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         T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, March 21, 2021, Vol. 25, No. 79

                            Headlines

ABPCI DIRECT II: S&P Assigns Prelim BB- (sf) on Class E Notes
AFFIRM ASSET 2021-A: DBRS Finalizes B(sf) Rating on Class E Notes
AIMCO CLO 14: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
AMERICREDIT AUTOMOBILE 2021-1: Fitch Gives BB(EXP) on Class E Notes
APIDOS CLO XXIV: S&P Assigns B- (sf) Rating on Class E-R Notes

ARBOR REALTY 2021-FL1: DBRS Gives Prov. B(low) Rating on G Notes
BANK 2019-BNK16: DBRS Confirms B(sf) Rating on 2 Classes of Certs
BANK 2020-BNK26: DBRS Confirms B(high) Rating on Class G Certs
BANK 2021-BNK32: Fitch Affirms B- Rating on 2 Tranches
BATTALION CLO 17: Moody's Gives B1 Rating on Class F Notes

BATTALION CLO X: S&P Assigns BB- (sf) Rating on Class D-R2 Notes
BBCMS MORTGAGE 2020-C6: DBRS Confirms BB(sf) Rating on G-RR Certs
BBCMS TRUST 2021-C9: Fitch Gives Final B- Rating on Cl. J-RR Certs
BENCHMARK 2019-B9: DBRS Confirms B(sf) Rating on Class X-H Certs
BENCHMARK 2021-B23: DBRS Finalizes B(low) Rating on 360D Certs

BRAVO RESIDENTIAL 2021-HE1: Fitch Assigns B Rating on B-2 Debt
BUSINESS JET 2021-1: S&P Assigns BB (sf) Rating on Class C Notes
BX COMMERCIAL 2021-IRON: DBRS Finalizes B(low) Rating on 2 Classes
BX TRUST 2021-LBA: DBRS Finalizes B(low) on 2 Classes of Certs
CARLYLE US 2021-1: S&P Assigns BB- (sf) Rating on Class D Notes

CARLYLE US 2021-1: S&P Assigns Prelim BB-(sf) on Class D Notes
CARVAL CLO II: Moody's Assigns B3 Rating on $7MM Class F-R Notes
CD 2017-CD4: Fitch Lowers Rating on 2 Tranches to 'CCC'
CERBERUS LOAN XVIII: Moody's Raises Class E Notes From Ba1
CHASE AUTO 2021-1: Fitch Assigns B(EXP) Rating on Class F Notes

CIFC FUNDING 2015-IV: S&P Assigns Prelim BB- Rating on D-R2 Notes
CITIGROUP COMMERCIAL 2014-GC19: DBRS Confirms BB Rating on F Certs
CITIGROUP COMMERCIAL 2014-GC25: DBRS Confirms B Rating on F Certs
CITIGROUP COMMERCIAL 2016-P3: Fitch Cuts Class F Certs to 'CCC'
CITIGROUP COMMERCIAL 2020-555: DBRS Confirms B Rating on G Certs

COMM 2014-CCRE18: DBRS Confirms CCC Rating on Class F Certs
COMM 2014-UBS2: DBRS Lowers Class F Certs Rating to CCC
ELEVATION 2021-12: S&P Assigns Prelim BB- (sf) Rating on E Notes
ELMWOOD CLO VIII: S&P Assigns B- (sf) Rating on Class F-2 Notes
EXANTAS CAPITAL 2020-RSO8: DBRS Confirms B (low) Rating on G Notes

FANNIE MAE 2002-W6: Moody's Assigns Ca Rating to Class M Notes
FINANCE OF AMERICA 2021-HB1: DBRS Finalizes BB(low) on M4 Notes
FREDDIE MAC 2021-DNA2: DBRS Gives Prov. BB Rating on 3 Certificates
GCAT 2021-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
GLS AUTO 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes

GS MORTGAGE 2014-GC20: Fitch Lowers Rating on 2 Tranches to 'C'
GS MORTGAGE 2014-GC22: DBRS Confirms B Rating on Class F Certs
GS MORTGAGE 2014-GC26: DBRS Lowers Class F Certs Rating to CCC
GS MORTGAGE 2021-PJ2: DBRS Finalizes B Rating on Class B-5 Certs
GS MORTGAGE 2021-PJ3: Fitch to Give 'B(EXP)' Rating on B5 Debt

GSF 2021-1: DBRS Gives BB (low) Rating on Class E Notes
HPS LOAN 14-2019: S&P Assigns B- (sf) Rating on Class F-R Notes
ICG US 2021-1: S&P Assigns BB- (sf) Rating on $12MM Class E Notes
INSTITUTIONAL MORTGAGE 2014-5: DBRS Confirms BB(low) on G Certs
JP MORGAN 2010-C2: Fitch Lowers Rating on 2 Tranches to Csf

JP MORGAN 2021-1440: DBRS Gives Prov. B(low) Rating on F Trust
JPMCC COMMERCIAL 2014-C20: DBRS Lowers Rating of 2 Certs to CCC
JPMDB COMMERCIAL 2016-C2: Fitch Cuts Rating on F Certs to 'CC'
MADISON PARK XXXII: S&P Assigns BB- (sf) Rating on Class E-R Notes
MAGNETITE XXI: S&P Assigns Prelim B-(sf) Rating on Class F-R Notes

MARATHON CLO 2021-16: S&P Assigns Prelim BB-(sf) Rating on D Notes
MARINER FINANCE 2021-A: S&P Assigns BB- (sf) on Class E Notes
MORGAN STANLEY 2006-TOP23: S&P Lowers Class E Certs Rating to 'CCC'
MORGAN STANLEY 2014-C14: DBRS Confirms BB Rating on Class F Certs
MORGAN STANLEY 2016-C31: Fitch Cuts Rating on 2 Tranches to 'CC'

MORGAN STANLEY 2017-C33: Fitch Affirms B- Rating on Class F Certs
NEUBERGER BERMAN 40: S&P Assigns BB- (sf) Rating on Class E Notes
OBX 2021-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
OFSI BSL X: S&P Assigns BB- (sf) Rating on $11.6MM Class E Notes
OHA CREDIT 8: S&P Assigns BB- (sf) Rating on Class E Notes

OPORTUN FUNDING 2021-A: DBRS Gives Prov. BB Rating on Class D Notes
OZLM FUNDING: S&P Affirms CCC+ (sf) Rating on Class E-R2 Notes
PREFERRED TERM: Moody's Hikes Rating on $90M Mezzanine Notes to Ba1
PROVIDENT FUNDING 2021-1: Moody's Gives '(P)B2' Rating to 2 Classes
RCKT MORTGAGE 2021-1: Fitch to Rate B-5 Certs 'B(EXP)'

RCKT MORTGAGE 2021-1: Moody's Gives (P)B2 Rating on Cl. B-5 Certs
RECETTE CLO: S&P Assigns Prelim B- (sf) Rating on Class F-RR Notes
REGATTA XVIII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
REGIONAL MANAGEMENT 2021-1: DBRS Finalizes BB Rating on D Notes
RISERVA CLO: S&P Assigns Prelim B- (sf) Rating on Class F-RR Notes

RR 14: S&P Assigns Prelim BB-(sf) Rating on $24.30MM Class D Notes
RR 6: S&P Assigns Prelim BB- (sf) Rating on Class D-R Notes
RR 6: S&P Withdraws 'B+ (sf)' Rating on Class D Notes
SANTANDER PRIME 2018-A: DBRS Hikes Class F Notes Rating to BB(sf)
SBALR COMMERCIAL 2020-RR1: DBRS Confirms B (low) Rating on F Certs

SCF EQUIPMENT 2019-1: Moody's Hikes Rating on Class F Notes to B1
SEQUOIA MORTGAGE 2021-2: Fitch Gives BB-(EXP) Rating on B4 Certs
SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs
SHELTER GROWTH 2019-FL2: DBRS Confirms B (low) Rating on H Notes
STAR 2021-SFR1: DBRS Gives Prov. B (low) Rating on Class G Certs

SYMPHONY CLO XXVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
TCW CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
TICP CLO II-2: Moody's Raises $31.3M Class C Notes From Ba1
TOWD POINT 2021-HE1: DBRS Finalizes B Rating on 7 Classes of Notes
TRIANGLE RE 2021-1: DBRS Gives Prov. B(low) Rating on M-2 Notes

UNITED AUTO 2021-1: DBRS Gives Prov. B(sf) Rating on Class F Notes
UNITED AUTO 2021-1: S&P Assigns B (sf) Rating on Class F Notes
VERUS 2021-R2: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes
WACHOVIA BANK 2007-C33: Moody's Cuts Rating on Cl. A-J Debt to Caa3
WELLS FARGO 2014-LC18: DBRS Confirms B Rating on Class X-F Certs

WELLS FARGO 2015-NXS3: DBRS Confirms B(sf) Rating on Class F Certs
WELLS FARGO 2016-BNK1: Fitch Cuts Rating on 2 Tranches to 'CC'
WELLS FARGO 2021-1: Fitch to Rate B-5 Debt 'B+(EXP)'
WFRBS COMMERCIAL 2014-C21: DBRS Cuts Class F Certs Rating to CCC
WFRBS COMMERCIAL 2014-C25: DBRS Confirms B Rating on Class F Certs

WOODMONT 2017-2: S&P Assigns BB (sf) Rating on Class E-R Notes
[*] Fitch Upgrades 1,675 Legacy U.S. RMBS Classes
[*] Moody's Takes Actions on 2 RMBS Classes Issued 2003-2004

                            *********

ABPCI DIRECT II: S&P Assigns Prelim BB- (sf) on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1, A-2, B, and C replacement notes from ABPCI Direct Lending Fund
CLO II Ltd./ABPCI Direct Lending Fund CLO II LLC, a CLO originally
issued in July 2017 that is managed by AB Private Credit Investors
LLC. The replacement notes will be issued via a proposed
supplemental indenture.

The preliminary ratings reflect S&P's view that the credit support
available is commensurate with the associated rating levels.

The preliminary ratings are based on information as of March 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the March 18, 2021, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."

S&P said, "Our review of this transaction included a cash flow
analysis, 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

  ABPCI Direct Lending Fund CLO II Ltd./ABPCI Direct Lending Fund
CLO II LLC

  Replacement class A-1, $252.00 million: AAA (sf)
  Replacement class A-2, $22.50 million: AAA (sf)
  Replacement class B, $31.50 million: AA (sf)
  Replacement class C (deferrable), $36.00 million: A (sf)
  Replacement class D (deferrable), $22.50 million: BBB- (sf)
  Replacement class E (deferrable), $13.50 million: BB- (sf)
  Subordinated notes, $66.70 million: Not rated



AFFIRM ASSET 2021-A: DBRS Finalizes B(sf) Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
issued by Affirm Asset Securitization Trust 2021-A (Affirm
2021-A):

-- $407,200,000 Class A Notes at AA (sf)
-- $30,270,000 Class B Notes at A (sf)
-- $21,010,000 Class C Notes at BBB (sf)
-- $22,510,000 Class D Notes at BB (sf)
-- $19,010,000 Class E Notes at B (sf)

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

(1) The transaction's assumptions consider DBRS Morningstar's set
of macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, which have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis.

(2) The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
factors in increasing success in containment during the first half
of 2021, enabling the continued relaxation of restrictions.

-- DBRS Morningstar's projected losses include an additional
stress due to the potential impact of the coronavirus. The DBRS
Morningstar cumulative net loss (CNL) assumption is 5.56% based on
the worst-case loss pool constructed giving consideration to the
concentration limits present in the structure.

(3) The transaction's form and sufficiency of available credit
enhancement.

-- Subordination, overcollateralization, amounts held in the
Reserve Account, the Yield Supplement Overcollateralization Amount,
and excess spread create credit enhancement levels that are
commensurate with the proposed ratings.

-- Transaction cash flows are sufficient to repay investors under
all AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) stress scenarios
in accordance with the terms of the Affirm 2021-A transaction
documents.

(4) Inclusion of structural elements featured in the transaction
such as the following:

-- Eligibility criteria for receivables that are permissible in
the transaction.

-- Concentration limits designed to maintain a consistent profile
of the receivables in the pool.

-- Performance-based Amortization Events that, when breached, will
end the revolving period and begin amortization.
(5) The experience, sourcing, and servicing capabilities of Affirm,
Inc. (Affirm).

(6) The experience, underwriting, and origination capabilities of
Cross River Bank (CRB) and Celtic Bank.

(7) The ability of Nelnet Servicing to perform duties as a Backup
Servicer.

(8) The annual percentage rate charged on the loans and CRB and
Celtic Bank's status as the true lender.

-- All loans in the initial pool included in Affirm 2021-A are
originated by originating banks, CRB and Celtic Bank, New Jersey
and Utah, respectively, state-chartered Federal Deposit Insurance
Corporation-insured banks.

-- Loans originated by Affirm Loan Services LLC (ALS) utilize
state licenses and registrations and interest rates are within each
state's respective usury cap.

-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.

-- Loans originated by Celtic Bank are all within the Utah state
usury limit of 36.00%.

-- Loans may be in excess of individual state usury laws; however,
CRB and Celtic Bank as the true lenders are able to export rates
that preempt state usury rate caps.

-- Loans originated to borrowers in states with active litigation
(Second Circuit (New York, Connecticut, Vermont) and Colorado) are
either excluded from the pool or limited to each state's respective
usury cap.

-- Loans originated to borrowers in Iowa will be eligible to be
included in the Receivables to be transferred to the Trust. These
loans will be originated under the ALS entity using Affirm's state
license in Iowa.

-- Loans originated to borrowers in West Virginia will be eligible
to be included in the Receivables to be transferred to the Trust.
Affirm has the required licenses and registrations that will enable
it to operate the bank partner platform in West Virginia.

-- Under the loan sale agreement, Affirm is obligated to
repurchase any loan if there is a breach of representation and
warranty that materially and adversely affects the interests of the
purchaser.

(9) Affirm 2021-A provides for Class E Notes with an assigned
rating of B (sf). While the DBRS Morningstar "Rating U.S.
Structured Finance Transactions" methodology does not set forth a
range of multiples for this asset class for the B (sf) level, the
analytical approach for this rating level is consistent with that
contemplated by the methodology. The typical range of multiples
applied in the DBRS Morningstar stress analysis for a B (sf) rating
is 1.00 times (x) to 1.25x.

(10) The legal structure and legal opinions that address the true
sale of the unsecured consumer loans, the nonconsolidation of the
trust, and that the trust has a valid perfected security interest
in the assets and consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance."

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


AIMCO CLO 14: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AIMCO CLO 14
Ltd./AIMCO CLO 14 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 16,
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.

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

  AIMCO CLO 14 Ltd./AIMCO CLO 14 LLC

  Class X, $4.00 million: AAA (sf)
  Class A, $256.00 million: AAA (sf)
  Class B, $48.00 million: AA (sf)
  Class C (deferrable), $26.00 million: A (sf)
  Class D (deferrable), $22.00 million: BBB- (sf)
  Class E (deferrable), $14.60 million: BB- (sf)
  Subordinated notes, $36.25 million: Not rated


AMERICREDIT AUTOMOBILE 2021-1: Fitch Gives BB(EXP) on Class E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the notes
issued by AmeriCredit Automobile Receivables Trust 2021-1 (AMCAR
2021-1).

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.

DEBT            RATING              PRIOR
----            ------              -----
AmeriCredit Automobile Receivables Trust 2021-1

A-1     ST  F1+sf  New Rating    F1+(EXP)sf
A-2     LT  AAAsf  New Rating    AAA(EXP)sf
A-3     LT  AAAsf  New Rating    AAA(EXP)sf
B       LT  AAsf   New Rating    AA(EXP)sf
C       LT  Asf    New Rating    A(EXP)sf
D       LT  BBBsf  New Rating    BBB(EXP)sf
E       LT  BBsf   New Rating    BB(EXP)sf

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 43.0%, 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
14.3%, 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 9.33% 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

Factor 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.


APIDOS CLO XXIV: S&P Assigns B- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1A-RR,
A-1A-F, A-2F-RR, A-2L-RR, B-RR, and C-RR replacement notes from
Apidos CLO XXIV, a CLO originally issued in 2016 and reset in 2018
that is managed by CVC Credit Partners. S&P withdrew its ratings on
the original class A-1A-R, A-2F-R, A-2L-R, B-R, and C-R notes
following payment in full on the March 11, 2021, refinancing date.
S&P did not rate the class A-1B-R notes. At the same time, S&P
affirmed its ratings on the class D-R and E-R notes.

On the March 11, 2021, refinancing date, the proceeds from the
class A-1A-RR, A-1A-F, A-1B-RR, A-2F-RR, A-2L-RR, B-RR, and C-RR
replacement note issuances were used to redeem the original class
A-1A-R, A-1B-R, A-2F-R, A-2L-R, B-R, and C-R notes as outlined in
the transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and it is assigning ratings to the replacement notes.

The replacement notes are being issued via a supplemental
indenture, which outlines the terms of the replacement notes. The
original class A-1A-R notes are being refinanced into the class
A-1A-RR and A-1A-F notes, which will pay pro rata.

S&P said, "On a standalone basis, the results of the cash flow
analysis indicated a lower rating on the class E-R notes (which are
not refinancing) than the rating action reflects. However, we
affirmed the rating at 'B- (sf)' on these notes after considering
the margin of failure, the relatively stable overcollateralization
ratio, and improved credit quality since the transaction's last
rating action. Additionally, the rating committee believed that the
payment of principal or interest when due is not dependent upon
favorable business, financial, or economic conditions; thus, this
class does not fit our definition of 'CCC' risk in accordance with
our guidance criteria.

"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches. The results of
the cash flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.

"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.

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

  Ratings Assigned

  Apidos XXIV CLO

  Replacement class A-1A-RR, $222.00 million: AAA (sf)
  Replacement class A-1A-F, $20.00 million: AAA (sf)
  Replacement class A-1B-RR, $18.00 million: NR
  Replacement class A-2F-RR, $12.00 million: AA (sf)
  Replacement class A-2L-RR, $30.00 million: AA (sf)
  Replacement class B-RR, $26.00 million: A (sf)
  Replacement class C-RR, $24.00 million: BBB- (sf)

  Ratings Affirmed

  Apidos XXIV CLO

  Class D-R: BB- (sf)
  Class E-R: B- (sf)

  Ratings Withdrawn

  Apidos XXIV CLO

  Class A-1A-R to NR from 'AAA (sf)'
  Class A-2F-R to NR from 'AA (sf)'
  Class A-2L-R to NR from 'AA (sf)'
  Class B-R to NR from 'A (sf)'
  Class C-R to NR from 'BBB- (sf)'

  NR--Not rated.



ARBOR REALTY 2021-FL1: DBRS Gives Prov. B(low) Rating on G Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
commercial mortgage-backed notes to be issued by Arbor Realty
Commercial Real Estate Notes 2021-FL1, Ltd.:

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

All trends are Stable.

The initial collateral consists of 37 floating-rate mortgage loans
and senior participations secured by 64 mostly transitional
properties, with an initial cut-off date balance totaling $635.2
million, which includes approximately $12.4 million of
non-interest-accruing future funding that the Issuer will acquire
at closing. Each collateral interest is secured by a mortgage on a
multifamily property. The transaction is a managed vehicle, which
includes an 180-day ramp-up acquisition period and 30-month
reinvestment period. The ramp-up acquisition period will be used to
increase the trust balance by $149.8 million to a total target
collateral principal balance of $785.0 million. DBRS Morningstar
assessed the $149.8 million ramp component using a conservative
pool construct, and, as a result, the ramp loans have expected
losses above the pool weighted-average (WA) loan expected loss.
During the reinvestment period, so long as the note protection
tests are satisfied and no event of default has occurred and is
continuing, the collateral manager may direct the reinvestment of
principal proceeds to acquire reinvestment collateral interest,
including funded companion participations, meeting the eligibility
criteria. The eligibility criteria, among other things, has minimum
debt service coverage ratio (DSCR), loan-to-value (LTV) ratio, and
loan size limitations. In addition, only mortgages secured by
multifamily properties are allowed. Lastly, the eligibility
criteria stipulates a rating agency confirmation (RAC) on ramp
loans, reinvestment loans, and pari passu participation
acquisitions above $1.0 million if a portion of the underlying loan
is already included in the pool, thereby allowing DBRS Morningstar
the ability to review the new collateral interest and any potential
impacts to the overall ratings.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow, 16 loans, representing 47.1% of the initial pool balance, had
a DBRS Morningstar As-Is DSCR of 1.00x or below, a threshold
indicative of default risk. Additionally, the DBRS Morningstar
Stabilized DSCR of four loans, representing 14.2% of the initial
pool balance, are below 1.00x, which is indicative of elevated
refinance risk. The properties are often transitioning with
potential upside in cash flow; however, DBRS Morningstar does not
give full credit to the stabilization if there are no holdbacks or
if other loan structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets
will stabilize to above-market levels.

The transaction will have a sequential-pay structure.

The sponsor for the transaction, Arbor Realty SR, Inc., is a
majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; NYSE:
ABR) and an experienced commercial real estate (CRE) collateralized
loan obligation (CLO) issuer and collateral manager. The ARCREN
2021-FL1 transaction will be Arbor's 14th post-crisis CRE CLO
securitization, and the firm has five outstanding transactions
representing approximately $2 billion in investment-grade proceeds.
Additionally, Arbor will purchase and retain 100.0% of the Class F
Notes, the Class G Notes, and the Preferred Shares, which total
$129,525,000, or 16.5% of the transaction total.

Throughout the term of the transaction, only multifamily loans are
permitted. Multifamily properties benefit from staggered lease
rollover and generally low expense ratios compared with other
property types. While revenue is quick to decline in a downturn
because of the short-term nature of the leases, it is also quick to
respond when the market improves. The subject pool includes
garden-style communities and mid-rise/high-rise buildings, and the
eligibility criteria does not permit the collateral manager to
purchase other types of commercial mortgage assets.

Twenty-six loans, representing 71.1% of the pool balance, represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, resulting
in a higher sponsor cost basis in the underlying collateral and
aligns the financial interests between the sponsor and lender.

The initial collateral pool is diversified across 11 states and has
a loan Herfindahl score of approximately 24.5. The loan Herfindahl
score is similar to recent ACREN CRE CLO transactions. Three of the
loans, representing 14.2% of the initial pool balance, are
portfolio loans that benefit from multiple property pooling.
Mortgages backed by cross-collateralized cash flow streams from
multiple properties typically exhibit lower cash flow volatility.

The business plan score for loans DBRS Morningstar analyzed was
between 1.38 and 2.28, with an average of 1.86. Higher DBRS
Morningstar business plan scores indicate more risk in the
sponsor's business plan. DBRS Morningstar considers the anticipated
lift at the property from current performance, planned property
improvements, sponsor experience, projected time horizon, and
overall complexity of the business plan. Compared with similar
transactions, the subject has a low average business plan score,
which is indicative of lower risk.

The loan collateral was generally found to be in good physical
condition as evidenced by the two loans (9.1% of the trust balance)
secured by properties that DBRS Morningstar deemed to be Excellent
in quality. An additional four loans, representing 22.8% of the
trust balance, are secured by properties with Above Average
quality. Furthermore, only two loans are backed by properties that
DBRS Morningstar considered to be Average - quality, representing
just 4.7% of the trust balance, and no collateral was classified as
Below Average or Poor quality.

The ongoing Coronavirus Disease (COVID-19) pandemic continues to
pose challenges and risks to the commercial real estate sector, and
while DBRS Morningstar expects multifamily to fare better than most
other property types, the long-term effects on the general economy
and consumer sentiment are still unclear. Arbor provided
coronavirus and business plan updates for all loans in the pool,
confirming that all debt service payments have been received in
full through January 2021. Furthermore, no loans are in forbearance
or other debt service relief, and only two modifications were
requested, Falls of Braeburn (#21; 1.6% of the pool balance) and
The Fountains Apartments (#31; 0.9% of the pool balance). However,
these modifications were in response to the loans' approaching
maturity. Eighteen loans, totaling 66.0% of the trust balance,
represent loans originated after March 2020, or the beginning of
the pandemic. Loans originated after the pandemic include timely
property performance reports and recently completed third-party
reports, including appraisals. Given the uncertainty and elevated
execution risk stemming from the coronavirus pandemic, 26 loans,
totaling 64.6% of the trust balance, have substantial upfront
interest reserves, some of which are expected to cover six months
or more of interest shortfalls. For example, the Windham Chase
Apartments loan (#11; 3.5% of the trust balance) has a $1.2 million
interest reserve that equals 12 months of debt service. Similarly,
The Eddy at Riverview Landing loan (#7; 5.4% of the trust balance)
has an interest reserve of nearly $2 million, equivalent to nine
months of debt service payments.

The transaction is managed and includes both a ramp-up and
reinvestment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. The deal is 100.0% multifamily, and no
multifamily loans are not allowed through the ramp-up or
reinvestment period. Furthermore, future loans cannot be secured by
student housing or healthcare type facilities such as assisted
living and memory care. The risk of negative credit migration is
also partially offset by eligibility criteria that outline DSCR,
LTV, property type, and loan size limitations for ramp and
reinvestment assets. DBRS Morningstar has RAC on new ramp loans,
companion participations above $1.0 million, and reinvestment
loans. DBRS Morningstar reviews these loans before they come into
the pool to assess any potential ratings impact. DBRS Morningstar
accounted for the uncertainty introduced by the 180-day ramp-up
period by running a ramp scenario that simulates the potential
negative credit migration in the transaction based on the
eligibility criteria.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the loan structure to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes LGD based on its As-Is LTV, assuming the loan is fully
funded. Twenty-nine loans in the subject pool came through a prior
transaction monitored by DBRS Morningstar. For those loans, DBRS
Morningstar was able leverage its prior analysis of the loans.

Six loans, representing 26.2% of the trust balance, have DBRS
Morningstar Stabilized LTVs equal to or greater than 80.0%, which
significantly increases refinance risk at maturity. Four of these
loans are in the top 10 largest loans in the pool, including
Commuter Portfolio (#3), The Kathryn at Grand Park (#4), The
Maxwell at Grand Park (#5), and Peppertree Apartments (#10). All
six loans were originated in 2020 and 2021 and have sufficient time
to reach stabilization. Additionally, half of the loans (72.1% of
the allocated loan balance) are acquisition financing, with the
sponsor contributing a considerable amount of cash equity at
closing. These six loans have a WA expected loss of 8.3% (ranging
from 5.8% to 10.4%), which is nearly 125 basis points higher than
the WA expected loss of 7.1% for the deal. The largest of these six
loans, Commuter Portfolio (6.3% of the trust balance), is secured
by a granular portfolio of 24 multifamily properties in New Jersey.
The loan benefits from favorable diversification, with a WA Market
Rank of 5 and Metropolitan Statistical Area Group 3, resulting in a
favorable expected loss below the deal average

All loans in the pool have floating interest rates and are interest
only during the initial loan term, as well as during all extension
terms, creating interest rate risk. For the floating-rate loans,
DBRS Morningstar used the one-month Libor index, which is based on
the lower of a DBRS Morningstar stressed rate that corresponded to
the remaining fully extended term of the loans or the strike price
of the interest rate cap with the respective contractual loan
spread added to determine a stressed interest rate over the loan
term. Additionally, all loans have extension options, and to
qualify for these options, the loans must meet minimum DSCR and LTV
requirements. All loans are short term and, even with extension
options, have a fully extended loan term of five years maximum. The
borrowers for five loans, totaling 17.7% of the trust balance, have
purchased Libor rate caps that range between 1.25% and 3.50% to
protect against rising interest rates over the term of the loan.

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


BANK 2019-BNK16: DBRS Confirms B(sf) Rating on 2 Classes of Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2019-BNK16
issued by BANK 2019-BNK16:

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

DBRS Morningstar removed classes D, X-D, E, X-F, F, X-G, G, X-H,
and H from Under Review with Negative Implications, where it placed
them on August 6, 2020. All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the January 2021 remittance,
there has been a negligible collateral reduction of 0.7%, with all
69 loans remaining in the pool. The pool is fairly concentrated by
property type as 13 loans, representing 31.1% of the pool, are
secured by office properties and 17 loans (23.1% of the pool) are
secured by retail properties, with these two property types
collectively representing 54.2% of the pool.

As of the January 2021 remittance, there is one loan in special
servicing that is the second-largest loan in the pool, Southeast
Hotel Portfolio (Prospectus ID#2, 7.0% of the pool balance), which
is secured by a portfolio of four limited-service hotels and one
full-service hotel totaling 759 keys. The subject portfolio is
spread across three cities including Atlanta; Orlando; and
Gastonia, North Carolina. The loan was transferred to special
servicing in March 2020 for imminent default, and the servicer
granted a forbearance, which commenced in April 2020 for 90 days.
Following the forbearance period, the borrower was required to pay
deferred amounts over a period not to exceed 12 months. As of the
January 2021 remittance, the loan was current with approximately
$3.9 million in outstanding servicer advances. Given the loan is
current, it appears the borrower complies with the terms of the
agreement. The fact that the loan remains with the special servicer
is noteworthy, however, and the loan will be monitored closely for
developments.

According to the January 2021 remittance, 12 loans are on the
servicer's watchlist, representing 6.6% of the current pool
balance. The service is monitoring these loans for various reasons,
including a low debt service coverage ratio or occupancy figure,
tenant rollover risk, and/or pandemic-related forbearance
requests.

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


BANK 2020-BNK26: DBRS Confirms B(high) Rating on Class G Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2020-BNK26 issued by
BANK 2020-BNK26 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the February 2021 remittance,
there has been a negligible collateral reduction, with all 75
original loans remaining in the pool. The pool is fairly
concentrated by property type with 37.4% of the pool secured by
office properties and 20.9% of the pool secured by retail
properties. Also, 4.3% of the current pool balance is secured by
co-operative properties, which benefit from very low leverage
profiles.

According to the February 2021 remittance, there is one loan in
special servicing, Forsyth Multifamily Portfolio (Prospectus ID#20;
1.6% of the pool), which transferred to special servicing in
December 2020. That loan is secured by a portfolio of three
mixed-use buildings (multifamily with ground floor retail) in New
York City that have been negatively affected by the Coronavirus
Disease (COVID-19) pandemic. The servicer reported that a relief
request submitted by the borrower is under review and, as of the
February 2021 remittance, the loan was reported 90+ days delinquent
as the loan was most recently paid in October 2020. For additional
information on this loan, please see the DBRS Morningstar loan
commentary on the DBRS Viewpoint platform.

There are 14 loans on the servicer's watchlist, representing 13.3%
of the current pool balance. The watchlisted loans are being
monitored for cash management provisions that have been triggered
by recent performance events, low debt service coverage ratios
(DSCRs), and/or occupancy issues generally caused by disruptions
related to the coronavirus pandemic.

The largest watchlist loan is the AD1 Hotel Portfolio loan
(Prospectus ID#7; 4.0% of the current pool balance), which is
secured by a portfolio of six lodging properties. The properties
are located in suburban and tertiary markets across Connecticut,
Georgia, and Florida. The loan was added to watchlist in May 2020
because of decline in performance driven by the coronavirus
pandemic. As of Q2 2020, the DSCR was 1.09 times (x), with
portfolio occupancy reported at 54.5%. These figures compare with
the DBRS Morningstar DSCR and occupancy figures at issuance of
1.47x and 72.1%, respectively. The loan has been reported as late
as 90 days delinquent within the last year, with the January and
February 2021 reporting periods showing the loan less than 30 days
delinquent. The servicer's commentary does not indicate that a
formal relief request has been made by the borrower to date. For
additional information, please see the DBRS Morningstar loan
commentary on the DBRS Viewpoint platform.

At issuance, DBRS Morningstar shadow-rated five loans, representing
23.1% of the current pool balance, as investment grade. These loans
include Bravern Office Commons (Prospectus ID#2; 6.3% of the pool),
560 Mission Street (Prospectus ID#3; 5.9% of the pool), 55 Hudson
Yards (Prospectus ID#6; 4.7% of the pool), 1633 Broadway
(Prospectus ID#8; 3.3% of the pool), and Bellagio Hotel and Casino
(Prospectus ID#9; 2.9% of the pool). With this review, DBRS
Morningstar confirms that the performance of these loans remains
consistent with investment-grade loan characteristics.

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



BANK 2021-BNK32: Fitch Affirms B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has issued a presale report on BANK 2021-BNK32,
commercial mortgage pass-through certificates, Series 2021-BNK32.

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

-- $8,800,000 Class A-1 'AAAsf'; Outlook Stable;

-- $28,200,000 Class A-2 'AAAsf'; Outlook Stable;

-- $18,727,500 Class A-SB 'AAAsf'; Outlook Stable;

-- $16,672,500 Class A-3 'AAAsf'; Outlook Stable;

-- $120,000,000ab Class A-4 'AAAsf'; Outlook Stable;

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

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

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

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

-- $409,280,000ab Class A-5 'AAAsf'; Outlook Stable;

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

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

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

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

-- $601,680,000c Class X-A 'AAAsf'; Outlook Stable;

-- $152,569,000c Class X-B 'A-sf'; Outlook Stable;

-- $68,764,000b Class A-S 'AAAsf'; Outlook Stable;

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

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

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

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

-- $42,977,000b Class B 'AA-sf'; Outlook Stable;

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

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

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

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

-- $40,828,000b Class C 'A-sf'; Outlook Stable;

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

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

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

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

-- $45,126,000cd Class X-D 'BBB-sf'; Outlook Stable;

-- $20,414,000cd Class X-F 'BB-sf'; Outlook Stable;

-- $9,670,000cd Class X-G 'B-sf'; Outlook Stable;

-- $25,787,000d Class D 'BBBsf'; Outlook Stable;

-- $19,339,000d Class E 'BBB-sf'; Outlook Stable;

-- $20,414,000d Class F 'BB-sf'; Outlook Stable;

-- $9,670,000d Class G 'B-sf'; Outlook Stable;

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

-- $30,084,822cd Class X-H;

-- $30,084,822d Class H;

-- $45,239,149e RR Interest.

(a) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $529,280,000 in aggregate, subject to a
5.0% 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 $240,000,000, and the expected
class A-5 balance range is $289,280,000 to $529,280,000. Fitch's
certificate balances for classes A-4 and A-5 are assumed at the
midpoint for each class.

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

(c) Notional amount and IO.

(d) Privately-placed and pursuant to Rule 144a.

(e) Non-offered vertical credit risk retention interest.

TRANSACTION SUMMARY

The expected ratings are based on information provided by the
issuer as of March 10, 2021.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 64 loans secured by 106
commercial properties having an aggregate principal balance of
$904,782,971 as of the cutoff date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of
America, National Association, Wells Fargo Bank, National
Association, and National Cooperative Bank, N.A.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 36.4% of the properties
by balance, cash flow analyses of 87.2% of the pool and asset
summary reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes Covid-19) 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
of the loans are current and are not subject to any forbearance
requests.

KEY RATING DRIVERS

Better Than Average Fitch DSCR: Overall, the pool's Fitch DSCR of
1.61x is higher than the 2020 and 2019 averages of 1.32x and 1.26x,
respectively. The pool's Fitch LTV of 98.3% is below the 2020 and
2019 averages of 99.6% and 103.0%, respectively. Excluding the
cooperative loans, the pool's Fitch DSCR and LTV are 1.32x and
103.7%, respectively.

Investment-Grade Credit Opinion Loans and Co-op Loans: Three loans
representing 15.6% of the pool by balance have credit
characteristics consistent with investment-grade obligations on a
stand-alone basis. 605 Third Avenue (7.8% of the pool) received a
stand-alone credit opinion of 'BBB-sf', 530 Seventh Avenue (6.1% of
the pool) received a stand-alone credit opinion of 'BBB-sf' and 111
Fourth Ave (1.7% of the pool) received a stand-alone credit opinion
of 'AAsf'. Additionally, the pool contains 18 loans, representing
6.6% of the pool, that are secured by residential cooperatives and
exhibit leverage characteristics significantly lower than typical
conduit loans. The weighted average (WA) Fitch DSCR and LTV for the
co-op loans are 5.46x and 35.1%, respectively.

Below-Average Mortgage Coupons: The pool's WA mortgage rate is
3.49%, which is well below historical levels. The WA mortgage rate
is below the 2020 average mortgage rate of 3.62% and well below the
2019 average of 4.27%. Fitch accounted for increased refinance risk
in a higher interest rate environment by incorporating an interest
rate sensitivity that assumes an interest rate floor of 5% for the
term risk of most property types, 4.5% for multifamily properties
and 6.0% for hotel properties, in conjunction with Fitch's stressed
refinance constants, which were 9.63% on a WA basis.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to a
Negative Rating Action/Downgrade:

Declining cash flow decreases property value and capacity to meet
its debt service obligations. The following 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;

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

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

-- 30% NCF Decline: BBBsf/BB+sf/B-sf/CCCsf/CCCsf/CCCsf/CCCsf.

Factors that Could, Individually or Collectively, Lead to a
Positive Rating Action/Upgrade:

Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The following 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; and

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions. A copy of the
ABS Due Diligence Form 15-E received by Fitch in connection with
this transaction may be obtained via the link at the bottom of the
rating action commentary.

ESG CONSIDERATIONS

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


BATTALION CLO 17: Moody's Gives B1 Rating on Class F Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Battalion CLO 17 Ltd. (the "Issuer" or "Battalion
17").

Moody's rating action is as follows:

US$244,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)

US$14,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)

US$46,000,000 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$21,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)

US$17,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)

US$6,298,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2034 (the "Class F Notes"), Definitive Rating Assigned B1 (sf)

The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes, the Class E Notes, and the Class
F 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.

Battalion 17 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of non-senior secured
loans and first lien last out loans. The portfolio is approximately
80% ramped as of the closing date.

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

In addition to the Rated Notes, the Issuer issued two classes of
subordinated notes.

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

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

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

Par amount: $400,000,000

Diversity Score: 60

Weighted Average Rating Factor (WARF): 2815

Weighted Average Spread (WAS): 3.65%

Weighted Average Coupon (WAC): 7%

Weighted Average Recovery Rate (WARR): 47%

Weighted Average Life (WAL): 9 years

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around our
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in U.S. economic activity.

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.


BATTALION CLO X: S&P Assigns BB- (sf) Rating on Class D-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R2,
A-2-R2, B-R2, C-R2, and D-R2 replacement notes from Battalion CLO X
Ltd./Battalion CLO X LLC, a collateralized loan obligation (CLO)
originally issued in December 2016 that is managed by Brigade
Capital Management LP. The floating-rate replacement notes were
issued via a proposed supplemental indenture. On the March 10,
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+' or 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.

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

  Ratings Assigned

  Battalion CLO X Ltd./Battalion CLO X LLC

  Class A-1-R2, $256.41 million: AAA (sf)
  Class A-2-R2, $52.91 million: AA (sf)
  Class B-R2 (deferrable), $24.42 million: A (sf)
  Class C-R2 (deferrable), $24.42 million: BBB (sf)
  Class D-R2 (deferrable), $14.25 million: BB- (sf)
  Subordinated notes, $36.10 million: not rated



BBCMS MORTGAGE 2020-C6: DBRS Confirms BB(sf) Rating on G-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-C6 issued by BBCMS Mortgage
Trust 2020-C6 as follows:

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

DBRS Morningstar also confirmed its ratings on the loan-specific
certificates as follows:

-- Class F5T-A at A (low) (sf)
-- Class F5T-B at BBB (low) (sf)
-- Class F5T-C at BB (low) (sf)
-- Class F5T-D at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction. At issuance, the trust
consisted of 45 fixed-rate loans secured by 118 commercial,
hospitality, and multifamily properties with an original balance of
$1.02 billion. As of the January 2021 remittance report, all of the
original loans remain in the pool and there has been nominal
collateral reduction of 0.1% since issuance. Amortization has
generally been limited, as 25 of the loans, representing 69.9% of
the current pool balance, are structured as interest only (IO) and
18 loans, representing another 27.4%, are structured as partial IO
and remain in their IO periods.

The collateral pool's property type concentration is relatively
diverse, with the highest property type concentration by loan
balance consisting of mixed-use assets (seven loans accounting for
23.4% of the current pool balance). Office assets account for the
second-highest property type concentration, with six loans that
represent 20.0% of the current pool balance. There are seven loans
secured by lodging properties, which have been particularly
hard-hit by the global Coronavirus Disease (COVID-19) pandemic;
however, the concentration is relatively small as these loans make
up only 12.0% of the current pool balance.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to five loans (all of which are included in the largest 10
loans): Prospectus ID#1 – Parkmerced (7.2% of the current pool);
Prospectus ID#2 – 650 Madison Avenue (6.6% of the current pool);
Prospectus ID#3 – Kings Plaza (6.6% of the current pool);
Prospectus ID#5 – F5 Tower (5.5% of the current pool); and
Prospectus ID#7 – Bellagio Hotel and Casino (4.8% of the current
pool). With this review, DBRS Morningstar confirmed that the
respective performance of each of these loans remains consistent
with the characteristics of an investment-grade loan.

As of the January 2021 remittance period, there were five loans on
the servicer's watchlist, representing 7.6% of the current pool
balance, including one loan in the top 15, representing 3.1% of the
pool. These five loans are being monitored for a variety of reasons
including a low debt service coverage ratio, occupancy declines,
and/or requests from the respective borrowers for coronavirus
relief.

There was also one loan, Prospectus ID#27 – 404-406 Broadway
(representing 1.7% of the current pool balance), in special
servicing. The loan is secured by a mixed-use property in New
York's Tribeca neighborhood. The property includes approximately
13,683 square feet (sf) of retail (including 4,983 sf of ground
floor space) and 2,500 sf of office space and is self-managed by
the sponsor. The loan was transferred to the special servicer in
April 2020 for imminent monetary default resulting from the impact
of the coronavirus pandemic. The loan has notable exposure to
fitness tenants (47.5% of net rentable area), which were forced to
close by state and local government mandates early in the pandemic
and reopened around June 2020, but only at limited capacity. The
loan was previously delinquent but was brought current in late 2020
and has remained current since. The information on the workout
status has been limited to date, but the current payment status is
a promising sign.

The loan-specific certificates represented by Classes F5T-A, F5T-B,
F5T-C, and F5T-D are backed by the $112.6 million subordinate
companion loan of the $297.6 million F5 Tower whole loan, which is
secured by 515,518 sf of Class A office space and a 259-space
underground parking garage in Seattle. The office space is 100%
leased to F5 Networks, Inc., which uses the space as its
headquarters. The loan-specific certificates are not pooled with
the remainder of the trust loans. With this review, DBRS
Morningstar confirmed that the performance of the underlying loan
remains in line with the expectations at issuance, supporting the
rating confirmations for those classes.

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


BBCMS TRUST 2021-C9: Fitch Gives Final B- Rating on Cl. J-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
BBCMS Mortgage Trust 2021-C9, commercial mortgage pass-through
certificates, Series 2021-C9.

TRANSACTION SUMMARY

Fitch's ratings and Rating Outlooks are as follows:

-- $25,700,000 Class A-1 'AAAsf'; Outlook Stable;

-- $4,500,000 Class A-2 'AAAsf'; Outlook Stable;

-- $210,000,000 Class A-4 'AAAsf'; Outlook Stable;

-- $281,000,000 Class A-5 'AAAsf'; Outlook Stable;

-- $34,474,000 Class A-SB 'AAAsf'; Outlook Stable;

-- $555,674,000a Class X-A 'AAAsf'; Outlook Stable;

-- $136,934,000a Class X-B 'A-sf'; Outlook Stable;

-- $66,482,000 Class A-S 'AAAsf'; Outlook Stable;

-- $36,714,000 Class B 'AA-sf'; Outlook Stable;

-- $33,738,000 Class C 'A-sf'; Outlook Stable;

-- $9,129,000b Class D 'BBBsf'; Outlook Stable;

-- $13,693,000bc Class E-RR 'BBBsf'; Outlook Stable;

-- $17,861,000bc Class F-RR 'BBB-sf'; Outlook Stable;

-- $9,923,000bc Class G-RR 'BB+sf'; Outlook Stable;

-- $8,930,000bc Class H-RR 'BB-sf'; Outlook Stable;

-- $7,938,000bc Class J-RR 'B-sf'; Outlook Stable.

The following classes are not rated by Fitch:

-- $33,738,305bc Class K-RR.

(a) Notional amount and interest only.

(b) Privately-placed and pursuant to Rule 144a.

(c) The Class E-RR, Class F-RR, Class G-RR, Class H-RR, Class J-RR
and Class K-RR certificates collectively are the "eligible
horizontal residual interest."

The ratings are based on information provided by the issuer as of
March 9, 2021.

Since Fitch published its expected ratings on Feb. 11, 2021, the
following changes occurred: The balances for class A-4 and class
A-5 were finalized. At the time that the expected ratings were
assigned, the exact initial certificate balances of class A-4 and
class A-5 were unknown. The final class balances for class A-4 and
class A-5 are $210,000,000 and $281,000,000, respectively.
Additionally, based on final pricing and a change in the HRR
sizing, the class D balance was increased from $8,335,000 to
$9,129,000.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 57 loans secured by 87
commercial properties having an aggregate principal balance of
$793,820,306 as of the cut-off date. The loans were contributed to
the trust by Barclays Capital Real Estate Inc, Societe Generale
Financial Corporation, Starwood Mortgage Capital LLC, KeyBank
National Association, LMF Commercial LLC and BSPRT CMBS Finance
LLC. The Master Servicer and the Special Servicer is expected to be
Midland Loan Services, a Division of PNC Bank, National
Association.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 37.7% of the properties
by balance, cash flow analyses of 86.8% of the pool, and asset
summary reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes the COVID-19 disease) 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 of the loans are current and are
not subject to any forbearance requests.

KEY RATING DRIVERS

Fitch Leverage Exceeds that of Recent Transactions: The pool has
higher leverage than other recent Fitch-rated multiborrower
transactions. The pool's Fitch LTV of 105.9% is higher than the
2020 average of 99.6% and the 2019 average of 103.0%. The pool's
Fitch debt service coverage ratio (DSCR) of 1.29x is lower than the
2020 average of 1.32x and higher than the 2019 average of 1.26x.

Investment-Grade Credit Opinion Loans: One loan, representing 7.3%
of the pool, received an investment-grade credit opinion. This is
considerably below the 2020 and 2019 averages of 24.5% and 14.2%,
respectively. MGM Grand & Mandalay Bay (7.3% of the pool) received
a stand-alone credit opinion of 'BBB+sf'.

High Multifamily Exposure and Low Retail and Hotel Exposure: Loans
secured by traditional multifamily properties represent 24.2% of
the pool by balance, including two of the top four loans. The total
multifamily concentration is higher than the 2020 and 2019 averages
of 16.3% and 16.9%, respectively. Loans secured by multifamily
properties have a lower probability of default in Fitch's
multiborrower model, all else being equal. Loans secured by retail
properties represent 7.1% of the pool by balance, which is lower
than the 2020 and 2019 averages of 16.3% and 23.6%, respectively,
and loans secured by hotel properties represent 8.0% of the pool by
balance, which is lower than that 2020 and 2019 averaged of 9.2%
and 12.0%, respectively. Fitch considers the hotel and retail asset
types to have the greatest downside risk among all of the
commercial asset types, in light of the pandemic.

Above Average Amortization: The pool is scheduled to amortize by
8.9% of the initial pool balance prior to maturity, which is above
the 2020 and 2019 averages of 5.3% and 5.9%, respectively.
Twenty-two loans (50.6% of the pool) are full-term interest only
(IO) loans, 18 loans (25.6% of the pool) are partial IO loans, and
the remaining 18 loans (31.2% of the pool) provide for amortization
through the term of the related underlying mortgage loan. None of
the underlying mortgage loans fully amortize over their respective
terms.

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 results below
should only be considered as one potential outcome, as the
transaction is exposed to multiple dynamic risk factors. It should
not be used as an indicator of possible future performance.

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade:

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

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

-- 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB
    sf' / 'BB+sf' / 'BB-sf' / 'B-sf'

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

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

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade:

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

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

-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA+sf' / 'AA
    sf' / 'Asf' / 'A-sf' / 'BBB+sf'

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and the findings
did not have an impact on Fitch's analysis or conclusions. A copy
of the ABS Due Diligence Form 15-E received by Fitch in connection
with this transaction may be obtained via the link at the bottom of
the related rating action commentary.

ESG CONSIDERATIONS

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


BENCHMARK 2019-B9: DBRS Confirms B(sf) Rating on Class X-H Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2019-B9
issued by Benchmark 2019-B9 Mortgage Trust:

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

All trends are Stable. DBRS Morningstar also removed Classes X-D,
E, X-F, F, X-G, G, X-H, and H from Under Review with Negative
Implications, where they were placed on August 6, 2020.

The rating confirmations reflect the overall stable performance of
the transaction, which has generally been in line with DBRS
Morningstar's expectations at issuance. As of the January 2021
remittance, all 50 original loans remain in the pool, with no
defeasance to date. As of the January 2021 remittance, two loans,
representing 1.9% of the current pool balance, are in special
servicing.

Additionally, 17 loans, representing 36.7% of the current pool
balance, are on the servicer's watchlist. These loans include five
top 15 loans, with the largest loan in the pool, 3 Park Avenue
(Prospectus ID#1; 10.0% of the pool), on the watchlist for periods
of delinquency between May and October 2020 and the borrower's
submitted Coronavirus Disease (COVID-19) relief request. Many of
the loans on the watchlist are secured by hospitality properties
(five loans, 6.2% of the pool) and retail properties (four loans,
7.7% of the pool), both of which have been among the most
immediately affected by the coronavirus pandemic. All five of the
watchlist loans backed by hospitality properties have been flagged
for considerable cash flow declines that have been driven by the
impacts of the pandemic. Three of the four retail loans on the
watchlist are there for tenant-related issues including rent
deferrals that reduced income for the property, dark space, and
bankruptcy. Although the performance declines by those and other
properties that back loans in this pool indicate increased risks
from issuance, DBRS Morningstar notes that the strong performance
of the underlying hotels and the lack of delinquency before the
pandemic are mitigating factors it considered when reviewing the
transaction.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to one loan: Aventura Mall (Prospectus ID#22; 7.2% of the
current pool). With this review, DBRS Morningstar confirmed that
the loan's performance remains in line with the characteristics of
an investment-grade loan.

Both of the loans in special servicing transferred for payment
default and, as of the January 2021 remittance, are more than 90
days delinquent. The largest of these loans is the La Quinta Inn
Berkeley (Prospectus ID#33; 1.2% of pool), which is secured by a
133-key limited-service hotel in Berkeley, California. The loan
transferred to special servicing in December 2020 and, at the time
of the transfer, was past due for the September 2020 payment and
all payments due thereafter. According to the servicer, an executed
prenegotiation letter is pending from the borrower as of January
2021. According to the most recent reporting available, the YE2019
debt service coverage ratio (DSCR) was 1.29 times (x) with an
occupancy rate of 68%, compared with the Issuer's DSCR of 1.86x and
occupancy rate of 70% at issuance. The cash flow declines in 2019
were driven by a combination of relatively minor declines in
revenue and similarly minor spikes in expenses; historically, the
property showed steady revenue growth over the life of the previous
commercial mortgage-backed securities (CMBS) loan, which was
securitized in the MSBAM 2013-C13 transaction, not rated by DBRS
Morningstar. The stable historical performance as well as the
issuance value of $21.8 million that implies a relatively low
loan-to-value ratio of 48.2% are mitigating factors to the extended
delinquency for this loan and should incentivize the sponsor and
the servicer to reach an agreement to resolve the outstanding
defaults.

The smaller specially serviced loan, Best Western State College
(Prospectus ID#40; 0.8% of pool), is secured by a 79-key
limited-service hotel in State College, Pennsylvania. The loan
transferred to special servicing in July 2020 and has remained at
least 90 days delinquent since August 2020. According to the
servicer, discussions on potential workouts are ongoing with the
borrower as of January 2021. The Q3 2020 financials reported a DSCR
of 0.98x with an occupancy rate of 61%, compared with the YE2019
DSCR of 1.16x with an occupancy rate of 65%. According to the
September 2020 appraisal, the property value was $6.5 million, a
37.5% decline compared with the issuance value of $10.4 million and
slightly under the loan balance of approximately $6.6 million.
However, the loan has remained current before the pandemic and,
given the relatively small size of the loan, the rated bonds are
generally well-insulated if the loan is resolved with a loss.

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


BENCHMARK 2021-B23: DBRS Finalizes B(low) Rating on 360D Certs
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass Through Certificates, Series
2021-B23 issued by Benchmark 2021-B23 Mortgage Trust:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-4A1 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class 360A at A (low) (sf)
-- Class 360B at BBB (low) (sf)
-- Class 360C at BB (low) (sf)
-- Class 360D at B (low) (sf)

All trends are Stable. Class A-4A2, Class 360A, 360B, 360C, and
360D have been privately placed.

The Class 360A, 360B, 360C, and 360D are loan-specific certificates
(rake bonds) collateralized by the subordinate companion note for
the 360 Spear whole loan. The loan-specific certificates will only
be entitled to receive distributions from, and will only incur
losses with respect to, the trust subordinate companion loan. The
trust subordinate companion loan is included as an asset of the
issuing entity but is not part of the mortgage pool backing the
pooled certificates. No class of pooled certificates will have any
interest in the trust subordinate companion loan.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. DBRS Morningstar continues to monitor the
ongoing coronavirus pandemic and its impact on both the commercial
real estate sector and the global fixed income markets.
Accordingly, DBRS Morningstar may apply additional short-term
stresses to its rating analysis, for example by front-loading
default expectations and/or assessing the liquidity position of a
structured finance transaction with more stressful operational risk
and/or cash flow timing considerations.

The transaction consists of 53 fixed-rate loans secured by 65
commercial and multifamily properties. The transaction has a
sequential-pay pass-through structure. Four loans, representing
18.4% of the pool, are shadow-rated investment grade by DBRS
Morningstar. The conduit pool was analyzed to determine the
provisional ratings, reflecting the long-term probability of loan
default within the term and its liquidity at maturity. When the
cut-off loan balances were measured against the DBRS Morningstar
NCF and their respective actual constants, the initial DBRS
Morningstar WA DSCR of the pool was 2.83x. One loan, representing
only 0.2% of the pool, has a DBRS Morningstar DSCR below 1.29x, a
threshold indicative of a higher likelihood of midterm default. The
pool additionally includes three loans, composing a combined 11.4%
of the pool balance, with a DBRS Morningstar LTV ratio exceeding
70.0%, a threshold generally indicative of above-average default
frequency. The WA DBRS Morningstar LTV of the pool at issuance was
55%, and the pool is scheduled to amortize down to a WA DBRS
Morningstar LTV of 53.0% at maturity. These credit metrics are
based on the A note balances. Excluding the shadow-rated loans,
representing 18.4% of the pool, the deal still exhibits a favorable
DBRS Morningstar Issuance LTV of 58.2%.

While the pool demonstrates favorable loan metrics with WA DBRS
Morningstar Issuance and Balloon LTVs of 55.0% and 53.0%,
respectively, it also exhibits heavy leverage barbelling. There are
four loans, accounting for 18.4% of the pool, with investment-grade
shadow ratings and a WA LTV of 40.6%. There are 11 loans,
constituting a combined 14.6% of the pool balance, with an issuance
LTV of 65.0% or higher, a threshold historically indicative of
relatively high-leverage financing and generally associated with
above-average default frequency. The WA expected loss of the pool's
investment-grade component was approximately 0.3%, while the WA
expected loss of the pool's conduit component was substantially
higher at approximately 3.5%, further illustrating the barbelled
nature of the transaction. The WA DBRS Morningstar expected loss
exhibited by the loans that have relatively high-leverage financing
was 4.9%. This is higher than the conduit component's WA expected
loss of 2.9%, and the pool's credit enhancement reflects the higher
leverage of this 10-loan component with an issuance LTV exceeding
67.9%.

The pool has a relatively high concentration of loans secured by
office and retail properties with 20 loans, representing 50.7% of
the pool balance, secured by office or predominantly office
properties and six loans, representing 10.2% of the pool, secured
by retail or predominantly retail properties. The ongoing
coronavirus pandemic continues to pose challenges globally, and the
future demand for office and retail space is uncertain with many
store closures, companies filing for bankruptcy or downsizing, and
more companies extending remote-working strategies. Three of the 20
office/predominantly office loans, representing 23.4% of the office
balance, are shadow-rated investment grade by DBRS Morningstar: 360
Spear, The Grace Building, and First Republic Center. Furthermore,
42.8% of the office loans are in areas with DBRS Morningstar Market
Ranks of 7 or 8. Of the retail concentration, four retail loans,
representing 93.1% of the retail concentration, have sponsors that
DBRS Morningstar deemed to be strong. The office and retail
properties exhibit favorable WA DBRS Morningstar DSCRs of 3.15x and
3.89x, respectively. Additionally, both property types exhibit
favorable LTVs at 55.4% and 45.4%, respectively.

There are 34 loans, representing 77.3% of the pool balance, that
are structured with full-term IO periods. An additional 13 loans,
representing 18.8% of the pool balance, are structured with partial
IO terms ranging from 36 months to 84 months. Of the 34 loans with
full-term IO periods, nine loans, representing 45.3% of the pool by
allocated loan balance, are in areas with a DBRS Morningstar Market
Rank of 6, 7, or 8. These markets benefit from increased liquidity
even during times of economic stress. Three of the 34 identified
loans, representing 11.5% of the total pool balance, are
shadow-rated investment grade by DBRS Morningstar.

There are 10 loans, representing 31.3% of the pool, that are in
areas identified as DBRS Morningstar Market Ranks of 7 or 8, which
are generally characterized as highly dense urbanized areas that
benefit from increased liquidity driven by consistently strong
investor demand, even during times of economic stress. Markets
ranked 7 and 8 benefit from lower default frequencies than
less-dense suburban, tertiary, and rural markets. Urban markets
represented in the deal include New York, San Francisco, and
Portland. In addition, 17 loans, representing 44.3% of the pool
balance, have collateral in MSA Group 3, which is the
best-performing group in terms of historical CMBS default rates
among the top 25 MSAs. MSA Group 3 has a historical default rate of
17.2%, which is nearly 10.8 percentage points lower than the
overall CMBS historical default rate of 28.0%.

Four of the loans—360 Spear, MGM Grand & Mandalay Bay, the Grace
Building, and First Republic Center—exhibit credit
characteristics consistent with investment-grade shadow ratings.
Combined, these loans represent 18.4% of the pool. The loan for 360
Spear has credit characteristics consistent with an A (high) shadow
rating, MGM Grand & Mandalay Bay has credit characteristics
consistent with an AAA shadow rating, The Grace Building has credit
characteristics consistent with an A shadow rating, and First
Republic Center has credit characteristics consistent with a AA
shadow rating.

There are 27 loans, representing a combined 56.6% of the pool by
allocated loan balance, that exhibit issuance LTVs of less than
60.0%, a threshold historically indicative of relatively
low-leverage financing and generally associated with below-average
default frequency. Even with the exclusion of the shadow-rated
loans, representing 18.4% of the pool, the deal exhibits a
favorable DBRS Morningstar Issuance LTV of 58.2%.

Term default risk is low, as indicated by a strong DBRS Morningstar
DSCR of 2.83x. Even with the exclusion of the shadow-rated loans
the deal exhibits a very favorable DBRS Morningstar DSCR of 2.51x.
There are 17 loans, representing 67.4% of the DBRS Morningstar
sample, that received a property quality of Average + or better.
One loan, representing 5.9% of the DBRS Morningstar sample, was
deemed to have Excellent quality and three loans, representing
16.7% of the DBRS Morningstar sample, to be Above Average.

There are 10 loans, five of which are within the top 15 loans,
representing 30.0% of the pool, that have strong sponsorship.
Furthermore, DBRS Morningstar identified only two loans,
cumulatively representing 9.2% of the pool, that have sponsorship
and/or loan collateral associated with a prior DPO, foreclosure,
loan default, historical negative credit event, sponsorship by a
foreign national, and/or inadequate commercial real estate
experience.

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


BRAVO RESIDENTIAL 2021-HE1: Fitch Assigns B Rating on B-2 Debt
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to Bravo Residential
Funding Trust 2021-HE1 (BRAVO 2021-HE1).

DEBT                         RATING               PRIOR
----                         ------               -----
BRAVO 2021-HE1

A-1                  LT  AAAsf  New Rating     AAA(EXP)sf
A-2                  LT  AAsf   New Rating     AA(EXP)sf
A-3                  LT  Asf    New Rating     A(EXP)sf
M-1                  LT  BBBsf  New Rating     BBB(EXP)sf
B-1                  LT  BBsf   New Rating     BB(EXP)sf
B-2                  LT  Bsf    New Rating     B(EXP)sf
B-3                  LT  NRsf   New Rating     NR(EXP)sf
AIOS                 LT  NRsf   New Rating     NR(EXP)sf
XS                   LT  NRsf   New Rating     NR(EXP)sf
Trust Certificates   LT  NRsf   New Rating     NR(EXP)sf

TRANSACTION SUMMARY

Fitchrates 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 issued by
BRAVO 2021-HE1as indicated above. 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
(SPLs) and re-performing loans (RPLs) totaling $305.66 million. As
of the cutoff 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
cutoff date is $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 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 U.S. 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 Certificate will be paid principal after all
other classes have been paid in full and the Trust Certificates
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 comprises 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 160 loans (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 certificate will receive its
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.

The holder of the Trust Certificates is responsible for funding the
VFA on behalf of the class R note. The holder of the trust
certificates is permitted to finance these funding obligations,
including by obtaining financing secured by the Trust Certificates
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 to
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
first-lien loans with a realized loss, which is triggered at the
discretion of the controlling holder. However, 25% of the aggregate
bondholders 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 in the presale report 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 a 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 MVDs at the national level. The
    analysis assumes MVDs 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 of the presale report 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 LS 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 Results above 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 BB (sf) Rating on Class C Notes
----------------------------------------------------------------
S&P Global Ratings assigned its 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 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.

  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)


BX COMMERCIAL 2021-IRON: DBRS Finalizes B(low) Rating on 2 Classes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2021-IRON issued by BX Commercial Mortgage Trust 2021-IRON:

-- Class A at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
-- Class HRR at B (low) (sf)
-- Class X-CP at BBB (sf)
-- Class X-NCP at BBB (sf)

All trends are Stable.

The Class X-CP and X- NCP certificates are interest-only (IO)
classes whose balances are notional.

The subject transaction is a sale-leaseback of 14 warehouse
properties to Iron Mountain Inc., a publicly-traded information
management company. The properties in the portfolio are spread
across five U.S. states and serve as secure document storage and/or
tape storage facilities for Iron Mountain's record retention and
storage clients. As a part of the transaction, Iron Mountain signed
two brand new, 10-year absolute triple net (NNN) leases covering
the properties in the portfolio. DBRS Morningstar has a favorable
view on the portfolio's functionality characteristics along with
the credit profile of the mortgage loan and the long-term NNN
leases. Although the tenant does not carry an investment-grade
rating, its legacy business has demonstrated long-term stability,
and the firm has begun branching into other value-add service areas
including data center offerings to enhance its core records
management business.

The entire portfolio consists of functional bulk warehouse product
with strong functionality metrics. The properties have a
weighted-average (WA) year built of 1990, which is slightly older
than other recently analyzed portfolios, but the office square
footage is only 5.6%, which is the lowest proportion of office
square footage that DBRS Morningstar has seen in securitized
transactions. The properties also have strong WA clear heights of
approximately 33 feet, which compare favorably with other recently
analyzed portfolios.

The portfolio benefits from its position across several
strong-performing gateway industrial markets, including the Los
Angeles, Inland Empire, Bay Area, Northern New Jersey,
Philadelphia, and Washington, D.C./Baltimore markets. Collectively,
the portfolio's markets have a WA availability rate of 7.0%, which
is below the Q3 2020 national average of approximately 7.6%
according to C.B. Richard Ellis Econometric Advisors.

The transaction benefits from strong cash flow stability
attributable to the two absolute NNN leases that Iron Mountain
(NYSE: IRM) executed as a part of the sale-leaseback transaction
with the sponsors. The leases provide for annual escalations of
3.0%, along with the recovery of all operating expenses and capital
costs at the properties. There are no termination options during
the loan term and Iron Mountain has four successive five-year
renewal options.

Iron Mountain has occupied the majority of the properties for
almost 20 years (since approximately 2004 on a WA basis),
demonstrating the firm's long-term commitment to the portfolio's
locations. Additionally, Iron Mountain's annual customer retention
rate is approximately 98% and the customer contracts specify
maximum monthly withdrawal rates. Approximately half of the
customer media stored at Iron Mountain facilities has a storage
duration of more than 15 years; the process of systematically
emptying a property is estimated to take between one and two years,
which reduces the probability that Iron Mountain would vacate in
favor of another nearby property.

The DBRS Morningstar loan-to-value ratio on the trust loan is
significant at 99.3%. The high leverage point, combined with the
lack of amortization, could potentially result in elevated
refinance risk and/or loss severities in an event of default.

Approximately 52.5% of the portfolio's in-place base rent is
attributable to properties located in California, and more than a
third of the portfolio's base rent is generated by properties
located in the Southern California region. While many Southern
California markets continue to be among the best performing
industrial markets in the country, the transaction could have
elevated exposure if market fundamentals were to deteriorate
unexpectedly.

The portfolio is entirely dependent on lease income from Iron
Mountain and, unlike other industrial portfolios, the transaction
does not benefit from any tenant granularity or diversification
across industries. While DBRS Morningstar views it as unlikely that
Iron Mountain would elect to vacate at the end of the initial lease
term, demising and re-tenanting the entire portfolio would require
significant tenant improvement/leasing commission funds.
Furthermore, a corporate-level bankruptcy or negative credit event
at Iron Mountain could put the mortgage loan at an increased risk
of default for nonpayment.

The mortgage loan has a partial pro rata/sequential-pay structure,
which allows for pro rata paydowns for the first 30.0% of the
unpaid principal balance. DBRS Morningstar considers this structure
to be credit negative, particularly at the top of the capital
stack. Under a partial pro rata paydown structure, deleveraging of
the senior notes through the release of individual properties
occurs at a slower pace compared with a sequential-pay structure.
DBRS Morningstar applied a penalty to the transaction's capital
structure to account for the pro-rata nature of certain
prepayments.

The borrower can also release individual properties, subject to
customary requirements. However, the prepayment premium for the
release of individual assets is 105.0% of the allocated loan amount
for the first 30.0% of the original principal balance of the
mortgage loan and 110.0% thereafter. DBRS Morningstar considers the
release premium to be weaker than a generally credit-neutral
standard of 115.0% and, as a result, applied a penalty to the
transaction's capital structure to account for the weak
deleveraging premium.

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



BX TRUST 2021-LBA: DBRS Finalizes B(low) on 2 Classes of Certs
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates issued by
BX Trust 2021-LBA:

-- Class A-V at AAA (sf)
-- Class B-V at AA (high) (sf)
-- Class C-V at AA (low) (sf)
-- Class D-V at A (sf)
-- Class E-V at BBB (low) (sf)
-- Class F-V at BB (low) (sf)
-- Class G-V at B (low) (sf)
-- Class X-V-CP at A (high) (sf)
-- Class X-V-NCP at A (high) (sf)
-- Class A-JV at AAA (sf)
-- Class B-JV at AA (high) (sf)
-- Class C-JV at AA (low) (sf)
-- Class D-JV at A (low) (sf)
-- Class E-JV at BBB (low) (sf)
-- Class F-JV at BB (low) (sf)
-- Class G-JV at B (low) (sf)
-- Class X-JV-CP at A (sf)
-- Class X-JV-NCP at A (sf)

All trends are Stable. DBRS Morningstar did not rate Classes H-V
and H-JV.

The Class X-V-CP, X-V-NCP, X-JV-CP, and X-JV-NCP certificates are
interest-only (IO) classes whose balances are notional.

The transaction consists of two separate, uncrossed portfolios of
assets, Pool 1 (Fund V; 17 assets) and Pool 2 (Fund JV; 35 assets),
each of which supports the payments on its respective series of
certificates. Generally, each of the portfolios exhibits strong
functionality metrics and both are well-located in major industrial
markets.

The majority of both portfolios consists of functional bulk
warehouse product with strong functionality metrics and
comparatively low proportions of office square footage. The Fund V
properties have a weighted-average (WA) year built of 1997 and WA
clear heights of 27.1 feet, while the Fund JV properties have a WA
year built of 1994 and WA clear heights of 28.0 feet. The
percentage of office across Fund V and Fund JV is 14.5% and 6.1%,
respectively. The metrics of both portfolios compare favorably with
other industrial portfolios recently analyzed by DBRS Morningstar.

The Fund V and Fund JV portfolios benefit from their locations
across numerous strong-performing west-coast gateway industrial
markets, including the markets in Los Angeles, Orange County, and
Inland Empire in California; Portland, Oregon; Seattle; and
Phoenix. The Fund V submarkets have a WA availability rate of
6.38%, and the Fund JV submarkets have a WA availability rate of
6.88%, each of which is below the Q3 2020 national average of
approximately 7.6% according to CBRE EA.

The portfolios have been largely unaffected by the immediate-term
disruptions from the Coronavirus Disease (COVID-19) pandemic, with
collections averaging 99% between April and November 2020 for Fund
V, and 98% for Fund JV through the same period. Furthermore, DBRS
Morningstar believes that industrial properties are among the best
positioned to weather the ongoing short- and medium-term market
dislocations related to the pandemic.

The DBRS Morningstar loan-to-value ratios on the trust loans are
substantial: 105.45% and 113.88%, respectively, for the Fund V and
Fund JV portfolios. The high leverage nature of the transactions,
combined with the lack of amortization, could result in elevated
refinance risk and/or loss severities in an event of default.

Leases representing approximately 72.5% and 87.1% of DBRS
Morningstar's base rent are scheduled to roll through the fully
extended loan term across the Fund V and Fund JV portfolios,
respectively. Significant portfolio rollover typically indicates
the potential for future cash flow volatility, particularly if
market rents or occupancy rates deteriorate over time.
Additionally, DBRS Morningstar did not conclude that either
portfolio's rents were significantly below market, therefore
limiting the roll-to-market upside as leases expire.

Both portfolios are heavily concentrated in terms of both allocated
loan amount (ALA) and net operating income in the Southern
California region. While these markets continue to be among the
best-performing industrial markets in the country, both pools are
at an elevated exposure if market fundamentals deteriorate
unexpectedly. Additionally, the top five tenants in Pool 1 (Fund V)
are responsible for 44.0% of the portfolio's base rent, which is
unusually concentrated, even for a smaller portfolio of assets.
Similarly, the top five tenants in the larger Pool 2 (Fund JV) are
responsible for 25.0% of the portfolio's base rent, which is still
comparatively concentrated.

Both mortgage loans have a partial pro rata/sequential-pay
structure, which allows for pro rata paydowns for the first 30.0%
of the unpaid principal balance. DBRS Morningstar considers this
structure to be credit negative, particularly at the top of the
capital stack. Under a partial pro rata paydown structure,
deleveraging of the senior notes through the release of individual
properties occurs at a slower pace as compared with a
sequential-pay structure. DBRS Morningstar applied a penalty to the
transaction's capital structure to account for the pro rata nature
of certain prepayments.

The borrower can also release individual properties across both
portfolios with customary requirements. However, in both cases, the
prepayment premium for the release of individual assets is 105.0%
of the ALA for the first 30.0% of the original principal balance of
the mortgage loan and 110.0% thereafter. DBRS Morningstar considers
the release premium to be weaker than a generally credit-neutral
standard of 115.0% and, as a result, applied a penalty to the
transaction's capital structure to account for the weak
deleveraging premium.

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



CARLYLE US 2021-1: S&P Assigns BB- (sf) Rating on Class D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carlyle US CLO 2021-1
Ltd./Carlyle 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 ratings reflect S&P's view of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

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

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

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

  Carlyle US CLO 2021-1 Ltd./Carlyle US CLO 2021-1 LLC

  Class A-1, $360.00 million: AAA (sf)
  Class A-2, $96.00 million: AA (sf)
  Class B (deferrable), $36.00 million: A (sf)
  Class C (deferrable), $36.00 million: BBB- (sf)
  Class D (deferrable), 24.00 million: BB- (sf)
  Subordinated notes, $74.60 million: not rated


CARLYLE US 2021-1: S&P Assigns Prelim BB-(sf) on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carlyle US
CLO 2021-1 Ltd./Carlyle 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 11,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

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

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

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

  Carlyle US CLO 2021-1 Ltd./Carlyle US CLO 2021-1 LLC

  Class A-1, $360.00 million: AAA (sf)
  Class A-2, $96.00 million: AA (sf)
  Class B (deferrable), $36.00 million: A (sf)
  Class C (deferrable), $36.00 million: BBB- (sf)
  Class D (deferrable), $24.00 million: BB- (sf)
  Subordinated notes, $74.60 million: Not rated


CARVAL CLO II: Moody's Assigns B3 Rating on $7MM Class F-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by CarVal CLO II Ltd. (the "Issuer").

Moody's rating action is as follows:

US$5,000,000 Class X-R Senior Secured Floating Rate Notes Due 2032
(the "Class X-R Notes"), Assigned Aaa (sf)

US$162,250,000 Class A-N-R Senior Secured Floating Rate Notes Due
2032 (the "Class A-N-R Notes"), Assigned Aaa (sf)

US$76,500,000 Class B-R Senior Secured Floating Rate Notes Due 2032
(the "Class B-R Notes"), Assigned Aa2 (sf)

US$37,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2032 (the "Class C-R Notes"), Assigned A2 (sf)

US$46,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2032 (the "Class D-R Notes"), Assigned Baa3 (sf)

US$41,750,000 Class E-R Junior Secured Deferrable Floating Rate
Notes Due 2032 (the "Class E-R Notes"), Assigned Ba3 (sf)

US$7,000,000 Class F-R Junior Secured Deferrable Floating Rate
Notes Due 2032 (the "Class F-R Notes"), Assigned B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on our 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.

CarVal CLO Management, LLC (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.

The Issuer previously issued one class of loans and one class of
subordinated notes, which will remain outstanding.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: an extension of the 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 Moody's Rating Factor".

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

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

Performing par and principal proceeds balance: $722,464,046

Defaulted par: $0

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3170

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.35%

Weighted Average Recovery Rate (WARR): 48.0%

Weighted Average Life (WAL): 8 years

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: an additional cashflow analysis
assuming a lower WAS to test the sensitivity to LIBOR floors;
sensitivity analysis on deteriorating credit quality due to a large
exposure to loans with negative outlook, and a lower recovery rate
assumption on defaulted assets to reflect declining loan recovery
rate expectations.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in the US economic activity.

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.


CD 2017-CD4: Fitch Lowers Rating on 2 Tranches to 'CCC'
-------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed 17 classes of
CD 2017-CD4 Mortgage Trust Commercial Mortgage Pass-Through
Certificates Series 2017-CD4.

     DEBT                  RATING            PRIOR
     ----                  ------            -----
CD 2017-CD4

A-1 12515DAM6       LT  AAAsf   Affirmed     AAAsf
A-2 12515DAN4       LT  AAAsf   Affirmed     AAAsf
A-3 12515DAQ7       LT  AAAsf   Affirmed     AAAsf
A-4 12515DAR5       LT  AAAsf   Affirmed     AAAsf
A-M 12515DAT1       LT  AAAsf   Affirmed     AAAsf
A-SB 12515DAP9      LT  AAAsf   Affirmed     AAAsf
B 12515DAU8         LT  AA-sf   Affirmed     AA-sf
C 12515DAV6         LT  A-sf    Affirmed     A-sf
D 12515DAF1         LT  BBB-sf  Affirmed     BBB-sf
E 12515DAG9         LT  BB-sf   Affirmed     BB-sf
F 12515DAH7         LT  CCCsf   Downgrade    B-sf
V-A 12515DAW4       LT  AAAsf   Affirmed     AAAsf
V-BC 12515DBU7      LT  A-sf    Affirmed     A-sf
V-D 12515DAZ7       LT  BBB-sf  Affirmed     BBB-sf
X-A 12515DAS3       LT  AAAsf   Affirmed     AAAsf
X-B 12515DAA2       LT  A-sf    Affirmed     A-sf
X-D 12515DAB0       LT  BBB-sf  Affirmed     BBB-sf
X-E 12515DAC8       LT  BB-sf   Affirmed     BB-sf
X-F 12515DAD6       LT  CCCsf   Downgrade    B-sf

KEY RATING DRIVERS

Increased Loss Expectations: While the majority of the pool
continues to exhibit overall stable performance, overall loss
expectations on the pool have increased primarily due to the
increasing number of Fitch Loans of Concern (FLOCs). Fitch has
designated nine loans (19.1% of pool) as FLOCs, including four
specially serviced loans (9%). Fitch's current ratings incorporate
a base case loss of 5.1%. The Negative Outlooks on classes E and
X-E reflect losses that could reach 6.5% when factoring in
additional stresses related to the coronavirus pandemic.

FLOCs/Largest Contributors to Loss: The largest contributor to loss
is the Midwest Embassy Suites Portfolio loan (7.3% of the pool),
which is secured by three full service hotels containing 782 rooms
located in Columbus, Cleveland and Cincinnati, Ohio. The loan
received pandemic relief without being transferred to the special
servicer, which included three months of deferred FF&E reserve
deposits, and was allowed to utilize the FF&E reserve funds to pay
debt service for three months. The borrower was scheduled to begin
repayment in January 2021 with six monthly payments.

YE 2020 NOI DSCR declined to -1.19x from 1.70x at YE 2019 and 1.86x
at YE 2018. Per the latest OSAR, Embassy Suites Cincinnati
Rivercenter Covington had a TTM December 2020 occupancy, ADR, and
RevPar of 33.5%, $119, and $40 compared to TTM December 2019 at
73.3%, $162, and $119, respectively. Embassy Suites Cleveland
Rockside had a TTM Dec. 2020 Occupancy, ADR, and RevPar of 31.3%,
$103, and $32 compared to TTM Dec. 2019 at 64.9%, $119, and $77,
respectively.

Embassy Suites Columbus Dublin had a TTM December 2020 occupancy,
ADR, and RevPar of 34%, $109, and $37 compared to TTM December 2019
at 78%, $135, and $105, respectively. Fitch's analysis included a
20% stress to YE 2019 cash flow to account for the impact of the
pandemic on property cash flow.

The second largest contributor to loss is Marriott Spartanburg
(2.6%), secured by full service hotel with 247 rooms located in
Spartanburg, SC. There are several colleges in Spartansburg,
including Wofford College, Spartansburg Methodist College,
University of South Carolina Upstate, and Converse College. The
loan transferred to the special servicer in July 2020 due to
payment default. The March 2020 NOI debt service coverage ratio
declined to 0.80x from 1.04x at YE 2019, 1.50x at YE 2018, and
1.89x at YE 2017. NOI has dropped since issuance, mainly due to a
decrease in room revenue, as a result of competition from several
new hotels opened in the area in last few years. One of the hotels
is a 114-room AC Marriott Hotel opened in December 2017, within a
few blocks of the Marriott Spartanburg. Marriott provided a reduced
3% franchise fee from 2017 through April 2018 as an accommodation
for the competition that would negatively impact Marriott
Spartanburg. Fitch's loss expectation of approximately 50% is based
on an appraisal with an additional stress to account for potential
future value decline and fees and expenses.

The third largest contributor to loss is Hamilton Crossing (2.1% of
the pool), secured by an office complex totaling 590,917 sf located
in Carmel, IN. The loan had previously transferred to the special
servicer in July 2019 after the top tenant, ADESA (previously 30%
of the NRA), did not exercise its lease renewal in July 2018, and
subsequently vacated in July 2019. According to the servicer a
lease was signed for 92,552 sf, and the space is still under
construction; a news article stated the tenant is expected to
occupy the space in June 2021. The new tenant will increase
occupancy up to 72% from current occupancy of 57%. Fitch's loss
expectation of approximately 15% is based on the declines in
property performance.

Coronavirus Impact: Significant economic impact to certain hotels,
retail, and multifamily properties, is expected due to the pandemic
and the lack of clarity regarding the duration of the impact. Loans
secured by hotels comprise an above average 20.8% of the pool,
while retail and multifamily are at 15.1% and 2.0% of the pool,
respectively. Fitch applied additional coronavirus-related stresses
to seven retail loans (8.8%) and one hotel loan (7.3%); these
additional stresses contributed to the Negative Rating Outlooks on
classes E and E-X.

Minimal Change to Credit Enhancement (CE): As of the February 2021
remittance, the pool's aggregate balance has been paid down by 2.2%
to $880.7 million from $900.5 million at issuance. All of the
original 47 loans remain in the pool. Ten loans (29% of the pool)
are IO for the full loan term, including four loans (22.3%) in the
top 15. Six loans (24.5%) have remaining partial-term IO periods
and the remaining loans are amortizing (53.2%). Based on the
scheduled balance at maturity, the pool is only expected to be
reduced by 9.9%. No loans are defeased.

The majority of the pool matures in 2027 (80.8%); however, 10.8% of
the pool matures in 2022, 2.0% in 2025, and 6.4% in 2026.

Additional Considerations

High Office and Hotel Loan Concentration: Loans backed by office
properties represent 42.3% of the pool, including 37.5% in the top
15. Hotel properties represent 20.8%, including 18.3% in the top
20.

Single-Tenant Concentration: Five loans among the largest 20 are
secured by single-tenant properties (15.7% of the pool). Moffett
Place Google (8.5%), Malibu Vista (2.0%), Alvogen Pharma US (2.0%),
SG360 (1.9%), and Malibu Office (1.3%) are secured by single-tenant
properties.

RATING SENSITIVITIES

The Negative Outlooks on classes E and X-E reflect the potential
for downgrade due to performance concerns on the FLOCs and from
reduced economic activity as a result of the pandemic. The Stable
Outlooks on all other classes reflect the overall stable
performance of the pool and expected continued amortization.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of classes B, X-B, C and V-BC may
    occur with significant improvement in credit enhancement (CE)
    and/or defeasance; however, it is not likely unless the
    performance of the FLOCs stabilize or improve. An upgrade to
    classes D, X-D, and V-D would also consider these factors but
    would be limited based on sensitivity to concentrations, or
    the potential for future concentration.

-- Classes would not be upgraded above 'Asf' if there were a
    likelihood for interest shortfalls. An upgrade to classes E,
    X-E, F, and X-F is not likely until the later years in a
    transaction and only if the performance of the remaining pool
    is stable and/or if there is sufficient CE, which would likely
    occur when the senior classes pay off and if the non-rated
    classes are not eroded.

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

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to classes A-1, A-2, A-3,
    A-4, A-SB, X-A, A-M, B and V-A are not likely due to their
    high credit enhancement and continued amortization, but may
    occur should interest shortfalls occur. Downgrades to classes
    C, X-B, D, X-D, V-BC, and V-D could occur if overall pool
    losses increase significantly and/or one or more large loans
    had an outsized loss that eroded CE.

-- Downgrades to classes E, X-E, F, and X-F could occur if
    performance of the FLOCs or loans susceptible to the pandemic
    do not stabilize and/or additional loans default or transfer
    to special servicing. The Negative Outlooks on classes E and
    X-E may be revised back to Stable if performance of the FLOCs
    improves and/or properties vulnerable to the coronavirus
    stabilize once the pandemic is over.

In addition to its baseline scenario, Fitch also envisions a
downside scenario in which the health crisis is prolonged beyond
2021; should this scenario play out, classes with Negative Outlooks
will be downgraded one or more categories.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


CERBERUS LOAN XVIII: Moody's Raises Class E Notes From Ba1
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Cerberus Loan Funding XVIII L.P.:

US$45,600,000 Class B Senior Secured Floating Rate Notes due 2027
(the "Class B Notes"), Upgraded to Aaa (sf); previously on April
19, 2017 Assigned Aa1 (sf)

US$59,550,000 Class C Secured Deferrable Floating Rate Notes due
2027 (the "Class C Notes"), Upgraded to Aa3 (sf); previously on
April 19, 2017 Assigned A2 (sf)

US$33,900,000 Class D Secured Deferrable Floating Rate Notes due
2027 (the "Class D Notes"), Upgraded to A3 (sf); previously on
April 19, 2017 Assigned Baa2 (sf)

US$18,000,000 Class E Secured Deferrable Floating Rate Notes due
2027 (the "Class E Notes"), Upgraded to Baa3 (sf); previously on
April 19, 2017 Assigned Ba1 (sf)

Cerberus Loan Funding XVIII L.P., issued in April 2017, is a
managed cashflow SME CLO. The notes are collateralized primarily by
a portfolio of small and medium enterprise loans. The transaction's
reinvestment period ended in March 2019.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since March 2020. The Class A
notes have been paid down by approximately 76.0% or $156.7 million
since that time. Based on the trustee's February 2021 report[1],
the OC ratios for the Class A/B, Class C, Class D and Class E notes
are reported at 332.03%, 204.18%, 167.47% and 152.87%,
respectively, versus March 2020 levels of 192.03%, 155.29%, 140.04%
and 133.10%, respectively.

Nevertheless, the credit quality of the portfolio has deteriorated
since March 2020. Based on the trustee's February 2021 report[2],
the weighted average rating factor (WARF) is currently 4743
compared to 4240 reported on trustee's March 2020 report [3].

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

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

Performing par and principal proceeds balance: $312,831,609

Defaulted par: $20,166,654

Diversity Score: 21

Weighted Average Rating Factor (WARF): 5523

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
7.00%

Weighted Average Recovery Rate (WARR): 38.00%

Weighted Average Life (WAL): 2.16 years

Par haircut in OC tests and interest diversion test: 1.60%

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in the US economic activity.

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

Methodology Used for the Rating Action

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


CHASE AUTO 2021-1: Fitch Assigns B(EXP) Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
the notes issued by JPMorgan Chase Bank, National Association,
Chase Auto Credit Linked Notes, Series 2021-1 (Chase Auto 2021-1).

DEBT             RATING  
----             ------  
Chase Auto Credit Linked Notes, Series 2021-1

A     LT  NR(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
F     LT  B(EXP)sf    Expected Rating
R     LT  NR(EXP)sf   Expected Rating

KEY RATING DRIVERS

Collateral - Strong Prime Credit Quality: The 2021-1 statistical
referenced pool has a weighted average (WA) FICO score of 780, and
scores above 750 total 68.3%. The WA LTV is low at 96.1%, WA APR is
4.5%, WA seasoning is 14.0 months, and the pool has strong vehicle
brand, model and geographic diversification. Original terms greater
than 60 months total 86.3%, 73- to 84-month loans, 33.3%, and used
vehicles, 44.1%, consistent with JPMCB's historical originations.

Forward-Looking Approach to Derive Base Case Loss Proxy - Stable
Portfolio/Securitization Performance: JPMCB's managed portfolio
performance had been strong from 2013 through 2021 YTD, with low
losses and delinquencies. Fitch considered current market
conditions amid the coronavirus pandemic and included recessionary
and peer prime auto loan static portfolio proxy performance, along
with prior JPMCB and peer proxy ABS performance, to derive a
cumulative net loss (CNL) proxy of 1.10%, consistent with the prior
two transactions.

Coronavirus Pressure Continues: 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 will be followed by a slower recovery trajectory in
early 2021, with GDP remaining below its 4Q19 level for 18-30
months. Under this scenario, Fitch's initial base case CNL was
derived utilizing 2006-2008 recessionary static managed portfolio
and prior ABS performance.

As a downside (sensitivity) scenario provided in the Expected
Rating Sensitivity section, Fitch considers a more severe and
prolonged period of stress with recovery to pre-crisis GDP levels
delayed until around the middle of the decade. 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 two categories.

Payment Structure - Only Note Subordination for CE: Initial hard CE
totals 4.68%, 3.58%, 2.48%, 1.93% and 1.54% for classes B, C, D, E
and F, respectively, entirely consisting of subordinated note
balances. There is no additional enhancement provided, including no
excess spread. Initial CE is sufficient to withstand Fitch's base
case CNL proxy of 1.10% at the applicable rating loss multiples.

Seller/Servicer Operational Review - Stable
Origination/Underwriting/Servicing: JPMCB (including Chase Auto)
demonstrate adequate abilities as originator, underwriter and
servicer, as evidenced by historical portfolio delinquency, loss
experience and prior securitization performance. Fitch deems JPMCB
(and thus Chase Auto) capable to service this series.

Pro-Rata Pay Structure: Principal changes are allocated referencing
auto loan cash flows among the class B through E notes based on a
pro-rata pay structure, with the retained class A certificates
(retained by JPMCB) receiving a pro-rata allocation payment and the
subordinate class F and R notes to remain unpaid until all other
classes are paid in full.

In addition, lower-rated subordinated classes will be locked out of
principal entirely if the transaction CNL exceeds a set CNL
schedule. The lockout feature helps maintain subordination for a
longer period should CNL occur earlier in the life of the deal.
This feature redirects subordinate principal to classes of higher
seniority sequentially, except class A certificates. Further, if
the pool CNL exceeds 2.50%, the transaction switches from pro rata
and pays fully sequentially, including for the class A
certificates.

CE Floor: To mitigate tail risk, which arises as the pool seasons
and fewer loans are outstanding, class F and R notes are locked out
of payments until other classes of notes are paid in full, leading
to a floor amount of subordination of 1.93% below the class E notes
at issuance.

Excessive Counterparty Exposure: The excessive exposure in the
transaction arises due to JPMCB's role providing a material degree
of credit support to the transaction. Noteholders will not have
recourse to the reference portfolio or to the cash generated by the
assets. Instead, the transaction relies on JPMCB to make interest
payments based on the note rate and principal payments based on the
performance of the reference pool. The monthly payment due will be
deposited by JPMCB into a segregated trust account held at U.S.
Bank N.A. ('AA-'/'F1+'), the securities administrator, for the
benefit of the notes. If JPMCB fails to make a payment to
noteholders, it is deemed an event of default. JPMCB is also the
servicer and will retain the class A certificates. Given this
dependence on the bank, ratings on the notes are directly linked
to, and capped by, the IDR of the counterparty, JPMCB
('AA/F1+'/Negative).

RATING SENSITIVITIES

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

-- Changes in expected loss timing for the transaction may affect
    the transaction structure over time, leading to impairments in
    the payment of the outstanding notes. In the event that losses
    suddenly increase near the end of the transaction, which has
    primarily paid down pro rata with no increase in CE at that
    time, significant losses may be incurred to the outstanding
    notes, which will not have entered sequential payment, per the
    performance triggers outlined herein.

-- In addition, unanticipated increases in the frequency of
    defaults could produce CNL levels higher than the base case
    and would likely result in declines of CE and remaining net
    loss coverage levels available to the notes. Weakening asset
    performance is strongly correlated to increasing levels of
    delinquencies and defaults that could negatively affect CE
    levels. Additionally, unanticipated declines in recoveries
    could also result in lower net loss coverage, which may make
    certain note ratings susceptible to potential negative rating
    actions, depending on the extent of the decline in coverage.

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

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

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

-- Due to the coronavirus pandemic, the U.S. and the broader
    global economy remains under stress, with surging unemployment
    and pressure on businesses stemming from federal social
    distancing guidelines. Unemployment pressure on the consumer
    base may result in increased delinquencies. For sensitivity
    purposes, Fitch assumed a 2.0x increase in delinquency stress.
    The results below indicate no adverse rating impact to the
    notes. Lower prepayments and longer recovery lag times due to
    delayed ability to repossess and recover on vehicles may
    result from the pandemic. However, changes in these
    assumptions, all else equal, would not have an adverse impact
    on modeled loss coverage, and Fitch has maintained its
    stressed assumptions.

Loss Timing Sensitivity

As mentioned, prior to the triggering of a sequential payment event
through the CNL schedule, the class B through E notes are paid pro
rata until paid in full. This pro-rata paydown presents a risk to
the notes, which may share in any losses incurred and not receive
adequate principal paydown over time. In Fitch's mid-loaded primary
scenario, this trigger activates almost immediately, leading to
higher loss coverage. While Fitch believes a more back-loaded
scenario is less likely, to evaluate the potential structural
challenge, an additional timing scenario was considered in which
20% of the CNL expected to occur in the first two years of the
transaction's life were delayed to the second two years, in a
25%/35%/30%/10% loss curve.

The delayed loss curve leads to the sequential order event
occurring later in the life of the transaction in the class B, C
and D stress scenarios, causing a significant drop in break-even
loss coverage for these rated classes of notes. Class E and F notes
are supported regardless of timing scenario due to their relative
size and the locked-out nature of the class F and R notes, which do
not receive payments until all other notes are paid in full,
regardless of any events being triggered. In this scenario, class
B, C and D notes would each potentially drop two notches in their
ratings.

The second sensitivity also focuses on stressing the impact of CNLs
outside of base case expectations by a 1.5x and 2.0x multiple
relative to available loss coverage. This analysis provides a good
indication of the rating sensitivity of notes to unexpected
deterioration of a trust's performance. In this example, under the
1.5x scenario, the base case proxy increases to 1.65% and an
implied loss multiple of 2.84x, which would suggest a downgrade to
the 'Asf' range. Under the more severe 2.0x stress, the base case
proxy increases to 2.20%, which results in an implied multiple of
2.13x or downgrade to the 'BBBsf' range.

Due to de-levering and structural features, a typical auto loan ABS
transaction tends to build CE and loss coverage levels over time,
absent any increase to projected defaults/losses beyond
expectations. However, the current transaction, which is based on a
reference pool and is not a standard auto loan ABS transaction,
sees only limited increases in enhancement over the life of the
deal as classes B through E pay down pro rata. The greatest risk of
losses to an auto loan ABS transaction is over the first one to two
years of the transaction, where the benefit of de-levering may be
muted. This analysis does not give explicit credit to the
de-levering and building CE afforded in auto loan ABS
transactions.

Recovery Rate Sensitivity

Recoveries can have a material impact on auto loan pool
performance, particularly in stressed economic environments where
default frequency is higher. This sensitivity analysis evaluates
the impact of stressed recovery rates on the considered structure
and rating impact.

Historically, recovery rates on auto loan collateral have ranged
from 40%-70%. Utilizing the base case of 1.10% detailed in the CNL
sensitivities above, recovery rate credit under Fitch's primary
scenario is 50%, resulting in a CGD base case proxy of 2.20%.
Applying a 50% haircut to the 50% recovery rate results in a
stressed recovery rate of 25% and a base case CNL proxy of 1.65%
(2.20% x 75% = 1.65%). Under this stressed scenario, the implied
multiple declines to 2.84x (4.68%/1.65% = 2.84x), resulting in an
implied rating of 'Asf'.

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

-- Conversely, stable to improved asset performance driven by
    stable delinquencies and defaults would lead to marginally
    increasing CE levels and consideration for potential upgrades.
    If CNL is 20% less than the projected proxy, the expected
    ratings for the subordinate notes could be maintained for
    class B (which are capped at the originator's ratings) and
    upgraded by one category for class C, D, E and F notes.
    However, this upgrade potential is very remote, as low losses
    will mean the transaction remains pro rata for longer, leading
    to less enhancement build over time.

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.


CIFC FUNDING 2015-IV: S&P Assigns Prelim BB- Rating on D-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1a-2, A-1b-2, A-2-R2, B-R2, C-R2, and D-R2 replacement notes from
CIFC Funding 2015-IV Ltd./CIFC Funding 2015-IV LLC, a CLO
originally issued in September 2015 that is managed by CIFC Asset
Management LLC. The replacement notes will be issued via a proposed
supplemental indenture. The original notes were not rated by S&P
Global Ratings.

The note issuance is a CLO securitization backed by primarily of
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 16,
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. At that time, S&P anticipates assigning ratings to
the replacement notes. However, if the refinancing doesn't occur,
we may withdraw our preliminary ratings on the replacement notes.

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.

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

  CIFC Funding 2015-IV Ltd./CIFC Funding 2015-IV LLC

  Class X, $5.00 million: AAA (sf)
  Class A-1a-2, $300.00 million: AAA (sf)
  Class A-1b-2, $10.00 million: Not rated
  Class A-2-R2, $70.00 million: AA (sf)
  Class B-R2 (deferrable), $27.50 million: A (sf)
  Class C-R2 (deferrable), $30.00 million: BBB- (sf)
  Class D-R2 (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $91.22 million: Not rated


CITIGROUP COMMERCIAL 2014-GC19: DBRS Confirms BB Rating on F Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-GC19 issued by Citigroup
Commercial Mortgage Trust 2014-GC19 as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AAA (sf)
-- Class PEZ at AA (sf)
-- Class C at AA (sf)
-- Class D at BBB (high) (sf)
-- Class X-C at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-D at BB (high) (sf)
-- Class F at BB (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction. As of the February 2021 remittance, 68 of the
original 78 loans remain in the pool, with an aggregate trust
balance of $713.8 million, representing a collateral reduction of
approximately 29.8% since issuance due to loan repayments and
scheduled loan amortization. The transaction is concentrated by
property type, as loans secured by retail, multifamily, and
mixed-use properties represent 26.7%, 23.4%, and 21.0% of the
current trust balance, respectively. There are also 20 loans,
representing 22.3% of the current pool balance, secured by
collateral that has been fully defeased.

According to February 2021 reporting, there are four loans in
special servicing, representing 4.8% of the current trust balance,
that have all transferred as a result of ongoing difficulties
caused by the Coronavirus Disease (COVID-19) pandemic; the largest
of these four loans, Festival Plaza (Prospectus ID#19, 1.7% of the
current trust balance), is highlighted in detail below. Per the
servicer, the Berwyn Shopping Center loan (Prospectus ID#29, 1.3%
of the current trust balance) is expected to repay in the near
term, while the 334-336 West 46th Street loan (Prospectus ID#35,
1.1% of the current trust balance) has discounted payoff
discussions ongoing while the servicer dual-tracks foreclosure. The
smallest of the four loans in special servicing, Ramada Denver
(Prospectus ID#49, 0.7% of the current trust balance), was made
current with the February 2021 remittance, while discussions on a
resolution remain ongoing.

Festival Plaza is secured by a 108,356 sf shopping center in
suburban Montgomery, Alabama, about eight miles southeast of the
central business district. The loan transferred to special
servicing in May 2020 as a result of imminent monetary default and
is 121+ days as of the February 2021 reporting. The borrower has
asked for mortgage relief and discussions regarding a potential
loan modification are ongoing. The primary driver for the relief
request was rent loss, stemming from the property's largest tenant,
AMC Theaters (AMC; 54.4% of the net rentable area), which closed
its doors in late March 2020 and reopened on a modified schedule in
August 2020. While AMC originally had a December 2020 lease
expiration, the servicer has indicated the tenant's lease was
extended through December 2023 with significant concessions,
indicating the tenant's desire to remain at the property. An August
2020 appraisal valued the property at $9.7 million, representing a
46.0% decline from the issuance value of $18.1 million. To account
for the possible credit risk this loan presents to the trust, DBRS
Morningstar increased the probability of default to more accurately
reflect the current credit profile of the loan.

According to the February 2021 reporting, there are 11 loans on the
servicer's watchlist, representing 14.5% of the current trust
balance. Three of these loans, representing 4.4% of the current
trust balance, were added to the watchlist as a result of deferred
maintenance, while another three loans, representing 5.1% of the
current trust balance, were flagged for failing to provide updated
financials or repay servicer advances. Only five of these loans,
representing 5.1% of the current trust balance, were added as a
result of performance declines and/or upcoming tenant rollover. As
of Q3 2020, these five loans had a weighted-average debt service
coverage ratio of 1.25 times (x), compared with the year-end 2019
figure of 1.72x, representing a 24.4% decline.

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


CITIGROUP COMMERCIAL 2014-GC25: DBRS Confirms B Rating on F Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-GC25 issued by Citigroup
Commercial Mortgage Trust 2014-GC25 as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-F at B (high) (sf)
-- Class F at B (sf)

DBRS Morningstar also removed the ratings on Classes X-E, E, X-F,
and F from Under Review with Negative Implications, where they were
placed on August 6, 2020. All trends are Stable.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction since issuance. At
issuance, the collateral consisted of 62 fixed-rate loans, secured
by 99 commercial properties, with an original trust balance of
$842.0 million. As of the February 2021 remittance report, 60 loans
remain in the pool with an aggregate principal balance of $784.8
million, representing a collateral reduction of 6.8% since issuance
due to the repayment of two loans and scheduled amortization of the
other loans. The pool benefits from some notable defeasance, as 10
loans representing 16.4% of the current pool balance (including
three of the 15 largest loans, 11.2% of the current pool) have been
fully defeased as of the February 2021 remittance report.

The collateral pool is concentrated by property type, with eight
loans, representing 36.9% of the current pool balance secured by
office properties. Loans secured by retail properties represent the
second-largest property type concentration, with 25 loans
representing 25.1% of the current pool balance. Three loans secured
by lodging properties represent only 2.3% of the current pool
balance. The pool is also concentrated by loan size, as the top 15
loans represent 67.8% of the current pool balance.

As of the February 2021 remittance report, 13 loans are on the
servicer's watchlist, representing 18.3% of the current pool
balance, including two loans in the top 15, representing 9.7% of
the current pool balance. These loans are being monitored for a
variety of reasons including low debt service coverage ratios,
occupancy declines, instances of deferred maintenance, outstanding
advances, and/or requests from the respective borrowers for relief
as a result of financial hardship caused by the Coronavirus Disease
(COVID-19) pandemic.

There is one loan, Prospectus ID#14 – Denver Merchandise Mart
(representing 2.9% of the current pool balance), in special
servicing as of the February 2021 reporting. This loan is secured
by a wholesale trade mart and exhibition hall in Denver, Colorado,
consisting of five interconnected facilities totaling approximately
810,000 square feet (sf). The loan transferred to special servicing
in June 2020 for payment default after the property had been closed
to the public for most of April and May of 2020 due to the
coronavirus pandemic.

According to a report in the Denver Post dated February 11, 2021,
the property will cease operation as of March 31, 2021, as it has
been sold through a receivership-controlled sale of the property.
The special servicer has confirmed the property sale, but cited
confidentiality reasons for declining to disclose the sale price.
The loan's disposition from the trust is expected to be finalized
in the near term. The servicer received an updated appraisal in
October 2020 that valued the property at $32.8 million, a 36.9%
decline in value from the issuance appraised value of $52.0
million, but in excess of the trust exposure to this loan of $24.7
million as of the February 2021 reporting.

The largest loan on the servicer's watchlist, Prospectus ID#13 –
Stamford Plaza Portfolio (representing 3.7% of the current pool
balance), is secured by a portfolio of four adjacent Class A office
buildings in Stamford, Connecticut. The four buildings form a
contiguous office complex and total 985,992 sf. The loan was added
to the servicer's watchlist in October 2018 for a debt service
coverage ratio below the 1.10 times (x) threshold due to the
vacancy of three large tenants, which occupied 19.6% of the net
rentable area at issuance. The office market has been quite soft in
Stamford and these conditions, which have undoubtedly been
exacerbated by the pandemic, have inhibited efforts to backfill the
space. The in-place coverage has been reported at well below 1.0x
since the YE2018 reporting period, with the borrower funding
shortfalls and keeping the loan current to date. Given the low
coverage ratio and limited prospects for backfilling the empty
space, the loan has been on the DBRS Morningstar Hotlist since June
2019.

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


CITIGROUP COMMERCIAL 2016-P3: Fitch Cuts Class F Certs to 'CCC'
---------------------------------------------------------------
Fitch Ratings has downgraded four, affirmed 10 and revised the
Rating Outlooks on six classes of Citigroup Commercial Mortgage
Trust CGCMT 2016-P3 commercial mortgage pass-through certificates.

     DEBT                 RATING         PRIOR
     ----                 ------         -----
CGCMT 2016-P3

A-2 29429CAB1      LT  AAAsf  Affirmed   AAAsf
A-3 29429CAC9      LT  AAAsf  Affirmed   AAAsf
A-4 29429CAD7      LT  AAAsf  Affirmed   AAAsf
A-AB 29429CAE5     LT  AAAsf  Affirmed   AAAsf
A-S 29429CAF2      LT  AAAsf  Affirmed   AAAsf
B 29429CAG0        LT  AA-sf  Affirmed   AA-sf
C 29429CAH8        LT  A-sf   Affirmed   A-sf
D 29429CAM7        LT  BB-sf  Downgrade  BBB-sf
E 29429CAP0        LT  Bsf    Downgrade  BBsf
EC 29429CAL9       LT  A-sf   Affirmed   A-sf
F 29429CAR6        LT  CCCsf  Downgrade  Bsf
X-A 29429CAJ4      LT  AAAsf  Affirmed   AAAsf
X-B 29429CAK1      LT  AA-sf  Affirmed   AA-sf
X-D 29429CAV7      LT  BB-sf  Downgrade  BBB-sf

Class A-1 is paid in full.

KEY RATING DRIVERS

Increased Loss Expectations/Specially Serviced Loans: Since Fitch's
last review, loss expectations for the pool have increased due to
increased specially serviced loans and Fitch Loans of Concern
(FLOCs), most of which is due to the impact of the coronavirus
pandemic. Seven loans (21.2%) are currently in special servicing,
including three (16.1%) within the top 15. Sixteen loans (50.9%)
are considered FLOCs, including the specially serviced loans
(21.2%) due to decline in performance as a result of the
coronavirus pandemic and/or occupancy declines due to tenants
vacating and upcoming rollover concerns. The downgrade reflects an
increase in the likelihood of losses to classes D, X-D, E, and F
given these concerns. Fitch's current ratings incorporate a base
case loss of 9.1%. The Negative Rating Outlooks factor in
additional stresses related to the coronavirus pandemic, reflecting
losses that could reach 12.1%.

The top five largest contributors to loss expectations: The Empire
Mall (8.8% of the pool), the largest loan in the transaction and
largest change in loss since the last rating action. The loan is
secured by a 1,124,178-sf superregional mall located in Sioux
Falls, SD. The decline in performance is due to tenants vacating.
Gordman's closed in May 2020. The Gap and Banana Republic (2.2% of
NRA) announced on Aug. 17, 2020 their plans to close at the
subject, and have vacated. In September 2018 anchor tenants,
Younkers and Sears, and large tenant ToysRUs had vacated. The
ToysRUs space was taken over by Scandinavian Designs in June 2018
and the store opened in Feb. 2019; they have been paying ground
rent and operating costs since. They also recently executed a
five-year extension to Feb. 1, 2025.

The mall has also experienced fluctuating in-line and anchor sales
in addition to new retail competition directly north of subject.
The most recent reported in-line sales were $327 per square foot
(psf) (Dec. 2020) compared to $416 psf (TTM October 2019); $422
(TTM October 2018); $406 psf (YE 2017); and $436 psf (TTM September
2015). Anchors JC Penney, Macy's, and Dick's Sporting Goods
reported $123 psf (YE 2020) compared to $134 psf (YE 2019); $90 psf
(YE 2020); 143 psf (YE 2019); $115 psf (TTM 10/2018); $96 psf (YE
2020); $130 psf (YE 2019); respectively. The loan matures in
December 2025.

Fitch's ratings reflect an analysis that includes a 12% cap rate
and 20% stress to the YE 2019 net operating income (NOI) to reflect
concerns with increasing vacancy and tenant rollover. An additional
sensitivity scenario assumed a 20% cap rate and 20% stress to YE
2019 NOI to reflect the potential for continued performance issues
due to the pandemic.

The specially serviced Marriott Midwest Portfolio (7.7%) is secured
by a portfolio of 10 hotels, totaling 1,103 rooms, located across
the midwestern US. There are three properties in Michigan (36% loan
balance, 338 rooms), six properties in Minnesota (54% loan balance,
653 rooms), and one property in Wisconsin (10% loan balance, 112
rooms). Seven of the hotels operate as SpringHill Suites and three
operate as TownePlace Suites, both of which are affiliated with
Marriott. Each of the hotels is entered in a 15-year franchise
agreement with Marriott that expire in February 2031, nearly 10
years past the loan maturity.

The loan was transferred to special servicing in June 2020 for the
impact of the coronavirus pandemic. The loan was due for the April
and May 2020 payments and borrower notified the sub servicer of
coronavirus related hardships. The YE 2019 reflects a debt-service
coverage ratio (DSCR) of 2.64x compared to 3.00x YE 2018. The most
recent occupancy as of March 2020 was 73.9% with average daily rate
(ADR) of $110.49 and revenue per available room (RevPAR) of $81.64.
Cash management has been triggered due to payment default. While
forbearance is under consideration, the borrower is in the market
to raise $20 million for debt service, working capital future
property improvement plan (PIP). The borrower received feedback
from the market and has proposed an A/B structure that is under
review by the special servicer. Fitch's analysis included a
discount to the most recent appraisal value provided by the special
servicer.

The specially serviced loan, 600 Broadway (6.5%), is secured by a
77,280-sf mixed use building in Soho in New York City. While the
property is 100% vacant, Abercrombie & Fitch leases 60.8% NRA
through May 2028 and continues to pay rent for all of their space.
The borrower previously terminated a lease with 24-Hour Fitness,
who had also vacated, in order to re-lease the space to Konrad
beginning in November 2020; however, it is unclear if Konrad took
occupancy of their space or chose to terminate their lease. Media
reports indicate that Target is planning to sign a lease to take
over 27,000 sf (approximately 35% NRA) from Abercrombie & Fitch,
which would result in the property being 35% occupied and
approximately 61% leased.

Fitch's analysis included an overall 30% stress to YE 2018 NOI to
address tenant volatility. Credit was given to the asset's
high-quality location, the positive co-tenancy impact of Target's
lease, and Abercrombie & Fitch's long-term lease.

The specially serviced loan, 725 8th Avenue (1.6%), was transferred
to special servicing effective August 2019 due to payment default.
The loan is due for the July 6, 2019 payment. The property is a
4,773-sf single tenant retail property located in Manhattan and was
100% leased to Wahlburgers at issuance. The property is fully
vacant as the tenant from origination never took occupancy and
ceased rental payments long ago.

A foreclosure complaint was filed on Oct. 15, 2019. The court
appointed a referee to calculate amounts due on Jan. 24, 2020. A
motion to confirm referee report filed May 2020 (upon courts
reopening to foreclosure matters), which was ultimately approved.
The court signed the foreclosure judgment on June 17, 2020.
Judgement was entered by the clerk on Nov. 4, 2020. The special
servicer is awaiting a foreclosure sale date and procedures from
the court. Fitch analysis included a discount to the most recent
appraisal value provided by the special servicer.

The specially serviced loan, Home2Suites Aberdeen (1.5%), is
secured by a 107-room extended stay hotel in Aberdeen MD. The loan
was transferred to special servicing in March 2020 for coronavirus
as the borrower requested deferral of debt service. A forbearance
agreement was put in place effective June 5, 2020 and expired Sept.
4, 2020. The loan is secured by the borrower's fee interest in a
107-room extended stay hotel branded as Home2 Suites by Hilton,
located in Aberdeen MD. The property was constructed in 2014 and
the franchise agreement with Hilton expires in November 2034.

The property had been closed from March 23, 2020 and reopened
mid-June. Per the special servicer, the borrower provided updated
forecast for 2021 and additional forbearance terms are under
review. Per the January 2021 Smith Travel Research (STR) report,
occupancy, ADR, and RevPAR were 46.4%, $103, $48 compared to 43.8%,
$108, $47 for its competitive set with a RevPAR penetration of
101.8%. Fitch's ratings reflect an analysis that includes a 11.50%
cap rate and 26% stress to YE 2019 NOI.

Increased Credit Enhancement: As of the February 2020 distribution
date, the pool's aggregate principal balance has been reduced by
7.8% to $711.1 million from $771.0 million at issuance. The pool is
scheduled to amortize by 6.8% of the initial pool balance prior to
maturity. Ten loans (38.8%) are full-term interest-only and 14
loans (45.5%) remain in partial-interest-only periods. The
remaining 12 loans (15.7%) are amortizing balloon loans with terms
of five to 10 years. Three loans (3.1%) are fully defeased, of
which two (2.9%) have defeased since Fitch's last rating action.
Loan maturities are concentrated in 2026 (74.7%), with limited
maturities scheduled in 2021 (7.7%), and 2025 (17.7%).

Fitch performed an additional sensitivity on the largest loan,
Empire Mall, that assumed a 20% cap rate and 20% stress to YE 2019
to address concerns with the longer-term impact of the pandemic on
performance. This analysis contributed to the negative outlook
revisions.

Coronavirus Exposure: There are 10 loans (25.7%) secured by retail
properties, including the largest loan in the pool (8.8% of the
pool). The retail element of the pool consists of one regional mall
(largest loan in the pool 8.8%), and a mix of unanchored and
anchored shopping centers. Hotels comprise 21.5% of the pool,
including three (16.1%) loans in the top 15. Fitch is monitoring
the performance of these assets given the negative outlook and
expectation that hotel performance will be significantly impacted
by a reduction in travel. Fitch's base case analysis applied an
additional NOI stress on five retail loans and three hotels due to
the expected decline in travel from the pandemic. These additional
stresses contributed to the Negative Outlooks on classes A-S, B, C,
D, E, X-A, X-B and X-D.

Credit Opinion Loan: One loan, 225 Liberty Street (5.7% of the
pool) received an investment-grade credit opinion of 'BBBsf' on a
stand-alone basis at issuance.

Pari Passu Loans: Approximately 56.6% of the pool, including nine
of the top 10 loans, consists of loans with pari passu
participations.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, X-A, B, X-B, C, EC, D, X-D,
and E reflect the potential for a near-term rating downgrades
should the performance of the specially serviced and FLOCs continue
to deteriorate. The Negative Outlooks also reflect concerns with
hotel and retail properties due to declines in travel and commerce
as a result of the pandemic. The Stable Outlooks on all other
classes reflects the overall stable performance of the remainder 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 paydown and/or
    defeasance. Upgrades of classes B, X-B, C, and EC would only
    occur with significant improvement in CE and/or defeasance,
    but would be limited unless the specially serviced and FLOCs
    stabilize.

-- An upgrade to classes D, X-D, E and F is not likely until the
    later years in a transaction and only if the performance of
    the remaining pool is stable and/or if there is sufficient CE,
    which would likely occur when the senior classes payoff and if
    the non-rated classes are not eroded. While uncertainty
    surrounding the coronavirus pandemic and the resolution of the
    Hilton Orrington Evanston continues, upgrades are not likely.

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

-- Sensitivity factors that lead to downgrades include an
    increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to classes A-3, A-4, A
    AB, A-S, X-A, B, and X-B are less likely due to the high CE
    but may occur at 'AAAsf' or 'AAsf' should interest shortfalls
    occur or if the probability of an outsized loss on the
    specially serviced loans or a FLOC becomes more likely.

-- Downgrades to classes C and EC would occur should overall pool
    losses increase and/or one or more large loans, such as
    Marriott Midwest Portfolio, have an outsized loss which would
    erode CE and/or the Empire Mall loan defaults.

-- Downgrades to classes D, X-D, and E would occur should loss
    expectations increase due to an increase in specially serviced
    loans or an increase in the certainty of a loss on a specially
    serviced loan. The distressed class F could be further
    downgraded should losses be realized or become more certain.
    The Negative Outlooks may be revised back to Stable if
    performance of the FLOCs and specially serviced loans improves
    and/or properties vulnerable to the pandemic stabilize once
    the health crisis subsides.

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, Fitch expects that a greater
percentage of classes may be assigned a Negative Outlook, or those
with Negative Outlooks will be downgraded one or more categories.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


CITIGROUP COMMERCIAL 2020-555: DBRS Confirms B Rating on G Certs
----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-555, issued by Citigroup
Commercial Mortgage Trust 2020-555 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which remains in line with DBRS Morningstar's
expectations at issuance. The collateral for the underlying loan
consists of the leasehold interest in a 52-story 598-unit apartment
building completed in 2017 in the Hudson Yards neighborhood of New
York. Hudson Yards, Times Square, the theater district, and many
other tourist attractions are within walking distance to the east.

The total financing package for the property consists of a $400.0
million mortgage loan and a nontrust mezzanine loan of $140.0
million. The trust loan consists of a $213.4 million senior trust
note and a $136.6 million junior trust note. In addition, there are
$50.0 million of senior companion loan notes that are not part of
the trust. The 10-year loan matures in December 2029 and pays
interest only (IO) at a fixed rate of 3.52% for its entire term.
The mezzanine loan has an interest rate of 5.60% with IO payments
and a maturity in December 2029. The sponsor for the loan is Extell
Development Company, a New York-based real estate development
company founded by Gary Barnett in 1989, which has a current
portfolio of more than 20 million square feet (sf).

In addition to the multifamily component, there is also 114,745 sf
of retail and community facility space attached to the property,
the bulk of which is occupied by the Success Academy charter
school. The school bought the space from the borrower and thus owns
its own space, with payments to the borrower for the purchase
structured to mimic a lease.

The property also includes a small amount of retail space on the
ground floor on the 10th Avenue side consisting of a nail salon, a
small convenience store, and Kumon, an international private
educational program featuring instruction in math and reading. The
property offers 150 affordable housing units, of which at least 60
must be reserved for residents who earn up to 40% of Area Median
Income (AMI), 60 for up to 60% of AMI earners, and 30 for up to
120% of AMI earners. The property is subject to Section 421-A
regulations, which govern affordable housing requirements. Under
rent stabilization, rent increases are limited to a percentage
determined each year by the Rent Guidelines Board. The property
received a 35-year tax abatement for making affordable housing
available to the community.

The DBRS Morningstar NCF derived at issuance was $25,184,875, with
a DSCR of 1.76x on the whole loan. As of YE2020, the servicer
reported NCF of $24,152,806 and a DSCR of 1.56x on the whole loan.
The December 2020 rent roll showed an occupancy rate of 81.6% for
the residential portion of the property compared with the September
2019 occupancy rate of 97.2%. It appears that nearly all of the
affordable housing units remain occupied, while the fair market
rental units have experienced the majority of the decline in
occupancy. According to the rent collections report for the month
of December 2020 received by the servicer in February 2021, 90% of
the rent for December 2020 had been collected by February 4, 2021.
In addition, the same report noted that rent charged for December
2020 had declined 16.9% from March 2020, roughly in line with the
drop in occupancy since issuance.

The DBRS Morningstar value was $430.8 million at issuance, which
was 51.3% lower than the $885.2 million appraised value provided in
connection with the origination of the whole loan. The DBRS
Morningstar valuation resulted in an LTV of 92.8% for the whole
loan and a 125.3% LTV for the combined whole mortgage loan and
mezzanine loan.

Although the property occupancy and DSCR have been adversely
affected by the Coronavirus Disease (COVID-19) pandemic, the
property is a high-quality residential project, located in a
growing and vibrant neighborhood, with a very strong and
experienced sponsor with knowledge and experience in the market and
property type.

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


COMM 2014-CCRE18: DBRS Confirms CCC Rating on Class F Certs
-----------------------------------------------------------
DBRS, Inc. confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2014-C18 issued by COMM
2014-CCRE18 Mortgage Trust as follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at B (high) (sf)
-- Class F at CCC (sf)

DBRS Morningstar also discontinued and withdrew the rating on Class
X-C as the bond references a certificate that has reported a
realized loss in the unrated Class G certificates. In addition,
DBRS Morningstar removed Class F from Under Review with Negative
Implications, where it was placed on August 6, 2020, and added it
Interest in Arrears designation. Finally, DBRS Morningstar changed
the trend on Class E to Stable from Negative. All other trends are
Stable as well with the exception of Class F, which has a rating
that does not carry a trend.

In March 2020, DBRS Morningstar downgraded the ratings for three
classes because of ongoing concerns with loans in special servicing
and on the servicer's watchlist. The largest loan of concern was
the 22 Exchange loan, secured by a student housing property in
Akron, Ohio. The loan was resolved with a loss in August 2020, with
the $9.7 million loss amount applied to the Class G certificates
with the September 2020 remittance. The loss was in line with DBRS
Morningstar's expectations. For further information on those rating
actions, please see the press release dated March 23, 2020, on the
DBRS Morningstar website.

The rating confirmations for this review reflect the overall stable
performance for the transaction since the March 2020 rating
actions. As of the February 2021 remittance, the trust collateral
consists of 39 of the original 49 loans, totaling $739.6 million.
Since issuance, there has been collateral reduction of 25.8%.

The transaction has exposure to retail and hotel properties,
representing 29.8% and 7.3% of the current pool balance,
respectively, which have been disproportionately affected by the
ongoing Coronavirus Disease (COVID-19) pandemic. This risk is
partially mitigated because the largest loan in the transaction,
Bronx Terminal Market (Prospectus ID#1; 18.2% of the pool), has
minimal credit risk as it is secured by an anchored retail center
in the Bronx, New York, a dense urban location, with collateral
tenants on long-term leases including Target, BJ's Wholesale Club,
Home Depot, and Food Bazaar. The transaction also benefits from
defeasance collateral, as five loans, representing 9.8% of the
current pool balance, are defeased.

As of the February 2021 reporting, there are nine loans,
representing 13.1% of the pool, in special servicing and five
loans, representing 15.5% of the pool, on the servicer's watchlist.
All but two of the loans in special servicing are new transfers
since the February 2020 surveillance review, with all of the new
transfers related to the coronavirus pandemic. Five of the loans in
special servicing (9.3% of the pool) remain current, including the
largest loan in special servicing, City Place Midtown Apartments
(Prospectus ID#5; 5.8% of the pool). This loan, secured by a
multifamily property in downtown Houston, transferred to special
servicing after the borrower requested coronavirus-related relief;
however, the borrower ultimately withdrew the request, and the loan
is expected to be returned to the master servicer.

In general, as the larger loans in special servicing are showing
current and are generally exhibiting pandemic-related stress, a
liquidation scenario was not assumed as part of this review. For
those loans that are expected to take a loss, including the two
smaller loans that have been in special servicing since 2018, the
losses are expected to be contained to the unrated Class G
certificates.

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



COMM 2014-UBS2: DBRS Lowers Class F Certs Rating to CCC
-------------------------------------------------------
DBRS Limited downgraded the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2014-UBS2 issued by COMM
2014-UBS2 Mortgage Trust as follows:

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

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

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)

All trends are Stable with the exception of Classes D, E, and X-B,
which have Negative trends. In addition, Class F has a rating that
does not carry a trend.

With this review, DBRS Morningstar removed Classes D, E, F, and X-B
from Under Review with Negative Implications where they were placed
on August 6, 2020. DBRS Morning also added the Interest in Arrears
designation to Class F.

The downgrades and Negative trends are largely the result of a
larger-than-expected loss for one loan, as further discussed below,
and DBRS Morningstar's negative outlook for some of the remaining
loans in special servicing. In general, these concerns reflect
previous performance declines for the affected collateral that is
now expected to be exacerbated amid the effects of the Coronavirus
Disease (COVID-19) global pandemic.

The Creekside Mixed Use Development (Prospectus ID#15; formerly
2.0% of the pool) was disposed in June 2020, resulting in a
substantial loss to the unrated Class G certificates. The loan was
secured by the borrower's fee and leasehold interest in a Class A,
mixed-use property in Gahanna, Ohio. The collateral was comprised
of retail space, office space, and 84 multifamily units. The loan
transferred to special servicing in September 2014 and became
real-estate owned (REO) in 2017. The servicer initially listed the
property for sale in 2019 and at least two bids were under review
before the pandemic hit; however, given the economic uncertainty
that came with the coronavirus pandemic, both bids were ultimately
revised down by significant amounts and the July 2020 sale price of
$10.0 million was well below the $17.6 million appraisal amount
from November 2019. The loss of just over $24.0 million was
contained to the unrated bonds, but has significantly reduced
credit support for the lowest rated classes, contributing to the
rating downgrades and Negative trend assignments.

As of the February 2021 remittance, 50 of the original 59 loans
remain in the pool, representing a collateral reduction of 15.3%
since issuance. Ten loans, representing 7.5% of the current pool
balance, are fully defeased. Additionally, there are 10 loans,
representing 23.5% of the current trust balance, on the servicer's
watchlist as of the February 2021 remittance. The service is
monitoring these loans for a variety of reasons, including low debt
service coverage ratio (DSCR) and occupancy issues; however, the
primary reason for the increase of loans on the watchlist is the
coronavirus-driven stress for retail and mixed-use properties, with
watchlisted loans backed by those property types generally
reporting a low DSCR.

As of the February 2021 remittance, the pool has four loans,
representing 16.8% of the pool in special servicing. The four loans
in special servicing are Excelsior Crossings (Prospectus ID#3; 8.0%
of the pool), Canyon Crossing (Prospectus ID#8; 4.2% of the pool),
Clemson Student Housing (Prospectus ID#12; 3.0% of the pool), and
Beltway 8 Corporate I (Prospectus ID#19; 1.4% of the pool). In
addition, the transaction has a higher concentration of retail
properties, representing 22.5% of the pool, with 16 loans secured
by both anchored and unanchored retail properties.

In the analysis for this review, DBRS Morningstar assumed a
liquidation scenario for one loan in special servicing, Canyon
Crossing. The loan is secured by an anchored retail center in
Riverside, California, located approximately 55 miles east of Los
Angeles. In early 2018, Toys "R" Us (formerly 24.8% of the net
rentable area (NRA)) and Howard's Appliance and Big Screen
(formerly 6.2% of NRA) both left the property, resulting in a steep
decline in occupancy. The loan first transferred to special
servicing in November 2018 and the property became REO in September
2019.

According to the September 2020 appraisal, the property was valued
at $43.2 million, a 30.8% decline from the issuance value of $62.9
million. The 2020 value implies an in-place loan-to-value ratio of
98.0%, compared with 71.1% at issuance. The borrower failed to
backfill the vacant anchor box prior to the pandemic, and finding a
replacement tenant in a stressed retail environment has proven to
be a challenge. In the liquidation scenario, a substantial haircut
was applied to the 2020 value given the extended period of elevated
vacancy for the property prior to the onset of the pandemic that is
likely to be exacerbated by the effects of the pandemic-related
uncertainty, resulting in a loss severity of approximately 24.8%.

DBRS Morningstar is also closely monitoring another loan in the
Beltway 8 Corporate I loan that transferred to special servicing
with the February 2021 remittance. The loan is secured by a
two-story, Class A suburban office building in Houston, Texas. The
property was previously 100% leased to two tenants, Cameron
International Corporation (51.3% of the NRA before vacating the
property in February 2021) and the remaining tenant, Sava (48.7% of
the NRA through December 2028). Cash flows at the property have
been depressed since 2018 when the borrower gave Sava a year of
free rent as part of its lease renewal. With the largest tenant
vacating the property, cash flows will be insufficient to cover
debt service payments. According to the most recent financials,
there is $1.3 million in a lease sweep reserve account that was
collected as part of a trigger event related to the largest
tenant's lease expiry. The Houston office market is generally
challenged and the Northwest submarket metrics are undesirable,
with Reis showing a 2020 vacancy rate of 29.6% up from 27.7% the
year prior. This loan was analyzed with a significantly increased
probability of default to increase the expected loss in the
analysis for this review.

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



ELEVATION 2021-12: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elevation
CLO 2021-12 Ltd./Elevation CLO 2021-12 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 10,
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

  Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC

  Class X(i), $4.00 million: AAA (sf)
  Class A, $252.00 million: AAA (sf)
  Class B, $52.00 million: AA (sf)
  Class C-1 (deferrable), $16.00 million: A+ (sf)
  Class C-2 (deferrable), $8.00 million: A (sf)
  Class D-1 (deferrable), 16.00 million: BBB+ (sf)
  Class D-2 (deferrable), $8.00 million: BBB- (sf)
  Class E (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $42.19 million: Not rated

(i)Class X notes are expected to begin amortizing using interest
proceeds beginning in July 20, 2021. It is expected that
$333,333.33 will be paid down on each payment date for the first 12
payment dates.



ELMWOOD CLO VIII: S&P Assigns B- (sf) Rating on Class F-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Elmwood CLO VIII
Ltd./Elmwood CLO VIII LLC's floating-rate notes.

The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The 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

  Elmwood CLO VIII Ltd./Elmwood CLO VIII LLC

  Class A-1, $576.00 million: AAA (sf)
  Class A-2, $96.00 million: AAA (sf)
  Class B-1, $108.00 million: AA (sf)
  Class B-2, $18.00 million: AA (sf)
  Class C-1 (deferrable), $54.00 million: A (sf)
  Class C-2 (deferrable), $9.00 million: A (sf)
  Class D-1 (deferrable), $54.00 million: BBB- (sf)
  Class D-2 (deferrable), $9.00 million: BBB- (sf)
  Class E-1 (deferrable), $31.50 million: BB- (sf)
  Class E-2 (deferrable), $5.25 million: BB- (sf)
  Class F-1 (deferrable), $9.00 million: B- (sf)
  Class F-2 (deferrable), $1.50 million: B- (sf)
  Subordinated notes, $94.50 million: Not rated


EXANTAS CAPITAL 2020-RSO8: DBRS Confirms B (low) Rating on G Notes
------------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of notes issued by
Exantas Capital Corp. 2020-RSO8, Ltd. as follows:

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

All trends are Stable.

The ratings confirmations reflect the overall stable performance of
the transaction since issuance in March 2020. To date, four loans
have been repaid in full, resulting in collateral reduction of
9.0%. As of the January 2021 remittance, the transaction consisted
of 28 loans secured by 31 transitional properties, totaling $464.1
million. The bulk of the contributed loans are secured by cash
flowing assets that are in a period of transition with plans to
stabilize and improve the asset value.

Of the outstanding collateral, 24 loans were structured with future
funding, available to the individual borrowers to fund capital
improvements and leasing costs to aid in property stabilization.
Through January 2021, future funding has been advanced for 16
loans, with those amounts purchased by the Issuer and contributed
to the trust, totaling $11.0 million. There is approximately $21.7
million in total available future funding proceeds that has yet to
be released to borrowers.

DBRS Morningstar reviewed the Q3 2020 asset status report provided
by the collateral manager to analyze the current performance of the
collateral and each borrower's progress in achieving its stated
business plan at loan closing. Overall, the properties in the pool
are reporting positive progress in towards the respective
stabilization goals with improvements in operating cash flow driven
by improvement in rental rates and occupancy gains. The collateral
is concentrated by property type as there are 19 loans (72.9% of
the current pool balance) secured by multifamily properties and
five loans (17.6% of the current pool balance) secured by office
properties. There are no loans secured by retail properties and
only one loan (3.0% of the current pool balance) secured by a hotel
property. As of January 2021 reporting, all loans remain current
and there is only one loan on the servicer's watchlist: the lone
hotel loan, Hampton Inn Plymouth Meeting (Prospectus ID#16). This
loan received a 90-day forbearance from June 2020 through August
2020; however, according to the collateral manager, the borrower
has not complied with the terms of the forbearance agreement and
corrective action options are currently being evaluated.

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


FANNIE MAE 2002-W6: Moody's Assigns Ca Rating to Class M Notes
--------------------------------------------------------------
Moody's Investors Service has assigned a rating to Cl. M from
Fannie Mae REMIC Trust 2002-W6. This transaction is backed by FHA
and VA mortgage loans.

A List of Affected Credit Ratings is available at
https://bit.ly/38IaNsM

Complete rating actions are as follows:

Issuer: Fannie Mae REMIC Trust 2002-W6

Cl. M, Assigned Ca (sf); previously on May 3, 2019 Withdrawn (sf)

RATINGS RATIONALE:

The assignment of the rating on Cl. M from Fannie Mae REMIC Trust
2002-W6 reflects the correction of a prior error. The rating of
this tranche was previously withdrawn due to an internal data
error. This error has now been corrected and the rating has been
reassigned.

The rating action reflects the recent performance as well as
Moody's updated loss expectations on the underlying pool. In light
of the current macroeconomic environment, Moody's revised loss
expectations based on the extent of performance deterioration of
the underlying mortgage loans, resulting from a slowdown in
economic activity and increased unemployment due to the coronavirus
outbreak. Specifically, Moody's have observed an increase in
delinquencies since the start of pandemic, which could result in
higher realized losses. The 60+ delinquency pipeline for this deal
increased by approximately 9% over the last year. In response to
the COVID-19 spurred economic shock, the Federal Housing
Administration (FHA) and the Department of Veterans Affairs (VA)
have enacted temporary policies that allow servicers to offer
payment forbearance to borrowers financially impacted by COVID-19.
In addition, the FHA and VA have loss mitigation options to assist
borrowers at the end of the forbearance period to help repay the
missed payments.

In Moody's analysis, Moody's increased our model-derived expected
losses by approximately 10% to reflect the performance
deterioration resulting from a slowdown in US economic activity in
2020 due to the COVID-19 outbreak.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of residential mortgage loans from a gradual and
unbalanced recovery in US economic activity.

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

Principal Methodologies:

The principal methodology used in this rating was "FHA-VA US RMBS
Surveillance Methodology" published in July 2020.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


FINANCE OF AMERICA 2021-HB1: DBRS Finalizes BB(low) on M4 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes to be issued by Finance of America HECM Buyout
2021-HB1:

-- $413.3 million Asset-Backed Notes, Series 2021-HB1 Class A at
AAA (sf)

-- $45.8 million Asset-Backed Notes Series 2021-HB1 Class M1 at AA
(low) (sf)

-- $33.0 million Asset-Backed Notes Series 2021-HB1 Class M2 at A
(low) (sf)

-- $29.1 million Asset-Backed Notes Series 2021-HB1 Class M3 at
BBB (low) (sf)

-- $26.2 million Asset-Backed Notes Series 2021-HB1 Class M4 at BB
(low) (sf)

The AAA (sf) rating reflects 27.67% of credit enhancement. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), and BB (low) (sf) ratings
reflect 19.66%, 13.89%, 8.79%, and 4.21% of credit enhancement,
respectively.

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

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

As of the December 31, 2020, Cut-Off Date, the collateral had
approximately $571.4 million in unpaid principal balance (UPB) from
2,551 performing and nonperforming home equity conversion mortgage
reverse mortgage loans secured by first liens typically on
single-family residential properties, condominiums, multifamily
(two- to four-family) properties, manufactured homes, and planned
unit developments. Of the total loans, 1,761 have fixed-rate
interest (71.93% of the balance) with a weighted-average coupon
(WAC) of 5.03%. The remaining 790 loans have floating-rate interest
(28.07% of the balance) with a WAC of 3.00%, bringing the entire
collateral pool to a WAC of 4.46%.

As of the Cut-Off Date, the loans in this transaction are both
performing and nonperforming (i.e., inactive). There are 530
performing loans comprising 24.50% of the total UPB. As for the
2,021 nonperforming loans, 785 loans are referred for foreclosure
(30.91% of the balance), 107 are in bankruptcy status (4.04%), 470
are called due following recent maturity (18.75%), 156 are real
estate owned (REO; 5.63%), two are referred (0.06%), and the
remaining 501 are in default (16.10%). However, all these loans are
insured by the United States Department of Housing and Urban
Development (HUD), which mitigates losses vis-à-vis uninsured
loans. Because the insurance supplements the home value, the
industry metric for this collateral is not the loan-to-value ratio
(LTV) but rather the WA effective LTV adjusted for HUD insurance,
which is 54.48% for the loans in this pool. To calculate the WA
LTV, DBRS Morningstar divides the UPB by the maximum claim amount
and the asset value.

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

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


FREDDIE MAC 2021-DNA2: DBRS Gives Prov. BB Rating on 3 Certificates
-------------------------------------------------------------------
DBRS, Inc. assigns the following provisional ratings to the
Structured Agency Credit Risk (STACR) REMIC 2021-DNA2 Notes (the
Notes) issued by Freddie Mac STACR REMIC Trust 2021-DNA2 (STACR
2021-DNA2):

-- $264.0 million Class M-1 at BBB (sf)
-- $198.0 million Class M-2A at BBB (low) (sf)
-- $198.0 million Class M-2B at BB (high) (sf)
-- $132.0 million Class B-1A at BB (sf)
-- $132.0 million Class B-1B at B (high) (sf)
-- $396.0 million Class M-2 at BB (high) (sf)
-- $396.0 million Class M-2R at BB (high) (sf)
-- $396.0 million Class M-2S at BB (high) (sf)
-- $396.0 million Class M-2T at BB (high) (sf)
-- $396.0 million Class M-2U at BB (high) (sf)
-- $396.0 million Class M-2I at BB (high) (sf)
-- $198.0 million Class M-2AR at BBB (low) (sf)
-- $198.0 million Class M-2AS at BBB (low) (sf)
-- $198.0 million Class M-2AT at BBB (low) (sf)
-- $198.0 million Class M-2AU at BBB (low) (sf)
-- $198.0 million Class M-2AI at BBB (low) (sf)
-- $198.0 million Class M-2BR at BB (high) (sf)
-- $198.0 million Class M-2BS at BB (high) (sf)
-- $198.0 million Class M-2BT at BB (high) (sf)
-- $198.0 million Class M-2BU at BB (high) (sf)
-- $198.0 million Class M-2BI at BB (high) (sf)
-- $198.0 million Class M-2RB at BB (high) (sf)
-- $198.0 million Class M-2SB at BB (high) (sf)
-- $198.0 million Class M-2TB at BB (high) (sf)
-- $198.0 million Class M-2UB at BB (high) (sf)
-- $264.0 million Class B-1 at B (high) (sf)
-- $132.0 million Class B-1AR at BB (sf)
-- $132.0 million Class B-1AI at BB (sf)

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

The BBB (sf), BBB (low) (sf), BB (high) (sf), BB (sf), and B (high)
(sf) ratings reflect 2.000%, 1.625%, 1.250%, 1.000%, and 0.750% of
credit enhancement, respectively. Other than the specified classes
above, DBRS Morningstar does not rate any other classes in this
transaction.

STACR 2021-DNA2 is the 25th transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 172,929
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were estimated to be originated
on or after September 2019 and were securitized by Freddie Mac
between August 16, 2020, and September 30, 2020.

On the Closing Date, the trust will enter into a Collateral
Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as
the credit protection buyer, will be required to make transfer
amount payments. The trust is expected to use the aggregate
proceeds realized from the sale of the Notes to purchase certain
eligible investments to be held in a custodian account. The
eligible investments are restricted to highly rated, short-term
investments. Cash flow from the Reference Pool will not be used to
make any payments; instead, a portion of the eligible investments
held in the custodian account will be liquidated to make principal
payments to the Noteholders and return amount, if any, to Freddie
Mac upon the occurrence of certain specified credit events and
modification events.

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available. DBRS Morningstar did
not run interest rate stresses for this transaction, as the
interest is not linked to the performance of the reference
obligations. Instead, the trust will use the net investment
earnings on the eligible investments together with Freddie Mac's
transfer amount payments to pay interest to the Noteholders.

In this transaction, approximately 50.9% of the loans were
originated using property values determined using Freddie Mac's
automated collateral evaluation (ACE) assessment rather than a
traditional full appraisal. Loans where the property values were
determined using ACE assessments generally have better credit
attributes.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR DNA
transactions, beginning with the STACR 2018-DNA2 transaction, there
has been a revision to principal allocation. The scheduled
principal in prior transactions was allocated pro rata between the
senior and nonsenior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro rata subject to certain performance tests being met.
For the more recent transactions, the scheduled and unscheduled
principal will be combined and only allocated pro rata between the
senior and nonsenior tranches if the performance tests are
satisfied. For the STACR 2021-DNA2 transaction, the minimum credit
enhancement test—one of the three performance tests—has been
set to fail at the Closing Date, thus locking out the rated classes
from initially receiving any principal payments until the
subordination percentage grows from 2.50% to 2.75%. Additionally,
the nonsenior tranches will also be entitled to supplemental
subordinate reduction amount if the offered reference tranche
percentage increases above 5.50%. The interest payments for these
transactions are not linked to the performance of the reference
obligations except to the extent that modification losses have
occurred.

STACR 2021-DNA2 is the first DNA transaction with a STACR REMIC
structure with a 12.5 year deal term. The Notes will be scheduled
to mature on the payment date in August 2033, but will be subject
to mandatory redemption prior to the scheduled maturity date upon
the termination of the CAA.

The sponsor of the transaction will be Freddie Mac. U.S. Bank
National Association (rated AA (high) with a Negative trend and R-1
(high) with a Stable trend by DBRS Morningstar) will act as the
Indenture Trustee, Exchange Administrator, and Custodian.
Wilmington Trust, National Association (rated AA (low) with a
Negative trend and R-1 (middle) with a Stable trend by DBRS
Morningstar) will act as the Owner Trustee.

The Reference Pool consists of approximately 0.6% of loans
originated under the Home Possible program. Home Possible is
Freddie Mac's affordable mortgage product designed to expand the
availability of mortgage financing to creditworthy low- to
moderate-income borrowers.

If a reference obligation is refinanced under the Enhanced Relief
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The Enhanced Relief Refinance
Program provides refinance opportunities to borrowers with existing
Freddie Mac mortgages who are current in their mortgage payments
but whose LTV ratios exceed the maximum permitted for standard
refinance products. The refinancing and replacement of a reference
obligation under this program will not constitute a credit event.

For this transaction, if a loan becomes delinquent and the related
servicer reports that such loan is in disaster forbearance before
or in the reporting periods related to the payment dates in March
2021 as a result of Hurricane Laura or April 2021 as a result of
Hurricane Sally, Freddie Mac will remove the loan from the pool to
the extent the related mortgaged property is located in a Federal
Emergency Management Agency (FEMA) major disaster area and in which
FEMA had authorized individual assistance to homeowners in such
area as a result of Hurricane Laura, Hurricane Sally, or any other
hurricane that affects such related mortgaged property prior to the
Closing Date.

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an economic contraction, leading to
sharp increases in unemployment rates and income reductions for
many consumers. DBRS Morningstar anticipates that delinquencies may
continue to raise in the coming months for many residential
mortgage-backed securities asset classes, some meaningfully.

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies, loans on forbearance plans, and a potential
near-term decline in the values of the mortgaged properties. Such
deteriorations may adversely affect borrowers' ability to make
monthly payments, refinance their loans, or sell properties in an
amount sufficient to repay the outstanding balance of their loans.

In connection with the economic stress assumed under the moderate
scenario in its commentary, see "Global Macroeconomic Scenarios:
January 2021 Update," published on January 28, 2021, for the
government-sponsored enterprise (GSE CRT) asset class, DBRS
Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than it previously used.
DBRS Morningstar derives such MVD assumptions through a fundamental
home price approach based on the forecast unemployment rates and
GDP growth outlined in the aforementioned moderate scenario. In
addition, for pools with loans on forbearance plans, DBRS
Morningstar may assume higher loss expectations above and beyond
the coronavirus assumptions. Such assumptions translate to higher
expected losses on the collateral pool and correspondingly higher
credit enhancement.

In the GSE CRT asset class, while the full effect of the
coronavirus may not occur until a few performance cycles later,
DBRS Morningstar generally believes that loans with layered risk
(low FICO score with high LTV/high debt-to-income ratio) may be
more sensitive to economic hardships resulting from higher
unemployment rates and lower incomes. Additionally, higher
delinquencies might cause a longer lockout period or a redirection
of principal allocation away from outstanding rated classes because
performance triggers failed.

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


GCAT 2021-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned ratings to GCAT 2021-NQM1's mortgage
pass-through certificates. Based on updated information, S&P
assigned an 'A+ (sf)' rating to the class A-3 certificates, which
is higher than the preliminary 'A (sf)' rating assigned. S&P's
ratings on the other classes are unchanged from the preliminary
ratings.

The 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 534 loans, which
are nonqualified or ability-to-repay (ATR)-exempt mortgage loans.

The 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 that the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and the 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

  GCAT 2021-NQM1

  Class A-1, $217,202,000: AAA (sf)
  Class A-2, $17,174,000: AA (sf)
  Class A-3, $32,761,000: A+ (sf)
  Class M-1, $11,112,000: BBB (sf)
  Class B-1, $5,773,000: BB (sf)
  Class B-2, $3,608,000: B (sf)
  Class B-3, $1,011,030: 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.
N/A--Not applicable.


GLS AUTO 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned ratings to GLS Auto Receivables Issuer
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 ratings reflect:

-- The availability of approximately 57.4%, 49.6%, 40.4%, 31.8%,
and 27.0% of credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 2.85x, 2.43x, 1.95x, 1.50x, and 1.25x S&P's
19.50%-20.50% expected cumulative net losses (CNLs) for the class
A, B, C, D, and E notes, respectively. These break-even scenarios
withstand cumulative gross losses (CGLs) of approximately 91.8%,
79.3%, 67.3%, 53.0%, and 44.9%, respectively.

-- S&P's expectations that under a moderate ('BBB') stress
scenario (1.60x its expected loss level), all else being equal, the
'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB- (sf)', and 'BB- (sf)'
ratings on the class A, B, C, D, and E notes, respectively, will be
within the credit stability limits specified by section A.4 of the
Appendix contained in S&P Global Rating Definitions.

-- S&P's analysis of over six years of origination static pool and
securitization performance data on Global Lending Services LLC's 12
Rule 144A securitizations.

-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.

-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A, B, C, D, and E notes.

-- The timely interest and principal payments made to the notes
under our stressed cash flow modeling scenarios, which S&P believes
are appropriate for the assigned ratings.

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

  GLS Auto Receivables Issuer Trust 2021-1

  Class A, $153.41 million: AAA (sf)
  Class B, $48.02 million: AA (sf)
  Class C, $46.87 million: A (sf)
  Class D, $41.80 million: BBB- (sf)
  Class E, $25.24 million: BB- (sf)


GS MORTGAGE 2014-GC20: Fitch Lowers Rating on 2 Tranches to 'C'
---------------------------------------------------------------
Fitch Ratings has downgraded nine classes and affirmed three
classes of GS Mortgage Securities Trust Series 2014-GC20 commercial
mortgage pass-through certificates.

    DEBT                 RATING            PRIOR
    ----                 ------            -----
GSMS 2014-GC20

A-4 36252WAW8      LT  AAAsf   Affirmed    AAAsf
A-5 36252WAX6      LT  AAAsf   Affirmed    AAAsf
A-AB 36252WAY4     LT  AAAsf   Affirmed    AAAsf
A-S 36252WBB3      LT  AAsf    Downgrade   AAAsf
B 36252WBC1        LT  A-sf    Downgrade   AA-sf
C 36252WBE7        LT  BBB-sf  Downgrade   A-sf
D 36252WAE8        LT  CCCsf   Downgrade   Bsf
E 36252WAG3        LT  Csf     Downgrade   CCCsf
PEZ 36252WBD9      LT  BBB-sf  Downgrade   A-sf
X-A 36252WAZ1      LT  AAsf    Downgrade   AAAsf
X-B 36252WBA5      LT  A-sf    Downgrade   AA-sf
X-C 36252WAA6      LT  Csf     Downgrade   CCCsf

KEY RATING DRIVERS

Increased Loss Expectations/Three Westlake Park: The downgrades to
classes A-S through E reflect further certainty of losses from the
Three Westlake Park asset (10.1%) after the recent liquidation of a
comparable property (Two Westlake Park) in December 2020.

Fitch's current ratings incorporated a base case loss of 17.5%. The
Negative Outlooks on classes A-S through E reflect that losses
could reach 18.6% when factoring in additional coronavirus-related
stresses.

Three Westlake Park was transferred to special servicing in October
2018 for imminent default and became real estate owned (REO) in
July 2019. The asset is a 19-story office building located in
Houston's Energy Corridor. At issuance, it was nearly fully
occupied by two tenants, ConocoPhillips (57.7% of the net rentable
area [NRA]) and BP Amoco (40.8% of the NRA). However, BP vacated
before its November 2016 lease expiration and ConocoPhillips
vacated before its February 2019 lease expiration.

ConocoPhillips maintains its headquarters less than two miles from
the subject and has been consolidating their Houston employees into
the nearby Energy Center Three and Four. The special servicer has
no immediate disposition plans as it addresses deferred maintenance
at the property. Given the recent sale of Two Westlake Park, weak
market conditions and increasing exposure from fees and advances,
Fitch does not expect any recovery on the asset; this analysis is
the primary driver of the downgrades.

Fitch Loans of Concern (FLOC): In addition to Three Westlake Park,
Fitch has designated six other loans (25.2%) as FLOCs. The largest
is the Greene Town Center (10.6%), which is an open-air, mixed-use
lifestyle center located in Beavercreek, OH. The collateral
consists of retail (566,634 sf), office (143,343 sf) and
residential space (206 units totaling 199,248 sf). Other anchors
include Von Maur (ground lease; 130,000 sf) and a non-collateral
14-screen Cinemark movie theater. In May 2020, the borrower has
requested forbearance and expressed that many of the tenants will
not be able to make their rent payments going forward. However, an
agreement has yet to be reached. The loan was designated a FLOC due
to its delinquency status (borrower is currently delinquent for
January and February 2021 payments), upcoming lease rollover and
coronavirus performance concerns. As of September 2020, the debt
service coverage ratio (DSCR) and occupancy were reported to be
1.42x and 95%, respectively.

The third largest FLOC is the Sheraton Suites Houston loan (4.7%).
It is secured by a 283-key, full-service hotel located near the
Houston Galleria. The loan transferred to the special servicer in
May 2020, and the property became REO in February 2021 after the
lender and borrower executed a deed in lieu of foreclosure. A new
franchise agreement has been executed and a rebranding effort is
underway. The servicer is planning a $11 million property
improvement plan (PIP) in order to complete the transition to a
Hilton hotel. Reported occupancy as of the TTM period ending June
2020 was 55%, and reported RevPar was $60.70. Fitch expects a
prolonged disposition timeframe and the potential for significant
trust expenses due to the PIP and limited investor interest for
hotel assets.

The Oklahoma Hotel Portfolio (3.2) loan is the fourth largest FLOC;
it is secured by two full service hotels and one limited service
hotel totaling 320 keys. The loan transferred to special servicing
in October 2019 due to franchise defaults at two of the hotels. The
servicer reports that the borrower is in process of executing new
franchise agreements for two of the hotels and a loan modification
is being discussed.

Continued Paydown/Increase in Credit Enhancement: Credit
enhancement has increased since issuance due to loan payoffs,
scheduled amortization and defeasance. As of the February 2021
distribution date, the pool's aggregate principal balance has been
paid down by 35.1% to $767.3 million from $1.18 billion at
issuance. Twelve loans (16.1% of pool) are fully defeased,
including three loans in the top 15.

Exposure to Coronavirus: Loans secured by retail, hotel and
multifamily properties represent 23.5% of the pool (17 loans), 9.1%
(four loans) and 10.2% (nine loans), respectively. The retail loans
have a weighted average (WA) NOI DSCR of 1.70x and can withstand an
average 41.2% decline to NOI before DSCR falls below 1.00x. The
hotel loans (excluding the Sheraton Suites Houston) have a WA NOI
DSCR of 1.58x and can withstand a 36.7% decline to NOI before the
DSCR falls below 1.0x. The multifamily loans have a WA NOI DSCR of
1.79x and can withstand a 44.1% decline to NOI before DSCR falls
below 1.00x.

Fitch's analysis applied additional coronavirus-related stresses on
10 retail loans (15.9%), one hotel loans (0.5%) and one multifamily
loan (2%) to account for potential cash flow disruptions due to the
coronavirus pandemic. These additional stresses contributed to the
Negative Rating Outlooks on classes A-S through E.

RATING SENSITIVITIES

Classes A-1 through A-AB have Stable Outlooks due to sufficient
credit enhancement relative to expected losses and expected
continued amortization. The Negative Outlooks on classes A-S
through E, exchangeable class PEZ and interest-only classes X-A,
X-B and X-C reflect the possibility of further downgrade due to
significant losses expected from the liquidation of Three Westlake
Park, uncertainty with the outcome of the two other specially
serviced assets (Sheraton Suites Houston and Oklahoma Hotel
Portfolio) and the reduced economic activity as a result of the
coronavirus pandemic.

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

-- Upgrades are currently not expected given the uncertainty
    surrounding the duration of the pandemic and the expectation
    of significant losses from the Three Westlake Park asset.
    Sensitivity factors that could lead to upgrades would include
    stable to improved asset performance, particularly on the
    FLOCs, and additional paydown and/or defeasance.

-- Upgrades to classes A-S, B and C may occur with the better
    than expected recoveries from the specially serviced
    loans/assets and other loans susceptible to the pandemic that
    may result in scenarios better than currently expected.
    Classes would not be upgraded above 'Asf' if there were
    likelihood of interest shortfalls.

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

-- Sensitivity factors that lead to downgrades include an
    increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to classes A-4, A
    5 and A-AB are not likely due to the position in the capital
    structure, but may occur should interest shortfalls affect
    these classes.

-- Further downgrades to classes A-S, B and C may occur should
    overall loss expectations increase due to a continued decline
    in the performance of the FLOCs (in particular the Sheraton
    Suites Houston and Oklahoma Hotel Portfolio), additional loans
    default and/or transfer to special servicing and/or loans
    susceptible to the pandemic not stabilize. Downgrades to the
    distressed classes D and E will 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

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


GS MORTGAGE 2014-GC22: DBRS Confirms B Rating on Class F Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-GC22
issued by GS Mortgage Securities Trust 2014-GC22:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PEZ at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-D at B (high) (sf)
-- Class F at B (sf)

DBRS Morningstar removed classes X-D and F from Under Review with
Negative Implications where it had placed them on August 6, 2020.
All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the February 2021 remittance,
the initial trust balance of $961.5 million has been reduced by
15.2% to $815.5 million, with 55 of the original 59 loans remaining
in the pool. The transaction is concentrated by property type as 20
loans, representing 26.8% of the pool, are secured by retail
collateral and nine loans, representing 23.0% of the pool, are
secured by office collateral.

As of the February 2021 remittance, two loans, representing 2.0% of
the pool, are in special servicing and 16 loans, representing 41.9%
of the pool, are on the servicer's watchlist, including two of the
three largest loans in the pool. Maine Mall (Prospectus ID#1; 13.5%
of the pool), secured by a super-regional mall in South Portland,
Maine, was added to the watchlist in April 2020 for declining debt
service coverage ratio (DSCR) and for a borrower's Coronavirus
Disease (COVID-19) relief request. The mall has seen its occupancy
fall to as low as 75% after its Bon Ton anchor (16.5% of the net
rentable area (NRA)) vacated in 2017. The space remained vacant
until July 2020 when Jordan's Furniture was signed as a replacement
tenant. As of Q3 2020 occupancy has increased to 92.3% with the
loan's annualized DSCR being reported at 1.34 times.

The Epicenter loan (Prospectus ID#3; 10.4% of the pool), secured by
a mixed-use property in downtown Charlotte, North Carolina, is
being monitored on the servicer's watchlist for occupancy declines.
The property, which mainly consists of retail and entertainment
space, has been affected by restrictions related to the coronavirus
pandemic. Local news articles report that five restaurant and bar
tenants were evicted from the property in October 2020 with an
additional four tenants having been evicted in December 2020.
Servicer commentary notes that the property is only 35% occupied as
of January 2021. Foot traffic at the property had begun to decline
following several instances of violent crime on the premises. In
addition, the property was hampered for a good portion of 2020 as
North Carolina banned indoor dining during the initial stages of
the pandemic. While dining has reopened subject to capacity limits,
lack of activity at the convention center and nearby offices
continues to impede foot traffic. DBRS Morningstar has inquired
about any leasing updates and the status of the loan ahead of its
June 2021 maturity.

DBRS Morningstar is also monitoring the Maccabees Center loan
(Prospectus ID#12; 2.3% of the pool) for significant occupancy
declines in the last year. This loan, secured by a class B office
in Southfield, Michigan, saw its two largest tenants, collectively
47.0% of the NRA, vacate at their respective lease expires in
February 2020 and December 2020. With those departures, occupancy
has dropped from 83% to approximately 35% as of January 2021.

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


GS MORTGAGE 2014-GC26: DBRS Lowers Class F Certs Rating to CCC
--------------------------------------------------------------
DBRS Limited downgraded three classes of the Commercial Mortgage
Pass-Through Certificates, Series 2014-GC26 issued by GS Mortgage
Securities Trust 2014-GC26 as follows:

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

DBRS Morningstar also removed Classes D, E, and F from Under Review
with Negative Implications, where they were placed on August 6,
2020.

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

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class PEZ at A (sf)

DBRS Morningstar discontinued its rating on Class A-3 as it was
repaid with the February 2021 remittance. DBRS Morningstar also
discontinued its ratings on Classes X-C and X-D because the
reference obligations, Classes E and F, were downgraded to CCC
(sf).

Classes C, PEZ, and D have Negative trends. Classes E and F have
ratings that do not carry a trend. All other trends are Stable.

The rating downgrades reflect DBRS Morningstar's outlook for the
ultimate resolution of the largest loan in the pool, Queen
Ka'ahumanu Center (Prospectus ID#1, 8.2% of the pool), which
transferred to special servicing in June 2020 for imminent monetary
default. As of the February 2021 remittance, the loan was last paid
in October 2020 and is more than 90 days delinquent. Although a
workout strategy has yet to be finalized, the special servicer has
confirmed that foreclosure and receivership is being pursued, while
dual tracking other alternatives. The collateral property is an
anchored retail center in Kahului, Hawaii, anchored by Macy's,
Macy's Men and Home, and Sears, all of which are part of the
collateral. The property has reported net cash flow (NCF) and
overall sales declines since 2017, with the property showing issues
even prior to the Coronavirus Disease (COVID-19) pandemic. The loan
reported a YE2019 NCF of $3.4 million and a debt service coverage
ratio (DSCR) of 0.79 times (x), compared with a YE2018 DSCR of
1.15x and a YE2017 DSCR of 1.39x. Comparatively, the DBRS
Morningstar-adjusted NCF at issuance was $5.7 million, with a DBRS
Morningstar-adjusted DSCR of 1.05x. The loan had an initial
five-year interest-only (IO) period, which expired in November
2019.

The cash flow declines have been entirely driven by revenue drops
from issuance, as total expenses have generally been reported in
line with or even significantly below the issuance figures. Revenue
declines have been driven by lower rental rates and slight
occupancy declines, with rates ranging between 90.0% and 93.0%
between 2017 and 2019, compared with an occupancy rate of 93.0% at
issuance. The service provided a December 2020 rent roll that
showed an occupancy rate of 88.4%, suggesting that the coronavirus
pandemic has accelerated these trends to a certain extent.

Given the sustained declines in revenue, the likelihood that
further declines are coming, and the property's exposure to Sears
(which appears to be on the way to closing all of its stores) and
Macy's (which has announced plans to close at least 20% of its
store count over the next three years), the risks for this loan are
significantly increased from issuance. As part of this review, a
deep haircut to the issuance appraisal was assumed in an applied
liquidation scenario for this loan that resulted in a loss severity
in excess of 50.0%.

The trust had realized losses of $12.9 million as of the February
2021 remittance, reflecting the most recent loan liquidation of the
Staybridge Suites Lafayette loan (Prospectus ID#27) which was
resolved with an $8.2 million loss. All losses to date have been
contained to the nonrated Class H. These prior losses combined with
the liquidation scenario assumed for the Queen Ka'ahumanu Center
loan suggest significant negative pressure on the lowest-rated
classes, Classes E and F, which were downgraded to CCC (sf) with
this review, and also for Class D, which was downgraded to B (high)
(sf) with this review.

According to the February 2021 remittance, 80 of the original 92
loans remain in the trust, representing a collateral reduction of
15.6% since issuance. The pool is fairly concentrated by property
type, with 41.9% of the pool secured by retail properties and 26.2%
of the pool secured by office properties. Five loans, representing
11.3% of the current pool balance, are in special servicing and 14
loans, representing 26.7% of the current pool balance, are on the
servicer's watchlist. The watchlisted loans are being monitored for
tenant rollover, low DSCRs, and/or occupancy issues, some of which
are caused by disruptions related to the coronavirus pandemic.

The third-largest loan in the pool, the 5599 San Felipe loan
(Prospectus ID#3, 7.4% of the pool), is secured by a Class A office
property in Houston's Galleria submarket. This loan is on the
watchlist because of a low DSCR, with Q3 2020 financials reporting
a DSCR of 1.08x, compared with a YE2019 DSCR of 2.07x and a DBRS
Morningstar-adjusted DSCR at issuance of 1.56x. The decline in NCF
is a result of the coronavirus pandemic, as base rent and parking
income have declined over the YE2019 figures. The property is well
occupied, with the occupancy rate reported at 92.4% as of the Q3
2020 financials; however, DBRS Morningstar notes that the
property's largest tenant is Schlumberger Limited, an oil and gas
firm that occupies 72.1% of the net rentable area and has been in
the news in recent years because of mass layoffs and possibly
moving its headquarters from the subject property. Although plans
to move the headquarters do not appear to have materialized,
challenges for the firm amid the current economic environment and
previous downturns in the energy markets remain. In addition to the
tenant risk, the submarket is soft, with a Q4 2020 vacancy rate of
23.7%, according to Reis. According to the servicer, a portion of
Schlumberger Limited's tenant improvement reserve was used to cover
the tenant's base rent instead of for future improvements to the
space. Based on the February 2021 loan-level reserve report, the
tenant improvement reserve had an ending balance of $5.3 million.
Given these increased risks, DBRS Morningstar applied a probability
of default penalty for this loan to increase the expected loss in
the analysis for this review.

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


GS MORTGAGE 2021-PJ2: DBRS Finalizes B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2021-PJ2 (the
Certificates) issued by GS Mortgage-Backed Securities Trust
2021-PJ2:

-- $363.5 million Class A-1 at AAA (sf)
-- $363.5 million Class A-2 at AAA (sf)
-- $43.0 million Class A-3 at AAA (sf)
-- $43.0 million Class A-4 at AAA (sf)
-- $272.6 million Class A-5 at AAA (sf)
-- $272.6 million Class A-6 at AAA (sf)
-- $90.9 million Class A-7 at AAA (sf)
-- $90.9 million Class A-8 at AAA (sf)
-- $406.4 million Class A-9 at AAA (sf)
-- $406.4 million Class A-10 at AAA (sf)
-- $406.4 million Class A-X-1 at AAA (sf)
-- $363.5 million Class A-X-2 at AAA (sf)
-- $43.0 million Class A-X-3 at AAA (sf)
-- $272.6 million Class A-X-5 at AAA (sf)
-- $90.9 million Class A-X-7 at AAA (sf)
-- $6.4 million Class B-1 at AA (sf)
-- $5.8 million Class B-2 at A (sf)
-- $4.3 million Class B-3 at BBB (sf)
-- $1.3 million Class B-4 at BB (sf)
-- $1.1 million Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-5, and A-X-7 are interest-only
certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-8, A-9, A 10, and A-X-2 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates as specified in the offering
documents.

Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior
certificates. These classes benefit from additional protection from
the senior support certificates (Classes A-3 and A-4) with respect
to loss allocation.

The AAA (sf) ratings on the Certificates reflect 4.95% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.45%, 2.10%,
1.10%, 0.80%, and 0.55% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 435 loans with a total principal
balance of $427,613,235 as of the Cut-Off Date (February 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of two months. Approximately 99.3% of the
pool are traditional, nonagency, prime jumbo mortgage loans. The
remaining 0.7% of the pool are conforming, high-balance mortgage
loans that were underwritten using an automated underwriting system
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section in the related rating report.

The originators for the mortgage pool are CrossCountry Mortgage LLC
(33.1%), Guaranteed Rate, Inc. (26.0%), and various other
originators, each comprising less than 15.0% of the mortgage loans.
Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan
Seller of the transaction. For certain originators, the related
loans were sold to MAXEX Clearing LLC (6.3%) and were subsequently
acquired by the Mortgage Loan Seller.

NewRez LLC doing business as Shellpoint Mortgage Servicing will
service the mortgage loans within the pool. Wells Fargo Bank, N.A.
(rated AA with a Negative trend by DBRS Morningstar) will act as
the Master Servicer, Securities Administrator, and Custodian. U.S.
Bank Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.

The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a precrisis structure.

For this transaction, as permitted by the Coronavirus Aid, Relief,
and Economic Security Act, signed into law on March 27, 2020, five
loans (0.8% of the pool) had been granted forbearance plans because
the borrowers reported financial hardship related to the
Coronavirus Disease (COVID-19) pandemic. These forbearance plans
allow temporary payment holidays followed by repayment once the
forbearance period ends. As of the Cut-Off Date, all five loans
satisfied their forbearance plans and are current. Furthermore,
none of the loans in the pool are on active coronavirus forbearance
plans.

CORONAVIRUS PANDEMIC IMPACT

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may arise in the coming
months for many residential mortgage-backed security (RMBS) asset
classes, some meaningfully.

The prime mortgage sector is a traditional RMBS asset class that
consists of securitizations backed by pools of residential home
loans originated to borrowers with prime credit. Generally, these
borrowers have decent FICO scores, reasonable equity, and robust
income and liquid reserves.

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies and loans on forbearance plans, slower voluntary
prepayment rates, and a potential near-term decline in the values
of the mortgaged properties. Such deteriorations may adversely
affect borrowers' ability to make monthly payments, refinance their
loans, or sell properties in an amount sufficient to repay the
outstanding balance of their loans.

In connection with the economic stress assumed under its moderate
scenario (see "Global Macroeconomic Scenarios: January 2021
Update," published on January 28, 2021), for the prime asset class,
DBRS Morningstar assumes a combination of higher unemployment rates
and more conservative home price assumptions than those DBRS
Morningstar previously used. Such assumptions translate to higher
expected losses on the collateral pool and correspondingly higher
credit enhancement.

In the prime asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that this sector should have low
intrinsic credit risk. Within the prime asset class, loans
originated to (1) self-employed borrowers or (2) higher
loan-to-value (LTV) ratio borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. Self-employed borrowers are potentially exposed to
more volatile income sources, which could lead to reduced cash
flows generated from their businesses. Higher LTV borrowers with
lower equity in their properties generally have fewer refinance
opportunities and therefore slower prepayments. In addition,
certain pools with elevated geographic concentrations in densely
populated urban metropolitan statistical areas may experience
additional stress from extended lockdown periods and the slowdown
of the economy.

The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers, a
satisfactory third-party due-diligence review, structural
enhancements, and 100% current loans.

The ratings reflect transactional weaknesses that include the R&W
framework, entities lacking financial strength or securitization
history, the servicer's financial capabilities, and borrowers on
forbearance plans.

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



GS MORTGAGE 2021-PJ3: Fitch to Give 'B(EXP)' Rating on B5 Debt
--------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ3
(GSMBS 2021-PJ3) as indicated. The transaction is expected to close
on March 31, 2021. The certificates are supported by 447 conforming
and nonconforming loans with a total balance of approximately
$441.6 million as of the cutoff date.

DEBT              RATING  
----              ------  
GSMBS 2021-PJ3

A1      LT  AAA(EXP)sf  Expected Rating
A10     LT  AA+(EXP)sf  Expected Rating
A2      LT  AAA(EXP)sf  Expected Rating
A3      LT  AA+(EXP)sf  Expected Rating
A4      LT  AA+(EXP)sf  Expected Rating
A5      LT  AAA(EXP)sf  Expected Rating
A6      LT  AAA(EXP)sf  Expected Rating
A7      LT  AAA(EXP)sf  Expected Rating
A8      LT  AAA(EXP)sf  Expected Rating
A9      LT  AA+(EXP)sf  Expected Rating
AIOS    LT  NR(EXP)sf   Expected Rating
AR      LT  NR(EXP)sf   Expected Rating
AX1     LT  AA+(EXP)sf  Expected Rating
AX2     LT  AAA(EXP)sf  Expected Rating
AX3     LT  AA+(EXP)sf  Expected Rating
AX5     LT  AAA(EXP)sf  Expected Rating
AX7     LT  AAA(EXP)sf  Expected Rating
B1      LT  AA(EXP)sf   Expected Rating
B2      LT  A(EXP)sf    Expected Rating
B3      LT  BBB(EXP)sf  Expected Rating
B4      LT  BB(EXP)sf   Expected Rating
B5      LT  B(EXP)sf    Expected Rating
B6      LT  NR(EXP)sf   Expected Rating

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 (772 model FICO)
and relatively low leverage (a 72.8% sustainable loan to value
ratio [sLTV]). The 100% full documentation collateral comprises
mostly nonconforming prime-jumbo loans (99.9%), with a one
conforming agency-eligible loan (0.1%), while 100% of the loans are
safe harbor qualified mortgages (SHQM). Of the pool, 98.5% are of
loans for which the borrower maintains a primary residence, while
1.5% are for second homes. Additionally, over 95% 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 1.10% of the
original balance will be maintained for the senior certificates,
and a subordination floor of 0.70% 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.

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 5.0%. 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 non-investment 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 was provided with Form ABS Due Diligence-15E (Form 15E).
Third-party due diligence was performed on 100% of the loans in the
transaction. Due diligence was performed by AMC, Opus and
Consolidated Analytics, which Fitch assesses as Acceptable - Tier
1, 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.

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 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.

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

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.


GSF 2021-1: DBRS Gives BB (low) Rating on Class E Notes
-------------------------------------------------------
DBRS, Inc. assigned ratings to the following classes of notes
issued by GSF 2021-1:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X at A (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)

All trends are Stable. Class F is not rated by DBRS Morningstar.

The Class X Notes are an interest-only (IO) class whose balance is
notional.

To assign ratings to the Class A-1, Class A-2, Class A-S, Class B,
Class C, Class D, and Class E Notes, DBRS Morningstar used a
combination of its "North American CMBS Multi-Borrower Rating
Methodology" and "North American Single-Asset/Single-Borrower
Ratings Methodology" to construct a worst-case pool based on
concentration limits and eligibility requirements as defined in the
Indenture: Schedule 4. The Indenture: Schedule 5 defines the
minimum subordination requirements for each Rating Confirmation
Event. The $500 million trust is expected to be fully funded within
12 months of the first loan funding date.

The ratings assigned by DBRS Morningstar contemplate timely
payments of distributable interest and ultimate payment of
principal by the legal final maturity date in August 2026.

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


HPS LOAN 14-2019: S&P Assigns B- (sf) Rating on Class F-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-1-R, B-R, C-R1, C-R2, D-R, E-R, and F-R replacement notes
from HPS Loan Management 14-2019 Ltd./HPS Loan Management 14-2019
LLC, a CLO originally issued in June 2019 that is managed by HPS
Investment Partners LLC. The replacement notes will be issued via a
proposed supplemental indenture.

The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.

The preliminary ratings are based on information as of March 12,
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, in addition to outlining the terms of the
replacement notes, will also:

-- Extend the stated maturity and reinvestment period by 3.5
years; and

-- Allow the collateral manager to use principal proceeds to
purchase assets that may be defaulted under the terms of the
indenture, subject to the closing date target par being maintained.
Additionally, the issuer is required to recover the
overcollateralization credit of the workout-related asset as
principal proceeds.

  Preliminary Ratings Assigned

  HPS Loan Management 14-2019 Ltd./HPS Loan Management 14-2019 LLC

  Replacement class X-R, $4.50 million: Not rated
  Replacement class A-1-R, $279.00 million: AAA (sf)
  Replacement class B-R, $63.00 million: AA (sf)
  Replacement class C-R1 (deferrable), $13.50 million: A (sf)
  Replacement class C-R2 (deferrable), $13.50 million: A (sf)
  Replacement class D-R (deferrable), $24.70 million: BBB- (sf)
  Replacement class E-R (deferrable), $18.00 million: BB- (sf)
  Replacement class F-R (deferrable), $6.80 million: B- (sf)
  Subordinated notes, $42.10 million: Not rated


ICG US 2021-1: S&P Assigns BB- (sf) Rating on $12MM Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its 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+' or 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

  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


INSTITUTIONAL MORTGAGE 2014-5: DBRS Confirms BB(low) on G Certs
---------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-5 issued by
Institutional Mortgage Securities Canada Inc., Series 2014-5 as
follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance, when the transaction consisted of
41 fixed-rate loans secured by 55 commercial and multifamily
properties. The initial trust balance of $311.8 million has been
reduced to $86.6 million as of the January 2021 remittance, with 11
of the original 41 loans remaining in the pool. The transaction is
concentrated by property type as four loans, representing 54.5% of
the current trust balance, are secured by retail collateral;
self-storage properties back the second-largest concentration of
loans, with three loans representing 25.6% of the current trust
balance. As of the January 2021 remittance, two loans, representing
30.0% of the pool, are on the servicer's watchlist, with no loans
in special servicing.

The largest loan in the pool, Milton Crossroads West (Prospectus
ID#1, 23.6% of the pool), was added to the servicer's watchlist
following the borrower's request for Coronavirus Disease (COVID-19)
pandemic–related relief. The collateral is a 103,400-square-foot
(sf) retail center in Milton, Ontario, part of a larger development
consisting of approximately 475,000 sf of noncollateral space with
shadow anchors in Walmart, Canadian Tire, and Staples. At the time
of the borrower's relief request, 13 of the 16 collateral tenants
had advised of anticipated difficulties paying rent.

The servicer granted relief in the form of a deferral of principal
payments from June 2020 through August 2020, with the scheduled
interest still due through that period. As of the July 2020
remittance, the loan was listed as 30 to 59 days delinquent but was
brought current with the finalization of the forbearance agreement
and has remained current since, with repayment of deferred
principal commencing in September 2020.

The second-largest loan on the servicer's watchlist is Nelson Ridge
Pooled Loan (Prospectus ID#17, 6.5% of the pool), which is part of
a pari passu whole loan secured by a multifamily property in Fort
McMurray, Alberta. The loan is also on the DBRS Morningstar
Hotlist. Historically, because of the sustained difficulties in the
local economy, the property has shown significant performance
declines since issuance. The loan was previously transferred to
special servicing for imminent default in February 2016 and was
later returned to the master servicer as a corrected loan in late
January 2017 after the borrower brought the loan current. The
servicer also granted a forbearance agreement to extend the
maturity date from December 2019 to December 2021, subject to
additional periodic principal lump sum payments, which were
satisfied.

The loan sponsor, Lanesborough Real Estate Investment Trust, which
provides 100% recourse, continues to fund debt service shortfalls
out of pocket and has remained cooperative with the servicer
throughout the previous two transfers to special servicing. The
loan is also 100% guaranteed by both 2668921 Manitoba Ltd.
(Manitoba) and Shelter Canadian Properties Ltd., the parent company
of Manitoba. In May 2020, the borrower requested debt relief
because of coronavirus-related disruptions and was granted
interest-only payments from April 2020 to August 2020, with those
deferred amounts to be paid at maturity in December 2021.

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


JP MORGAN 2010-C2: Fitch Lowers Rating on 2 Tranches to Csf
-----------------------------------------------------------
Fitch Ratings has downgraded seven and affirmed two classes of J.P.
Morgan Chase Commercial Mortgage Securities Trust, commercial
mortgage pass-through certificates, series 2010-C2 (JPMCC 2010-C2)
and maintained the Negative Outlooks on four classes.

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

J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2

A-3 46635GAE0    LT  AAAsf  Affirmed     AAAsf
B 46635GAL4      LT  Asf    Downgrade    AAsf
C 46635GAN0      LT  BBsf   Downgrade    BBBsf
D 46635GAQ3      LT  CCCsf  Downgrade    BBsf
E 46635GAS9      LT  CCsf   Downgrade    CCCsf
F 46635GAU4      LT  CCsf   Downgrade    CCCsf
G 46635GAW0      LT  Csf    Downgrade    CCsf
H 46635GAY6      LT  Csf    Downgrade    CCsf
X-A 46635GAG5    LT  AAAsf  Affirmed     AAAsf

KEY RATING DRIVERS

High Loss Expectations; Regional Mall Concentration: The downgrades
and Negative Outlooks reflect further performance deterioration of
the overall pool including risks associated with a secular shift
away from regional malls and slow down in economic activity amid
the coronavirus pandemic. All five remaining loans, which matured
in 2020 without repayment, were designated as Fitch Loans of
Concern (FLOCs). Three loans are secured by regional malls (78.8%).
One mall, Arizona Mills (48.8%), has been modified and is currently
performing and the remaining four loans are in special servicing
(51.2%).

The downgrades and Negative Outlooks also reflect the potential for
further declines including prolonged workouts given the lack of
liquidity in the market for regional malls. Based on recent
appraisal values provided by the servicer, Fitch expects losses on
the specially serviced regional malls to be significant. Due to the
concentrated nature of the pool, Fitch performed a sensitivity
analysis that grouped the remaining loans based on the likelihood
of repayment and expected losses from the liquidation of the
remaining loans.

Fitch expects class A-3 (and the corresponding IO class X-A) as
well as class B would be reliant on proceeds from Arizona Mills.
The downgrade and Negative Outlook on class C reflect the class
balance being primarily reliant on proceeds from specially serviced
loans with uncertain timing of disposition. Based on current loss
expectations, a significant portion of the class balance would be
reliant on proceeds from the two specially serviced office loans
(21.2%) with low occupancy and performance concerns. The downgrades
and distressed ratings on classes D through H reflect the classes
being reliant on proceeds from the specially serviced regional
malls (30.0%).

Specially Serviced Loans: The largest contributor to Fitch's loss
expectation, The Mall at Greece Ridge (21.0%), is secured by a 1.05
million sf portion of a 1.60 million sf regional mall located in
Greece, NY. The loan, which is sponsored by Wilmorite Properties,
transferred to special servicing in November 2019 at the borrower's
request to allow for early payoff. The borrower was unsuccessful in
obtaining financing and the loan matured in October 2020. Workout
discussions are ongoing. Fitch's loss expectation of approximately
58% is based on a 40% total haircut to the recent September 2020
appraisal value and implies a 27% cap rate on YE 2019 NOI.

Target (ground lease) is a collateral anchor, and JCPenney and
Macy's are non-collateral anchors. Sears and Bon-Ton, both
non-collateral, closed in 2018 and 2012, respectively. Per media
reports, Bed Bath & Beyond, which leased 3.3% net rentable area
(NRA) through February 2021, closed this location in February.
Collateral occupancy and servicer-reported NOI debt service
coverage ratio (DSCR) for this amortizing loan were 87% and 1.20x
as of YTD March 2020, compared with 87% and 1.41x at YE 2019 and
85% and 1.41x at YE 2018. In-line tenant sales were $308 psf at YE
2018.

The second largest contributor to Fitch's loss expectation, Valley
View Mall (9.0%), is secured by a 373,497 sf portion of a 628,093
sf regional mall located in La Crosse, WI. The loan, which was
sponsored by Pennsylvania Real Estate Investment Trust, transferred
to special servicing in April 2020 and matured in July 2020. The
borrower was unable to obtain financing and a stipulated
foreclosure is in process. Fitch's loss expectation of
approximately 73% is based on a 36% total haircut to the recent
September 2020 appraisal value and implies a 30% cap rate on YE
2019 NOI .

While collateral occupancy has remained near 90%, overall mall
occupancy has declined to approximately 55% after the closures of
non-collateral Sears in November 2018, non-collateral Herberger's
in August 2018 and non-collateral Macy's in the first quarter of
2017. As a result, servicer-reported NOI DSCR has continued to
decline and was 1.17x at YE 2019, down from 2.31x at YE 2018 and
2.59x at YE 2017. Near-term rollover includes approximately 33% by
January 2022. Per servicer updates, HyVee Grocery acquired the
former Sears parcel and is planning to open in late 2021. Also, a
VA Clinic recently opened in 24,000 sf of the former Herberger's
non-collateral box.

The third largest contributor to Fitch's loss expectation, Bryan
Tower (19.7%), is secured by a 1.12 million sf office building in
Dallas, TX. The loan, which is sponsored by Spire Realty,
transferred to special servicing in July 2020 and matured in
October 2020. The borrower is currently negotiating a sale of the
property, and the loan is being dual tracked for foreclosure.
Fitch's loss expectation of approximately 26% is based on a 10.50%
cap rate and 45% total haircut to YE 2019 NOI.

The largest tenant, Baylor, Scott & White Health, which previously
leased 25% NRA and accounted for 40% of base rents, vacated upon
lease expiration in August 2020. As a result, occupancy has
declined to approximately 35% as of October 2020 from 58% at YE
2019 and 64% at YE 2018. Servicer-reported NOI DSCR for this
amortizing loan was 1.68x as of YTD March 2020, compared with 1.68x
at YE 2019 and 1.70x at YE 2018. The largest current tenant is
Builders FirstSource, which leases 6.6% NRA through January 2028.
The current debt on the property is $52 psf, which is below the
debt psf for comparable properties in the Dallas market.

The largest loan in the pool, Arizona Mills (48.8%), is secured by
a 1.25 million sf regional mall in Tempe, AZ and sponsored in a
joint partnership by Simon Property Group and Farallon. The loan
transferred to special servicing in May 2020 and matured in July
2020. The loan returned to the master servicer in September 2020
after receiving a one-year maturity extension effective July 1,
2020. Fitch's loss expectation of approximately 7% is based on a
15% cap rate and 25% total haircut to YE 2019 NOI.

Major tenants include Harkins Theaters, Burlington and Lego Land
Discovery Center. At Home, which previously leased 8.4% NRA and
accounted for 3% of gross rents, vacated in September 2019 upon its
lease expiration. The space is vacant. Per the September 2020 rent
roll, near-term rollover includes 3.8% NRA in 2020, 7.8% in 2021
and 10.5% in 2022. Servicer updates regarding renewals remain
outstanding. Collateral occupancy and servicer-reported NOI DSCR
for this amortizing loan were 82% and 2.02x as of YTD September
2020, down from 82% and 2.20x at YE 2019 and 91% and 2.28x at YE
2018. In-line tenant sales were $362 psf for the TTM ended November
2019.

Exposure to Coronavirus Pandemic: Regional malls, which account for
78.8% of the pool, have exposure to the coronavirus pandemic and
will be challenged by a secular shift away from regional malls and
change in consumer habits. Fitch's analysis took this exposure into
consideration, as it expects an impact on potential sales and/or
feasible workout strategies.

Increased Credit Enhancement: Credit enhancement has increased
since Fitch's last rating action from continued amortization and
the repayment of six loans ($109.7 million balance at disposition).
One of these loans, The Shops at Sunset Place ($59.8 million), was
in special servicing and was disposed in December 2020 with no loss
to the trust. As of the February 2021 distribution date, the pool's
aggregate principal balance had paid down by 73.0% to $297.8
million from $1.1 billion at issuance. No loans are defeased. There
have been no realized losses, and $703,236 in interest shortfalls
are currently impacting classes E through NR.

RATING SENSITIVITIES

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

-- Classes A-3, X-A and B, which are fully covered by proceeds
    from the non-specially serviced FLOC, Arizona Mills, would be
    downgraded if the performance of the regional mall
    deteriorates and/or the value declines significantly. Class C,
    which is primarily covered by proceeds from the specially
    serviced office loans, would be downgraded further if the
    performance or values of specially serviced office loans,
    primarily Bryan Tower, decline significantly.

-- Distressed classes D through H, which are reliant on proceeds
    from the specially serviced regional malls, would be
    downgraded further if performance or values of the specially
    serviced regional malls, The Mall at Greece Ridge and Valley
    View Mall, decline further or as losses are realized.

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

-- Upgrades are unlikely due to concerns with potential
    sales/workout strategies on the specially serviced loans and
    the lack for liquidity in the market for regional malls but
    could occur if valuations on the specially serviced loans
    improve significantly or recoveries are better than expected.

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

JPMCC 2010-C2 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to sustained structural shift in secular
preferences affecting consumer trends, occupancy trends, etc.
which, in combination with other factors, affects the rating and
contributes to the downgrades and Negative Outlooks.

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 2021-1440: DBRS Gives Prov. B(low) Rating on F Trust
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Securities to be issued by J.P.
Morgan Chase Commercial Mortgage Securities Trust 2021-1440 as
follows:

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

All trends are Stable.

The J.P. Morgan Chase Commercial Mortgage Securities Trust
2021-1440 single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple interest in 1440
Broadway, a 740,387-square foot office building with retail
components in the Midtown submarket of Manhattan, New York. DBRS
Morningstar has a favorable view of the asset given its desirable
Midtown Manhattan location and institutional level sponsorship.
Built in 1925 and renovated between 1999 and 2001 and again in
2018, the office property consists of 25 stories, with multilevel
retail space, within the Midtown West office submarket of Midtown
Manhattan, as defined by Reis. The property benefits from its
proximate location to Bryant Park, Times Square, Port Authority,
and Penn Station as well as Grand Central Terminal. In addition,
the 1440 Broadway building offers efficient and flexible
floorplates with outdoor terraces that appeal to both large and
boutique tenants.

The subject was 93.0% leased as of December 31, 2020; however,
there are several concerns with the current tenancy at the
building. The property has significant exposure to WeWork as the
largest tenant, comprising 40.7% of the net rentable area (NRA).
The subject's second-largest tenant, Macy's (26.6% of the NRA;
lease expiry on January 31, 2024), is currently marketing its space
for sublease. The third-largest tenant, Kate Spade (9.1% of the
NRA; lease expiry on January 31, 2022), has executed two subleases
for the entirety of its space. The subject's fourth-largest tenant,
Mizuho Capital (Mizuho; 5.3% of the NRA; lease expiry on May 31,
2026), is currently dark and is marketing its space for sublease.
The subject's sixth-largest tenant, InnerWorkings (3.1% of the NRA;
lease expiry on March 31, 2022), is not open for business as a
result of Coronavirus Disease (COVID-19) closures but is current on
its rent. Macy's recently elected to prepay all of its outstanding
lease obligations, worth approximately $32.9 million, through the
end of its lease term. Kate Spade and Mizuho are both
investment-grade rated and current on their rent obligations.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types
and has created an element of uncertainty around future demand for
office space, even in gateway markets that have historically been
highly liquid. Despite the disruptions and uncertainty, the
collateral has largely been unaffected. Because of the coronavirus
pandemic, building tenants are operating at a modified capacity,
with a large majority of their employees currently working from
home, and are targeting to begin to return to the office as
coronavirus-related restrictions are eased. With the exception of
Mexicue and Le Cafe, comprising 0.8% of the NRA, all tenants remain
current on their contractual lease obligations as of February 2020.
InnerWorkings, Mexicue, and Le Cafe have requested rent relief,
which was denied by the borrower. InnerWorkings, representing 3.1%
of the NRA, is current on its rental payments. InnerWorkings is
closed because of pandemic and is assumed to be reopening once
limitations are lifted. Additionally, Mexicue is reportedly looking
to return in spring 2021.

The property has significant exposure to WeWork as the largest
tenant, comprising 40.7% of the NRA. Although there is a long-term
lease in place through June 2035, the company has shuttered many of
its facilities since the outbreak of the coronavirus pandemic,
which places WeWork at increased risk in the short term, with
significantly reduced revenue.

WeWork utilizes its space at the subject primarily for its WeWork
Enterprise model. According to the sponsor, the WeWork space is
approximately 92% leased to two publicly traded Fortune 500 tech
companies. Additionally, since taking possession of its space in
2019, WeWork has provided $76.6 million of credit support in the
form of an approximately $65.7 million guaranty from its parent
entity, a $10.9 million letter of credit, and a surety bond equal
to approximately six months of rental payments. Additionally, DBRS
Morningstar assumed a 50% renewal probability for WeWork, resulting
in higher leasing costs in DBRS Morningstar's net cash flow
analysis.

The loan is structured with $30.0 million of upfront reserves,
$27.3 million of which will be allocated toward future leasing
costs, with the remainder allocated toward future capital
expenditure (capex). Additionally, the sponsor will be required to
provide $20.6 million of new equity, supported by an equity
contribution guarantee, of which $15.3 million will be allocated
toward accretive tenant improvement and leasing costs. The loan
also features a full cash sweep that commences at loan closing
until $20.0 million is collected in an excess cash reserve. Trapped
proceeds can be used for approved capex and leasing costs after the
initial rollover and capex reserves have been depleted and $20.6
million of future equity contributions are fully invested.

The property benefits from the experienced institutional
sponsorship of CIM Group L.P. and QSuper Board. The borrower
acquired the property for $520 million in 2017, when it was
approximately 50% leased, and brought it up to the 93% leased level
as of December 2020. Starting in 2017, the borrower initiated a
$20.2 million capital improvement plan, including an extensive
lobby renovation and the addition of a roof deck amenity on the
26th floor. The sponsor has plans to continue its planned
renovations, including elevator upgrades, facade work, and common
area upgrades. As of February 16, 2021, the borrower has
approximately $253.2 million of cash equity in the property
(including previous leasing costs).

The property is well located within Midtown Manhattan, proximate to
area demand drivers such as Bryant Park, Times Square, Port
Authority, and Penn Station as well as Grand Central Terminal.
Given the property's desirable location, the appraiser's concluded
land value was approximately $215 million, which covers 53.9% of
the first-mortgage loan balance.

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


JPMCC COMMERCIAL 2014-C20: DBRS Lowers Rating of 2 Certs to CCC
---------------------------------------------------------------
DBRS, Inc. downgraded the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-C20 issued by JPMCC
Commercial Mortgage Securities Trust 2014-C20 as follows:

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

DBRS Morningstar also confirmed the following classes:

-- Class A-3A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4A1 at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)

DBRS Morningstar discontinued its rating on Class X-C, a notional
class that references Classes E, F, G, and NR as 81.7% of the
referenced classes are rated either CCC (sf) or not rated.

The trends for Classes C, D, E, and EC were changed to Negative
from Stable. Classes F and G do not have trends as those classes
carry a CCC (sf) rating. All other trends are Stable. The Under
Review with Negative Implication designation was removed on Classes
F, G and X-C, where those were placed on August 6, 2020, as a
result of the Coronavirus Disease (COVID-19) stress tests.

The downgrades and negative trends reflect the deteriorating
performance of the transaction since last review, especially given
the negative outlook for Lincolnwood Town Center (Prospectus ID#4
– 7.1% of the trust balance). At issuance, the trust consisted of
37 loans secured by 54 commercial and multifamily properties with a
trust balance of $878.0 million. Per the February 2021 remittance
report, there were 27 loans secured by 44 commercial properties
remaining in the trust with a trust balance of $655.5 million,
representing a collateral reduction of 25.3% since issuance. The
pool is very concentrated with the largest 15 loans representing
85.8% of the trust balance. The largest loan, The Outlets at Orange
(Prospectus ID#1 – 13.7% of the trust balance), was shadow-rated
investment grade by DBRS Morningstar at issuance and those
characteristics continue to be demonstrated. The trust has minimal
exposure to loans secured by hospitality properties, with just
three loans representing 3.0% of the trust balance. Additionally,
three loans, comprising 5.3% of the trust balance, are fully
defeased.

DBRS Morningstar notes there are three loans, totaling 20.1% of the
trust balance, that have upcoming loan maturity dates in 2021. The
upcoming loan maturity dates present refinance risk, especially
given the unstable capital markets. The borrower for the 55
Broadway loan (Prospectus ID#10 – 5.3% of the trust balance) has
requested a loan extension from the master servicer as the loan is
scheduled to mature in April 2021. DBRS Morningstar believes the
loan is likely to be repaid in full in the near to moderate term.
The property's occupancy rate declined to 80.7% as of December 2020
from 89.1% at issuance; however, the property has reported some
recent leasing activity and debt service coverage has remained
adequate.

Per the February 2021 remittance report, there are three loans,
comprising 11.8% of the trust balance, in special servicing. The
largest specially serviced loan, Lincolnwood Town Center, is
secured by the fee interest in an enclosed mall located in
Lincolnwood, Illinois, approximately 13 miles north of the Chicago
central business district. The mall is owned and operated by
Washington Prime Group (WPG) and is anchored by Kohl's and The
RoomPlace. The mall previously lost an original anchor tenant,
Carson Pirie Scott, in Q3 2018 following Bon Ton's bankruptcy
filing. Performance had been deteriorating prior to the coronavirus
pandemic as the property reported a net cash flow (NCF) of $2.9
million, considerably below the issuer's underwritten NCF of $4.8
million at issuance. The loan transferred to the special servicer
in May 2020 for imminent monetary default as a result of the
coronavirus pandemic and a forbearance agreement was executed. The
agreement allowed six months of deferred debt service payments and
monthly reserve deposits between May 2020 and November 2020. The
deferred payments were to be repaid in 12 equal installments over
the subsequent 12 months; however, the special servicer noted the
borrower is in default for the January 2021 payment and
communicated to the special servicer that they do not plan to
contribute additional capital to the property. The special servicer
plans to appoint a receiver in March 2021. The property was
reappraised in May 2020 for $21.1 million, down 76.3% from the
$89.1 million appraised value at issuance. In addition, WPG
recently missed a payment on its corporate debt, introducing
additional risk on the subject loan. Given the reduction in asset
value and increasing sponsorship concerns, DBRS Morningstar
anticipates a substantial loss to the trust. The loan was
liquidated from the trust as part of this analysis based on the
most recent appraised value, which resulted in an implied loss
severity in excess of 70.0%.

There are an additional five loans, representing 17.0% of the trust
balance, on the servicer's watchlist. DBRS Morningstar is closely
monitoring the Westminster Mall loan (Prospectus ID#11 – 4.0% of
the trust balance) as the loan is also sponsored by WPG and the
mall has exhibited decreasing NCFs since issuance. The pari passu
participation note is secured by a portion of the
1.3-million-square-foot regional mall in Orange County, California.
The mall is anchored by collateral tenant JCPenney and
noncollateral tenants Macy's and Target. The loan was added to the
servicer's watchlist in August 2018 following the loss of the
noncollateral Sears anchor. A September 2020 rent roll showed the
collateral was 87.9% occupied, and management reported nine new
leases, totaling 2.3% of the net rentable area, were executed in Q4
2020. According to a filing with the U.S. Securities and Exchange
Commission, the sponsor entered into a $160.1 million purchase and
sale agreement with Taylor Morrison for the sale of adjacent
(noncollateral) 43.1 acres for a large-scale redevelopment. DBRS
Morningstar believes the redevelopment could ultimately benefit the
collateral in the long term; however, the execution risk is
noteworthy, especially given the financially stressed sponsor and
this loan was modeled with an increased expected loss during this
review.

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



JPMDB COMMERCIAL 2016-C2: Fitch Cuts Rating on F Certs to 'CC'
--------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed ten classes of JPMDB
Commercial Mortgage Securities Trust 2016-C2 commercial mortgage
pass-through certificates.

     DEBT                RATING            PRIOR
     ----                ------            -----
JPMDB 2016-C2

A-2 46590LAR3     LT  AAAsf   Affirmed     AAAsf
A-3A 46590LAS1    LT  AAAsf   Affirmed     AAAsf
A-3B 46590LAA0    LT  AAAsf   Affirmed     AAAsf
A-4 46590LAT9     LT  AAAsf   Affirmed     AAAsf
A-S 46590LAX0     LT  AAAsf   Affirmed     AAAsf
A-SB 46590LAU6    LT  AAAsf   Affirmed     AAAsf
B 46590LAY8       LT  AA-sf   Affirmed     AA-sf
C 46590LAZ5       LT  A-sf    Affirmed     A-sf
D 46590LAE2       LT  Bsf     Downgrade    BBB-sf
E 46590LAG7       LT  CCCsf   Downgrade    BBsf
F 46590LAJ1       LT  CCsf    Downgrade    B-sf
X-A 46590LAV4     LT  AAAsf   Affirmed     AAAsf
X-B 46590LAW2     LT  AA-sf   Affirmed     AA-sf
X-C 46590LAC6     LT  BBsf    Downgrade    BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations have increased
primarily as a result of additional stresses on the Fitch Loans of
Concern (FLOCs). Fitch has designated seven loans (33.6% of the
pool) as FLOCs, including four specially serviced loans (20.7% of
the pool), all of which transferred since Fitch's last rating
action.

Fitch's current ratings incorporate a base case loss of 8.20%. The
Negative Rating Outlooks on classes A-S through D reflect
additional coronavirus-related stresses as well as an outsized loss
on the Quaker Bridge Mall, which assumes losses could reach
11.45%.

Concerns with Regional Malls: The Quaker Bridge Mall (10.61% of the
pool) loan is secured by a 357,221-square-foot regional mall
located in Lawrenceville, NJ that transferred to special servicing
in November 2020 as a result of the impact of the coronavirus
pandemic. The loan has been delinquent five times in the past 12
months and is currently 90+ days delinquent. The borrower and
servicer are negotiating terms of payment relief.

In addition to a base case loss of 34%, Fitch ran an additional
sensitivity of a 50% loss on the Quaker Bridge Mall loan to reflect
the potential for continued performance declines and the
historically low recovery values for regional malls. This
sensitivity contributed to the Negative Rating Outlooks.

Palisades Center (3.82% of the pool) loan is secured by a 1.9
million-square-foot super-regional mall located in West Nyack, NY
that transferred to special servicing in April 2020. Between 2017
and 2020, anchor tenants JC Penney (collateral), Bed Bath & Beyond
(collateral), and Lord & Taylor (non-collateral) have vacated the
property. Performance metrics have declined year-over-year since
issuance with the NOI DSCR falling to 0.78x as of September 2020
compared with 2.20x at YE 2019, 2.41x at YE 2018, and 2.58x at YE
2017. Similarly, occupancy declined to 76% as of September 2020
compared with 82% and YE 2019, 84% at YE 2018, and 93% at YE 2017.
A standstill agreement was executed for the payment periods between
April 2020 and November 2020 and the borrower has subsequently
requested additional relief, which is currently under review.

Additional Stresses Applied Due to Coronavirus Exposure: Loans
secured by hotel and multifamily properties represent 21.48% (eight
loans) and 9.55% (five loans), respectively. The hotel loans have a
weighted average (WA) NOI debt service coverage ratio (DSCR) of
1.77x and the multifamily loans have a WA NOI DSCR of 1.62x.
Fitch's analysis applied additional coronavirus-related stresses on
six hotel loans (15.2%), and one multifamily loan (1.2%) to account
for potential cash flow disruptions due to the coronavirus
pandemic.

Increased Credit Enhancement: As of the February 2021 distribution
date, the pool's aggregate principal balance was paid down by
11.99% to $786 million from $893 million at issuance. One loan
(1.77% of the pool) is fully defeased. Since the last rating
action, two loans (combined issuance balance of $83.7 million) were
repaid in full prior to maturity. There have been no realized
losses since issuance. Interest shortfalls of approximately
$194,000 are currently contained to the unrated class NR
certificate.

Four loans (29.0%) are full term interest only, and five loans
(23.9%) originally structured with a partial interest-only period
have not yet begun to amortize. Of the non-defeased loans, one loan
(3.89% of the pool) matures in 2021, one loan (5.8% of the pool)
matures in 2022, one loan (3.8% of the pool) matures in 2025, and
the remainder of the pool matures in or after 2026.

RATING SENSITIVITIES

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

-- Sensitivity factors that could lead to upgrades include stable
    to improved asset performance, particularly on the FLOCs,
    coupled with additional paydown and/or defeasance. Upgrades to
    classes B and C would only occur with significant improvement
    in credit enhancement and/or defeasance and with the
    stabilization of performance on the FLOCs and/or the
    properties affected by the coronavirus pandemic. Classes would
    not be upgraded above 'Asf' if there is a likelihood of
    interest shortfalls.

-- An upgrade of class D is not likely until the later years in
    the transaction and only if performance of the FLOCs has
    stabilized and the performance of the remaining pool is
    stable. Classes E and F are unlikely to be upgraded, absent
    significant performance improvement for the FLOCs and higher
    recoveries than expected on the specially serviced loans.

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

-- Sensitivity factors that could lead to downgrades include an
    increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to classes rated
    'AAAsf' and 'AA-sf' are not likely due to the position in the
    capital structure but may occur should interest shortfalls
    affect these classes, additional loans become FLOCs or if
    losses materialize on the loans expected to be impacted by the
    coronavirus pandemic in the near term.

-- Downgrades to classes A-S through C are possible should
    additional loans transfer to special servicing or if the
    current FLOCs continue to see erosion in value. Classes D, E
    and F may be downgraded further as losses are realized or as
    losses from the specially serviced loans become more certain.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021.
Should this scenario play out, classes with Negative Outlooks may
be downgraded one or more categories.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


MADISON PARK XXXII: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, B-R, C-R, D-R, and E-R replacement notes from Madison Park
Funding XXXII Ltd./Madison Park Funding XXXII LLC, a CLO originally
issued in January 2019 that is managed by Credit Suisse Asset
Management LLC. The replacement notes will be issued via a proposed
supplemental indenture.

The preliminary ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.

The preliminary ratings are based on information as of March 12,
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, in addition to outlining the terms of the
replacement notes, will also:

-- Issue the replacement class A-1-R, B-R, C-R, D-R, and E-R at
lower spreads than the original notes; and

-- Issue floating-rate class A-2-R notes to replace the original
fixed-rate class A-2 notes.

S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest or ultimate principal, or both, to each of the rated
tranches.

"We believe the results of the cash flow analysis, as well as
improvement in overcollateralization ratios and declines in
defaulted assets and assets rated in the 'CCC' category,
demonstrate that all of the rated outstanding classes have adequate
credit enhancement available at the rating levels associated with
these rating actions.

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

  Preliminary Ratings Assigned

  Madison Park Funding XXXII Ltd./Madison Park Funding XXXII LLC

  Replacement class A-1-R, $480.00 million: AAA (sf)
  Replacement class B-R, $88.00 million: AA (sf)
  Replacement class C-R, $56.00 million: A (sf)
  Replacement class D-R, $42.00 million: BBB- (sf)
  Replacement class E-R, $30.00 million: BB- (sf)


MAGNETITE XXI: S&P Assigns Prelim B-(sf) Rating on Class F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Magnetite
XXI Ltd./Magnetite XXI LLC's floating-rate notes.

The note issuance is CLO backed by a broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests. This is a proposed
refinancing of this transaction, which originally closed in March
2019 and S&P Global Ratings did not rate.

The preliminary ratings are based on information as of March 11,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  Magnetite XXI Ltd./Magnetite XXI LLC

  Class X-R, $5.00 million: AAA (sf)
  Replacement class A-R, $310.00 million: AAA (sf)
  Replacement class B-R, $70.00 million: AA (sf)
  Replacement class C-R, $30.00 million: A (sf)
  Replacement class D-R, $30.00 million: BBB- (sf)
  Replacement class E-R, $20.00 million: BB- (sf)
  Replacement class F-R, $3.70 million: B- (sf)
  Subordinated notes, $30.25 million: Not rated


MARATHON CLO 2021-16: S&P Assigns Prelim BB-(sf) Rating on D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Marathon CLO
2021-16 Ltd./Marathon CLO 2021-16 LLC's floating- and fixed-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 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  Marathon CLO 2021-16 Ltd./Marathon CLO 2021-16 LLC

  Class A-1 loans, $175.00 million: AAA (sf)
  Class A-1A, $58.00 million: AAA (sf)
  Class A-1B(i), $0.00 million: AAA (sf)
  Class A-1C, $15.00 million: AAA (sf)
  Class A-1J, $8.00 million: AAA (sf)
  Class A-2, $48.00 million: AA (sf)
  Class B (deferrable), $24.00 million: A (sf)
  Class C (deferrable), $24.00 million: BBB- (sf)
  Class D (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $41.20 million: Not rated

(i)The A-1B notes will be issued with a zero balance at closing.
After the closing date, at any time the class A-1 loans can be
converted into A-1B notes. The aggregate outstanding amount of the
A-1 loans and A-1B notes, together, cannot exceed the closing
balance of the A-1 loans. In addition, the spread on the two
classes is the same.



MARINER FINANCE 2021-A: S&P Assigns BB- (sf) on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect S&P's view of:

-- The availability of approximately 61.08%, 50.75%, 45.94%,
40.49%, and 32.32% 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 ratings on the notes based on its stressed
cash flow scenarios.

-- S&P's 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, Mariner Finance LLC's
(Mariner) loan performance to date, and a moderate adjustment to
the base case in response to the COVID-19 pandemic-related
macroeconomic environment. S&P's base-case scenario further
reflects year-over-year performance volatility observed in annual
loan vintages across time.

-- S&P said, "The liquidity analyses we conducted to assess the
impact of temporary pandemic-related disruptions in loan principal
and interest payments over the next 12 months. The disruptions
included elevated deferment levels and voluntary prepayments
decreasing 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. 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."

-- Mariner's operations. The company's Baltimore headquarters and
branch network remain open and operational, and its technology
infrastructure allows employees to work remotely and service loans
across the entire branch network. Since March 11, 2020, Mariner has
been able to close and fund loans remotely using digital and phone
technologies.

-- Mariner tightening its underwriting and enhancing its servicing
procedures for its portfolio in response to the COVID-19 pandemic,
which included selectively eliminating loans to lower-credit grade
new borrowers and reducing advances to lower-credit grade existing
borrowers. The company also enhanced its employment, income, and
fraud verification procedures, and requests to approve exceptions
must pass through higher credit authorities. Since third-quarter
2020, Mariner has been gradually reversing these policies.

-- Mariner's introduction of new reduced-payment deferral options
to borrowers hurt by the pandemic. Although deferment levels rose
through March and peaked in April 2020, they declined through the
summer to historic trend levels. The 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 ratings will be within
the limits specified in the credit stability section of "S&P Global
Ratings Definitions," published Jan. 5, 2021.

-- S&P said, "Our expectation for timely interest and full
principal payments by the final maturity date, based on stressed
cash flow modeling scenarios appropriate for 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, we
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."

  Ratings Assigned

  Mariner Finance Issuance Trust 2021-A

  Class A, $220.080 million, 1.86% coupon: AAA (sf)
  Class B, $47.760 million, 2.33% coupon: AA- (sf)
  Class C, $22.360 million, 2.96% coupon: A- (sf)
  Class D, $24.260 million, 3.83% coupon: BBB- (sf)
  Class E, $35.540 million, 5.40% coupon: BB- (sf)


MORGAN STANLEY 2006-TOP23: S&P Lowers Class E Certs Rating to 'CCC'
-------------------------------------------------------------------
S&P Global Ratings lowered its rating on the class E commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2006-TOP23, a U.S. CMBS transaction. At the same time, S&P
placed its rating on the class D certificates on CreditWatch with
negative implications.

The downgrade reflects S&P's view that the class E certificates are
at an increased risk of default and loss. Based on S&P's review of
the information received from the special servicer, it expects
class E to incur principal loss upon the eventual resolution of the
trust's sole specially serviced loan, 150 Hillside Avenue ($19.1
million; 46.9% of the pool balance).

The CreditWatch placement considers the class D certificates'
exposure to the specially serviced loan but primarily reflects the
sizable volume of three retail-backed balloon loans maturing in the
near term ($18.4 million; 45.0% of the pool balance; maturity dates
through July 2021). S&P said, "We noted that two of these three
loans have single-tenant exposure: the Bed Bath & Beyond and
Borders loan ($9.7 million; 23.8% of the pool balance; July 2021
maturity date) is backed by a retail property that is 100% leased
to Bed Bath & Beyond Inc. (B+/Stable/--), which has experienced a
string of store closings; and the Shaw's Supermarket loan ($5.7
million; 14.0% of the pool balance; April 2021 anticipated
repayment date) is backed by a retail property leased 100% to
Shaw's Supermarket. We understand that both properties remain
leased to, and physically occupied by, their respective tenants.
Although the model-indicated rating on the class D certificates was
higher than the current rating level, our analysis considered the
potential for the class D certificates' credit profile to
deteriorate in the near term if certain near-term maturing balloon
loans weren't repaid at their respective maturity dates via
potential special servicing transfers with associated fees and
other liquidity constraints. We will resolve and/or update our
CreditWatch placement as more information regarding these near-term
maturities becomes available."

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

Transaction Summary

As of the Feb. 12, 2021, trustee remittance report, the collateral
pool balance was $40.8 million, which is 2.5% of the pool balance
at issuance. The pool currently includes seven loans, down from 162
loans at issuance. One of these loans, 150 Hillside Avenue, is with
the special servicer (Greystone Servicing Co. LLC), two ($3.2
million; 7.9% of the pool balance) are defeased, and two ($8.7
million; 21.2%) are on the master servicer's watchlist due to their
impending maturity dates.

Excluding the defeased and specially serviced loans, S&P calculated
an S&P Global Ratings weighted average debt service coverage of
1.33x and an S&P Global Ratings weighted average loan-to-value
ratio of 72.9% using an S&P Global Ratings weighted average
capitalization rate of 7.37% for the remaining four loans.

The 150 Hillside Avenue loan is the largest loan in the pool and
sole loan with the special servicer. It has a reported total
exposure of $23.0 million and is secured by a 127,325-sq.-ft.
office property in White Plains, N.Y. The loan was transferred to
the special servicer on Sept. 12, 2017, because of imminent
default. Greystone indicated that it is exploring various
resolution strategies, including foreclosure. A $9.8 million
appraisal reduction amount is in effect against this loan. S&P
expects a significant loss (60% or greater) upon this loan's
eventual resolution.

To date, the transaction has experienced $57.2 million in principal
losses, or 3.5% of the original pool trust balance. S&P expects
losses to reach 4.5% of the original pool trust balance, based on
losses incurred to date and additional losses it estimated on the
specially serviced loan.

Environmental, social, and governance (ESG) credit factors for this
credit rating change :

-- Health and safety.

  Rating Lowered

  Morgan Stanley Capital I Trust 2006-TOP23

  Commercial mortgage pass-through certificates

  Class E: to 'CCC (sf)' from 'BB (sf)'

  Rating Placed On CreditWatch Negative

  Morgan Stanley Capital I Trust 2006-TOP23

  Commercial mortgage pass-through certificates

  Class D: to 'A+ (sf)'/Watch Neg from 'A+ (sf)'



MORGAN STANLEY 2014-C14: DBRS Confirms BB Rating on Class F Certs
-----------------------------------------------------------------
DBRS Limited downgraded two classes of the Commercial Mortgage
Pass-Through Certificates, Series 2014-C14 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2014-C14 as follows:

-- Class X-C to B (high) (sf) from BB (low) (sf)
-- Class G to B (sf) from B (high) (sf)

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

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PST at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (sf)

DBRS Morningstar changed the trends of Classes X-C, F, and G to
Negative from Stable. All other trends are Stable.

The Negative trends are reflective of DBRS Morningstar's concerns
surrounding the five loans in special servicing. In general,
however, the transaction has performed in line with issuance
expectations. As of the February 2021 remittance, the initial trust
balance of $1.5 billion has been reduced by 45.3% to $808.9
million, with 42 of the original 58 loans remaining in the pool.
The transaction is concentrated by property type as 16 loans,
representing 39.8% of the pool, are secured by retail collateral.
Additionally, there are three loans, representing 4.4% of the pool,
that are fully defeased.

As of the February 2021 remittance, 11 loans, representing 29.4% of
the pool, are on the servicer's watchlist, and there are five
loans, representing 15.6% of the pool, in special servicing. The
loans on the watchlist are being monitored for various reasons,
including low debt service coverage ratio or occupancy, tenant
rollover risk, and/or pandemic-related forbearance requests.

The largest loan in special servicing, Aspen Heights – Columbia
(Prospectus ID#7, 6.1% of the pool), is secured by a 318-unit
student housing apartment complex located in Columbia, Missouri,
three miles southeast of the University of Missouri. The loan
transferred to special servicing in November 2017 for payment
default and has performed below a breakeven level since 2015. The
property has struggled with increased supply in the market as well
as declining enrolment numbers from 2015 to 2018. Transfer of
ownership to the lender occurred in December 2020 and the loan is
now real estate owned. A new appraisal dated November 2020 valued
the collateral at $28.7 million on an as-is basis, representing a
60% decline from the issuance value of $71.8 million and a 16.3%
decline from the July 2019 value of $34.3 million. DBRS
Morningstar's analysis assumed a loss severity in excess of 70%,
based on the November 2020 appraisal figure.

The second-largest loan in special servicing, Round Rock Crossing
(Prospectus ID#14, 3.7% of the pool), is secured by an anchored
retail centre located in Round Rock, Texas. The loan transferred to
special servicing in June 2020 for imminent monetary default as a
result of the Coronavirus Disease (COVID-19) pandemic. The loan was
previously monitored on the servicer's watchlist following the
departure of its largest tenant, Gander Mountain (19.9% of net
rentable area (NRA)) in 2017. The property's second-largest tenant,
Stein Mart (14.7% of NRA), has also vacated after its parent
company filed for bankruptcy in the summer of 2020. Servicer
commentary from September 2020 to November 2020 stated that the
borrower intended to turn over the collateral back to the lender
but more recent commentary now shows that the special servicer is
in discussion with the borrower about potential new leases and
solutions to stabilize the property. A loss severity in excess of
30.0% was assumed as part of this review.

At issuance, DBRS Morningstar shadow-rated one investment-grade
loan, JW Marriott and Fairfield Inn & Suites (Prospectus ID#5, 9.0%
of the pool). With this review, DBRS Morningstar confirms the
performance of the loan remains in line with its respective shadow
ratings.

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


MORGAN STANLEY 2016-C31: Fitch Cuts Rating on 2 Tranches to 'CC'
----------------------------------------------------------------
Fitch Ratings has downgraded eight and affirmed nine classes of
Morgan Stanley Bank of America Merrill Lynch Trust, Commercial
Mortgage Pass-Through Certificates, series 2016-C31 (MSBAM
2016-C31).

     DEBT               RATING             PRIOR
     ----               ------             -----
MSBAM 2016-C31

A-1 61766RAU0     LT  AAAsf  Affirmed      AAAsf
A-2 61766RAV8     LT  AAAsf  Affirmed      AAAsf
A-3 61766RAX4     LT  AAAsf  Affirmed      AAAsf
A-4 61766RAY2     LT  AAAsf  Affirmed      AAAsf
A-5 61766RAZ9     LT  AAAsf  Affirmed      AAAsf
A-S 61766RBC9     LT  AA-sf  Downgrade     AAAsf
A-SB 61766RAW6    LT  AAAsf  Affirmed      AAAsf
B 61766RBD7       LT  Asf    Downgrade     AA-sf
C 61766RBE5       LT  BBBsf  Downgrade     A-sf
D 61766RAJ5       LT  B-sf   Downgrade     BBB-sf
E 61766RAL0       LT  CCCsf  Affirmed      CCCsf
F 61766RAN6       LT  CCsf   Downgrade     CCCsf
X-A 61766RBA3     LT  AAAsf  Affirmed      AAAsf
X-B 61766RBB1     LT  Asf    Downgrade     AA-sf
X-D 61766RAA4     LT  B-sf   Downgrade     BBB-sf
X-E 61766RAC0     LT  CCCsf  Affirmed      CCCsf
X-F 61766RAE6     LT  CCsf   Downgrade     CCCsf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades reflect increased loss
expectations for the pool since Fitch's last rating action,
primarily on the larger Fitch Loans of Concern (FLOCs), including
Hyatt Regency Sarasota (5.6% of pool), Springhill Suites-Seattle
and Simon Premium Outlets (4.3%). Nineteen loans (40.4%) are
designated as FLOCs, including nine (16.3%) in special servicing.

Fitch's current ratings incorporate a base case loss of 9.90%. The
Negative Rating Outlooks on classes A-S, B, C, D, X-B and X-D
reflect losses that could reach 13.70% when factoring additional
pandemic-related stresses, as well as a potential outsized loss on
the One Stamford Forum and Simon Premium Outlets loans.

Fitch Loans of Concern: The largest change in loss since the last
rating action is the largest FLOC, Hyatt Regency Sarasota (5.6%),
which is secured by a 294-key, full-service hotel located in
Sarasota, FL. Pre-pandemic property performance and cash flow had
already been negatively impacted by increased competition and
higher operating expenses. Since issuance, 622 keys have come
online in the submarket, including the 180-key Embassy Suites by
Hilton Sarasota and the 255-key Westin Sarasota located within a
few blocks of the subject.

As of the TTM September 2020 STR report, property occupancy, ADR
and RevPAR fell to 41.3%, $167 and $69, respectively, from 56.2%,
$169 and $95 as of YE 2019 and 64.6%, $185 and $120 as of YE 2018.
RevPAR penetration fell to 63.7% as of TTM September 2020 from
101.1% around the time of issuance (as of TTM July 2016). Following
the change in management from Hyatt Hotels Corp. to Interstate
Hotels & Resorts in August 2017, the borrower signed a new
franchise agreement that added an additional $1.3 million in annual
franchise expenses. The servicer-reported TTM September 2020 NOI
DSCR fell to 0.34x from 0.90x at YE 2019 and 1.35x at YE 2018 and
1.55x at YE 2017.

The second largest change in loss since the last rating action is
the specially serviced Springhill Suites-Seattle loan (4.8%), which
is secured by a 234-key full-service hotel located one mile north
of the Seattle CBD. The loan transferred to special servicing in
June 2020 due to imminent default as a result of the pandemic. As
of TTM September 2020, the servicer-reported occupancy, ADR and
RevPAR fell to 37.7%, $95 and $36, respectively, from 75.6%, $176
and $152 as of YE 2019. YE 2019 NOI fell 46.6% from YE 2018, driven
primarily from rooms taken offline to complete an $8.5 million
renovation.

Debt relief was granted in the form of a three-month forbearance
between June 2020 and August 2020 and interest only payments
between September 2020 and December 2020, with repayment beginning
in January 2021. The loan is expected to be returned to the master
servicer imminently. The servicer-reported NOI DSCR fell to 0.86x
as of YE 2019 from 2.05x at YE 2018 and 2.63x at YE 2017.

The third largest change in loss since the last rating action is
the Simon Premium Outlets loan (4.3%), which is secured by a
782,765-sf portfolio of three outlet centers located in tertiary
markets, including Lee, MA; Gaffney, SC and Calhoun, GA. Portfolio
occupancy has declined to 69% as of September 2020 from 82% at YE
2019 and 93% around the time of issuance (at YE 2016). As of the
September 2020 rent rolls, near-term rollover includes 10.1% of the
portfolio NRA in 2020, 17.2% in 2021, 18.8% in 2022 and 3.9% in
2023.

Total portfolio sales at YE 2018 declined 2.6% to $190.2 million
from $195.2 million at YE 2017; YE 2018 sales were 11.9% lower than
the $215.9 million reported around the time of issuance. Fitch's
base case loss expectation incorporates a 25% cap rate on the
portfolio and applied a 20% haircut to the YE 2019 NOI due to
concerns about the sponsor's commitment to the portfolio, tertiary
market locations of the outlet centers, continued declines with
occupancy and sales and significant upcoming lease rollover.

After the Hyatt Regency Sarasota loan, the second largest
contributor to overall loss expectations is the One Stamford Forum
loan (3.9%), which is secured by a 504,471-sf office building
located in Stamford, CT. The loan transferred to special servicing
in March 2019 for imminent monetary default when Purdue Pharma, a
privately-owned pharmaceutical company focusing on pain medication,
including OxyContin, which uses the property as their U.S.
headquarters, considered filing for bankruptcy due to lawsuits
related to the opioid crisis.

At issuance, Purdue Pharma occupied 92% of the NRA through a direct
lease and sublease from UBS, and had executed a wraparound lease
for the remainder of the building that takes into effect once UBS'
lease for 33% of the NRA expired at YE 2020. However, in September
2019, Purdue Pharma filed for Chapter 11 bankruptcy and rejected
the wraparound lease via bankruptcy. They have since downsized to
approximately 120,000 sf (23% of NRA) on the 9th and 10th floors.

Purdue Pharma had already been subleasing a portion of its space to
other tenants at issuance. Based upon the 1Q21 rent roll, new
tenants and existing subtenants accounting for approximately
200,000 sf (40% NRA) have signed direct leases at the property,
resulting in a 64% occupancy rate.

Fitch's base case loss expectation of approximately 50% reflects a
dark value of $51 million, which made assumptions for stabilized
occupancy (75%), market rent ($47 psf), downtime between leases (18
months), carrying costs and re-tenanting costs ($30 psf for new
tenant improvements and 5% for new leasing commissions), while also
factoring in the current balance of the cash flow sweep reserve of
$5.6 million.

Minimal Change to Credit Enhancement (CE): As of the February 2021
distribution date, the pool's aggregate principal balance has been
paid down by 5.6% to $900.0 million from $953.2 million at
issuance. One loan (0.8% of original pool) has paid off since
issuance and another, Clarion Inn Jackson (0.7%) was disposed with
a $4.2 million loss in January 2021. Cumulative interest shortfalls
totaling $1.3 million are affecting the non-rated classes F and G.
Three loans (3.6% of current pool) are fully defeased.

Five loans (11.5%) are full-term interest-only and six loan (21.5%)
remain in their partial interest-only periods. The remaining loans
in partial interest-only periods will begin to amortize by November
2021. Loan maturities are concentrated in 2026 (93.3%), with
limited maturities scheduled in 2021 (3.1%), 2023 (2.1%) and 2025
(1.5%).

Alternative Loss Considerations: Fitch applied a potential outsized
loss of 50% on the current balance of the Simon Premium Outlets
loan to reflect concerns with the sponsor's commitment to the asset
and the continued occupancy and sales declines. Fitch also applied
a 75% loss on the current balance of the One Stamford Forum loan to
reflect concerns about the borrower's ability to re-tenant the
remainder of the property and the possibility of a potential
outsized loss should sponsorship commitment decline and the asset
transitions to REO. This additional sensitivity scenario, which
incorporates outsized losses on these two loans and also factors in
the expected paydown of the defeased loans, contributed to the
Negative Rating Outlooks.

Coronavirus Exposure: Six loans (13.3%) are secured by hotel
properties. The weighted average (WA) NOI DSCR for the hotel loans
is 1.28x; these hotel loans could sustain a decline in NOI of 2.1%
before NOI DSCR falls below 1.0x. Twenty-three loans (35.0%) are
secured by retail properties. The WA NOI DSCR for the retail loans
is 1.93x; these retail loans could sustain a decline in NOI of
43.0% before DSCR falls below 1.0x. Fitch applied additional
stresses to four hotel loans and 10 retail loans to account for
potential cash flow disruptions due to the coronavirus pandemic;
this analysis contributed to the Negative Rating Outlooks.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes A-S, B, C, D, X-B and X-D
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 Hyatt Regency
Sarasota, Springhill Suites - Seattle Simon Premium Outlets loans.
The Stable Rating Outlooks on classes A-1, A-2, A-SB, A-3, A-4, A-5
and X-A reflect the increasing CE and expected continued
amortization.

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 CE and/or
    defeasance and with the stabilization of performance on the
    FLOCs, particularly Hyatt Regency Sarasota, Springhill Suites
    Seattle, Simon Premium Outlets and One Stamford Forum.

-- 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 '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-1, A-2, A
    SB, A-3, A-4, A-5 and X-A are not considered likely due to the
    position in the capital structure, but may occur should
    interest shortfalls affect these classes.

-- Downgrades of classes A-S, B and X-B would occur should
    expected losses for the pool increase substantially, all of
    the loans susceptible to the coronavirus pandemic suffer
    losses, the Simon Premium Outlets and One Stamford Forum 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 '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
further negative rating actions, including additional 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

The transaction has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to a specially serviced loan secured by an
office tower primarily occupied by Purdue Pharma, an opioid pain
medication manufacturer, which has a negative impact on the credit
profile and is highly relevant to the rating, contributing to the
Negative Rating Outlooks on classes A-S, B, C, D, X-B and X-D.

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 2017-C33: Fitch Affirms B- Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of
America Merrill Lynch Trust Series 2017-C33 commercial mortgage
pass-through certificates.

       DEBT                    RATING            PRIOR
       ----                    ------            -----
MSBAM 2017-C33

Class A-1 61767CAQ1     LT  AAAsf   Affirmed     AAAsf
Class A-2 61767CAR9     LT  AAAsf   Affirmed     AAAsf
Class A-3 61767CAT5     LT  AAAsf   Affirmed     AAAsf
Class A-4 61767CAU2     LT  AAAsf   Affirmed     AAAsf
Class A-5 61767CAV0     LT  AAAsf   Affirmed     AAAsf
Class A-S 61767CAY4     LT  AAAsf   Affirmed     AAAsf
Class A-SB 61767CAS7    LT  AAAsf   Affirmed     AAAsf
Class B 61767CAZ1       LT AA-sf    Affirmed     AA-sf
Class C 61767CBA5       LT A-sf     Affirmed     A-sf
Class D 61767CAC2       LT BBB-sf   Affirmed     BBB-sf
Class E 61767CAE8       LT BB-sf    Affirmed     BB-sf
Class F 61767CAG3       LT B-sf     Affirmed     B-sf
Class X-A 61767CAW8     LT AAAsf    Affirmed     AAAsf
Class X-B 61767CAX6     LT A-sf     Affirmed     A-sf
Class X-D 61767CAA6     LT BBB-sf   Affirmed     BBB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
and loss expectations have remained stable since issuance. Fitch's
current ratings incorporate a base case loss of 4.25%. Twelve loans
(36.9% of pool) have been designated as Fitch Loans of Concern
(FLOCs), which includes three loans in special servicing (15.3%).

The Negative Outlooks on classes D, X-D, E and F reflect the high
concentration of specially serviced loans and the potential for
future downgrades should the coronavirus continue to negatively
affect performance. If the specially serviced loans revert to their
pre-pandemic performance and/or transfer back to the master
servicer, Outlooks may be revised back to Stable.

Fitch Loans of Concern/Specially Serviced Loans: The largest
increase in loss since Fitch's prior rating action is the Gateway
Crossing loan (2.0%), which is secured by a 212,361-sf anchored
retail shopping center located in Avondale, AZ (12 miles west of
Phoenix CBD). The loan had previously transferred to special
servicing in June 2020 due to imminent default but has since
returned to the master servicer in December 2020 and remained
current.

Occupancy has remained at 100% since issuance; however, the
property faces significant near-term lease rollover concerns, with
29.5% of the NRA scheduled to expire in 2021 (across five tenants),
32.6% in 2022 (six tenants) and 9.5% in 2023 (three tenants). The
largest tenants are Hobby Lobby (25.9% of NRA; lease expiry in
October 2021), Best Buy (21.5%; January 2022), Old Navy (8%; March
2028), Guitar Center (7.1%; February 2027) and Empire Beauty (3.6%;
March 2023).

The next largest increase in loss since the prior rating action is
the 141 Fifth Avenue loan (3.7%), which is secured by a 4,425-sf
single-tenant retail condominium located in the Flatiron District
of Manhattan on the southeast corner of 5th Avenue and East 21st
Street. The property is comprised of 3,500 sf of ground floor space
and 925 sf of basement storage space and is located at the base of
a 12-story mixed-use condominium building. The single tenant, HSBC
(rated 'A+' by Fitch), has an upcoming lease expiration in October
2022. The loan is structured with a cash flow sweep which begins on
the date that HSBC gives notice to vacate or 18 months prior to
HSBC's lease expiration. The cash flow sweep is estimated accrue
approximately $1,000,000, which is equal to approximately 10 months
of debt service.

The next largest increase in loss since the prior rating action is
the cross-collateralized and cross-defaulted Chicago Business
Center and Chicago Marketplace loans (5.3%), which were designated
as FLOCs due to coronavirus performance and near-term lease
rollover concerns. The largest tenants include Villegas Furniture
(13.2% of NRA; of which 7.5% expires August 2021 and 5.7% expires
March 2025), Chicago Sports Complex (12.4%; June 2023 lease
expiry), Amberleaf Cabinetry (7.5%; September 2026), New Era
Windows (6.2%; July 2022) and Poppies Dough of Illinois (5.1%;
November 2023).

Occupancy at the Chicago Business Center property declined slightly
to 88.2% as of YE 2020 from 90.1% in September 2019, while the
Chicago Marketplace property has remained 100% occupied since
issuance. As of the December 2020 rent roll, 1.7% of portfolio NRA
was scheduled to expire by YE 2020, 17.8% rolls in 2021 (across 13
tenants), 14% in 2022 (seven tenants) and 29.9% in 2023 (12
tenants). The second largest tenant, Chicago Sports Complex, is
temporarily closed due to COVID-19 restrictions.

The largest specially serviced loan is the largest loan, Hyatt
Regency Austin (8.8%), which is secured by a 16-story, 448 room
full-service hotel located in Austin, TX. The loan transferred to
special servicing in August 2020 due to imminent default as a
result of the coronavirus pandemic. The special servicer and
borrower are in the final stages of executing coronavirus debt
relief terms, which would allow the borrower to use existing
reserves to be applied for debt service. As of TTM June 2020,
occupancy, ADR and RevPAR declined to 59.8%, $208 and $124,
respectively, from 85.7%, $221 and $189 as of YE 2019 and 86.3%,
$214 and $184 as of YE 2018.

Increased Credit Enhancement (CE): As of the February 2021
remittance reporting, the pool's aggregate balance has paid down by
3.1% to $681.0 million from $702.6 million at issuance. Six loans
(27.4% of pool) are full-term interest only, six loans (13%) remain
in their partial interest-only period and 32 loans (59.6%) are
amortizing. Based on the scheduled balance at maturity, the pool
will pay down by 11.4%. Scheduled loan maturities include three
loans (11.2%) in 2022, one loan (1.2%) in 2024, one loan (6.1%) in
2025, three loans (2.7%) in 2026 and 36 loans (78.8%) in 2027.

Additional Stresses Applied due to Coronavirus Exposure: Four loans
(12.8%) are secured by hotel properties and 14 loans (29.6%) are
secured by retail properties. Fitch applied additional
coronavirus-related stresses to all four hotel loans (12.8%) and
four retail loans (7.3%).

RATING SENSITIVITIES

The Negative Outlooks on classes D, X-D, E and F reflect the
potential for downgrade given the concerns associated with the
performance of the FLOCs, including the specially serviced loans,
and ultimate impact of the coronavirus pandemic. The Stable
Outlooks on classes A-1, A-2, A-3, A-4, A-5, A-SB, A-S, B, C, X- A
and X-B reflect increased CE and expected continued 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, particularly on the FLOCs,
    coupled with additional paydown and/or defeasance. Upgrades to
    classes B, C, X-B and X-D 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.

-- An upgrade to classes D 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 E and F 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.

If the specially serviced loans revert to their pre-pandemic
performance and/or actual losses are better than Fitch's
expectations, the Negative Outlooks on classes D, X-D, E and F may
be revised back to Stable.

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-5, A-SB, A-S, B, C, X-A and X-B are not likely
    due to the position in the capital structure, but may occur
    should interest shortfalls affect these classes.

-- Downgrades to classes D and X-D are possible should expected
    losses for the pool increase significantly and all the loans
    susceptible to the coronavirus pandemic suffer losses, which
    would erode CE. Downgrades to classes E and F are possible if
    performance of the FLOCs, including the three specially
    serviced loans, 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.


NEUBERGER BERMAN 40: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Neuberger Berman Loan
Advisers CLO 40 Ltd./Neuberger Berman Loan Advisers CLO 40 LLC's
floating-rate notes.

The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

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

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

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

  Neuberger Berman Loan Advisers CLO 40 Ltd./Neuberger Berman Loan
Advisers CLO 40 LLC

  Class A, $310.00 million: AAA (sf)
  Class B, $70.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $51.20 million: Not rated


OBX 2021-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OBX
2021-NQM1's mortgage pass-through notes series 2021-1.

The note issuance is an RMBS transaction backed by first-lien
fixed- and adjustable-rate fully amortizing and interest-only
residential mortgage loans primarily secured by single-family
residences, planned unit developments, condominiums, and
two-to-four-family homes to both prime and nonprime borrowers. The
pool has 428 loans, which are primarily nonqualified mortgage
(non-QM) and ability-to-repay (ATR)-exempt loans.

The preliminary ratings are based on information as of March 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

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

-- The mortgage aggregator, Onslow Bay Financial LLC; and

-- The impact that the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and the liquidity
available in the transaction.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

  Preliminary Ratings Assigned(i)

  OBX 2021-NQM1

  Class A-1, $186,680,000: AAA (sf)
  Class A-2, $16,071,000: AA (sf)
  Class A-3, $32,527,000: A (sf)
  Class M-1, $9,643,000: BBB (sf)
  Class B-1, $6,300,000: BB (sf)
  Class B-2, $4,114,000: B (sf)
  Class B-3, $1,800,339: NR
  Class XS, notional(ii): NR
  Class A-IO-S, notional(ii): NR
  Class R: NR

(i)The collateral and structural information in this report
reflects the term sheet dated Mar 12, 2021.
(ii)The notional amount equals the loans' aggregate stated
principal balance.
NR--Not rated.


OFSI BSL X: S&P Assigns BB- (sf) Rating on $11.6MM Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to OFSI BSL X Ltd./OFSI BSL
X LLC's fixed-and floating-rate notes (see list).

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 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



OHA CREDIT 8: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to OHA Credit Funding 8
Ltd./OHA Credit Funding 8 LLC's floating- and fixed-rate notes.

The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests. The notes are
managed by Oak Hill Advisors L.P.

The 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.

  Ratings Assigned

  OHA Credit Funding 8 Ltd./OHA Credit Funding 8 LLC

  Class X, $3.00 million: AAA (sf)
  Class A, $372.00 million: AAA (sf)
  Class B-1, $72.00 million: AA (sf)
  Class B-2, $12.00 million: AA (sf)
  Class C (deferrable), $36.00 million: A (sf)
  Class D (deferrable), $36.00 million: BBB- (sf)
  Class E (deferrable), $24.00 million: BB- (sf)
  Subordinated notes, $50.00 million: Not rated



OPORTUN FUNDING 2021-A: DBRS Gives Prov. BB Rating on Class D Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following notes to
be issued by Oportun Funding XIV, LLC, Series 2021-A:

-- $236,056,000 Class A Notes at AA (low) (sf)
-- $40,198,000 Class B Notes at A (low) (sf)
-- $36,777,000 Class C Notes at BBB (low) (sf)
-- $21,382,000 Class D Notes at BB (high) (sf)

The provisional rating on the Notes is based on DBRS Morningstar's
review of the following considerations:

(1) The transaction's assumptions consider DBRS Morningstar's set
of macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, which have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis.

(2) The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for the current rating. The moderate scenario
factors in increasing success in containment during the first half
of 2021, enabling the continued relaxation of restrictions.

-- DBRS Morningstar's projected losses include an additional
stress due to the potential impact of the coronavirus. The DBRS
Morningstar cumulative net loss assumption is 10.68% based on the
worst-case loss pool constructed giving consideration to the
concentration limits present in the structure.

-- DBRS Morningstar incorporated a hardship deferment stress into
its analysis as a result of an increase in utilization related to
the impact of the coronavirus pandemic on borrowers. DBRS
Morningstar stressed hardship deferments to test liquidity risk
early in the life of the transaction's cash flows.

(3) The transaction's form and sufficiency of available credit
enhancement.

-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the Reserve Account, and excess
spread. Credit enhancement levels are sufficient to support DBRS
Morningstar's stressed assumptions under various stress scenarios.

(4) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final payment date.

(5) Oportun's capabilities with regard to originations,
underwriting, and servicing.

(6) The ability of Systems & Services Technologies, Inc. (SST) to
perform duties as a Back-Up Servicer. SST, as Back-Up Servicer, is
required to take over as successor servicer of the collateral in
the Oportun 2021-A transaction within 15 calendar days of notice of
a servicing termination event. SST and Oportun have developed a
detailed servicing transition plan to facilitate an orderly
transfer of service.

(7) The legal structure and expected legal opinions that will
address the true sale of the unsecured consumer loans, the
nonconsolidation of the trust, and that the trust has a valid
perfected security interest in the assets and consistency with the
DBRS Morningstar "Legal Criteria for U.S. Structured Finance."

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


OZLM FUNDING: S&P Affirms CCC+ (sf) Rating on Class E-R2 Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R3,
A-2-R3, and B-R3 replacement notes from OZLM Funding Ltd./OZLM
Funding LLC, a CLO that is managed by Sculptor CLO Management LLC.
At the same time, S&P withdrew its ratings on the class A-1-R2,
A-2-R2, and B-R2 notes following payment in full on the March 10,
2021, refinancing date, and affirmed its ratings on the class C-R2,
D-R2, and E-R2 notes.

On the March 10, 2021, refinancing date, the proceeds from the
class A-1-R3, A-2-R3, and B-R3 replacement note issuances were used
to redeem the class A-1-R2, A-2-R2, and B-R2 notes, as outlined in
the transaction document provisions. S&P said, "As result, we
withdrew our ratings on the class A-1-R2, A-2-R2, and B-R2 notes in
line with their full redemption and assigned our ratings to the
class A-1-R3, A-2-R3, and B-R3 replacement notes. The replacement
notes are being issued via a proposed supplemental indenture. We
also affirmed our ratings on the class C-R2, D-R2, and E-R2 notes,
which were unaffected by the amendment."

S&P said, "The class E-R2 does not pass our cash flow stresses at
its current rating. Our rating affirmation reflect the notes'
subordination levels and the transaction's stable performance since
the downgrade in August 2020.

"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches, as well as qualitative
factors.

"The assigned ratings reflect our view that the credit support
available is commensurate with the associated rating levels.

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

  Ratings Assigned

  OZLM Funding Ltd./OZLM Funding LLC

  Replacement class A-1-R3, $309.53 million: AAA (sf)
  Replacement class A-2-R3, $63.00 million: AA (sf)
  Replacement class B-R3, $27.00 million: A (sf)

  Ratings Withdrawn

  OZLM Funding Ltd./OZLM Funding LLC

  Class A-1-R2: to NR from 'AAA (sf)'
  Class A-2-R2: to NR from 'AA (sf)'
  Class B-R2: to NR from 'A (sf)'

  Ratings Affirmed

  OZLM Funding Ltd./OZLM Funding LLC

  Class C-R2: BBB- (sf)
  Class D-R2: B (sf)
  Class E-R2: CCC+ (sf)
  Other Notes Not Rated
  
  OZLM Funding Ltd./OZLM Funding LLC

  Subordinated notes: NR

  NR--Not rated.


PREFERRED TERM: Moody's Hikes Rating on $90M Mezzanine Notes to Ba1
-------------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Preferred Term Securities, Ltd.:

US$90,000,000 Fixed Rate Mezzanine Notes Due September 15, 2030
(current rated balance of $6,497,501.50), Upgraded to Ba1 (sf);
previously on February 21, 2014 Upgraded to Caa1 (sf)

Preferred Term Securities, Ltd., issued in September 2000, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).

RATINGS RATIONALE

The rating action is primarily a result of the deleveraging of the
Mezzanine notes and an increase in the transaction's
over-collateralization (OC) ratios since September 2019.

The mezzanine notes have paid down by approximately 67.7% or $13.6
million since September 2019, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratio for
the Mezzanine Principal Coverage Test has improved to 123.12% from
the September 2019 level of 106.99%. The mezzanine notes will
benefit from the use of proceeds from redemptions of any assets in
the collateral pool. Additionally, the credit quality of the
underlying portfolio has improved since September 2019. The deal
has also benefited from improvement in the credit quality of the
underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 180 from 714 in
September 2019.

Notwithstanding benefits of the deleveraging, today's rating action
took into account the high concentration of the collateral pool,
which has only one performing asset remaining, as well as the
potential for interest shortfall due to a collateral prepayment,
similar to that which occurred in March 2020 and caused an Event of
Default.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. Moody's analyzed the underlying collateral pool
as having a performing par of $8.0 million, defaulted par of $30.0
million, a weighted average default probability of 1.20% (implying
a WARF of 180), and a weighted average recovery rate upon default
of 10%.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in the US economic activity.

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

Methodology Used for the Rating Action

The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs" published in June 2020.

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

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.


PROVIDENT FUNDING 2021-1: Moody's Gives '(P)B2' Rating to 2 Classes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of notes issued by Provident Funding Warehouse
Securitization Trust 2021-1 (the transaction). The ratings range
from (P)Aaa (sf) to (P)B2 (sf). This transaction is sponsored by
Provident Funding Associates, L.P. (Provident, the repo seller,
senior unsecured rating B2 as of the date hereof). The securities
in this transaction are backed by a revolving pool of newly
originated first-lien fixed rate residential mortgage loans which
are eligible for purchase by Fannie Mae, Freddie Mac (agency
mortgage loans) or are jumbo mortgage loans, which will be
underwritten pursuant to certain jumbo-specific overlays and also
through Fannie Mae's automated underwriting system, Desktop
Underwriter (DU). This warehouse facility has a total size of
$300,000,000.

The complete rating action are as follows.

Issuer: Provident Funding Warehouse Securitization Trust 2021-1

Cl. A, Assigned (P)Aaa (sf)

Cl. B, Assigned (P)Aa2 (sf)

Cl. C, Assigned (P)A2 (sf)

Cl. D, Assigned (P)Baa1 (sf)

Cl. E, Assigned (P)Baa3 (sf)

Cl. F, Assigned (P)B2 (sf)

Cl. G, Assigned (P)B2 (sf)

RATINGS RATIONALE

The transaction is based on a master repurchase agreement (MRA)
between Provident, as repo seller, and Provident Funding Warehouse
Securitization Trust 2021-1 as buyer.

Moody's base its Aaa expected losses of 27.45%, mean expected
losses of 4.53% and median expected loss 3.70%, under the scenario
in which the repo seller does not pay the aggregate repurchase
price to pay off the notes at the end of the facility's three-year
revolving term, and the repayment of the notes will depend on the
credit performance of the remaining static pool of mortgage loans.
To assess the credit quality of the static pool, Moody's created a
hypothetical adverse pool based on the facility's eligibility
criteria. Loans which are subject to payment forbearance, a trial
modification, or delinquency are ineligible to enter the facility.
Moody's analyzed the pool using its US MILAN model and made
additional pool level adjustments to account for risks related to
(i) a weak representation and warranty enforcement framework (ii)
general concerns on potential compliance findings related to the
TILA-RESPA Integrated Disclosure (TRID) Rule.

The ratings on the notes are the higher of (i) the repo seller's
(Provident) senior unsecured rating, which is B2 as of the date
hereof, and (ii) the rating of the notes based on the credit
quality of the mortgage loans backing the notes (i.e., absent
consideration of the repo seller). If the repo seller does not
satisfy its obligations under the repo agreement, then the ratings
on the notes will only reflect the credit quality of the mortgage
loans backing the notes.

Collateral Description:

The mortgage loans in the facility will be newly originated,
first-lien, fixed-rate mortgage loans which are eligible for
purchase by Fannie Mae or Freddie Mac (agency mortgage loans), or
are jumbo mortgage loans, which will be underwritten pursuant to
certain jumbo-specific overlays and also through Fannie Mae's
automated underwriting system, Desktop Underwriter. These
jumbo-specific overlays address or mitigate potential underwriting
concerns that may arise when a jumbo mortgage loan is underwritten
through Desktop Underwriter. The mortgage loans must also comply
with the transaction's eligibility criteria. The total securitized
facility balance is $300,000,000. Per the transaction documents,
the mortgage pool will have a minimum weighted average FICO of 720
and a maximum weighted average LTV of 75%.

The ultimate composition of the pool of mortgage loans remaining in
the facility is unknown, at the end of the three-year term in the
scenario where Provident defaults. Moody's modeled this risk
through evaluating the credit risk of an adverse pool constructed
using the eligibility criteria. In generating the adverse pool: 1)
Moody's assumed an adverse numerical value from the criteria range
for each loan characteristic. 2) Moody's assumed risk layering for
the loans in the pool within the eligibility criteria. For example,
loans with the highest LTV also had the lowest FICO to the extent
permitted by the eligibility criteria; 3) Moody's took into account
the specified restrictions in the eligibility criteria such as the
weighted average LTV and FICO; 4) considered the overlays for both
GSE eligible loans and jumbo mortgage loans.

The loans will be originated and serviced by Provident. U.S. Bank
National Association will be the standby servicer. Moody's consider
the overall servicing arrangement for this transaction to be
adequate. At the transaction closing date, the servicer
acknowledges that it is servicing the purchased loans for the joint
benefit of the issuer and the indenture trustee.

Transaction Structure:

Moody's analysis of the securitization structure includes reviewing
bankruptcy remoteness, assessing the ability of the indenture
trustee to take possession of the collateral in an event of
default, conformity of the collateral with the eligibility criteria
as well as allocation of funds to the notes.

The transaction is structured as a master repurchase agreement
between Provident (the repo seller) and the Provident Funding
Warehouse Securitization Trust 2021-1 (the trust or issuer). The
U.S. Bankruptcy Code provides repurchase agreements, security
contracts and master netting agreements a "safe harbor" from the
Bankruptcy Code automatic stay. Due to this safe harbor, in the
event of a bankruptcy of Provident, the issuer will be exempt from
the automatic stay and thus, the issuer will be able to exercise
remedies under the master repurchase agreement, which includes
seizing the collateral.

During the revolving period, the repo seller's obligations will
include making timely payments of interest accrued on the notes as
well as the aggregate monthly fees. Failure to make such payments
will constitute a repo trigger event whereby the indenture trustee
will seize the collateral and terminate the repo agreement. It is
expected that the notes will not receive payments of principal
until the expected maturity date or after the occurrence and
continuance of an event of default under the indenture unless the
repo seller makes an optional prepayment. In an event of default,
principal will be distributed sequentially amongst the classes.
Realized losses will be allocated in a reverse sequential order.

In addition, during the amortization period, the pool will consist
of fixed rate mortgages while notes will be floaters linked to
LIBOR, thus the transaction may be exposed to potential risk from
interest rate mismatch. To account for the mismatch, Moody's
assumed a stressed LIBOR curve by increasing the one-month LIBOR
rate incrementally for a certain period until it reaches the
maximum allowable interest rate as described in the transaction
documents.

Origination Quality

Provident will be the originator of the mortgage loans. Moody's
believe the origination quality of loans to be eligible for the
facility to be adequate. The repo seller originates agency mortgage
loans or jumbo mortgage loans. Agency mortgage loans will be
originated in accordance with the criteria of Fannie Mae or Freddie
Mac, and jumbo mortgage loans will be underwritten pursuant to
certain jumbo-specific overlays and also through Fannie Mae's
Desktop Underwriter. All the jumbo loans run through Desktop
Underwriter can be "ineligible" only because the loan amount
exceeds Fannie Mae eligible loan sizes. In addition, all the
mortgage loans need to conform with the eligibility criteria as set
forth in transaction documents.

Despite the fact that Provident's in-house jumbo underwriting
guidelines can change overtime, the jumbo mortgage underwriting
overlays (as set forth in transaction documents) and DU requirement
provide a sufficient minimum standard for jumbo loans. Moody's
believe that the key underwriting overlays, such as reserve
requirement, desk review to appraisals, and 24-month income and
employment history, will address or mitigate potential underwriting
concerns that may arise when a jumbo mortgage loan is underwritten
through DU. Therefore, Moody's did not make any additional
adjustment to origination quality with respect to the inclusion of
jumbo mortgage loans.

Ongoing Due Diligence

During the revolving period, Clayton Services LLC (or a qualified
successor diligence provider appointed by the repo seller) will
conduct ongoing due diligence every 90 days on 100 randomly
selected loans. The first review will be performed 30 days
following the closing date. The scope of the review will include
credit underwriting, regulatory compliance, valuation and data
integrity.

Because Moody's analysis is based on a scenario in which the
facility terms out, due diligence reviews provide some control on
the credit quality of the collateral. The due diligence framework
in this transaction combined with the collateral eligibility
controls help mitigate the risks of adverse selection in this
transaction.

While the due diligence review will provide some validation on the
quality of the loans, it may not be fully representative of the
collateral quality of the facility at all times. This is mainly due
to the frequency of the due diligence review, the revolving nature
of the collateral pool, and that the review will be conducted on a
sample basis. Also, by the time the due diligence review is
completed, some of the sampled loans may no longer be in the pool.

Reserve Deposit

To the extent that a final diligence report for a review period
identifies level C or D (or both) exceptions which in the aggregate
represent an amount greater than 10% (by loan count) of the
purchased mortgage loans reviewed, but less than or equal to 15%
(by loan count), the seller will be required to deposit additional
eligible mortgage loans and/or cash into the margin account
(reserve deposits) equal to 5% of the aggregate outstanding
purchase price. If the aggregate amount of level C or D (or both)
exceptions for such review period is greater than 15% (by loan
count) of the purchased mortgage loans reviewed, no further
eligible mortgage loans will be purchased under the repo agreement.
Level C or D (or both) exceptions found by the diligence provider
due to TRID violations will not be included in the calculations.
Therefore, Moody's expected loses include an adjustment for TRID
because (i) there are no restrictions on the number of loans that
can have a TRID finding and (ii) there are no penalties associated
with such findings.

Representation and Warranties

For a mortgage loan to qualify as an eligible mortgage loan, the
loan must meet representations and warranties described in the
repurchase agreement. The substance of the representations and
warranties are consistent with those in our published criteria for
representations and warranties for U.S. RMBS transactions. After a
repo event of default, which includes the repo seller or buyer's
failure to purchase or repurchase mortgage loans from the facility,
the repo seller or buyer's failure to perform its obligations or
comply with stipulations in the master repurchase agreement,
bankruptcy or insolvency of the buyer or the repo seller, any
breach of covenant or agreement that is not cured within the
required period of time, as well as the repo seller's failure to
pay price differential when due and payable pursuant to the master
repurchase agreement, a delinquent loan reviewer will conduct a
review of loans that are more than 120 days delinquent to identify
any breaches of the representations and warranties provided by the
underlying sellers. Loans that breach the representations and
warranties will be put back to the repo seller for repurchase.

While the transaction has the above described representation and
warranties enforcement mechanism, in the amortization period, after
an event of default where the repo seller did not pay the notes in
full, it is unlikely that the repo seller will repurchase the
loans. In addition, the noteholders (holding 100% of the aggregate
principal amount of all notes) may waive the requirement to appoint
such delinquent loan reviewer.

Elevated social risks associated with the coronavirus

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around our
forecasts. Moody's analysis has considered the effect on the
performance of consumer assets from a gradual and unbalanced
recovery in US economic activity. 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 have not made any adjustments related to coronavirus for
this transaction because (i) loans that are subject to payment
forbearance or a trial modification are ineligible to enter the
facility, and the repo seller must repurchase loans in the facility
that become subject to forbearance, (ii) delinquent loans are
ineligible to enter the facility, and (iii) loans are unlikely to
be modified while in the facility due to the seasoning constraint
specified in the eligibility criteria. The repo seller will be
required to repurchase any loans that do not meet the "eligible
loan" criteria.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings 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 the state of the housing
market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above our original expectations as
a result of a weaker collateral composition than that in the
adverse pool, financial distress of any of the counterparties.
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.


RCKT MORTGAGE 2021-1: Fitch to Rate B-5 Certs 'B(EXP)'
------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by RCKT Mortgage Trust 2021-1 (RCKT 2021-1).

DEBT                  RATING
----                  ------
RCKT Mortgage Trust 2021-1

A-1         LT  AAA(EXP)sf   Expected Rating
A-10        LT  AAA(EXP)sf   Expected Rating
A-11        LT  AAA(EXP)sf   Expected Rating
A-12        LT  AAA(EXP)sf   Expected Rating
A-13        LT  AAA(EXP)sf   Expected Rating
A-14        LT  AAA(EXP)sf   Expected Rating
A-15        LT  AAA(EXP)sf   Expected Rating
A-16        LT  AAA(EXP)sf   Expected Rating
A-2         LT  AAA(EXP)sf   Expected Rating
A-3         LT  AAA(EXP)sf   Expected Rating
A-4         LT  AAA(EXP)sf   Expected Rating
A-5         LT  AAA(EXP)sf   Expected Rating
A-6         LT  AAA(EXP)sf   Expected Rating
A-7         LT  AAA(EXP)sf   Expected Rating
A-8         LT  AAA(EXP)sf   Expected Rating
A-9         LT  AAA(EXP)sf   Expected Rating
A-X-1       LT  AAA(EXP)sf   Expected Rating
A-X-10      LT  AAA(EXP)sf   Expected Rating
A-X-1A      LT  AAA(EXP)sf   Expected Rating
A-X-1B      LT  AAA(EXP)sf   Expected Rating
A-X-2       LT  AAA(EXP)sf   Expected Rating
A-X-3       LT  AAA(EXP)sf   Expected Rating
A-X-4       LT  AAA(EXP)sf   Expected Rating
A-X-5       LT  AAA(EXP)sf   Expected Rating
A-X-6       LT  AAA(EXP)sf   Expected Rating
A-X-7       LT  AAA(EXP)sf   Expected Rating
A-X-8       LT  AAA(EXP)sf   Expected Rating
A-X-9       LT  AAA(EXP)sf   Expected Rating
B-1         LT  AA+(EXP)sf   Expected Rating
B-1A        LT  AA+(EXP)sf   Expected Rating
B-2         LT  A+(EXP)sf    Expected Rating
B-2A        LT  A+(EXP)sf    Expected Rating
B-3         LT  BBB+(EXP)sf  Expected Rating
B-4         LT  BB+(EXP)sf   Expected Rating
B-5         LT  B(EXP)sf     Expected Rating
B-6         LT  NR(EXP)sf    Expected Rating
B-X-1       LT  AA+(EXP)sf   Expected Rating
B-X-2       LT  A+(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 475 loans with a total balance of
approximately $373 million as of the cutoff date. The pool consists
of prime fixed-rate mortgages acquired by Woodward Capital
Management LLC (Woodward) from Quicken Loans, LLC (Quicken).
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 collateral consists of
475 loans, totaling $373 million, and seasoned approximately 1
month in aggregate. The borrowers have a strong credit profile (773
FICO and 31% DTI) and low leverage (73% sLTV). The pool consists of
97.2% of loans where the borrower maintains a primary residence,
while 2.8% is an investor property or second home. Additionally,
91% of the loans were originated through a retail channel.
Additionally, 100% are designated as Safe Harbor QM.

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest 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. A key difference with this
transaction compared to other programs that treat Stop Advance
loans similarly is that liquidation proceeds are allocated to
interest before principal. As a result, Fitch included the full
interest carry in its loss projections and views the risk of
permanent interest reductions as lower than other programs with a
similar feature.

Tight Performance Triggers: (Positive) While traditional shifting
interest structures determine senior principal distributions by
comparing the senior bond size to the collateral balance, this
transaction structure compares the senior balance to the collateral
balance less any stop-advance loans. In a period of increased
delinquencies, this will result in a larger amount of principal
paid to the senior bonds relative to a traditional structure and
the redirection will occur much quicker.

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.00% 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 'AAAsf'
average loss severity of 43%.

ESG Relevance Score (Positive): The transaction has an ESG
Relevance Score of '4[+]' for Exposure to Governance as a result of
the strong counterparties and well controlled operational
considerations. Operational risk is well controlled for in this
transaction. Quicken Loans is assessed as an 'Above Average'
originator and is contributing all of the loans to the pool. The
originator has a robust origination strategy, maintains,
experienced senior management and staff, strong risk management and
corporate governance controls, and a robust due diligence process.
Primary servicing functions will be performed by Quicken Loans,
which Fitch rates 'RPS2'.

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. Fitch conducted sensitivity
analysis 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 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.

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 impacted by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs. Any long-term impact arising from
coronavirus disruptions on these economic inputs will likely affect
both investment and speculative grade ratings.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton Services LL. The third-party due diligence
described in Form 15E focused on a credit, compliance and property
valuation review. Fitch considered this information in its analysis
and, as a result, Fitch made the following adjustment to its
analysis: a 5% reduction to the probability default applied at a
loan level. This adjustment resulted in 20bps reduction to the
'AAAsf' expected loss.

DATA ADEQUACY

The data used in the analysis was sufficient and adequate to
support the ratings

ESG CONSIDERATIONS

The transaction has an ESG Relevance Score of '4[+]' for Exposure
to Governance as a result of the strong counterparties and well
controlled operational 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.


RCKT MORTGAGE 2021-1: Moody's Gives (P)B2 Rating on Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 37
classes of residential mortgage-backed securities (RMBS) issued by
RCKT Mortgage Trust 2021-1 (RCKT 2021-1). The ratings range from
(P)Aaa (sf) to (P)B2 (sf).

RCKT 2021-1 is a securitization of prime jumbo mortgage loans
originated and serviced by Quicken Loans, LLC (Quicken Loans, rated
Ba1). The transaction is backed by 475 first-lien, fully
amortizing, 30-year fixed-rate qualified mortgage (QM) loans, with
an aggregate unpaid principal balance (UPB) of $373,017,121. The
average stated principal balance is $785,299.

The transaction will be sponsored by Woodward Capital Management
LLC a wholly owned subsidiary of RKT Holdings, LLC (RKT Holdings).
Rocket Companies, Inc. (NYSE: RKT), is the sole managing member and
an owner of equity interests in RKT Holdings. This will be the
first issuance from RCKT Mortgage Trust in 2021 and the third
transaction for which Quicken Loans, LLC (wholly owned subsidiary
of RKT Holdings) is the sole originator and servicer. There is no
master servicer in this transaction. Citibank, N.A. (Citibank,
rated Aa3) will be the securities administrator and Wilmington
Savings Fund Society, FSB will be the trustee.

Transaction credit strengths include the high credit quality of the
collateral pool, the strong third-party review (TPR) results for
credit and compliance, and the prescriptive and unambiguous
representations & warranties (R&W) framework. Transaction credit
weaknesses include weaker property valuation review and having no
master servicer to oversee the primary servicer, unlike typical
prime jumbo transactions we have rated.

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 and adjusted
Moody's expected losses based on qualitative attributes, including
the financial strength of the R&W provider and TPR results.

RCKT 2021-1 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.

The complete rating actions are as follows:

Issuer: RCKT Mortgage Trust 2021-1

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)Aa1 (sf)

Cl. A-14, Assigned (P)Aa1 (sf)

Cl. A-15, Assigned (P)Aa1 (sf)

Cl. A-16, Assigned (P)Aa1 (sf)

Cl. A-X-1*, Assigned (P)Aa1 (sf)

Cl. A-X-1A*, Assigned (P)Aa1 (sf)

Cl. A-X-1B*, Assigned (P)Aa1 (sf)

Cl. A-X-2*, Assigned (P)Aaa (sf)

Cl. A-X-3*, Assigned (P)Aaa (sf)

Cl. A-X-4*, Assigned (P)Aaa (sf)

Cl. A-X-5*, Assigned (P)Aaa (sf)

Cl. A-X-6*, Assigned (P)Aaa (sf)

Cl. A-X-7*, Assigned (P)Aaa (sf)

Cl. A-X-8*, Assigned (P)Aa1 (sf)

Cl. A-X-9*, Assigned (P)Aa1 (sf)

Cl. A-X-10*, Assigned (P)Aa1 (sf)

Cl. B-1, Assigned (P)Aa3 (sf)

Cl. B-X-1*, Assigned (P)Aa3 (sf)

Cl. B-1A, Assigned (P)Aa3 (sf)

Cl. B-2, Assigned (P)A3 (sf)

Cl. B-X-2*, Assigned (P)A3 (sf)

Cl. B-2A, Assigned (P)A3 (sf)

Cl. B-3, Assigned (P)Baa3 (sf)

Cl. B-4, Assigned (P)Ba3 (sf)

Cl. B-5, Assigned (P)B2 (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 0.33%
at the mean (0.17% at the median) and reaches 3.36% at a stress
level consistent with Moody's Aaa ratings.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of residential mortgage loans from a gradual and
unbalanced recovery in US economic activity.

Moody's increased our model-derived median expected losses by 10%
(6.57% for the mean) and our Aaa loss by 2.5% to reflect the likely
performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

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,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the TPR and the R&W framework of the
transaction.

Collateral Description

RCKT 2021-1 is a securitization of 475 first lien prime jumbo
mortgage loans with an unpaid principal balance of $373,017,121.
100% of the mortgage loans in the pool are underwritten to Quicken
Loans' prime jumbo guidelines. The average stated principal balance
is $785,299 and the weighted average (WA) current mortgage rate is
3.0%. The loans in this transaction have strong borrower
characteristics with a weighted average primary borrower FICO score
of 777 and a weighted-average original loan-to-value ratio (LTV) of
67.7%. The WA original debt-to-income (DTI) ratio is 30.5%. The
average borrower total monthly income is $24,749 with an average
$91,641 of liquid cash reserves.

Approximately 28.2% of the mortgages are backed by properties in
California. The next largest states by geographic concentration in
the pool are Florida (7.7% by UPB), and Texas (6.8% by UPB). All
other states each represent 5% or less by UPB. Approximately 59.3%
of the pool is backed by single family residential properties and
38.8% is backed by PUDs. Approximately 91% of the mortgages (by
UPB) were originated through the retail channel and the remaining
9% were originated through the broker channel. Loans originated
through different origination channels often perform differently.
Typically, loans originated through a broker or correspondent
channel do not perform as well as loans originated through a retail
channel, although performance will vary by originator.

As of the cut-off date, none of the borrowers of the mortgage loans
are currently subject to a forbearance plan or are in the process
of being subject to a forbearance plan, including as a result of
COVID-19. In the event a borrower enters into a forbearance plan,
including as a result of COVID-19, after the cut-off date, such
mortgage loan will remain in the pool.

Origination Quality

Quicken Loans (rated Ba1), founded in 1985 and headquartered in
Detroit, Michigan, is the largest overall US residential mortgage
originator and the largest retail originator. Quicken Loans' prime
jumbo underwriting (UW) guidelines are comparable with those of
other prime jumbo originators. The guidelines generally adhere to
the UW guidelines established by Fannie Mae and QM Appendix Q,
except for loan amount, certain UW ratios, and certain
documentation requirements. Moody's consider Quicken Loans to be an
adequate originator of prime jumbo loans following a detailed
review of its UW guidelines, quality control process, policies and
procedures, technology infrastructure, disaster recovery plan, and
historical performance relative to its peers. Therefore, Moody's
did not apply a separate adjustment for origination quality.

Servicing Arrangement

Moody's assess the overall servicing arrangement for this pool as
adequate, given the ability, scale and experience of Quicken Loans
as a servicer. However, compared to other prime jumbo transactions
which typically have a master servicer, servicer oversight for this
transaction is weaker. While TPR of Quicken Loans' servicing
operations, performance and regulatory compliance will be conducted
at least annually by an independent accounting firm, the
government-sponsored entities (GSEs), the Consumer Financial
Protection Bureau (CFPB) and state regulators, such oversight lacks
the depth and frequency that a master servicer would typically
provide.

However, Moody's did not adjust our expected losses for the weaker
servicing arrangement due to the following reasons: (1) Quicken
Loans' relative financial strength, scale, franchise value,
experience and demonstrated ability as a servicer, (2) Citibank as
the securities administrator will be responsible for making
advances of delinquent interest and principal if Quicken Loans is
unable to do so and for reconciling monthly remittances of cash by
Quicken Loans, (3) the R&W framework is strong and includes
triggers for delinquency and modification, which ensures that
poorly performing mortgage loans will be reviewed by a third-party,
and (4) the mortgage pool is of high credit quality and a TPR firm
has conducted due diligence on 100% of the mortgage loans in the
pool with satisfactory results.

Servicer compensation will be a monthly fee based on the
outstanding principal amount of the mortgage loans serviced, of a
per annum rate equal to 25 basis points (0.25%).

Third-Party Review

The transaction benefits from a TPR on 100% of the mortgage loans
for regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the originator's UW
guidelines for the vast majority of mortgage loans, no material
regulatory compliance issues, and no material property valuation
exceptions. The mortgage loans that had exceptions to the
originator's UW guidelines had significant compensating factors
that were documented. However, weaknesses exist in the property
valuation review, where 313 of the non-conforming mortgage loans
originated under Quicken Loans' prime jumbo guidelines had a
property valuation review only consisting of a Fannie Mae's
Collateral Underwriter and no other third-party valuation product
such as a Collateral Desktop Analysis (CDA) and field review or
second full appraisal. As a result, Moody's applied an adjustment
to the collateral loss for such mortgage loans since the sample
size of mortgage loans in the pool that were reviewed using a
third-party valuation product such as a CDA was insufficient

Representations & Warranties

Moody's assessed RCKT 2020-1's R&W framework for this transaction
as adequate, consistent with that of other prime jumbo transactions
for which an independent reviewer is named at closing, the breach
review process is thorough, transparent and objective, and the
costs and manner of review are clearly outlined at issuance.
However, Moody's applied an adjustment to our losses to account for
the risk that Quicken Loans may be unable to repurchase defective
mortgage loans in a stressed economic environment, given that it is
a non-bank entity with a monoline business (mortgage origination
and servicing) that is highly correlated with the economy. However,
Moody's tempered this adjustment by taking into account Quicken
Loans' relative financial strength and the strong TPR results which
suggest a lower probability that poorly performing mortgage loans
will be found defective following review by the independent
reviewer.

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
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor and a subordination lock-out amount of
1.00% of the cut-off date pool balance, respectively. The floors
are consistent with the credit neutral floors for the assigned
ratings according to our methodology.

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 unscheduled principal
collections to the senior bond for a specified period and
increasing amounts of unscheduled principal collections to the
senior bond for a specified period and increasing amounts of
unscheduled principal collections to the subordinate bonds
thereafter, but only if loan performance satisfies delinquency and
loss tests. Realized losses are allocated reverse sequentially
among the subordinate and senior support certificates and on a
pro-rata basis among the super senior certificates.

Furthermore, similar to RCKT 2020-1 this transaction contains a
structural deal mechanism in which the servicer and the securities
administrator will not advance principal and interest (P&I) to
mortgage loans that are 120 days or more delinquent. Although this
feature lowers the risk of high advances that may negatively affect
the recoveries on liquidated loans, the reduction in interest
distribution amount is credit negative to the subordinate
certificates, because interest shortfalls resulting from
delinquencies from "Stop Advance Mortgage Loans" (SAML) is
allocated to the subordinate certificates (in reverse order of
distribution priority), then to the senior support certificates and
finally to the super-senior certificates. Once a SAML is
liquidated, the net recovery from that loan's liquidation is
included in available funds and thus follows the transaction's
priority of payment. In Moody's analysis, Moody's have considered
the additional interest shortfall that the certificates may incur
due to the transaction's stop-advance feature.

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.


RECETTE CLO: S&P Assigns Prelim B- (sf) Rating on Class F-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Recette CLO
Ltd./Recette CLO LLC's floating-rate notes. The transaction is a
proposed financing of Invesco Senior Secured Management Inc.'s
September 2015 transaction, which S&P Global Ratings did not rate.

The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of March 10,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's assessment 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.

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

  Preliminary Ratings Assigned

  Recette CLO Ltd./Recette CLO LLC

  Class X-RR, $3.25 mil.: AAA (sf)
  Class A-RR, $224.00 mil.: AAA (sf)
  Class B-RR, $42.00 mil.: AA (sf)
  Class C-RR, $21.00 mil.: A (sf)
  Class D-RR, $21.00 mil.: BBB- (sf)
  Class E-RR, $12.25 mil.: BB- (sf)
  Class F-RR, $6.25 mil.: B- (sf)
  Subordinated notes, $49.10 mil.: Not rated



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

The note issuance is a CLO securitization 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 March 12,
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

  Regatta XVIII Funding Ltd./Regatta XVIII Funding LLC

  Class A-1, $335.50 million: AAA (sf)
  Class A-2, $11.50 million: AAA (sf)
  Class B, $68.25 million: AA (sf)
  Class C (deferrable), $35.75 million: A (sf)
  Class D (deferrable), $33.00 million: BBB- (sf)
  Class E (deferrable), $22.00 million: BB- (sf)
  Subordinated notes, $57.65 million: not rated



REGIONAL MANAGEMENT 2021-1: DBRS Finalizes BB Rating on D Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
issued by Regional Management Issuance Trust 2021-1:

-- $203,130,000 Class A at AA (sf)
-- $7,160,000 Class B at A (sf)
-- $17,320,000 Class C at BBB (sf)
-- $21,090,000 Class D at BB (sf)

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected cumulative
net loss (CNL) includes an assessment of the expected impact on
consumer behavior. The DBRS Morningstar CNL assumption is 12.00%.

-- The transaction's assumptions consider DBRS Morningstar's set
of macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, which have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis. The assumptions also take
into consideration observed performance during the 2008–09
financial crisis and the possible impact of stimulus. The
assumptions consider the moderate macroeconomic scenario outlined
in the commentary, with the moderate scenario serving as the
primary anchor for current ratings. The moderate scenario factors
in increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

-- Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.

-- Regional Management Corp.'s (Regional) capabilities with regard
to originations, underwriting, and servicing.

-- DBRS Morningstar has performed an operational review of
Regional and considers the entity to be an acceptable originator
and servicer of unsecured personal loans with an acceptable backup
servicer.

-- Regional's senior management team has considerable experience
and a successful track record within the consumer loan industry.

-- Regional has remained consistently profitable since 2007.

-- In February 2018, Regional completed a system migration to the
Nortridge Loan Management System, allowing for the implementation
of centralized underwriting for all branches, which led to the
ability to implement a hybrid servicing model.

-- The credit quality of the collateral and performance of
Regional's consumer loan portfolio. DBRS Morningstar used a hybrid
approach in analyzing Regional's portfolio that incorporates
elements of static pool analysis, employed for assets such as
consumer loans, and revolving asset analysis, employed for assets
such as credit card master trusts.

-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with Regional, that the trust has a
valid first-priority security interest in the assets, and the
consistency with the DBRS Morningstar "Legal Criteria for U.S.
Structured Finance."

-- Credit enhancement in the transaction consists of
overcollateralization (OC), subordination, a reserve account, and
excess spread. The initial amount of OC is approximately 4.50% of
the Initial Loan Pool. The subordination in the transaction refers
to the Class B Notes, Class C Notes, and the Class D Notes, which
are subordinated to the Class A Notes (collectively, the Notes).
The reserve account is 1.00% of the Initial Loan Pool and is funded
at inception and non-declining. Initial Class A credit enhancement
of 23.00% includes a reserve account of 1.00%, OC of 4.50%, and
subordination of 17.50%. Initial Class B credit enhancement of
20.25% includes a reserve account of 1.00%, OC of 4.50%, and
subordination of 14.75%. Initial Class C credit enhancement of
13.60% includes a reserve account of 1.00%, OC of 4.50%, and
subordination of 8.10%. Initial Class D credit enhancement of 5.50%
includes a reserve account of 1.00% and OC of 4.50%.

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


RISERVA CLO: S&P Assigns Prelim B- (sf) Rating on Class F-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Riserva CLO
Ltd.'s floating-rate notes.

The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of March 11,
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.

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

  Preliminary Ratings Assigned

  Riserva CLO Ltd.

  Class X-RR, $2.50 million: AAA (sf)
  Class A-RR, $379.25 million: AAA (sf)
  Class B-RR, $71.25 million: AA (sf)
  Class C-RR, $35.50 million: A (sf)
  Class D-RR, $36.00 million: BBB- (sf)
  Class E-RR, $22.25 million: BB- (sf)
  Class F-RR, $6.88 million: B- (sf)
  Subordinated notes, $62.00 million: Not rated



RR 14: S&P Assigns Prelim BB-(sf) Rating on $24.30MM Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to RR 14
Ltd./RR 14 LLC's floating-rate notes.

The note issuance is a CLO securitization 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 March 16,
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

  RR 14 Ltd./RR 14 LLC

  Class A-1, $409.50 million: AAA (sf)
  Class A-2, $78.00 million: AA (sf)
  Class B (deferrable), $45.50 million: A (sf)
  Class C (deferrable), $39.00 million: BBB- (sf)
  Class D (deferrable), $24.30 million: BB- (sf)
  Subordinated notes, $61.20 million: not rated


RR 6: S&P Assigns Prelim BB- (sf) Rating on Class D-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, B-R, C-R, and D-R replacement notes and A-1L and A-2L
replacements loans from RR 6 Ltd./RR 6 LLC, a CLO originally issued
in 2019 that is managed by Redding Ridge Asset Management LLC. The
replacement notes and loans will be issued via a proposed
supplemental indenture. The class A-1b notes are being removed from
the transaction.

The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels. The replacement class X-R, B-R, C-R, and D-R notes and A-1L
and A-2L loans are expected to be issued at a lower spread than the
original notes.

The preliminary ratings are based on information as of March 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the March 16, 2021, refinancing date, the proceeds from the
issuance of the replacement notes and loans 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 and loans. 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 and
loans."

The replacement notes and loans are being issued via a proposed
supplemental indenture, which will outline the terms of the
replacement notes and loans. According to the proposed supplemental
indenture:

-- The stated maturity will be extended six years, and the
reinvestment period will be extended four years.

-- Workout loan-related concepts were added.

-- Of the underlying collateral obligations, 99.69% have credit
ratings assigned by S&P Global Ratings.

-- Of the underlying collateral obligations, 96.80% have recovery
ratings assigned by S&P Global Ratings.

  Preliminary Ratings Assigned

  RR 6 Ltd./RR 6 LLC

  Class X-R, $3.5 million: AAA (sf)
  Class A-1L loans(i), $378.0 million: AAA (sf)
  Class A-2L loans(i), $72.0 million: AA (sf)
  Class B-R (deferrable), $42.0 million: A (sf)
  Class C-R (deferrable), $36.0 million: BBB- (sf)
  Class D-R (deferrable), $24.0 million: BB- (sf)
  Subordinated notes, $43.2 million: Not rated

(i)The A-1L and A-2L loans can both be converted to notes at a
maximum value of $378 million and $72 million, respectively.


RR 6: S&P Withdraws 'B+ (sf)' Rating on Class D Notes
-----------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-1R,
A-1L, A-2R, A-2L, B-R, C-R, and D-R replacement notes and class
A-1L and A-2L replacements loans from RR 6 Ltd./RR 6 LLC, a CLO
originally issued in 2019 that is managed by Redding Ridge Asset
Management LLC. The replacement notes and loans will be issued via
a supplemental indenture.

The ratings reflect S&P's view that the credit support available is
commensurate with the associated rating levels. The replacement
class X-R, A-1R, A-1L, A-2R, A-2L, B-R, C-R, and D-R notes and
class A-1L and A-2L loans are expected to be issued at a lower
spread than the original notes.

On the March 16, 2021, refinancing date, the proceeds from the
issuance of the replacement notes and loans were used to redeem the
original notes. At that time, S&P withdrew the ratings on the
original notes and assigned ratings to the replacement notes and
loans.

The replacement notes and loans are being issued via a supplemental
indenture, which outlines the terms of the replacement notes and
loans. According to the proposed supplemental indenture:

-- The stated maturity will be extended six years, and the
reinvestment period will be extended four years.

-- Workout loan-related concepts were added.

-- The class A-1L and A-2L loans can be converted to notes up to
the maximum principal amount of $378 million and $72 million,
respectively.

-- 99.69% of the underlying collateral obligations have credit
ratings assigned by S&P Global Ratings.

-- 96.80% of the underlying collateral obligations have recovery
ratings assigned by S&P Global Ratings.

  Ratings Assigned

  RR 6 Ltd./RR 6 LLC

  Replacement class X-R, $3.5 million: AAA (sf)
  Replacement class A-1R, $0.0 million: AAA (sf)
  Replacement class A-1L loans(i), $378.0 million: AAA (sf)
  Replacement class A-1L notes(i), $0.0 million: AAA (sf)
  Replacement class A-2R, $0.0 million: AA (sf)
  Replacement class A-2L loans(i), $72.0 million: AA (sf)
  Replacement class A-2L notes(i), $0.0 million: AA (sf)
  Replacement class B-R (deferrable), $42.0 million: A (sf)
  Replacement class C-R (deferrable), $36.0 million: BBB- (sf)
  Replacement class D-R (deferrable), $24.0 million: BB- (sf)
  Subordinated notes, $43.2 million: Not rated

(i)The class A-1L and A-2L loans can both be converted to notes at
a maximum value of $378 million and $72 million, respectively.

  Ratings Withdrawn

  RR 6 Ltd./RR 6 LLC

  Class A-1a to NR from 'AAA (sf)'
  Class A-2 to NR from 'AA (sf)'
  Class B to NR from 'A (sf)'
  Class C to NR from 'BBB- (sf)'
  Class D to NR from 'B+ (sf)'

  NR--Not rated.


SANTANDER PRIME 2018-A: DBRS Hikes Class F Notes Rating to BB(sf)
-----------------------------------------------------------------
DBRS, Inc. upgraded its ratings on the following classes of notes
issued by Santander Prime Auto Issuance Notes 2018-A:

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

DBRS Morningstar also confirmed its ratings on the following
classes of notes:

-- Class A Notes at AAA (sf)
-- Class B Notes at AAA (sf)

The performance of the transaction is such that credit enhancement
is sufficient to cover the DBRS Morningstar loss expectations for
the portfolio at the rating levels outlined above.

As of the February 16, 2021, Distribution Date, credit enhancement
was 60.33%, 44.98%, 15.60%, 12.25%, 9.85%, and 6.09% for the Class
A, B, C, D, E, and F Notes, respectively. The pool factor was
22.81% and total delinquencies were 3.73% of the outstanding
aggregate pool balance. Cumulative net losses were 3.04%.

The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, that have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis.

The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
factors in increasing success in containment during the first half
of 2021, enabling the continued relaxation of restrictions.

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



SBALR COMMERCIAL 2020-RR1: DBRS Confirms B (low) Rating on F Certs
------------------------------------------------------------------
DBRS, Inc. confirmed all ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-RR1 issued by SBALR
Commercial Mortgage 2020-RR1 Trust as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

DBRS Morningstar removed classes E and F from Under Review with
Negative Implications, where it placed them on August 6, 2020. All
trends are Stable.

As of the January 2021 remittance, the pool had a nominal 0.5%
reduction of collateral because of amortization as all of the
original 59 loans remain in the pool. There are two loans,
representing 4.7% of the pool, with the special servicer. The
larger of these is the Clarion Suites Anchorage loan (Prospectus
ID#4, 3.5% of the pool), which is secured by a 112-room
limited-service hotel in Alaska. The loan transferred to the
special servicer in October 2020 because of a Coronavirus Disease
(COVID-19) relief request, and the lender subsequently amended the
loan to convert principal and interest (P&I) payments to interest
only for one year ending in April 2021. The loan's amortization
schedule will then be recast, and P&I payments will resume in May
2021. Additionally, the Wingate Arlington Heights loan (Prospectus
ID#31, 1.2% of the pool) transferred to special servicing in June
2020 also because of pandemic-related performance concerns. The
loan is secured by an 80-room hotel in Arlington Heights, Illinois,
which is about 10 miles northwest of O'Hare International Airport.
The loan fell delinquent in April 2020, and the servicer's
commentary notes that the borrower is working through a consultant
to negotiate a modification agreement, which could include some
form of forbearance.

There are seven loans, representing 10.8% of the pool, on the
servicer's watchlist. The service is monitoring these loans for
various reasons including low debt service coverage ratio or
occupancy, tenant rollover risk, and/or pandemic-related
forbearance requests. Three of the watchlist loans, collectively
representing 4.7% of the pool balance, have been modified with some
form of temporary forbearance agreement or loan amendments to allow
reserves to be used for debt service obligations.

DBRS Morningstar materially deviated from its North American CMBS
Insight Model when determining the ratings assigned to Classes B
and C, as the quantitative results suggested higher ratings on the
classes. The material deviations are warranted given the uncertain
loan-level event risk with the loans in special servicing and on
the servicer's watchlist, in addition to the increased
concentration of the pool in terms of the number of loans
remaining.

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


SCF EQUIPMENT 2019-1: Moody's Hikes Rating on Class F Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded five classes of notes issued
by SCF Equipment Leasing 2019-1 LLC and SCF Equipment Leasing
Canada 2019 Limited Partnership (SCF 2019-1). The transaction is
backed by equipment loans and leases and owner-occupied commercial
real estate loans.

The complete rating actions are as follows:

Issuer: SCF Equipment Leasing 2019-1 LLC/SCF Equipment Leasing
Canada 2019 Limited Partnership

Class B Notes, Upgraded to Aaa (sf); previously on Jan 30, 2020
Upgraded to Aa1 (sf)

Class C Notes, Upgraded to Aa1 (sf); previously on Aug 31, 2020
Confirmed at A3 (sf)

Class D Notes, Upgraded to A2 (sf); previously on Aug 31, 2020
Confirmed at Baa3 (sf)

Class E Notes, Upgraded to Baa3 (sf); previously on Aug 31, 2020
Confirmed at Ba1 (sf)

Class F Notes, Upgraded to B1 (sf); previously on Aug 31, 2020
Confirmed at B2 (sf)

RATINGS RATIONALE

The upgrade rating actions primarily reflect build-up in credit
enhancement levels in the transaction due to deleveraging from the
sequential pay structures, overcollateralization (OC) and
non-declining reserve accounts. The SCF 2019-1 transaction features
an OC target of 5.50% of the original pool balance. Since the
target OC level is met, 50% of the excess spread is used to pay the
subordinate class E notes, class F notes, and class G notes,
pro-rata. The non-declining reserve account target of 1.50% of
original balance is fully funded. In addition, the transaction has
exhibited strong performance with no cumulative net losses to
date.

Along with the strong performance, Moody's continued to consider
specific risks associated with the transaction, such as
concentrations and residual risks. High level of pool
concentrations in the transaction to obligors and industries poses
potentially higher performance volatility because any default of a
large obligor or stress in certain industries could have a material
impact on expected losses to noteholders. The top obligor accounts
for about 19% of the current pool balance and top 10 obligor
concentration in the pool is about 67%. Transaction's exposure to
transportation and oil and gas industries accounts for about 55%.
Securitized residual currently accounts for about 21% of the pool.

Moody's also considered greater volatility in projected asset
values, which were provided at transaction closing. Over time, the
age of the asset valuations may lead to volatility in the
determination of recovery values of the loans and leases backing
the transaction. To take this into consideration, Moody's performed
sensitivity analysis on the projected future asset values received
at the closing of the transaction.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets and commercial real estate from a
gradual and unbalanced recovery in US economic activity.

Moody's regards the coronavirus 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 these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in December 2020.

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

Up

Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or lower than
expected depreciation in the value of the equipment that secure the
obligor's promise of payment. As the primary drivers of
performance, positive changes in the US macro economy and the
performance of various sectors where the obligors operate could
also affect the ratings. In addition, faster than expected
reduction in residual value exposure could prompt upgrade of
ratings.

Down

Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy. Other
reasons for worse-than-expected performance include poor servicing,
error on the part of transaction parties, inadequate transaction
governance and fraud.


SEQUOIA MORTGAGE 2021-2: Fitch Gives BB-(EXP) Rating on B4 Certs
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
certificates to be issued by Sequoia Mortgage Trust 2021-2 (SEMT
2021-2).

DEBT                 RATING  
----                 ------  
SEMT 2021-2

A1        LT  AAA(EXP)sf   Expected Rating
A10       LT  AAA(EXP)sf   Expected Rating
A11       LT  AAA(EXP)sf   Expected Rating
A12       LT  AAA(EXP)sf   Expected Rating
A13       LT  AAA(EXP)sf   Expected Rating
A14       LT  AAA(EXP)sf   Expected Rating
A15       LT  AAA(EXP)sf   Expected Rating
A16       LT  AAA(EXP)sf   Expected Rating
A17       LT  AAA(EXP)sf   Expected Rating
A18       LT  AAA(EXP)sf   Expected Rating
A19       LT  AAA(EXP)sf   Expected Rating
A2        LT  AAA(EXP)sf   Expected Rating
A20       LT  AAA(EXP)sf   Expected Rating
A21       LT  AAA(EXP)sf   Expected Rating
A22       LT  AAA(EXP)sf   Expected Rating
A23       LT  AAA(EXP)sf   Expected Rating
A24       LT  AAA(EXP)sf   Expected Rating
A25       LT  AAA(EXP)sf   Expected Rating
A3        LT  AAA(EXP)sf   Expected Rating
A4        LT  AAA(EXP)sf   Expected Rating
A5        LT  AAA(EXP)sf   Expected Rating
A6        LT  AAA(EXP)sf   Expected Rating
A7        LT  AAA(EXP)sf   Expected Rating
A8        LT  AAA(EXP)sf   Expected Rating
A9        LT  AAA(EXP)sf   Expected Rating
AIO1      LT  AAA(EXP)sf   Expected Rating
AIO10     LT  AAA(EXP)sf   Expected Rating
AIO11     LT  AAA(EXP)sf   Expected Rating
AIO12     LT  AAA(EXP)sf   Expected Rating
AIO13     LT  AAA(EXP)sf   Expected Rating
AIO14     LT  AAA(EXP)sf   Expected Rating
AIO15     LT  AAA(EXP)sf   Expected Rating
AIO16     LT  AAA(EXP)sf   Expected Rating
AIO17     LT  AAA(EXP)sf   Expected Rating
AIO18     LT  AAA(EXP)sf   Expected Rating
AIO19     LT  AAA(EXP)sf   Expected Rating
AIO2      LT  AAA(EXP)sf   Expected Rating
AIO20     LT  AAA(EXP)sf   Expected Rating
AIO21     LT  AAA(EXP)sf   Expected Rating
AIO22     LT  AAA(EXP)sf   Expected Rating
AIO23     LT  AAA(EXP)sf   Expected Rating
AIO24     LT  AAA(EXP)sf   Expected Rating
AIO25     LT  AAA(EXP)sf   Expected Rating
AIO26     LT  AAA(EXP)sf   Expected Rating
AIO3      LT  AAA(EXP)sf   Expected Rating
AIO4      LT  AAA(EXP)sf   Expected Rating
AIO5      LT  AAA(EXP)sf   Expected Rating
AIO6      LT  AAA(EXP)sf   Expected Rating
AIO7      LT  AAA(EXP)sf   Expected Rating
AIO8      LT  AAA(EXP)sf   Expected Rating
AIO9      LT  AAA(EXP)sf   Expected Rating
B1        LT  AA-(EXP)sf   Expected Rating
B2        LT  A-(EXP)sf    Expected Rating
B3        LT  BBB-(EXP)sf  Expected Rating
B4        LT  BB-(EXP)sf   Expected Rating
B5        LT  NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 381 loans with a total balance of
approximately $348.48 million as of the cutoff date. The pool
consists of prime fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. (Redwood) 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 collateral consists of
381 full documentation loans, totaling $348 million and seasoned
approximately one month in aggregate. The borrowers have a strong
credit profile (778 model FICO and 30% DTI) and moderate leverage
(72% sLTV). The pool consists of 96.2% of loans where the borrower
maintains a primary residence, while 3.8% is a second home.
Additionally, 94% of the loans were originated through a retail
channel, and 100% are designated as QM loans.

Shifting Interest Structure (Negative): 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.

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.

120-Day Stop Advance (Mixed): The deal is structured to four months
of servicer advances for delinquent principal and interest. The
limited advancing reduces loss severities as a lower amount is
repaid to the servicer when a loan liquidates.

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.

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 were
conducted at the state and national levels to assess the effect of
higher MVDs for the subject pool as well as lower MVDs, illustrated
by a gain in home prices.

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 39.5% 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.

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 impacted by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs. Any long-term impact arising from
coronavirus disruptions on these economic inputs will likely affect
both investment and speculative grade ratings.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

There is one variation from Fitch's "U.S. RMBS Cash Flow Analysis
Criteria." Fitch expects the subordination floor to exceed: a) the
sum of the 25 largest 'AAAsf' expected loss amounts, b) the 'AAAsf'
expected losses of 100 average loans, and c) the amount of loss
resulting from the default of the five largest loans applying the
'AAAsf' loss severity. The minimum subordination floor sensitivity
outline in Fitch's criteria is designed to capture the tail-risk
from a typical Prime 2.0 transaction. Given this is outside of the
norm, there are some structural nuances, like the limited servicer
advance, the stronger CE test, which recognizes stop advance loans,
and post-test failure re-direction of scheduled principal to the
senior classes, all of which should protect from tail risk. From a
loss perspective, there was a significant amount of conservatism
built into the losses, as loss severity floors were applied at
'AAAsf' rating, and only four of the largest 20 loans had an
expected loss above Fitch's loss severity floors in the 'AAAsf'
rating stress.

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 Clayton and EdgeMac. The third-party due diligence
described in Form 15E focused on credit, compliance and property
valuations.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on about 80% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." Clayton 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.

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

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 2020-COVE: DBRS Confirms B(low) Rating on F Certs
---------------------------------------------------------------
DBRS, Inc. confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2020-COVE issued by SG
Commercial Mortgage Securities Trust 2020-COVE as follows:

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

The trends on all classes are Stable.

The rating confirmations reflect the stable performance of the
transaction, which has remained in line with DBRS Morningstar's
expectations since issuance.

The trust loan of $160.0 million is part of a split loan structure
comprising four notes totaling $210.0 million. The subject loan was
used to facilitate the recapitalization and refinance of the
property. The five-year interest-only loan matures in March 2025.
The loan is secured by a 283-unit, Class A luxury multifamily
property built in 1967 along the waterfront in Tiburon, California,
across the bay from San Francisco. The property consists of 33 two-
and three-story apartment buildings and a single-story
clubhouse/management office building. Onsite amenities, which
include a 52-plus-slip marina, a private beach, and both indoor and
outdoor pools and spas, take advantage of the property's location
on the northern end of San Francisco Bay. Unit amenities include
open-concept kitchen and living room areas, an upgraded kitchen
package with a stainless-steel Bertazzoni range and microwave,
Fisher & Paykel refrigerator, GE dishwasher, and in-unit
washer/dryer, quartz countertops, and a wood-burning fireplace.
The sponsor has invested $50.4 million ($178,042 per unit) in
capital improvements since acquiring the property in 2013. In
addition to extensive exterior and common-area renovations, all
apartment units were reconfigured and extensively renovated with
updated, high-end finishes. Post-renovation, average rents at the
property increased 83.2% from a property-wide average of $2.62 per
square foot (psf) in 2014 to $4.80 psf average in-place rents at
all non-Pointe Place units.

The property has maintained stable performance to date as occupancy
remains unchanged since issuance at 94% as of September 2020. The
annualized September 2020 NCF projects a 6% increase over DBRS
Morningstar's net cash flow (NCF) at issuance.

Market fundamentals within the South Marin submarket of San
Francisco have also remained stable during the Coronavirus Disease
(COVID-19) pandemic. Despite vacancy rates increasing 10 basis
points year-over-year, the South Marin submarket maintained a
stable vacancy rate of 4.6% as of Q4 2020, according to Reis.
Furthermore, demand is expected to outpace supply as Reis is
forecasting market vacancy to decrease to 2.6% by 2023.

DBRS Morningstar's NCF of $10.7 million and cap rate of 5.25%
resulted in a DBRS Morningstar value of $204.3 million, a variance
of 25.5% from the appraised value of $274.1 million at issuance.
The DBRS Morningstar Value implies a whole loan LTV of 102.8%
compared with the LTV of 76.6% on the appraised value at issuance.

The cap rate DBRS Morningstar applied when assigning ratings is in
the middle of the range of DBRS Morningstar Cap Rate ranges for
multifamily properties, reflecting location and asset quality. In
addition, DBRS Morningstar made positive qualitative adjustments to
the final LTV sizing benchmarks when assigning ratings totaling
6.5% to account for cash flow volatility, property quality, and
market fundamentals. No additional adjustments were made as part of
this ratings analysis.

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


SHELTER GROWTH 2019-FL2: DBRS Confirms B (low) Rating on H Notes
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Priority Secured Floating
Rate Notes Due 2036 issued by Shelter Growth CRE 2019-FL2 Issuer
Ltd as follows:

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

Additionally, DBRS Morningstar changed the trends on Classes B, C,
D, E, F, G, and H to Negative from Stable. Classes A and A-S have
Stable trends.

The Negative trends reflect the ongoing challenges faced by several
loans in the pool, which have been significantly affected by the
Coronavirus Disease (COVID-19) pandemic with several loans unable
to secure permanent takeout financing. Additionally, five loans,
representing 45.8% of the current pool balance, are secured by
hotel properties. The hospitality sector has been significantly
affected by the pandemic as occupancy and nightly rates remain
depressed below historical levels. According to February 2021
reporting, no loans are delinquent; however, four loans,
representing 14.2% of the current pool balance, have been granted
forbearances. At issuance, DBRS Morningstar considered several
properties to be stabilized, with individual borrowers having
already achieved the business plans contemplated at loan closing.
Given the current economic environment; however, many of these
properties may face difficulty achieving pre-pandemic cash flows
observed at issuance.

At issuance, the collateral consisted of 18 collateral interests
comprising three first-lien whole mortgage loans and 15 pari passu
participation interests in either a mortgage loan or a combined
loan that consists of a mortgage loan and a related mezzanine loan
secured by equity interests in the related mortgage borrower. As of
the February 2021 remittance, 13 of the original 18 loans remain in
the pool, representing a collateral reduction of 18.9% for a total
remaining pool balance of $367.6 million.

As of February 2021 reporting, there are four loans, representing
31.0% of the current pool balance, on the servicer's watchlist, all
of which are being monitored for loan maturity. The largest loan on
the servicer's watchlist is Westin DFW (Prospectus ID#2, 13.6% of
the current pool balance). The loan is secured by a 506-key
full-service hotel in Irving, Texas, adjacent to the Dallas/Fort
Worth International Airport. The collateral was originally built in
1987 and renovated in 2019. The $13.0 million brand-mandated
property improvement plan renovation included full renovations to
guest rooms, food and beverage outlets, updates to the lobby, and
select improvements to the site exterior, which were completed at
year-end 2019. The loan had an initial loan maturity in January
2020 and, since that time, the borrower has exercised two of the
three one-year extension options with the loan now maturing in
January 2022. While the borrower has successfully completed the
property renovation, performance has declined as a result of the
pandemic. The loan remains current and the borrower did not request
relief; however, given the subject's reliance on both business and
leisure travel in addition to meeting and group business,
performance is expected to remain depressed well into 2021, which
may once again make it difficult for the borrower to secure
refinance capital at loan maturity.

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


STAR 2021-SFR1: DBRS Gives Prov. B (low) Rating on Class G Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Single-Family Rental Pass-Through Certificates to be issued by STAR
2021-SFR1 Trust (STAR 2021-SFR1):

-- $95.1 million Class A at AAA (sf)
-- $25.6 million Class B at AAA (sf)
-- $30.1 million Class C at AA (sf)
-- $28.8 million Class D at A (low) (sf)
-- $36.7 million Class E at BBB (low) (sf)
-- $28.7 million Class F at BB (low) (sf)
-- $33.7 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A Certificates reflects 69.6% and
61.4% of credit enhancement provided by subordinated notes in the
pool. The AA (sf), A (low) (sf), BBB (high) (sf), BBB (low) (sf),
BB (low) (sf), and B (low) ratings reflect 51.8%, 42.5%, 30.8%,
21.6%, and 10.8% of credit enhancement, respectively.

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

STAR 2021-SFR1's 1,612 properties are in five states, with the
largest concentration by broker price opinion value in Georgia
(56.4%). The largest metropolitan statistical area (MSA) by value
is Atlanta (56.4%), followed by Phoenix (20.8%). The geographic
concentration dictates the home-price stresses applied to the
portfolio and the resulting market value decline (MVD). The Atlanta
concentration was mitigated by DBRS Morningstar's qualitative
adjustments and the distribution of the properties across 51 ZIP
codes within the MSA. The MVD at the AAA (sf) rating level for this
deal is 56.6%. STAR 2021-SFR1 has properties from 12 MSAs, most of
which did not experience home-price index declines as dramatic as
those in the recent housing downturn.

DBRS Morningstar assigned the provisional ratings for each class of
certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. DBRS Morningstar
developed property-level stresses for the analysis of single-family
rental assets. DBRS Morningstar's analysis includes estimated
base-case net cash flow (NCF) by evaluating the gross rent,
concession, vacancy, operating expenses, and capital expenditure
data. The DBRS Morningstar NCF analysis resulted in a minimum debt
service coverage ratio higher than 1.0 times.

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



SYMPHONY CLO XXVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
replacement A-R, B-1R, B-2R, C-R, D-R, and E-R notes and new class
X notes from Symphony CLO XXVI Ltd./Symphony CLO XXVI LLC, a CLO
originally issued as TIAA CLO IV Ltd. in March 2017 that is managed
by Teachers Advisors LLC. The replacement notes will be issued via
a proposed supplemental indenture.

The preliminary ratings reflect S&P's view that the credit support
available is commensurate with the associated rating levels.

The preliminary ratings are based on information as of March 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the March 18, 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 and new class x notes. However, if the
refinancing doesn't occur, we may affirm the ratings on the
original notes and withdraw our preliminary ratings on the
replacement notes."

S&P said, "Our review of this transaction included a cash flow
analysis, 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

  Symphony CLO XXVI Ltd./Symphony CLO XXVI LLC

  Class X, $4.50 million: AAA (sf)

  Replacement class A-R, $384.00 million: AAA (sf)
  Replacement class B-1R, $52.00 million: AA (sf)
  Replacement class B-2R, $20.00 million: AA (sf)
  Replacement class C-R, $39.00 million: A (sf)
  Replacement class D-R, $33.00 million: BBB- (sf)
  Replacement class E-R, $22.50 million: BB- (sf)
  Subordinated notes, $70.64 million: Not rated


TCW CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to TCW CLO
2021-1 Ltd./TCW CLO 2021-1 LLC's floating-rate notes.

The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of March 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

-- The experience of the collateral management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and

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

  Preliminary Ratings Assigned

  TCW CLO 2021-1 Ltd./TCW CLO 2021-1 LLC

  Class X, $4.00 million: AAA (sf)
  Class A, $260.00 million: AAA (sf)
  Class B, $44.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D-1 (deferrable), $20.00 million: BBB (sf)
  Class D-2 (deferrable), $4.00 million: BBB- (sf)
  Class E (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $38.15 million: Not rated



TICP CLO II-2: Moody's Raises $31.3M Class C Notes From Ba1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by TICP CLO II-2, Ltd.:

US$25,000,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class B Notes"), Upgraded to A1 (sf);
previously on April 23, 2018 Assigned A2 (sf)

US$31,250,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Upgraded to Baa3 (sf);
previously on August 7, 2020 Downgraded to Ba1 (sf)

TICP CLO II-2, Ltd., originally issued in April 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since August 2020. The Class A-1
notes have been paid down by approximately 13.0% or $42.5 million
since then. Based on the trustee's February 2021 report[1], the OC
ratios for the Class A, Class B and Class C notes are reported at
130.48%, 121.07% and 111.07%, respectively, versus July 2020 levels
of 125.68%, 117.79% and 109.22%, respectively.

The deal has also benefited from an improvement in the credit
quality of the portfolio since August 2020. Based on the trustee's
February 2021 report[2], the weighted average rating factor (WARF)
is currently 3199 compared to 3364 in July 2020.

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

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

Performing par and principal proceeds balance: $416,097,939

Defaulted par: $11,325,434

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2895

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.13%

Weighted Average Recovery Rate (WARR): 47.88%

Weighted Average Life (WAL): 3.93 years

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; sensitivity analysis on
deteriorating credit quality due to a large exposure to loans with
negative outlook, and a lower recovery rate assumption on defaulted
assets to reflect declining loan recovery rate expectations.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in the US economic activity.

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

Methodology Used for the Rating Action

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


TOWD POINT 2021-HE1: DBRS Finalizes B Rating on 7 Classes of Notes
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Asset-Backed Securities, Series 2021-HE1 issued by Towd Point HE
Trust 2021-HE1 (TPHT 2021-HE1):

-- $316.5 million Class A1 at AAA (sf)
-- $21.2 million Class A2 at AA (sf)
-- $41.0 million Class M1 at A (sf)
-- $25.1 million Class M2 at BBB (low) (sf)
-- $16.9 million Class B1 at BB (low) (sf)
-- $11.1 million Class B2 at B (sf)
-- $62.2 million Class A3 at A (sf)
-- $378.7 million Class A4 at A (sf)
-- $93.9 million Class A5 at A (sf)
-- $21.2 million Class A2A at AA (sf)
-- $21.2 million Class A2AX at AA (sf)
-- $21.2 million Class A2B at AA (sf)
-- $21.2 million Class A2BX at AA (sf)
-- $41.0 million Class M1A at A (sf)
-- $41.0 million Class M1AX at A (sf)
-- $41.0 million Class M1B at A (sf)
-- $41.0 million Class M1BX at A (sf)
-- $25.1 million Class M2A at BBB (low) (sf)
-- $25.1 million Class M2AX at BBB (low) (sf)
-- $25.1 million Class M2B at BBB (low) (sf)
-- $25.1 million Class M2BX at BBB (low) (sf)
-- $25.1 million Class M2C at BBB (low) (sf)
-- $25.1 million Class M2CX at BBB (low) (sf)
-- $16.9 million Class B1A at BB (low) (sf)
-- $16.9 million Class B1AX at BB (low) (sf)
-- $16.9 million Class B1B at BB (low) (sf)
-- $16.9 million Class B1BX at BB (low) (sf)
-- $16.9 million Class B1C at BB (low) (sf)
-- $16.9 million Class B1CX at BB (low) (sf)
-- $11.1 million Class B2A at B (sf)
-- $11.1 million Class B2AX at B (sf)
-- $11.1 million Class B2B at B (sf)
-- $11.1 million Class B2BX at B (sf)
-- $11.1 million Class B2C at B (sf)
-- $11.1 million Class B2CX at B (sf)

Classes A2AX, A2BX, M1AX, M1BX, M2AX, M2BX, M2CX, B1AX, B1BX, B1CX,
B2AX, B2BX, and B2CX are interest-only notes. The class balances
represent a notional amount.

Classes A3, A4, A5, A2A, A2AX, A2B, A2BX, A3, A4, A5, M1A, M2AX,
M1B, M1BX, M2A, M2AX, M2B, M2BX, M2C, M2CX, B1A, B1AX, B1B, B1BX,
B1C, B1CX, B2A, B2AX, B2B, B2BX, B2C, and B2CX are exchangeable
notes. These classes can be exchanged for combinations of exchange
notes as specified in the offering documents.

The AAA (sf) rating on the Notes reflects 34.40% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect
30.00%, 21.50%, 16.30%, 12.80%, and 10.50% of credit enhancement,
respectively.

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

This transaction is a securitization of a portfolio of seasoned
performing and reperforming first- and junior-lien mortgage loans
and revolving home equity lines of credit (HELOC) funded by the
issuance of asset-backed notes (the Notes). The Notes are backed by
13,033 loans and HELOCs with a total principal balance of
$482,441,990 as of the Cut-Off Date (January 31, 2020).

The Notes are backed by 13,733 loans and HELOCs with a total
principal balance of $517,181,094 as of the Statistical Calculation
Date (December 31, 2020). Unless specified otherwise, all the
statistics regarding the mortgage loans in this report are based on
the Statistical Calculation Date.

As of the Statistical Calculation Date, the collateral pool
consists of four cohorts of loans: (1) 1,641 first-lien open HELOCs
(Open First Liens) with a total unpaid principal balance (UPB) of
$55,939,407 (10.8% by balance) and a total current credit limit of
$99,920,975; (2) 2,736 junior-lien open HELOCs (Open Junior Liens)
with a total UPB of $78,108,411 (15.1% by balance) and a total
current credit limit of $125,165,005; (3) 1,459 first-lien
performing and reperforming mortgage loans (Closed First Liens)
with a total UPB of $103,168,487 (20.0% by balance); and (4) 7,897
junior-lien mortgage loans (Closed Junior Liens) with a total UPB
of $279,964,789 (54.1% by balance). The table on page 12 in the
Collateral Analysis Details section of the rating report summarizes
the collateral attributes and the loans' and HELOCs' performance
history. Additional key collateral characteristic comparisons to
previously issued DBRS Morningstar-rated TPMT and TPHT transactions
can be found in Appendix B through D in the rating report.

The transaction includes seasoned first-lien performing and
reperforming mortgages, which represent 20.0% of the pool and have
collateral attributes and performance history generally similar to
the loans included in previously issued TPMT seasoned reperforming
loan (RPL) securitizations. Approximately 54.1% of the pool
consists of junior-lien mortgages with collateral attributes
generally similar to those included in previously issued
securitizations under the TPMT SJ series deals. First- and
junior-lien HELOCs, approximately 25.9% of the pool, have
characteristics somewhat comparable to those included in the
previous TPHT securitization issued in 2019.

HELOC loans generally have a draw period during which borrowers may
make draws up to a credit limit, which would result in increased
loan balances. The first- and junior-liens in this securitization
have a generally 10-year draw period and a repayment period of
generally 15 years consistent with a traditional HELOC mortgage
loan. During the repayment period, borrowers are no longer allowed
to draw. In addition, their monthly principal payments during the
repayment period will equal an amount that allows the outstanding
loan balance to evenly amortize down over this 15-year term.
Borrowers for the first- and junior-liens are generally only
required to make accrued and unpaid interest payments during the
draw period. Please refer to Appendix 7 of the RMBS Insight 1.3:
U.S. Residential Mortgage-Backed Securities Model and Rating
Methodology for the applicable analytics used to estimate expected
losses for HELOCs.

The portfolio is approximately 138 months seasoned and contains
29.5% modified loans. The modifications happened more than two
years ago for 83.9% of the modified loans. Within the pool, 928
mortgages have non-interest-bearing deferred amounts totaling
$12,355,667, which equate to approximately 2.4% of the total
principal balance. About 3.9% of the loans by balance have been
modified under the Home Affordable Modification Program (HAMP).
There are no HAMP or proprietary principal forgiveness amounts
included in the deferred amounts.

FirstKey Mortgage, LLC (FirstKey) is the Sponsor, Seller, and Asset
Manager of the transaction. FirstKey will acquire the loans from
various transferring trusts on or prior to the Closing Date.
FirstKey, through a wholly owned subsidiary, Towd Point Asset
Funding, LLC (the Depositor), will contribute loans to the Trust.
These loans were originated and previously serviced by various
entities through purchases in the secondary market.

The loans will be serviced by Select Portfolio Servicing, Inc.
(57.9%) and Specialized Loan Servicing LLC (SLS; 42.1%). SLS will
service 100% of the HELOC mortgage loans initially. The initial
aggregate servicing fee for the TPHT 2021-HE1 portfolio will be
1.20% per year.

U.S. Bank National Association (rated AA (high) with a Negative
trend by DBRS Morningstar) will serve as the Indenture Trustee,
Administrator, Certificate Registrar, and Custodian. Wells Fargo
Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar)
will act as the Custodian.

A majority-owned affiliate of the Sponsor will acquire and intends
to retain a vertical 5% interest in each class of securities (other
than the Class R and D Certificates) to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.

In this transaction, any junior-lien HELOC or loan that is 180 days
delinquent under the Mortgage Bankers Association (MBA) delinquency
method will be considered a Charged-Off Loan. With respect to such
loans, the total UPB will be considered a realized loss. In its
analysis, DBRS Morningstar assumes no recoveries upon default of
any junior liens in this pool.

This transaction utilizes a structural mechanism similar to the one
used in the previously issued TPHT transaction to fund future draw
requests. As the initial servicer of all HELOC mortgage loans, SLS
is obligated to fund draws and is entitled to reimburse itself for
such draws prior to any payments on the Notes first from the
related principal collections of the mortgage loans it services and
then from all principal collections. If the aggregate draws exceed
the principal collections (Net Draw), then SLS can request
reimbursement from amounts on deposit in the variable-funding
account (VFA), which has an initial balance of $250,000. On each
monthly Payment Date, the holder of the Class D Certificates is
required to deposit an amount equal to any unreimbursed Net Draws
into the VFA. The principal balance of the Class D Certificates
will increase by any Net Draws funded using amounts in the VFA.

The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the more senior tranches
(Class A1, A2, and M1 Notes) subject to a sequential priority
trigger as described in the rating report. The Class D Certificates
have a pro rata principal distribution with all senior and
subordinate tranches while the Trigger Event is not in effect. When
the trigger is in effect, the Class D Certificates principal
distribution will be subordinated to both the senior and
subordinate notes in the payment waterfall. While a Trigger Event
is in effect, realized losses will be allocated reverse
sequentially starting with the Class D Certificates followed by the
subordinate and senior notes based on their respective payment
priority. While a Trigger Event is not in effect, the losses will
be allocated pro rata between the Class D Certificates and all
outstanding notes based on their respective priority of payments.
The outstanding notes will allocate realized losses reverse
sequentially, first to Class B, second to Class M, and third to
Class A Notes.

There will be no advancing of delinquent principal or interest on
the mortgages by the Servicers or any other party to the
transaction; however, the Servicers are obligated to make advances
for the first-lien loans in respect of homeowner association fees,
taxes and insurance, installment payments on energy improvement
liens, as well as reasonable costs and expenses incurred in the
course of servicing and disposing properties. SLS, as the initial
servicer of all HELOC mortgage loans, is also obligated to fund any
monthly Net Draws, as noted above.

As of the Statistical Calculation Date, 96.6% of the pool is
current and 2.4% is 30 days delinquent, under the MBA delinquency
method. Additionally, 1.0% of the pool is in bankruptcy (all
bankruptcy loans are performing or 30 days delinquent).
Approximately 70.2% of the mortgage loans have been zero times 30
days delinquent (0 x 30) for at least the past 24 months under the
MBA delinquency method.

The majority of the pool (99.8%) is exempt from the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. The loans subject to the ATR rules are
designated as QM Safe Harbor (0.2%). HELOCs are not subject to the
ATR/QM rules.

On the payment date occurring on or after the payment date in
February 2025 (the First Optional Redemption Date), the Issuer may,
at its option, upon the direction of the Class X Representative,
redeem all the outstanding Notes and Certificates, so long as the
aggregate proceeds from such redemption exceeds the minimum price,
as provided in the transaction's documents (Issuer Optional
Redemption). The Class X Representative is initially Towd Point
Asset Depositor LLC as appointed by the holder or holders of more
than 50% of the Class X Certificates.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-off Date, the majority representative as
appointed by the holder(s) of more than 50% of the notional amount
of the Class X Certificates, may purchase all of the mortgage
loans, real estate owned (REO) properties and other properties from
the Issuer, as long as the aggregate proceeds meet a minimum price
(Optional Clean-Up Call).

When the aggregate pool balance of the mortgage loans is reduced to
less than 30.0% of the Cut-Off Date balance, the holders of more
than 50% of the Class X Certificates will have the option to cause
the Issuer to sell all of its remaining property (other than
amounts in the Breach Reserve Account) to one or more third-party
purchasers so long as the aggregate proceeds meets a minimum price
(Bulk Sale Right).

FirstKey, as the Asset Manager, has the ability to supervise the
sale of eligible nonperforming loans, charged-off loans or REO
properties to unaffiliated third parties individually or in bulk
sales. The sales require an asset sale price or an aggregate sale
price, as applicable, to at least equal a minimum reserve amount,
as described in the transaction documents.

Coronavirus Disease (COVID-19) Impact

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may continue to raise in
the coming months for many residential mortgage-backed securities
(RMBS) asset classes, some meaningfully.

RPL is a traditional RMBS asset class that consists of
securitizations backed by pools of seasoned performing and
reperforming residential first- and junior- lien home loans and
HELOCs. Although borrowers in these pools may have experienced
delinquencies in the past, the loans have been largely performing
for the past six to 24 months since issuance. Generally, these
pools are highly seasoned and contain sizable concentrations of
previously modified loans.

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies, loans on forbearance plans, and a potential
near-term decline in the values of the mortgaged properties. Such
deteriorations may adversely affect the respective borrowers'
ability to make monthly payments, refinance their loans, or sell
properties in an amount sufficient to repay the outstanding balance
of their loans.

In connection with the economic stress assumed under its moderate
scenario, (see "Global Macroeconomic Scenarios: January 2021
Update," published on January 28, 2021), for the RPL asset class
DBRS Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than it previously used.
DBRS Morningstar derives such MVD assumptions through a fundamental
home price approach based on the forecast unemployment rates and
GDP growth outlined in the moderate scenario. In addition, for
pools with loans on forbearance plans, DBRS Morningstar may assume
higher loss expectations above and beyond the coronavirus
assumptions. Such assumptions translate to higher expected losses
on the collateral pool and correspondingly higher credit
enhancement.

In the RPL asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that loans which were previously
delinquent, recently modified, or have higher updated loan-to-value
ratios (LTVs) may be more sensitive to economic hardships resulting
from higher unemployment rates and lower incomes. Borrowers with
previous delinquencies or recent modifications have exhibited
difficulty in fulfilling payment obligations in the past and may
revert to spotty payment patterns in the near term. Higher LTV
borrowers with lower equity in their properties generally have
fewer refinance opportunities and, therefore, slower prepayments.

In addition, the Coronavirus Aid, Relief, and Economic Security
(CARES) Act, signed into law on March 27, 2020, mandates that all
mortgagors with government-backed mortgages be allowed to delay at
least 180 days of monthly payments (followed by another period of
180 days if the mortgagor requests it). For loans not subject to
the CARES Act, servicers may still provide payment relief to
borrowers who report financial hardship related to coronavirus.
Within this pool, although not subject to the CARES Act, 9.6% of
the borrowers are on or have been on coronavirus-related
forbearance or deferral plans. These forbearance plans allow
temporary payment holidays, followed by repayment once the
forbearance period ends or a deferral of the forborne balance.

For this transaction, DBRS Morningstar applied additional
assumptions to evaluate the impact of potential cash flow
disruptions on the rated tranches, stemming from (1) lower
principal and interest (P&I) collections and (2) no servicing
advances on delinquent P&I. These assumptions include:

-- Increased delinquencies for the first 12 months for first-liens
or six months for junior-liens at the AAA (sf) and AA (sf) rating
levels,

-- Increased delinquencies for the first nine months for
first-liens or three months for junior-liens at the A (sf) and
below rating levels,

-- No voluntary prepayments for the first 12 months for the AAA
(sf) and AA (sf) rating levels,

-- No liquidation recovery for the first 12 months for the AAA
(sf) and AA (sf) rating levels.

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



TRIANGLE RE 2021-1: DBRS Gives Prov. B(low) Rating on M-2 Notes
---------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the Series
2021-1 Mortgage Insurance-Linked Notes issued by Triangle Re 2021-1
Ltd.:

-- $120.2 million Class M-1A at BBB (low) (sf)
-- $141.4 million Class M-1B at BB (sf)
-- $91.9 million Class M-1C at B (high) (sf)
-- $99.0 million Class M-2 at B (low) (sf)

The BBB (low) (sf), BB (sf), B (high) (sf) and B (low) (sf) ratings
reflect 4.15%, 3.15%, 2.50% and 1.80% of credit enhancement,
respectively.

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

TMIR 2021-1 is Genworth Mortgage Insurance Corporation's
(Genworth's; the ceding insurer) second rated MI-linked note
transaction. The Notes are backed by reinsurance premiums, eligible
investments, and related account investment earnings, in each case
relating to a pool of MI policies linked to residential loans. The
Notes are exposed to the risk arising from losses the ceding
insurer pays to settle claims on the underlying MI policies.

TMIR 2021-1 transaction is backed by seasoned insured mortgage
loans that have never been reported as 60 or more days delinquent
since origination. The mortgage loans have a weighted average
seasoning of 40 months, with MI policies effective on or after
January 2014. As of the cut-off date, these loans have not been
reported to be in a payment forbearance plan.

As of the cut-off date, the pool of insured mortgage loans consists
of 314,407 fully amortizing first-lien fixed- and variable-rate
mortgages. They all have been underwritten to a full documentation
standard, have original loan-to-value ratios (LTVs) less than or
equal to 100%, and have never been reported to be modified. On
March 1, 2020, a new master policy was introduced to conform to
government-sponsored enterprises' revised rescission relief
principles under the Private Mortgage Insurer Eligibility
Requirements guidelines. All of the mortgage loans (100.0%) were
originated prior to the introduction of the new master policy.

On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the Ceding Insurer. As per the agreement, the Ceding
Insurer will receive protection for the funded portion of the MI
losses. In exchange for this protection, the Ceding Insurer will
make premium payments related to the underlying insured mortgage
loans to the Issuer.

The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to AAA or equivalent rated U.S. Treasury money-market
funds and securities. Unlike other residential mortgage-backed
security (RMBS) transactions, cash flow from the underlying loans
will not be used to make any payments; rather, in mortgage
insurance-linked Notes (MILN) transactions, a portion of the
eligible investments held in the reinsurance trust account will be
liquidated to make principal payments to the noteholders and to
make loss payments to the Ceding Insurer when claims are settled
with respect to the MI policy.

The calculation of principal payments to the Notes will be based on
the reduction in the aggregate exposed principal balance on the
underlying MI policy that is allocated to the Notes. The
subordinate Notes will receive their pro rata share of available
principal funds if the minimum credit enhancement test and the
delinquency test are satisfied. The minimum credit enhancement test
will be satisfied if the subordinate percentage is at least 6.50%.
The delinquency test will be satisfied if the three-month average
of 60+ days delinquency percentage is below 75% of the subordinate
percentage.

Interest payments are funded via (1) premium payments that the
Ceding Insurer must make under the reinsurance agreement and (2)
earnings on eligible investments.

On the closing date, the Ceding Insurer will establish a cash and
securities account, the premium deposit account. If the Ceding
Insurer defaults in paying coverage premium payments to the Issuer,
the amount available in this account will cover interest payments
to the noteholders. Unlike a majority of the prior rated MILN
transactions, the premium deposit account will not be funded at
closing. Instead, the Ceding Insurer will make a deposit into this
account up to the applicable target balance only when one of the
premium deposit events occurs. Please refer to the related report
and/or offering circular for more details.

This is the first DBRS Morningstar rated MILN transaction issued
with a 12.5 year term. The Notes are scheduled to mature on August
25, 2033, but will be subject to early redemption at the option of
the Ceding Insurer (1) for a 10% clean-up call or (2) on or
following the payment date in February 2026, among others. The
Notes are also subject to mandatory redemption before the scheduled
maturity date upon the termination of the Reinsurance Agreement.

The ceding insurer of the transaction is Genworth. The Bank of New
York Mellon (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Indenture Trustee, Paying Agent, Note
Registrar, and Reinsurance Trustee.

Coronavirus Impact – MILN

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may continue to rise in
the coming months for many RMBS asset classes, some meaningfully.

Various mortgage insurance (MI) companies have set up programs to
issue MILNs. These programs aim to transfer a portion of the risk
related to MI claims on a reference pool of loans to the investors
of the MILNs. In these transactions, investors' risk increases with
higher MI payouts. The underlying pool of mortgage loans with MI
policies covered by MILN reinsurance agreements is typically
composed of conventional/conforming loans that follow
government-sponsored enterprises' acquisition guidelines and
therefore have LTVs above 80%. However, a portion of each MILN
transaction's covered loans may not be agency eligible.

As a result of the coronavirus pandemic, DBRS Morningstar expects
increased delinquencies, loans on forbearance plans, and a
potential near-term decline in the values of the mortgaged
properties. Such deteriorations may adversely affect borrowers'
ability to make monthly payments, refinance their loans, or sell
properties in an amount sufficient to repay the outstanding balance
of their loans.

In connection with the economic stress assumed under the moderate
scenario in its commentary "Global Macroeconomic Scenarios: January
2021 Update" published on January 28, 2021, for the MILN asset
class DBRS Morningstar applies more severe market value decline
(MVD) assumptions across all rating categories than what it
previously used. Such MVD assumptions are derived through a
fundamental home price approach based on the forecast unemployment
rates and GDP growth outlined in the aforementioned moderate
scenario. In addition, DBRS Morningstar may assume a portion of the
pool (randomly selected) to be on forbearance plans in the
immediate future. For these loans, DBRS Morningstar assumes higher
loss expectations above and beyond the coronavirus assumptions.
Such assumptions translate to higher expected losses on the
collateral pool and correspondingly higher credit enhancement.

In the MILN asset class, while the full effect of the pandemic may
not occur until a few performance cycles later, DBRS Morningstar
generally believes that loans with layered risk (low FICO score
with high LTV/high debt-to-income (DTI) ratio) may be more
sensitive to economic hardships resulting from higher unemployment
rates and lower incomes. Additionally, higher delinquencies might
cause a longer lockout period or a redirection of principal
allocation away from outstanding rated classes because of the
failure of performance triggers.

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


UNITED AUTO 2021-1: DBRS Gives Prov. B(sf) Rating on Class F Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by United Auto Credit Securitization Trust
2021-1:

-- $122,070,000 Class A Notes rated AAA (sf)
-- $33,540,000 Class B Notes rated AA (sf)
-- $29,640,000 Class C Notes rated A (sf)
-- $29,380,000 Class D Notes rated BBB (sf)
-- $20,800,000 Class E Notes rated BB (sf)
-- $13,910,000 Class F Notes rated B (sf)

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

(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and excess
spread. Credit enhancement levels are sufficient to support the
DBRS Morningstar-projected cumulative net loss (CNL) assumption
under various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.

(2) DBRS Morningstar's projected CNL assumption includes an
assessment of how collateral performance could deteriorate because
of macroeconomic stresses related to the Coronavirus Disease
(COVID-19) pandemic.

(3) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus pandemic, available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, that have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis. The assumptions also take
into consideration observed performance during the 2008–09
financial crisis and the possible impact of stimulus. The
assumptions consider the moderate macroeconomic scenario outlined
in the commentary, with the moderate scenario serving as the
primary anchor for current ratings. The moderate scenario factors
in increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

(4) United Auto Credit Corporation's (UACC or the Company)
capabilities with regard to originations, underwriting, and
servicing and the existence of an experienced and capable backup
servicer.

-- DBRS Morningstar has performed an operational risk review of
UACC and considers the entity an acceptable originator and servicer
of subprime automobile loan contracts with an acceptable backup
servicer.

-- The Company's senior management team has considerable
experience and a successful track record within the auto finance
industry.

-- UACC successfully consolidated its business into a centralized
servicing platform and consolidated originations into two regional
buying centers. The Company retained experienced managers and staff
at the servicing center and buying centers.

-- UACC continues to evaluate and fine-tune its underwriting
standards as necessary. The Company has a risk management system
allowing centralized oversight of all underwriting and substantial
technology systems, which provide daily metrics on all
originations, servicing, and collections of loans.

(5) The credit quality of the collateral and performance of the
Company's auto loan portfolio.

-- UACC originates collateral that generally has shorter terms,
higher down payments, lower book values, and higher borrower income
requirements than some other subprime auto loan originators.

(6) UACST 2021-1 provides for Class F Notes with an assigned rating
of B (sf). While DBRS Morningstar's Rating U.S. Retail Auto Loan
Securitizations methodology does not set forth a range of multiples
for this asset class for the B (sf) level, the analytical approach
for this rating level is consistent with that contemplated by the
methodology. The typical range of multiples applied in the DBRS
Morningstar stress analysis for a B (sf) rating is 1.00 times (x)
to 1.25x.

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



UNITED AUTO 2021-1: S&P Assigns B (sf) Rating on Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:

-- 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 its 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 ratings.

-- S&P's 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, S&P expects
that the pool will pay down more quickly than many other subprime
pools that are usually characterized by longer weighted average
original and remaining terms.

-- S&P's analysis of 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.

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

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

-- The transaction's payment and legal structures.

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

  United Auto Credit Securitization Trust 2021-1

  Class A, $122.07 million: AAA (sf)
  Class B, $33.54 million: AA (sf)
  Class C, $29.64 million: A (sf)
  Class D, $29.38 million: BBB (sf)
  Class E, $20.80 million: BB (sf)
  Class F, $13.91 million: B (sf)



VERUS 2021-R2: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2021-R2's mortgage pass-through notes.

The note issuance is an RMBS transaction backed by U.S. residential
mortgage loans.

The preliminary ratings are based on information as of March 11,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The mortgage aggregator, Invictus Capital Partners; and

-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

  Preliminary Ratings Assigned

  Verus Securitization Trust 2021-R2

  Class A-1, $212,783,000: AAA (sf)
  Class A-1X, $212,783,000(i): AAA (sf)
  Class A-2, $19,277,000: AA (sf)
  Class A-3, $33,808,000: A (sf)
  Class M-1, $15,718,000: BBB- (sf)
  Class B-1, $8,155,000: BB- (sf)
  Class B-2, $5,338,000: B- (sf)
  Class B-3, $1,483,450: NR
  Class A-IO-S, Notional(ii): NR
  Class XS, Notional(ii): NR
  Class DA, N/A: NR
  Class P, $100: NR
  Class R, N/A: NR

(i)The notional amount equals the class A-1 balance as of the prior
distribution date. (ii)The notional amount equals the loans' stated
principal balance.
NR--Not rated.
N/A--Not applicable.



WACHOVIA BANK 2007-C33: Moody's Cuts Rating on Cl. A-J Debt to Caa3
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and downgraded one class in Wachovia Bank Commercial Mortgage Trust
Series 2007-C33:

Cl. A-J, Downgraded to Caa3 (sf); previously on Mar 4, 2019
Downgraded to Caa1 (sf)

Cl. B, Affirmed C (sf); previously on Mar 4, 2019 Downgraded to C
(sf)

Cl. C, Affirmed C (sf); previously on Mar 4, 2019 Downgraded to C
(sf)

RATINGS RATIONALE

The rating on one principal and interest (P&I) class, Cl. A-J, was
downgraded due to higher anticipated losses from the specially
serviced loans. Specially serviced loans represent 73% of the pool,
and are currently REO. The remaining two performing loans (24% of
the pool) had been modified and recently transferred back to the
master servicer after transferring to special servicing for the
second time.

The ratings on other two P&I classes were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses. Cl. C has already experienced a 54% realized loss from
liquidated loans.

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 70.0% of the
current pooled balance, compared to 67.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 14.1% of the
original pooled balance, compared to 14.0% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in September 2020.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 73% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced to the most junior classes and the recovery as a pay down
of principal to the most senior class.

DEAL PERFORMANCE

As of the February 15, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $128 million
from $3.6 billion at securitization. The certificates are
collateralized by six mortgage loans and one B Note (Hope Note)
ranging in size from 4% to 54% of the pool. The remaining loans are
either in special servicing (73% of the pool) or have been
previously modified/corrected.

Forty-five loans have been liquidated from the pool, contributing
to an aggregate realized loss of $419 million (for an average loss
severity of 51%). There are currently four loans in special
servicing, representing 73% of the pool, all of them are already
REO.

The largest specially serviced loan is the Central / Eastern
Industrial Pool ($68.2 million -- 52.6% of the pool), which was
originally secured by 13 single tenant industrial properties
totaling 2.1 million square feet (SF) and located across several
U.S. states. The loan transferred to special servicing in July 2010
for imminent default. The loan is currently REO and the master
servicer has recognized an appraisal reduction of $61.5 million for
the A Note and a $19 million B note held outside the Trust. Nine
properties were already sold and there are four remaining
properties. The special servicer is working to lease up vacant
spaces while considering disposition strategies for the fully
leased buildings.

The second largest specially serviced loan is the Pocatello Square
Loan ($17.1 million -- 13.2% of the pool), which is secured by a
138,925 SF retail property located in Pocatello, ID. The loan
transferred to special servicing in May 2017 for imminent default.
The loan is currently REO and the master servicer has recognized a
$15.8 million appraisal reduction. There is currently one anchor
box space totaling 20,430 SF vacant and available for lease. The
special servicer continues to work on marketing this space for
lease as well as renewing the leases for existing tenants.

The remaining two specially serviced loans are secured by a mix of
property types and both are REO. Moody's estimates an aggregate $83
million loss for the specially serviced loans (87% expected loss on
average) and 100% loss on the troubled B-Note of $4.9 million,
further described below.

As of the February 15, 2021 remittance statement cumulative
interest shortfalls were $79 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.

Two currently performing loans, represent 23.6% of the pool. The
first loan is the Riverside Plaza - A note Loan ($18.2 million --
14.0% of the pool), which is secured by a 217,936 SF anchored
retail center in Keene, NH. The property is anchored by Wal-Mart.
The original loan was modified in July 2018 and included a split
into an $18.2 million A-Note and a $4.9 million B-Note (hope note)
as well as an extended maturity date. As part of the modification
this loan was also cross-collateralized with the Key Road Plaza
Loan (described below).

The second loan is the Key Road Plaza Loan ($12.4 million -- 9.5%
of the pool), which is secured by an 83,634 SF retail center
located in Keene, NH. The loan was previously in special servicing
and was modified in conjunction with the Riverside Plaza loan. The
modification included a $500,000 principal paydown, an extended
maturity date and is now cross-collateralized with the Riverside
Plaza loan.

Both loans were transferred again to the special servicer in May
2020 in relation to the coronavirus outbreak, and returned to the
master servicer in December 2020 as corrected loans. Both loans are
currently on the master servicer's watchlist and are being
monitored for their performance.


WELLS FARGO 2014-LC18: DBRS Confirms B Rating on Class X-F Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings of all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-LC18 issued by
Wells Fargo Commercial Mortgage Trust 2014-LC18 as follows:

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

DBRS Morningstar removed classes X-F and F from Under Review with
Negative Implications where it had placed them on August 6, 2020.
All trends are Stable, with the exception of Classes F and X-F,
which have Negative trends.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the February 2021 remittance,
there has been a collateral reduction of 15.9%, with 88 loans
remaining in the pool. The pool is fairly concentrated by property
type as 35 loans, representing 29.0% of the pool, are secured by
retail properties and nine loans (17.9% of the pool) are secured by
lodging properties, with these two property types collectively
representing 47.9% of the pool.

The Negative trend on the lowest-rated principal and interest-only
(IO) classes is reflective of DBRS Morningstar's concerns for some
of the loans in special servicing. As of the February 2021
remittance, seven loans are in special servicing, representing
10.8% of the pool balance. These loans include the eighth-largest
loan in the pool, Hilton Garden Inn Cupertino (Prospectus ID#8;
3.3% of the pool balance), which is secured by a 164-key
limited-service hotel located in Cupertino, California, two miles
east of Apple's global headquarters. The loan was transferred to
special servicing in June 2020 following the borrower's relief
request. As of the February 2021 remittance, the loan was reported
at less than 30 days delinquent, with the servicer reporting that
negotiations for a loan modification remained ongoing.

As of June 2020, the loan reported an annualized debt service
coverage ratio (DSCR) of 0.32 times (x), compared with the YE2019
DSCR of 4.33x. As of the July 2020 Smith Travel Research report,
the property reported an occupancy and revenue per available room
of 53.7% and $122.29, respectively, compared with the competitive
set's figures of 47.6% and $122.29, respectively.

The second-largest loan in special servicing is also secured by a
limited-service hotel. The Hilton Garden Inn Austin Northwest loan
(Prospectus ID#16; 1.8% of the pool balance) is secured by a
138-key limited-service hotel located in Austin, Texas. The loan
transferred to special servicing in May 2020 for imminent monetary
default and, as of the February 2021 remittance, was last paid
through March 2020. According to the servicer, discussions
regarding a loan modification proposal remain ongoing with the
sponsor. Prior to the pandemic, the property performance had
declined from the issuance levels, with the YE2018 and YE2019 DSCRs
reported at 1.25x and 1.23x, respectively, compared with the DBRS
Morningstar DSCR at issuance of 1.58x and the issuer's DSCR of
1.67x. Given the pre-pandemic performance declines, likely driven
by increased supply in the market, the prospects for a successful
resolution of the outstanding defaults are comparatively low and,
as such, the loan was analyzed with a significantly increased
probability of default to increase the expected loss in the
analysis for this review. The concerns with this loan were a
primary driver for the Negative trends assigned to two classes as
previously detailed.

According to the February 2021 remittance, 21 loans (24.3% of the
pool balance) are on the servicer's watchlist, collectively
representing 30.8% of the pool, and inclusive of six loans secured
by cooperative properties, representing 1.9% of the pool. These
loans are generally not exhibiting significantly increased risks
from issuance. The 15 loans backed by other property types that are
on the servicer's watchlist include the New Town Shops on Main loan
(Prospectus ID#9; 2.5% of the pool balance), which is secured by an
anchored retail center located in Williamsburg, Virginia. The loan
was placed on the servicer's watchlist in November 2020 due to
declines in performance. As of June 2020, the property reported a
DSCR of 1.30x, compared with the December 2019 DSCR of 1.77x. The
largest tenants include Williamsburg Cinema, Richmond Fitness Inc.,
and Barnes & Noble. As of February 2021, Williamsburg Cinema
remains temporarily closed and Richmond Fitness Inc. has an
upcoming lease expiry in October 2021. Given these factors, as well
as the concentration in entertainment-related tenants in a
secondary market, DBRS Morningstar analyzed this loan with an
increased probability of default to increase the expected loss for
this review.

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


WELLS FARGO 2015-NXS3: DBRS Confirms B(sf) Rating on Class F Certs
------------------------------------------------------------------
DBRS, Inc. confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2015-NXS3 issued by Wells Fargo
Commercial Mortgage Trust 2015-NXS3 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which has paid down by 32.1% since issuance, with
a significant portion of the overall collateral reduction occurring
in the last year when $155.9 million of principal was repaid. As of
the February 2021 remittance, the trust collateral consists of 49
of the original 56 loans, totaling $553.2 million. The transaction
also benefits from defeasance collateral, as four loans,
representing 5.1% of the current pool balance, are defeased.

The transaction has exposure to retail and hotel properties,
representing 40.5% and 21.1% of the current pool balance,
respectively, which have been disproportionately affected by the
ongoing Coronavirus Disease (COVID-19) pandemic. This risk is
partially mitigated as seven loans, representing 21.3% of the pool,
are secured by retail properties with grocery anchor tenants, which
provide a stable demand driver and revenue source for the
respective properties. The transaction also has a concentration of
office properties that have shown greater resilience during these
first phases of the pandemic. In total, eight loans, representing
16.0% of the pool, are secured by office properties, including 11
Madison Avenue (Prospectus ID#6; 6.3% of the pool), which is
secured by an office tower in Midtown Manhattan.

As of the February 2021 reporting, one loan, representing 10.8% of
the pool, is in special servicing and 16 loans, representing 23.9%
of the pool, are on the servicer's watchlist; however, seven of
those loans, representing 4.4% of the pool, are secured by
co-operative properties, which have minimal credit risk. The
specially serviced loan, Yosemite Resorts (Prospectus ID#3; 10.8%
of pool), is secured by a portfolio of two limited-service hotels
in El Portal, California. The loan transferred to special servicing
in July 2020 as a result of performance declines caused by the
ongoing coronavirus pandemic. The loan is delinquent, having been
most recently paid in May 2020, but the servicer has obtained an
updated appraisal that suggests the as-is value remains comfortably
above the trust exposure. The servicer and borrower continue to
negotiate the workout strategy.

DBRS Morningstar maintains an investment-grade shadow rating on the
11 Madison Avenue and The Parking Spot LAX (Prospectus ID#15; 2.4%
of the pool) loans. DBRS Morningstar confirmed that the performance
of these loans remains consistent with investment-grade loan
characteristics.

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


WELLS FARGO 2016-BNK1: Fitch Cuts Rating on 2 Tranches to 'CC'
--------------------------------------------------------------
Fitch Ratings has downgraded six and affirmed nine classes of Wells
Fargo Commercial Mortgage (WFCM) Trust 2016-BNK1 commercial
mortgage pass through certificates.

     DEBT                 RATING          PRIOR
     ----                 ------          -----
WFCM 2016-BNK1

A-1 95000GAW4      LT  AAAsf  Affirmed    AAAsf
A-2 95000GAX2      LT  AAAsf  Affirmed    AAAsf
A-3 95000GAY0      LT  AAAsf  Affirmed    AAAsf
A-S 95000GBA1      LT  AAsf   Downgrade   AAAsf
A-SB 95000GAZ7     LT  AAAsf  Affirmed    AAAsf
B 95000GBD5        LT  Asf    Downgrade   AA-sf
C 95000GBE3        LT  BBBsf  Downgrade   A-sf
D 95000GAJ3        LT  Bsf    Affirmed    Bsf
E 95000GAL8        LT  CCCsf  Affirmed    CCCsf
F 95000GAN4        LT  CCsf   Downgrade   CCCsf
X-A 95000GBB9      LT  AAAsf  Affirmed    AAAsf
X-B 95000GBC7      LT  BBBsf  Downgrade   A-sf
X-D 95000GAA2      LT  Bsf    Affirmed    Bsf
X-E 95000GAC8      LT  CCCsf  Affirmed    CCCsf
X-F 95000GAE4      LT  CCsf   Downgrade   CCCsf

KEY RATING DRIVERS

Increased Loss Expectations Drives Downgrades: The downgrade of
classes A-S, B, C, F, X-B and X-F reflects increased loss
expectations for the pool since Fitch's prior rating action driven
primarily by the seventh largest loan, Simon Premium Outlets (4.1%
of pool). Nine loans (25.5%) have been designated Fitch Loans of
Concern (FLOCs) including three loans (12.0%) in special
servicing.

Fitch's current ratings are based on a base case loss expectation
of 7.80%. The Negative Outlooks on classes A-S through D, X-B and
X-D reflect losses that could reach 11.8% when factoring additional
pandemic-related stresses, as well as potential outsized losses on
One Stamford Forum and the Simon Premium Outlets loans.

Fitch Loans of Concern: The largest non-specially serviced FLOC and
the largest increase in loss since the prior review is the Simon
Premium Outlets loan (4.3%), which is secured by a 782,765-sf
portfolio of three outlet centers located in tertiary markets,
including Lee, MA; Gaffney, SC and Calhoun, GA. Portfolio occupancy
has declined to 69% as of September 2020 from 82% at YE 2019 and
93% around the time of issuance (at YE 2016). As of the September
2020 rent rolls, near-term rollover includes 10.1% of the portfolio
NRA in 2020, 17.2% in 2021, 18.8% in 2022 and 3.9% in 2023.

Total portfolio sales at YE 2018 declined 2.6% to $190.2 million
from $195.2 million at YE 2017; YE 2018 sales were 11.9% lower than
the $215.9 million reported around the time of issuance. Fitch's
base case loss expectation incorporates a 25% cap rate on the
portfolio and applied a 20% haircut to the YE 2019 NOI due to
concerns about the sponsor's commitment to the portfolio, tertiary
market locations of the outlet centers, continued declines with
occupancy and sales and significant upcoming lease rollover.

Smaller FLOCs include two hotels and one retail property being
stress tested due to the coronavirus pandemic, a retail property in
Riverside, CA where the largest tenants have upcoming lease
expirations, and a shopping center in Louisville, KY where the
grocery anchor went dark and was re-tenanted with weaker,
non-traditional anchors.

Specially Serviced Loans: The third largest loan in the pool and
largest contributor to overall loss expectations is the One
Stamford Forum loan (3.9%), which is secured by a 504,471-sf office
building located in Stamford, CT. The loan transferred to special
servicing in March 2019 for imminent monetary default when Purdue
Pharma, a privately-owned pharmaceutical company focusing on pain
medication, including OxyContin, which uses the property as their
U.S. headquarters, considered filing bankruptcy due to lawsuits
related to the opioid crisis.

At issuance, Purdue Pharma occupied 92% of the NRA through a direct
lease and sublease from UBS, and had executed a wraparound lease
for the remainder of the building that takes into effect once UBS'
lease for 33% of the NRA expired at YE 2020. However, in September
2019, Purdue Pharma filed Chapter 11 bankruptcy and rejected the
wraparound lease via bankruptcy. They have since downsized to
approximately 120,000 sf (23% of NRA) on the 9th and 10th floors.
Purdue Pharma had already been subleasing a portion of its space to
other tenants at issuance. Based upon the 1Q21 rent roll, new
tenants and existing subtenants accounting for approximately
200,000 sf (40% NRA) have signed direct leases at the property,
resulting in a 64% occupancy rate.

Fitch's base case loss expectation of approximately 50% reflects a
dark value of $51 million, which made assumptions for stabilized
occupancy (75%), market rent ($47 psf), downtime between leases (18
months), carrying costs and re-tenanting costs ($30 psf for new
tenant improvements and 5% for new leasing commissions), while also
factoring in the current balance of the cash flow sweep reserve of
$5.6 million. Hilton Long Island Huntington (4.0%) is a 305-key
full-service hotel in Melville, NY on Long Island. The loan
transferred to special servicing in January 2021 for imminent
monetary default and the special servicer is evaluating the
borrower's request for coronavirus relief. Per servicer-reported YE
2020 OSAR, the property was performing at a 41% occupancy rate and
-0.12x NOI debt service coverage ratio (DSCR). The
servicer-reported YE 2020 RevPAR was $53 compared with $137 at YE
2019.

The smallest specially serviced loan is Shopko -- Redding (0.4%),
an REO retail asset where the single-tenant terminated the lease in
bankruptcy, leaving the asset 100% vacant. The special servicer is
marketing the property for sale.

Alternative Loss Scenario: Fitch's analysis included an additional
sensitivity scenario that assumed a potential outsized loss of 75%
to the current balance of One Stamford Forum to reflect concerns
about the borrower's ability to re-tenant the remainder of the
property and the possibility of a significant loss if the loan were
to become REO. Fitch also applied a 50% loss to the current balance
of the Simon Premium Outlets due to concerns with the sponsor's
commitment to the asset, declining occupancy and sales, and general
concerns with the outlet mall asset class. This additional
sensitivity scenario, which incorporates outsized losses on these
two loans and also factors in the expected paydown of the defeased
loans, contributed to the Negative Rating Outlooks on classes A-S,
B, C, D, X-B and X-D.

Coronavirus Exposure: The pool contains four loans (15.9%) secured
by hotels with a weighted-average NOI DSCR of 3.60x. Retail
properties account for 26.8% of the pool balance and have
weighted-average NOI DSCR of 2.25x. Cash flow disruptions continue
as a result of property and consumer restrictions due to the spread
of the coronavirus. Fitch's base case analysis applied an
additional NOI stress to two hotel loans and four retail loans due
to their vulnerability to the pandemic. These additional stresses
contributed to the Negative Rating Outlooks on classes A-S through
D, X-B and X-D.

Minimal Change to Credit Enhancement: As of the February 2021
distribution date, the pool's aggregate principal balance has been
reduced by 3.8% to $823.7 million from $870.6 million at issuance.
Twelve loans (39.0%) are full- term interest only and 10 loans
(29.4%) are partial-term interest-only, nine of which (22.2%) have
begun amortizing. One loan (0.7%) is defeased and interest
shortfalls are currently impacting classes G and RRI.

Retail Concentration: Loans collateralized by retail properties
account for 26.8% of the pool, including one regional mall (9.6%)
and a portfolio of three outlet malls in tertiary locations (4.1%).
The largest loan in the pool is The Shops at Crystals (9.6%), a
high-end regional mall in Las Vegas, NV. Property performance has
remained stable since issuance and total mall sales were $1,549 for
2019, $1,355 psf for 2018, $1,459 psf for 2017, and $1,450 for
2016. Despite the stable performance, Fitch's analysis applied a
12.0% cap rate and 20% haircut to the YE 2019 NOI due to concerns
surrounding the regional mall asset class and this particular
property's reliance upon tourism in order to continue to perform.
Even with the stressed cap rate and NOI haircut, this loan does not
model a loss.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, B, C, X-B, D and X-D reflect
the potential for downgrades due to uncertainty surrounding the
economic recovery and resolution of loans experiencing volatility
due to the coronavirus pandemic and performance concerns associated
with the FLOCs, particularly the specially serviced One Stamford
Forum and the Simon Premium Outlets. The Stable Outlooks on the
senior classes reflects the overall stable performance of the
remainder 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 paydown and/or
    defeasance. The upgrade of classes A-S and B would only occur
    with significant improvement in credit enhancement and/or
    defeasance, and with the stabilization of performance on the
    FLOCs. An upgrade to classes C and X-B would also consider
    these factors, but would be limited based on sensitivity to
    concentrations or the potential for future concentration.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood for interest shortfalls. An upgrade to classes D,
    X-D, E, X- E, F, and X-F is not likely until the later years
    in a transaction and only if the performance of the remaining\
    pool is stable and/or if there is sufficient credit
    enhancement, which would likely occur when the senior classes
    payoff and if the non-rated classes are not eroded. While
    uncertainty surrounding the coronavirus pandemic, One Stamford
    Forum and the Simon Premium Outlets continues, upgrades are
    not likely.

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

-- Sensitivity factors that lead to downgrades include an
    increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the senior classes, A
    1, A-2, A-3, A-SB and X-A are less likely due to the high
    credit enhancement, but may occur should interest shortfalls
    occur. Further downgrades to classes A-S, B, C and X-B could
    occur if overall pool losses increase and/or one or more large
    loans, such as One Stamford Forum or the Simon Premium
    Outlets, have an outsized loss which would erode credit
    enhancement.

-- Further downgrades to classes D, X-D, E, X-E, F and X-F could
    occur if loss expectations increased due to an increase in
    specially serviced loans or an increase in the certainty of a
    high loss on a specially serviced loan. If the Simon Premium
    Outlets were to default or transfer to special servicing, or
    if One Stamford Forum were to go REO, these classes could be
    downgraded. The Negative Outlooks may be revised back to
    Stable if performance of the FLOCs improves and/or properties
    vulnerable to the pandemic stabilize once the health crisis
    subsides.

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, Fitch expects that a greater
percentage of classes may be assigned a Negative Outlook, or those
with Negative Outlooks will be downgraded one or more categories.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


WELLS FARGO 2021-1: Fitch to Rate B-5 Debt 'B+(EXP)'
----------------------------------------------------
Fitch Ratings expects to rate Wells Fargo Mortgage-Backed
Securities 2021-1 Trust (WFMBS 2021-1).

DEBT                RATING
----                ------
WFMBS 2021-1

A-1       LT  AAA(EXP)sf   Expected Rating
A-2       LT  AAA(EXP)sf   Expected Rating
A-3       LT  AAA(EXP)sf   Expected Rating
A-4       LT  AAA(EXP)sf   Expected Rating
A-5       LT  AAA(EXP)sf   Expected Rating
A-6       LT  AAA(EXP)sf   Expected Rating
A-7       LT  AAA(EXP)sf   Expected Rating
A-8       LT  AAA(EXP)sf   Expected Rating
A-9       LT  AAA(EXP)sf   Expected Rating
A-10      LT  AAA(EXP)sf   Expected Rating
A-11      LT  AAA(EXP)sf   Expected Rating
A-12      LT  AAA(EXP)sf   Expected Rating
A-13      LT  AAA(EXP)sf   Expected Rating
A-14      LT  AAA(EXP)sf   Expected Rating
A-15      LT  AAA(EXP)sf   Expected Rating
A-16      LT  AAA(EXP)sf   Expected Rating
A-17      LT  AAA(EXP)sf   Expected Rating
A-18      LT  AAA(EXP)sf   Expected Rating
A-19      LT  AAA(EXP)sf   Expected Rating
A-20      LT  AAA(EXP)sf   Expected Rating
A-IO1     LT  AAA(EXP)sf   Expected Rating
A-IO2     LT  AAA(EXP)sf   Expected Rating
A-IO3     LT  AAA(EXP)sf   Expected Rating
A-IO4     LT  AAA(EXP)sf   Expected Rating
A-IO5     LT  AAA(EXP)sf   Expected Rating
A-IO6     LT  AAA(EXP)sf   Expected Rating
A-IO7     LT  AAA(EXP)sf   Expected Rating
A-IO8     LT  AAA(EXP)sf   Expected Rating
A-IO9     LT  AAA(EXP)sf   Expected Rating
A-IO10    LT  AAA(EXP)sf   Expected Rating
A-IO11    LT  AAA(EXP)sf   Expected Rating
B-1       LT  AA+(EXP)sf   Expected Rating
B-2       LT  A+(EXP)sf    Expected Rating
B-3       LT  BBB+(EXP)sf  Expected Rating
B-4       LT  BB+(EXP)sf   Expected Rating
B-5       LT  B+(EXP)sf    Expected Rating
B-6       LT  NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 390 prime fixed-rate mortgage
loans with a total balance of approximately $404 million as of the
cutoff date. All of the loans were originated by Wells Fargo Bank,
N.A. (Wells Fargo). This is the 12th post-crisis issuance from
Wells Fargo.

KEY RATING DRIVERS

Very High-Quality Mortgage Pool (Positive): The collateral
attributes are among the strongest of post-crisis RMBS rated by
Fitch. The pool consists entirely of 30-year fixed-rate fully
amortizing loans to borrowers with strong credit profiles, low
leverage and large liquid reserves. All loans are Safe Harbor
Qualified Mortgages (SHQM). The loans are seasoned an average of
approximately 7.5 months.

The pool has a weighted average (WA) original FICO score of 779,
which is indicative of very high credit-quality borrowers.
Approximately 86% has original FICO scores at or above 750. In
addition, the original WA CLTV ratio of 75.5% represents solid
borrower equity in the property. The pool's attributes, together
with Wells Fargo's sound origination practices, support Fitch's
very low default risk expectations.

High Geographic Concentration (Negative): Approximately 65% of the
pool is concentrated in California with relatively average MSA
concentration. The largest MSA concentration is in San Francisco
MSA (28.3%) followed by the San Jose MSA (14.7%) and the Los
Angeles MSA (14.7%). The top three MSAs account for 57.8% of the
pool. As a result, an additional penalty of approximately 13% was
applied to the pool's lifetime default expectations.

Straightforward 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. 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 CE levels are not
maintained.

Full Servicer Advancing (Neutral): The pool benefits from advances
of delinquent principal and interest until the primary servicer of
the pool, Wells Fargo, deems them nonrecoverable. Fitch's loss
severities reflect reimbursement of amounts advanced by the
servicer from liquidation proceeds based on its liquidation
timelines assumed at each rating stress. In addition, the credit
enhancement for the rated classes has some cushion for recovery of
servicer advances for loans that are modified following a payment
forbearance.

To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.45% of the
original balance will be maintained for the senior certificates.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts, reviewer fees 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 $350,000 per annum, with the exception of independent
reviewer breach review fee, which can be carried over each year,
subject to the cap until paid in full.

Payment Forbearance Related to Coronavirus Pandemic (Neutral): As
of the cutoff date, no loans currently under a forbearance plan
were included in this transaction. Any loans that enter into
forbearance between the cutoff date and the closing date will be
repurchased within 30 days of closing per the additional Reps that
Wells is providing. For loans that enter into forbearance
post-close, Wells will advance any missed payments during the
forbearance period. The borrower will be reported as DQ on investor
reports for these missed payments but not on reports to the credit
bureaus. Should the borrower begin paying again, the servicer
(Wells) will be reimbursed from catch-up payments by way of a lump
sum or repayment plan. 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 very well
controlled for in this transaction. Wells Fargo has an extensive
operating history in residential mortgage originations and is
assessed as an 'Above Average' originator by Fitch. The entity has
a diversified sourcing strategy and utilizes an effective
proprietary underwriting system for its retail originations. Wells
Fargo is also the named primary and master servicer for this
transaction; these functions are rated 'RPS1-' and 'RMS1-',
respectively, which are among Fitch's highest servicer ratings.
Each of these Rating Outlooks were revised to Negative from Stable
due to the changing economic landscape. The expected losses at the
'AAAsf' rating stress were reduced by approximately 57 bps to
reflect these strong operational assessments.

Tier 2 Representation and Warranty Framework (Neutral): While the
loan-level representations and warranties (R&Ws) for this
transaction are substantially in conformity with Fitch criteria,
the framework has been assessed as a Tier 2 due to the narrow
testing construct, which limits the breach reviewer's ability to
identify or respond to issues not fully anticipated at closing. The
Tier 2 assessment and the strong financial condition of Wells Fargo
as R&W provider resulted in a neutral impact to the credit
enhancement.

In response to the coronavirus, and in an 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,
Wells Fargo added additional carve-out language relating to the
delinquency review trigger for certain Disaster Mortgage Loans that
are modified or delinquent due to disaster related loss mitigation
(including the coronavirus). This is discussed further in the Asset
Analysis section.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction pool.
The review was performed by Clayton Services LLC (Clayton), which
is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. 99.8% of
the loans received a final grade of 'A' or 'B' which reflects
strong origination practices. Loans with a final grade of 'B' were
supported with sufficient compensating factors or were already
accounted for in Fitch's loan loss model. Loans that are included
in the due diligence review receive a credit in the loss model; the
aggregate adjustment reduced the 'AAAsf' expected losses by 13
bps.

Revised GDP Due to Coronavirus (Negative): The ongoing coronavirus
pandemic and resulting containment efforts resulted in revisions to
Fitch's GDP estimates for 2021. Fitch's current baseline Global
Economic Outlook for U.S. GDP growth is positive 4.5% for 2021, up
from -3.5% for 2020. To account for the baseline macroeconomic
scenario and increase in loss expectations, the Economic Risk
Factor (ERF) default variable for the 'Bsf' and 'BBsf' rating
categories was increased from floors of 1.0 and 1.5, respectively,
to 2.0.

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 37.1% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

Factors that could, individually or collectively, lead to 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 'AAAsf', the analysis indicates there is
    potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

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

Fitch has added a Coronavirus Sensitivity Analysis that 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 impacted by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs. Any long-term impact arising from
coronavirus disruptions on these economic inputs will likely affect
both investment and speculative grade ratings.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton Services LLC. The third-party due diligence
described in Form 15E focused on a compliance review, credit review
and valuation review. The due diligence company performed a review
on 100% of the loans. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: loans with due diligence received a credit in the
loss model. This adjustment reduced the 'AAAsf' expected losses by
13 bps.

ESG CONSIDERATIONS

WFMBS 2021-1 has an ESG credit relevance score of '4+' for
Transaction Parties & Operational Risk. Operational risk is well
controlled for in WFMBS 2021-1 including strong R&W and transaction
due diligence as well as a strong originator and servicer which
resulted in a reduction in expected losses.

WFMBS 2021-1 also has an ESG Relevance Score of '4+' for Exposure
to Environmental Impacts due to moderate geographic
concentration/catastrophe risk. This has a positive impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.

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


WFRBS COMMERCIAL 2014-C21: DBRS Cuts Class F Certs Rating to CCC
----------------------------------------------------------------
DBRS, Inc. downgraded the ratings on six classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-C21 issued by WFRBS
Commercial Mortgage Trust 2014-C21 as follows:

-- Class X-B to BBB (low) (sf) from BBB (sf)
-- Class D to BB (high) (sf) from BBB (low) (sf)
-- Class X-C to B (sf) from BB (high) (sf)
-- Class E to B (low) (sf) from BB (sf)
-- Class X-D to B (low) (sf) from B (high) (sf)
-- Class F to CCC (sf) from B (sf)

DBRS Morningstar also confirmed the ratings on 10 classes as
follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-SBFL at AAA (sf)
-- Class A-SBFX at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)

As part of its review, DBRS Morningstar removed Classes E, F, X-C,
and X-D from Under Review with Negative Implications where it had
placed them on August 6, 2020. The trends on Classes X-B, D, X-C,
E, and X-D are Negative. Class F no longer carries a trend, given
its CCC (sf) rating, and DBRS Morningstar designated this class as
having Interest in Arrears. The trends on all remaining classes are
Stable.

The downgrades and Negative trends generally reflect the overall
weakened performance of the collateral since the last review and
the increased likelihood of losses to the trust upon the resolution
of the specially serviced loans. At issuance, the trust consisted
of 121 loans secured by 145 commercial and multifamily properties
with a trust balance of $1.42 billion. Per the February 2021
remittance, 109 loans remain in the trust, secured by 133
commercial properties, with a trust balance of $1.16 billion, which
represents a collateral reduction of 18.2% from loan payoffs,
amortization, and the liquidation of a single loan in 2019 that
resulted in a small loss to the unrated Class G. The pool is
relatively granular by loan size as the largest 15 loans comprise
56.2% of the trust balance and the largest loan only represents
7.7% of the trust balance. Seventeen loans, totaling 8.3% of the
trust balance, are fully defeased. The trust is concentrated by
property type as 14 loans, representing 30.3% of the trust balance,
are secured by office properties, which have generally been stable
performers thus far during the Coronavirus Disease (COVID-19)
pandemic.

Per the February 2021 remittance, six loans are in special
servicing, totaling 12.0% of the trust balance. Four of the loans
transferred to the special servicer during the coronavirus pandemic
and two of the higher risk specially serviced loans are secured by
Class B/C regional malls that had demonstrated financial weakness
prior to the pandemic. Montgomery Mall (Prospectus ID#9; 4.0% of
the trust balance) is a regional mall in North Wales, Pennsylvania,
approximately 22 miles north of Philadelphia, that is owned and
operated by Simon Property Group. The mall is anchored by a
JCPenney, DICK's Sporting Goods, Macy's, and Wegmans Food Market;
however, the mall lost the noncollateral anchor Sears in February
2020. Per the September 2020 rent roll, the mall's occupancy rate
has declined considerably since issuance to 74.2% from 92.4%. The
mall's anchors present additional risk since issuance with JCPenney
and Macy's publicly announcing in recent years their plans for
additional store closures throughout the country. While the loan
reported a sufficient debt service coverage ratio (DSCR) of 1.98
times (x) for YE2019, the property's net cash flow (NCF)
significantly declined to $9.2 million in 2019, well below the
issuer's underwritten NCF of $14.2 million at issuance. The
servicer had previously noted that the sponsor was unwilling to
inject additional capital into the collateral; however, the special
servicer continues to discuss possible loan modification solutions
as of February 2021. The collateral was reappraised in August 2020
for a value of $61.0 million, down 61.7% from the $195.0 million
appraised value at issuance. DBRS Morningstar liquidated the loan
from the trust as part of the subject analysis, which resulted in
an implied loss severity in excess of 50.0%.

Oak Court Mall (Prospectus ID#15;1.8% of the trust balance) is
secured by the in-line portion and a 50,000 square foot (sf) anchor
box of a regional mall in Memphis, Tennessee. The mall is owned and
operated by Washington Prime Group and is anchored by noncollateral
anchors Macy's and Dillard's Women. The loan transferred to the
special servicer in May 2020 due to imminent monetary default and
forbearance relief was requested. As of January 2021, the special
servicer and borrower agreed to a preliminary loan modification
that would include the extension of the loan term (the loan is
currently scheduled to mature in April 2021), deferment of debt
service payments, and the implementation of a hard cash management.
The collateral's performance had been steadily deteriorating prior
to the coronavirus pandemic with a YE2019 DSCR of 1.21x, compared
with the YE2018 DSCR of 1.45x and YE2017 DSCR of 1.86x. The June
2020 rent roll showed the mall was 98.3% occupied and the largest
three collateral tenants included Dillard's Men's (20.8% of
collateral net rentable area (NRA)), H&M (2.7% of collateral NRA),
and New Square (1.0% of collateral NRA). Dillard's Men's
subsequently vacated its 50,000-sf suite in January 2021. The
collateral's occupancy rate is projected to decrease to
approximately 77.5% as a result. The collateral was reappraised in
July 2020 for a value of $15.0 million, down 75.4% from the $61.0
million appraised value at issuance. DBRS Morningstar liquidated
the loan from the trust as part of the subject analysis, resulting
in an implied loss severity in excess of 70.0%.

DBRS Morningstar is also monitoring The Bluffs loan (Prospectus
ID#10; 2.2% of the trust balance) as the special servicer is
expected to take the property's title in early 2021. The loan is
secured by a 544-unit Class A multifamily property in Junction
City, Kansas, that primarily caters to soldiers and related staff
stationed at nearby Fort Riley. The property was reappraised in
September 2020 at a value of $27.3 million, down 43.5% of the $48.3
million appraised value at issuance. It should be noted that two
large fires occurred during the loan term that destroyed 58 units
and the borrower elected to use insurance proceeds to pay down the
subject mortgage debt rather than reconstruct the units. The
updated appraised value results in an implied loan-to-value ratio
of 94.1% and the appraiser noted some additional upside for the
property in the near term. The loan was liquidated from the trust
as part of the subject review, resulting in an implied loss
severity in excess of 15.0%.

The trust also has 28 loans, representing 35.9% of the trust
balance, on the servicer's watchlist. Most of the loans on the
servicer's watchlist reported low DSCRs and were placed there
during the coronavirus pandemic. This includes the largest loan in
the trust, Fairview Park Drive (Prospectus ID#1; 7.7% of the trust
balance), although the property recently secured a new long-term
anchor tenant, BAE Systems, with a lease expiration date well past
the loan term.

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


WFRBS COMMERCIAL 2014-C25: DBRS Confirms B Rating on Class F Certs
------------------------------------------------------------------
DBRS, Inc. confirmed its ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-C25 issued by WFRBS
Commercial Mortgage Trust 2014-C25 as follows:

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

All trends are Stable.

The rating confirmations reflect the stable performance of the
transaction, which has remained in line with DBRS Morningstar's
expectations at issuance. At issuance, the transaction consisted of
59 loans with an original trust balance of $875.7 million. As of
the January 2021 remittance report, 55 loans remain in the
transaction with a current trust balance of $786.5 million,
representing a collateral reduction of approximately 10.2% since
issuance resulting from amortization, the payoff of three loans,
and the liquidation of a single loan in 2019.

Thirteen loans, representing 23.2% of the current trust balance,
are on the servicer's watchlist. These loans are generally being
monitored for low debt service coverage ratios (DSCR) that have
generally been driven by disruptions related to the pandemic. The
largest loan on servicer's watchlist is Four Seasons Hotel –
Seattle (Prospectus ID#4, 5.0% of the pool balance), which is
secured by a 147-room full-service hotel in downtown Seattle. The
property also includes 36 residential condominium units and related
parking, which are not part of the collateral. The loan is on
watchlist after the borrower requested Coronavirus Disease
(COVID-19)-related relief. The sponsor and the servicer have agreed
to a forbearance, which allowed the borrower to use funds reserved
for furniture, fixtures, and equipment for debt service through
December 2020. The property had shown strong performance
pre-coronavirus as the year-end net cash flow (NCF) was 57% higher
than issuance while covering with a DSCR of 2.97x.

DBRS Morningstar is also concerned with the performance of the
Tobin Lofts (Prospectus ID #7; 3.9% of the pool) loan. The loan is
secured by a student-housing property totaling 225 units (552 beds)
in San Antonio. The property also includes 13,359 square feet of
ground floor retail. The property, which was built in two phases
between 2013 and 2014, accommodates 13 nearby colleges. The
property is directly adjacent to San Antonio College, while Trinity
College, University of the Incarnate Word, and the University of
Texas, San Antonio (downtown campus) are all within two miles. The
loan has been underperforming since issuance as NCF has trended
downward year over year. The year-end 2019 NCF was down 39% since
issuance while posting a DSCR of 0.83x. Despite these concerns, the
loan remains current and the sponsor has not requested coronavirus
relief.

The La Quinta Plainfield (Prospectus ID#37; 0.6% of pool) is the
only loan in special servicing. The loan is secured by a 96-room
limited-service hotel in Plainfield, Indiana (15 miles southwest of
Indianapolis). The loan transferred to special servicing in July
2020 for payment default. The loan had maintained stable
performance pre-coronavirus as the year-end 2019 NCF was up 17%
since issuance while posting a healthy DSCR of 2.00x. According to
the most recent servicing commentary, the special servicer and
borrower continue to negotiate forbearance terms. An updated
appraisal completed in July valued the property at $5.8 million,
which reflects a 31% decrease from the issuance appraisal of $8.5
million.

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


WOODMONT 2017-2: S&P Assigns BB (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-R, and E-R replacement notes from Woodmont 2017-2
Trust, a CLO originally issued in 2017 that is managed by MidCap
Financial Services Capital Management LLC. S&P withdrew its ratings
on the original class A, B, C, D, and E notes following payment in
full on the March 10, 2021, refinancing date.

On the March 10, 2021, refinancing date, the proceeds from the
class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement note
issuances were used to redeem the original class A, B, C, D, and E
notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and it is assigning ratings to the
replacement notes.

The replacement notes are being issued via a conforming indenture,
which, in addition to outlining the terms of the replacement notes,
will also:

-- Issue the replacement class A-1-R, A-2-R, B-R, C-R, and D-R
notes at a lower spread than the original notes;

-- Extend the stated maturity, reinvestment period, and non-call
period by about 4.75, 3.75, and 1.75 years; and

-- Added workout loan-related concepts in line with recent
Woodmont Trust CLOs.

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.

"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels."

In this transaction, workout loans are given no credit because they
may not meet the collateral obligation definition. Furthermore,
because only class A-R, B-R, C-R, and D-R overcollateralization
tests must be satisfied as a condition for using principal proceeds
to purchase workout loans, class E-R and interest diversion tests
were omitted and all rated classes were still passing.
Additionally, all amounts received on workout related assets are
classified as principal proceeds.

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

  Ratings Assigned

  Woodmont 2017-2 Trust

  Replacement class A-1-R, $696.00 million: AAA (sf)
  Replacement class A-2-R, $24.00 million: AAA (sf)
  Replacement class B-R, $96.50 million: AA (sf)
  Replacement class C-R (deferrable), $96.00 million: A (sf)
  Replacement class D-R (deferrable), $72.00 million: BBB (sf)
  Replacement class E-R (deferrable), $59.00 million: BB (sf)
  Subordinated notes. $162.20 million: NR

  Ratings Withdrawn

  Woodmont 2017-2 Trust

  Class A: to NR from 'AAA (sf)'
  Class B: to NR from 'AA (sf)'
  Class C (deferrable): to NR from 'A (sf)'
  Class D (deferrable): to NR from 'BBB- (sf)'
  Class E (deferrable): to NR from 'BB- (sf)'

  NR--Not rated.


[*] Fitch Upgrades 1,675 Legacy U.S. RMBS Classes
-------------------------------------------------
Fitch Ratings has taken various rating actions on 8,489 classes in
1,518 U.S. RMBS transactions. The review included Prime, Alt-A and
Subprime, as well as Scratch & Dent, Guideline Exception, and
Seasoned Performing RMBS sectors. Only one post-2009 transaction
was reviewed.

Rating Action Summary:

-- 6,342 classes affirmed; 1,466 classes withdrawn;

-- 1,675 classes upgraded;

-- 324 classes downgraded; 94 classes withdrawn;

-- 148 classes paid-in-full.

The majority of the classes downgraded were rated 'Bsf' or lower
prior to the rating review.

2,604 classes have a Positive Outlook, 1,237 classes have a Stable
Outlook, 214 classes have a Negative Outlook, and 47 classes are no
longer on Rating Watch.

753 classes reviewed had their ratings withdrawn immediately
following the rating action since they are no longer considered by
Fitch to be relevant to the agency's coverage, such as all classes
in a deal rated 'Dsf', or a bond with a zero balance. Further, an
additional 807 were withdrawn due to insufficient information, such
as limited underlying loan level information, or had a low WAN.

A copy of the Affected Ratings is available at
https://bit.ly/3eNuLq9

KEY RATING DRIVERS

Criteria Changes: Fitch published updates to surveillance criteria,
"U.S. RMBS Surveillance and Re-REMIC Rating Criteria" on Dec. 8
2020. The update included revisions that only affected pre-2009
RMBS transactions.

The revision of the months to pay off constraint, was the most
impactful for upgrades of all criteria revisions. Previously, Fitch
capped the ratings of legacy bonds based on the number of months
before the class was expected to pay off. The removal of this
upgrade constraint resulted in upgrades of classes that were
passing Fitch's loss and cash flow stresses in investment-grade
categories.

The criteria update also included a revised approach for interest
shortfalls. For classes with interest deferrals that were fully
recoverable in Fitch's cash flow stresses, the upgrade constraint
was capped at 'Asf'. For classes with interest shortfalls that are
not fully recovered (i.e. permanent) in Fitch's stresses, the
ratings are capped at 'BBsf' if the interest shortfall is less than
50bps of the bond balance at the time of occurrence. If the
interest shortfall exceeds 50bps at the time off occurrence the
rating is capped at 'CCCsf'.

Lastly, Fitch revised its approach for RMBS backed by small loan
counts. The revision now determines rating caps based on whether a
bond will be outstanding when the WAN (weighted average number of
loans) reaches 10, or if the projected expected loss when a WAN is
equal to 10 is greater than the future projected credit enhancement
at that same period of time.

Pandemic Impact: As described in Fitch's "U.S. RMBS
Coronavirus-Related Analytical Assumptions," Fitch treated all
non-cash flowing borrowers as delinquent, even if still on a
forbearance plan. Additionally, as described in the criteria, Fitch
increased their Economic Risk Factor (ERF) at the Base Case, 'Bsf'
and 'BBsf' rating stresses, which increased the expected losses for
those rating stresses.

Stable Collateral Performance: Despite the pandemic, the
performance of the legacy underlying collateral has remained stable
on average. The subprime and scratch & dent collateral has
performed better than other legacy collateral with the 2021
delinquency levels lower than pre-pandemic levels. The borrowers
have experienced significant home price appreciation, while also
significantly amortizing their balances. Throughout the pandemic,
these legacy origination borrowers have shown a greater willingness
and ability to pay as compared to some more recent originations.

Pool Losses: Since the last review, the average projected losses
for subprime collateral decreased to 28.98% in the 'AAAsf' stress
scenario, down 115bps. This is driven by stable delinquency trends,
lower loan-to-value ratios, and home price appreciation. The lower
losses increased upgrade pressure.

For the Alt-A and Prime sectors, the average projected losses have
increased minimally, 97bps and 308bps in the 'AAAsf' stresses
respectively.

Increasing Credit Enhancement: Classes from transactions that
benefit from a sequential principal payment priority generally
experienced increasing credit enhancement (CE) as a percentage of
the remaining pool balance. On average, classes upgraded to
'AAAsf', 'AAsf', and 'Asf' had a credit support of 71%, 51%, and
33% respectively.

Rating Cap Analysis: As previously described, classes are capped
due to low WAN relative to credit enhancement, interest shortfalls,
or deals are subject to servicer disruption rating caps.

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.

Sensitivity analyses was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, as well
as lower MVDs, illustrated by a gain in home prices.

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

-- This defined negative stress sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model projected decline at the base case. This
    analysis indicates that there is some potential rating
    migration with higher MVDs compared with the model projection.

Factors that could, individually or collectively, lead to 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 already rated 'AAAsf'
    as well as classes that are constrained due to qualitative
    rating caps, the analysis indicates there is potential
    positive rating migration for all of the other rated classes.

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

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

Many of the transactions within this review maintain an ESG credit
relevance score of '4'. Key drivers include exposure to
environmental impacts, such as extreme weather and catastrophe
risk. Exposure to social impacts, including changes in underlying
consumer behavior and/or mortgage availability. As well as,
counterparty risk. Overall, these drivers have low impact to
ratings.

AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING

Default ratings ('Dsf') assigned to the last rated class of a
transaction will be automatically withdrawn within 11 months from
the date of this rating action. A separate RAC will not be issued
at that time.


[*] Moody's Takes Actions on 2 RMBS Classes Issued 2003-2004
------------------------------------------------------------
Moody's Investors Service has assigned ratings to two bonds from
two US residential mortgage backed transactions (RMBS), issued by
Bear Stearns Asset Backed Securities Trust 2003-1 and GSAMP Trust
2004-AHL. The transactions are backed by subprime mortgage loans.

A List of Affected Credit Ratings is available at
https://bit.ly/30LkP8e

Complete rating actions are as follows:

Issuer: Bear Stearns Asset Backed Securities Trust 2003-1

Cl. B, Assigned Ca (sf); previously on Sep 24, 2015 Withdrawn (sf)

Issuer: GSAMP Trust 2004-AHL

Cl. B-1, Assigned C (sf); previously on Sep 30, 2020 Withdrawn
(sf)

RATINGS RATIONALE:

The assignment of the ratings reflects the correction of a prior
error. The ratings of these tranches were previously withdrawn due
to an internal data error. This error has now been corrected and
the ratings have been reassigned.

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. In light
of the current macroeconomic environment, Moody's revised loss
expectations based on the extent of performance deterioration of
the underlying mortgage loans, resulting from a slowdown in
economic activity and increased unemployment due to the coronavirus
outbreak. Specifically, Moody's have observed an increase in
delinquencies, payment forbearance, and payment deferrals since the
start of pandemic, which could result in higher realized losses.

Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. In cases where loan level data is not available,
Moody's assumed that the proportion of borrowers enrolled in
payment relief programs would be equal to levels observed in
transactions of comparable asset quality. Based on Moody's
analysis, the proportion of borrowers that are currently enrolled
in payment relief plans varied greatly, ranging between
approximately 2% and 18% among RMBS transactions issued before
2009. In Moody's analysis, Moody's assume these loans to experience
lifetime default rates that are 50% higher than default rates on
the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative, which could
incur write-downs on bonds when missed payments are deferred.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of residential mortgage loans from a gradual and
unbalanced recovery in US economic activity.

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

Principal Methodologies:

The principal methodology used in these ratings were "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


                            *********

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