS SENIOR XVI: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 BEAR STEARNS 2007-PWR17: Fitch Affirms D Rating on 12 Tranches -------------------------------------------------------------- Fitch has affirmed 55 distressed classes in four U.S. CMBS 1.0 transactions. DEBT RATING PRIOR ---- ------ ----- Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 C 07388QAN9 LT CCCsf Affirmed CCCsf D 07388QAQ2 LT Csf Affirmed Csf E 07388QAS8 LT Dsf Affirmed Dsf F 07388QAU3 LT Dsf Affirmed Dsf G 07388QAW9 LT Dsf Affirmed Dsf H 07388QAY5 LT Dsf Affirmed Dsf J 07388QBA6 LT Dsf Affirmed Dsf K 07388QBC2 LT Dsf Affirmed Dsf L 07388QBE8 LT Dsf Affirmed Dsf M 07388QBG3 LT Dsf Affirmed Dsf N 07388QBJ7 LT Dsf Affirmed Dsf O 07388QBL2 LT Dsf Affirmed Dsf P 07388QBN8 LT Dsf Affirmed Dsf Q 07388QBQ1 LT Dsf Affirmed Dsf Banc of America Commercial Mortgage Inc. 2005-1 B 05947UD62 LT Csf Affirmed Csf C 05947UD70 LT Csf Affirmed Csf D 05947UD88 LT Dsf Affirmed Dsf E 05947UE20 LT Dsf Affirmed Dsf F 05947UE38 LT Dsf Affirmed Dsf G 05947UE46 LT Dsf Affirmed Dsf H 05947UE53 LT Dsf Affirmed Dsf J 05947UE61 LT Dsf Affirmed Dsf K 05947UE79 LT Dsf Affirmed Dsf L 05947UE87 LT Dsf Affirmed Dsf M 05947UE95 LT Dsf Affirmed Dsf N 05947UF29 LT Dsf Affirmed Dsf O 05947UF37 LT Dsf Affirmed Dsf Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13 D 07388LAN0 LT Csf Affirmed Csf E 07388LAP5 LT Dsf Affirmed Dsf F 07388LAQ3 LT Dsf Affirmed Dsf G 07388LAR1 LT Dsf Affirmed Dsf H 07388LAS9 LT Dsf Affirmed Dsf J 07388LAT7 LT Dsf Affirmed Dsf K 07388LAU4 LT Dsf Affirmed Dsf L 07388LAV2 LT Dsf Affirmed Dsf M 07388LAW0 LT Dsf Affirmed Dsf N 07388LAX8 LT Dsf Affirmed Dsf O 07388LAY6 LT Dsf Affirmed Dsf J.P. Morgan Chase Mortgage Securities Trust 2008-C2 A-J 46632MCL2 LT Dsf Affirmed Dsf A-M 46632MCJ7 LT Csf Affirmed Csf B 46632MAG5 LT Dsf Affirmed Dsf C 46632MAJ9 LT Dsf Affirmed Dsf D 46632MAL4 LT Dsf Affirmed Dsf E 46632MAN0 LT Dsf Affirmed Dsf F 46632MAQ3 LT Dsf Affirmed Dsf G 46632MAS9 LT Dsf Affirmed Dsf H 46632MAU4 LT Dsf Affirmed Dsf J 46632MAW0 LT Dsf Affirmed Dsf K 46632MAY6 LT Dsf Affirmed Dsf L 46632MBA7 LT Dsf Affirmed Dsf M 46632MBC3 LT Dsf Affirmed Dsf N 46632MBE9 LT Dsf Affirmed Dsf P 46632MBG4 LT Dsf Affirmed Dsf Q 46632MBJ8 LT Dsf Affirmed Dsf T 46632MBL3 LT Dsf Affirmed Dsf TRANSACTION SUMMARY Fitch has affirmed all distressed classes of Banc of America Commercial Mortgage Inc, Series 2005-1. Losses from the remaining asset, Mall at Stonecrest, are expected to impact all remaining classes, rated 'Csf' and 'Dsf'. The regional mall is located in Lithonia, GA. The borrower previously proposed an A/B Note split, but failed to execute the plan. The borrower and special servicer are continuing to discuss a potential discounted payoff. Fitch has affirmed all distressed classes of Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13 commercial mortgage pass-through certificates. Losses from the second largest asset (27% of the pool) are expected to impact class D, the most senior class in the transaction and currently rated 'Csf'. The loan is in foreclosure and the asset, a retail property, is undergoing environmental remediation. Fitch has affirmed all distressed classes of Bear Stearns Commercial Mortgage Securities Trust, series 2007-PWR17 commercial mortgage pass-through certificates. Fitch's overall loss expectations on the specially serviced loans/REO assets remain high. Four assets are currently in special servicing and REO, and comprise 75% of the remaining pool. Fitch expects losses for these assets to be significant based on the servicer's most recent values. The largest REO is City Center Englewood, a 218,076 sf retail center located in Englewood, CO. The center is part of the larger development, including a 425-unit apartment complex and a Walmart and has been identified in an Opportunity Zone. The property is not currently being marketed for sale while the special servicer works through rent relief requests due to the pandemic. Fitch has affirmed all classes in J.P. Morgan Chase Mortgage Trust 2008-C2 at their distressed ratings of 'Csf' and 'Dsf'. The largest remaining loan is collateralized by two Westin resort hotels: the 487 room Westin La Paloma in Tucson, AZ and the 416 room oceanfront Westin Hilton Head in Hilton Head, SC. As part of the borrower's bankruptcy, the loan was modified to a 30-year loan term with a 0% interest rate with fixed monthly payments of $248,000 for this transaction. The transaction is incurring a monthly modification expense of approximately $258,000 per month, which is applied as a realized loss each month. The loan's modified maturity date is in 2033. Losses from this expense are expected to impact class AM, currently rated 'Csf'. KEY RATING DRIVERS High Expected Losses: All of the transactions have high expected losses, as a significant concentration of the remaining assets are in special servicing. Low Credit Enhancement (CE): Each of the remaining classes has low CE. The distressed ratings on the bonds reflect insufficient CE to absorb the expected losses. Banc of America Commercial Mortgage Inc. 2005-1 has an ESG score of 5 for Social Impact due to exposure to sustained structural shift in secular preferences affecting consumer trends, occupancy trends, etc. which, on an individual basis, has a significant impact on the rating. J.P. Morgan Chase Mtg Securities Trust 2008-C2 has an ESG score of 5 for Transaction and Collateral Structure for exposure to asset isolation; resolution/insolvency remoteness; legal structure; structural risk mitigants; complex structures which, on an individual basis, has a significant impact on the rating. 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. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Although not expected, factors that could lead to upgrades include significant improvement in valuations and performance of the remaining assets. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- All classes in these transactions are distressed. Further downgrades to 'Dsf' are expected as losses are incurred. Classes currently rated 'Dsf' will remain unchanged as losses have already been incurred. 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 Banc of America Commercial Mortgage Inc. 2005-1 has an ESG score of 5 for Social Impact due to exposure to sustained structural shift in secular preferences affecting consumer trends, occupancy trends, etc. which, has a negative impact on the credit profile, and is highly relevant to the ratings, each of which are distressed. J.P. Morgan Chase Mtg Securities Trust 2008-C2 has an ESG score of 5 for Transaction and Collateral Structure for exposure to asset isolation; resolution/insolvency remoteness; legal structure; structural risk mitigants; complex structures which has a negative impact on the credit profile, and is highly relevant to the ratings, each of which are distressed. 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. BENCHMARK TRUST 2021-B24: Fitch Assigns 'B-sf' Rating on 2 Tranches ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2021-B24 Mortgage Trust commercial mortgage pass-through certificates series 2021-B24 as follows: -- $11,152,000 class A-1 'AAAsf'; Outlook Stable; -- $73,848,000 class A-2 'AAAsf'; Outlook Stable; -- $81,111,000 class A-3 'AAAsf'; Outlook Stable; -- $135,000,000a class A-4 'AAAsf'; Outlook Stable; -- $444,281,000a class A-5 'AAAsf'; Outlook Stable; -- $25,562,000 class A-SB 'AAAsf'; Outlook Stable; -- $857,686,000b class X-A 'AAAsf'; Outlook Stable; -- $99,123,000b class X-B 'A-sf'; Outlook Stable; -- $86,732,000 class A-S 'AAAsf'; Outlook Stable; -- $49,562,000 class B 'AA-sf'; Outlook Stable; -- $49,561,000 class C 'A-sf'; Outlook Stable; -- $57,822,000bc class X-D 'BBB-sf; Outlook Stable; -- $28,910,000bc class X-F 'BB-sf'; Outlook Stable; -- $12,391,000bc class X-G 'B-sf; Outlook Stable; -- $31,664,000c class D 'BBBsf'; Outlook Stable; -- $26,158,000c class E 'BBB-sf'; Outlook Stable; -- $28,910,000c class F 'BB-sf'; Outlook Stable; -- $12,391,000c class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $45,431,418c class NR; -- $45,431,418bc class X-NR; -- $20,859,855cd class RR; -- $37,106,641cd RR Interest. (a) The initial certificate balances of classes A-4 and A-5 are unknown and expected to be $579,281,000 in the aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 to $270,000,000, and the expected class A-5 balance range is $309,281,000 to $579,281,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint of the range for each class. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Non-offered vertical credit risk retention interest. The expected ratings are based on information provided by the issuer as of March 1, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 fixed-rate loans secured by 71 commercial properties having an aggregate principal balance of $1,159,329,914 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc, JPMorgan Chase Bank, National Association, German American Capital Corporation and Goldman Sachs Mortgage Company. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 23.2% of the properties by balance, cash flow analyses of 94.7% of the pool, and asset summary reviews on 100% of the pool. Coronavirus Impact: The ongoing containment effort related to the coronavirus pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense, rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the U.S. federal government can mitigate the impact on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests; however, the sponsors for four loans, Dawson Marketplace (3.8% of the pool), JW Marriott Nashville (3.0% of the pool), Willoughby Commons (1.5% of the pool), and Holiday Inn Philadelphia South (0.5% of the pool) have negotiated loan amendments/modifications. KEY RATING DRIVERS Leverage Exceeds that of Recent Transactions: This pool has a higher leverage than those of other recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch trust loan-to-value ratio (LTV) of 104.1% is higher than the 2020 and 2019 averages of 99.6% and 103.0%, respectively. Additionally, the pool's trust Fitch debt service coverage ratio (DSCR) of 1.34x is in-line with the 2020 average of 1.32x and above the 2019 average of 1.26x. Excluding credit opinion loans, the pool's weighted average (WA) Fitch trust DSCR and LTV are 1.26x and 111.9%, respectively. Investment-Grade Credit Opinion Loans: The pool includes two loans, representing 13.8% of the pool, that received investment-grade credit opinions. This is below the 2020 and 2019 averages of 24.5% and 14.2%, respectively. 410 Tenth Avenue (6.9% of the pool) received a credit opinion of 'Asf*' on a stand-alone basis and MGM Grand & Mandalay Bay (6.9%) received a credit opinion of 'BBB+sf*' on a stand-alone basis. High Office Exposure: Loans secured by office properties account for 54.3% of the pool's cutoff balance, which is higher than the 2020 and 2019 averages of 41.2% and 34.2%, respectively. Seven of the top 10 loans are secured by office properties, including the largest loan, 410 Tenth Avenue (6.9% of the pool). Industrial properties have the next highest property type concentration at 15.3%, which is above the 2020 and 2019 averages of 9.8% and 7.3%, respectively. The pool's retail property concentration of 12.6% is below the 2020 and 2019 averages of 16.3% and 23.6%, respectively, and the pool's hotel concentration of 10.5% is slightly above the 2020 average of 9.2%, but below the 2019 average of 12.0%. Limited Amortization: Twenty-seven loans, representing 76.2% of the pool's cutoff balance, are interest only (IO) for either the entirety of their respective loan terms or up to the anticipated repayment date (ARD). This concentration of full-term IO loans is greater than the 2020 and 2019 averages of 67.7% and 60.3%, respectively. Based on the scheduled balance at maturity, the pool will pay down at 3.5% by maturity, which is below the 2020 and 2019 averages of 5.3% and 5.9%, respectively. RATING SENSITIVITIES This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The result below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /'BB-sf' / 'B-sf'. 20% NCF Increase: 'AAAsf' / 'AAAsf' / ' AA+sf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /'BB-sf' / 'B-sf'. 10% NCF Decline: 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'Bsf' /'CCCsf' / 'CCCsf'. 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf ' / 'CCCsf' / 'CCCsf'. 30% NCF Decline: 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf'/ 'CCCsf' / 'CCCsf' / 'CCCsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY Sufficient data, including asset summaries, three years of property financials, when available, and third-party reports on the properties were received from the issuer. Ongoing performance monitoring, including the data provided, is described in the Surveillance section of the presale report. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENEFIT STREET II: S&P Assigns B- (sf) Rating on Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R2, A-1-R2, A-2-R2, and B-R2 replacement notes from Benefit Street Partners CLO II Ltd., a CLO originally issued in 2013 and subsequently reset in 2017, that is managed by Benefit Street Partners LLC. The replacement notes will be issued via a proposed supplemental indenture. The class C-R and D-R notes will not be 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 as of Feb. 25, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 8, 2021, refinancing date, the proceeds from the replacement notes issuance 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." REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount (mil. $) Interest rate (%) X-R2 0.625 Benchmark + 0.65 A-1-R2 307.336 Benchmark + 0.87 A-2-R2 61.900 Benchmark + 1.45 B-R2 40.000 Benchmark + 1.90 Original Notes Class Amount (mil. $) Interest rate (%) X 0.625 LIBOR + 1.70 A-1-R 307.336 LIBOR + 1.25 A-2-R 61.900 LIBOR + 1.75 B-R 40.000 LIBOR + 2.55 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, 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." PRELIMINARY RATINGS ASSIGNED Benefit Street Partners CLO II Ltd. Replacement class Rating Amount (mil $) X-R2 AAA (sf) 0.625 A-1-R2 AAA (sf) 307.336 A-2-R2 AA (sf) 61.900 B-R2 A (sf) 40.000 OTHER OUTSTANDING RATINGS Benefit Street Partners CLO II Ltd. Class Rating C-R BB+ (sf) D-R B- (sf) Subordinated notes NR NR--Not rated. BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Class D-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-RRR, A-2A-RRR, A-2B-RRR, B-RRR, C-RRR, and D-RR replacement fixed- and floating-rate notes and a new class X note from Benefit Street Partners CLO IV Ltd., a CLO originally issued in 2014 that is managed by Benefit Street Partners LLC. The replacement notes were issued via a supplemental indenture. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Feb. 25, 2021, refinancing date, the proceeds from the issuance of the replacement notes redeemed the original notes. At that time, S&P withdrew the ratings on the original notes and assigning ratings to the replacement notes. Based on provisions in the supplemental indenture: -- The replacement class A-1-RRR, B-RRR, C-RRR, and D-RR notes were issued at lower floating spreads than the original notes. -- The replacement class A-2A-RRR and A-2B-RRR notes were issued at a floating spread and fixed coupon, respectively, replacing the current floating spread. -- There was an addition of a new class X note, which pays a floating spread. -- The stated maturity, reinvestment period, and weighted average life test date were extended three years. Ratings Assigned Benefit Street Partners CLO IV Ltd./Benefit Street Partners CLO IV LLC Class X, $5.00 million: AAA (sf) Class A-1-RRR, $310.0 million: AAA (sf) Class A-2A-RRR, $60.00 million: AA (sf) Class A-2B-RRR, $10.00 million: AA (sf) Class B-RRR (deferrable), $30.00 million: A (sf) Class C-RRR (deferrable), $30.00 million: BBB- (sf) Class D-RR (deferrable), $17.50 million: BB- (sf) Subordinated notes, $66.48 million: Not rated Ratings Withdrawn Benefit Street Partners CLO IV Ltd./Benefit Street Partners CLO IV LLC Class A-1-RR: to not rated from AAA (sf) Class A-2-RR: to not rated from AA (sf) Class B-RR: to not rated from A (sf) Class C-RR: to not rated from BBB- (sf) Class D-R: to not rated from B (sf) BRAVO RESIDENTIAL 2021-HE1: Fitch Gives B(EXP) Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Bravo Residential Funding Trust 2021-HE1 (BRAVO 2021-HE1) DEBT RATING ---- ------ BRAVO 2021-HE1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Trust Certificates LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes backed by seasoned first and second lien, open and closed home equity line of credit (HELOC) and home equity loans on residential properties to be issued by BRAVO Residential Funding Trust 2021-HE1 (BRAVO 2021-HE1). This is the first transaction that includes HELOCs with open draws on the BRAVO shelf. The collateral pool consists of 5,408 seasoned performing loans (SPL) and re-performing loans (RPL) totaling $305.66 million. As of the cut-off date, approximately $192.40 million of the collateral consists of second liens while the remaining $113.26 million comprises first liens. The maximum available draw amount as of the cut-off date is expected to be $158.52 million, as determined by Fitch. The loans were originated or acquired by affiliates of Capital One, National Association, which exited the mortgage originations business in 2018, and were subsequently purchased by an a PIMCO-managed private fund in a bulk sale and are serviced by Rushmore Loan Management Services (Rushmore). Distributions of principal are based on a modified sequential structure subject to the transaction's performance triggers. Interest payments are made sequentially, while losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the variable funding account (VFA). The VFA will be funded up front, and the holder of the trust certificates will be obligated, in certain circumstances (only if the draws exceed funds in the VFA), to remit funds to the VFA on behalf of the holder of the class R note in order to reimburse the servicer for certain draws made with respect to the mortgage loans. Any amounts remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Rushmore, will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Seasoned Prime Credit Quality (Positive): The pool in aggregate is seasoned almost nine years with the first-lien portion seasoned roughly eight years and the second-lien portion seasoned roughly 10 years. Of the loans, 99.2% are current and 0.8% are currently 30 days delinquent. Nearly 88% of the loans have been performing for at least the previous 24 months and, therefore, received a credit in Fitch's US RMBS Loan Loss model. Approximately 2% of loans have received a prior modification. The pool exhibits a relatively strong credit profile as shown by the Fitch determined 754 weighted average (WA) FICO as well as the 63.7% sustainable loan-to-value ratio (sLTV). Geographic Concentration (Negative): Approximately 25.1% of the pool is concentrated in Maryland. The largest MSA concentration is in the Washington-Arlington-Alexandria, DC-VA-MD MSA (32.2%), followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (24.6%) and the New Orleans-Metairie-Kenner, LA MSA (7.8%). The top three MSAs account for 64.6% of the pool. As a result, there was a 1.2x Probability of Default (PD) penalty for geographic concentration. Modified Sequential Structure (Positive): The transaction has a modified sequential structure that distributes principal pro-rata to the senior classes to the extent that the performance triggers are passing. To the extent they are failing, it is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses and cap carryover amounts. Excess spread is not being used to turbo down the bonds, and as a result, more credit enhancement compared to expected loss is needed. If the triggers are passing, the Trust Certificates will receive their pro-rata share of principal and the residual principal balance will receive its pro-rata share of losses up to the trust certificates' writedown amount for such payment date. If triggers are failing, the Trust Certificates will be paid principal after all other classes have been paid in full and the trust certificate will take losses first followed by the subordinate, mezzanine and senior notes. No Servicer Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. 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. 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 36% of the pool are first-lien loans, with the remaining 64% junior liens. About 77% of this population are open HELOCs, with the ability for borrowers to draw down additional amounts or the line is temporarily frozen, but the borrower may be able to draw in the future. The utilization rate on the HELOCs is 59%. The max draw amount for open or temporarily frozen HELOC loans was used in Fitch's loss analysis and for determining applicable LTVs. Second Lien 100% Loss Severity (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; thus, no additional default penalty was applied. Unlike some other HELOC transactions, this transaction does not write off the delinquent second-lien loans at 180 days. Multiple Indebtedness Mortgage (MIM) (Negative): 58 loans, or 0.58% of the pool, are MIM loans. A MIM is a loan (which are a mortgage product specific to Louisiana) where the borrower owes more than one debt secured by a property. Unlike a traditional mortgage where a promissory note is used to secure the loan, a MIM directly secures the credit extension or loan advances on a line of credit basis. At origination, the borrower is approved for a loan of a certain amount, and later can borrow up to that amount. However, the product does not require any additional adjustment, because for all MIMs in the pool, no additional funding on the MIMs can be exercised since the seller agreed not to originate any additional mortgage loans under the MIMs following the closing date... Additionally, to the extent a borrower had previously exercised an additional MIM financing, Fitch considered all balances to be cross-collateralized for its analysis. For this transaction, Fitch added the external debt to the current unpaid balance, in addition to the original loan amount, to capture the added risk. Payment Holidays Related to Coronavirus Pandemic: 27 loans (0.5% of the pool) were previously on coronavirus forbearance plans that have since expired and 160loans (3.1%) went on coronavirus deferral plans. None of the loans in the pool are on active forbearance plans. Of the loans that were previously on forbearance plans, six loans in the pool received paystring adjustments and were treated as clean current for the coronavirus forbearance period if they were cash flowing once the relief period ended. All loans that were previously on coronavirus plans had HELOC lines either permanently closed or temporarily frozen. Stronger Credit Profile than Legacy HELOC Transactions (Positive): This transaction benefits from a credit profile that is materially stronger than that of legacy HELOC transactions. The WA FICO of 754 is roughly 35 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 57.5% and sLTV of 63.3%. The aggregate seasoning of approximately nine years for these loans provides an additional benefit and 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 to legacy deals. A stronger credit profile and a more supportive structure should provide for a meaningful positive difference in performance. Variable Funding Account (VFA): Borrower draws following deal closing will be funded first from the servicer and reimbursed from principal collections received on the mortgage loans. If principal collected is insufficient to reimburse the servicer, the paying agent will withdraw the needed funds from the VFA and increase the residual principal balance of the Trust Certificates by the amount. If the funds in the VFA are not sufficient to reimburse the servicer, the paying agent will reimburse the servicer and increase the residual principal balance. If the servicer needs to reimburse itself from subsequent principal collections, the residual principal balance will not be increased. If the triggers are passing, the Trust Certificates will receive their pro-rata share of principal and the residual principal balance will receive its pro-rata share of losses up to the trust certificates write-down amount for such payment date. If triggers are failing, the Trust Certificates will be paid principal after all other classes have been paid in full and the trust certificate will take losses first followed by the subordinate, Mezzanine, and senior notes. The holder of the trust certificate is responsible for funding the VFA on behalf of the class R note. The holder of the trust certificate is permitted to finance these funding obligations, including by obtaining financing secured by the trust certificate with a third-party lender. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. PIMCO is the primary aggregator and is assessed as an 'Above Average' aggregator by Fitch due to the established acquisition history for single family residential loans of certain investment vehicles managed by PIMCO. Rushmore, rated RPS1- by Fitch, is the named servicer for the transaction. Fitch decreased the 'AAAsf' expected loss by 0.24% due Rushmore's RPS1- servicer rating. PIMCO's 'Above Average' aggregator assessment received neutral treatment in the model. Issuer retention of at least 5% of the bonds also helps ensure an alignment of interest between both the issuer and investor. R&Ws Have Limited Representations and Warranties (Negative): The rep and warranty (R&W) framework is generally consistent with Tier 2 quality. The framework contains an optional breach review for loans with a realized loss, which is triggered at the discretion of the controlling holder. However, 25% of the aggregate bond holders may also initiate a review. Loan level R&Ws also include knowledge qualifiers without a proper clawback provision. The aggregate adjustment resulted in a 196-bp addition to the expected losses at the 'AAAsf' rating stress. See R&W Assessment section for more detail. Third-Party Due Diligence results: A third-party due diligence compliance review was performed on approximately 16.7% of the loans in the transaction pool (Fitch was comfortable with the sample size since all the loans came from a single originator). The review was performed by Digital Risk, which is assessed by Fitch as an 'Acceptable - Tier 2' third-party review (TPR) firm. The due diligence results indicated moderate operational risk with approximately 7.0%% of loans receiving a final grade of 'C' or 'D'. Approximately 2.3% of the sample received LS adjustments for missing or estimated final HUD-1 documents necessary for testing compliance with predatory lending regulations. These regulations are not subject to statute of limitations unlike the majority of compliance exceptions, which ultimately exposes the trust to added assignee liability risk. Since due diligence was performed on a sample, Fitch extrapolated the compliance results to the remaining loan population that did not receive due diligence to reflect the absence of predatory lending testing. Fitch adjusted its loss expectation at the 'AAAsf' rating category by approximately 20 bps in aggregate to account for this added risk. Limited Title and Lien Search: 100% of the pool received a tax and title lien search using a Corelogic Lien Report Lite (Lite) product. Unlike a more orthodox title search, the Lite product primarily acts as a cursory tax and title lien search and may not be able to fully confirm all lien positions. The report indicated that approximately 64% of the first liens were in first-lien position, while the remaining 36% of loans were either not confirmed to be in first-lien position or did not receive a hit on the cursory search. Solidifi conducted an additional search on a sample set of the loans that did not return a hit from the initial Corelogic search. Fitch treated the loans that the second search could not determine the lien position or were not included in the Solidifi lien search as second liens in Fitch's loss model and these loans received 100% LS treatment to reflect to possibility that these lien positions are not prioritized for proceeds in the event of liquidation. The 'AAAsf' expected loss levels increased by approximately 55 bps to reflect this lien treatment. 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, or positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. 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 market value declines at the national level. The analysis assumes market value declines of 10%, 20% and 30%, in addition to the model projected 4.0% at the base case. 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 two or more full categories. -- 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 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 effects arising from coronavirus-related 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 Digital Risk and Solidifi. The third-party due diligence described in Form 15E focused on compliance (Digital Risk) and tax and title search (Solidifi). Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: increased the loss severity due to HUD-1 issues and extrapolated the results to the loans that did not receive diligence grades and for all loans where the first-lien status could not be confirmed, Fitch assumed the loan was a second lien. These adjustment(s) resulted in an increase in the expected loss of approximately 0.75%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on approximately 16.7% of the pool by loan count. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Digital Risk was engaged to perform the review. Loans reviewed under this engagement were given compliance, grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Refer to the Third-Party Due Diligence section for more detail. Fitch also used 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. BUSINESS JET 2021-1: S&P Assigns Prelim BB (sf) Rating on C Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Business Jet Securities 2021-1 LLC's class A, B, and C fixed-rate notes. The note issuance is an asset-backed securities (ABS) transaction. Upon closing, the note proceeds, together with the proceeds of the issuance of the subordinated, will be used to acquire the receivables and aircraft interests and ownership from the originators and to repay the existing debt from the BJETS 2018-2 issuance (not rated by S&P Global Ratings). The collateral will consist of loans and leases related to 49 aircraft with an initial aggregate asset value of $780.175 million as of the cut-off date, the corresponding security or ownership interests in the underlying aircraft, and shares and beneficial interests in entities that directly and indirectly receive aircraft portfolio cash flows, among others. The preliminary ratings are based on information as of Feb. 24, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The likelihood of timely interest on the class A notes (excluding the post-anticipated repayment date (ARD) additional interest or deferred post-ARD additional interest) on each payment date; the timely interest on the class B notes (excluding the post-ARD additional interest or deferred post-ARD additional interest) when class A notes are no longer outstanding on each payment date; and the ultimate payment of interest and principal on the class A, B, and C notes on or before the legal final maturity at the respective rating stress ('A', 'BBB', and 'BB', respectively). -- The approximately 69% LTV (based on the aggregate asset value) on the class A notes, the 79% LTV on the class B notes, and the 85% LTV on the class C notes. -- A fairly diversified and young portfolio of business jets that are either on loan, finance lease, or operating lease to corporates or high net worth individuals. -- The scheduled amortization profile, which is a straight line over 12.5 years for the class A and B notes and six years for the class C notes. However, the amortization of all classes will switch to full turbo after year six. -- The transaction's debt service coverage ratios, net loss trigger, and utilization trigger, which, if failed, will result in sequential turbo amortization of the notes. -- The transaction's LTV test (class A notes balance divided by aggregate asset value), which, if failed, will result in turbo amortization of the class A notes until the test is brought back to compliance. -- The subordination of class C notes' interest and principal to the class A and B notes' interest and principal. -- The sequential partial sweep payments to the class A and B notes: for the first 48 payment dates from the closing date, 22.5% of remaining available funds after all payments, and from the 49th payment date to and including the 72nd payment date, 25.0%. -- A liquidity reserve account, which is available to cover senior expenses and interest on the class A and B notes. The amount available will equal nine months of interest on the class A and B notes, fully funded on the closing date. -- The class C interest reserve account, which will be funded in the payment priority subject to available amounts in an amount equal to nine months' interest on the C notes. Preliminary Ratings Assigned Business Jet Securities 2021-1 LLC Class A, $538.3 million: A (sf) Class B, $78.0 million: BBB (sf) Class C, $46.8 million: BB (sf) CASCADE MH 2021-MH1: Fitch to Rate Class B-2 Notes 'B-(EXP)' ------------------------------------------------------------ Fitch Ratings expects to rate the notes to be issued by Cascade MH Asset Trust 2021-MH1 (CMHAT 2021-MH1). DEBT RATING ---- ------ Cascade MH Asset Trust 2021-MH1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating M-1 LT A-(EXP)sf Expected Rating M-2 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the notes to be issued by Cascade MH Asset Trust 2021-MH1 (CMHAT 2021-MH1). This is Cascade's second transaction (and first rated transaction) backed by loans secured by manufactured homes (MH). While this is the third post-crisis MH transaction rated by Fitch, this is the first rated post-crisis MH deal consisting of new origination MH loans. The transaction is expected to close on March 5, 2021. The collateral pool is backed by 1,889 MH contracts, all of which were current using the Office of Thrift Supervision (OTS) methodology as of the cutoff date. The pool totals $162.8 million. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential-pay structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Manufactured Housing Collateral (Negative): The transaction is backed by 100% new origination MH loans, which are seasoned approximately 12 months. 72% of the pool is comprised of loans backed by chattel properties (secured with the structure only) and the remaining 28% is comprised of land/home MH. MH loans typically experience higher default rates and lower recoveries than site-built residential homes. Fitch applied a loan-level loss model developed specifically for MH loans based on the historical observations of more than one million MH loans originated from 1993-2002, with performance tracked through 2018. Credit Attributes (Mixed): All of the loans in the pool are fixed rate, and the borrowers in the pool have a WAVG model FICO of 637. A total of 72% of the MH units are double or multi-wide, and 98% of the MH units were built within the last four years. All of the loans are currently current based on the OTS methodology, and 3.1% of the loans have experienced a delinquency in the past 24 months. Geographic Concentration (Negative): Approximately 49% of the pool is concentrated in Texas. The largest MSA concentration is in the San Antonio, TX MSA (7%), followed by the Houston, TX MSA (5%) and the Dallas, TX MSA (4%). The top three MSAs account for 16% of the pool. As a result, there was a 1.09x probability of default (PD) penalty for geographic concentration. Sequential Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure. The subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class in the absence of servicer advancing. In addition, excess spread will be used to pay down principal on the notes on each payment date on which a cumulative loss trigger event is in effect. No Servicer P&I Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. 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. Low Operational Risk (Neutral): Operational risk is controlled for this transaction. 100% of the collateral consists of MH loans originated by Southwest Stage funding, LLC dba Cascade Financial Services (Cascade). Fitch conducted a review of Cascade's origination platform and found it to have sufficient risk controls; Cascade is assessed by Fitch as an 'Average' originator by Fitch. Cascade is also the named servicer for this transaction and holds a servicer rating of 'RPS3-/Stable' specifically for MH loans. The issuer is also expected to retain at least 5% of the issued securities helps to ensure an alignment of interest between issuer and investor. Due Diligence Review Results (Neutral): Third-party due diligence review was performed on a random sample of approximately 34% of the initial transaction pool, by loan count. The review was conducted by Digital Risk, LLC (Digital Risk) and Regulatory Solutions, LLC (Regulatory Solutions), as part of Cascade's internal post-closing quality control process. Digital Risk reviewed the land home loans while Regulatory Solutions reviewed the chattel loans. Fitch has conducted operational reviews for both firms; Digital Risk is assessed by Fitch as an 'Acceptable - Tier 2' TPR firm and Regulatory Solutions is assessed as an 'Acceptable - Tier 3' firm. The results indicate moderate operational risk with approximately 7.8% of reviewed loans receiving a final grade of 'C' or 'D', primarily due to credit exceptions. However, Fitch did not apply loan level adjustments based on these results as the majority of these loans are seasoned past 24 months in which case a credit review is not applicable. Fitch believes that initial underwriting guidelines do not play as large of a role in determining future ability and willingness to repay as the delinquency status and pay history of the respective borrowers. Loans with material exceptions had strong pay history to date with minimal delinquencies. See the due diligence section for additional details. Representation and Warranty Framework (Negative): Fitch considers the representation, warranty and enforcement (RW&E) mechanism construct for this transaction to be generally consistent with a Tier 2 framework due to the minor loan level rep variances, limited life of the rep provider and low due diligence percentage performed on the pool. The seller, as rep provider, will only be obligated to repurchase a loan due to breaches up to the 36th payment date. A reserve fund will be available to cover amounts due to noteholders for loans identified as having material rep breaches if the seller is unable to cover the amount and after the rep provider sunset. The RW&E framework for this transaction is more typically seen in RMBS backed by seasoned collateral - rep provider sunset, availability of a breach reserve account as well as performance triggers used to cause a breach review. Fitch considered the framework sufficient for this transaction given the collateral profile, loss expectations as well as the substantial amount of excess spread available even after applying haircut. Fitch increased its base case loss expectations by roughly 160 bps to account for both the limitations of the RW&E framework as well as the noninvestment-grade counterparty risk of the provider. Significant Excess Spread (Positive): The structure has a notable amount of excess spread due to the difference in coupon on the collateral and the coupon on the bonds. Because of the significant amount of excess spread, the deal CE is lower than Fitch's expected losses. Excess cash flow will be used to pay down principal on the notes on each payment date on which a cumulative loss trigger event is in effect, and in the absence of cumulative loss trigger event, excess cash flow will be used to pay the notes up to current and prior period losses. Furthermore, Fitch applied a conservative WAC deterioration stress to all loans which increases by rating stress. This stress is meant to address the possibility that loans could be modified into lower coupons and therefore result in less excess spread available. Fitch assumed a linear interpolation WAC deterioration, which starts at 0.00% on day 1 and increases to a set rate which varies by rating category, until period 120. Deferred Amounts (Negative): Noninterest-bearing principal forbearance amounts totaling $55,397 (0.03%) of the UPB are outstanding on 207 loans. A total of 199 of these loans had deferrals related to the coronavirus pandemic - all borrowers that were on a coronavirus-related deferral plan are now current. Fitch did not penalize these loans for having deferred payments, as all borrowers resumed making payments and are currently cash-flowing. Deferred balances were included as a junior lien amount, and therefore accounted for in the CLTV calculation, since the balances will be due at loan maturity. The average deferred balance is approximately $270. The inclusion resulted in a higher PD and LS than if there were no deferrals. Aggregate Servicing Fee (Neutral): Fitch views the servicing fee of 100bps as sufficient to service MH loans, and the structure was tested assuming this fee. Additionally, should a replacement servicer be needed, the transaction documents allow the indenture trustee to negotiate a fee with a successor servicer which may exceed the original stated servicing fee. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to additional losses. 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. The defined stress sensitivity analysis demonstrates how the ratings would react to additional losses. As shown in the presale report, the analysis indicates some potential of rating migration with an increase in loss. The defined rating sensitivities determine the increase in loss that would reduce a rating by one full category, to noninvestment grade and to 'CCCsf'. The percentage points shown in the presale report reflect the additional loss that would have to occur to affect ratings for each defined sensitivity for this transaction. 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 Digital Risk and Regulatory Solutions. The review was bifurcated between land home and chattel loans; Digital Risk reviewed all land home loans, while Regulatory Solutions reviewed all chattel loans. Land home MH loans received a full new origination review scope that consisted of credit, compliance, property valuation (where applicable) and data integrity. Chattel loans received a credit, compliance and data integrity check but did not receive a valuation review. Chattel properties are valued solely on the housing unit, which excludes the land they reside upon. Therefore, appraisals are not performed on chattel units, which results in a valuation review not being applicable. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CFCRE TRUST 2018-TAN: S&P Affirms BB (sf) Rating on Class X Certs ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on three classes of commercial pass-through certificates from CFCRE Trust 2018-TAN, a stand-alone single-borrower CMBS transaction. S&P said, "We affirmed our ratings on classes C and D even though the indicated ratings were lower than the classes' current rating levels. The affirmations are based on qualitative considerations, including the high quality of the underlying collateral, the hotel's premium Caribbean beachfront location, the significant market value decline that would be needed before these classes experience losses, the liquidity provided in the form of servicer advancing, and the relative positioning of the classes in the waterfall. "We affirmed the rating on the class X 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 references the class A, 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 fixed-rate IO mortgage loan secured by the borrowers' leasehold interest in the Aruba Marriott Resort and Stellaris Casino, a 411-guestroom full-service Caribbean beachfront destination resort hotel located in Palm Beach, Aruba. As of the Feb. 18, 2021, trustee remittance report, the loan has a trust and whole loan balance of $195.0 million, the same as at issuance. The loan is IO for its entire five-year term, pays a per annum fixed interest rate of 6.496%, and matures on Feb. 6, 2023. To date, the trust has not incurred any principal losses. The borrowers, bankruptcy-remote special purpose entities indirectly owned by a joint venture between an affiliate of DLJ Real Estate Capital Partners LLC and MetaCorp International Inc., are current on their debt service payments as of the Feb. 18, 2021, trustee remittance report. However, the loan has been on the master servicer's watchlist since January 2021 due to low reported debt service coverage (DSC), which was 0.66x as of year-end 2020, down from 2.99x as of year-end 2019. The master servicer, KeyBank Real Estate Capital, has relayed that the borrowers have not requested relief. However, the borrowers applied for and are receiving monthly salary subsidies from the Government of Aruba. As of April 2020, the Government of Aruba is assisting qualifying employers by subsidizing salaries via the Financial Aid and Salary Subsidy for Employment Retention. From April 2020 to December 2020, the borrowers have received a total of $6.0 million, and the subsidy is expected to continue until at least June 30, 2021. Property Analysis Aruba Marriott Resort and Stellaris Casino offer a variety of amenities, including the Stellaris casino, which is the largest casino in Aruba. Additional amenities include nine restaurants and bars, 35,000 sq. ft. of meeting space, two outdoor pools, a fitness center, spa, and retail stores. The property also offers a unique "hotel within a hotel" concept for members of the Marriott Tradewinds Club. This includes 49 separate guestrooms that have access to private amenities. The property is also part of a larger Marriott campus that includes the Ocean Club and Surf Club timeshare resorts, with a total of 1,200 units developed and owned by Marriott Vacation Club International. The timeshare properties provide a significant customer base for the collateral property's food and beverage and casino venues, which contribute a major share of the property's total revenues. The property was built in 1995 and is still one of the newest hotels in its competitive set, given the lack of new hotel supply stemming from Aruba's moratorium on new resort development on most of the island. Additionally, almost all the land in Aruba is owned by the government and can only be obtained on a long-term lease. The property's ground lease has an initial expiration in 2052, with fixed annual payments of $103,030. Prior to the COVID-19 pandemic, the hotel exhibited strong performance. The hotel's revenue per available room (RevPAR) was $329.24 in the trailing-12-months (TTM) ended September 2017, $386.91 in 2018, and $421.01 in 2019. The reported net cash flow (NCF) was $28.8 million in the TTM ended September 2017, $33.8 million in 2018, and $38.4 million in 2019. S&P's sustainable NCF at issuance (and currently) was $23.3 million, which is 39.3% below the 2019 servicer reported NCF. The hotel has maintained a strong RevPAR penetration rate, which measures the RevPAR of the hotel relative to its competitors--including Hilton Aruba Caribbean Resort & Casino, Hyatt Regency Aruba Resort Spa & Casino, Renaissance Aruba Resort & Casino, and Holiday Inn Resort Aruba Beach & Casino--with 100% indicating parity with competitors. The resort's RevPAR penetration rate exceeded 100% for the TTM periods ended Sept. 30, 2019 (157.0%) and Sept. 30, 2020 (169.7%), according to a report by Smith Travel Research. The hotel's occupancy was above 85% since 2017, but dropped to 59.1% as of the TTM ended Sept. 30, 2020, as the pandemic took hold. Due to COVID-19 containment efforts, the hotel suspended operations on March 23, 2020, and reopened on July 10, 2020. Further, in August 2020 and September 2020, COVID-19 cases surged throughout Aruba. Hence, the U.S. government implemented a travel advisory level 3 (reconsider travel) and the hotel subsequently experienced several cancellations. At the end of September 2020, Aruba's largest markets--New York, New Jersey, and Connecticut--added a mandatory 14-day quarantine for returning travelers. The sponsor has indicated that the hotel has been fully operational as of January 2021. Based on sponsor-provided full-year 2020 financials, the property's RevPAR was $165.41, representing a 60.7% decline from 2019, and 2020 NCF was $9.7 million, representing a 74.8% decline from 2019. Based on the sponsor's 2021 budget, RevPAR and NCF are forecasted to increase to $176.22 and $13.0 million, respectively, representing a 6.5% and 34.7% increase from 2020; however, these metrics are still significantly below pre-COVID-19 levels. The 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, corporate transient travel has been restricted, and leisure travel has slowed due to fear of travel and the closure/cancellation of demand generators such as amusement parks, casinos, concerts, and sporting events. The pandemic's negative effects on lodging properties have been particularly severe for hotels like the Aruba Marriott Resort and Stellaris Casino, which is highly dependent on international travelers, primarily from the U.S. The hotel generates over 75% of its demand from the leisure and casino-related segment. Relative to hotels that have a more diverse mix of corporate, leisure, and group demand--and because the hotel is a fly-to destination resort--the property is more susceptible to volatility, particularly in light of the pandemic. Significant uncertainty remains regarding not only the duration of the pandemic, but also the time needed for lodging demand to return to normalized levels. Unlike some U.S. hotel properties, the property's location does not enable it to benefit from leisure drive-to demand, a source of travel that has helped bolster occupancy for some lodging properties during the pandemic. Analytical Considerations S&P said, "In our current analysis, instead of revising the S&P Global Ratings sustainable NCF of $23.3 million derived at issuance, we increased our capitalization rate to 13.40% (up 125 basis points from 12.15% at issuance) to account for the adverse impact of COVID-19 and the responses to it, considering that the property is currently operating at very low occupancy levels. We consequently arrived at an S&P Global Ratings' value of $173.9 million ($423,091 per guestroom, down 9.3% from our issuance valuation), a loan-to-value ratio of 112.1%, and a value variance of 44.8% to the January 2018 appraisal report ($315.0 million). "We will continue to monitor for updated information and may take further rating actions as we deem appropriate." Ratings Affirmed CFCRE Trust 2018-TAN Commercial pass-through certificates Class C: BBB- (sf) Class D: BB (sf) Class X: BB (sf) CIM TRUST 2021-J1: Moody's Gives (P)B1 Rating to Cl. B-5 Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 58 classes of residential mortgage-backed securities issued by CIM Trust 2021-J1 (CIM 2021-J1). The ratings range from (P)Aaa (sf) to (P)B1 (sf). CIM 2021-J1 is a securitization of prime residential mortgages. It is backed by a pool of 30-year fixed rate, non-conforming mortgages. This transaction represents the first prime jumbo issuance by Chimera Investment Corporation (the sponsor) in 2021. The transaction includes 425 fixed rate, first lien-mortgages with an unpaid principal balance of $404,775,979. The pool consists of 100% non -conforming mortgage loans. The mortgage loans for this transaction have been acquired by the affiliate of the sponsor, Fifth Avenue Trust (the Seller) from Bank of America, National Association (BANA). BANA acquired the mortgage loans through its whole loan purchase program from various originators. Approximately, 87.5% of the loans in the pool are underwritten to Chimera Investment Corporation's (Chimera) guidelines. All the loans are designated as qualified mortgages (QM) either under the QM/Non-HPML or TQM/Non-HPML. Shellpoint Mortgage Servicing (SMS) will service the loans and Wells Fargo Bank, N.A. (Aa2, long term debt) will be the master servicer. SMS will be responsible for advancing principal and interest and servicing advances, with the master servicer backing up SMS' advancing obligations if SMS cannot fulfill them. Three third-party review (TPR) firms verified the accuracy of the loan level information that we received from the Sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. In addition, Moody's adjusted its expected losses based on qualitative attributes, including the financial strength of the representation and warranties (R&W) provider and TPR results. CIM 2021-J1 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In Moody's analysis of tail risk, Moody's considered the increased risk from borrowers with more than one mortgage in the pool. The complete rating actions are as follows: Issuer: CIM Trust 2021-J1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-IO1*, Assigned (P)Aaa (sf) Cl. A-IO2*, Assigned (P)Aaa (sf) Cl. A-IO3*, Assigned (P)Aaa (sf) Cl. A-IO4*, Assigned (P)Aaa (sf) Cl. A-IO5*, Assigned (P)Aaa (sf) Cl. A-IO6*, Assigned (P)Aaa (sf) Cl. A-IO7*, Assigned (P)Aaa (sf) Cl. A-IO8*, Assigned (P)Aaa (sf) Cl. A-IO9*, Assigned (P)Aaa (sf) Cl. A-IO10*, Assigned (P)Aaa (sf) Cl. A-IO11*, Assigned (P)Aaa (sf) Cl. A-IO12*, Assigned (P)Aaa (sf) Cl. A-IO13*, Assigned (P)Aaa (sf) Cl. A-IO14*, Assigned (P)Aaa (sf) Cl. A-IO15*, Assigned (P)Aaa (sf) Cl. A-IO16*, Assigned (P)Aaa (sf) Cl. A-IO17*, Assigned (P)Aaa (sf) Cl. A-IO18*, Assigned (P)Aaa (sf) Cl. A-IO19*, Assigned (P)Aaa (sf) Cl. A-IO20*, Assigned (P)Aaa (sf) Cl. A-IO21*, Assigned (P)Aaa (sf) Cl. A-IO22*, Assigned (P)Aaa (sf) Cl. A-IO23*, Assigned (P)Aaa (sf) Cl. A-IO24*, Assigned (P)Aaa (sf) Cl. A-IO25*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-IO1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-IO2*, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)B1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.23% at the mean and 0.11% at the median and reaches 2.56% at a stress level consistent with Moody's 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 Moody's forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (10.4% for the mean) and its 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 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 Moody's assessed the collateral pool as of the cut-off date of February 1, 2021. CIM 2021-J1 is a securitization of 425 mortgage loans with an aggregate principal balance of $404,775,979. This transaction consists of fixed-rate fully amortizing loans, which will not expose the borrowers to any interest rate shock for the life of the loan or to refinance risk. All the mortgage loans are secured by first liens on single-family residential properties, condominiums, townhouses and planned unit developments. The loans have a weighted average seasoning of approximately 1.6 months. Overall, the credit quality of the mortgage loans backing this transaction is better than recently issued prime jumbo transactions. The WA FICO of the aggregate pool is 783 (786 CIM Trust 2020-J2 and 772 in CIM Trust 2020-J1) with a WA LTV of 62.2% (63.7% in CIM Trust 2020-J2 and 66.6% in CIM Trust 2020-J1) and WA CLTV of 62.4% (63.8% in CIM 2020-J2 and 66.9% in CIM Trust 2020-J1). Approximately 13.5% (by loan balance) of the pool has an LTV ratio greater than 75% compared to 21.3% in CIM Trust 2020-J2 and to 29.9% in CIM Trust 2020-J1. Exterior-only appraisals: In response to the COVID-19 national emergency, many originators/aggregators have temporarily transitioned to allowing exterior-only appraisals, instead of a full interior and exterior inspection of the subject property, on many mortgage transactions. There are 5 loans in the pool, 1.4% by unpaid principal balance, that do not have a full appraisal that includes an exterior and an interior inspection of the property. Instead, these loans have an exterior-only appraisal. Moody's did not make any adjustments to Moody's losses for such loans primarily because of strong credit characteristics such as high FICO score, low LTV and DTI ratios, and significant liquid cash reserves. In addition, none of these borrowers have any prior history of delinquency. Loans with delinquency and forbearance history: Although there are no loans in the pool that are currently delinquent, there are 3 loans in the pool that have some history of delinquency. Of these 3 delinquent loans, 1 delinquency was COVID-19 related and under a forbearance plan. The remaining 2 loans were delinquent because of servicing transfers. Moody's increased its model-derived median expected losses by 15% (10.4% for the mean) and Moody's Aaa losses by 5% to reflect the likely performance deterioration resulting from of the 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. Origination Quality There are 11 originators in the transaction, some of which may have limited history of securitizing prime jumbo mortgages. The largest originators in the pool with more than 10% by balance are Guaranteed Rate Inc. and Guaranteed Rate Affinity, LLC (collectively 48.1%), PrimeLending (13.4%) and Wintrust Mortgage (10.7%). Approximately 87.5% of the mortgage loans by stated principal balance as of the cut-off date were acquired by BANA from those mortgage loan originators or sellers through its jumbo whole loan purchase program. For the rest of the pool, approximately 12.5% of the mortgage loans (by stated principal balance as of the cut-off date) were acquired by BANA and originated pursuant to the guidelines of either loanDepot.com, LLC (loanDepot) or Quicken Loans LLC (Quicken). Moody's increased its base case and Aaa loss expectations for all loans underwritten to Chimera's underwriting guidelines, as Moody's consider such mortgage loans to have been acquired to slightly less conservative prime jumbo underwriting standards. Additionally, within those loans acquired by BANA and originated pursuant of either loanDepot or Quicken guidelines, Moody's increased its loss assumption for mortgage loans originated by Quicken to account for the limited performance data of Quicken Loans' prime jumbo originations. While the performance of such loans was strong and comparable to that of other originators such as JPMorgan Chase and Wells Fargo, to date the volume of Quicken Loans' prime jumbo originations is much lower. Third Party Review Three third-party review (TPR) firms, Clayton Services LLC, Consolidated Analytics, Inc, and Opus Capital Markets Consultants, LLC, verified the accuracy of the loan level information that the sponsor gave us. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. The TPR results indicate that the majority of reviewed loans were in compliance with respective originators' underwriting guidelines, no material compliance or data issues, and no appraisal defects. For property valuation, of the 425 loans reviewed, the TPR firms identified all loans as either A or B level grades. All the loans in the pool have CDAs. There were 8 loans the appraisal of which was not supported by the desk review (variance between the appraisal value and the desk review was greater than -10%). A field review was subsequently ordered, and this valuation came out in line with the appraisal. Therefore, Moody's did not make any additional adjustments to Moody's base case and Aaa loss expectations for TPR. Reps & Warranties (R&W) All loans were aggregated by BANA through its whole loan aggregation program. Each originator will provide comprehensive loan level reps and warranties for their respective loans. BANA will assign each originator's R&W to the seller, who will in turn assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding the originators' ability to meet their respective R&W obligations, the R&W provider will backstop the R&Ws for all originators' loans. The R&W provider's obligation to backstop third party R&Ws will terminate five years after the closing date, subject to certain performance conditions. The R&W provider will also provide gap reps. Moody's considered the R&W framework in Moody's analysis and found it to be adequate. Moody's therefore did not make any adjustments to Moody's losses based on the strength of the R&W framework. The R&W framework is adequate in part because the results of the independent TPRs revealed a high level of compliance with underwriting guidelines and regulations, as well as overall adequate appraisal quality. These results give confidence that the loans do not systemically breach the R&Ws the originators have made and that the originators are unlikely to face material repurchase requests in the future. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of mortgage. In a continued effort to focus breach reviews on loans that are more likely to contain origination defects that led to or contributed to the delinquency of the loan, an additional carve out has been included in recent transactions Moody's have rated from other issuers relating to the delinquency review trigger. Similarly, in this transaction, exceptions exist for certain excluded disaster mortgage loans that trip the delinquency trigger. These excluded disaster loans include COVID-19 forbearance loans. Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.20% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 0.85% of the cut-off pool balance. Other Considerations In CIM 2021-J1, the controlling holder has the option to hire at its own expense the independent reviewer upon the occurrence of a review event. If there is no controlling holder (no single entity holds a majority of the Class Principal Amount of the most subordinate class of certificates outstanding), the trustee shall, upon receipt of a direction of the certificate holders of more than 25% of the aggregate voting interest of all certificates and upon receipt of the deposit, appoint an independent reviewer at a cost to the trust. However, if the controlling holder does not hire the independent reviewer, the holders of more than 50% of the aggregate voting interests of all outstanding certificates may direct (at their expense) the trustee to appoint an independent reviewer. In this transaction, the controlling holder can be the depositor or a seller (or an affiliate of these parties). If the controlling holder is affiliated with the depositor, seller or Sponsor, then the controlling holder may not be motivated to discover and enforce R&W breaches for which its affiliate is responsible. The servicer will not commence foreclosure proceedings on a mortgage loan unless the servicer has notified the controlling holder at least five business days in advance of the foreclosure and the controlling holder has not objected to such action. If the controlling holder objects, the servicer has to obtain three appraisals from the appraisal firms as listed in the pooling and servicing agreement. The cost of the appraisals is borne by the controlling holder. The controlling holder will be required to purchase such mortgage loan at a price equal to the highest of the three appraisals plus accrued and unpaid interest on such mortgage loan as of the purchase date. If the servicer cannot obtain three appraisals there are alternate methods for determining the purchase price. If the controlling holder fails to purchase the mortgage loan within the time frame, the controlling holder forfeits any foreclosure rights thereafter. Moody's consider this credit neutral because a) the appraiser is chosen by the servicer from the approved list of appraisers, b) the fair value of the property is decided by the servicer, based on third party appraisals, and c) the controlling holder will pay the fair price and accrued interest. Servicing Arrangement / COVID-19 Impacted Borrowers In the event a borrower enters into or requests a COVID-19 related forbearance plan after February 1, 2021, such mortgage loan will remain in the mortgage 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). Forbearances are being offered in accordance with applicable state and federal regulatory guidelines and the homeowner's individual circumstances. At the end of the forbearance period, as with any other modification, to the extent the related borrower is not able to make a lump sum payment of the forborne amount, the servicer may, subject to the servicing matrix, offer the borrower a repayment plan, enter into a modification with the borrower (including a modification to defer the forborne amounts) or utilize any other loss mitigation option permitted under the pooling and servicing agreement. As with any other modification, it is anticipated that the servicer will reimburse itself at the end of the forbearance period for any advances made by it with respect to such mortgage loan, whether that be from any lump sum payments made by the related borrower, from any increased payments received with respect to any repayment plan entered into by the borrower, or, if modified and capitalized in connection therewith, at the time of such modification as a reimbursement of such capitalized advances from principal collections on all of the mortgage loans. The servicer also has the right to reimburse itself for any advance from all collections on the mortgage loans at any time it deems such advance to be non-recoverable. With respect to a mortgage loan that was the subject of a servicing modification, the amount of principal of the mortgage loan, if any, that has been deferred and that does not accrue interest will be treated as a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. COLUMBIA CENT 31: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 B (sf) Rating on Class B-2 Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect S&P's 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." 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 Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate interest-bearing principal balance of the mortgage loans as of the first day of the related due period and is initially $253,254,240. (iii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period and is initially $253,254,240. (iv)Certain initial exchangeable notes are exchangeable for the exchangeable notes and vice versa. ELLINGTON FINANCIAL 2021-1: S&P Assigns B (sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Ellington Financial Mortgage Trust 2021-1's mortgage pass-through certificate. The certificate issuance is an RMBS transaction backed by U.S. residential mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty (R&W) framework for this transaction; -- The mortgage aggregator, Ellington Financial Inc.; -- The impact that the economic stress brought on by COVID-19 is likely to 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." Ratings Assigned Ellington Financial Mortgage Trust 2021-1 Class A-1, $188,702,000: AAA (sf) Class A-2, $13,470,000: AA (sf) Class A-3, $28,324,000: A (sf) Class M-1, $9,442,000: BBB (sf) Class B-1, $6,797,000: BB (sf) Class B-2, $3,777,000: B (sf) Class B-3, $1,258,835: not rated Class A-IO-S, notional(ii): not rated Class X, notional(ii): not rated Class R, not applicable: not rated (i)The ratings address our expectation for the ultimate payment of interest and principal. (ii)The notional amount equals the loans' stated principal balance. FLAGSTAR MORTGAGE 2021-1: Fitch Gives Final B+ Rating on B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Flagstar Mortgage Trust 2021-1 (FSMT 2021-1). DEBT RATING PRIOR ---- ------ ----- FSMT 2021-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11X LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf A-X-4 LT AAAsf New Rating AAA(EXP)sf A-X-5 LT AAAsf New Rating AAA(EXP)sf A-X-6 LT AAAsf New Rating AAA(EXP)sf A-X-7 LT AAAsf New Rating AAA(EXP)sf A-X-8 LT AAAsf New Rating AAA(EXP)sf A-X-9 LT AAAsf New Rating AAA(EXP)sf A-X-13 LT AAAsf New Rating AAA(EXP)sf A-X-17 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1-X LT AAsf New Rating AA(EXP)sf B-1-A LT AAsf New Rating AA(EXP)sf B-2 LT A+sf New Rating A+(EXP)sf B-2-X LT A+sf New Rating A+(EXP)sf B-2-A LT A+sf New Rating A+(EXP)sf B-3 LT BBB+sf New Rating BBB+(EXP)sf B-3-X LT BBB+sf New Rating BBB+(EXP)sf B-3-A LT BBB+sf New Rating BBB+(EXP)sf B-4 LT BB+sf New Rating BB+(EXP)sf B-5 LT B+sf New Rating B+(EXP)sf B-6-C LT NRsf New Rating NR(EXP)sf B LT BBB+sf New Rating BBB+(EXP)sf B-X LT BBB+sf New Rating BBB+(EXP)sf TRANSACTION SUMMARY The certificates are supported by 574 newly originated, fixed-rate prime-quality first liens on one- to four-family residential homes. The pool consists of both non-agency jumbo and agency eligible mortgage loans. The total balance of these loans is approximately $489 million as of the cutoff date. The pool comprises loans that Flagstar originated through its retail, broker and correspondent channels. The transaction is similar to previous Fitch-rated prime transactions, with a standard senior-subordinate, shifting-interest deal structure. All the loans in the pool were underwritten to the Ability to Repay Rule (ATR) and qualify as qualified mortgages (QMs). Flagstar Bank, FSB (RPS2-/Negative) will be the servicer and Wells Fargo Bank, N.A. (RMS1-/Negative) will be the master servicer. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral pool consists of 30-year, fully amortizing, non-agency jumbo and agency eligible fixed-rate loans to borrowers with strong credit profiles and low leverage. All the loans are designated as safe harbor QMs (SHQMs) or TILA QMs (TQMs). The pool has a weighted average (WA) original FICO score of 773, which is indicative of high credit-quality borrowers. Approximately 79% of the loans have current FICO scores at or above 750. In addition, the original combined loan to value (CLTV) ratio is 67.7%, which represents substantial borrower equity in the property. Only 5.0% of the loans have known subordinate financing. The pool's attributes, together with Flagstar's sound origination practices, support Fitch's low default risk expectations. Geographic Diversification (Neutral): The pool's primary concentration is in California, representing 47% of the pool. Approximately 32% of the pool is located in the top three U.S. metropolitan statistical areas (MSAs) — Los Angeles (14.8%), San Francisco (11.7%) and Houston (5.6%). The pool's regional concentration did not add to Fitch's 'AAAsf' loss expectations. 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): Flagstar Bank, as servicer, will provide full advancing for the life of the transaction. 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 Bank (RMS1-/Negative; AA-/Negative) is the master servicer in this transaction and will advance delinquent P&I on the loans if the servicer is not able to. Subordination Floor (Positive): A CE or subordination floor of 1.00% has been considered to mitigate potential tail-end risk and loss exposure as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Extraordinary Expense Treatment (Neutral): Extraordinary trust expenses including indemnification amounts, costs of arbitration and fess/expenses incurred by the reviewer for a review will reduce the net WA coupon (WAC) of the loans, which does not affect the contractual interest due on the certificates. Fitch did not make any adjustment for expenses that reduce the net WAC. Payment Forbearance (Neutral): No loans in the pool are on a coronavirus forbearance or deferral plan as of the cutoff date. If a borrower seeks pandemic-related relief after the cutoff date but prior to the closing date, the loan will be removed from the pool. If a borrower seeks pandemic-related relief after the closing date, it is up to the servicer, Flagstar Bank, FSB (Flagstar Bank), to determine what type of coronavirus relief plan will work best for the borrower. For borrowers who request coronavirus-related relief or relief related to a FEMA Major Disaster Declaration or other nationally declared event after the closing date, the servicer will allow the related borrower to suspend or reduce the related P&I owed on such mortgage loan for a limited period (i) of up to six months, with a possible extension granted at the servicer's sole discretion, or (ii) as mandated by federal or state relevant legislation or regulation. At the end of the disaster-related forbearance period, the servicer will require the related borrower to pay all amounts suspended during the disaster-related forbearance period (potential options for eligible borrowers include repayment over a series of months following such period, including extending the original mortgage loan term by a number of months equal to the related disaster-related forbearance period or by capitalizing related arrearages, fees and expenses into an unpaid principal balance (UPB) of the mortgage loan and extending such mortgage loan to, at least, its original term) or enter other modification or loss mitigation processes. Loans on a disaster-related forbearance plan will be counted as delinquent until the amounts suspended under the plan are fully repaid, or the loan is modified accordingly. Flagstar Bank will still be obligated to advance on delinquent loans, even if they are on a pandemic relief plan. If Flagstar is not able to advance, the master servicer (Wells Fargo Bank, N.A.) will advance delinquent P&I payments. Servicer advancing helps to provide liquidity to the trust, but may create losses if the servicer reimburses itself for advances all at once. As of the cutoff date, five borrowers in the pool previously inquired about entering into a disaster-related forbearance plan but, to date, have not entered into such plan with the servicer. All five of these borrowers are currently current and have not missed a payment since origination. Low Operational Risk (Neutral): Operational risk is well controlled in this transaction. Flagstar is experienced in originating and securitizing prime loans and is considered an 'Average' originator by Fitch. Flagstar is also the named servicer for the transaction and is responsible for performing primary servicing functions. The platform is rated 'RPS2-' with a Negative Rating Outlook. Fitch did not adjust its loss levels based on these operational assessments. Tier 1 Representation and Warranty Framework (Neutral): The representation and warranty (R&W) framework is consistent with Fitch's tier 1 framework. The strong framework combined with the financial condition of the R&W provider led to neutral treatment in Fitch's loss model and did not warrant adjustments at the 'AAAsf' level. Third-Party Due Diligence Results (Positive): A third-party due diligence review was performed on approximately 39.5% (by loan count) of the initial transaction pool by Consolidated Analytics, which is assessed by Fitch as an 'Acceptable - Tier 3' third-party review (TPR) firm. The review was performed on a statistically significant random sample based on a confidence interval of 95% with a 5% error rate and did not indicate material defects. Fitch did not apply an adjustment to losses based on the unreviewed population of the pool based on the due diligence results. A credit was given to loans that received a due diligence review, which decreased Fitch's loss expectations by 7bps at the 'AAAsf' rating stress. No Meaningful Changes from Prior Prime Transactions (Neutral): This transaction is very comparable to other recently issued prime transactions in both the collateral composition and transaction structure. Fitch's projected asset loss for the transaction's CE is in line with that of other prime transactions with similar collateral attributes. The model indicated slightly higher ratings for the B-2-A, B-3-A, B-4 and B-5 subordinate classes than the ratings that were assigned. The ratings were limited to one rating tick higher than the ratings typically assigned to prime shifting-interest structures, given each class's position in the capital structure and the thin bond sizes, even though CE would allow the class to achieve a higher rating under Fitch's stresses. 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. 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; that is, 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. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The defined negative 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 7.0%. The analysis indicates there is some potential rating migration with higher MVDs compared to 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, 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 reemergence 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 disruption 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. The third-party due diligence described in Form 15E focused on credit, compliance, property valuation and data integrity. Fitch considered this information in its analysis. Fitch did not apply an adjustment to losses based on the unreviewed population of the pool based on the due diligence results. A credit was given to loans that received a due diligence review, which decreased Fitch's loss expectations by 7bps at the 'AAAsf' rating stress. A third-party due diligence review was performed by Consolidated Analytics on a sample of loans from the transaction pool. The sample was determined by a statistically significant selection methodology based on a 95% confidence level with a 5% error rate. Flagstar adopted this methodology in 2019 when it had previously selected loans for review at a fixed rate. This is the third RMBS issued by Flagstar that Fitch has rated, which incorporates the statistical significance approach in which approximately 39.8% of the final pool, by loan count, was reviewed. For loans that were reviewed, the diligence scope consisted of a review of credit, regulatory compliance and property valuation. Both the sample size and review scope are consistent with Fitch criteria for diligence sampling. All the loans in the review sample received a final diligence grade of 'A' or 'B', and the results did not indicate material defects. The sample exhibited strong adherence to underwriting guidelines as approximately 99% of loans received a final credit grade of 'A'. The sample had a low concentration of compliance 'B' exceptions (6.6%) compared to the average prime jumbo non-agency transactions (42%). Compliance exceptions were primarily related to fees that were over tolerance thresholds. However, the amounts were deemed by the TPR firm to be immaterial and ultimately acknowledged by the lender. Five loans were removed from the initial pool due to issues related to securitization timing or were removed by the sponsor because they did not meet the sponsor's program parameters. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on approximately 39.5% of the pool by loan count. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria," and Consolidated Analytics was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also used 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. FLAGSTAR MORTGAGE 2021-1: Moody's Gives B2 Rating on Cl. B-5 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to forty-five classes of residential mortgage-backed securities (RMBS) issued by Flagstar Mortgage Trust 2021-1 (FSMT 2021-1). The ratings range from Aaa (sf) to B2 (sf). FSMT 2021-1 is a securitization of first-lien prime jumbo and agency eligible mortgage loans. The transaction is backed by 574 30-year fixed rate prime jumbo and agency eligible mortgage loans with an aggregate stated principal balance of $488,656,342. There are 463 (84.00% by unpaid principal balance) and 111 (14.00% by unpaid principal balance) prime jumbo and agency eligible mortgage loans, respectively. The average stated principal balance is $851,318. All the loans are designated as Qualified Mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to-Repay (ATR) rules. 100% of the loans are originated by Flagstar Bank, FSB (Flagstar). Flagstar (Long Term Issuer Baa3) will service the mortgage loans. Servicing compensation is subject to a step-up incentive fee structure. Wells Fargo Bank, N.A. (Long Term Issuer Aa2) will be the master servicer. Flagstar will be responsible for principal and interest advances as well as other servicing advances. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. One third-party review (TPR) firm verified the accuracy of the loan level information that we received from the sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on approximately 39.55% of the mortgage loans in the collateral pool. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. However, the sample size of 227 loans reviewed did not meet our credit neutral criteria. Moody's made adjustment to our loss levels to account for this risk. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. Overall, this pool has average credit risk profile as compared to that of recent prime jumbo transactions. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2021-1 Cl. A-1, Assigned Aaa (sf) Cl. A-2, Assigned Aaa (sf) Cl. A-3, Assigned Aa1 (sf) Cl. A-4, Assigned Aa1 (sf) Cl. A-5, Assigned Aaa (sf) Cl. A-6, Assigned Aaa (sf) Cl. A-7, Assigned Aaa (sf) Cl. A-8, Assigned Aaa (sf) Cl. A-9, Assigned Aaa (sf) Cl. A-10, Assigned Aaa (sf) Cl. A-11, Assigned Aaa (sf) Cl. A-11-X*, Assigned Aaa (sf) Cl. A-12, Assigned Aaa (sf) Cl. A-13, Assigned Aaa (sf) Cl. A-14, Assigned Aaa (sf) Cl. A-15, Assigned Aa1 (sf) Cl. A-16, Assigned Aaa (sf) Cl. A-17, Assigned Aaa (sf) Cl. A-18, Assigned Aaa (sf) Cl. A-19, Assigned Aaa (sf) Cl. A-20, Assigned Aaa (sf) Cl. A-X-1*, Assigned Aaa (sf) Cl. A-X-2*, Assigned Aaa (sf) Cl. A-X-3*, Assigned Aa1 (sf) Cl. A-X-4*, Assigned Aa1 (sf) Cl. A-X-5*, Assigned Aaa (sf) Cl. A-X-6*, Assigned Aa1 (sf) Cl. A-X-7*, Assigned Aaa (sf) Cl. A-X-8*, Assigned Aaa (sf) Cl. A-X-9*, Assigned Aaa (sf) Cl. A-X-13*, Assigned Aaa (sf) Cl. A-X-17*, Assigned Aaa (sf) Cl. B-1, Assigned Aa3 (sf) Cl. B-1-X*, Assigned Aa3 (sf) Cl. B-1-A, Assigned Aa3 (sf) Cl. B-2, Assigned A2 (sf) Cl. B-2-X*, Assigned A2 (sf) Cl. B-2-A, Assigned A2 (sf) Cl. B-3, Assigned Baa2 (sf) Cl. B-3-X*, Assigned Baa2 (sf) Cl. B-3-A, Assigned Baa2 (sf) Cl. B-4, Assigned Ba2 (sf) Cl. B-5, Assigned B2 (sf) Cl. B, Assigned A3 (sf) Cl. B-X*, Assigned A3 (sf) *Reflects Interest-Only Classes Rating Rationale Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.37% at the mean, 0.20% at the median, and reaches 3.73% at a stress level consistent with Moody's 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 Moody's forecasts is unusually high. Moody's increased our model-derived median expected losses by 15% (10.21% for the mean) and Moody's Aaa losses by 5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 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, our 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 Flagstar Mortgage Trust 2021-1 (FSMT 2021-1) is the first issuance from Flagstar Mortgage Trust in 2021. Flagstar Bank, FSB is the sponsor of the transaction. FSMT 2021-1 is a securitization of first-lien prime jumbo and agency eligible mortgage loans. The transaction is backed by 463 (84% by unpaid principal balance) and 111 (16% by unpaid principal balance) 30-year fixed rate prime jumbo and agency eligible mortgage loans, respectively, with an aggregate stated principal balance of $488,656,342. The average stated principal balance is $851,318 and the weighted average (WA) current mortgage rate is 3.19%. Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores and low loan-to-value (LTV) ratios. The weighted average primary borrower original FICO score and original LTV ratio of the pool is 778 and 67.03%, respectively. The WA original debt-to-income (DTI) ratio is 32.64%. The average borrower total monthly income is $27,906 with an average $246,280 of liquid cash reserves. Approximately, 43.41% by loan balance of the borrowers in the pool have more than one mortgage. However, there is no single borrower with multiple mortgages in the pool. Overall, the credit quality of the mortgage loans backing the transaction is comparable to those of other recently issued prime jumbo transactions rated by Moody's. Approximately half of the mortgages (46.57% by loan balance) are backed by properties located in California. The next largest geographic concentration is Florida (11.22% by loan balance), Texas (9.59% by loan balance), and Colorado (5.34% by loan balance). All other states each represent 4% or less by loan balance. Approximately 0.70% (by loan balance) of the pool is backed by properties that are 2-to4 unit residential properties whereas loans backed by single family residential properties represent 64.38% (by loan balance) of the pool. Approximately 39.41% of the loans (by loan balance) were originated through the correspondent channel. Additionally, 35.91% (by loan balance) of the loans were originated through the broker channel and the remaining 24.68% (by loan balance) were originated through the retail channel. Origination Quality and Underwriting Guidelines 100% of the loans in the pool are originated by Flagstar. The prime jumbo loans in the pool are underwritten per Flagstar's Jumbo (70.87% by unpaid principal balance) and Jumbo Express (13.14% by unpaid principal balance) underwriting guidelines. Both programs offer 30-yr fixed rate loans. However, loans originated under the Jumbo program require manual underwriting and loans originated under the Jumbo Express program require a valid Desktop Underwriter (DU) response. The maximum loan amount under the Jumbo Express program is limited to that of high balance conforming loan limit of $822,375. Moody's consider Flagstar an adequate originator of prime jumbo and conforming mortgages. As a result, Moody's did not make any adjustments (positive or negative) to losses based on Moody's assessment of origination quality. Servicing arrangement Moody's consider the overall servicing arrangement for this pool to be adequate. Flagstar will service the mortgage loans. Flagstar will be responsible for principal and interest advances as well as other servicing advances. Wells Fargo Bank, N.A., the master servicer, will be required to make principal and interest advances if Flagstar is unable to do so. Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on this servicing arrangement. Covid-19 Impacted Borrowers As of the cut-off date, no borrower in the pool has entered a COVID-19 related forbearance plan with the servicer. However, there are five borrowers in the pool that had previously inquired about the forbearance plan but never entered it. Also, if any borrower enters or requests a COVID-19 related forbearance plan from the cut-off date to the closing date, then the associated mortgage loan will be removed from the pool. In the event a borrower enters or requests a COVID-19 related forbearance plan after the closing date, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.5 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. 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 labor intensive. The fee-for-service compensation is reasonable and adequate for this transaction. Third-party review The credit, compliance, property valuation, and data integrity portion of the third-party review (TPR) was conducted on a total of approximately 39.55% (227 loans) of the pool (by loan count). 100% of the loans reviewed received a grade B or higher with 92.07% of loans receiving an A grade. While the TPR results indicated compliance with the originators' underwriting guidelines for most of the loans, no material compliance issues and no material appraisal defects, the total sample size of 227 loans reviewed did not meet Moody's credit neutral criteria. Moody's, therefore made an adjustment to loss levels to account for this risk. Representations and Warranties Framework Flagstar Bank, FSB (Long Term Issuer Baa3), the originator as well as an investment-grade rated entity, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when (1) the loan becomes 120 days delinquent, (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 119 days delinquent and is modified by the servicer. Similar to J.P. Morgan Mortgage Trust (JPMMT) transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider is rated investment grade, the breach reviewer is independent, and the breach review process is thorough, transparent and objective. Moody's did not make any additional adjustment to Moody's base case and Aaa loss expectations for R&Ws. Transaction structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate, starting with most junior, and senior support certificates and on a pro-rata basis among the super senior certificates. Tail risk & subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to eroding credit enhancement over time and increased performance volatility, known as tail risk. To mitigate this risk, the transaction provides for a senior subordination floor of 1.00% which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.00% of the closing pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor and the subordinate floor of 1.00% 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 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-DNA2: S&P Assigns BB- Prelim Rating on B-1B Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR REMIC Trust 2021-DNA2's notes. The note issuance is an RMBS transaction backed by 100% conforming residential mortgage loans. The preliminary ratings are based on information as of Feb. 25, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- 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." Preliminary Ratings Assigned Freddie Mac STACR REMIC Trust 2021-DNA2 A-H(i), $54,294,365,349: NR M-1, $264,000,000: BBB+ (sf) M-1H(i), $14,432,642: NR M-2, $396,000,000: BBB- (sf) M-2A, $198,000,000: BBB+ (sf) M-2AH(i), $10,824,482: NR M-2B, $198,000,000: BBB- (sf) M-2BH(i), $10,824,482: NR M-2R, $396,000,000: BBB- (sf) M-2S, $396,000,000: BBB- (sf) M-2T, $396,000,000: BBB- (sf) M-2U, $396,000,000: BBB- (sf) M-2I, $396,000,000: BBB- (sf) M-2AR, $198,000,000: BBB+ (sf) M-2AS, $198,000,000: BBB+ (sf) M-2AT, $198,000,000: BBB+ (sf) M-2AU, $198,000,000: BBB+ (sf) M-2AI, $198,000,000: BBB+ (sf) M-2BR, $198,000,000: BBB- (sf) M-2BS, $198,000,000: BBB- (sf) M-2BT, $198,000,000: BBB- (sf) M-2BU, $198,000,000: BBB- (sf) M-2BI, $198,000,000: BBB- (sf) M-2RB, $198,000,000: BBB- (sf) M-2SB, $198,000,000: BBB- (sf) M-2TB, $198,000,000: BBB- (sf) M-2UB, $198,000,000: BBB- (sf) B-1, $264,000,000: BB- (sf) B-1A, $132,000,000: BB+ (sf) B-1AR, $132,000,000: BB+ (sf) B-1AI, $132,000,000: BB+ (sf) B-1AH(i), $7,216,321: NR B-1B, $132,000,000: BB- (sf) B-1BH(i), $7,216,321: NR B-2, $264,000,000: NR B-2A, $132,000,000: NR B-2AR, $132,000,000: NR B-2AI, $132,000,000: NR B-2AH(i), $7,216,321: NR B-2B, $132,000,000: NR B-2BH(i), $7,216,321: NR B-3H(i), $139,216,321: NR (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of each of these tranches. NR--Not rated. GCAT 2021-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GCAT 2021-NQM1's mortgage pass-through certificates. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans primarily secured by single-family residential properties, planned-unit developments, condominiums, cooperatives, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 535 loans, which are nonqualified or ATR-exempt mortgage loans. The preliminary ratings are based on information as of Feb. 25, 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 asset pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's geographic concentration; -- The transaction's representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage II LLC; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. An 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 GCAT 2021-NQM1 Class A-1, $217,781,000: AAA (sf) Class A-2, $17,220,000: AA (sf) Class A-3, $32,849,000: A (sf) Class M-1, $11,142,000: BBB (sf) Class B-1, $5,788,000; BB (sf) Class B-2, $3,618,000: B (sf) Class B-3, $1,013,266: Not rated Class A-IO-S, Notional(i): Not rated Class X, Notional(i): Not rated Class R, N/A: Not rated (i)The notional amount equals the aggregate stated principal balance of the loans. GREYWOLF CLO IV: S&P Assigns Prelim BB-(sf) Rating on D-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-1-R, B-2-R, C-R, and D-R replacement notes and new class X notes from Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue), a CLO originally issued in April 2019 that is managed by Greywolf Loan Management LP. 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 notes are expected to be issued at a lower spread than the original notes. The preliminary ratings are based on information as of Feb. 26, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 17, 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." The replacement notes are being issued via a proposed supplemental indenture, which will outline the terms of the replacement notes. Based on provisions in the proposed supplemental indenture: -- The stated maturity will be extended by four years. -- The reinvestment period will be extended by five years. -- The non-call period will be extended by three years. -- Of the underlying collateral obligations, 99.26% have credit ratings assigned by S&P Global Ratings. -- Of the underlying collateral obligations, 94.56% have recovery ratings assigned by S&P Global Ratings. Preliminary Ratings Assigned Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue) Class X, $3.00 million: AAA (sf) Class A-1-R, $310.00 million: AAA (sf) Class A-2-R, $70.00 million: AA (sf) Class B-1-R (deferrable), $20.00 million: A (sf) Class B-2-R (deferrable), $10.00 million: A (sf) Class C-R (deferrable), $25.00 million: BBB- (sf) Class D-R (deferrable), $21.50 million: BB- (sf) Subordinated notes A, $32.55 million: Not rated Subordinated notes B, $24.75 million: Not rated GS MORTGAGE 2018-SRP5: S&P Cuts Class X-NCP Notes Rating to CCC --------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2018-SRP5, a U.S. CMBS transaction. This is a stand-alone (single-borrower) transaction backed by a floating-rate interest-only (IO) mortgage loan secured by the borrowers' fee simple and/or leasehold interests in five enclosed regional malls totaling 5.9 million sq. ft. (of which 3.7 million sq. ft. is collateral) located in California, Ohio, and Washington. 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." Rating Actions S&P said, "The downgrades on classes A, B, C, and D reflect our reevaluation of the mall portfolio, based on our review of the updated lower-than-expected August 2020 appraisal values released in January 2021 and the performance data for the year-to-date (YTD) period ended June 30, 2020, that were provided by the special servicer after our July 2020 review. "We lowered our aggregate expected-case valuation by 18.0% to $492.0 million based on the updated August 2020 appraisal values totaling $557.0 million (which were 54.9% lower than the aggregated appraisal values at origination) and performance information. Specifically, the lower S&P Global Ratings expected-case value reflects a lower S&P Global Ratings net cash flows (NCF) and our application of higher overall S&P Global. Ratings capitalization rates. S&P said, "The downgrades on classes A, B, C, and D reflect the increased susceptibility to liquidity interruption and losses due to our revised lower combined expected case value and the lower appraisal values, in total, of $557.0 million. In addition, we considered the decline in the reported YTD June 2020 performance partly due to the COVID-19 pandemic. In particular, the class D downgrade reflects our view that, based on the significantly reduced appraisal values and an S&P Global Ratings loan-to-value (LTV) ratio higher than 100%, the risk of default and loss on the class has increased due to uncertain market conditions. "However, while the model-indicated ratings on classes A and B were lower than the classes' revised rating levels, we tempered our downgrades because we qualitatively considered the classes' relative positions in the waterfall and the potential that the operating performance of some of the malls in the portfolio, given the malls' dominance in their respective trade areas, could improve above our expectations. However, if there are any reported negative changes in the portfolio or the transaction's performance beyond what we have already considered, we may revisit our analysis and adjust our ratings as necessary. "The downgrade on the class X-NCP IO certificates is based on our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. Class X-NCP's notional amount references classes A, B, C, and D. "In addition to the lower-than-expected appraisal values and the portfolio's overall declining performance, our analysis also considered that the loan transferred to the special servicer on June 3, 2020, because the borrowers requested COVID-19 forbearance relief. It is our understanding that the subordinate creditors have succeeded in having a trustee appointed to take control of the borrower entities. The Israeli trustee replaced the property manager and is working with KeyBank Real Estate Capital, as the special servicer, on finalizing a modification agreement of the senior loan that may include extending the maturity date to August 2023. The master servicer, Wells Fargo Bank N.A., reported a 2.38x debt service coverage for the three months ended March 31, 2020, compared with 2.28x as of year-end 2019." Wells Fargo indicated that, as of January 2021, the loan was brought current after $15.2 million was applied to the outstanding amounts, including $7.9 million in outstanding principal and interest advances. Additionally, $17.5 million is currently held at the property accounts. According to the special servicer, all these funds were captured via the hard lockbox that remains in place. Transaction Summary According to the Feb. 16, 2021, trustee remittance report, the IO mortgage loan has a trust balance and whole loan balance of $549.0 million, unchanged from issuance. The loan pays a per annum floating rate at weighted average spread of 2.4% over LIBOR and currently matures on June 9, 2021, subject to two consecutive one-year extension options and a subsequent third extension option of two months and 16 days with a fully extended maturity date of Aug. 25, 2023. In addition, there is $252.8 million of unsecured subordinate debt that was funded via a public bond offering in Israel. The debtor for the Israeli debt financing (ILS debt) is a wholly owned entity of the sponsor, Starwood Retail Partners. The trust loan is not cross-defaulted to the ILS debt. It is our understanding from KeyBank that the sponsor has defaulted on the ILS debt, resulting in ongoing litigation. To date, the trust has not incurred any principal losses. However, Wells Fargo has calculated an appraisal reduction amount of $38.3 million on the senior loan. Property-Level Analysis S&P said, "Our property-level analysis considered the portfolio's declining occupancy and declining servicer-reported net operating income (NOI). The NOI is down 1.5% in 2017, 8.8% in 2018, and 6.6% in 2019, which we attribute to lower base rent income from an overall higher vacancy. In addition, we considered the increased tenant bankruptcies and store closures, as well as the recently-improved-yet-still-low billed rent collection rates (which are a combined 66.8% as of November 2020, up from 29.1% in June 2020), due to COVID-19. To account for these risks, we increased our lost rent assumptions and excluded income from those tenants who are no longer listed on the respective mall directory websites or those that have filed for bankruptcy protection or announced store closures. Consequently, we derived an overall sustainable NCF of $51.0 million (down 7.9% from our last review). "In addition, we increased our overall weighted average capitalization rate to 10.28% from 9.16% in the last review to account for ongoing cash flow volatility due to weakening trends within the retail mall sector, the overall perceived increase in the market risk premium for this property type, and vacant and weak anchor and major tenants. We arrived at our aggregate expected-case value of $492.0 million, down from $600.0 million in the last review. Our expected-case value yielded an S&P Global Ratings LTV ratio of 111.6% on the trust balance." Details The Five Regional Malls Plaza West Covina ($152.3 million allocated loan amount [ALA]) A 1.2 million-sq.-ft. (of which 667,814 sq. ft. is collateral) regional mall in West Covina (Los Angeles), Calif., anchored by J.C. Penney (210,274 sq. ft.; noncollateral), Macy's (180,000 sq. ft.; noncollateral), and an anchor space formerly occupied by Sears (137,820 sq. ft.; noncollateral). According to the September 2020 rent roll, the collateral was 85.5% occupied, down from the servicer-reported 97.9% occupancy rate in 2019. The servicer-reported NOI declined by 2.8% in 2017, 2.9% in 2018, 7.0% in 2019, and 11.2% for the trailing 12 months ended May 31, 2020. According to the September 2020 rent roll, the five largest tenants made up 26.8% of the collateral net rentable area (NRA). In addition, the NRA includes leases that expire in 2021 (17.4%), 2022 (16.6%), 2023 (14.5%), and 2024 (5.7%). It is S&P's understanding from KeyBank that the borrower collected 53.9% of the total billed rent in November 2020, up from 26.1% in June 2020. Franklin Park Mall ($126.5 million ALA) A 1.3 million-sq.-ft. (of which 705,503 sq. ft. is collateral) regional mall in Toledo, Ohio, anchored by J.C. Penney (222,990 sq. ft.; noncollateral), Dillard's (192,182 sq. ft.; noncollateral), Macy's (186,621 sq. ft.; noncollateral), Rave Cinemas (83,443 sq. ft.), and Dick's Sporting Goods (75,000 sq. ft.). According to the September 2020 rent roll, the collateral property was 90.1% occupied, down slightly from the servicer-reported 95.8% occupancy rate in 2019. The servicer-reported NOI decreased by 0.3% in 2017 and 16.1% in 2018 and increased by 7.3% in 2019. According to the September 2020 rent roll, the five largest tenants made up 33.2% of the collateral NRA. In addition, the NRA includes leases that expire in 2021 (11.8%), 2022 (8.7%), 2023 (10.0%), and 2024 (6.5%). According to KeyBank, the borrower collected 76.9% of the total billed rent in November 2020, up from 31.2% in June 2020. Parkway Plaza ($116.7 million ALA) A 1.3 million-sq.-ft. (of which 944,728 sq. ft. is collateral) regional mall in El Cajon (San Diego), Calif., anchored by Walmart (160,000 sq. ft.), J.C. Penney (153,047 sq. ft.; ground leased), and Macy's (115,612 sq. ft.; noncollateral). There is also a vacant anchor space formerly occupied by Sears (255,622 sq. ft.; noncollateral). According to the September 2020 rent roll, the collateral was 76.8% occupied (after considering J.C. Penney vacated its space), which was relatively unchanged from the 77.6% servicer-reported occupancy rate in 2019. The servicer-reported NOI declined by 4.9% in 2017, 4.4% in 2018, and 9.2% in 2019. According to the September 2020 rent roll, the five largest tenants, excluding J.C. Penney, made up 37.3% of the collateral NRA. In addition, the NRA includes leases that expire in 2021 (9.5%), 2022 (19.9%), 2023 (14.2%), and 2024 (18.4%). According to KeyBank, the borrower collected 65.7% of the total billed rent in November 2020, up from 35.3% in June 2020. Capital Mall ($90.8 million ALA) An 804,065-sq.-ft. regional mall in Olympia, Wash., anchored by Macy's (113,190 sq. ft.; ground leased), J.C. Penney (93,481 sq. ft.; ground leased), Dick's Sporting Goods (51,060 sq. ft.), and Century Theatres (45,171 sq. ft.). According to the September 2020 rent roll, the collateral was 90.5% occupied, which was relatively unchanged from the servicer-reported 91.9% occupancy rate in 2019. The servicer-reported NOI declined by 1.4% in 2017, 8.3% in 2018, and 20.8% in 2019. According to the September 2020 rent roll, the five largest tenants made up 43.7% of the collateral NRA. In addition, the NRA includes leases that expire in 2021 (7.4%), 2022 (16.3%), 2023 (20.9%), and 2024 (20.5%). It is our understanding from KeyBank that the borrower collected 80.3% of the total billed rent in November 2020, up from 30.4% in June 2020. Great Northern Mall ($62.7 million ALA) A 1.2 million-sq.-ft. (606,933 sq. ft. is collateral) regional mall in North Olmstead (Cleveland), Ohio, anchored by Macy's (238,261 sq. ft.; noncollateral), Dillard's (214,653 sq. ft.; noncollateral), Sears (179,624 sq. ft.; noncollateral), J.C. Penney (165,428 sq. ft.), and Regal Cinemas (43,955 sq. ft.). According to the September 2020 rent roll, the collateral was 91.3% occupied, down slightly from the servicer-reported 96.9% occupancy rate in 2019. The servicer-reported NOI increased by 5.1% in 2017, decreased by 14.5% in 2018, and increased by 4.5% in 2019. According to the September 2020 rent roll, the five largest tenants made up 54.2% of the collateral NRA. In addition, the NRA include leases that expire in 2021 (39.2%), 2022 (6.3%), 2023 (6.5%), and 2024 (5.2%). According to KeyBank, the borrower collected 60.5% of the total billed rent in November 2020, up from 20.1% in June 2020. Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety. Ratings Lowered GS Mortgage Securities Corp. Trust 2018-SRP5 Class A: to A- (sf) from AA- (sf) Class B: to BBB- (sf) from A- (sf) Class C: to B- (sf) from BB- (sf) Class D: to CCC (sf) from B- (sf) Class X-NCP: to CCC (sf) from B- (sf) GS MORTGAGE 2021-PJ2: Fitch Assigns Final B Rating on B-5 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ2 (GSMBS 2021-PJ2). The transaction is expected to close on Feb. 26, 2021. The certificated are supported by 435 conforming and nonconforming loans with a total balance of approximately $427.61 million as of the cutoff date. DEBT RATING PRIOR ---- ------ ----- GSMBS 2021-PJ2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AA+sf New Rating AA+(EXP)sf A-4 LT AA+sf New Rating AA+(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AA+sf New Rating AA+(EXP)sf A-10 LT AA+sf New Rating AA+(EXP)sf A-X-1 LT AA+sf New Rating AA+(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AA+sf New Rating AA+(EXP)sf A-X-5 LT AAAsf New Rating AAA(EXP)sf A-X-7 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists entirely of 30-year fixed-rate mortgage (FRM) fully amortizing loans seasoned approximately four months in aggregate. The borrowers in this pool have strong credit profiles (770 model FICO) and relatively low leverage (a 75% sustainable loan to value ratio [sLTV]). The 100% full documentation collateral comprises mostly nonconforming prime-jumbo loans (99.3%), with a small mix of conforming agency-eligible loans (0.7%), while 100% of the loans are safe harbor qualified mortgages (SHQM). Of the pool, 97.4% are of loans for which the borrower maintains a primary residence, while 2.6% are for second homes. Additionally, over 91% of the loans were originated through a retail channel. Shifting-Interest Deal 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. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.25% of the original balance will be maintained for the senior certificates, and a subordination floor of 0.90% of the original balance will be maintained for the subordinate certificates. Shellpoint Servicing will provide full advancing for the life of the transaction. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. Goldman Sachs is assessed as an 'Above Average' aggregator by Fitch due to its robust sourcing strategy and seller oversight, experienced senior management and staff, and strong risk management and corporate governance controls. Primary servicing responsibilities are performed by Shellpoint Mortgage Servicing (Shellpoint), rated 'RPS2-' by Fitch. Additionally, Fitch has conducted originator reviews on over 80% of the underlying originators. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of the loans in the transaction. Due diligence was performed by AMC, Opus, Digital Risk and Consolidated Analytics, which Fitch assesses as Acceptable - Tier 1, Acceptable - Tier 2, Acceptable - Tier 2 and Acceptable - Tier 3, respectively. The review scope is consistent with Fitch criteria, and the results are generally similar to prior prime RMBS transactions. Credit exceptions were supported by strong mitigating factors, and compliance exceptions were primarily cured with subsequent documentation. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 21 bps. No Meaningful Changes from Prior Transactions (Neutral): This transaction is the eighth securitization by this issuer under this PJ shelf. All transactions have been collateralized with comparable credit quality and assets, and they have used the identical structure and transaction parties. Fitch's projected asset loss for the transaction's CE is consistent with prior transactions. Fitch's expected losses for this transaction are slightly lower due to improved LTV's and higher amount of liquid reserves. 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 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 5.7%. As shown in the table included in the presale report, the analysis indicates that some potential rating migration exists with higher MVDs compared with the model projection. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Additionally, the defined rating sensitivities determine the stresses to MVDs that would reduce a rating by one full category, to noninvestment grade and to 'CCCsf'. 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 relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Opus, Digital Risk and Consolidate Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of this report for further details. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Opus, Digital Risk and Consolidate Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of this report for further details. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. ICG US CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2021-1 Ltd./ICG US CLO 2021-1 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 preliminary ratings are based on information as of March 2, 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 ICG US CLO 2021-1 Ltd./ICG US CLO 2021-1 LLC Class A-1, $244.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $43.45 million: Not rated JP MORGAN 2004-PNC1: Fitch Affirms D Rating on 9 Tranches --------------------------------------------------------- Fitch Ratings has affirmed 10 classes of JP Morgan Chase Commercial Mortgage Securities Corporation (JPMCC) commercial mortgage pass-through certificates, series 2004-PNC1. DEBT RATING PRIOR ---- ------ ----- J. P. Morgan Chase Commercial Mortgage Securities Corp. 2004-PNC1 E 46625M5N5 LT CCCsf Affirmed CCCsf F 46625M5R6 LT Dsf Affirmed Dsf G 46625M5S4 LT Dsf Affirmed Dsf H 46625M5T2 LT Dsf Affirmed Dsf J 46625M5U9 LT Dsf Affirmed Dsf K 46625M5V7 LT Dsf Affirmed Dsf L 46625M5W5 LT Dsf Affirmed Dsf M 46625M5X3 LT Dsf Affirmed Dsf N 46625M5Y1 LT Dsf Affirmed Dsf P 46625M5Z8 LT Dsf Affirmed Dsf KEY RATING DRIVERS High Loss Expectations; Pool Concentration and Adverse Selection: The pool is concentrated, with only eight of the original 101 loans/assets remaining. Fitch's loss expectations on the REO asset, which is the largest asset comprising 37.3% of the pool, remain high. Additionally, proceeds received from the repayment of performing loans in the pool are being taken to recover outstanding servicer advances on the REO asset. The REO Tri County Crossing asset (37.3% of pool) is a 146,279-sf retail property located in Springdale, OH. The loan was transferred to special servicing in 2016 due to the departure of the collateral's largest tenant, Dick's Sporting Goods (formerly 43% of the NRA). The asset became REO in April 2018. Property occupancy further dropped to 17% as of October 2020 from 57% in December 2019 when Best Buy (39.9% of NRA) vacated at expiration in March 2020. The only remaining tenant is K&G Men's (17% of NRA leased through December 2023). Both the former Dick's Sporting Goods and Best Buy spaces remain vacant. The property is currently being marketed for lease; the special servicer is evaluating new tenant prospects with the intent to lease up and sell. The most recent appraisal dated May 2019 indicated an 83% decline since issuance. Exposure to Coronavirus Pandemic: Retail comprises 41.7% of the pool and multifamily comprises 36% of the pool. Outside of the three defeased loans in the pool (22.3%), the remaining four non-specially serviced loans are comprised of three loans (36%; maturing between March and May 2022) secured by multifamily properties located in secondary and tertiary markets of Texas and California, including one low income property (El Pueblo Dorado; 19.3%) and one senior housing property (El Centro Senior Villas; 3.1%), and one loan (Bellechase Commons; 4.3%; maturing March 2024), which is designated a Fitch Loan of Concern, secured by a retail property located in Lake in the Hills, IL with upcoming lease rollover concerns. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on timing and likelihood for repayment from maturing defeased and performing loans and by expected losses from the liquidation of specially serviced REO asset; the ratings reflect this sensitivity analysis. Fitch's distressed ratings consider the potential for negative impact on potential sales, loan refinanceability and workout strategies. Decreased Credit Enhancement: Credit enhancement has decreased since Fitch's last rating action due to an additional $26 million in realized losses from the disposition of the Employers Reinsurance I loan in July 2020. As of the February 2021 distribution date, the pool's aggregate principal balance has been reduced by 98.2% to $19.8 million from $1.1 billion at issuance. Realized losses since issuance total $75.1 million (6.8% of original pool balance). Cumulative interest shortfalls totaling $3.6 million are currently affecting classes F, H, and L through NR. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- An upgrade of class E is unlikely given the significant pool concentration and adverse selection, but may occur with significantly better than expected recoveries on the REO asset and stable to improved performance on the non-specially serviced loans in the pool. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Class E may be downgraded with greater certainty of losses and/or as losses are realized. 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. JP MORGAN 2021-3: Fitch Assigns Final B Rating on B-5 Debt ---------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2021-3 (JPMMT 2021-3). DEBT RATING PRIOR ---- ------ ----- JPMMT 2021-3 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-A LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-A LT AAAsf New Rating AAA(EXP)sf A-10-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-A LT AAAsf New Rating AAA(EXP)sf A-11-AI LT AAAsf New Rating AAA(EXP)sf A-11-B LT AAAsf New Rating AAA(EXP)sf A-11-BI LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf A-X-4 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2-A LT Asf New Rating A(EXP)sf B-2-X LT Asf New Rating A(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 1,179 loans with a total balance of approximately $1.099 billion as of the cutoff date. The pool consists of prime quality fixed-rate mortgages (FRMs) from various mortgage originators. The servicers in the transactions consist of JP Morgan Chase Bank and various other servicers. Nationstar Mortgage LLC will be the master servicer. 100% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM), Rebuttable Presumption QM, or Agency Safe Harbor QM loans. There is no exposure to LIBOR in this transaction. The collateral is 100% fixed rate loans, the certificates are fixed rate, based off of the net WAC, or floating/inverse floating rate based off of the SOFR index and capped at the net WAC. This is the third Fitch-rated JPMMT transaction to use SOFR as the index rate for floating/inverse floating-rate certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year, 25-year, and 20-year fixed-rate fully amortizing loans. 100% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM), Rebuttable Presumption QM, or Agency Safe Harbor QM loans. The loans were made to borrowers with strong credit profiles, relatively low leverage, and large liquid reserves. The loans are seasoned an average of four months according to Fitch (two months per the transaction documents). The pool has a weighted average (WA) original FICO score of 780 (as determined by Fitch), which is indicative of very high credit-quality borrowers. Approximately 89% of the loans have a borrower with an original FICO score above 750. In addition, the original WA CLTV ratio of 69.6% (sLTV 73.7%) represents substantial borrower equity in the property and reduced default risk. 97.8% of the pool are nonconforming loans, while the remaining 2.2% are conforming loans. 100% of the loans are designated as QM loans with roughly 79% of the pool being originated by a retail channel. The pool consists of 91.4% of loans where the borrower maintains a primary residence, while 8.6% is a second home (there are no investor properties in the pool). Single-family homes make up 92.8% and condos make up 6.1% of the pool. Cash-out comprise only 6.7% of the pool while purchases comprise 47.1% and rate refinances comprise 46.2%. Based on the information provided, there are no nonpermanent residents in the pool. 354 loans in the pool are over $1 million, and the largest loan is $2.99 million. Geographic Concentration (Neutral): Approximately 49.5% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (14.4%), followed by the San Francisco-Oakland-Fremont, CA MSA (14%) and the San Jose-Sunnyvale-Santa Clara, CA MSA (7.7%). The top three MSAs account for 36.2% of the pool. As a result, there was no PD penalty for geographic concentration. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): A CE or senior subordination floor of 0.55% has been considered 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. A junior subordination floor of 0.50% has been considered in order to mitigate potential tail-end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Payment Forbearance (Neutral): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan; however, there were loans that had previously been on a coronavirus forbearance plan, or inquired about a coronavirus forbearance plan, but have continued to make their full contractual payment and were never considered delinquent. As of the cutoff date, approximately 0.19% (two loans) of the borrowers of the mortgage loans have previously entered into a coronavirus-related forbearance plan with the related servicer, each of which is no longer active. However, with respect to each such mortgage loan, the related borrower had nonetheless made all of the scheduled payments due during the related forbearance period and was therefore never delinquent. In addition, none of the borrowers of the mortgage loans have inquired about or requested forbearance plans with the related servicer and subsequently declined to enter into any forbearance plan with such servicer and remain current as of the cutoff date. Fitch did not make any adjustment to the loans previously on a coronavirus forbearance plan, since they continued to make their payments under the plan (no delinquencies) and the plans are no longer active. Any loan that enters a coronavirus forbearance plan between the cutoff date and the settlement date will be removed from the pool (at par) within 45 days of closing. For borrowers who enter a coronavirus forbearance plan post-closing, the principal and interest (P&I) advancing party will advance P&I during the forbearance period. If at the end of the forbearance period, the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. 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. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. JP Morgan has an extensive operating history in mortgage aggregations and is assessed by Fitch as an 'Above Average' aggregator. JP Morgan has a developed sourcing strategy and maintains strong internal controls that leverage the company's enterprise wide risk management framework. Approximately 91% of loans are serviced by JP Morgan Chase (Chase), rated 'RPS1-'. Nationstar is the Master Servicer and will advance if the servicer is not able to. If the Master Servicer is not able to advance, then the Securities Administrator (Citibank) will advance. Due to the low operational risk, the 'AAA' loss was reduced by 0.29%. Representation and Warranty Framework (Negative): The loan-level representations and warranties (R&Ws) are mostly consistent with a higher tier framework but have knowledge qualifiers without a clawback provision contributed to its Tier 2 assessment. Fitch increased its loss expectations 26 bps at the 'AAAsf' rating category to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. Third-Party Due Diligence (Positive): Third-party due diligence was performed on 100% of loans in the transaction by three different third-party review firms; two firms are assessed by Fitch as 'Acceptable- Tier 1', and 'Acceptable-Tier 2'. The review confirmed strong origination practices; no material exceptions were listed and loans that received a final 'B' grades were due to non-material exceptions that were mitigated with strong compensating factors. Fitch applied a credit for the high percentage of loan level due diligence which reduced the 'AAAsf' loss expectation by 17 bps. Full Servicer Advancing (Mixed): The servicers will provide full advancing for the life of the transaction (the servicer is 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. Nationstar is the master servicer and will advance if the servicer is not able to. If the master servicer is not able to advance, then the securities administrator (Citibank) will advance. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon 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 $550,000 per annum, which can be carried over each year, subject to the cap until paid in full. JPMMT 2021-3 has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk. Operational risk is well controlled for in JPMMT 2021-3, including strong transaction due diligence as well as an aggregator assessed as 'Above Average' by Fitch and an 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. 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 analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, and lower MVDs illustrated by a gain in home prices. 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, or positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. 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 market value declines at the national level. The analysis assumes market value declines of 10%, 20%, and 30%, in addition to the model projected MVD, which is 5.6% in the base case. 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 two or more full categories. -- This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling 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 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 effects arising from coronavirus-related 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 SitusAMC, Clayton, and Inglet Blair. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review, and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, and IngletBlair were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered 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 JPMMT 2021-3 has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk. Operational risk is well controlled for in JPMMT 2021-3, including strong transaction due diligence as well as an aggregator assessed as 'Above Average' by Fitch and an 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JP MORGAN 2021-3: Moody's Gives B3 Rating on Cl. B-5 Certs ---------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 51 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust (JPMMT) 2021-3. The ratings range from Aaa (sf) to 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 Aaa (sf) Cl. A-2, Rating Assigned Aaa (sf) Cl. A-3, Rating Assigned Aaa (sf) Cl. A-3-A, Rating Assigned Aaa (sf) Cl. A-3-X*, Rating Assigned Aaa (sf) Cl. A-4, Rating Assigned Aaa (sf) Cl. A-4-A, Rating Assigned Aaa (sf) Cl. A-4-X*, Rating Assigned Aaa (sf) Cl. A-5, Rating Assigned Aaa (sf) Cl. A-5-A, Rating Assigned Aaa (sf) Cl. A-5-X*, Rating Assigned Aaa (sf) Cl. A-6, Rating Assigned Aaa (sf) Cl. A-6-A, Rating Assigned Aaa (sf) Cl. A-6-X*, Rating Assigned Aaa (sf) Cl. A-7, Rating Assigned Aaa (sf) Cl. A-7-A, Rating Assigned Aaa (sf) Cl. A-7-X*, Rating Assigned Aaa (sf) Cl. A-8, Rating Assigned Aaa (sf) Cl. A-8-A, Rating Assigned Aaa (sf) Cl. A-8-X*, Rating Assigned Aaa (sf) Cl. A-9, Rating Assigned Aaa (sf) Cl. A-9-A, Rating Assigned Aaa (sf) Cl. A-9-X*, Rating Assigned Aaa (sf) Cl. A-10, Rating Assigned Aaa (sf) Cl. A-10-A, Rating Assigned Aaa (sf) Cl. A-10-X*, Rating Assigned Aaa (sf) Cl. A-11, Rating Assigned Aaa (sf) Cl. A-11-X*, Rating Assigned Aaa (sf) Cl. A-11-A, Rating Assigned Aaa (sf) Cl. A-11-AI, Rating Assigned Aaa (sf) Cl. A-11-B, Rating Assigned Aaa (sf) Cl. A-11-BI, Rating Assigned Aaa (sf) Cl. A-12, Rating Assigned Aaa (sf) Cl. A-13, Rating Assigned Aaa (sf) Cl. A-14, Rating Assigned Aaa (sf) Cl. A-15, Rating Assigned Aaa (sf) Cl. A-16, Rating Assigned Aaa (sf) Cl. A-17, Rating Assigned Aaa (sf) Cl. A-X-1*, Rating Assigned Aaa (sf) Cl. A-X-2*, Rating Assigned Aaa (sf) Cl. A-X-3*, Rating Assigned Aaa (sf) Cl. A-X-4*, Rating Assigned Aaa (sf) Cl. B-1, Rating Assigned Aa3 (sf) Cl. B-1-A, Rating Assigned Aa3 (sf) Cl. B-1-X*, Rating Assigned Aa3 (sf) Cl. B-2, Rating Assigned A3 (sf) Cl. B-2-A, Rating Assigned A3 (sf) Cl. B-2-X*, Rating Assigned A3 (sf) Cl. B-3, Rating Assigned Baa3 (sf) Cl. B-4, Rating Assigned Ba3 (sf) Cl. B-5, Rating Assigned 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 Moody's 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 Moody's forecasts is unusually high. Moody's increased our model-derived median expected losses by 15% (9.8% for the mean) and our 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 consider 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 loans. 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 our 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. JP MORGAN 2021-CL1: Moody's Gives B1 Rating on Cl. M-5 Notes ------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to five classes of credit risk transfer notes issued by J.P. Morgan Wealth Management Reference Notes, Series 2021-CL1. The ratings range from Aa3 (sf) to B1 (sf). J.P. Morgan Wealth Management Reference Notes, Series 2021-CL1 is the first credit linked notes transaction issued by JPMorgan Chase Bank, N.A (JPMCB) from the JPMorgan Wealth Management Mortgage platform (JPMWM) to transfer credit risk to noteholders through a hypothetical tranched credit default swap on a reference pool of mortgages. Principal payments on the notes are based on the performance of a reference pool consisting of 2,471 fully amortizing fixed-rate prime jumbo non-conforming mortgages with a total balance of $2,363,945,883, with original terms to maturity of 30 years. The notes are uncapped secured overnight financing rate (SOFR) floaters and are unsecured obligations of JPMCB. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool except for loss mitigation modification. This deal is unique in that the source of payments for the notes will be JPMCB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. As a result, Moody's capped the ratings of the notes at JPMCB's Senior Unsecured rating (Aa2). The credit risk exposure of the notes depends on the actual realized losses and modification losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the shifting interest structure that is typical of prime jumbo transactions. However, the mezzanine and junior bondholders will not receive any principal unless performance tests are satisfied. The complete rating actions are as follows: Issuer: J.P. Morgan Wealth Management Reference Notes, Series 2021-CL1 Cl. M-1, Assigned Aa3 (sf) Cl. M-2, Assigned A2 (sf) Cl. M-3, Assigned Baa2 (sf) Cl. M-4, Assigned Ba1 (sf) Cl. M-5, Assigned B1 (sf) RATINGS RATIONALE Summary credit analysis and rating rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.36%, in a baseline scenario-median is 0.21%, and reaches 3.26% 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 median expected losses by 15% (10.2% for the mean) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from of a slowdown in US economic activity because of the 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 Senior Unsecured rating of JPMCB (Aa2), the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence, and the eligibility criteria framework of the transaction. Collateral description The reference pool consists of 2,471 fully amortizing fixed-rate prime jumbo non-conforming mortgages with a total balance of $2,363,945,883, with original terms to maturity of 30 years. The pool has a weighted average (WA) primary borrower FICO score of 773, a WA Loan-to-Value (LTV) of 68.7% and a WA Debt-to-Income (DTI) ratio of 34.4%. All of the mortgage loans in the pool are non-QM. The loans were underwritten to JPMWM underwriting guidelines. The loans are designated non-QM because the QM status was not tested. As part of the origination quality review and in consideration of the loan-level third-party diligence reports, Moody's assess whether there are any particular issues that could result in a significant risk because these loans are non-QM. Moody's did not make any adjustments to the loss levels because the borrowers are high-net-worth clients of JPMWM. They have the ability to pay, based on their significant financial assets and high reserves. About 28% of the pool are loans that were modified. Moody's did not make any adjustments to the loss levels because the modifications were relationship modifications offered to clients for retention purposes, and were heavily offered in 2019 and 2020 to align coupon rates on seasoned mortgages with the market rate. The borrowers are high net-worth individuals with significant financial assets and had been current on their mortgage payments before the modification. Approximately 14.4% of the pool (by balance) are asset depletion loans. These loans are designed for high net-worth individuals who have in excess of $1 million of unencumbered liquid assets, are of retirement age, or trust beneficiaries with portfolios that could be easily converted into cash for mortgage payments. The income stream is derived from estimating a cash flow stream by applying an amortization period equal to the term of the loan (15 or 30 years) to a diversified portfolio of verified cash and marketable securities using a rate of return determined at least annually by Chase Home Lending. JPMWM required proof of assets for these loans. Moody's did not make any adjustments to the loss levels for these loans. Origination quality The mortgage loans in the collateral pool were underwritten in accordance with JPMWM prime jumbo underwriting guidelines. Moody's consider JPMWM an adequate originator of prime jumbo and Moody's did not make an adjustment to the loss levels. JPMorgan Wealth Management (JPMWM) originates prime jumbo loans and offers fixed-rate, adjustable-rate, interest-only mortgages and Home Equity Line of Credits (HELOCs). JPMWM originations target high-net-worth and ultra-high-net-worth wealth management clients. Most of the clients are high wage earners, business owners and retirees with significant financial assets. The clients are US nationals and foreign nationals who are currently residing in the US. Underwriting JPMWM has thorough and strict underwriting guidelines. Any exceptions to the guidelines must be documented with all the compensating factors before approval. The underwriters review documentation and analyze income, assets and liabilities. The underwriting team is split between the US, India and the Philippines, and is seasoned and well-trained. The underwriting approval process is centralized in the US, while India and the Philippines have underwriting activity and quality control (QC) reviews. Quality assurance (QA) is performed through post-funding reviews. QC reviews are performed during loan production from application through funding. All the loans are subject to a pre-funding QC review that validates data and requirements using a 100+ questions checklist. Underwriting QC staff include more than 20 full-time employees located in the US and India. Post-fund QA is performed on a sample of funded and denied loans monthly on a 95/5/5 statistical sampling basis. Both QC and QA reviews are inclusive of compliance, collateral and credit checkpoints. Loans are also subject to periodic internal and external corporate audits. Servicing arrangement Moody's consider the overall servicing arrangement for this pool adequate because of the experience and financial strength of Chase as the servicer. Chase is not required to advance principal and interest on the mortgage loans, but JPMCB is responsible to pay interest to the notes at their respective note rates. Chase will be obligated to make advances with respect to taxes, insurance premiums and the cost of the property's preservation if deemed recoverable. Chase is a seasoned servicer with more than 20 years of experience servicing residential mortgage loans and has demonstrated adequate servicing ability as a primary servicer of prime residential mortgage loans. Third-party review The results of the third-party review (TPR) are weaker than those for other J.P. Morgan Mortgage Acquisition Corporation (JPMMAC)-sponsored transactions. On behalf of JPMCB, Clayton conducted an independent third-party pre-securitization due diligence review on 600 out of 2,471 loans. One loan had a final credit grade C, three loans had a final compliance grade C or D, and 11 loans had a final valuation grade D because of the missing updated valuation to support the original appraised value. Moody's extrapolated the 15 loans with a final grade C or D to the broader pool because the due diligence was not performed on 100% of the pool. Two loans with valuations grade D and five loans flagged for final grades of C and/or D for compliance were dropped from the final pool. In addition, data integrity was performed on 600 loans and findings indicated notable discrepancies in key fields between the initial tape data and the review data. The issuer has corrected the data issues for all the loans in the final tape (including the un-sampled loans). Moody's made a small adjustment to the loss levels as a result of the TPR results. Strong eligibility criteria framework JPMCB has provided clear loan-level eligibility criteria with respect to the reference pool. JPMWM 2021-CL1's eligibility criteria, which are the equivalent of a traditional JPMMT R&W framework, are in line with those of other JPMorgan Mortgage Trust (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 eligibility criteria framework takes into account the financial strength of JPMCB, scope of eligibility criteria (including qualifiers and sunsets) and enforcement mechanisms. There are provisions for binding arbitration in the event there is a dispute between the issuer and a representative appointed by the noteholders, regarding satisfaction of the eligibility criteria. Further, eligibility criteria breaches are evaluated by an independent third-party using a set of objective criteria. The transaction contains breach review triggers: (i) a severely delinquent reference obligation, (ii) a liquidated reference obligation, or (iii) a delinquent modified reference obligation. The notes JPMCB creates a hypothetical structure of senior reference certificates (A-R1) and multiple classes of subordinate reference certificates (M-R1, M-R2, M-R3, M-R4, M-R5 and B-R1). The principal payments and losses on the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B notes will be based on the principal amounts and losses that would hypothetically be based on the Class M-R1, Class M-R2, Class M-R3, Class M-R4, Class M-R5 and Class B-R1 certificates, respectively, included in the hypothetical structure. 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 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. Of note, relationship modification is not part of the modification loss amount. The modification loss is 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. Principal payments will be allocated pro rata among the senior and subordinate notes (mezzanine and junior) based on their respective senior and subordinate percentages so long as performance triggers and nonperforming loan test are satisfied. The senior note will receive 100% of the principal distributions if either the delinquent trigger or the cumulative loss trigger fails during the payment period. The senior will receive 100% of the prepayment or unscheduled payment if the nonperforming loan test fails during the payment period. Realized Loss and Modification Loss Realized losses are applied reverse sequentially starting with first with Class B until the principal balance has been reduced to zero. Modification loss will be applied after the allocation of realized loss. Modification loss amounts are applied reverse sequentially first to the distributable interest and principal of the Class B to reduce the current interest distributable to zero and then to reduce the principal distributable to zero. Of note, any principal forbearance/forgiveness amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of modification loss. Modifications performed in accordance with the loss mitigation process of the servicer will not result in the allocation of realized losses or certificate write-down amount unless the borrower receives a principal forgiveness or the modified borrower defaults without enough liquidation proceeds to cover the unpaid principal balance. Cash flow features Moody's took the pro rata principal payments to the notes and performance triggers into consideration in Moody's cash flow analysis. Moody's applied a 20% CPR to the cash flow as a sensitivity for the pro rata feature. In a high prepayment environment, the senior and the subordinate notes are amortizing faster. As a result, less subordination will be available to protect the senior subordinate certificates from losses. Tail risk This deal has a pro-rata structure with a subordination lockout class, which protects the mezzanines of high priority if the applicable credit support percentage levels are not maintained. The mezzanine and junior bondholders will not receive any principal unless performance tests are satisfied. The mezzanine and junior notes will be locked out of principal payment entirely if the current applicable credit percentage for such class is less than the sum of its original applicable credit percentage and 25% of the nonperforming reference loan percentage. The principal those tranches would have received are directed to pay more senior subordinate bonds pro rata. In addition, the transaction has a subordination floor of 0.40% of the original pool balance to protect the subordinate notes against losses that occur late in the life of the pool. The floor is consistent with the credit neutral floor for the assigned ratings according to Moody's methodology. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. KKR CLO 29: S&P Assigns B- (sf) Rating on $4MM Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to KKR CLO 29 Ltd./KKR CLO 29 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 KKR CLO 29 Ltd./KKR CLO 29 LLC Class A, $248.0 million: AAA (sf) Class B, $56.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $22.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Class F (deferrable)(i), $4.0 million: B- (sf) Subordinated notes, $37.3 million: Not rated. MADISON PARK XLVIII: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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. 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 MARINER FINANCE 2021-A: S&P Assigns Prelim BB- Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mariner Finance Issuance Trust 2021-A's asset-backed notes. The note issuance is an ABS securitization backed by personal consumer loan receivables. The preliminary ratings are based on information as of March 2, 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 availability of approximately 60.58%, 50.19%, 45.27%, 39.60%, and 31.47% credit support to the class A, B, C, D, and E 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 preliminary ratings on the notes based on S&P's stressed cash flow scenarios. -- S&P said, "Our worst-case weighted average base-case loss assumption for this transaction of 20.66%. This base-case is a function of the transaction-specific reinvestment criteria, actual Mariner Finance LLC (Mariner) 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 interest payments on every payment date and principal payments by the note final maturity dates." -- That, to date, Mariner's Baltimore headquarters and branch network remain open and operational. The company's technology infrastructure allows employees to work remotely and service loans across the entire branch network. Since March 11, 2020, Mariner has had the capacity to close and fund loans remotely using digital and phone technologies. Mariner's tightening of its underwriting and enhanced servicing procedures for its portfolio in response to the COVID-19 pandemic. Mariner selectively eliminated loans to lower-credit grade new borrowers, and reduced advances to lower-credit grade existing borrowers. Employment, income, and fraud verification procedures have been enhanced, and requests to approve exceptions must pass through higher credit authorities. Since the third quarter of 2020, Mariner has gradually begun to reverse these policies. Mariner's introduction of new reduced-payment deferral options to borrowers negatively impacted by the COVID-19 pandemic. While deferment levels rose through March and peaked in April 2020, they decreased through the summer 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 4.0% of the aggregate principal balance. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Aug. 7, 2020. -- 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 securitized pool characteristics, which include loans with smaller balances and shorter original terms relative to other lenders in the industry. The transaction has a five-year revolving period in which the loan composition can change. As such, S&P considered the worst-case conceivable pool according to the transaction's concentration limits. -- The transaction's payment and legal structures. 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 Mariner Finance Issuance Trust 2021-A(i) Class A, $157.200 million: AAA (sf) Class B, $34.12 million: AA- (sf) Class C, $15.96 million: A- (sf) Class D, $17.34 million: BBB- (sf) Class E, $25.38 million: BB- (sf) (i)The actual size of the tranches and the respective interest rates will be determined on the pricing date. MORGAN STANLEY 2015-UBS8: Fitch Lowers Rating on 2 Tranches to 'C' ------------------------------------------------------------------ Fitch Ratings has downgraded 11 and affirmed four classes of Morgan Stanley Capital I Trust (MSCI) Commercial Mortgage Pass-Through Certificates, series 2015-UBS8. Fitch has also revised the Rating Outlooks for four classes to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- MSCI 2015-UBS8 A-3 61691ABK8 LT AAAsf Affirmed AAAsf A-4 61691ABL6 LT AAAsf Affirmed AAAsf A-S 61691ABN2 LT AA-sf Downgrade AAAsf A-SB 61691ABJ1 LT AAAsf Affirmed AAAsf B 61691ABP7 LT A-sf Downgrade AA-sf C 61691ABQ5 LT BBBsf Downgrade A-sf D 61691AAQ6 LT B-sf Downgrade BBBsf E 61691AAS2 LT CCCsf Downgrade B-sf F 61691AAU7 LT CCsf Downgrade CCCsf G 61691AAW3 LT Csf Downgrade CCsf X-A 61691ABM4 LT AAAsf Affirmed AAAsf X-B 61691AAA1 LT A-sf Downgrade AA-sf X-D 61691AAC7 LT CCCsf Downgrade B-sf X-F 61691AAG8 LT CCsf Downgrade CCCsf X-G 61691AAJ2 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations for the pool since Fitch's last rating action, primarily due to the continued underperformance of the two largest specially serviced loans, Mall de las Aguilas (3.1% of pool) and the REO WPC Department Store Portfolio (2.6%). Twenty-one loans/assets (51.4%) were designated Fitch Loans of Concern (FLOCs), including 11 (17.0%) in special servicing. Fitch's current ratings incorporate a base case loss of 11.3%. The Negative Rating Outlooks on classes A-SB, A-3, A-4, A-S, B, C, D, X-A and X-B reflect losses that could reach 14.9% when factoring additional pandemic-related stresses, as well as potential outsized losses on the Mall de las Aguilas, Grove City Premium Outlets and Gulfport Premium Outlets loans. Fitch Loans of Concern: The largest change in loss since the last rating action is the specially serviced Mall de las Aguilas loan (3.1%), which is secured by a 356,877-sf enclosed regional mall located in Eagle Pass, TX. The loan transferred to special servicing in October 2020 due to imminent monetary default caused by the pandemic and has been delinquent since September 2020. Fitch's base loss expectation on this loan has increased to 65% from 16% at the last rating action. Fitch's loss is based on a 25% cap rate and 20% haircut to the YE 2019 NOI and considers the sponsor, MSGT, LLC, which is managed by Enterprise Asset Management, wishing to proceed with a deed-in-lieu of foreclosure per the servicer. Fitch noted at issuance that 60% of the demand at the subject comes from Mexican nationals from Piedras Negras, a Mexican city just across the Rio Grande to the west. Collateral occupancy fell to 87.4% as of the May 2020 rent roll from 95.5% at YE 2019 after Forever 21 RED (6.2% of NRA) closed in 4Q19. Total mall occupancy was 90% as of May 2020. Near-term lease rollover includes 14.1% of the collateral NRA in 2021, 28.2% in 2022, 17.7% in 2023 and 7.1% in 2024. The largest collateral tenants are JCPenney (22.5% of NRA; through November 2022), Bealls (17.5%; November 2023), Ross Dress for Less (8.5%; January 2026) and a seven-screen Cinemark Theatre (6.5%, September 2025). The servicer-provided NOI debt service coverage ratio (DSCR) fell to 1.82x as of YE 2019 from 1.97x at YE 2018. The largest overall contributor to loss is the REO WPC Department Store Portfolio (2.6%), which is secured by a portfolio of five (originally six) single-tenant retail properties that were 100% leased by Bon-Ton stores at issuance. The properties are within regional malls located in the Milwaukee MSA (3), Joliet, IL and Fargo, ND. The loan transferred to the special servicer when Bon-Ton filed for bankruptcy in February 2018 and the portfolio subsequently became REO in October 2019. As part of the bankruptcy, Bon-Ton surrendered its leases and vacated the properties. Fitch modeled a 100% loss, up from 78% at the last rating action, due to the fully vacant nature of the remaining five properties in the portfolio, negative retail outlook and increasing loan exposure. Per the servicer, an auction was held in October 2020 where the former Younkers box at Bay Park Square in Ashwaubenon, WI sold for $3 million. The remaining five properties did not sell and remain fully vacant with no leasing prospects. The servicer previously noted that the six properties had high carrying costs and debt service totaling approximately $4.5 million annually. Minimal Change to Credit Enhancement: As of the February 2021 distribution date, the pool's aggregate principal balance has been paid down by 5.2% to $763.4 million from $805.0 million at issuance and by 1.0% since Fitch's last rating action. Only one loan (0.8% of the original pool balance) has paid off since issuance. There have been no realized losses to date; however, the non-rated classes F, G, H and J have accumulated $1.7 million in interest shortfalls to date. One loan (0.9% of the current pool balance) is fully defeased. Eight loans (30.8%) are full-term interest-only, including three of the top five loans, and the remainder of the pool is currently amortizing. All of the remaining loans in the pool mature in 2025. Coronavirus Exposure: Eleven loans (15.9%) are secured by hotel properties. The weighted average (WA) NOI DSCR for the hotel loans is 1.60x; these hotel loans could sustain a decline in NOI of 4.9% before NOI DSCR falls below 1.0x. Nineteen loans/assets (44.5%) are secured by retail properties, including one regional mall (Mall de las Aguilas, 3.1%; Eagle Pass, TX), one REO asset (WPC Department Store Portfolio; 2.6%) and four Simon-owned retail outlet centers (19.5%) in the top 15. As of YTD June and September 2020, the four retail outlet centers reported occupancies between 73.9% and 85.5% and NOI DSCRs between 2.26x and 5.36x. Two of the retail outlet loans, Grove City Premium Outlets and Gulfport Premium Outlets, have been designated FLOCs due to occupancy and cash flow decline; as of YTD September 2020, Grove City Premium Outlets reported declining occupancy and NOI DSCR of 77.5% and 2.26x, respectively, from 87.3% and 2.86x at YE 2017, and Gulfport Premium Outlets reported similar declines to 80.5% and 2.76x, respectively, from 89.5% and 3.11x at YE 2017. Excluding the REO asset, the WA NOI DSCR for the 18 retail loans is 2.35x; these retail loans could sustain a decline in NOI of 52.9% before DSCR falls below 1.0x. Ten loans (12.5%) are secured by multifamily properties. The WA NOI DSCR for the multifamily loans is 1.76x; these multifamily loans could sustain a decline in NOI of 39.8% before DSCR falls below 1.0x. Fitch applied additional stresses to eight hotel loans and five retail loans to account for potential cash flow disruptions due to the coronavirus pandemic; this analysis contributed to the Negative Rating Outlooks on classes A-SB, A-3, A-4, A-S, B, C, D, X-A and X-B. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed a potential outsized loss of 100% on the Mall de las Aguilas loan given the declining occupancy and cash flow, lack of recent sales data, heavy reliance on international customers and upcoming deed in lieu of foreclosure and 25% on the current balances of the Grove City Premium Outlets (5.2%) and Gulfport Premium Outlets (3.1%) loans to reflect maturity concerns given their declining occupancy, sales and cash flow, while also factoring in the expected paydown of the transaction from the defeased loan. This scenario contributed to the Negative Rating Outlooks on classes A-SB, A-3, A-4, A-S, B, C, D, X-A and X-B. RATING SENSITIVITIES The Negative Rating Outlooks on classes A-SB, A-3, A-4, A-S, B, C, D, X-A and X-B reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and performance concerns associated with the FLOCs, primarily the specially serviced Mall de las Aguilas and REO WPC Department Store Portfolio, and maturity concerns associated with the Grove City Premium Outlets and Gulfport Premium Outlets loans. 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 coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would only occur with significant improvement in credit enhancement (CE) and/or defeasance and with the stabilization of performance on the FLOCs, particularly Mall de las Aguilas and WPC Department Store Portfolio. -- An upgrade to the 'BBBsf' category also would consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- An upgrade to the 'Bsf' category is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the classes. -- Upgrades to the 'Csf', 'CCsf' and 'CCCsf' categories are unlikely absent significant performance improvement on the FLOCs and substantially 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 of classes A-SB, A-3, A 4, A-S, B, X-A and X-B would occur should expected losses for the pool increase substantially, all of the loans susceptible to the coronavirus pandemic suffer losses, all of the retail mall/outlet loans incur outsized losses and/or if interest shortfalls occur. -- A downgrade of the 'BBBsf' category would occur if overall pool losses increase substantially, performance of the FLOCs further deteriorates, properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and/or losses on the specially serviced loans are higher than expected. -- A downgrade of the 'B-sf' rated class would occur should loss expectations increase and if performance of the FLOCs or loans vulnerable to the coronavirus pandemic fail to stabilize or additional loans default and/or transfer to the special servicer. -- Further downgrades of the 'Csf', 'CCsf' and 'CCCsf' rated classes would occur with increased certainty of losses or as losses are realized. 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 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 Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MORGAN STANLEY 2019-L2: Fitch Affirms B- Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Morgan Stanley Capital I Trust 2019-L2 commercial mortgage pass-through certificates, series 2019-L2 and maintains Negative Rating Outlooks on classes F-RR and G-RR. DEBT RATING PRIOR ---- ------ ----- MSC 2019-L2 A-1 61768HAS5 LT AAAsf Affirmed AAAsf A-2 61768HAT3 LT AAAsf Affirmed AAAsf A-3 61768HAV8 LT AAAsf Affirmed AAAsf A-4 61768HAW6 LT AAAsf Affirmed AAAsf A-S 61768HAZ9 LT AAAsf Affirmed AAAsf A-SB 61768HAU0 LT AAAsf Affirmed AAAsf B 61768HBA3 LT AA-sf Affirmed AA-sf C 61768HBB1 LT A-sf Affirmed A-sf D 61768HAC0 LT BBBsf Affirmed BBBsf E 61768HAE6 LT BBB-sf Affirmed BBB-sf F-RR 61768HAG1 LT BB-sf Affirmed BB-sf G-RR 61768HAJ5 LT B-sf Affirmed B-sf X-A 61768HAX4 LT AAAsf Affirmed AAAsf X-B 61768HAY2 LT AA-sf Affirmed AA-sf X-D 61768HAA4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased since issuance due to fourteen Fitch Loans of Concern (FLOC) (28.3%) including five specially serviced loans (12.3%). Fitch's current ratings incorporate a base case loss of 4.30%. The Negative Outlooks on classes F-RR and G-RR reflect losses that could reach 5.10% when factoring in additional stresses related to the coronavirus pandemic. FLOCs: The largest contributor to loss expectations is Lincoln Commons (3.2%), which is secured by a 105,527 square foot (sf) grocery anchored retail center located in Lone Tree, CO. The property is anchored by Sprouts (23%, exp. September 2025) and the largest tenants include Indie Salons (6.5%, exp. July 2030); Newk's Eatery (5%, exp. August 2027) and Wellhaven Pethealth (4.7%, exp. August 2028). The property was 86% occupied as of September 2020. There is approximately 4% lease rollover in 2021 with significant rollover in 2025 and 2023 of 29% and 15%; respectively. Per the master servicer, the borrower has not requested coronavirus relief at this time. The property's year-end (YE) 2019 NOI is 14% below Fitch issuance. Per the YE 2019 OSAR, expenses have increased 20% largely due to higher real estate taxes. As of the 4th quarter (4Q) 2020, asking rents in the South retail submarket of Denver were $13.59 per square foot (sf), according to REIS compared with $27 psf at the property as the September 2020 rent roll. The property's rents are approximately 52% higher than the market rate. Fitch's modeled loss of 20% reflects the year-end 2019 NOI with no additional stresses given the anchor tenant is an essential business. The second largest contributor to loss expectations is Ohana Waikiki Malia Hotel & Shops (6.8%), which is secured by a limited service 327 key hotel located in Honolulu, HI. The loan is currently on the master servicer's watchlist for low debt-service coverage ratio (DSCR) due to a 74% decrease in annualized 2020 effective gross income (EGI) when compared with 2019. The decrease in revenue can be attributed to the impact the coronavirus pandemic is having on the hotel industry. Per the master servicer, the borrower requested relief in June 2020, but then subsequently withdrew the request. No additional requests have been received to date. Per the Sept. 30, 2020 Smith Travel Research report (STR), the trailing twelve month (TTM) occupancy, average daily rate (ADR) and revenue per available room (RevPAR) were 43.5%, $142.82 and $62.19, respectively, compared with 52.4%, $160.84 and $84.23 for its competitive set. The property's performance for the same period in 2019 was 85%, $142.02 and $120.75, respectively. The property is significantly underperforming when compared to the prior year's performance. Fitch's modeled loss of 9% reflects a 26% stress to year-end 2019 NOI given performance concerns due to the pandemic. The third largest contributor to loss expectations is the specially serviced loan, 199 Lafayette St (2.3%), which is secured by a 20,000 net rentable sf ground floor and basement retail condominium component within a commercial condominium building located in the Soho neighborhood of Manhattan. The building was constructed in 1900, converted to condominium ownership 1987 and totals approximately 74,539 sf. Major tenants at the Property include Gran Tivoli Restaurant (7,500 sf; 37.5% of NRA; exp. March 2033), Koio (2,900 sf; 14.5% NRA, exp. January 2023) and Despana (2,700 sf; 16.6% NRA; exp. September 2028). The property was 85.7% occupied as of June 2020 with upcoming rollover of 18% in 2023. The property experienced a decline in occupancy in 2019 due to tenants vacating. The loan transferred to special servicing in July 2020 for imminent monetary default at the borrowers request as a result of the coronavirus pandemic. The special Servicer is in receipt of borrowers updated proposal for relief and discussions with the borrower are ongoing. The fourth largest contributor to loss expectations is the specially serviced loan, Shingle Creek Crossing (2.5%), which is secured by an 173,107-sf anchored retail center located in Brooklyn Center, MN. The property is shadow-anchored by Super-Walmart and anchored by LA Fitness, TJ Maxx and Michael's. Largest tenants include Five Below and Rainbow. The property was 92.4% occupied as of March 2020. There is upcoming rollover of 2.3% in 2021; 6.5% in 2022; and 11.5% in 2023. The loan transferred to special servicing due to a borrower declared imminent monetary default on May 18, 2020 as a result of the impact from the coronavirus pandemic. Per the special servicer, they are currently in discussions with the borrower regarding potential reinstatement terms and returning the loan to the master servicer absent any further coronavirus issues. Fitch's modeled loss of 13% reflects a 15% haircut to the YE 2019 NOI for rollover and LA Fitness exposure. The fifth largest contributor to loss expectations is 92nd Second Avenue (1%), which is secured by a 10-unit apartment building with one retail tenant located in New York, NY. The decrease in DSCR is due to drop in occupancy of the apartment building per the Sept. 30, 2020 rent roll to 60%; retail tenant is still occupying its space. Cash flows from retail tenant represent 37% of the underwritten net cash flow. The economic occupancy of multifamily units and retail space is 73.6%. Per the master servicer, the borrower recently started marketing the vacancies and has had many inquiries. Fitch's modeled loss of 32% reflects a 15% NOI haircut to YE 2019 NOI for decline in occupancy. The sixth largest contributor to loss expectations is the specially serviced, Sheraton Grand Nashville (2.1%), which is secured by a 482-room hotel located in Downtown Nashville. The hotel operates under a franchise agreement with Starwood Hotels and Resorts, now Marriott International, as a Sheraton Grand. The asset underwent a $30 million renovation that was completed from 2016 to 2019. The hotel offers two restaurants, a rooftop lounge, a coffee shop, an indoor swimming pool, an enclosed parking garage, and approximately 23,000 square feet of meeting space. The loan transferred to special servicing on June 12, 2020 due to payment default and is due for the April 6, 2020 payment. The TTM Nov. 30, 2020 loan reflects 24.6% occupancy, $188.6 ADR and $46.3 RevPAR, and an NOI DSCR of .08. The hotel remains open for business. The property significantly underperforms its competitive set, which includes the 341-key DoubleTree by Hilton Hotel Nashville, the 673-key Renaissance Nashville Hotel and the 339-key Loews Vanderbilt Plaza Hotel. Per the special servicer, the borrower is marketing the property for sale via loan assumption and is preparing to present a proposal for lender approval. Fitch's modeled loss of 13% reflects a haircut to the most recent appraisal provided by the special servicer. 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 and X-B would occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic; however, adverse selection and increased concentrations 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-RR and G-RR 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 and expected increases in credit enhancement, but may occur should interest shortfalls affect these classes. -- Downgrades to classes C, D, E and X-D are possible should expected losses for the pool increase significantly. Downgrades to classes F-RR and G-RR are possible if performance of the FLOCs or loans susceptible to the coronavirus pandemic do not stabilize and/or additional loans default 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. N-STAR REAL IX: Fitch Affirms D Rating on 3 Tranches ---------------------------------------------------- Fitch Ratings has upgraded one and affirmed 25 classes from four commercial real estate collateralized debt obligations (CRE CDOs). Fitch has also withdrawn the ratings on six classes from one CRE CDO. DEBT RATING PRIOR ---- ------ ----- Sorin Real Estate CDO I, Ltd./Corp. C Floating Rate Subordinate 83586TAG9 LT AAsf Upgrade CCCsf D Floating Rate Subordinate 83586TAJ3 LT Csf Affirmed Csf E Floating Rate Subordinate 83586TAL8 LT Csf Affirmed Csf F Fixed Rate Subordinate 83586TAN4 LT Csf Affirmed Csf N-Star Real Estate CDO IX, Ltd. A-2 Floating Rate Notes 628983AB4 LT Dsf Affirmed Dsf A-3 Floating Rate Notes 628983AC2 LT Dsf Affirmed Dsf B Floating Rate Notes 628983AD0 LT Dsf Affirmed Dsf C Deferrable Fixed Rate Notes 628983AE8 LT Csf Affirmed Csf D Deferrable Fltg Rate Notes 628983AF5 LT Csf Affirmed Csf E Deferrable Fltg Rate Notes 628983AG3 LT Csf Affirmed Csf F Deferrable Fltg Rate Notes 628983AH1 LT Csf Affirmed Csf G Deferrable Fltg Rate Notes 628983AJ7 LT Csf Affirmed Csf H Deferrable Fltg Rate Notes 628983AK4 LT Csf Affirmed Csf J Deferrable Fixed Rate Notes 628983AL2 LT Csf Affirmed Csf K Deferrable Fixed Rate Notes 628983AM0 LT Csf Affirmed Csf ARCap 2003-1 Resecuritization, Inc. E 039280AE2 LT Csf Affirmed Csf E 039280AE2 LT WDsf Withdrawn Csf F 039280AF9 LT Csf Affirmed Csf F 039280AF9 LT WDsf Withdrawn Csf G 039280AG7 LT Csf Affirmed Csf G 039280AG7 LT WDsf Withdrawn Csf H 039280AH5 LT Csf Affirmed Csf H 039280AH5 LT WDsf Withdrawn Csf J 039280AJ1 LT Csf Affirmed Csf J 039280AJ1 LT WDsf Withdrawn Csf K 039280AK8 LT Csf Affirmed Csf K 039280AK8 LT WDsf Withdrawn Csf G-Star 2003-3 Ltd./Corp. A-2 36241WAC6 LT BBBsf Affirmed BBBsf A-3 36241WAE2 LT Csf Affirmed Csf B-1 36241WAG7 LT Csf Affirmed Csf B-2 36241WAJ1 LT Csf Affirmed Csf Preferred Shares 36241T208 LT Csf Affirmed Csf Fitch has affirmed all six remaining classes of ARCap 2003-1 Resecuritization, Inc. at 'Csf'; default is considered inevitable at or prior to legal final maturity as these classes are undercollateralized. Fitch has subsequently withdrawn the ratings on these six classes as they are no longer considered relevant to the agency's coverage. KEY RATING DRIVERS Fitch has upgraded class C of Sorin Real Estate CDO I, Ltd./Corp to 'AAsf' from 'CCCsf' and revised the Rating Outlook to Positive from Stable. The upgrade is due to increased credit enhancement from additional principal paydowns and positive ratings migration of the underlying pool since the last rating action. Given the significant and increasing pool concentration, whereby 95% of the remaining assets are RMBS bonds, a look-through analysis of the collateral was performed. This class is reliant on collateral rated 'AAsf'/Outlook Positive by Fitch to repay. In addition, Fitch expects the class will pay off by the June 2021 payment date based on expected continued amortization of the collateral. At the last rating action, the rating had been capped at 'CCCsf due to increasing concentration and adverse selection concerns on the underlying collateral, as well as the class becoming the senior most class of outstanding notes, which required timely payment of interest per the transaction documents. Fitch has affirmed classes A-2, A-3 and B of N-Star Real Estate CDO IX at 'Dsf' as a result of the transaction entering an Event of Default in April 2018 due to the class A/B Principal Coverage Ratio being less than 100%. Fitch has affirmed class A-2 of G-Star 2003-3 Ltd./Corp. at 'BBBsf'/Outlook Stable. Given the pool concentration, whereby over 90% of the remaining assets are RMBS bonds, a look-through analysis of the collateral was performed; this class is reliant on collateral with credit characteristics consistent with a 'BBBsf' rating to repay. The classes affirmed at 'Csf' in these transactions indicate default is considered inevitable at or prior to legal final maturity due to their undercollateralization. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A downgrade of class C in Sorin Real Estate CDO I is not considered likely due to the high credit enhancement, strong collateral quality coverage and expectation of near-term repayment, but may occur with significant negative ratings migration of the underlying pool. -- A downgrade of class A-2 in G-Star 2003-3 Ltd./Corp. would occur with negative ratings migration of the underlying collateral pool. -- A downgrade of the classes rated 'Csf' would occur at or prior to legal final maturity as default is inevitable due to their undercollateralization. Classes rated 'Dsf' cannot be downgraded further. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- An upgrade of class C in Sorin Real Estate CDO I and class A-2 in G-Star 2003-3 Ltd./Corp. are possible with positive ratings migration of the underlying pool and/or improved credit enhancement with additional paydowns. -- Upgrades to classes rated 'Csf' are not possible due to their undercollateralization. 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. NATIXIS COMMERCIAL 2018-FL1: S&P Affirms 'B+' Rating on ORP1 Certs ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on eight classes of commercial mortgage pass-through certificates from Natixis Commercial Mortgage Securities Trust 2018-FL1, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on 18 other classes from the same transaction. This is a U.S. large loan CMBS transaction backed by five uncrossed floating-rate, interest-only (IO) mortgage loans. These loans are secured by retail, lodging, office, and/or industrial properties in various U.S. states. 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." Rating Actions S&P said, "The downgrades on the class B, C, and D pooled certificates reflect primarily our reevaluation of the open-air lifestyle retail center securing the Promenade Shops at Centerra loan ($83.7 million; 29.8% of the pooled trust balance), based on our review of the updated lower-than-expected Oct. 25, 2020, appraisal value and the performance data for the trailing 12-months (TTM) ended Sept. 30, 2020, that were provided by the special servicer after our November 2020 review. Furthermore, we considered that, according to the February 2021 trustee remittance report, class D had accumulated interest shortfalls outstanding totaling $78,903 due primarily to appraisal subordinate entitlement reduction amounts totaling $78,160 on the Promenade Shops at Centerra loan. "We lowered our expected-case valuation on the retail property securing the Promenade Shops at Centerra loan by 26.5% to $76.7 million based on the updated October 2020 appraisal value totaling $77.5 million (which was 52.6% lower than the $163.5 million appraisal value at origination) and performance information. Specifically, the lower S&P Global Ratings' expected-case value on the Promenade Shops at Centerra loan reflects a lower S&P Global Ratings' net cash flow (NCF) and our application of a higher S&P Global Ratings' capitalization rate." The downgrades on the class B, C, and D pooled certificates are generally in line with the model-indicated ratings and reflect the increased susceptibility to liquidity interruption and losses due to our revised lower expected-case value and the lower appraisal value for the Promenade Shops at Centerra loan. Specifically, the class D downgrade reflects our view that, based on the significantly reduced appraisal value and an S&P Global Ratings' loan-to-value (LTV) ratio higher than 100%, the risk of default and loss on the class has increased due to uncertain market conditions. In addition, S&P considered the outstanding interest shortfalls affecting class D, as noted above. S&P said, "While the model-indicated rating on class A was lower than the class' current rating level, we affirmed our rating on class A. In addition, we tempered our downgrade on class B even though the model-indicated rating was lower than the class' revised rating level. We considered qualitatively the classes' relative positions in the waterfall as well as the fact that these classes do not rely solely on the Promenade Shops at Centerra loan to pay off. However, if there are any reported negative changes to the remaining loans in the pool beyond what we have already considered, we may revisit our analysis and adjust our ratings as necessary. "We lowered our ratings on the class X-CP, X-EXT, and X-F IO certificates and affirmed our ratings on the class X-FMC, X-FNH, and X-FWB IO certificates based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class." The notional amounts of classes X-CP, X-EXT, and X-F reference classes A, B, C, and D. The notional amount of class X-FMC references classes MCR1 and MCR2. The notional amount of class X-FNH references classes NHP1 and NHP2. The notional amount of class X-FWB references classes WAN1 and WAN2. The downgrades on the class V-P and V-XF certificates reflect the ratings of the certificates for which they can be exchanged. Class V-P can be exchanged for classes A, X-CP, X-EXT, B, C, and D. Class V-XF can be exchanged for class X-F. S&P said, "We affirmed our ratings on the class MCR1, MCR2, NHP1, NHP2, ORP1, ORP2, WAN1, and WAN2 non-pooled certificates because the current rating levels are generally in line with the model indicated ratings. The class MCR non-pooled certificates' payments are derived solely from the subordinate component of the Mission Critical Portfolio loan, while the subordinate component of The National Select Service Hotel Portfolio loan supports the class NHP certificates. The subordinate component of The Olathe Retail Portfolio loan supports the class ORP certificates, while the subordinate component of The Wanamaker Building loan supports the class WAN certificates. Specifically, our 'CCC (sf)' ratings on classes NHP2 and ORP2 reflect our view that, based on S&P Global Ratings' LTV ratios higher than 100% for the National Select Service Hotel Portfolio and Olathe Retail Portfolio loans, respectively, the risk of default and losses on these classes have increased due to uncertain market conditions." The affirmations on the class V-MCR, V-WAN, V-FMC, V-FWB, V-FNH, and V-NHP certificates reflect the ratings of the certificates for which they can be exchanged. Class V-MCR can be exchanged for classes MCR1 and MCR2. Class V-WAN can be exchanged for classes WAN1 and WAN2. Classes V-FMC, V-FWB, and V-FNH can be exchanged for classes X-FMC, X-FWB, and X-FNH, respectively. Class V-NHP can be exchanged for classes NHP1 and NHP2. Transaction Summary As of the Feb. 16, 2021, trustee remittance report, the transaction had a pooled trust balance of $280.7 million and an aggregate trust balance of $354.0 million (including the non-pooled loan components), down from $292.9 million and $370.2 million, respectively, at issuance. The trust has not incurred any principal losses to date. As noted above, S&P's property-level analysis included a reevaluation of the Promenade Shops at Centerra loan. Our analysis remains the same as our November 2020 review for the remaining four loans in the pool. Details of the five loans follow. Promenade Shops at Centerra loan The Promenade Shops at Centerra loan has an $83.7 million pooled trust balance (unchanged from issuance and last review). The IO loan pays interest at an annual floating rate of LIBOR plus a 2.45% gross margin. The loan initially matures on March 9, 2021, and has two one-year extension options. In addition, there is a $31.3 million mezzanine loan. The loan transferred to special servicing on June 5, 2020, due to monetary default because the borrower was unwilling to inject additional capital to support the loan. The loan has a reported 30-days delinquent payment status. According to the special servicer, a receiver has been appointed at the property and resolution strategy discussion is ongoing. The special servicer stated that the rental collection rate was approximately 29% in May 2020 before increasing to about 78% in June, 111% in July (reflecting some tenants paying their August 2020 rent in advance), 53% in August, and 71% in September 2020. The loan is secured by the borrower's fee simple interests in a 493,160-sq.-ft. open-air lifestyle retail center in Loveland, Colo. that includes 3,063 parking spaces. Anchors at the property includes Macy's (non-collateral) and Dick's Sporting Goods (collateral). The property is located off I-25, approximately 46 miles north of the Denver central business district (CBD) and 12 miles southeast of Fort Collins. S&P's property-level analysis considered the decline in servicer-reported occupancy to 89.0% and NCF of $5.3 million as of the TTM ended Sept. 30, 2020, down from 90.8% and $9.7 million, respectively, in 2019 and 91.2% and $10.2 million in 2018. According to the May 2020 rent roll, the property was 86.9% occupied. However, the property faces significant rollover risk between 2020 and 2022, with about 49.7% of the net rentable area (NRA) rolling, including three of the top five tenants. The five largest tenants comprised 37.2% of the NRA: Dick's Sporting Good (13.4% of NRA; January 2021 expiration; confirmed open during our visit to the property); MetroLux Theaters (10.1%; January 2026); Best Buy (6.1%; March 2021); Barnes & Noble (5.3%; February 2021); and Glow Golf (2.3%; August 2021 expiration after renewing its lease for one year from August 2020). S&P said, "We briefly toured the property on Feb. 17, 2021; we noted that it was well maintained and that the parking lots appeared relatively active. Based on our observations, the vacant units were concentrated at one section of the property. "In our current analysis, in addition to the upcoming rollover risk, we considered the increased retailer bankruptcies and store closures, as well as the lower billed rent collection rates, due to the COVID-19 pandemic. To account for these risks, we excluded income from tenants that are no longer listed on the mall directory website or those that have announced store closures. We also increased our capitalization rate by 150 basis points (bps) from last review in November 2020 to account for ongoing cash flow volatility due to declining and weakening trends within the retail mall sector, the overall perceived increase in market risk premium for this property type, and competition in the mall's trade area. "We derived an S&P Global Ratings' NCF of $7.5 million, down 13.2% from the last review (at $8.6 million). We then divided our NCF by a 9.75% S&P Global Ratings' capitalization rate (up from 8.25% in the last review) to determine our expected-case value, which was $76.7 million, down from $104.4 million in the last review. This yielded an S&P Global Ratings' LTV ratio of 109.1% on the trust balance. The master servicer, Wells Fargo Bank N.A., reported a 1.44x debt service coverage (DSC) for the TTM ended September 2020." Mission Critical Portfolio loan The Mission Critical Portfolio loan had a $101.5 million original whole loan balance that was split into a $77.2 million senior pooled component and a $24.3 million subordinate non-pooled component that supports the class MCR1 and MCR2 certificates. Following the release of two properties (the 139,796-sq.-ft. warehouse/distribution Burner Systems property in Chattanooga, Tenn. in August 2019 for a $5.8 million release amount and the 183,440-sq.-ft. warehouse/distribution Lynch Exhibits property in Burlington, N.J. in March 2019 for a $9.2 million release amount), the whole loan balance declined to $86.5 million, of which $65.8 million is pooled and $20.7 million is non-pooled. The IO whole loan pays interest at an annual floating rate of LIBOR plus a 2.65% gross margin. The loan initially matures on Jan. 9, 2022, and has two one-year extension options. The whole loan is currently secured by the borrower's fee simple interests in a portfolio of four single-tenanted medical/suburban office and 20 single-tenanted industrial (flex, warehouse/distribution, or manufacturing) properties totaling 2.0 million sq. ft. in 14 U.S. states. S&P's property-level analysis considered the relatively stable servicer-reported occupancy and NCF, which was 92.1% and $9.2 million, respectively, in 2018; 100.0% and $9.2 million in 2019; and 100.0% and $6.8 million for the nine months ended Sept. 30, 2020. According to the Aug. 31, 2020, rent rolls, the portfolio was 100.0% occupied with an average in-place rent of $5.66 per sq. ft. as calculated by S&P Global Ratings. The five largest tenants comprised 37.5% of the NRA: The Spencer Turbine Company (9.3% of the NRA; November 2034 expiration); Louisiana-Pacific Corp. (7.4%; June 2029); Foldcraft Co. (7.1%; January 2028); Rich Products (6.9%; March 2028); and AR Metallizing (6.8%; August 2032). The tenant lease rollover schedule consists of 6.7% of the NRA in 2023, 0.0% in 2024, and 2.7% in 2025. S&P said, "Using an 8.6% weighted average vacancy loss assumption, the same as at issuance and our last review, and adjusting for the two property releases, we derived an S&P Global Ratings' sustainable NCF of $7.9 million for the remaining portfolio. Applying an S&P Global Ratings' weighted average capitalization rate of 8.32% yielded an S&P Global Ratings' expected-case value of $95.7 million, or $48 per sq.-ft., our LTV ratio was 90.7% on the whole loan trust balance. Wells Fargo reported a 2.53x DSC for the nine months ended Sept. 30, 2020, up from 1.95x as of year-end 2019." Wanamaker Building loan The Wanamaker Building loan has a $124.0 million whole loan balance that is split into a $62.4 million senior pooled trust component, a $15.3 million senior non-trust component, a $22.1 million subordinate non-pooled trust component that supports the class WAN1 and WAN2 certificates, and a $24.2 million subordinate non-trust component, unchanged from issuance and our last review. The $62.4 million senior pooled trust, the $22.1 million subordinate non-pooled trust, and the $15.3 million senior non-trust components are pari passu to each other and senior in right of payment to the $24.2 million subordinate non-trust component. The IO whole loan pays interest at an annual floating rate of LIBOR plus a 2.85% gross margin. The loan initially matures on June 9, 2022, and has three one-year extension options. The whole loan is secured by a portion of the landmarked 1.4 million-sq.-ft. class A office building located in the heart of Philadelphia's CBD, adjacent to city hall. The collateral consists of 954,363 sq. ft. of office space on floors 4-12 and a three-story subterranean parking garage totaling 660 parking spaces. Floors 1-3 of the building are not owned by the sponsor and are currently used as retail space by Macy's department store (non-collateral). The building offers easy access to public transportation and is designated a national historic landmark. S&P's property-level analysis considered the stable servicer-reported occupancy and NCF, which was 95.9% and $12.0 million, respectively, in 2017; 94.5% and $10.0 million in 2018; 87.3% and $10.1 million in 2019; and 90.0% and $7.1 million for the nine months ended Sept. 30, 2020. According to the June 1, 2020, rent roll, the property was 91.4% occupied. The five largest tenants comprised 81.2% of the collateral's NRA: Children's Hospital of Philadelphia (32.1% of NRA; June 2027 expiration); GSA (30.9%; 2021, 2022, and 2028 expiration); Digitas Inc. (11.0%; November 2023); Finley Catering Company (4.6%; March 2024); and Pennsylvania Bar Institute (2.6%; January 2025). The tenant lease rollover schedule consists of 18.8% of the NRA in 2021, 15.5% in 2022, 12.5% in 2023, and 6.6% in 2024. According to the June 2020 rent roll, the average office in-place gross rent was $24.44 per sq. ft., as calculated by S&P Global Ratings. This compares to the year-to-date 2020 CoStar's Market Street East office submarket, where the property is located, and market rent of $31.41 per sq. ft. The office submarket's vacancy and availability rates were 5.7% and 9.4%, respectively. While CoStar is currently projecting the market to remain stable at a vacancy rate of about 6.2% in 2021 and 2022 (with modest annual rent growth to $33.95 per sq. ft. in 2022), S&P considered that the property underperformed the market recently and faces significant near-term rollover risk and tenant concentration. S&P said, "Using a 91.4% in place occupancy, we derived an S&P Global Ratings' NCF of $8.1 million, which is the same as at issuance and 19.0% lower than the 2019 servicer-reported NCF. We divided it by a 7.62% S&P Global Ratings' weighted average capitalization rate and added $3.6 million for the present value of investment-grade rated tenants' rent steps to determine our expected-case value, which was $110.5 million, or $116 per sq. ft., the same as at issuance and our last review." This yielded an S&P Global Ratings' LTV ratio of 90.3% on the trust balance and 112.3% on the whole loan balance. Wells Fargo reported a DSC of 1.81x for the nine months ended Sept. 30, 2020, up from 1.56x for year-end 2019. National Select Service Hotel Portfolio loan The National Select Service Hotel Portfolio loan has an $83.5 million whole loan balance that is split into a $58.0 million senior pooled component and a $25.5 million subordinate non-pooled component that supports the class NHP1 and NHP2 certificates. The IO whole loan pays interest at an annual floating rate of LIBOR plus a 2.96% gross margin. The loan initially matures on April 9, 2021, and has two one-year extension options. In addition, there is a $20.0 million mezzanine loan. The whole loan is secured by the borrower's fee simple interests in a portfolio of 12 select-service, limited-service, and extended-stay lodging properties totaling 1,461 rooms (ranging between 62 and 196 rooms). The portfolio is managed by Hospitality Ventures Management Group. The portfolio's property mix consists of eight Courtyard properties (74.5% of the allocated loan amount [ALA]), two Fairfield Inn properties (10.7%), one Residence Inn property (8.1%), and one Hyatt House property (6.7%). The properties are majorly located in or near major metropolitan statistical areas in five U.S. states: Texas (33.4% of the ALA), Georgia (25.7%), Michigan (18.9%), Indiana (15.1%), and Ohio (6.8%). The loan, which has a reported current payment status, was transferred to the special servicer on Sept. 16, 2020, because the borrower requested for COVID-19-related relief. According to the special servicer, Greystone Servicing Co. LLC, a loan modification was closed on Dec. 18, 2020, and the terms, among others, included the borrower providing $4.0 million in new working capital and the final maturity date extended to Dec. 31, 2023. Greystone reported that the portfolio's 2020 occupancy, average daily room rate, and revenue per available room (RevPAR) were 34%, $96, and $33, respectively, compared to 69%, $115, and $79, respectively, as of 2019. Before the COVID-19 pandemic, the RevPAR and NCF were relatively stable: $83.66 and $12.6 million, respectively, in 2017, $82.05 and $11.9 million in 2018, and $80.13 and $12.8 million in 2019. However, according to Greystone, the 2020 RevPAR dropped significantly to about $33.00, and the portfolio was operating at a reported net loss. S&P said, "Since we considered the negative effect that COVID-19 has had on the portfolio's operating performance in our last review in November 2020, as well as the time needed for demand to return to normalized levels following the vaccine rollout, we used the S&P Global Ratings' sustainable NCF of $9.6 million (the same as at issuance and our last review) and an S&P Global Ratings' weighted average capitalization rate of 11.36% (same as in the last review). We arrived at an S&P Global Ratings' expected-case value of $84.9 million, or $58,092 per guestroom, the same as in our last review. Our LTV ratio was 98.4% on the whole loan trust balance." Olathe Retail Portfolio loan The Olathe Retail Portfolio loan had a $40.3 million original whole loan balance that consists of an $11.7 million senior pooled trust component; a $5.3 million subordinate non-pooled trust component that supports the class ORP1, ORP2, and ORP3 certificates; a $16.3 million senior non-trust component; and a $7.0 million subordinate non-trust component. The $11.7 million senior pooled trust, the $5.3 million subordinate non-pooled trust, and the $16.3 million senior non-trust components are pari passu to each other and senior in right of payment to the $7.0 million subordinate non-trust component. Following a pre-contemplated principal paydown, the pooled trust balance was reduced to $10.8 million and the non-pooled trust balance to $4.7 million. The IO whole loan pays interest at an annual floating rate of LIBOR plus a 4.25% gross margin. The loan initially matured on Jan. 9, 2020. and has two one-year extension options. The loan transferred to special servicing on May 13, 2020, due to maturity default. The borrower was unable to exercise its extension options because the loan failed the 8.0% debt yield requirement. According to the special servicer, the lender agreed to a forbearance through Aug. 9, 2020. However, since the borrower has not been able to find lenders to refinance the loan, the special servicer is currently pursing foreclosure proceeding. The whole loan is secured by two retail properties totaling 172,627 sq. ft. that are about a mile from each other in Olathe, Kan.: Olathe Pointe, a 144,149-sq.-ft. retail center that is anchored by Whole Foods (21.8% of NRA, April 2035 expiration) and Marshall's/Homegoods (35.4%, April 2026); and Olathe Gateway, a 28,478-sq.-ft. retail property. S&P's property-level analysis considered the stable servicer-reported occupancy and NCF: 97.6% and $3.1 million, respectively in 2018, 97.6% and $2.9 million in 2019, and 93.0% and $2.9 million as of the nine months ended Sept. 30, 2020. According to the June 2020 rent roll, the two properties were 97.6% occupied. The properties face minimal rollover risk in the near term, with 8.0% of the NRA expiring in 2022. The tenants rolling in 2022 include Humana (5.0%) and Jason's Deli (3.0%). The significant rollover occurs in 2026 when 52.7% of the NRA expires. S&P said, "Excluding the performance of the recently vacant outparcel formerly occupied by Houlihans, we derived an S&P Global Ratings' NCF of $2.0 million, the same as in our last review. We then divided our NCF by a 7.29% S&P Global Ratings' weighted average capitalization rate (the same as at issuance and our last review) to determine our expected-case value, which was $31.8 million, the same as in our last review. Our expected-case value includes $3.5 million of transportation development district incentives." This incentive imposes an additional 1.00% sales tax on taxable sales within the site of the subject, which the district then reimburses the ownership entity. The incentive program started in 2006 and runs through 2032. This yielded an S&P Global Ratings LTV ratio of 103.9% on the trust balance and 125.9% on the whole loan balance. Wells Fargo reported a 1.18x DSC for the nine months ended Sept. 30, 2020. Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety. Ratings Lowered Natixis Commercial Mortgage Securities Trust 2018-FL1 Class B: to 'A (sf)' from 'A+ (sf)' Class C: to 'BBB- (sf)' from 'BBB (sf)' Class D: to 'CCC (sf)' from 'BB- (sf)' Class X-CP: to 'CCC (sf)' from 'BB- (sf) ' Class X-EXT: to CCC (sf)' from 'BB- (sf)' Class X-F: to 'CCC (sf)' from 'BB- (sf)' Class V-P: to 'CCC (sf)' from 'BB- (sf)' Class V-XF: to 'CCC (sf)' from 'BB- (sf)' Ratings Affirmed Natixis Commercial Mortgage Securities Trust 2018-FL1 Class A: AAA (sf) Class MCR1: BB- (sf) Class MCR2: B- (sf) Class X-FMC: B- (sf) Class V-MCR: B- (sf) Class WAN1: BB- (sf) Class WAN2: B- (sf) Class X-FWB: B- (sf) Class V-WAN: B- (sf) Class V-FMC: B- (sf) Class V-FWB: B- (sf) Class NHP1: B (sf) Class NHP2: CCC (sf) Class X-FNH: CCC (sf) Class V-FNH: CCC (sf) Class V-NHP: CCC (sf) Class ORP1: B+ (sf) Class ORP2: CCC (sf) OFSI BSL VIII: S&P Stays B+ (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, and D-R replacement notes from OFSI BSL VIII Ltd., a CLO originally issued in 2017 that is managed by OFS CLO Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The class E notes will not be refinanced. The preliminary ratings reflect its opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Feb. 25, 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 replacement notes issuance 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." REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount (mil. $) Interest rate (%) A-R 252.00 Benchmark + 1.00 B-R 56.00 Benchmark + 1.50 C-R 20.00 Benchmark + 2.00 D-R 20.00 Benchmark + 3.80 Original Notes Class Amount (mil. $) Interest rate (%) A 252.00 Benchmark + 1.32 B 56.00 Benchmark + 1.80 C 20.00 Benchmark + 2.40 D 20.00 Benchmark + 3.97 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, 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." PRELIMINARY RATINGS ASSIGNED OFSI BSL VIII Ltd. Replacement class Rating Amount (mil $) A-R AAA (sf) 252 B-R AA (sf) 56 C-R A (sf) 20 D-R BBB (sf) 20 OTHER OUTSTANDING RATINGS OFSI BSL VIII Ltd. Class Rating E B+ (sf) Subordinated notes NR NR--Not rated. OFSI BSL X: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OFSI BSL X Ltd./OFSI BSL X LLC's fixed- and floating-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 OFS CLO Management LLC. The preliminary ratings are based on information as of March 2, 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 OFSI BSL X Ltd./OFSI BSL X LLC Class A, $199.95 million: AAA (sf) Class B, $35.65 million: AA (sf) Class C (deferrable), $18.60 million: A (sf) Class D (deferrable), $17.05 million: BBB- (sf) Class E (deferrable), $11.60 million: BB- (sf) Subordinated notes, $30.30 million: Not rated ONEMAIN FINANCIAL 2018-1: S&P Raises Class E Notes Rating to BB+ ---------------------------------------------------------------- S&P Global Ratings raised its ratings on 29 classes and affirmed its ratings on 11 classes from OneMain Financial Issuance Trust (OMFIT) series 2015-3, 2016-3, 2017-1, 2018-1, 2018-2, 2019-1, and 2019-2 and Springleaf Funding Trust (SLFT) series 2015-B and 2017-A. S&P said, "The rating actions reflect collateral performance to date and our expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Our analysis also incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all of these factors, we believe the notes' creditworthiness is consistent with the raised and affirmed rating levels." 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 uses these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, S&P will update its assumptions and estimates accordingly. The upgrades and affirmations reflect its view that the total credit support as a percentage of the pool balances, compared with our expected defaults, is commensurate with each raised and affirmed rating. S&P said, "We upgraded the subordinate class B notes in SLFT 2015-B and SLFT 2017-A to 'AAA (sf)' based on the transactions' actual performance to date, the total credit enhancement available for the respective class B notes, and our expectation that in each transaction the class A notes will be fully paid off within 12 months, leaving class B as the most senior class outstanding. "We similarly upgraded the subordinate class B and C notes in OMFIT 2017-1 based on the transactions' actual performance to date, the total credit enhancement available for the respective class B and C notes, and our expectation that the class A and B notes will be fully paid off within 12 months, leaving class C as the most senior class outstanding." Of the nine OMFIT transactions under review, four are currently in their revolving periods and are scheduled to enter amortization between 2021 and 2026: OMFIT 2016-3 on April 30, 2021, OMFIT 2018-1 on Feb. 28, 2021, OMFIT 2018-2 on March 31, 2023, and OMFIT 2019-2 on Sept. 30, 2026. Our original cash flow modelling assumed each pool would revolve to the worst-case composition permitted by the transaction documents. However, the pool compositions are currently stronger than the worst-case concentrations, as also shown by each pool's loss performance. As of the February 2021 distribution date, the annualized three-month net loss percentages for OMFIT 2016-3, 2018-1, 2018-2, and 2019-2 were 3.67%, 4.90%, 4.09%, and 4.27%, respectively. These are all well below the reinvestment criteria event triggers of 17.00% for each transaction. Further, as of the February 2021 distribution date, the weighted average coupons of the receivables pools for OMFIT 2016-3, 2018-1, 2018-2, and 2019-2 were 25.37%, 25.66%, 26.32%, and 25.97%, respectively--well above each trust's respective reinvestment criteria event triggers of 22.0%, 23.0%, 23.0%, and 23.5%. OMFIT 2015-3 entered amortization on Aug. 31, 2020; OMFIT 2017-1, on Sept. 30, 2019; OMFIT 2019-1, on Jan. 31, 2021; SLFT 2015-B, on March 31, 2020; and SLFT 2017-A, on June 30, 2020. With the exception of OMFIT 2019-1, which recently entered amortization, these transactions have paid down significantly, with current total note factors ranging from 32%-67%, while their credit enhancement levels have significantly grown. Each OMFIT and SLFT transaction is backed by a pool of fixed-rate personal consumer loans and contains a sequential principal payment structure in which the note classes are paid principal by seniority. The transactions also benefit from credit enhancement in the form of a nonamortizing reserve account (with the exception of the OMFIT 2019-2 transaction, which has a reserve account required amount calculated as the greater of 0.50% as a percentage of the aggregate note balance and $250,000), overcollateralization, subordination for the higher-rated tranches, and excess spread. Table 1 Current Capital Structure As of the February 2021 distribution date Current Note balance factor Coupon Maturity Transaction Class (mil. $) (%) (%) date OMFIT 2015-3 A 111.6 53 3.63 11/18/2028 OMFIT 2015-3 B 26.6 100 4.16 11/18/2028 OMFIT 2015-3 C 26.6 100 5.82 11/18/2028 OMFIT 2015-3 D 29.9 100 6.94 11/18/2028 OMFIT 2016-3 A 248.7 100 3.83 06/18/2031 OMFIT 2016-3 B 38.7 100 5.61 06/18/2031 OMFIT 2016-3 C 29.5 100 6.86 06/18/2031 OMFIT 2016-3 D 33.1 100 7.50 06/18/2031 OMFIT 2017-1 A-1 72.5 12 2.37 09/14/2032 OMFIT 2017-1 A-2 15.1 12 1ML+0.80 09/14/2032 OMFIT 2017-1 B 58.3 100 2.79 09/14/2032 OMFIT 2017-1 C 63.7 100 3.35 09/14/2032 OMFIT 2017-1 D 91.4 100 4.52 09/14/2032 OMFIT 2018-1 A 441.7 100 3.30 03/14/2029 OMFIT 2018-1 B 57.2 100 3.61 03/14/2029 OMFIT 2018-1 C 36.8 100 3.77 03/14/2029 OMFIT 2018-1 D 38.7 100 4.08 03/14/2029 OMFIT 2018-1 E 57.2 100 5.52 03/14/2029 OMFIT 2018-2 A 255.4 100 3.57 03/14/2033 OMFIT 2018-2 B 33.1 100 3.89 03/14/2033 OMFIT 2018-2 C 21.3 100 4.04 03/14/2033 OMFIT 2018-2 D 26.5 100 4.29 03/14/2033 OMFIT 2018-2 E 32.2 100 5.77 03/14/2033 OMFIT 2019-1 A 413.5 96 3.48 02/14/2031 OMFIT 2019-1 B 58.6 100 3.79 02/14/2031 OMFIT 2019-1 C 37.6 100 3.89 02/14/2031 OMFIT 2019-1 D 47.4 100 4.22 02/14/2031 OMFIT 2019-1 E 57.9 100 5.69 02/14/2031 OMFIT 2019-2 A 651.3 100 3.14 10/14/2036 OMFIT 2019-2 B 91.4 100 3.41 10/14/2036 OMFIT 2019-2 C 59.2 100 3.66 10/14/2036 OMFIT 2019-2 D 98.1 100 4.05 10/14/2036 SLFT 2015-B A 77.7 31 3.48 05/15/2028 SLFT 2015-B B 31.6 100 3.80 05/15/2028 SLFT 2015-B C 12.8 100 5.25 05/15/2028 SLFT 2015-B D 20.2 100 6.50 05/15/2028 SLFT 2017-A A 255.0 49 2.68 07/15/2030 SLFT 2017-A B 36.0 100 3.10 07/15/2030 SLFT 2017-A C 41.5 100 3.86 07/15/2030 SLFT 2017-A D 57.5 100 5.02 07/15/2030 Table 2 Hard Credit Support (%)(i) As of the February 2021 distribution date OneMain Financial Issuance Trust Total hard Current total hard credit support credit support Series Class at issuance (% of current) 2015-3 A 37.28 51.72 2015-3 B 29.20 39.96 2015-3 C 21.11 28.22 2015-3 D 12.04 15.03 2016-3 A 38.33 40.95(ii) 2016-3 B 28.58 31.61(ii) 2016-3 C 21.14 24.49(ii) 2016-3 D 12.81 16.51(ii) 2017-1 A-1 26.20 77.95(ii) 2017-1 A-2 26.20 77.95(ii) 2017-1 B 20.30 62.39(ii) 2017-1 C 13.85 45.38(ii) 2017-1 D 4.60 20.99(ii) 2018-1 A 32.60 35.81(ii) 2018-1 B 23.80 27.43(ii) 2018-1 C 18.15 22.05(ii) 2018-1 D 12.20 16.39(ii) 2018-1 E 3.40 8.01(ii) 2018-2 A 33.40 36.58(ii) 2018-2 B 24.70 28.30(ii) 2018-2 C 19.10 22.97(ii) 2018-2 D 12.15 16.35(ii) 2018-2 E 3.70 8.30(ii) 2019-1 A 34.75 38.79(ii) 2019-1 B 25.80 30.06(ii) 2019-1 C 20.05 24.45(ii) 2019-1 D 12.80 17.37(ii) 2019-1 E 3.95 8.73(ii) 2019-2 A 31.72 34.98(ii) 2019-2 B 22.08 25.79(ii) 2019-2 C 15.83 19.84(ii) 2019-2 D 5.48 9.98(ii) Springleaf Funding Trust Total hard Current total hard credit support credit support Series Class at issuance (% of current)(ii) 2015-B A 26.51 58.55 2015-B B 17.11 40.95 2015-B C 13.31 33.84 2015-B D 7.31 22.60 2017-A A 25.05 45.00 2017-A B 19.80 37.14 2017-A C 13.75 28.08 2017-A D 5.35 15.50 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and subordination. (ii)Hard enhancement includes an increase made to the required overcollateralization amount as per a May 2020 amendment. COLLATERAL OVERVIEW In response to the COVID-19 pandemic, OneMain has tightened underwriting and enhanced servicing procedures for their portfolio, proactively reducing their exposure to lower credit quality and first-time obligors. OneMain also extended one-month reduced or deferred payment options to borrowers negatively affected by the pandemic. Deferment levels generally rose through March and peaked in April and subsequently decreased over the course of the summer of 2020 and have now largely normalized to pre-pandemic lows. S&P said, "We generally expect non-prime and subprime obligors to be most vulnerable to default following the termination of government support programs and issuer-specific deferment options. Even so, rising delinquencies and losses have yet to materialize in our rated transactions, indicating that borrowers have resumed making loan payments. Nonetheless, given its relatively limited performance history in comparison to more-established ABS sectors, there is some uncertainty as to how the personal loan ABS sector will fare through the evolution of the pandemic. Our base-case default rate assumptions include, among other factors, a qualitative adjustment due to macroeconomic uncertainty caused by the COVID-19 pandemic. "We ran stressed break-even cash flow scenarios to determine the total credit enhancement available to each transaction's notes (including excess spread). The total credit enhancement is defined as the maximum loss rate a break-even stressed cash flow scenario could withstand while still making interest payments on every distribution date and principal payments on the notes by the legal maturity dates." S&P's assumptions included: -- A 10.0% constant prepayment rate for voluntary prepayments in the 'AAA' to 'BBB' scenarios and 15.0% in the 'BB' scenario; -- A weighted average remaining term and weighted average coupon as defined by the reinvestment criteria of each transaction; -- A servicing fee as defined in each transaction; and -- A back-up servicing fee as defined in each transaction. S&P said, "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses to test each transaction's ability to absorb defaults higher than our base-case default assumption and remain within our ratings stability limits. We calculated a 'BBB' default rate by applying a 2.0x stress multiple to the base-case default assumption. We then compared each transaction's total credit support (including excess spread) to its 'BBB' default rate. In our view, the coverage multiples demonstrated that all of the classes have credit support consistent with the limits specified in the credit stability section of "S&P Global Ratings Definitions" published Jan. 5, 2021, and all of the classes have adequate credit enhancement at the raised or affirmed rating levels. "We conducted additional liquidity analyses to assess the impact of a temporary disruption in loan principal and interest payments as a result of the COVID-19 pandemic. These liquidity analyses include 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 total collections from the pools of receivables, and, accordingly, we believe the transactions can generally withstand temporary material declines in payment levels and still make full and timely liability payments. "We will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our default expectations under our stress scenarios for each of the rated classes." RATINGS RAISED OneMain Financial Issuance Trust 2015-3 Rating Class To From A AAA (sf) AA+ (sf) B AA+ (sf) A+ (sf) C A (sf) BBB (sf) D BBB- (sf) BB+ (sf) OneMain Financial Issuance Trust 2016-3 Rating Class To From A AAA (sf) AA+ (sf) B AA (sf) A+ (sf) C A- (sf) BBB (sf) D BBB- (sf) BB+ (sf) OneMain Financial Issuance Trust 2017-1 Rating Class To From A-1 AAA (sf) AA (sf) A-2 AAA (sf) AA (sf) B AAA (sf) A (sf) C AAA (sf) BBB (sf) D A (sf) BB (sf) OneMain Financial Issuance Trust 2018-1 Rating Class To From C A+ (sf) A (sf) D BBB+ (sf) BBB (sf E BB+ (sf) BB (sf) OneMain Financial Issuance Trust 2018-2 Rating Class To From C A+ (sf) A (sf) D BBB+ (sf) BBB (sf E BB+ (sf) BB (sf) OneMain Financial Issuance Trust 2019-1 Rating Class To From C A+ (sf) A (sf) E BB+ (sf) BB (sf) Springleaf Funding Trust 2015-B Rating Class To From A AAA (sf) A+ (sf) B AAA (sf) BBB(sf) C AA (sf) BB (sf) D A (sf) B (sf) Springleaf Funding Trust 2017-A Rating Class To From A AAA (sf) AA (sf) B AAA (sf) A(sf) C AA (sf) BBB (sf) D BBB (sf) BB (sf) RATINGS AFFIRMED OneMain Financial Issuance Trust 2018-1 Class Rating A AAA (sf) B AA (sf) OneMain Financial Issuance Trust 2018-2 Class Rating A AAA (sf) B AA (sf) OneMain Financial Issuance Trust 2019-1 Class Rating A AAA (sf) B AA (sf) D BBB (sf) OneMain Financial Issuance Trust 2019-2 Class Rating A AAA (sf) B AA (sf) C A (sf) D BBB- (sf) PIKES PEAK 7: Moody's Gives Ba3 Rating on $16M Class E Notes ------------------------------------------------------------ Moody's Investors Service as assigned ratings to five classes of notes issued by Pikes Peak CLO 7 (the "Issuer" or "Pikes Peak 7"). Moody's rating action is as follows: US$248,000,000 Class A Senior Secured Floating Rate Notes due 2034 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$56,000,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$24,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$16,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E 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. Pikes Peak 7 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans, provided that not more than 5% of the portfolio may consist of second lien loans or permitted securities (senior secured bonds, senior unsecured bonds and senior secured notes, subject to certain criteria). The portfolio is approximately 85% ramped as of the closing date. Partners Group US Management CLO LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: 67 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.5% Weighted Average Coupon (WAC): 4.5% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years 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. RESIDENTIAL MORTGAGE 2021-1R: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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." 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 ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the loans' aggregate stated principal balance. SARATOGA INVESTMENT 2013-1: Moody's Rates Class E-R-3 Notes 'Ba3' ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to eight classes of CLO refinancing notes issued by Saratoga Investment Corp. CLO 2013-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$357,500,000 Class A-1-R-3 Senior Secured Floating Rate Notes due 2033 (the "Class A-1-R-3" Notes), Definitive Rating Assigned Aaa (sf) US$65,000,000 Class A-2-R-3 Senior Secured Floating Rate Notes due 2033 (the "Class A-2-R-3" Notes), Definitive Rating Assigned Aaa (sf) US$60,500,000 Class B-FL-R-3 Senior Secured Floating Rate Notes due 2033 (the "Class B-FL-R-3" Notes), Definitive Rating Assigned Aa2 (sf) US$11,000,000 Class B-FXD-R-3 Senior Secured Fixed Rate Notes due 2033 (the "Class B-FXD-R-3" Notes), Definitive Rating Assigned Aa2 (sf) US$26,000,000 Class C-FL-R-3 Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class C-FL-R-3" Notes), Definitive Rating Assigned A2 (sf) US$6,500,000 Class C-FXD-R-3 Deferrable Mezzanine Fixed Rate Notes due 2033 (the "Class C-FXD-R-3" Notes), Definitive Rating Assigned A2 (sf) US$39,000,000 Class D-R-3 Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class D-R-3" Notes), Definitive Rating Assigned Baa3 (sf) US$27,625,000 Class E-R-3 Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class E-R-3" Notes), Definitive Rating 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. At least 95% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 5% of the portfolio may consist of second lien loans and unsecured loans. Saratoga Investment Corp. (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 three-year reinvestment period. Thereafter, the manager may not reinvest and all proceeds received will be used to amortize the notes in sequential order. In addition to the issuance of the Refinancing Notes, the Issuer will incorporate a variety of other changes to transaction features in connection with the refinancing. These include: issuing an additional class of secured notes, extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; the inclusion of alternative benchmark replacement provisions; additions to the CLO's ability to hold workout and restructured assets; and changes to the definition of "Adjusted Weighted Average Rating Factor". 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. 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: Portfolio par: $650,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3056 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.2 years 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. SCULPTOR CLO XXV: S&P Assigns BB- (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sculptor CLO XXV Ltd./Sculptor CLO XXV LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' or 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. Ratings Assigned Sculptor CLO XXV Ltd./Sculptor CLO XXV LLC Class X, $3.00 million: AAA (sf) Class A-1, $186.00 million: AAA (sf) Class A-2, $42.00 million: AA (sf) Class B (deferrable), $18.00 million: A (sf) Class C (deferrable), $16.50 million: BBB (sf) Class D (deferrable), $12.75 million: BB- (sf) Subordinated notes, $30.00 million: not rated SCULPTOR CLO XXV: S&P Assigns Prelim BB- (sf) Rating on D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sculptor CLO XXV Ltd./Sculptor CLO XXV LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 24, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' or 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 Sculptor CLO XXV Ltd./Sculptor CLO XXV LLC Class X, $3.00 million: AAA (sf) Class A-1, $186.00 million: AAA (sf) Class A-2, $42.00 million: AA (sf) Class B (deferrable), $18.00 million: A (sf) Class C (deferrable), $16.50 million: BBB (sf) Class D (deferrable), $12.75 million: BB- (sf) Subordinated notes, $30.00 million: not rated SEQUOIA MORTGAGE 2004-1: S&P Cuts Class A Certs Rating to 'D (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its rating on the class A certificates from Sequoia Mortgage Trust 2004-1, a U.S.RMBS transaction issued in 2004 to 'D (sf)' from 'BBB+ (sf)' due to observed principal write-downs affecting the transaction. At the same time, S&P removed the ratings from CreditWatch, where they had been placed with negative implications on Dec. 22, 2020. The rating was subsequently withdrawn in line with its procedures. Rating Action Rationale The rating action reflects the cumulative impact of principal write-downs experienced by the transaction over the past several months. Beginning in May 2020, the class A credit support balance started to decline more rapidly than in prior months. Class A had credit support of 11.63% as of May 2020 (up from an original credit support of 3.80%), which declined to (0.06)% as of October 2020. The deterioration in credit support occurred because of principal write-downs that were allocated to the remaining subordinate certificate, class B-1. According to the securities administrator, Wells Fargo Bank N.A., the principal write-downs allocated to class B-1 were not solely attributable to actual losses on the underlying mortgage loan collateral, but rather were primarily the result of adjustments that reduced the funds available for distribution to certificate holders. While unable to provide a specific break-down, the securities administrator 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 the trust's expenses. For example, in July 2020, the total interest and principal funds received from the collateral was $663,371.86 and the realized collateral loss amount for the period was $41.08. However, due in large part to the adjustments of the type described above, the total amount of interest and principal deposited by the servicer in the certificate account was $157,832.28. This created an aggregate principal shortfall with respect to the mortgage loan collateral of $501,273.96. The transaction documents provide that if the total principal balance of all outstanding certificates exceeds the stated principal balance of all outstanding mortgage loans on any distribution date, then this difference in amount will reduce the principal balance of the lowest outstanding subordinate class. As a result, class B-1 incurred a principal write-down of $501,273.96 and the remaining credit support available to class A decreased. Similar adjustments have taken place in other performance periods over the prior nine months, which has ultimately resulted in the subordinate certificate balance to be written down to zero. Unlike the provision described above, the transaction documents do not require class A principal to be written down if the mortgage loan balance falls below the class A balance. As a result of ongoing adjustments of the type described above, the deal is now undercollateralized, and class A has a negative credit support balance of $201,089 as of January 2021. In total, since May 2020, class A's credit support balance has decreased $1.3 million, or approximately 6x more than the decrease that occurred over the nine months prior to May 2020. Moreover, as of January 2021, class A has an outstanding principal write-down of $59.20 due to realized losses on the collateral and not due to the adjustments described above. S&P said, "Therefore, we have lowered our rating on class A to 'D (sf)' from 'BBB+ (sf)' and because we believe an upgrade above 'D (sf)' to be unlikely, we subsequently withdrew the rating, which is consistent with our procedures." 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." Given the dynamic circumstances associated with the coronavirus pandemic, S&P will continue to evaluate and update this disclaimer as warranted. SEQUOIA MORTGAGE 2021-1: Fitch Assigns B Rating on B-4 Certs ------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential certificates to be issued by Sequoia Mortgage Trust 2021-1. DEBT RATING PRIOR ---- ------ ----- SEMT 2021-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-IO1 LT AAAsf New Rating AAA(EXP)sf A-IO10 LT AAAsf New Rating AAA(EXP)sf A-IO11 LT AAAsf New Rating AAA(EXP)sf A-IO12 LT AAAsf New Rating AAA(EXP)sf A-IO13 LT AAAsf New Rating AAA(EXP)sf A-IO14 LT AAAsf New Rating AAA(EXP)sf A-IO15 LT AAAsf New Rating AAA(EXP)sf A-IO16 LT AAAsf New Rating AAA(EXP)sf A-IO17 LT AAAsf New Rating AAA(EXP)sf A-IO18 LT AAAsf New Rating AAA(EXP)sf A-IO19 LT AAAsf New Rating AAA(EXP)sf A-IO2 LT AAAsf New Rating AAA(EXP)sf A-IO20 LT AAAsf New Rating AAA(EXP)sf A-IO21 LT AAAsf New Rating AAA(EXP)sf A-IO22 LT AAAsf New Rating AAA(EXP)sf A-IO23 LT AAAsf New Rating AAA(EXP)sf A-IO24 LT AAAsf New Rating AAA(EXP)sf A-IO25 LT AAAsf New Rating AAA(EXP)sf A-IO26 LT AAAsf New Rating AAA(EXP)sf A-IO3 LT AAAsf New Rating AAA(EXP)sf A-IO4 LT AAAsf New Rating AAA(EXP)sf A-IO5 LT AAAsf New Rating AAA(EXP)sf A-IO6 LT AAAsf New Rating AAA(EXP)sf A-IO7 LT AAAsf New Rating AAA(EXP)sf A-IO8 LT AAAsf New Rating AAA(EXP)sf A-IO9 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT Bsf New Rating B(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 613 loans with a total balance of approximately $527.4 million as of the cutoff date. The pool consists of prime fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year, 20-year, fixed-rate, fully amortizing loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The pool has a weighted average (WA) original model FICO score of 779 and an original WA combined loan to value (CLTV) ratio of 68%. All the loans in the pool consist of Safe Harbor Qualified Mortgages (SHQM). Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high-stress scenarios. Low Operational Risk (Neutral): The operational risk is well controlled for in this transaction. Redwood is assessed as an 'Above Average' aggregator. The aggregator has a robust sourcing strategy and maintains experienced senior management and staff, strong risk management and corporate governance controls, and a robust due diligence process. Primary and master servicing functions will be performed by entities rated 'RPS2' and 'RMS2+', respectively. Credit Enhancement Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.75% of the original balance will be maintained for the certificates. The floor is sufficient to protect against the five largest loans defaulting at Fitch's 'AAA(EXP)sf' average loss severity of 38%. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper 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. Factors that could, individually or collectively, lead to a 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 39.8% 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 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 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 'AAA(EXP)sf', 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 'AAA(EXP)sf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION There was one variation to Fitch's 'U.S. RMBS Rating Criteria'. Fitch expects to conduct an originator review for all entities that make up 15% or more of a transaction. Quicken Loans currently contributes 33% of the collateral. Given the strong credit profile, the clean diligence results and Redwood's Above Average aggregator assessment, Fitch did not view the lack of a review as a heightened risk and no adjustment was made. 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 five separate third party review firms. The third-party due diligence described in Form 15E focused on credit, compliance and property valuations. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: A 5% credit was applied to each loan's probability of default to the extent diligence was performed, This adjustment resulted in a 16bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY There were no issues with the data provided by the issuer and used in Fitch's 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. SG COMMERCIAL 2016-C5: Fitch Cuts Rating on 2 Tranches to 'CCC' --------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 11 classes of SG Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2016-C5 (SGCMS 2016-C5). Fitch has also maintained the Negative Outlooks on three classes and revised the Outlooks on five classes to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- SGCMS 2016-C5 A-1 78419CAA2 LT AAAsf Affirmed AAAsf A-2 78419CAB0 LT AAAsf Affirmed AAAsf A-3 78419CAC8 LT AAAsf Affirmed AAAsf A-4 78419CAD6 LT AAAsf Affirmed AAAsf A-M 78419CAF1 LT AAAsf Affirmed AAAsf A-SB 78419CAE4 LT AAAsf Affirmed AAAsf B 78419CAK0 LT AA-sf Affirmed AA-sf C 78419CAL8 LT A-sf Affirmed A-sf D 78419CAV6 LT BBB-sf Affirmed BBB-sf E 78419CAX2 LT B-sf Downgrade BB-sf F 78419CAZ7 LT CCCsf Downgrade B-sf X-A 78419CAG9 LT AAAsf Affirmed AAAsf X-B 78419CAH7 LT AA-sf Affirmed AA-sf X-E 78419CAP9 LT B-sf Downgrade BB-sf X-F 78419CAR5 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks reflect increased loss expectations and performance deterioration on a greater number of Fitch Loans of Concerns (FLOCs) that have been impacted by the slowdown in economic activity amid the coronavirus pandemic. Twenty-seven loans (56.4% of pool), including two loans in the top 15 secured by regional malls (8.6%) and 11 loans in special servicing (21.9%), were designated as FLOCs. Fitch's current ratings incorporate a base case loss of 7.10%. The Negative Outlooks reflect losses, which could reach 9.30%, if additional coronavirus specific stresses materialize. Fitch Loans of Concern: The largest contributor in loss expectation and largest increase since Fitch's prior review, the Peachtree Mall loan (3.0%), is secured by 621,367 sf of an 822,443 sf regional mall in Columbus, GA and sponsored by Brookfield Properties Retail Group. The loan was designated a FLOC due to near term rollover concerns, declining tenant sales and risks associated with a secular shift away from regional malls. Fitch's loss expectation of approximately 28% in the base case is based on a 20% cap rate and 25% total haircut to YE 2019 NOI. Per the September 2020 rent roll, near term rollover includes leases for 8.5% of the net rentable area (NRA) scheduled to expire in 2020 and 23% in 2021. The rollover in 2021 is concentrated with At Home, which leases 13.8% NRA and has lease expiration in October 2021. Comparable in-line sales were $343 psf as of the TTM ended November 2020, down from $409 at YE 2015 at issuance. The collateral anchors are Macy's, which leases 22.4% NRA through September 2022 and JCPenney, which leases 13.3% NRA through November 2024. Dillard's is a non-collateral anchor. Collateral occupancy was 95% as of September 2020, and servicer-reported NOI debt service coverage ratio (DSCR) for this amortizing loan was 1.66x as of the YTD June 2020 compared to 94% and 1.69x at YE 2019 and 90% and 1.98x at issuance. The second largest contributor to Fitch's loss expectation, Marriott Saddle Brook (2.0%), is secured by a 241-key, full service hotel in Saddle Brook, NJ. The loan, which is sponsored by Columbia Sussex, recently transferred to special servicing for Imminent Monetary Default in November 2020 at the borrower's request as a result of the coronavirus pandemic. The borrower has confirmed intention to transition the property to the lender. Fitch's loss expectation of approximately 36% in the base case is based on 11.25% cap rate and a 26% total haircut to YE 2019 NOI. Occupancy was 30% as of the TTM ended September 2020, down from 60% at YE 2019 and 64% at issuance. Servicer-reported NOI was negative for TTM ended September 2020 with a DSCR of -0.03x, down from 1.45x at YE 2019 and 1.99x at issuance. Per STR and as of the TTM ended June 2020, the hotel was outperforming its competitive set with a RevPAR penetration rate of 104.63%. The largest loan in the pool, The Mall at Rockingham Park (5.6%), is secured by 540,867 sf of an approximate one million sf regional mall in Salem, NH. The loan was designated a FLOC due to low occupancy after departure of collateral anchor, Lord and Taylor (29.3% of NRA and 2.7% of base rents), which closed this location in December 2020 after filing for Chapter 11 bankruptcy. As a result, collateral occupancy declined to 60% from 89% as of September 2020. Fitch's loss expectation of approximately 5% in the base case is based on a 15% cap rate and 15% total haircut to YE 2019 NOI. Per the September 2020 rent roll, near term rollover includes 3.7% NRA in 2020, 4.6% in 2021 and 10.6% in 2022. Servicer-reported NOI DSCR for this full term interest only loan was 1.97x as of the YTD September 2020, down from 2.11x at YE 2019 and 2.31x at issuance. In-line tenant sales were $816 psf ($413 psf excluding Apple) as of the TTM ended November 2020, down from $1,020 psf at YE 2019 ($542 psf excluding Apple) at YE 2019. The loan is sponsored by Mayflower Realty (joint venture of Simon Property Group and the Canadian Pension Plan Investment Board) and Institutional Mall Investors . The remaining anchors are Macy's and JCPenney, which are both non-collateral. Dicks Sporting Goods subleases a portion of a non-collateral (Seritage owned) former Sears space. In addition, a 12-screen Cinemark theater opened on the Seritage parcel in December 2019. The largest hotel loan, Holiday Inn Express - Nashville Downtown (4.5%), is secured by a 287-key, limited service hotel built in 1968 and renovated in 2015 and a leasehold interest in an adjoining parking lot located in downtown Nashville, TN. The loan, which was assumed by Highland Capital in January 2019 after they purchased the hotel from JRK Property Holdings, transferred to special servicing for Imminent Monetary Default in June 2020 at borrowers request as a result of the coronavirus pandemic. The special servicer filed a foreclosure action; however, the borrower has since resumed forbearance discussions with the special servicer and is working on finalizing an agreement. Occupancy and servicer-reported NOI DSCR for this amortizing loan were 36% and 0.32x as of YTD September 2020. This is down from 83% and 1.96x at YE 2019 and 83% and 2.20x at issuance. Per the Smith Travel Research report for TTM ended July 2019, the hotel was underperforming its competitive set with a RevPAR penetration rate of 74%. Fitch's base case loss expectation is approximately 9%, based off a 35% haircut to the servicer's October 2020 appraisal value and implies a 10.5% cap rate and 26% haircut to the YE 2019 NOI. Exposure to Coronavirus Pandemic: Twelve loans (20.2%) are secured by hotel properties. The weighted average NOI DSCR for the hotel loans is 1.85x. These hotel loans could sustain a weighted average decline in NOI of 46% before DSCR falls below 1.00x. Twelve loans (31.8%) are secured by retail properties. The weighted average NOI DSCR for the retail loans is 1.96x. These retail loans could sustain a weighted average decline in NOI of 49% before DSCR falls below 1.00x. Additional coronavirus specific stresses were applied to all 12 hotel loans (20.2%), seven retail loans (14.7%), one multifamily loan (3.4%) and one office loan (0.2%). These additional stresses contributed to the Negative Outlooks on classes A-M, B, C, D, E, X-A, X-B and X-E. Minimal Change to Credit Enhancement: There has been minimal change to credit enhancement (CE) since issuance. As of the February 2021 distribution date, the pool's aggregate balance has been paid down by 3.9% to $708.9 million from $736.8 million at issuance. All original 47 loans remain in the pool. Nine loans (33.1%) are full-term interest only. Eleven loans (23.4%) have a partial-term interest only component of which eight have begun to amortize. Six loans (12.7%) are scheduled to mature in by July 2021. There are no defeased loans. Interest shortfalls of $710,899 are currently impacting classes F and G. Pool Concentration: The top 10 loans comprise 44.5% of the pool. Loan maturities are concentrated in 2026 (66.1%). Six loans (12.7%) mature in 2021 and 10 loans (21.2%) in 2025. Based on property type, the largest concentrations are retail at 31.8%, office at 31.4% and hotel at 20.2%. RATING SENSITIVITIES The Negative Outlooks on classes A-M, B, C, D, E, X-A, X-B and X-E reflects the potential for downgrades due to concerns on the FLOCs and concerns surrounding the ultimate impact of the coronavirus pandemic with additional loan transfers to special servicing and potentially higher than expected losses. The Stable Outlooks on classes A-1, A-2, A-3, A-4 and A-SB reflect overall stable performance for the majority of the pool, and the expectation of continued paydown from scheduled amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that lead to Upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. The Negative Outlooks on classes A-M and X-A, could be revised if non-delinquent loans maturing in 2021 (11%) pay in full, including Plaza Mexico-Los Angeles (5.1%), which is currently in special servicing but remains current and/or expected losses decline due to improved performance of the FLOCs. Upgrades of classes B and X-B would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic. -- Upgrades of classes C and D 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 coronavirus return to pre-pandemic levels and there is sufficient CE to the classes. Classes E, F, X-E and X-F are unlikely to be upgraded absent significant performance improvement on the FLOCs, primarily the regional malls and loans expected to be impacted by the coronavirus pandemic in the near term but could occur if performance of the FLOCs improves significantly and/or if there is sufficient CE. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that may lead to downgrades include an increase in pool level expected losses from underperforming or specially serviced loans. Downgrades of classes A-1 through A SB are not likely due to the expected receipt of continued amortization. -- A downgrade of classes A-M, B, C, D and X-A, X-B could occur should loss expectations increase and if performance and valuations of the FLOCs or loans vulnerable to the coronavirus pandemic fail to stabilize or additional loans default and/or transfer to the special servicer. Classes E, F, X-E and X-F would be downgraded further if performance of FLOCs declines and/or losses are realized. 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 further negative rating actions, including additional downgrades and/or 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. TICP CLO 2016-2: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to TICP CLO VI 2016-2 Ltd./TICP CLO VI 2016-2 LLC's floating-rate notes. This is a 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 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. 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 2021-HE1: Fitch Assigns B- Rating on 7 Tranches ---------------------------------------------------------- Fitch Ratings has assigned final ratings to Towd Point HE Trust 2021-HE1 (TPHT 2021-HE1). DEBT RATING PRIOR ---- ------ ----- TPHT 2021-HE1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf A3 LT A-sf New Rating A-(EXP)sf A4 LT A-sf New Rating A-(EXP)sf A5 LT A-sf New Rating A-(EXP)sf A2A LT AA-sf New Rating AA-(EXP)sf A2AX LT AA-sf New Rating AA-(EXP)sf A2B LT AA-sf New Rating AA-(EXP)sf A2BX LT AA-sf New Rating AA-(EXP)sf M1A LT A-sf New Rating A-(EXP)sf M1AX LT A-sf New Rating A-(EXP)sf M1B LT A-sf New Rating A-(EXP)sf M1BX LT A-sf New Rating A-(EXP)sf M2A LT BBB-sf New Rating BBB-(EXP)sf M2AX LT BBB-sf New Rating BBB-(EXP)sf M2B LT BBB-sf New Rating BBB-(EXP)sf M2BX LT BBB-sf New Rating BBB-(EXP)sf M2C LT BBB-sf New Rating BBB-(EXP)sf M2CX LT BBB-sf New Rating BBB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf B1AX LT BB-sf New Rating BB-(EXP)sf B1B LT BB-sf New Rating BB-(EXP)sf B1BX LT BB-sf New Rating BB-(EXP)sf B1C LT BB-sf New Rating BB-(EXP)sf B1CX LT BB-sf New Rating BB-(EXP)sf B2A LT B-sf New Rating B-(EXP)sf B2AX LT B-sf New Rating B-(EXP)sf B2B LT B-sf New Rating B-(EXP)sf B2BX LT B-sf New Rating B-(EXP)sf B2C LT B-sf New Rating B-(EXP)sf B2CX LT B-sf New Rating B-(EXP)sf B3A LT NRsf New Rating NR(EXP)sf B3AX LT NRsf New Rating NR(EXP)sf B3B LT NRsf New Rating NR(EXP)sf B3BX LT NRsf New Rating NR(EXP)sf B3C LT NRsf New Rating NR(EXP)sf B3CX LT NRsf New Rating NR(EXP)sf B4A LT NRsf New Rating NR(EXP)sf B4AX LT NRsf New Rating NR(EXP)sf B4B LT NRsf New Rating NR(EXP)sf B4BX LT NRsf New Rating NR(EXP)sf B4C LT NRsf New Rating NR(EXP)sf B4CX LT NRsf New Rating NR(EXP)sf D LT NRsf New Rating NR(EXP)sf XA LT NRsf New Rating NR(EXP)sf 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 A1 through 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 plans that have 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 newly originated, and 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 has an established operating history acquiring different mortgage products, including second liens and 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 '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'. The fourth and final variation relates to due diligence not being performed on 22 loans (0.16% by loan count), which were sourced from an unknown entity. Per criteria, Fitch requests that compliance review is performed on 100% of loans from unknown sources. All 22 of these loans are all first lien non-HELOC loans. To address this variation, Fitch applied the indeterminate HUD1 adjustment to each of these loans. While these loans may not carry material defects, the adjustment reflects the fact that compliance review was not performed and cannot confirm adherence to predatory lending regulations. The adjustment applies a 100% LS to the loan in states included on Freddie Mac's "Do Not Purchase" list and a 5% LS penalty to all remaining loans. This variation had no rating impact, as the number of loans impacted represents a very small portion of the overall pool. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC and Clayton Services LLC. The third-party due diligence reviews were completed on approximately 20.9% (combined) of the initial loan population for this transaction. The third-party due diligence described in Form 15E focused on regulatory compliance review, modification review, payment history review, tax and title review, servicing comments review and a data integrity check. Fitch considered this information in its analysis and, as a result made the following adjustments to its analysis: (1) Applied loss adjustments on 223 reviewed loans which received a final grade of 'D', (2) Extrapolated the rate of indeterminate findings to the non-reviewed first lien loan population (14% by loan count) from known sources, (3) Applied a three-month liquidation timeline extension on 42 loans that had missing modification agreements, and (4) Increased the LS to account for outstanding taxes found on 171 loans in the tax and title review. These adjustments resulted in corresponding reductions to Fitch's loss expectations at all rating stresses. 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. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. TRINITAS CLO VI: S&P Assigns B- (sf) Rating on Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class X, A-RR, B-R1, B-R2, C-RR1, C-RR2, D-R1, D-R2, D-R3, D-R4, E-R, and F replacement notes from Trinitas CLO VI Ltd./Trinitas CLO VI LLC, a collateralized loan obligation (CLO) originally issued in June 2017 that is managed by Trinitas Capital Management LLC. The floating- and fixed-rate replacement notes will be issued via a supplemental indenture. On the Feb. 25, 2021, refinancing date, the proceeds from the issuance of the replacement notes redeemed the original 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' or 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; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Trinitas CLO VI Ltd./Trinitas CLO VI LLC Class X, $5.00 million: AAA (sf) Class A-RR, $437.50 million: AAA (sf) Class B-R1, $62.50 million: AA (sf) Class B-R2, $32.00 million: AA (sf) Class C-RR1 (deferrable), $18.00 million: A (sf) Class C-RR2 (deferrable), $22.50 million: A (sf) Class D-R1 (deferrable), 9.20 million: BBB (sf) Class D-R2 (deferrable), 12.50 million: BBB- (sf) Class D-R3 (deferrable), 15.00 million: BBB- (sf) Class D-R4 (deferrable), $3.30 million: BBB- (sf) Class E-R (deferrable), $26.25 million: BB- (sf) Class F (deferrable), $11.75 million: B- (sf) Subordinated notes, $81.00 million: not rated UBS-BARCLAYS COMMERCIAL 2013-C5: Moody's Cuts Class D Certs to B2 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and downgraded the ratings on five classes in UBS-Barclays Commercial Mortgage Trust 2013-C5, Commercial Mortgage Pass-Through Certificates, Series 2013-C5, as follows: Cl. A-3, Affirmed Aaa (sf); previously on May 22, 2020 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 22, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on May 22, 2020 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on May 22, 2020 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on May 22, 2020 Affirmed Aa3 (sf) Cl. C, Downgraded to Baa2 (sf); previously on May 22, 2020 Affirmed A3 (sf) Cl. D, Downgraded to B2 (sf); previously on May 22, 2020 Downgraded to Ba3 (sf) Cl. E, Downgraded to Caa2 (sf); previously on May 22, 2020 Downgraded to B3 (sf) Cl. F, Downgraded to C (sf); previously on May 22, 2020 Downgraded to Ca (sf) Cl. X-A*, Affirmed Aaa (sf); previously on May 22, 2020 Affirmed Aaa (sf) Cl. X-B*, Affirmed Aa3 (sf); previously on May 22, 2020 Affirmed Aa3 (sf) Cl. EC**, Downgraded to A2 (sf); previously on May 22, 2020 Affirmed Aa3 (sf) * Reflects interest-only classes ** Reflects exchangeable classes RATINGS RATIONALE The ratings on five P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on four P&I classes, Cl. C, D, E, and F, were downgraded due to a decline in pool performance, driven primarily by higher anticipated losses from specially serviced and troubled loans which are mainly secured by retail properties. The largest specially serviced loan is Harborplace (5.5% of the pool) which has been in special servicing since February 2019 and is last paid through November 2019. Furthermore, the two largest loans in the pool, representing 36% of the pool, are secured by regional malls which have both experienced declining revenues in 2020 and the Valencia Town Center's (16.9% of the pool) net operating income (NOI) has now declined below its 2012 levels. The ratings on the IO classes were affirmed based on the credit quality of their referenced classes. The rating on the exchangeable class, Cl. EC was downgraded due to a decline in the credit quality of the referenced exchangeable 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 our 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 8.1% of the current pooled balance, compared to 6.4% at Moody's last review. Moody's base expected loss plus realized losses is now 6.4% of the original pooled balance, compared to 5.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. DEAL PERFORMANCE As of the February 12, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $1.15 billion from $1.49 billion at securitization. The certificates are collateralized by 76 mortgage loans ranging in size from less than 1% to 18.6% of the pool, with the top ten loans (excluding defeasance) constituting 54.3% of the pool. Twenty-one loans, constituting 21% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 9, compared to 10 at Moody's last review. As of the February 2021 remittance report, loans representing 91% were current or within their grace period on their debt service payments, 2% were beyond their grace period but less than 30 days delinquent and 7% were between greater than 90 days delinquent. Eighteen loans, constituting 18.8% of the pool, are on the master servicer's watchlist, of which five loans, representing 6% of the pool, indicate the borrower has received loan modifications in relation to the coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $2.4 million (for an average loss severity of 23%). Two loans, constituting 7.1% of the pool, are currently in special servicing. The largest specially serviced loan is the Harborplace Loan ($63.8 million -- 5.5% of the pool), which is secured by a leasehold interest in an approximately 149,000 SF lifestyle retail center in Baltimore, Maryland. The property is located less than 0.5 miles south of the Baltimore Central Business District (CBD), right on the harbor waterfront. The loan transferred to special servicing in February 2019 due to payment default. Several major tenants have vacated the property since securitization, including Ripley's, Urban Outfitters, Banana Republic, Five Guys, M&S Grill and Noodles & Co. Furthermore, the Urban Outfitters' departure triggered co-tenancy provisions which resulted in additional tenant departures. The loan's DSCR has been below 1.00X since 2017 and has continued to decline due to lower rental revenues and higher expenses. Any tenant renewals have generally been at lower rents. The property was 52% leased as of September 2020, compared to 64% in January 2020, 67% in December 2018, and 95% at securitization. A receiver was appointed in May 2019 who is currently marketing the property for lease and working through tenant requests for rent relief. The loan has amortized almost 16% since securitization but has accumulated over $5 million in cumulative servicer P&I and other expense advances. Due to the significant decline in performance, Moody's expects a significant loss on this loan. The second specially serviced loan is the Chatham Retail Loan ($18.0 million -- 1.6% of the pool), which is secured by a 34,140 SF retail component located on the basement (parking garage), ground and second floors of a 32-story residential condominium. The loan was transferred to special servicing during June 2020 due to payment default. The former largest tenant Pier 1 (51% of NRA) vacated the property during 2019 and the borrower is in the process of renovating and sub-dividing the space into multiple tenant spaces. Three new leases have been recently signed with the new tenants expected to move in during 2021. The loan is interest-only for the entire term and is last paid through its March 2020 payment date. A recent appraisal values the collateral at an amount which exceeds the loan balance and therefore no appraisal reduction has been recognized on the loan. Moody's has also assumed a high default probability for one poorly performing loan, The Village of Cross Keys constituting 1.7% of the pool. The troubled loan is secured by an approximately 297,000 SF mixed-use property located roughly five miles northwest of the Baltimore CBD. The property consists of 119,334 SF of office, 147,140 SF of retail space and a 30,292 SF outparcel. The loan transferred to special servicing in March 2019 due to imminent default after the borrower indicated an unwillingness to cover continued cash flow shortfalls, and a request to discuss a potential modification of the loan. The property has underperformed expectations at securitization and the 2019 net operating income (NOI) has decreased approximately 61% since 2012 as a result of lower rental revenue and higher expenses. Furthermore, the property's NOI has been below 1.00X since 2018. The property was only 42% leased as of March 2020, compared to 62% in November 2019, 66% in September 2018 and 79% at securitization. The loan was recently assumed by a new sponsor, brought current on its debt service payments and returned to the master servicer. However, due to the low occupancy and DSCR, Moody's identified this as a troubled loan. Moody's has estimated an aggregate loss of $53 million (a 52% expected loss on average) from these specially serviced and troubled loans. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between our sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2019 operating results for 100% of the pool, and full or partial year 2020 operating results for 83% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 100%, compared to 99% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 25% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 2.08X and 1.13X, respectively, compared to 2.04X and 1.12X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 38% of the pool balance. The largest loan is the Santa Anita Mall Loan ($215 million -- 18.6% of the pool), which represents a pari-passu interest in a $285 million mortgage loan. The loan is secured by a 956,343 SF portion of a 1.47 million SF super-regional mall located in Arcadia, California. The property is adjacent to the Santa Anita Park, a thoroughbred racetrack, which is a demand driver for the mall. The mall is anchored by J.C. Penney, Macy's, and Nordstrom, all of which are owned by their respective tenants and are not contributed as loan collateral. As of December 2020, the property was 89% leased compared to 94% in March 2020 and 98% in December 2018. As of September 2020, inline occupancy was 90%, compared to 97% in December 2018. Total occupancy was negatively impacted by the departure of a large Forever 21 space (117,817 SF), which vacated in January 2020 and the 2020 NOI declined 10% year over year primarily due to lower rental revenues. However, the property's rental revenue has improved significantly since securitization and the reported 2020 NOI was still 22% higher than in 2012. The 2020 actual NOI DSCR was 3.46X. The loan is interest only for its entire term and Moody's LTV and stressed DSCR are 86% and 1.13X, respectively, the same as at the last review. The second largest loan is the Valencia Town Center Loan ($195 million -- 16.9% of the pool), which is secured by a 646,121 SF portion of a 1.1 million SF super-regional mall located in Valencia, California. The mall is currently anchored by Macy's and JC Penney. A former anchor, Sears (122,000 SF), vacated in 2018 and the space remains vacant. The three anchor units are not included as collateral for the loan. Major collateral tenants include a 12-screen Edward's Theater (68,780 SF; lease expiration in May 2024) and Gold's Gym (29,100 SF; lease expiration in November 2027). The mall was expanded in 2010, adding roughly 180,000 SF of outdoor space at a cost of approximately $131 million. The property was 82% leased as of September 2020, compared to 85% in December 2019 and 96% in September 2017. Inline occupancy was 92% in December 2019 compared to 95% in December 2018. In 2019, the sponsor announced plans for an upcoming renovation, called the Patios Connection, which closely followed a $20 million renovation of the center interior completed the same year and includes additional expansion and development plans for the former Sears space. After improving annually since securitization, the property's NOI declined below securitization levels in 2019 due to lower rental revenue and increased expenses. The property's revenue continued to decline in 2020 amongst the coronavirus pandemic. The property benefits from strong demographics and being the only mall serving the Santa Clarita Valley submarket. The loan is interest only for its entire term and had an in-place DSCR of 2.84X as of September 2020. However, due to the recent declines in performance and overall retail environment, the mall may face elevated refinance risk at its loan maturity in January 2023. Moody's LTV and stressed DSCR are 130% and 0.87X, respectively, compared to 121% and 0.87X at the last review. The third largest loan is the True Value Distribution Centers Portfolio Loan ($25.6 million -- 2.2% of the pool), which is secured by three industrial warehouse distribution center located in Corsicana, Texas; Woodland, California and Kansas City, Missouri. The collateral represents a sale-leaseback between True Value Hardware (the tenant) and the sponsor. The triple net (NNN) leases were extended from 2022 to 2036 and all three properties continue to be 100% occupied. Each property has been outfitted with stacking and railway transport systems. The loan has amortized 21% since securitization and Moody's LTV and stressed DSCR are 60% and 1.79X, respectively, compared to 62% and 1.74X at the last review. UNITED AUTO 2021-1: S&P Assigns Prelim B (sf) Rating on F Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to United Auto Credit Securitization Trust 2021-1's automobile receivables-backed notes series 2021-1. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 25, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The availability of approximately 59.73%, 51.82%, 43.60%, 35.25%, 29.30%, and 25.80% credit support for the class A, B, C, D, E, and F notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.70x, 2.33x, 1.92x, 1.55x, 1.27x, and 1.10x our expected net loss range of 21.25%-22.25% for the class A, B, C, D, E, and F notes, respectively. The likelihood of timely interest and principal payments by the assumed legal final maturity dates under stressed cash flow modeling scenarios that are appropriate for the assigned preliminary ratings. S&P said, "Our expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings will be within the limits specified by section A.4 of the Appendix contained in our article, "S&P Global Ratings Definitions," published Jan. 5, 2021. Credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. "The collateral characteristics of the subprime pool being securitized. It is approximately six months seasoned, with a weighted-average original term of approximately 51 months and an average remaining term of about 45 months. As a result, we expect that the pool will pay down more quickly than many other subprime pools that are usually characterized by longer weighted-average original and remaining terms. "Our analysis of nine years of static pool data following the credit crisis and after United Auto Credit Corp. (UACC) centralized its operations and shifted toward shorter loan terms. We also reviewed the performance of UACC's three outstanding securitizations, as well as its paid-off securitizations. UACC's more than 20-year history of originating, underwriting, and servicing subprime auto loans." The transaction's payment and legal structures. 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 United Auto Credit Securitization Trust 2021-1 Class A, $122.07 mil.: AAA (sf) Class B, $33.54 mil.: AA (sf) Class C, $29.64 mil.: A (sf) Class D, $29.38 mil: BBB (sf) Class E, $20.80 mil.: BB (sf) Class F, $13.91 mil.: B (sf) VIBRANT CLO XII: S&P Assigns Prelim BB- (sf) on Class D Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Vibaasnt CLO XII Ltd./Vibrant CLO XII 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 March 2, 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, which consists primarily of; -- 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 Vibrant CLO XII Ltd./Vibrant CLO XII LLC Class A-1, $279.00 million: AAA (sf) Class A-2, $63.00 million: AA (sf) Class B-1 (deferrable)(i), $10.50 million: A (sf) Class B-2-A (deferrable)(i), $3.75 million: AA- (sf) Class B-2-B (deferrable)(i), $3.75 million: A (sf) Class B-3 (deferrable)(i), $9.00 million: A (sf) Class C (deferrable), $22.50 million: BBB- (sf) Class D (deferrable), $19.13 million: BB- (sf) Subordinated notes, $47.53 million: Not rated (i)The class B-1, B-2-A and B-2-B (treated as a single class B-2), and B-3 notes are all pari passu, but the allocation to B-2 is distributed to class B-2-A prior to any distribution to class B-2-B. WELLS FARGO 2012-C8: Fitch Lowers Rating on Class G Certs to 'B-' ----------------------------------------------------------------- Fitch Ratings has downgraded one class, affirmed 12 classes and revised the Rating Outlook on two classes of Wells Fargo Bank, National Association, WFRBS Commercial Mortgage Trust 2012-C8 commercial mortgage pass-through certificates (WFRBS 2012-C8). DEBT RATING PRIOR ---- ------ ----- WFRBS 2012-C8 A-3 92936YAC5 LT AAAsf Affirmed AAAsf A-FL 92936YAH4 LT AAAsf Affirmed AAAsf A-FX 92936YBB6 LT AAAsf Affirmed AAAsf A-S 92936YAE1 LT AAAsf Affirmed AAAsf A-SB 92936YAD3 LT AAAsf Affirmed AAAsf B 92936YAF8 LT AAAsf Affirmed AAAsf C 92936YAG6 LT Asf Affirmed Asf D 92936YAP6 LT BBB+sf Affirmed BBB+sf E 92936YAR2 LT BBB-sf Affirmed BBB-sf F 92936YAT8 LT BBsf Affirmed BBsf G 92936YAV3 LT B-sf Downgrade Bsf X-A 92936YAK7 LT AAAsf Affirmed AAAsf X-B 92936YAM3 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased since the prior review due to increased loss expectations on a greater number of Fitch Loans of Concerns (FLOCs) that have been affected by the slowdown in economic activity related to the coronavirus pandemic, including two regional malls (15.1%). Eleven loans (23% of the pool balance) have been identified as FLOC's, including two loans in special servicing (7.50%). Fitch's current ratings, including the downgrade to class G, incorporate a base case loss of 7.10%. Increased loss expectations in the base case analysis are primarily driven by the specially serviced Town Center at Cobb loan. The Negative Rating Outlooks on classes F and G reflect losses that could reach 9.4% after factoring in additional stresses on loans expected to be negatively affected by the pandemic and do not stabilize, a potential outsized loss on the Northridge Fashion Center loan and upcoming refinance concerns given the entire pool matures before the second half of 2022. Regional Mall Loans of Concern: The largest contributor to overall loss expectations and the largest increase in loss since the last rating action is the Town Center at Cobb loan (6.8%), which is secured by a 1.3 million sf regional mall located in Kennesaw, GA, approximately 22 miles northwest of Atlanta. The Fitch base case loss of 58% considers a discount to the updated appraisal value and the sponsor, Simon Property Group, transferring title via a deed-in-lieu of foreclosure. Fitch's loss implies a 22% cap rate on the FYE December 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties. The loan was transferred to special servicing in June 2020 for payment default. The borrower indicated that property performance has been significantly affected by the coronavirus pandemic and was unable to meet debt service obligations. A deed-in-lieu of foreclosure is anticipated to take place in February 2021. The loan collateral consists of a 128,819-sf Belk anchor box, a 31,026-sf portion of the JCPenney anchor box and 400,095-sf of in-line space. Non-collateral anchors include Macy's, Macy's Furniture and JCPenney. A non-collateral Sears closed its store in 2020. The servicer-reported NOI DSCR declined to 1.26x for YTD September 2020 from 1.33x at YE 2019 and 1.43x at YE 2018. Occupancy has remained in the mid-80% range over the past several years and was 82% as of September 2020. The declining NOI has been attributed to increased operating expenses. Total in-line tenant sales were $387 psf as of YE 2019, down from $392-psf at YE 2018. Leases accounting for approximately 50% of the collateral NRA are scheduled to expire over the next 24 months, including Belk (23% of NRA) in August 2022. Belk recently filed for Chapter 11 bankruptcy in February 2021. The second regional mall is the Northridge Fashion Center loan (8.0%), which is secured by 643,564sf of a 1.52 million-sf regional mall located in Northridge, CA, approximately 25 miles northwest of Downtown Los Angeles. Fitch's base case loss expectation on this loan has increased to 11% from 0% at the last rating action due to anticipated refinance challenges in the current environment given the large outstanding total debt of $208 million, of which $75.4 million is contributed to this transaction. Fitch's loss is based on a 12% cap rate and a 15% haircut to the FYE 2020 NOI. Fitch also applied an additional sensitivity that considered a potential outsized loss of 33%, which is based on a 15% cap rate and 20% haircut to the FYE 2020 NOI. The sponsor, Brookfield Properties, was granted coronavirus debt relief in the form of a consent agreement, which allowed the borrower to utilize existing reserve funds to cover debt service payments beginning April 2020 through December 2020. The loan, which was current as of February 2021, is scheduled to mature in December 2021. Non-collateral anchors include JCPenney, Macy's, and Macy's Men's & Home. A non-collateral Sears vacated in January 2020; per the master servicer, no co-tenancy clauses were triggered by Sears closure. Major collateral tenants include Dave & Busters (8.3% of NRA), Pacific Theaters (8%), Ross Dress for Less (5.2%), Forever 21 (3.8%) and Old Navy (3.3%). The servicer reported FYE 2020 occupancy and NOI DSCR was 91% and 1.60x. Prior to the pandemic, tenant sales were considered strong and had improved since issuance, with YE 2019 in-line sales less than 10,000sf at $679psf ($557psf excluding Apple). Increasing Credit Enhancement (CE): CE has increased since issuance due to amortization and loan repayments, with 30% of the original pool balance repaid. Twenty-four loans (21% of the pool) are fully defeased. Over the past 12 months, one loan (0.76% of original pool balance) prepaid with yield maintenance. Since issuance, one loan had liquidated while in special servicing: Shops at Freedom (0.65% of original pool balance) was disposed in September 2017, with a $26,689 loss absorbed by class H. Interest shortfalls are currently affecting class H. All loans are scheduled to mature over the next 10-18 months. Coronavirus Exposure: Significant economic impact to certain hotels, retail and multifamily properties is expected from the coronavirus pandemic, due to the recent and sudden reductions in travel and tourism, temporary property closures and lack of clarity on the potential length of the impact. The pandemic has prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Five loans (4.4% of the pool) are secured by hotel loans, including one specially serviced loan (0.70%). Eighteen Loans (41.5%) are backed are by retail properties, including eight (35%) within the top 15. Two loans (15.1%) are secured by regional malls, both of which are anchored by non-collateral JCPenney and Macy's, both had Sears (non-collateral) vacate in 2020. Retail properties representing 10% of the pool are anchored by a grocery tenant greater than 25% of the NRA. Fitch applied additional stresses to the five non-specially serviced hotel loan, and seven retail loans to account for potential cash flow disruptions, due to the pandemic. This sensitivity analysis contributed to the Negative Outlooks on classes F and G. RATING SENSITIVITIES The Negative Rating Outlook on class F and class G reflects the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs. This includes concerns over the regional malls and larger retail FLOC's within the top 15, which are expected to face challenges in stabilizing and their ability to refinance at their 2021 or 2022 loan maturities, or the servicer to progress in workouts. The Stable Rating Outlooks on classes A-1 through E reflect the increasing credit enhancement, continued expected amortization and defeasance, and relatively stable performance of the majority of the pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to class C would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. -- Upgrades to the classes D and E would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to classes F and G are not likely due to the high loss expectations surrounding the FLOC's, and would be considered only if the performance and valuations of the FLOC's improve significantly and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the classes. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that may lead to downgrades of classes B through G are possible should loss expectations increase and if performance and valuations of the FLOCs or loans vulnerable to the coronavirus pandemic fail to stabilize or additional loans default and/or transfer to the special servicer. This includes additional loans such as Northridge Fashion Center that may fail to refinance and default at maturity and transfer to the special servicer. Additionally, if workouts are prolonged on the specially serviced loans, fees and expenses could continue to increase loan exposures and loss expectations will continue to increase. Classes F and G could be downgraded should losses be realized or become more certain. Downgrades to classes A-1 through A-S are not likely due to the position in the capital structure, high defeasance and expected benefit from maturing loans and amortization, but may occur should interest shortfalls affect the classes. 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 negative rating actions, including downgrades and/or further 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 Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WFRBS 2012-C7: Fitch Lowers Rating on 2 Tranches to 'Csf' --------------------------------------------------------- Fitch Ratings has downgraded eight classes of Wells Fargo Bank, N.A.'s WFRBS 2012-C7 commercial mortgage pass-through certificates and placed one class on Rating Watch Negative (RWN). DEBT RATING PRIOR ---- ------ ----- WFRBS 2012-C7 A-2 92936TAB8 LT AAAsf Rating Watch On AAAsf A-FL 92936TAH5 LT AAAsf Affirmed AAAsf A-FX 92936TAZ5 LT AAAsf Affirmed AAAsf A-S 92936TAC6 LT BBBsf Downgrade AAAsf B 92936TAD4 LT BBsf Downgrade Asf C 92936TAE2 LT B-sf Downgrade BBBsf D 92936TAJ1 LT CCCsf Downgrade Bsf E 92936TAK8 LT CCsf Downgrade B-sf F 92936TAL6 LT Csf Downgrade CCCsf G 92936TAM4 LT Csf Downgrade CCsf X-A 92936TAF9 LT BBBsf Downgrade AAAsf KEY RATING DRIVERS Increased Loss Expectations/Specially Serviced Loans: The Downgrades and RWN reflect significantly higher loss expectations since the last rating action on the four regional mall loans which comprise 41.3% of the remaining pool balance; three of these regional mall loans are specially serviced and in foreclosure (26.5% of pool). Fitch's current ratings reflect a base case loss of 20.6%. The Negative Rating Outlooks on classes A-S, X-A, B and C reflect losses which could reach 23.8% after factoring in additional pandemic-related stresses, a potential outsized loss on the Northridge Fashion Center loan and upcoming refinance concerns given the entire pool matures before 2H22. The RWN placement on class A-2 reflects the potential for a Downgrade should performing loans that are scheduled to mature in late 2021 and in 2022, including Northridge Fashion Center, do not obtain refinancing, transfer to special servicing and/or default at or before maturity. The RWN is expected to be resolved once there is greater clarity in the next few months on the refinance prospects on the Northridge Fashion Center as well as other performing loans in the pool. If loans continue to perform and pay in full, the class would be affirmed. If loans are considered likely to default at or prior to maturity, the class may be downgraded by one or two rating categories. The largest contributor to overall loss expectations and the largest increase in loss since the last rating action is the Town Center at Cobb loan (12.8%), which is secured by a 1.3 million-sf regional mall located in Kennesaw, GA, approximately 22 miles northwest of Atlanta. Fitch's base loss expectation on this loan has increased to 58% from approximately 25% at the last rating action; the loss considers a discount to the updated appraisal value and the sponsor, Simon Property Group, transferring title via a deed-in-lieu of foreclosure. Fitch's loss implies a 22% cap rate on the YE 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties. The loan transferred to special servicing in June 2020 for payment default. The borrower indicated property performance had been significantly affected by the coronavirus pandemic and was unable to meet debt service obligations. A deed-in-lieu of foreclosure is anticipated to take place in February 2021. The loan collateral consists of a 128,819-sf Belk anchor box, a 31,026-sf portion of the JCPenney anchor box and 400,095-sf of in-line space. Non-collateral anchors include Macy's, Macy's Furniture and JCPenney. A non-collateral Sears closed its store in 2020. The servicer-reported NOI debt service coverage ratio (DSCR) declined to 1.26x for YTD September 2020 from 1.33x at YE 2019 and 1.43x at YE 2018. Occupancy has remained in the mid-80% range over the past several years and was 82% as of September 2020. The declining NOI has been attributed to increased operating expenses. Total in-line tenant sales were $387 psf as of YE 2019, down from $392 psf at YE 2018. Leases accounting for approximately 50% of the collateral NRA are scheduled to expire over the next 24 months, including Belk (23% of NRA) in August 2022. Belk recently filed for Chapter 11 bankruptcy in February 2021. The second largest increase in loss expectations since the last rating action is the Northridge Fashion Center loan (14%), which is secured by 643,564-sf of a 1.52 million-sf regional mall located in Northridge, CA, approximately 25 miles northwest of Downtown Los Angeles. Fitch's base loss expectation on this loan has increased to 11% from 0% at the last rating action due to anticipated refinance challenges in the current environment given the large outstanding total debt of $208 million, of which $132.6 million is contributed to this transaction. Fitch's loss is based on a 12% cap rate and 15% haircut to the YE 2020 NOI. Fitch also applied an additional sensitivity which considered a potential outsized loss of 33%, which is based on a 15% cap rate and 20% haircut to the YE 2020 NOI. The sponsor, Brookfield Properties, was granted coronavirus debt relief in the form of a consent agreement, which allowed the borrower to use existing reserve funds to cover debt service payments beginning April 2020 through December 2020. The loan, which was current as of February 2021, is scheduled to mature in December 2021. Non-collateral anchors include JCPenney, Macy's, and Macy's Men's & Home. A non-collateral Sears vacated in January 2020; per the master servicer, no co-tenancy clauses were triggered by Sears' closure. Major collateral tenants include Dave & Busters (8.3% of NRA), Pacific Theaters (8%), Ross Dress for Less (5.2%), Forever 21 (3.8%) and Old Navy (3.3%). The servicer-reported YE 2020 occupancy and NOI DSCR were 91% and 1.60x. Prior to the pandemic, tenant sales were considered strong and had improved since issuance, with YE 2019 in-line sales for tenants less than 10,000-sf at $679 psf ($557 psf, excluding Apple). The third largest increase in loss expectations since the last rating action is the Florence Mall loan (10%), which is secured by 384,111-sf of a 957,443-sf regional mall located in Florence, KY. Fitch's base loss expectation increased to 62% from 58% at the prior rating action; the loss considers a discount to the updated appraisal value and the sponsor, Brookfield Properties, transferring title via a deed-in-lieu of foreclosure. Fitch's loss equates to a 26% cap rate on the YE 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties. The loan transferred to special servicing in July 2020 due to imminent monetary default related to the ongoing pandemic. Non-collateral anchors include JCPenney and Macy's. A non-collateral Sears closed in November 2018. The largest collateral tenant is Cinemark (17.6% of NRA; through June 2028). Total in-line sales were $309 psf in 2019. Loss expectations on The Fashion Square loan (3.7%), which is secured by 446,288-sf of a 711,114-sf regional mall located in Saginaw, MI, remain high at 61%, consistent with the last rating action; the loss considers a discount to the updated appraisal valuation. The loan's sponsor, Namdar Realty Group, is offering a deed-in-lieu of foreclosure if coronavirus debt relief is not granted by the servicer; the loan is classified as in foreclosure. Fitch's loss implies a 31% cap rate to the YE 2019 NOI. The loan transferred to special servicing in July 2020 for imminent monetary default. The special servicer is working to appoint a receiver and will proceed with foreclosure once the foreclosure moratorium has been lifted. The property is anchored by a non-collateral Macy's and a collateral JCPenney. A non-collateral Sears closed in 2019. The property has suffered from declining occupancy since 2017. In-line sales for tenants less than 10,000 sf were $206 psf as of TTM September 2019. Improved Credit Enhancement (CE) to Senior Classes: The senior classes have benefited from increased CE due to loan payoffs, scheduled amortization and defeased collateral. Seventeen loans are fully defeased (15.4%). As of the February 2021 remittance, the pool's aggregate principal balance has been reduced by 18.7% to $897.8 million from $1.1 billion at issuance. The pool has experienced $5.1 million in realized losses to date (0.5% of original pool), which have been isolated to the non-rated class H certificates. Cumulative interest shortfalls totaling $1.4 million are affecting classes F through H. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario on the Northridge Fashion Center loan, which considered a potential outsized loss of 33%, while factoring in the paydown of defeased loans; this contributed to the Negative Outlooks on classes A-S, X-A, B and C. The Affirmation and Stable Outlooks on classes A-FL and A-FX reflect their senior position in the capital structure and payment priority; these classes are covered by defeased collateral and low-leveraged loans expected to pay off at maturity. Fitch also considered an additional scenario where the four regional mall loans are the remaining loans/assets in the pool. Classes A-2 and below are reliant on these malls to repay. Class A-S does not need recoveries from the special serviced mall loans in foreclosure to repay, but relies on all of the remaining performing loans in the pool to refinance. Classes B and below, which have been downgraded to below investment grade ratings, are fully reliant on the specially serviced mall loans in foreclosure. Coronavirus Exposure: Six loans (7.9%) are secured by hotel loans, 15 loans (56.8%) are secured by retail properties and two loans (4.4%) are secured by multifamily properties. The hotel loans have a weighted average (WA) NOI DSCR of 2.75x and can sustain an average decline of 63.6% before the NOI DSCR would fall below 1.0x. The retail loans have a WA NOI DSCR of 1.78x and can sustain an average decline of 40.3% before the NOI DSCR would fall below 1.0x. Fitch applied additional stresses to three hotel, four retail and one multifamily loan to account for potential cash flow disruptions due to the coronavirus pandemic; this contributed to the Negative Outlooks on classes A-S, X-A, B and C. Upcoming Maturities/Refinancing Concerns: Two loans (15.7%) mature in 2021, including the largest loan, Northridge Fashion Center (14.8%) in December 2021. The remainder of the pool has maturity dates between March and June 2022. The weighted average coupon for the pool is 4.9%. WFRBS 2012-C7: Exposure to Social Impacts: 4. The transaction has exposure to sustained structural shift in secular preferences affecting consumer trends, occupancy trends, etc. which, in combination with other factors, impacts the rating. RATING SENSITIVITIES The Negative Rating Outlooks on classes A-S, X-A, B and C reflect the potential for further Downgrades due to performance concerns on the regional malls and loans impacted by the pandemic. The Stable Outlooks on classes A-FL and A-FX reflects the payment priority for these senior bonds and anticipation that they are expected to pay in full. The RWN placement of class A-2 reflects downgrade concerns should performing loans that are scheduled to mature in late 2021 and in 2022, including Northridge Fashion Center, not obtain refinancing, transfer to special servicing and/or default at or before maturity. The RWN is expected to be resolved once there is greater clarity over the next few months on refinance prospects on the Northridge Fashion Center as well as other performing loans in the pool. If loans continue to perform and are expected to pay in full, the class would be affirmed. If loans are considered likely to default at or prior to maturity, the class may be downgraded by one or two rating categories. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are currently not expected given the retail outlook on regional malls, the uncertainty surrounding the duration of the pandemic and the expectation that Northridge Ridge Fashion Center and other loans susceptible to the coronavirus pandemic will have difficulties refinancing at their 2021 and 2022 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 A-S, X-A, B and C may only occur with the payoff, modification and/or workout of the regional mall loans 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. Distressed-rated classes would only be upgraded should valuations significantly improve and liquidations occur at better recoveries than expected. 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-FL and A-FX are not likely due to their seniority and payment priority in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes A-2, A-S, X-A, B and C may occur with an outsized loss on the NorthRidge Fashion Center loan or should overall loss expectations increase significantly due to a continued decline in the performance of the FLOCs, if additional loans default and/or transfer to special servicing and/or loans susceptible to the pandemic not stabilize. Further Downgrades of classes D, E, F and G will occur as losses are realized or with greater certainty of losses. 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, Downgrades to the senior classes could occur and classes with Negative Outlooks could 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 WFRBS 2012-C7 has an ESG Relevance Score of 4 for Social Impacts which has a negative impact on the credit profile, and is relevant to the ratings in conjunction other factors. The transaction has exposure to sustained structural shift in secular preferences affecting consumer trends, occupancy trends, and more, which, in combination with other factors, impacts the rating. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WFRBS COMMERCIAL 2011-C5: Moody's Affirms B2 Rating on Cl. G Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on ten classes in WFRBS Commercial Mortgage Trust 2011-C5, Commercial Mortgage-Pass-Through Certificates, Series 2011-C5: Cl. A-S, Affirmed Aaa (sf); previously on Jul 16, 2019 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 16, 2019 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jul 16, 2019 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jul 16, 2019 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Jul 16, 2019 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Jul 16, 2019 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Jul 16, 2019 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Jul 16, 2019 Affirmed B2 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jul 16, 2019 Affirmed Aaa (sf) Cl. X-B*, Affirmed Ba3 (sf); previously on Jul 16, 2019 Affirmed Ba3 (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes were 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 2.8% of the current pooled balance, compared to 2.3% at Moody's last review. Moody's base expected loss plus realized losses is now 2.1% of the original pooled balance, compared to 1.8% at the prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. DEAL PERFORMANCE As of the February 15, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 31.1% to $751.4 million from $1.09 billion at securitization. The certificates are collateralized by 48 mortgage loans ranging in size from less than 1% to 23.4% of the pool, with the top ten loans (excluding defeasance) constituting 58% of the pool. Twenty-five loans, constituting 35% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of six, compared to ten at Moody's last review. As of the February 2021 remittance report, loans representing 96.9% were current or within their grace period on their debt service payments and 1.1% were beyond their grace period but less than 30 days delinquent. Nine loans, constituting 20.7% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $2.2 million (for an average loss severity of 23.9%). Two loans, constituting 2.0% of the pool, are currently in special servicing. Both loans transferred to special servicing since April 2020. The largest specially serviced loan is the Marriott Courtyard Monroeville ($7.9 million -- 1.0% of the pool), which is secured by a 98 room lodging property located in Monroeville, Pennsylvania, approximately 15 miles east of Pittsburgh. The surrounding area is a mix of single and multi-family homes & a few commercial properties. Year end 2019 financials report a DSCR of 0.86X with 68.4% occupancy compared to 0.81X and 71.8% in the prior year. The loan had been on the watchlist since August 2014 and has been in a cash trap since October 2018. The loan transferred to special servicing for imminent monetary default at the borrower's request as a result of the coronavirus outbreak. The special servicer is negotiating with the borrower to determine a workout strategy. The second largest specially serviced loan is the Poughkeepsie Galleria II ($7.1 million -- 0.9% of the pool), which is secured by an 82,000 square foot (SF) retail space is attached to the Poughkeepsie Galleria, the 1.2 million SF super-regional mall located in Poughkeepsie, New York. The collateral is 100% occupied by three tenants, Best Buy, Old Navy, and H&M. The loan transferred for imminent monetary default at the borrower's request as a result of the Covid-19 pandemic. Moody's estimates an aggregate $4.2 million loss for the specially serviced loans (28% expected loss on average). Moody's has also assumed a high default probability for two poorly performing loans, constituting 2.2% of the pool, and has estimated an aggregate loss of $3.2 million (a 20% expected loss based on a 50% probability default) from these troubled loans. The largest troubled loan is the 8301 Professional Place loan ($14.1 million -- 1.8% of the pool), which is secured by an approximately 137,000 SF, Class B office building located in Landover, Maryland. As of December 2019, the property was 69% occupied with a 0.62X DSCR. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2019 operating results for 100% of the pool, and full or partial year 2020 operating results for 80% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 90%, compared to 83% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.31X and 1.18X, respectively, compared to 1.48X and 1.26X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 38.7% of the pool balance. The largest loan is The Domain Loan ($175.8 million -- 23.4% of the pool), which is secured by an 879,000 SF component of a 1,225,000 SF open-air lifestyle center located in Austin, Texas. The property is located approximately eight miles north of the CBD in Austin's "Golden Triangle." The property was developed for $388 million ($441/sf) in 2007-2008 and also includes 828 residential units that are not part of the collateral. The subject is anchored by Dillard's (non-collateral), Macy's (non-collateral), Neiman Marcus, Dick's Sporting Goods and an 8-screen IPIC Theatres. The collateral component of the property was 91% leased as of September 2020, compared to 92% as of December 2019 and 2018. The borrower had requested relief as a result of the coronavirus outbreak, but subsequently withdrew the request. The loan has amortized approximately 15% since securitization. Moody's LTV and stressed DSCR are 71% and 1.29X, respectively, compared to 62% and 1.45X at the last review. The second largest loan is the Arbor Walk and Palms Crossing Loan ($69.2 million -- 9.2% of the pool), which is secured by two anchored retail properties located in Austin, Texas (Arbor Walk) and McAllen, Texas (Palms Crossing). Arbor walk is a 465,000 SF retail center anchored by Home Depot, Marshalls, and Jo-Ann Fabrics and is located eight miles north of the Austin CBD in close proximity to The Domain. The Arbor Walk property is subject to a ground lease with the University of Texas which expires in 2056. Palms Crossing is an 328,000 SF retail center anchored by a Hobby Lobby and Overstock. The property is located six miles north of the border with Mexico. As of September 2020, the properties were collectively 92% leased, compared to 89% leased in December 2018 and 98% leased in December 2017. Arbor Walk was approximately 98% leased as of September 2020, while Palms Crossing was approximately 82% leased following the permanent closure of anchor Beall's in 2020. The loan was initially on the watchlist due to the parent company of Babies R Us, Toys R Us filing for Chapter 11 bankruptcy protection in 2017. The borrower is currently in negotiations with a prospective tenant for the entire space with lease commencement in November 2020 but has been extended to April 2021. Moody's LTV and stressed DSCR are 108% and 0.95X, respectively, compared to 91% and 1.09X at the last review. The third largest loan is the Village of Rochester Hills Loan ($45.7 million -- 6.1% of the pool), which is secured by a Class A lifestyle center located in Rochester Hills, Michigan, 33 miles north of the Detroit CBD. The property encompasses approximately 375,500 SF anchored by Whole Foods, and to be shadow anchored by a Von Maur, which is backfilling a former Carsons. Other national tenants include Barnes & Noble, Pottery Barn, GAP and Banana Republic. The property was 96% leased as of September 2020, unchanged from December 2019 and improved from 88% as of December 2018. Property performance has declined since 2016, and the property has never achieved the underwritten levels. The loan remains current. Moody's LTV and stressed DSCR are 143% and 0.81X, respectively, compared to 122% and 0.95X at the last review. WFRBS COMMERCIAL 2013-C12: Fitch Affirms CCC Rating on F Certs -------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of WFRBS Commercial Mortgage Trust (WFRBS) commercial mortgage pass-through certificates series 2013-C12. DEBT RATING PRIOR ---- ------ ----- WFRBS 2013-C12 A-3 92937FAC5 LT AAAsf Affirmed AAAsf A-3FL 92937FAQ4 LT AAAsf Affirmed AAAsf A-3FX 92937FAS0 LT AAAsf Affirmed AAAsf A-4 92937FAD3 LT AAAsf Affirmed AAAsf A-S 92937FAF8 LT AAAsf Affirmed AAAsf A-SB 92937FAE1 LT AAAsf Affirmed AAAsf B 92937FAG6 LT AAsf Affirmed AAsf C 92937FAH4 LT A-sf Affirmed A-sf D 92937FAU5 LT BBB-sf Affirmed BBB-sf E 92937FAW1 LT BBsf Affirmed BBsf F 92937FAY7 LT CCCsf Affirmed CCCsf X-A 92937FAJ0 LT AAAsf Affirmed AAAsf X-B 92937FAL5 LT A-sf Affirmed A-sf KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool continues to exhibit stable performance, loss expectations have increased since Fitch's last rating action primarily due to an increased number of Fitch Loans of Concern (FLOCs), some of which have been affected by the slowdown in economic activity related to the coronavirus pandemic. Five loans (21.8% of the pool) are considered FLOCs, including three hotel loans (17.8%) and one regional mall loan (3.4%) in the top 15. Fitch's current ratings incorporated a base case loss of 3.5%. The Negative Outlooks on class E reflects losses could reach 5.7% when factoring in additional coronavirus-related stresses and a potential outsized loss on the Victoria Mall loan. The Grand Beach Hotel (14%) is the largest in the pool and has been designated a FLOC due to performance declines attributed to the pandemic and the loan's payment default status in 2020. The loan is secured by a 424-key full service, oceanfront hotel located in Miami Beach, FL. After transferring to special servicing in May 2020 for imminent monetary default, a forbearance agreement was executed in December 2020 and the loan has been cured. According to the servicer, the loan is being monitored to ensure compliance under the terms of the forbearance agreement. Reported September 2020 DSCR was 0.89x, and according to the TTM September 2020 STR report, occupancy, ADR and RevPar were 43%, $277.70 and $119.29, respectively, down from 67.5%, $340.19 and $229.56, respectively, at January 2020. Reported YE 2020 DSCR was 0.744, down from 2.52x at YE 2019. The loan matures in March 2023. The second largest FLOC is Victoria Mall (3.4%). The loan is secured by a 679,502-sf (448,935 sf collateral) enclosed regional mall located in Victoria, TX, approximately 90 miles southeast of San Antonio and 100 miles southwest of Houston. The mall is anchored by J.C. Penney (non-collateral), Dillard's (two non-collateral stores), Cinemark Theater (9.7% of the NRA), and a dark Sears (18.4% of NRA), whose lease runs through October 2030. As of September 2020, the reported debt service coverage ratio (DSCR) was 1.99x, and according to the September 2019 rent roll, total mall occupancy was 81%. Reported comparable in-line sales were $288 psf for TTM ending December 2019, compared to $302 psf for the TTM ending March 2018 and $367 psf at issuance. Due to concerns with the mall's declining in-line sales, vacant Sears and tertiary location, Fitch's base case analysis includes a 35% NOI HC to the annualized September 2020 NOI and a 20% cap rate. Increased Credit Enhancement and Defeasance: As of the January 2021 distribution date, the pool's aggregate principal balance has paid down by 34.7% to $801.4 million from $1.2 billion at issuance. Defeased collateral accounts for 14.5% of the pool. The pool has experienced $5.3 million (0.4% of original pool balance) in realized losses to date from the liquidation of a specially serviced asset in 2018 and interest shortfalls are currently impacting class G. Co-Op Collateral: There are 12 loans (2.3% of the pool) secured by co-op properties, all of which mature in the second and third quarter of 2021. These co-op loans generally have very low leverage statistics. At issuance, the co-op loans within the transaction had an average Fitch DSCR and loan-to-value of 3.74x and 37.8%, respectively. Alternative Loss Considerations: Fitch's analysis included an additional sensitivity scenario that factored the paydown from the defeased loans and the aforementioned co-op loans maturing in 2021. Additionally, a potential outsized loss of 75% was applied to the maturity balance of the Victoria Mall loan to reflect refinance concerns; this analysis supports the Negative Outlook on class E. Additional Stresses Applied due to Coronavirus Exposure: Loans secured by retail, hotel and multifamily properties represent 26.8% of the pool (23 loans), 19.7% (five loans) and 0.3% (one loan), respectively. The retail loans have a weighted average (WA) NOI DSCR of 2.16x and can withstand an average 53.7% decline to NOI before DSCR falls below 1.00x. The hotel loans have a WA NOI DSCR of 2.37x and can withstand an average 57.8% decline to NOI before DSCR falls below 1.00x. The multifamily loan has an NOI DSCR of 1.79x and can withstand a 44% decline to NOI before DSCR falls below 1.00x. Fitch's analysis applied additional coronavirus-related stresses on nine retail loans (7%) and three hotel loans (4.7%) to account for potential cash flow disruptions due to the coronavirus pandemic. These additional stresses contributed to the Negative Rating Outlook on class E. The transaction has an ESG Relevance Score of '4' for Exposure to Social Impacts due to a mall that is underperforming as a result of changing consumer preference to shopping, which has a negative impact on the credit profile and is highly relevant to the ratings. RATING SENSITIVITIES The Positive Outlook for class B reflects continued amortization, expected paydown and sufficient credit support from subordinate classes. The Negative Rating Outlook on class E reflects the additional sensitivity scenario applied to the Victoria Mall 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-3, A-3FL, A-3FX, A-4, A-SB, A-S, C and D reflect the increasing credit enhancement and the relatively stable performance of the majority of the pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- An upgrade to class B is likely as loans with near-term maturities pay off. Upgrades to classes C through E are currently not expected given the retail outlook, the uncertainty surrounding the duration of the pandemic and the expectation that the Victoria Mall and other loans susceptible to the pandemic will have difficulties refinancing at their respective 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 and E may occur with the payoff, modification and/or workout of the Victoria Mall 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-3, A 3FL, A-3FX, A-4, A-SB and A-S are not likely due to the position in the capital structure and high credit enhancement but may occur should interest shortfalls affect these classes. -- A downgrade to classes E may occur with an outsized loss on Victoria Mall loan and downgrades to classes B, C and D may occur 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. -- A downgrade to the distressed class F may occur as losses are realized. 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 The transaction has an ESG Relevance Score of '4' for Exposure to Social Impacts due to a mall that is underperforming as a result of changing consumer preference to shopping, which has a negative impact on the credit profile and is highly relevant to the ratings. 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 16 Tobacco Settlement-Backed Trust ------------------------------------------------------------------- S&P Global Ratings reviewed the ratings on 215 tranches of tobacco settlement bonds for 16 transactions. As a result of this review, it downgraded its ratings on four tranches, upgraded ratings on 16 tranches, affirmed ratings on 195 tranches, and removed S&P's negative outlook on three tranches. These note issuances are ABS transactions backed by state-pledged tobacco settlement revenues resulting from the master settlement agreement payments, the liquidity reserve accounts, and the interest income. S&P said, "On April 22, 2020, the National Association of Attorneys General (NAAG) released its annual domestic cigarette volume data, reporting a decline of 4.98% for the 2019 sales years, which was higher than our expected range of decline of 4.00%-4.50%. We did not change our consumption stress sensitivity shown in table 1 because we apply other sensitivities to the bonds in addition to this base volume decline, which is applied over a long time horizon." In spring 2020, there was evidence of stockpiling at the onset of the COVID-19 pandemic, followed by higher-than-usual consumption, as people were working from home and were permitted to smoke more frequently. S&P said, "As the year progressed, we learned more about the coronavirus and its respiratory implications. While we will not know the NAAG's rate of decline for the sales year 2020 until April 2021, we anticipate the number to be lower than our stress sensitivity. As of Dec. 31, 2020, Altria reported that volumes for 2020 were unchanged in comparison to the prior year." For the sales years 2021 and beyond, S&P will continue to monitor any impact (or anticipated impact) resulting from the recessionary environment, new political leadership, potential tax increases to make up for COVID-19-related municipal budget shortfalls, and the continuing introduction of new products. Table 1 Shipment Volume Stress Scenario Constant decline starting year 1 B B+ BB- BB BB+ BBB- BBB BBB+ A- (4.25) (4.42) (4.58) (4.75) (4.92) (5.08) (5.25) (5.42) (5.58) A (5.75) RATING RESULTS Table 2 Rating Results Affirmations Upgrades Downgrades 195 16 4 During this review, S&P applied a cash flow analysis including a cigarette volume decline test, participating manufacturer bankruptcy test, and non-participating manufacturer adjustment, as well as additional sensitivity stress on market share shifts and spikes in volume decline. S&P's cash flow results reflect the transactions' ability to pay timely interest and scheduled principal at each bond's stated maturity date with their underlying credit support and payment priority. The upgrades reflect the following: many of the bonds have paid down further than S&P's stress assumptions implied from the 2019 review, and the shorter remaining time to maturity has moved some of the bonds into different maturity buckets for notching. For example, a bond that previously had 20 years until maturity now has 19 years, and, therefore, only received a one-notch adjustment instead of the prior two-notch adjustment. S&P said, "The downgrades reflect the fact that the actual volume decline in the 2019 sales year was higher than our volume decline stress for the lower-rated bonds, and, therefore, these bonds received less funds than anticipated in 2020 and could no longer pass the stress at the same rating level. For example, our BB+ scenario assumed a 4.91% decline, while the actual 2019 decline was 4.98%, so any tranches previously rated 'BB+' or below had a lower anticipated volume decline stress than was actualized. "Consistent with our prior review, current interest bonds that previously could have achieved a rating of 'B- (sf)' have to also pass a steady state test, defined as 0% consumption decline with 'B- (sf)' recovery assumptions. If it cannot, a 'CCC+ (sf)' rating is assigned. To differentiate the capital appreciation bonds (CABs) that do not pass any rating tests defined in the criteria, the CABs were downgraded to 'CCC- (sf)'. Previously the CABs were rated 'CCC+ (sf)' and 'CCC (sf)' depending on the structure of the deal." In addition to the tenor notch adjustments, steady state runs, and quantitative stresses outlined above, there were several transactions where the model-implied rating differed from the assigned rating for the reasons below: Children's Trust series 2002: We removed the negative outlooks on three tranches from the Children's Trust transaction (backed by 100% of the settlement revenue received by the Commonwealth of Puerto Rico) and affirmed our 'BB (sf)' ratings. The transaction's three tranches maturing in 2033, 2039, and 2043 were downgraded to 'BB (sf)' and placed on CreditWatch with negative implications on April 25, 2016. Then, on Feb. 16, 2018, all three tranches were removed from CreditWatch and the ratings were affirmed with a negative outlook to reflect the continued uncertainty presented by the Commonwealth's state of financial emergency. At this time, there is still no clarity on whether or not the securitization bonds could join the general obligation bonds under the territory's moratorium. Therefore, despite the fact that the bonds are paying timely interest and principal and are passing our cash flow runs at higher rating levels, we are affirming the 'BB' ratings to reflect the continued risk of inclusion in the debt moratorium. According to S&P Global Ratings, an outlook is generally assigned as an ongoing component to long-term issuer credit ratings on corporate and government entities, so we removed the outlook on these bonds. Tobacco Settlement Authority series 2005 (Iowa): S&P affirmed the class A notes maturing in 2023 at 'BBB'. Although the tranche did not pass the sensitivity run at its current rating level, assuming a 20% steep decline in year one, we view the probability of a decline in year one as remote given the primary manufacturers' year-end 2020 volume results. Tobacco Securitization Authority of Southern California series 2019: S&P affirmed the class B-1 notes maturing in 2048 at 'BBB-', although S&P's rating runs exhibited de minimus interest shortfalls in payment dates more than 20 years from now. Due to the size and timing of the failure, S&P was comfortable affirming the rating at this time, but we will continue to track the performance of this deal. TSASC Inc.: S&P affirmed the class B notes maturing in 2021, 2022, and 2045. Even though they passed at higher rating levels, S&P continues to notch the sub-serial bonds for subordination. 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 uses these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, S&P will update our assumptions and estimates accordingly. S&P will continue to monitor the tobacco sector and the tobacco settlement bonds and assess any potential impact on its outstanding ratings. A list of Affected Ratings can be viewed at: https://bit.ly/3qUktrj ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. 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 ***