---

         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 28, 2021, Vol. 25, No. 86

                            Headlines

522 FUNDING 2021-7: S&P Assigns Prelim BB- (sf) Rating on E Notes
ABPCI DIRECT II: S&P Assigns BB- (sf) Rating on Class E-R Notes
AGL CLO 10: Moody's Assigns Ba3 Rating to $22.5M Class E Notes
AIMCO CLO 2017-A: S&P Assigns B- (sf) Rating on Class F-R Notes
ALEN 2021-ACEN: S&P Assigns B- (sf) Rating on $48MM Class F Certs

ALESCO PREFERRED VII: Fitch Affirms D Rating on Class B Tranche
ANTARES CLO 2017-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
BANK 2018-BNK11: Fitch Affirms B- Rating on Class F Debt
BELLEMEADE RE 2021-1: Moody's Assigns (P)B3 Rating to Cl. B-1 Notes
BLUEMOUNTAIN FUJI I: S&P Affirms BB- (sf) Rating on Class E Notes

CARVANA AUTO 2021-P1: S&P Assigns BB (sf) Rating on Class N Notes
CHASE AUTO 2021-1: Fitch Gives Final B(EXP) Rating on Cl. F Notes
CIFC FUNDING 2015-IV: S&P Assigns BB-(sf) on Class D-R2 Notes
COMM 2018-COR3: Fitch Affirms CCC Rating on G-RR Certs
DRYDEN 75: S&P Assigns Prelim BB- (sf) Rating on Class E-R2 Notes

FREDDIE MAC 2020-HQA3: Moody's Hikes Rating on 10 Tranches From Ba1
GALAXY XXIII: S&P Affirms B+ (sf) Rating on Class E Notes
GOLUB CAPITAL 19(B)-R2: S&P Assigns Prelim BB- Rating on E-R2 Notes
GREYWOLF CLO IV: S&P Assigns BB- (sf) Ratings on Class D-R Notes
GS MORTGAGE 2021-RPL1: Fitch Assigns B Rating on B-2 Debt

HPS LOAN 14-2019: S&P Assigns B- (sf) Rating on Class F-R Notes
IMSCI 2021-2: Fitch Affirms CCC Rating on Class G Certs
KAYNE CLO 10: S&P Assigns BB-(sf) Rating on $18.75MM Class E Notes
KAYNE CLO I: Moody's Rates $7MM Class F Notes 'B3'
KKR CLO 31: S&P Assigns Prelim BB- (sf) Rating on Class E Notes

MADISON PARK XXXII: S&P Assigns BB- (sf) Rating on Class E-R Notes
MAGNETITE XXI: S&P Assigns B-(sf) Rating on $3.7MM Class F-R Notes
MAGNETITE XXIX: Moody's Assigns Ba3 Rating to $26.1M Class E Notes
MELLO MORTGAGE 2021-MTG1: Moody's Gives (P)Ba2 Rating to B5 Certs
MELLO MORTGAGE 2021-MTG1: Moody's Rates Class B5 Notes 'Ba2'

MKS CLO 2017-1: S&P Affirms B+ (sf) Rating on Class E Notes
NEUBERGER BERMAN 25: S&P Assigns BB- (sf) Rating on Class E Notes
NEW MOUNTAIN 2: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
NP SPE X: S&P Affirms BB (sf) Rating on Class C-1 Notes
NXT CAPITAL 2015-1: Moody's Hikes Rating on E-R Notes to Ba1

OCEAN TRAILS VII: S&P Affirms B+ (sf) Rating on Class E Notes
PALMER SQUARE 2021-2: Moody's Gives (P)B1 Rating on Class E Notes
PPLUS TRUST LTD-1: S&P Raises $25MM Class A/B Certs Rating to 'B'
PROVIDENT FUNDING 2021-1: Moody's Assigns B2 Rating to 2 Tranches
RCKT MORTGAGE 2021-1: Fitch Assigns B Rating on B-5 Certs

RCKT MORTGAGE 2021-1: Moody's Assigns B2 Rating to Cl. B-5 Certs
RECETTE CLO: S&P Assigns B- (sf) Rating on $6.25MM Class F-RR Notes
REGATTA II FUNDING: S&P Affirms B- (sf) Rating on Class D-R2 Notes
RISERVA CLO: S&P Assigns B-(sf) Rating on $6.875MM Class F-RR Notes
RR 14: S&P Assigns BB- (sf) Rating on $24.30MM Class D Notes

SDART 2019-3: Moody's Raises Class E Notes Rating to Ba3
SIERRA TIMESHARE 2021-1: Fitch Gives BB(EXP) Rating on Cl. D Notes
SIERRA TIMESHARE 2021-1: S&P Assigns BB (sf) Rating on D Notes
STARWOOD MORTGAGE 2021-1: Fitch Assigns B-(EXP) Rating on B-2 Debt
SYMPHONY CLO XXVI: S&P Assigns BB- (sf) Rating on Class E-R Notes

TCW CLO 2021-1: S&P Assigns BB- (sf) Rating on $16MM Class E Notes
TESLA AUTO 2021-A: Moody's Assigns (P)Ba2 Rating to Class E Notes
THAYER PARK: S&P Assigns 'B- (sf)' Rating on $10MM Class E-R Notes
TRALEE CLO VII: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
TRESTLES CLO 2017-1: S&P Assigns Prelim B-(sf) Rating on E-R Notes

UBS COMMERCIAL 2018-C15: Fitch Affirms B- Rating on G-RR Certs
VOYA CLO 2017-3: S&P Assigns Prelim B-(sf) Rating on E-R Notes
WELLS FARGO 2021-CCRE2: Fitch Affirms CCC Rating on Class G Certs
WESTLAKE AUTOMOBILE 2021-1: S&P Assigns B (sf) Rating on F Notes
[*] S&P Takes Various Actions on 145 Classes from 39 US RMBS Deals

[*] S&P Takes Various Actions on 37 Classes From 16 US RMBS Deals

                            *********

522 FUNDING 2021-7: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to 522 Funding
CLO 2021-7 Ltd./522 Funding CLO 2021-7 LLC's floating-rate notes
and loans.

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 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  522 Funding CLO 2021-7 Ltd./522 Funding CLO 2021-7 LLC

  Class A-L loans, $162.6 million: AAA (sf)
  Class A, $85.4 million: AAA (sf)
  Class B, $56.0 million: AA (sf)
  Class C (deferrable), $26.0 million: A (sf)
  Class D (deferrable), $22.0 million: BBB- (sf)
  Class E (deferrable), $14.0 million: BB- (sf)
  Subordinated notes, $41.9 million: Not rated


ABPCI DIRECT II: 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 ABPCI Direct Lending
Fund CLO II Ltd./ABPCI Direct Lending Fund CLO II LLC, a CLO issued
in July 2017 that is managed by AB Private Credit Investors LLC.
The replacement notes were issued via a supplemental indenture.
Proceeds from the issuance of the replacement notes were used to
redeem the original notes, and S&P withdrew the ratings on the
original notes.

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

The replacement notes were issued via a supplemental indenture,
which, in addition to outlining the notes' terms, also:

-- Issued the replacement class at a lower spread than the
original notes;

-- Issued the new floating-rate class D-R and E-R notes;

-- Extended the stated maturity and reinvestment period by
approximately three years; and

-- Established a new non-call period with a deadline of April 20,
2022

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."

  Ratings Assigned

  ABPCI Direct Lending Fund CLO II Ltd./ABPCI Direct Lending Fund
CLO II LLC
  Replacement class A-1-R, $252.0 million: AAA (sf)
  Replacement class A-2-R, $22.5 million: AAA (sf)
  Replacement class B-R, $31.5 million: AA (sf)
  Replacement class C-R (deferrable), $36.0 million: A (sf)
  Replacement class D-R (deferrable), $22.5 million: BBB- (sf)
  Replacement class E-R (deferrable), $13.5 million: BB- (sf)
  Subordinated notes, $66.7 million: Not rated

  Ratings Withdrawn
  ABPCI Direct Lending Fund CLO II Ltd./ABPCI Direct Lending Fund
CLO II LLC
  Class A-1 to not rated from AAA (sf)
  Class A-2 to not rated from AA (sf)
  Class B to not rated from A (sf)
  Class C (deferrable) to not rated from BBB (sf)


AGL CLO 10: Moody's Assigns Ba3 Rating to $22.5M Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued AGL CLO 10 LTD. (the "Issuer" or "AGL CLO 10").

Moody's rating action is as follows:

US$320,000,000 Class A Senior Secured Floating Rate Notes due 2034
(the "Class A Notes"), Assigned Aaa (sf)

US$58,750,000 Class B Senior Secured Floating Rate Notes due 2034
(the "Class B Notes"), Assigned Aa2 (sf)

US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034 (the "Class C Notes"), Assigned A2 (sf)

US$31,250,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034 (the "Class D Notes"), Assigned Baa3 (sf)

US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034 (the "Class E Notes"), Assigned Ba3 (sf)

The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

AGL CLO 10 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10.0% of the portfolio may consist of second lien loans,
unsecured loans and bonds. The portfolio is approximately 98%
ramped as of the closing date.

AGL Credit 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 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: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2960

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46.55%

Weighted Average Life (WAL): 9.08 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 Moody's
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.


AIMCO CLO 2017-A: S&P Assigns B- (sf) Rating on Class F-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AIMCO CLO
Series 2017-A/AIMCO CLO Series 2017-A 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 18,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC
  Class X-R, $4.0 million: AAA (sf)
  Class A-R, $252.0 million: AAA (sf)
  Class B-R, $52.0 million: AA (sf)
  Class C-R (deferrable), $26.0 million: A (sf)
  Class D-R (deferrable), $22.0 million: BBB- (sf)
  Class E-R (deferrable), $13.4 million: BB- (sf)
  Class F-R (deferrable), $5.7 million: B- (sf)
  Subordinated notes, $36.0 million: Not rated


ALEN 2021-ACEN: S&P Assigns B- (sf) Rating on $48MM Class F Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to ALEN 2021-ACEN Mortgage
Trust's commercial mortgage pass-through certificates.

The certificate issuance is a U.S. CMBS transaction backed by the
borrowers' fee simple interests in One Allen Center and Three Allen
Center, two Houston-based class A office towers totaling 2,159,589
sq. ft., an adjacent six-story parking garage, and the Downtown
Club at the Met, a 154,743-sq.-ft. health club located on the top
level of the garage.

The ratings reflect S&P Global Ratings' view of the collateral's
historic and projected performance, the sponsor's and manager's
experience, the trustee-provided liquidity, the loan terms, and the
transaction structure. S&P determined that the mortgage loan has a
beginning and ending loan-to-value ratio of 104.3%, based on S&P
Global Ratings' value.

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

  ALEN 2021-ACEN Mortgage Trust

  Class A, $202.8 million: AAA (sf)
  Class B, $45.1 million: AA- (sf)
  Class C, $33.8 million: A- (sf)
  Class D, $41.5 million: BBB- (sf)
  Class E, $56.3 million: BB- (sf)
  Class F, $48.0 million: B- (sf)
  Class G, $19.0 million: Not rated
  Class HRR(i), $23.5 million: Not rated

  (i)Eligible horizontal residual interest.



ALESCO PREFERRED VII: Fitch Affirms D Rating on Class B Tranche
---------------------------------------------------------------
Fitch Ratings has affirmed 62, upgraded 15, and revised Rating
Outlooks to five tranches from 10 collateralized debt obligations
(CDOs) backed primarily by Trust Preferred (TruPS) securities
issued by banks and insurance companies. Rating actions and
performance metrics for each CDO are reported in the rating action
report.

     DEBT                             RATING           PRIOR
     ----                             ------           -----
Preferred Term Securities XXVII, Ltd./Inc.

A-1 74042TAA9                   LT  Asf    Affirmed    Asf
A-2 74042TAC5                   LT  BBBsf  Affirmed    BBBsf
B 74042TAE1                     LT  BBsf   Upgrade     Bsf
C-1 74042TAJ0                   LT  CCCsf  Affirmed    CCCsf
C-2 74042TAL5                   LT  CCCsf  Affirmed    CCCsf
D 74042TAN1                     LT  Csf    Affirmed    Csf

Trapeza CDO XIII, Ltd./Inc.

A-1 894135AA0                    LT  AAsf   Affirmed    AAsf
A-2A 894135AC6                   LT  Asf    Upgrade     BBBsf
A-2B 894135AY8                   LT  Asf    Upgrade     BBBsf
A-3 894135AE2                    LT  BBBsf  Affirmed    BBBsf
B 894135AG7                      LT  BBsf   Affirmed    BBsf
C-1 894135AJ1                    LT  Bsf    Affirmed    Bsf
C-2 894135AL6                    LT  Bsf    Affirmed    Bsf
D 894135AN2                      LT  Csf    Affirmed    Csf
E 894135AS1                      LT  Csf    Affirmed    Csf
F 894135AW2                      LT  Csf    Affirmed    Csf
G 894138AC0                      LT  Csf    Affirmed    Csf

Trapeza CDO X, Ltd/Inc.

A-1 89413CAA5                    LT  AAsf    Upgrade       Asf
A-2 89413CAC1                    LT  BBBsf   Affirmed      BBBsf
B 89413CAE7                      LT  BBsf    Upgrade       Bsf
C-1 89413CAG2                    LT  Csf     Affirmed      Csf
C-2 89413CAN7                    LT  Csf     Affirmed      Csf
D-1 89413CAJ6                    LT  Csf     Affirmed      Csf
D-2 89413CAL1                    LT  Csf     Affirmed      Csf
Subordinated Notes 89413DAA3     LT  Csf     Affirmed      Csf

Trapeza CDO XII, LTD./INC.

A-1 89413GAA6                    LT  AAsf    Affirmed      AAsf
A-2 89413GAC2                    LT  BBBsf   Affirmed      BBBsf
A-3 89413GAE8                    LT  BBBsf   Affirmed      BBBsf
B 89413GAG3                      LT  BBsf    Upgrade       Bsf
C-1 89413GAJ7                    LT  CCCsf   Affirmed      CCCsf
C-2 89413GAL2                    LT  CCCsf   Affirmed      CCCsf
D-1 89413GAN8                    LT  Csf     Affirmed      Csf
D-2 89413GAQ1                    LT  Csf     Affirmed      Csf
E-1 89413GAS7                    LT  Csf     Affirmed      Csf
E-2 89413GAU2                    LT  Csf     Affirmed      Csf
F 89413EAA1                      LT  Csf     Affirmed      Csf

Preferred Term Securities XVII, Ltd./Inc.

A-1 74042EAA2                    LT  AAsf    Affirmed      AAsf
A-2 74042EAB0                    LT  BBBsf   Affirmed      BBBsf
Class B 74042EAC8                LT  BBsf    Affirmed      BBsf
Class C 74042EAD6                LT  CCsf    Affirmed      CCsf
Class D 74042EAE4                LT  Csf     Affirmed      Csf

Trapeza CDO XI, Ltd./Inc.

A-1 89412KAA8                     LT  AAsf    Affirmed      AAsf
A-2 89412KAC4                     LT  Asf     Upgrade       BBBsf
A-3 89412KAE0                     LT  BBBsf   Upgrade       BBsf
B 89412KAG5                       LT  BBsf    Upgrade       Bsf
C 89412KAJ9                       LT  CCsf    Affirmed      CCsf
D-1 89412KAN0                     LT  Csf     Affirmed      Csf
D-2 89412KAQ3                     LT  Csf     Affirmed      Csf
E-1 89412KAS9                     LT  Csf     Affirmed      Csf
E-2 89412KAU4                     LT  Csf     Affirmed      Csf
F 89412JAA1                       LT  Csf     Affirmed      Csf

Preferred Term Securities XVIII, Ltd./Inc.

Class A 1 Senior Notes 74042WAA2  LT  AAsf    Affirmed      AAsf
Class A 2 Senior Notes 74042WAB0  LT  AAsf    Upgrade       Asf
Class B Mezz Notes 74042WAC8      LT  BBBsf   Upgrade       BBsf
Class C Mezz Notes 74042WAD6      LT  CCCsf   Affirmed      CCCsf
Class D Mezz Notes 74042WAE4      LT  Csf     Affirmed      Csf

ALESCO Preferred Funding V, Ltd./Inc.

A-1 Floating 01448TAA2            LT  AAsf    Affirmed      AAsf
A-2 Floating 01448TAB0            LT  AAsf    Affirmed      AAsf
B Floating 01448TAC8              LT  Asf     Affirmed      Asf
C-1 Floating 01448TAD6            LT  CCsf    Upgrade       Csf
C-2 Fixed 01448TAE4               LT  CCsf    Upgrade       Csf
C-3 01448TAF1                     LT  CCsf    Upgrade       Csf
D Floating 01448TAG9              LT  Csf     Affirmed      Csf

ALESCO Preferred Funding VII, Ltd./Inc.

A-1-B 01448YAB9                   LT  AAsf    Affirmed      AAsf
A-2 01448YAC7                     LT  Asf     Affirmed      Asf

B 01448YAD5                       LT  Dsf     Affirmed      Dsf
C-1 01448YAE3                     LT  Csf     Affirmed      Csf
C-2 01448YAF0                     LT  Csf     Affirmed      Csf
C-3 01448YAG8                     LT  Csf     Affirmed      Csf
C-4 01448YAH6                     LT  Csf     Affirmed      Csf
C-5 01448YAJ2                     LT  Csf     Affirmed      Csf

Preferred Term Securities XVI, Ltd./Inc.

Class A-1 74041EAA3               LT AAsf     Affirmed      AAsf
Class A-2 74041EAB1               LT BBBsf    Affirmed      BBBsf
Class A-3 74041EAL9               LT BBBsf    Affirmed      BBBsf
Class B 74041EAC9                 LT BBsf     Affirmed      BBsf
Class C 74041EAD7                 LT CCsf     Upgrade       Csf
Class D 74041EAG0                 LT Csf      Affirmed      Csf

KEY RATING DRIVERS

The main driver behind the upgrades and the Positive Outlooks was
deleveraging from collateral redemptions and excess spread, which
resulted in paydowns to the senior most notes, ranging between 1%
and 54% of their balances at last review. The magnitude of the
deleveraging for each CDO is reported in the rating action report.

For two transactions, the credit quality of the collateral
portfolios, as measured by a combination of Fitch's bank scores and
public ratings, improved, with the other eight exhibiting negative
credit migration. One bank issuer re-deferred for the second time
and cured during this review period. There was one new default
since last review. First City Bank of Florida was closed by the
FDIC in October 2020.

The ratings on 35 classes of notes in the 10 transactions have been
capped based on the application of the performing CE cap as
described in Fitch's TruPS CDO Criteria.

Fitch considered the rating of the issuer account bank in the
ratings for class A-1 in Alesco Preferred Funding V, Ltd./Inc.,
class A-1-B in Alesco Preferred Funding VII, Ltd./Inc. and class
A-1 in Preferred Term Securities XVIII, Ltd./Inc., due to the
transaction documents not conforming to Fitch's "Structured Finance
and Covered Bonds Counterparty Rating Criteria."

In addition, Fitch affirmed the rating on the non-deferrable class
B notes in Alesco Preferred Funding VII, Ltd./Inc. at 'Dsf'. An
event of default occurred in March 2012 due to the class A/B
Overcollateralization Ratio falling below 100%, followed by an
acceleration of maturity in April 2012. The class B notes have not
received their timely interest since the acceleration.

RATING SENSITIVITIES

To address potential risks of adverse selection and increased
portfolio concentration, Fitch applied a sensitivity scenario, as
described in the criteria, to applicable transactions.

In addition, this review applied a coronavirus stress scenario.
Under this scenario, all issuers in the pool were downgraded either
by 0.5 for private bank scores or one notch for publicly rated
banks and insurance issuers with a mapped rating. The outcome of
this scenario was considered in assignment of Outlooks and when the
notes' performing CE was indicating a potential upgrade.

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

-- Future upgrades to the rated notes may occur if a transaction
    experiences improvement in CE through deleveraging from
    collateral redemptions and/or interest proceeds being used for
    principal repayment.

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

-- Downgrades to the rated notes may occur if a significant share
    of the portfolio issuers defers or defaults on their TruPS
    instruments, which would cause a decline in performing CE
    levels. If the pandemic inflicted disruptions become more
    prolonged, Fitch will formulate a sensitivity scenario that
    represents a more severe impact on the banking and insurance
    sectors than the scenario specified.

BEST/WORST CASE RATING SCENARIO

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

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.


ANTARES CLO 2017-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Antares CLO 2017-1 Ltd./Antares
CLO 2017-1 LLC, a CLO originally issued in May 2017 that is managed
by Antares Capital Advisers LLC. The replacement notes were issued
via a supplemental indenture.

The ratings reflect S&P's opinion that the credit support available
is commensurate with the associated rating levels. The replacement
class A-R, B-R, C-R, and D-R notes were issued at a lower spread
than the original notes. The replacement class E-R notes were
issued at a higher spread than the original notes.

On the March 18, 2021, refinancing date, the proceeds from the
issuance of the replacement notes redeemed the original notes.
Therefore, we withdrew the ratings on the original notes and
assigned ratings to the replacement notes.

The replacement notes were issued via a supplemental indenture.
According to the supplemental indenture:

-- The stated maturity and reinvestment period were extended
approximately six and four years, respectively.

-- Of the underlying collateral obligations, 99.52% have credit
ratings assigned by S&P Global Ratings.

-- Of the underlying collateral obligations, 28.23% have recovery
ratings assigned by S&P Global Ratings.

  Ratings Assigned

  Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC

  Class A-R, $1,323.40 million: AAA (sf)
  Class B-R, $264.70 million: AA (sf)
  Class C-R (deferrable), $168.00 million: A (sf)
  Class D-R (deferrable), $135.80 million: BBB- (sf)
  Class E-R (deferrable), $145.00 million: BB- (sf)
  Subordinated notes, $255.41 million: Not rated
  Ratings Withdrawn

  Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC

  Class A to not rated from AAA (sf)
  Class B to not rated from AA (sf)
  Class C to not rated from A (sf)
  Class D to not rated from BBB- (sf)
  Class E to not rated from BB- (sf)



BANK 2018-BNK11: Fitch Affirms B- Rating on Class F Debt
--------------------------------------------------------
Fitch Ratings has affirmed 14 classes of BANK 2018-BNK11.

     DEBT               RATING           PRIOR
     ----               ------           -----
BANK 2018-BNK11

A-1 06540TAA8    LT  AAAsf   Affirmed    AAAsf
A-2 06540TAC4    LT  AAAsf   Affirmed    AAAsf
A-3 06540TAD2    LT  AAAsf   Affirmed    AAAsf
A-S 06540TAG5    LT  AAAsf   Affirmed    AAAsf
A-SB 06540TAB6   LT  AAAsf   Affirmed    AAAsf
B 06540TAH3      LT  AA-sf   Affirmed    AA-sf
C 06540TAJ9      LT  A-sf    Affirmed    A-sf
D 06540TAP5      LT  BBB-sf  Affirmed    BBB-sf
E 06540TAR1      LT  BB-sf   Affirmed    BB-sf
F 06540TAT7      LT  B-sf    Affirmed    B-sf
X-A 06540TAE0    LT  AAAsf   Affirmed    AAAsf
X-B 06540TAF7    LT  AA-sf   Affirmed    AA-sf
X-D 06540TAK6    LT  BBB-sf  Affirmed    BBB-sf
X-E 06540TAM2    LT  BB-sf   Affirmed    BB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations have increased due
to an increase in the number of Fitch Loans of Concern (FLOCs),
some of which have been affected by the slowdown in economic
activity related to the coronavirus pandemic. Fitch's current
ratings assume a base case loss of 2.8%. The Negative Outlooks on
classes E and F reflect additional sensitivities, which reflect
losses that could reach 4.10%. These additional sensitivities
include additional stresses applied to loans expected to be
impacted by the coronavirus pandemic; in particular, the three
loans (7.7% of pool) that have been designated as FLOCs.

Fitch Loans of Concern:

Northwest Hotel Portfolio (5.6%) is the largest FLOC and is
comprised of seven limited service hotels, totaling 818 keys
located across the Pacific Northwest. This loan is on the
servicer's watchlist for underperformance as a result of
coronavirus pandemic-related economic hardship. The portfolio TTM
September 2020 NOI debt service coverage ratio (DSCR) has fallen to
1.03x compared to 1.61x at YE 2019 and underwritten NOI DSCR of
1.96x. The portfolio TTM June 2020 occupancy, ADR and RevPAR were
63.48%, $141.19 and $89.59, respectively. Compared to TTM June 2019
occupancy, ADR and RevPAR of 75.36%, $146.18 and $112.20,
respectively. This loan has been classified as "60 Days" delinquent
twice in the last 12 months, and as of the February 2021 payment
date, the loan was current. The special servicer is currently
reviewing the borrower's proposal for COVID relief. In its
analysis, Fitch applied a 26% haircut to YE 2019 NOI to reflect the
coronavirus pandemic's impact on the travel and tourism.

Warm Springs Promenade (1.8%) is the second largest FLOC. It is
collateralized by an anchored neighborhood shopping center located
in Henderson, NV. Savers (NRA 14.2%) and At Home (NRA 6.8%) leases
were scheduled to expire in December 2021 and December 2020,
respectively. According to the subject's December 2020 rent roll,
Savers and At Home were paying $13.68 psf and $7.00 psf in annual
base rent, respectively. Subject YE 2019 occupancy was 90%, above
underwritten occupancy at issuance of 84%. If both tenants were to
vacate, Fitch estimates subject occupancy would fall to 70%. YE
2019 NOI DSCR was 1.84x. Fitch has inquired to the master servicer
regarding any leasing activity for the rolling tenants, but has not
received a response.

The remaining FLOC accounts for account for 0.3% of the total pool
balance.

As of the February 2021 distribution period, there were 10 loans
(11.6%) on the servicer's watchlist for failure to provide proof of
property insurance, increased vacancy, partial year drop in
performance, rolling tenants and requesting COVID relief. No loans
are in special servicing.

Minimal Change to Credit Enhancement: There has been minimal change
in credit enhancement (CE) since issuance. As of the February 2021
payment period, the pool's aggregate balance has been paid down by
1.6% to $677.3 million from $688.2 million at issuance. There are
15 loans comprising 50.0% of the pool that are interest only for
the full term. No loans have been defeased and no loans have been
disposed. Additionally, no loans are scheduled to mature until
January 2028. The pool is expected to pay down by approximately
8.2% by maturity.

Exposure to Coronavirus: There are three loans secured by hotel
properties (8.01% of pool) with a weighted average NOI DSCR of
2.06x. Nine retail loans (27.0%) with a weighted average NOI DSCR
of 2.03x. Two multifamily loans (6.0%) with a weighted average NOI
DSCR of 2.56x. Fitch's analysis applied additional stresses to two
hotel loans and four retail loans given the significant declines in
property-level cash flow expected as a result of pandemic-based
restrictions.

Investment-Grade Credit Opinion Loans: Three loans comprising 22.8%
of the transaction received an investment-grade credit opinion at
issuance. Twelve Oaks Mall (9.4%) received a credit opinion of
'BBB-sf' on a stand-alone basis. Apple Campus 3 (9.3%) received a
credit opinion of 'BBB-sf' on a stand-alone basis. The Gateway
(4.1%) received a stand-alone credit opinion of 'BBBsf'.

The remaining FLOC accounts for account for .3% of the total pool
balance.

RATING SENSITIVITIES

The Stable Outlooks on classes A-1 through D reflect the overall
stable performance of the majority of the pool and expected
continued amortization. The Negative Outlooks on classes E, F and
X-E reflect the potential for downgrade due to concerns surrounding
the ultimate impact of the coronavirus pandemic and the performance
concerns associated with the FLOCs, in particular the Northwest
Hotel Portfolio loan.

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

-- Sensitivity factors that could lead to upgrades would include
    stable to improved asset performance, coupled with additional
    paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'
    rated classes are not expected but would likely occur with
    significant improvement in CE and/or defeasance and/or the
    stabilization to the properties impacted from the coronavirus
    pandemic.

-- Upgrade of the 'BBB-sf' class is considered unlikely and would
    be limited based on the sensitivity to concentrations or the
    potential for future concentrations. Classes would not be
    upgraded above 'Asf' if there is a likelihood of interest
    shortfalls. An upgrade to the 'B-sf' and 'BB-sf' rated classes
    is not likely unless the performance of the remaining pool
    stabilizes and the senior classes pay off.

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

-- Sensitivity factors that lead to downgrades include an
    increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to classes A-1
    through A-S and the interest-only classes X-A are not likely
    due to the position in the capital structure, but may occur
    should interest shortfalls occur. Downgrades to classes B, C,
    D, X-B and X-D are possible should performance of the FLOCs
    continue to decline; should loans susceptible to the
    coronavirus pandemic not stabilize; and/or should further
    loans transfer to special servicing.

-- Classes E, F and X-E could be downgraded should the specially
    serviced loan not return to the master servicer and/or as
    there is more certainty of loss expectations from other FLOCs.
    The Rating Outlooks on these classes 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 where 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.


BELLEMEADE RE 2021-1: Moody's Assigns (P)B3 Rating to Cl. B-1 Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of mortgage insurance credit risk transfer notes issued by
Bellemeade Re 2021-1 Ltd.

Bellemeade Re 2021-1 Ltd. is the first transaction issued in 2021
under the Bellemeade Re program, which transfers to the capital
markets the credit risk of private mortgage insurance (MI) policies
issued by Arch Mortgage Insurance Company (Arch) and United
Guaranty Residential Insurance Company (UGRIC) (each, a subsidiary
of Arch Capital Group Ltd., and collectively, the ceding insurer)
on a portfolio of residential mortgage loans. The notes are exposed
to the risk of claims payments on the MI policies, and depending on
the notes' priority, may incur principal and interest losses when
the ceding insurer makes claims payments on the MI policies.

On the closing date, Bellemeade Re 2021-1 Ltd. (the issuer) and the
ceding insurer will enter into a reinsurance agreement providing
excess of loss reinsurance on mortgage insurance policies issued by
the ceding insurer on a portfolio of residential mortgage loans.
Proceeds from the sale of the notes will be deposited into the
reinsurance trust account for the benefit of the ceding insurer and
as security for the issuer's obligations to the ceding insurer
under the reinsurance agreement. The funds in the reinsurance trust
account will also be available to pay noteholders, following the
termination of the trust and payment of amounts due to the ceding
insurer. Funds in the reinsurance trust account will be used to
purchase eligible investments and will be subject to the terms of
the reinsurance trust agreement.

Following the instruction of the ceding insurer, the trustee will
liquidate assets in the reinsurance trust account to (1) make
principal payments to the notes as the insurance coverage in the
reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims after the coverage level B-3 is written off. While income
earned on eligible investments is used to pay interest on the
notes, the ceding insurer is responsible for covering any
difference between the investment income and interest accrued on
the notes' coverage levels.

The complete rating actions are as follows:

Issuer: Bellemeade Re 2021-1 Ltd.

Cl. M-1A, Assigned (P)A1 (sf)

Cl. M-1B, Assigned (P)A3 (sf)

Cl. M-1C, Assigned (P)Baa3 (sf)

Cl. M-2, Assigned (P)Ba3 (sf)

Cl. B-1, Assigned (P)B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance to incur 1.60% losses in a base case scenario, and 14.93%
losses under loss a Aaa stress scenario. The aggregate exposed
principal balance is the aggregate product of (i) loan unpaid
balance, (ii) the MI coverage percentage of each loan, and (iii)
one minus existing quota share reinsurance percentage. Nearly all
of loans (99.7% by UPB) have 7.5% existing quota share reinsurance
covered by unaffiliated third parties, hence 92.5% pro rata share
of MI losses of such loans will be taken by this transaction. For
the rest of loans having zero existing quota share reinsurance, the
transaction will bear 100% of their MI losses.

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 consumer assets from a gradual and unbalanced
recovery in US economic activity.

Moody's increased our model-derived median expected losses by 7.5%
(6.6% 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 loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned 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.

In addition, Moody's considered that for this transaction, similar
to other mortgage insurance credit risk transfer deals, payment
deferrals are not claimable events and thus are not treated as
losses; rather they would only result in a loss if the borrower
ultimately defaults after receiving the payment deferral and a
mortgage insurance claim is filed.

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 calculated losses on the pool using its US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included, but were not limited to,
adjustments for origination quality.

Collateral Description

The reference pool consists of 131,501 prime, fixed- and
adjustable-rate, one- to four-unit, first-lien fully-amortizing
conforming mortgage loans with a total insured loan balance of
approximately $38 billion. Nearly all loans in the reference pool
had a loan-to-value (LTV) ratio at origination that was greater
than 80%, with a weighted average of 91%. The borrowers in the pool
have a weighted average FICO score of 753, a weighted average
debt-to-income ratio of 35.4% and a weighted average mortgage rate
of 2.9%. The weighted average risk in force (MI coverage
percentage) is approximately 22.7% of the reference pool total
unpaid principal balance. The aggregate exposed principal balance
is the portion of the pool's risk in force that is not covered by
existing third-party reinsurance. Approximately 99.8% (by unpaid
principal balance) of the mortgage loans have a MI coverage
effective date on 2020, and there are 327 loans having MI coverage
effective date on 2019 (constituting the rest 0.2% by unpaid
principal balance).

The weighted average LTV of 91.2% is far higher than those of
recent private label prime jumbo deals, which typically have LTVs
in the high 60's range, however, it is in line with those of recent
MI CRT transactions. All insured loans in the reference pool were
originated with LTV ratios greater than 80%. 100% of insured loans
were covered by mortgage insurance at origination with 99.6%
covered by BPMI and 0.4% covered by LPMI based on unpaid principal
balance.

Underwriting Quality

Moody's took into account the quality of Arch's insurance
underwriting, risk management and claims payment process in its
analysis.

Arch's underwriting requirements address credit, capacity (income),
capital (asset/equity) and collateral. It has a licensed in-house
appraiser to review appraisals.

Lenders submit mortgage loans to Arch for insurance either through
delegated underwriting or non-delegated underwriting program. Under
the delegated underwriting program, lenders can submit loans for
insurance without Arch re-underwriting the loan file. Arch issues
an MI commitment based on the lender's representation that the loan
meets the insurer's underwriting requirement. Arch does not allow
exceptions for loans approved through its delegated underwriting
program. Lenders eligible under this program must be pre-approved
by Arch. Under the non-delegated underwriting program, insurance
coverage is approved after full-file underwriting by the insurer's
underwriters. For Arch's overall portfolio, approximately 57.1% of
the loans are insured through delegated underwriting and 42.9%
through non-delegated. Arch follows the GSE underwriting guidelines
via DU/LP but applies additional overlays.

Servicers provide Arch monthly reports of insured loans that are
60-day delinquent prior to any submission of claims. Claims are
typically submitted when servicers have taken possession of the
title to the properties. Claims are submitted by uploading or
entering on Arch's website, electronic transfer or paper.

Arch performs an internal quality assurance review on a sample
basis of delegated and non-delegated underwritten loans to ensure
that (i) the risk exposure of insured mortgage loans is accurately
represented, (ii) lenders submitting loans via delegated
underwriting program are adhering to Arch's guidelines, and (iii)
internal underwriters are following guidelines and maintaining
consistent underwriting standards and processes.

Arch has a solid quality control process to ensure claims are paid
timely and accurately. Similar to the above procedure, Arch's
claims management reviews a sample of paid claims each month.
Findings are used for performance management as well as identified
trends. In addition, there is strong oversight and review from
internal and external parties such as GSE audits, Department of
Insurance audits, audits from an independent account firm, and
Arch's internal audits and compliance. Arch is also SOX compliant.
PwC, an independent account firm, performs a thorough audit of
Arch's claim payment process.

Third-Party Review

Arch engaged Opus Capital Markets Consultants, LLC, to perform a
data analysis and diligence review of a sampling of mortgage loans
files submitted for mortgage insurance. This review included
validation of credit qualifications, verification of the presence
of material documentation as applicable to the mortgage insurance
application, updated valuation analysis and comparison, and a
tape-to-file data integrity validation to identify possible data
discrepancies. The scope does not include a compliance review. The
review sample size was small (only 0.27% of the total loans in the
initial reference pool as of January 2021, or 355 by loan count).

In spite of the small sample size and a limited TPR scope for
Bellemeade Re 2021-1 Ltd., Moody's did not make an additional
adjustment to the loss levels because, (1) approximately 37.4% of
the loans in the reference pool have gone through full
re-underwriting by the ceding insurer, (2) the underwriting quality
of the insured loans is monitored under the GSEs' stringent quality
control system, and (3) MI policies will not cover any costs
related to compliance violations.

Scope and results. The third-party due diligence scope focuses on
the following:

Appraisals: The third-party diligence provider reviewed property
valuation on 355 loans in the sample pool. A Freddie Mac Home Value
Explorer ("HVE") was ordered on the entire population of 355 files.
If the resulting value of the AVM was less than 90% of the value
reflected on the original appraisal, or if no results were
returned, a Broker Price Opinion ("BPO") was ordered on the
property. If the resulting value of the BPO was less than 90% of
the value reflected on the original appraisal, an Appraisal Review
appraisal was ordered on the property. Among the 355 loans, three
loans were not assigned any grade by the third-party review firm,
one loan obtained a grade C, and all other loans were graded A. The
third-party diligence provider was not able to obtain property
valuations these three mortgage loans due to the inability to
complete the appraisal review assignment during the due diligence
review period. For the one loan having grade C, it was due to the
fact that original appraisal did not take into account the deed was
in a restricted housing area, which causes a greater than 30% of
variance between field review and original appraisal.

Credit: The third-party diligence provider reviewed credit on 355
loans in the sample pool, all of which obtained credit A or B.

Data integrity: The third-party review firm was provided a data
file with loan level data, which was audited against origination
documents to determine the accuracy of data found within the data
tape. There are 6 discrepancies, in which one discrepancies are on
the DTI data field, one on product type field and another 4
discrepancies are on the maturity date data field.

Reps & Warranties Framework

The ceding insurer does not make any representations and warranties
to the noteholders in this transaction. Since the insured mortgages
are predominantly GSE loans, the individual sellers would provide
exhaustive representations and warranties to the GSEs that are
negotiated and actively monitored. In addition, the ceding insurer
may rescind the MI policy for certain material misrepresentation
and fraud in the origination of a loan, which would benefit the MI
CRT noteholders.

Transaction Structure

The transaction structure is very similar to other MI CRT
transactions that we have rated. The ceding insurer will retain the
coverage levels A, B-3, and the unfunded percentage of coverage
levels between M-1A and B-2. After closing, the ceding insurer will
maintain the 50% minimal retained share of coverage of coverage
level B-3 throughout the transaction. The offered notes benefit
from a sequential pay structure. The transaction incorporates
structural features such as a 10-year bullet maturity and a
sequential pay structure for the non-senior tranches, resulting in
a shorter expected weighted average life on the offered notes.

Funds raised through the issuance of the notes are deposited into a
reinsurance trust account and are distributed either to the
noteholders, when insured loans amortize or MI policies terminate,
or to the ceding insurer for reimbursement of claims paid when
loans default. Interest on the notes is paid from income earned on
the eligible investments and the coverage premium from the ceding
insurer. Interest on the notes will accrue based on the outstanding
balance of the notes, but the ceding insurer will only be obligated
to remit coverage premium based on each note's coverage level.

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. The rated
M-1A, M-1B, M1-C, M-2 and B-1, and non-rated B-2 offered notes have
credit enhancement levels of 6.75%, 5.30%, 3.60%, 2.25%, 2.00% and
1.00%, respectively. The credit risk exposure of the notes depends
on the actual MI losses incurred by the insured pool. The loss is
allocated in a reverse sequential order. MI loss is allocated
starting from coverage level B-3, while investment losses are
allocated starting from class B-2 note.

So long as the senior coverage level is outstanding, and no
performance trigger event occurs, the transaction structure
allocates principal payments on a pro-rata basis between the senior
and non-senior reference tranches. Principal is then allocated
sequentially amongst the non-senior tranches. Principal payments
are all allocated to senior reference tranches when trigger event
occurs.

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75.00% of coverage level A
subordination amount or (ii) the subordinate percentage (or with
respect to the first payment date, the original subordinate
percentage) for that payment date is less than the target CE
percentage (minimum C/E test: 10.50%).

Premium Deposit Account (PDA)

The premium deposit account will benefit the transaction upon a
mandatory termination event (e.g. the ceding insurer fails to pay
the coverage premium and does not cure, triggering a default under
the reinsurance agreement), by providing interest liquidity to the
noteholders for 70 days while the assets of the reinsurance trust
account are being liquidated to repay the principal of the notes.

On the closing date, the ceding insurer will establish a cash and
securities account (the PDA) but no initial deposit amount will be
made to the account by the ceding insurer unless the premium
deposit event is triggered. The premium deposit event will be
triggered if the rating of the notes exceed the insurance financial
strength (IFS) rating (the lower of IFS rating rated by Moody's and
S&P) of the ceding insurer or the ceding insurer's IFS rating falls
below Baa2. If the note ratings exceed that of the ceding insurer,
the insurer will be obligated to deposit into the premium deposit
account the coverage premium only for the notes that exceeded the
ceding insurer's rating. If the ceding insurer's rating falls below
Baa2, it is obligated to deposit coverage premium for all
reinsurance coverage levels.

The required PDA amount for each class of notes and each month is
equal to the excess, if any, of (i) the coupon rate of the note
multiplied by (a) the applicable funded percentage, (b) the
coverage level amount for the coverage level corresponding to such
class of notes and (c) a fraction equal to 70/360, over (ii) two
times the investment income collected on the eligible investments.

Moody's believe the PDA arrangement does not establish a linkage
between the ratings of the notes and the IFS rating of the ceding
insurer because, 1) the required PDA amount is small relative to
the entire deal, 2) the risk of PDA not being funded could
theoretically occur if the ceding insurer suddenly defaults,
causing a rating downgrade from investment grade to default in a
very short period; which is a highly unlikely scenario, and 3) even
if the insurer becomes insolvent, there would be a strong incentive
for the insurer's insolvency regulator to continue to make the
interest payments to avoid losing reinsurance protection provided
by the deal.

Claims Consultant

To mitigate risks associated with the ceding insurer's control of
the trust account and discretion to unilaterally determine the MI
claims amounts (i.e. ultimate net losses), the ceding insurer will
engage Opus Capital Markets, as claims consultant, to verify MI
claims and reimbursement amounts withdrawn from the reinsurance
trust account once the coverage level B-2 and B-3 have been written
down. The claims consultant will review on a quarterly basis a
sample of claims paid by the ceding insurer covered by the
reinsurance agreement. In verifying the amount, the claims
consultant will apply a permitted variance to the total paid loss
for each MI Policy of +/- 2%. The claims consultant will provide a
preliminary report to the ceding insurer containing results of the
verification. If there are findings that cannot be resolved between
the ceding insurer and the claims consultant, the claims consultant
will increase the sample size. A final report will be delivered by
the claims consultant to the trustee, the issuer and the ceding
insurer. The issuer will be required to provide a copy of the final
report to the noteholders and the rating agencies.

Unlike RMBS transactions where there is typically some level of
independent third party oversight by the trustee, the master
servicer and/or the securities administrator, MI CRT transactions
typically do not have such oversight. For example, the ceding
insurer not only has full control of the trust account but can also
determine, at its discretion, the MI claims amount. The ceding
insurer will then direct the trustee to withdraw the funds to
reimburse for the claims paid. Since the trustee is not required to
verify the MI claims amount, there could be a scenario where funds
are withdrawn from the reinsurance trust account in excess of the
amounts necessary to reimburse the ceding insurer. As such, Moody's
believe the claims consultant in this transaction will provide the
oversight to mitigate such risks.

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.

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

Down

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

Up

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


BLUEMOUNTAIN FUJI I: S&P Affirms BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, B-R,
and C-R replacement notes from BlueMountain Fuji US CLO I
Ltd./BlueMountain Fuji US CLO I LLC, a CLO that is managed by
BlueMountain Fuji Management LLC. At the same time, S&P withdrew
its ratings on the class A-1, B, and C notes following payment in
full on the March 18, 2021, refinancing date, and affirmed our
ratings on the class D and E notes.

On the March 18, 2021, refinancing date, the proceeds from the
class A-1-R, B-R and C-R replacement note issuances were used to
redeem the class A-1, B, and C notes, as outlined in the
transaction document provisions. S&P said, "As result, we withdrew
our ratings on the class A-1, B, and C notes in line with their
full redemption and assigned our ratings to the class A-1-R, B-R,
and C-R replacement notes. The replacement notes are being issued
via a proposed supplemental indenture. We also affirmed our ratings
on the class D and E notes, which were unaffected by the amendment.
The class A-2 (not rated) were also unaffected by the amendment."

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

  BlueMountain Fuji US CLO I Ltd./BlueMountain Fuji US CLO I LLC
  Class A-1: to NR from 'AAA (sf)'
  Class B: to NR from 'AA (sf)'
  Class C: to NR from 'A (sf)'

  Ratings Affirmed
  BlueMountain Fuji US CLO I Ltd./BlueMountain Fuji US CLO I LLC
  Class D: BBB (sf)
  Class E: BB- (sf)
  Other Notes Not Rated

  BlueMountain Fuji US CLO I Ltd./BlueMountain Fuji US CLO I LLC
  Class A-2: NR
  Subordinated notes: NR

  NR--Not rated.



CARVANA AUTO 2021-P1: S&P Assigns BB (sf) Rating on Class N Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carvana Auto Receivables
Trust 2021-P1's asset-backed notes series 2021-P1.

The note issuance is an ABS securitization backed by prime auto
loan receivables.

The ratings reflect S&P's view of the following:

-- The availability of approximately 17.1%, 14.3%, 11.2%, 10.1%,
and 6.9% credit support for the class A, B, C, D, and N notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 4.76x, 3.98x, 3.11x, 2.82x, and 1.90x coverage of
S&P's expected net loss range of 3.35%-3.85% for the class A, B, C,
D, and N notes, respectively.

-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that S&P deems appropriate for the assigned ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(2.00x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in S&P Global Rating
Definitions.

-- The collateral characteristics of the prime pool being
securitized, including a weighted average nonzero FICO score of
approximately 707 and a minimum nonzero FICO score of at least
590.

-- The loss performance of Carvana LLC's origination static pools
and managed portfolio, its deal-level collateral characteristics,
and a comparison with its prime auto finance company peers.

-- The transaction's credit enhancement in the form of
subordinated notes; a non-amortizing reserve account;
overcollateralization, which builds to a target level of 1.10% of
the initial receivables balance; and excess spread.

-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.

-- 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

  Carvana Auto Receivables Trust 2021-P1
  Class A-1, $50.00 million: A-1+ (sf)
  Class A-2, $130.00 million: AAA (sf)
  Class A-3, $130.00 million: AAA (sf)
  Class A-4, $68.00 million: AAA (sf)
  Class B, $14.00 million: AA (sf)
  Class C, $16.00 million: A (sf)
  Class D, $7.00 million: BBB (sf)
  Class N(i), 17.00 million: BB (sf)

(i)The class N notes will be paid to the extent funds are available
after the overcollateralization target is achieved. Additionally,
the class N notes will not provide any enhancement to the senior
classes.


CHASE AUTO 2021-1: Fitch Gives Final B(EXP) Rating on Cl. F Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final 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               PRIOR
----        ------               -----
Chase Auto Credit Linked Notes, Series 2021-1

A     LT  NRsf   New Rating    NR(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
F     LT  Bsf    New Rating    B(EXP)sf
R     LT  NRsf   New Rating    NR(EXP)sf

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 loan-to-value (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 Credit Enhancement:
Initial hard credit enhancement (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.

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.


CIFC FUNDING 2015-IV: S&P Assigns BB-(sf) on Class D-R2 Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a-2,
A-2-R2, B-R2, C-R2, and D-R2 replacement notes and new class X
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 were issued via a
supplemental indenture. The original notes were not rated by S&P
Global Ratings.

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.

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

  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


COMM 2018-COR3: Fitch Affirms CCC Rating on G-RR Certs
------------------------------------------------------
Fitch Ratings has affirmed 11 classes and downgraded three of COMM
2018-COR3 Mortgage Trust (COMM 2018-COR3) commercial mortgage
pass-through certificates.

    DEBT                  RATING           PRIOR
    ----                  ------           -----
COMM 2018-COR3

A-1 12595VAA5      LT  AAAsf   Affirmed    AAAsf
A-2 12595VAC1      LT  AAAsf   Affirmed    AAAsf
A-3 12595VAD9      LT  AAAsf   Affirmed    AAAsf
A-M 12595VAF4      LT  AAAsf   Affirmed    AAAsf
A-SB 12595VAB3     LT  AAAsf   Affirmed    AAAsf
B 12595VAG2        LT  AA-sf   Affirmed    AA-sf
C 12595VAH0        LT  A-sf    Affirmed    A-sf
D 12595VAN7        LT  BBB-sf  Affirmed    BBB-sf
E-RR 12595VAQ0     LT  BBsf    Downgrade   BBB-sf
F-RR 12595VAS6     LT  B-sf    Downgrade   BBsf
G-RR 12595VAU1     LT  CCCsf   Downgrade   B-sf
X-A 12595VAE7      LT  AAAsf   Affirmed    AAAsf
X-B 12595VAJ6      LT  AA-sf   Affirmed    AA-sf
X-D 12595VAL1      LT  BBB-sf  Affirmed    BBB-sf

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

Horizontal risk retention (HRR) interest representing at least 5%
of the estimated fair value of all classes of regular certificates
issued by the issuing entity.

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades and Negative Outlooks
reflect increased loss expectations on the pool, primarily from the
Fitch Loans of Concern (FLOCs; 38.8% of the pool) including 18.8%
in special servicing, as well as concerns of the ongoing effect of
the coronavirus pandemic on the pool. Fitch's current ratings
incorporate a base case loss of 8.1%. Losses could reach 12% when
factoring in additional stresses related to the coronavirus
pandemic.

Largest Contributors to Loss: The largest two contributors to loss
are secured by hotel properties located in Seattle with the same
sponsorship. The sponsor has requested and received coronavirus
relief for both loans in the form of access to in place reserves in
order to keep the loans current as well as deferral of ongoing
reserve payments.

The Hyatt @ Olive 8 loan (7.8% of the pool) is secured by a
346-room full-service hotel located in Seattle, WA, near the
theater district of the Seattle CBD. Per the TTM December 2020 STR
report, occupancy, ADR and RevPAR were 50.6%, $192 and $97,
respectively; the yoy RevPAR decline was 48.7%. The servicer
reported YE 2020 cash flow was negative while YE 2019 was 2.04x and
YE 2018 was 2.83x. Performance began declining prior to the onset
of the pandemic with a 28% decrease in the servicer reported NOI
between YE 2018 and YE 2019; the decline is likely due to new
competition hitting the market in 2018. Fitch's analysis includes a
20% stress to the YE 2019 NOI to account for the impact of the
coronavirus on hotel performance.

The Grand Hyatt Seattle loan (5%) is secured by a 457-room
full-service hotel in downtown Seattle, WA and is located across
the street from the Washington State Convention Center. Per the TTM
December 2020 STR report, occupancy, ADR and RevPAR were 17.2%,
$195 and $34, respectively; the yoy RevPAR decline was 82.7%. The
servicer reported YE 2020 cash flow was negative while YE 2019 was
1.85x and YE 2018 was 2.42x. Performance began declining prior to
the onset of the pandemic with a 24% decrease in the servicer
reported NOI between YE 2018 and YE 2019; the decline is likely due
to new competition hitting the market in 2018. Fitch's analysis
includes a 26% stress to the YE 2019 NOI to account for the impact
of the coronavirus on hotel performance.

The next largest contributor to loss is the Kingswood Center loan
(6.5%), which is secured by a 130,218-sf mixed use
(office/retail/parking) property located in an infill location in
Brooklyn, NY. The largest tenant, the Visiting Nurse Service (44.8%
of the NRA), has a lease maturity in June 2022. Lease renewal
discussions have reportedly been ongoing since issuance. The loan
is structured with a $1.6 million earnout related to this tenant
roll. As of the YE 2020 rent roll, property occupancy had declined
to 84.3% from 99.1% at YE 2019 primarily due to the loss of New
York Sports Club (12.9% of NRA), which vacated well before its 2032
lease maturity due to the bankruptcy of its parent company.

Per the servicer, revenue declined in 2020 due to the loss of a
substantial portion of the transient parking income as well as rent
deferrals, both related to the pandemic. Fitch's analysis includes
a 10% stress to the YE 2019 NOI to account for the lost pandemic
related revenue.

The next largest loss contributor is the 315 West 36th Street loan
(4.7%) is secured by a 143,479-sf office building with some retail
located in Midtown Manhattan, proximate to Penn Station and the
Port Authority Bus Terminal. Floors 11 and above of the building
are residential and not part of the collateral. WeWork leases all
the office space (93% of NRA) under two separate leases, which
expire in Feb 2032 and May 2031.

The next largest contributor to loss is the specially serviced 240
East 54th Street loan (4.2%), which is secured by a 29,950-sf
retail property located in Midtown Manhattan. The property is fully
leased to five tenants with only one (5% of NRA) scheduled to roll
during the loan term in 2027. Three of the tenants, Blink Fitness,
Soul Cycle and Clean Market, (93.8% of NRA) are subsidiaries of
Equinox Holding, Inc.

The loan transferred to special servicing in June 2020 due to
delinquency. The majority of the subject's fitness and wellness
related tenants have been closed during the pandemic, and as of the
September 2020 rent roll, no tenants were paying rent. The servicer
expects to move forward with foreclosure proceedings once the New
York eviction moratorium is lifted.

Minimal Change to Credit Enhancement, Very Limited Amortization: As
of the February 2021 distribution date, the pool's aggregate
principal balance has paid down by only 0.5% to $1.0 billion from
$1.01 billion at issuance. The transaction has limited amortization
with only 2.9% pay down expected based on scheduled loan maturity
balances. 25 loans (80.7% of pool) are full-term, interest-only
while four loans (4.8%) remain in their partial interest-only
periods. None of the 41 loans in the transaction have paid off
since issuance. No loans are defeased. No loans mature or have an
ARD date prior to 2027 (23.9%) or 2028 (76.1%).

Major Metro Property Concentration: Six of the top 10 loans and
36.6% of the pool are located within the New York City metro area.
In addition, two of the top 10 loans (12.8%) are located within
downtown Seattle, two of the top 10 loans (10.3%) are located
within the San Francisco/Silicon Valley market and one loan (6.2%)
in the top 15 is located in Los Angeles.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail and multifamily properties, is expected due to the
pandemic and the lack of clarity at this time on the potential
length of the impact. Loans secured by hotels comprise 19.1% of the
pool, retail and mixed use with a retail component comprise 37.6%
of the pool, and multifamily comprise 6.7% of the pool. Fitch
applied additional coronavirus-related stresses to five hotel
loans, 10 retail loans, and one multifamily loan; these additional
stresses contributed to the Negative Rating Outlooks on classes A-M
through F-RR.

ADDITIONAL CONSIDERATIONS

High Hotel Exposure: Hotel Exposure is above average at 19.1%, and
includes two of the Top 10 loans.

Single tenant Concentration: Approximately 36% of the pool is
backed by properties with either a single tenant or a large tenant
comprising more than 75% of the property's NRA, including four of
the top 10 loans.

RATING SENSITIVITIES

The Negative Outlooks to classes A-M through F-RR reflect the
potential for downgrade due to concerns surrounding the ultimate
impact of the coronavirus pandemic and possible losses from the
FLOCs. Rating Outlooks for the senior AAA classes remain Stable due
to the significant credit enhancement and the stable performance of
the majority of the remaining pool.

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 to class B and C would likely occur with
    significant improvement in CE and/or defeasance; however, are
    not likely unless the performance of the FLOCs improve.

-- Upgrades to classes D through F-RR are considered unlikely
    without stabilization of the FLOCs. Classes would not be
    upgraded above 'Asf' if there is likelihood for interest
    shortfalls. The distressed class G-RR is unlikely to be
    upgraded unless resolution of the specially serviced loans is
    substantially better than expected and should performance of
    the other FLOCs stabilize or improve.

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

-- Sensitivity Factors that lead to downgrades include an
    increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the senior AAA classes
    rated are not considered likely due to the position in the
    capital structure, but may occur should performance of the
    underlying pool significantly decline and/or should interest
    shortfalls occur.

-- A downgrade to class A-M or B would occur if additional loans
    begin to underperform, or if the FLOC's continue to have
    performance deterioration or fail to stabilize post pandemic.
    Downgrades to classes C through F-RR would occur should
    overall pool losses increase significantly and/or one or more
    large loans have an outsized loss, which would erode CE.
    Downgrade to the distressed class G-RR could occur if losses
    are realized or 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, Fitch expects negative rating
actions, including Downgrades and/or further Negative Rating
Outlook revisions.

BEST/WORST CASE RATING SCENARIO

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


DRYDEN 75: S&P Assigns Prelim BB- (sf) Rating on Class E-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R2, B-R2, C-R2, D-R2, and E-R2 replacement notes from Dryden 75
CLO Ltd./Dryden 75 CLO LLC, a (CLO) originally issued in February
2019 and previously refinanced in July 2019 that is managed by PGIM
Inc.

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 19,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the April 1, 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:

-- The replacement class A-R2, B-R2, C-R2, and D-R2 notes will be
issued at a higher spread than the previously refinanced notes;

-- The replacement class E-R2 notes will be issued at a lower
spread than the previously refinanced notes;

-- The class A-R2 subordination will increase;

-- The class C-R2 and D-R2 subordinations will decrease;

-- The stated maturity, reinvestment period, and non-call period
will be extended 3.75, 3.75, and 2.75 years respectively;

-- 100.00% of the underlying collateral obligations have credit
ratings assigned by S&P Global Ratings; and

-- 93.36% of the underlying collateral obligations have recovery
ratings assigned by S&P Global Ratings.

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."

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

S&P 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 S&P will take further rating actions
as it deems necessary.

  Preliminary Ratings Assigned

  Dryden 75 CLO Ltd./Dryden 75 CLO LLC

  Replacement class A-R2, $336.00 million: AAA (sf)
  Replacement class B-R2, $63.00 million: AA (sf)
  Replacement class C-R2 (deferrable), $34.15 million: A (sf)
  Replacement class D-R2 (deferrable), $28.85 million: BBB- (sf)
  Replacement class E-R2 (deferrable), $21.00 million: BB- (sf)
  Subordinated notes, $45.80 million: Not rated


FREDDIE MAC 2020-HQA3: Moody's Hikes Rating on 10 Tranches From Ba1
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 23 classes of
credit risk transfer notes issued by Freddie Mac STACR REMIC
2020-HQA3 Notes (STACR 2020-HQA3).

STACR 2020-HQA3 is a high-LTV transaction that benefits from
mortgage insurance. In addition, the credit risk exposure of the
notes depends on the actual realized losses and modification losses
incurred by the reference pool.

A List of Affected Credit Ratings is available at
https://bit.ly/3f9dnw1

The link also contains the associated underlying collateral
losses.

The complete rating actions are as follows:

Issuer: Freddie Mac STACR REMIC 2020-HQA3

Cl. M-1, Upgraded to A1 (sf); previously on Jul 28, 2020 Definitive
Rating Assigned A3 (sf)

Cl. M-2, Upgraded to Baa2 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2A, Upgraded to Baa1 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AS, Upgraded to Baa1 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AT, Upgraded to Baa1 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AU, Upgraded to Baa1 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AR, Upgraded to Baa1 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2B, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BI*, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BR, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BS, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BT, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BU, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2R, Upgraded to Baa2 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2S, Upgraded to Baa2 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2T, Upgraded to Baa2 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2U, Upgraded to Baa2 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2RB, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2SB, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2TB, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2UB, Upgraded to Baa3 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2I*, Upgraded to Baa2 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AI*, Upgraded to Baa1 (sf); previously on Jul 28, 2020
Definitive Rating Assigned Baa3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying reference pool.
In this transaction, high prepayment rates of approximately 40%
over the last six months, driven by the low interest rate
environment, have benefited the bonds by increasing the paydown and
building credit enhancement. In addition, the transaction is
structured with sequential principal distributions amongst the
subordinate bonds.

In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
Moody's MILAN model-derived median expected losses by 15% and its
Aaa losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak.

Moody's identified loans granted payment relief based on a review
of loan level cashflows over the last few months. In Moody's
analysis, Moody's considered loans that: (1) were not liquidated
but took a loss in the reporting period (to capture loans with
monthly deferrals that were reported as current) or (2) have actual
balances that increased or were unchanged in the reporting period,
excluding interest-only loans and pay-ahead loans, to be loans
under a payment relief program. Based on Moody's analysis, the
proportion of borrowers that are enrolled in payment relief plans
in the underlying reference pool has ranged between 3% and 8% over
the last six months.

In response to the COVID-19-spurred economic shock, the GSEs have
enacted temporary policies that allow servicers to offer payment
forbearance to borrowers impacted by COVID-19. The GSEs report
these loans that are granted forbearance as delinquent for purposes
of CRT transactions despite suspension of reporting borrowers to
the credit bureaus. Additionally, delinquencies caused by COVID-19
qualify for "natural disaster" treatment, and the transaction
provide a grace period for such loans before they are recognized as
a Credit Event Reference Obligation (when the loans become 180 day
or more delinquent). The losses are allocated based on actual
losses incurred upon liquidation of defaulted mortgage loans in the
reference pool (i.e., "actual loss" transaction) and these losses
are allocated to bondholders, reverse sequentially.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the due diligence findings of
the third-party reviews received at the time of issuance.

The coronavirus 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 rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.


GALAXY XXIII: S&P Affirms B+ (sf) Rating on Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
C-1-R, and D-R replacement notes from Galaxy XXIII CLO Ltd./Galaxy
XXIII CLO LLC, a CLO originally issued March 30, 2017, that is
managed by PineBridge Investments LLC. The replacement notes are
being issued via a supplemental indenture. S&P withdrew its ratings
on the original class A, B-1, C-1, and D notes following payment in
full on the March 17, 2021 refinancing date. At the same time, S&P
affirmed its ratings on the class B-2, C-2, E, F, and combination
notes.

On the March 17, 2021 refinancing date, the proceeds from the class
A-R, B-1-R, C-1-R, and D-R replacement note issuances were used to
redeem the original class A, B-1, C-1, and D 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 we are assigning ratings to the replacement notes.

  REPLACEMENT AND ORIGINAL NOTE ISSUANCES

  Replacement Notes
  Class        Amount (mil. $)    Interest rate (%)
  A-R                   254.00    Benchmark + 0.87  
  B-1-R                  43.00    Benchmark + 1.35  
  C-1-R                  14.00    Benchmark + 1.70  
  D-R                    21.00    Benchmark + 3.40

  Original Notes
  Class         Amount (mil. $)   Interest rate (%)
  A                     254.00    Benchmark + 1.28  
  B-1                    43.00    Benchmark + 1.56  
  C-2                    14.00    Benchmark + 2.30  
  D                      21.00    Benchmark + 3.48  

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

"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class F notes (which are not
refinancing) than today's rating action reflects. However, we
affirmed the rating at 'CCC+ (sf)' on these notes after considering
the relatively stable overcollateralization ratio since the
transaction's last rating action, and that the transaction will
soon enter its amortization phase. Based on the latter, we expect
the credit support available for all rated classes to increase as
principal is collected and paydowns to the senior notes occur.
Additionally, the rating committee believed that the payment of
principal or interest when due is not highly vulnerable to
nonpayment, thus the class F notes do not fit our definition of
'CC' risk in accordance with our guidance criteria.

"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."

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

S&P said, "We 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

  Galaxy XXIII CLO Ltd.

  Replacement class   Rating     Amount (mil $)
  A-R                 AAA (sf)           254.00
  B-1-R               AA (sf)             43.00
  C-1-R               A (sf)              14.00
  D-R                 BBB (sf)            21.00

  RATINGS AFFIRMED

  Galaxy XXIII CLO Ltd.

  Class                Rating
  B-2                  AA (sf)
  C-2                  A (sf)
  E                    B+ (sf)
  F                    CCC+ (sf)
  Combination notes    A-p (sf)

  RATINGS WITHDRAWN

  Galaxy XXIII CLO Ltd.

                             Rating
  Original class       To              From
  A                    NR              AAA (sf)
  B-1                  NR              AA (sf)
  C-1                  NR              A (sf)
  D                    NR              BBB (sf)

  NR--Not rated.



GOLUB CAPITAL 19(B)-R2: S&P Assigns Prelim BB- Rating on E-R2 Notes
-------------------------------------------------------------------
S&P Global Ratings today assigned its preliminary ratings to Golub
Capital Partners 19(B)-R2 Ltd.'s fixed- and 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 23,
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

  Golub Capital Partners 19(B)-R2 Ltd.

  Class A-R2, $325.00 million: AAA (sf)
  Class B-1-R2, $32.00 million: AA (sf)
  Class B-2-R2, $48.28 million: AA (sf)
  Class C-R2, $29.40 million: A (sf)
  Class D-R2, $32.10 million: BBB- (sf)
  Class E-R2, $18.75 million: BB- (sf)
  Subordinated notes, $54.12 million: Not rated


GREYWOLF CLO IV: S&P Assigns BB- (sf) Ratings on Class D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-1-R, B-2-R, C-R, and D-R replacement notes and new class X notes
from Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue),
a CLO originally issued in April 2019 that is managed by Greywolf
Loan Management L.P. S&P withdrew its ratings on the original class
A-1, A-2, B, C, and D notes following payment in full on the March
17, 2021, refinancing date.

On the March 17, 2021, refinancing date, the proceeds from the
class A-1-R, A-2-R, B-1-R, B-2-R, C-R, and D-R replacement note
issuances were used to redeem the original class A-1, A-2, B, C,
and D notes as outlined in the transaction 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 were issued via a supplemental indenture,
which outlines the terms of the replacement notes. Based on
provisions in the supplemental indenture:

-- The stated maturity will be extended by four years.

-- The reinvestment period will be extended by five years.

-- The non-call period will be extended by three years.

-- Of the underlying collateral obligations, 99.26% have credit
ratings assigned by S&P Global Ratings.

-- Of the underlying collateral obligations, 94.56% have recovery
ratings assigned by S&P Global Ratings.

S&P said, "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

  Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue)

  Class X, $3.00 million: AAA (sf)
  Class A-1-R, $310.00 million: AAA (sf)
  Class A-2-R, $70.00 million: AA (sf)
  Class B-1-R (deferrable), $20.00 million: A (sf)
  Class B-2-R (deferrable), $10.00 million: A (sf)
  Class C-R (deferrable), $25.00 million: BBB- (sf)
  Class D-R (deferrable), $21.50 million: BB- (sf)
  Subordinated notes A, $32.55 million: NR
  Subordinated notes B, $24.75 million: NR

  Ratings Withdrawn

  Greywolf CLO IV Ltd. (Reissue)/Greywolf CLO IV LLC (Reissue)

  Class A-1 to NR from 'AAA (sf)'
  Class A-2 to NR from 'AA (sf)'
  Class B (deferrable) to NR from 'A (sf)'
  Class C (deferrable) to NR from 'BBB- (sf)'
  Class D (deferrable)to NR from 'BB- (sf')

  NR--Not rated.


GS MORTGAGE 2021-RPL1: Fitch Assigns B Rating on B-2 Debt
---------------------------------------------------------
Fitch Ratings has assigned ratings to GS Mortgage-Backed Securities
Trust 2021-RPL1.

DEBT           RATING
----           ------
GS Mortgage-Backed Securities Trust 2021-RPL1

A-1       LT AAAsf  New Rating
A-2       LT AAsf   New Rating
A-3       LT AAsf   New Rating
A-4       LT Asf    New Rating
A-5       LT BBBsf  New Rating
M-1       LT Asf    New Rating
M-2       LT BBBsf  New Rating
B-1       LT BBsf   New Rating
B-2       LT Bsf    New Rating
B-3       LT NRsf   New Rating
B-4       LT NRsf   New Rating
B-5       LT NRsf   New Rating
B         LT NRsf   New Rating
PT        LT NRsf   New Rating
AIOS      LT NRsf   New Rating
R         LT NRsf   New Rating
RI        LT NRsf   New Rating
SA        LT NRsf   New Rating
X         LT NRsf   New Rating

TRANSACTION SUMMARY

The notes are supported by one collateral group that consists of
2,080 seasoned performing loans (SPLs) and reperforming loans
(RPLs) with a total balance of approximately $384.9 million, which
includes $40.5 million of the aggregate pool balance in
non-interest-bearing deferred principal amounts as of the cutoff
date.

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

KEY RATING DRIVERS

RPL Credit Quality (Mixed): The collateral consists of 30-year FRM
and five-year ARM fully amortizing loans, seasoned approximately
173 months in aggregate. The borrowers in this pool have weaker
credit profiles (650 Fitch model FICO) and relatively high leverage
(86% sLTV). In addition, the pool contains no loans of particularly
large size. 47% of the pool had a delinquency in the past 24 months
but is current as of the cut-off date.

Geographic Concentration (Neutral): Approximately 19% of the pool
is concentrated in California. The largest Fitch-derived MSA
concentration is in the New York-Northern New Jersey-Long Island,
NY-NJ-PA MSA (14.3%), followed by the Los Angeles-Long Beach-Santa
Ana, CA MSA (6.5%) and the Washington-Arlington-Alexandria,
DC-VA-MD MSA (5.3%). The top three MSAs account for 26.1% of the
pool. As a result, there was no adjustment for geographic
concentration.

Transaction Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.

No Servicer Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of principal and interest. Because P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I.

Low Operational Risk (Positive Operational risk is well controlled
for in this transaction. Goldman Sachs has an established operating
history acquiring RPL single family residential loans and is
assessed as an 'Average' aggregator by Fitch. Select Portfolio
Servicing (SPS) is the named servicer for the transaction and is
rated by Fitch 'RPS1-'. Due to the benefit given for the servicers,
the 'AAA' expected loss was decreased by 281 bps.

Representation Framework (Negative): The loan-level representations
and warranties (R&Ws) are consistent with a Tier 2 framework. The
tier assessment is based primarily on the inclusion of knowledge
qualifiers in the underlying reps as well as a breach reserve
account that replaces the Sponsor's responsibility to cure any R&W
breaches following the established sunset period. Fitch increased
its loss expectations by 240bps at the 'AAAsf' rating category to
reflect both the limitations of the R&W framework as well as the
non-investment-grade counterparty risk of the provider.

Due Diligence Review Results (Negative): A third-party due
diligence review was performed on 96% of the loans in the
transaction pool as it relates to compliance. The review was
performed by multiple TPR firms; SitusAMC (which is assessed by
Fitch as an 'Acceptable - Tier 1' TPR firm) reviewed the largest
portion of loans (77.6%). The due diligence results indicate
moderate operational risk with 12% of loans receiving a final grade
of 'C' or 'D'. While this concentration of material exceptions is
similar to other Fitch-rated RPL RMBS, adjustments were applied
only to loans missing final HUD-1 documents that are subject to
testing for compliance with predatory lending regulations. These
regulations are not subject to statute of limitations like most
compliance findings which ultimately exposes the trust to added
assignee liability risk. Fitch adjusted its loss expectation at the
'AAAsf' rating category by less than 25 bps to account for this
added risk as well as outstanding taxes.

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, as
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 38.5% 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 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 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 including a
prolonged health crisis resulting in depressed consumer demand and
a protracted period of below-trend economic activity that delay any
meaningful recovery to beyond 2021. Under this severe scenario,
Fitch expects the ratings to be affected by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs. Any long-term impact arising from
coronavirus disruptions on these economic inputs will likely affect
both investment- and speculative-grade ratings.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

There were three variations to Fitch's U.S. RMBS Rating Criteria,
all related to due diligence: --A majority of the pool had a tax
and title search completed outside of six months. Fitch did not
make any additional adjustments as the amounts that were
outstanding as of the search date were minor compared with the pool
balance and some of them may have already been resolved since the
servicer is obligated to cure them. Fitch included the amounts that
were confirmed to be due as of the time the search was conducted in
its loss analysis and no additional adjustments were applied. --A
due diligence review was not completed on 100% of the pool. A small
portion of the pool did not have a compliance search conducted.
Fitch considered the amount that was not performed to be immaterial
and treated those loans as 'high cost uncertain,' which received a
small loss severity adjustment. --The pay history review was not
conducted on 100% of the loans. A small portion of the loans did
not have a pay history review conducted. Given the lack of
differences on the portion that was conducted as well as the
blemished pay histories in the portion with no review, no
additional adjustments were made.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple providers. The third-party due diligence
described in Form 15E focused on on a regulatory compliance review
that covered applicable federal, state and local high-cost loan
and/or anti-predatory laws, as well as the Truth In Lending Act
(TILA) and Real Estate Settlement Procedures Act (RESPA). The scope
was consistent with published Fitch criteria for due diligence on
RPL RMBS. Fitch considered this information in its analysis and, as
a result, Fitch made the following adjustment(s) to its analysis:

-- 201 loans were unable to test for compliance for predatory
    lending and were given a 5% loss severity increase or a 100%
    loss severity over-ride based on the state;

-- 109 loans had missing modification agreements and received a
    three month timeline extension to the liquidation timeline;

-- 203 loans had unpaid taxes or liens and these amounts were
    added to Fitch's model loss severity.

-- These adjustments resulted in a less than 25bps increase to
    the 'AAAsf' expected loss.

DATA ADEQUACY

The data provided was deemed to be adequate in support of the
assigned ratings.

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.


HPS LOAN 14-2019: S&P Assigns B- (sf) Rating on Class F-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its 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 were issued via a proposed
supplemental indenture.

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

On the March 17, 2021, refinancing date, the proceeds from the
issuance of the replacement notes 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.

The replacement notes are being issued via a 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.

  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

  Ratings Withdrawn

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

  Class X to NR from 'AAA (sf)'
  Class A-1 to NR from 'AAA (sf)'
  Class B to NR from 'AA (sf)'
  Class C to NR from 'A (sf)'
  Class D to NR from 'BBB- (sf)'
  Class E to NR from 'BB- (sf)'
  Class F to NR from 'B- (sf)'

  NR--Not rated.



IMSCI 2021-2: Fitch Affirms CCC Rating on Class G Certs
-------------------------------------------------------
Fitch Ratings has downgraded three class and affirmed six classes
of Institutional Mortgage Capital, commercial mortgage pass-through
certificates series 2012-2 (IMSCI 2012-2). All currencies are
denominated in Canadian dollars (CAD).

    DEBT               RATING            PRIOR
    ----               ------            -----
Institutional Mortgage Securities Canada Inc., series 2012-2

A-1 45779BAJ8    LT  AAAsf  Affirmed     AAAsf
A-2 45779BAK5    LT  AAAsf  Affirmed     AAAsf
B 45779BAL3      LT  AAsf   Affirmed     AAsf
C 45779BAM1      LT  Asf    Affirmed     Asf
D 45779BAN9      LT  BBsf   Downgrade    BBBsf
E 45779BAP4      LT  BB-sf  Downgrade    BBB-sf
F 45779BAS8      LT  Bsf    Downgrade    BBsf
G 45779BAT6      LT  CCCsf  Affirmed     CCCsf
XP 45779BAQ2     LT  AAAsf  Affirmed     AAAsf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades of classes D, E and F
reflect increased loss expectations from continued underperformance
of the Fitch Loans of Concern (FLOCs) and exposure to the energy
sector. Despite the recourse provisions low historical loss rates
associated with Canadian CMBS loans, Fitch has concerns with the
recoverability of the three FLOCs. The downgrades of classes D, E
and F and Negative Outlook for class C reflect the reliance on the
repayment of these three loans.

The largest FLOC is the Lakewood Apartments loan (10%), which is
secured by a 111-unit apartment building in Fort McMurray, AB. The
loan was in special servicing in February 2016 due to the downturn
in the energy markets but returned to the master servicer in early
2017 and remains current. In May 2016, the Fort McMurray area was
evacuated due to wildfires, but the collateral did not sustain
structural damage. Demand at the property increased in 2016 due to
local residents that were displaced by the fires and workers
brought in for restoration efforts. However, that demand has since
dissipated.

According to the servicer, occupancy improved in 2019 and was
reported to be 75% as of November 2019 compared with 63% as of YE
2018 and 73% at YE 2017. The YE 2019 debt service coverage ratio
(DSCR) was reported to be 0.48x. The loan maturity has been
extended for a second time to November 2022 and an additional
forbearance was granted in 2020, which allowed principal deferrals
from April through August. The loan has full recourse to the
sponsor, Lanesborough Real Estate Investment Trust (LREIT). Despite
the recourse provision, Fitch remains concerned with the loan given
the low DSCR, multiple maturity extensions and demand tied to the
energy sector.

The second largest FLOC is the Centre 100 loan (9%), which
transferred to special servicing in December 2019 as a result of
the borrower's bankruptcy. The loan is secured by a 55,536sf, class
B office building located in Calgary, Alberta. At issuance, Rogers
Insurance occupied 85% of the net rentable area (NRA) but vacated
upon the February 2018 lease expiration. The borrower was able to
backfill a portion of the former Rogers Insurance space and the
current occupancy is approximately 74% as of February 2021. A
receiver has been appointed due to the borrower's bankruptcy and
the servicer is formulating plans for a receiver sale. The timing
and recoverability on the Centre 1000 loan remains uncertain given
the reliance of the Calgary office market on the energy sector and
lack of investor and tenant demand.

Pool Concentration and Energy Exposure: The pool is concentrated
with only 12 loans remaining and the top five loans account for
65.7% of the pool, respectively. Due to the concentrated nature of
the pool, Fitch performed a sensitivity analysis that grouped the
remaining loans based on the likelihood/timing of repayment. The
ratings reflect this analysis. There is also sponsor concentration
with three loans in the top five (37.2%) having the same sponsor
group, LREIT, and related entities. Two of those loans and the
specially serviced loan are backed by properties in Alberta, which
has experienced volatility from the energy sector in the past
several years.

Changes in Credit Enhancement: As of the February 2021 distribution
date, the pool's aggregate principal balance has been reduced by
56.1% to $105.3 million from $240.2 million at issuance. Credit
enhancement continues to increase with transaction paydown. Two
loans (28.5%) have been defeased.

Maturities: One of the defeased loans (15.3%) is scheduled to
mature in December 2021. The remainder of the non-specially
serviced loans mature in 2022 (75.7%).

Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, additional guarantors and recourse to the borrowers. Of
the remaining non-defeased loans, all feature full or partial
recourse to the borrowers and/or sponsors.

Coronavirus Exposure: No loans in the pool are secured by hotel
properties and there is no immediate impact to the ratings from the
coronavirus pandemic. There are six non-defeased loans (25.3%)
secured by retail properties. However, three of the loans (8.5%)
are secured by single-tenant pharmacies, which remain open and have
been deemed essential during the pandemic. Fitch will continue to
monitor any declines in loan performance and will adjust ratings
and outlooks accordingly.

RATING SENSITIVITIES

The Stable Outlooks for classes A-1, A-2 and B reflect the defeased
collateral, continued amortization and expected paydown from the
non-FLOCs at their respective maturities. The Negative Outlooks for
classes C, D, E and F reflect the reliance on the FLOCs and the
potential for rating changes should performance deteriorate or if
loans fail to repay at maturity.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. While not likely in the near term, upgrades
    of classes B through E may occur with significant improvement
    in credit enhancement and/or defeasance, but would be limited
    based on pool concentration.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood for interest shortfalls. Upgrades to the below
    investment-grade-rated classes are not likely, given the
    concerns surrounding the FLOCs, but may occur should credit
    enhancement increase and performance of the FLOCs improve.

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

-- An increase in pool level losses from underperforming loans.
    Downgrades to the super-senior classes, A-1 and A-2, are not
    likely due to the position in the capital structure and the
    high credit enhancement, but could occur if interest
    shortfalls occur or if a high proportion of the pool defaults
    and expected losses increase significantly.

-- Downgrades to classes B, C, D and E may occur and be one
    category or more should overall pool losses increase, loans
    fail to repay at maturity, and/or the Lakewood Apartments loan
    transfers to special servicing. A downgrade to class F would
    occur should loss expectations increase due to an increase in
    specially serviced loans and/or the disposition of the Centre
    1000 loan at a higher than expected loss. Further downgrades
    to the distressed classes G will occur as losses are realized.

-- The Negative Outlooks on classes C, D, E and F may be revised
    back to Stable if performance of the Lakewood Apartments loan
    improves and/or the recovery on the Centre 1000 loan is better
    than expected.

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.


KAYNE CLO 10: S&P Assigns BB-(sf) Rating on $18.75MM Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Kayne CLO 10 Ltd./Kayne
CLO 10 LLC's floating-rate notes.

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

The 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

  Kayne CLO 10 Ltd./Kayne CLO 10 LLC

  Class A, $315.00 million: AAA (sf)
  Class B, $65.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $18.75 million: BB- (sf)
  Subordinated notes, $49.10 million: Not rated



KAYNE CLO I: Moody's Rates $7MM Class F Notes 'B3'
--------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Kayne CLO I, Ltd. (the "Issuer").

Moody's rating action is as follows:

US$256,000,000 Class A-R Senior Secured Floating Rate Notes due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)

US$37,900,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa1 (sf)

US$22,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf)

US$27,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)

US$7,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Assigned B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.

Kayne Anderson Capital Advisors, L.P. (the "Manager") will continue
to direct the selection, acquisition and disposition of the assets
on behalf of the Issuer and may engage in trading activity,
including discretionary trading, during the transaction's remaining
reinvestment period.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of the non-call period;
changes to certain collateral quality tests; 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: $399,326,964

Diversity Score: 82

Weighted Average Rating Factor (WARF): 3171

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.38%

Weighted Average Recovery Rate (WARR): 47.82%

Weighted Average Life (WAL): 6.33 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 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.


KKR CLO 31: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to KKR CLO 31
Ltd./KKR CLO 31 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 18,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The diversification of the collateral pool.

-- 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

  KKR CLO 31 Ltd./KKR CLO 31 LLC

  Class A-1, $360.00 million: AAA (sf)
  Class A-2, $12.00 million: AAA (sf)
  Class B, $84.00 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, $55.55 million: not rated


MADISON PARK XXXII: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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.
S&P withdrew its ratings on the original class A-1, B, C, D, and E
notes following payment in full on the March 17, 2021, refinancing
date.

On the March 17, 2021, refinancing date, the proceeds from the
issuance of the replacement notes were used to redeem the original
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 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 classes have adequate credit
enhancement available at the rating levels associated with these
rating actions. In addition, the lower weighted average cost of
debt has improved cash flow results for the entire capital
structure. These improved cash flow results also apply to the
junior class E-R replacement notes, to which we are assigning a
rating one notch above the rating on the original notes this class
is replacing.

"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."

  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)

  Ratings Withdrawn

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

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

  Other Notes Not Rated

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

  Replacement class A-2-R, $36.00 million: not rated


MAGNETITE XXI: S&P Assigns B-(sf) Rating on $3.7MM Class F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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
refinancing of the transaction, which originally closed in March
2019 and was not rated by S&P Global Ratings.

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

On the March 24, 2021, refinancing date, the proceeds from the
issuance of the A-R, B-R, C-R, D-R, E-R, and F-R replacement notes
redeemed the original notes.

  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


MAGNETITE XXIX: Moody's Assigns Ba3 Rating to $26.1M Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Magnetite XXIX, Limited. (the "Issuer" or
"Magnetite XXIX").

Moody's rating action is as follows:

US$357,500,000 Class A Senior Secured Floating Rate Notes due 2034
(the "Class A Notes"), Assigned Aaa (sf)

US$60,500,000 Class B Senior Secured Floating Rate Notes due 2034
(the "Class B Notes"), Assigned Aa2 (sf)

US$27,500,000 Class C Deferrable Mezzanine Floating Rate Notes due
2034 (the "Class C Notes"), Assigned A2 (sf)

US$33,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2034 (the "Class D Notes"), Assigned Baa3 (sf)

US$26,125,000 Class E Deferrable Mezzanine Floating Rate Notes due
2034 (the "Class E Notes"), Assigned Ba3 (sf)

The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

Magnetite XXIX 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 (excluding first lien last out
loans), cash, and eligible investments, and up to 10% of the
portfolio may consist of second lien loans, unsecured loans, first
lien last out loans and bonds. The portfolio is at least 80% ramped
as of the closing date.

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

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

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

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

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

Par amount: $550,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2959

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 48.0%

Weighted Average Life (WAL): 8.0 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 Moody's
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.


MELLO MORTGAGE 2021-MTG1: Moody's Gives (P)Ba2 Rating to B5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fifty-eight classes of residential mortgage-backed securities
(RMBS) issued by Mello Mortgage Capital Acceptance (MMCA)
2021-MTG1. The ratings range from (P) Aaa (sf) to (P) Ba2 (sf).

MMCA 2021-MTG1 is a securitization of first-lien high-balance GSE
eligible mortgage loans. The transaction is backed by 576, 30-year
(99.4% by balance) and 25-year (0.6% by balance) fixed-rate
mortgage loans, with an aggregate stated principal balance of
$383,005,628, originated solely by loanDepot.com, LLC (loanDepot).
The average stated principal balance is $664,940. All mortgage
loans are designated as Qualified Mortgages (QM) under the QM safe
harbor rules.

Approximately 50% of the mortgage loans by aggregate unpaid
principal balance (UPB) are "Appraisal Waiver" (AW) loans, whereby
the sponsor obtained an AW for each such mortgage loan from Fannie
Mae or Freddie Mac through their respective programs. In each case,
neither Fannie Mae nor Freddie Mac required an appraisal of the
related mortgaged property as a condition of approving the related
mortgage loan for purchase by Fannie Mae or Freddie Mac, as
applicable.

Cenlar FSB (Cenlar) will service all the mortgage loans in the
transaction. Wells Fargo Bank, N.A. (Long term debt Aa2) will serve
as the master servicer. The servicing administrator, loanDepot,
will be primarily responsible for funding certain servicing
advances of delinquent scheduled interest and principal payments
for the mortgage loans, unless the servicer determines that such
amounts would not be recoverable. The master servicer will be
obligated to fund any required monthly advance if the servicing
administrator fails in its obligation to do so.

One third-party review (TPR) firm verified the accuracy of the loan
level information that Moody's received from the sponsor. Of the
576 loans in the pool, detailed credit, compliance, property
valuation and data accuracy reviews were conducted on 217 (37.7% by
loan count) mortgage loans. Additional valuation products were
ordered on the remaining 359 loans. Based on the review, the TPR
results indicate that there are no material compliance, credit, or
data issues and no appraisal defects. However, the sample size of
loans (217) that underwent a complete review of loan level
information does not meet Moody’s credit neutral criteria,
therefore, Moody's made adjustment to loss levels to account for
this risk.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to MMCA 2018-MTG2, MMCA 2018-MTG1, Provident
Funding Mortgage Trust 2020-2, Provident Funding Mortgage Trust
2020-1, and Provident Funding Mortgage Trust 2019-1 transactions.
Overall, this pool has a weaker credit risk profile as compared to
that of recent comparable transactions with respect to FICO
distribution.

The securitization has a shifting interest structure with a
five-year lockout period that benefits from a senior floor and a
subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Mello Mortgage Capital Acceptance 2021-MTG1

Cl. A1, Assigned (P)Aaa (sf)

Cl. A2, Assigned (P)Aaa (sf)

Cl. A3, Assigned (P)Aaa (sf)

Cl. A4, Assigned (P)Aaa (sf)

Cl. A5, Assigned (P)Aaa (sf)

Cl. A6, Assigned (P)Aaa (sf)

Cl. A7, Assigned (P)Aaa (sf)

Cl. A8, Assigned (P)Aaa (sf)

Cl. A9, Assigned (P)Aaa (sf)

Cl. A10, Assigned (P)Aaa (sf)

Cl. A11, Assigned (P)Aaa (sf)

Cl. A12, Assigned (P)Aaa (sf)

Cl. A13, Assigned (P)Aaa (sf)

Cl. A14, Assigned (P)Aaa (sf)

Cl. A15, Assigned (P)Aaa (sf)

Cl. A16, Assigned (P)Aaa (sf)

Cl. A17, Assigned (P)Aaa (sf)

Cl. A18, Assigned (P)Aaa (sf)

Cl. A19, Assigned (P)Aa1 (sf)

Cl. A20, Assigned (P)Aa1 (sf)

Cl. A21, Assigned (P)Aa1 (sf)

Cl. A22, Assigned (P)Aaa (sf)

Cl. A23, Assigned (P)Aaa (sf)

Cl. A24, Assigned (P)Aaa (sf)

Cl. AX1*, Assigned (P)Aaa (sf)

Cl. AX2*, Assigned (P)Aaa (sf)

Cl. AX3*, Assigned (P)Aaa (sf)

Cl. AX4*, Assigned (P)Aaa (sf)

Cl. AX5*, Assigned (P)Aaa (sf)

Cl. AX6*, Assigned (P)Aaa (sf)

Cl. AX7*, Assigned (P)Aaa (sf)

Cl. AX8*, Assigned (P)Aaa (sf)

Cl. AX9*, Assigned (P)Aaa (sf)

Cl. AX10*, Assigned (P)Aaa (sf)

Cl. AX11*, Assigned (P)Aaa (sf)

Cl. AX12*, Assigned (P)Aaa (sf)

Cl. AX13*, Assigned (P)Aaa (sf)

Cl. AX14*, Assigned (P)Aaa (sf)

Cl. AX15*, Assigned (P)Aaa (sf)

Cl. AX16*, Assigned (P)Aaa (sf)

Cl. AX17*, Assigned (P)Aaa (sf)

Cl. AX18*, Assigned (P)Aaa (sf)

Cl. AX19*, Assigned (P)Aaa (sf)

Cl. AX20*, Assigned (P)Aa1 (sf)

Cl. AX21*, Assigned (P)Aa1 (sf)

Cl. AX22*, Assigned (P)Aa1 (sf)

Cl. AX23*, Assigned (P)Aaa (sf)

Cl. AX24*, Assigned (P)Aaa (sf)

Cl. AX25*, Assigned (P)Aaa (sf)

Cl. B1, Assigned (P)Aa3 (sf)

Cl. B1A, Assigned (P)Aa3 (sf)

Cl. BX1*, Assigned (P)Aa3 (sf)

Cl. B2, Assigned (P)A2 (sf)

Cl. B2A, Assigned (P)A2 (sf)

Cl. BX2*, Assigned (P)A2 (sf)

Cl. B3, Assigned (P)Baa2 (sf)

Cl. B4, Assigned (P)Ba1 (sf)

Cl. B5, Assigned (P)Ba2 (sf)

*Reflects Interest-Only Classes

Rating Rationale

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.19%
at the mean, 0.05% at the median, and reaches 5.05% at a stress
level consistent with our 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 consumer 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.

Moody's increased our model-derived median expected losses by 10.0%
(5.32% for the mean) and its Aaa losses by 2.5% to reflect the
likely performance deterioration resulting from a slowdown in US
economic activity in 2020 due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments we 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 loans, post-COVID underwriting takes into account
the impact of the pandemic on a borrower's ability to repay the
mortgage. For seasoned 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 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 third-party due diligence and the
R&W framework of the transaction.

Collateral description

MMCA 2021-MTG1 is a securitization of first-lien high-balance GSE
eligible mortgage loans. The transaction is backed by 576, 30-year
(99.4% by balance) and 25-year (0.6% by balance) fixed-rate
mortgage loans, with an aggregate stated principal balance of
$383,005,628, originated solely by loanDepot.com, LLC (loanDepot).
The average stated principal balance is $664,940 and the weighted
average (WA) current mortgage rate is 2.8%. Borrowers of the
mortgage loans backing this transaction have strong credit profiles
demonstrated by strong credit scores and low loan-to-value (LTV)
ratios. The weighted average primary borrower original FICO score
and original LTV ratio of the pool is 766 and 66.7%, respectively.
The WA original debt-to-income (DTI) ratio is 31.6%. Approximately,
19.3% by loan balance of the borrowers in the pool have more than
one mortgage. However, there is no single borrower with multiple
mortgages in the pool. All of the loans are designated as Qualified
Mortgages (QM) under the QM safe harbor rules. All loans are
underwritten to Freddie Mac or Fannie Mae guidelines with minimal
overlays from loanDepot.

Approximately half of the mortgages (51.4% by loan balance) are
backed by properties located in California. The next largest
geographic concentration is Washington (14.8% by loan balance), New
Jersey (11.8% by loan balance), and Virginia (10.6% by loan
balance). All other states each represent 4% or less by loan
balance. Approximately 1.1% (by loan balance) of the pool is backed
by properties that are 2-to-4 unit residential properties whereas
loans backed by single family residential properties represent
58.3% (by loan balance) of the pool.

Approximately 81.5% (by loan balance) of the loans were originated
through the retail channel and 18.5% (by loan balance) of the loans
were originated through the broker channel

Origination Quality and Underwriting Guidelines

loanDepot has originated all the mortgage loans in the pool. All
mortgage loans were originated generally in accordance with Federal
Housing Finance Agency (FHFA) standards, under loanDepot's
conforming high balance loan program, with no material overlays
imposed by the originator. The underwriting guidelines evaluate,
among others, the borrowers' ability to repay, employment history,
credit history and FICO scores, debt to income ratio (DTI) and
residual income. The mortgage loans were originated using an
automated underwriting system (AUS), DU for Fannie Mae and LP for
Freddie Mac loans, as both a risk screening tool and also to ensure
that the only ineligible factor is the loan amount. For a loan to
get approved, a DU response of "Approve/Eligible" or LP response of
"Accept" is required. Manual underwriting of any loans is not
allowed under the program.

Moody's consider loanDepot's origination quality to be in line with
its peers due to: (1) adequate underwriting policies and
procedures, (2) acceptable performance with low delinquency and
repurchase and (3) adequate quality control. Therefore, Moody's
have not applied an additional adjustment for origination quality.

Servicing arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate . Cenlar FSB (Cenlar) will service all the mortgage
loans in the transaction. Wells Fargo Bank, N.A. (Long term debt
Aa2) will serve as the master servicer. The servicing
administrator, loanDepot, will be primarily responsible for funding
certain servicing advances of delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer will be obligated to fund any required monthly advance if
the servicing administrator fails in its obligation to do so.
Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions based on this servicing arrangement.

Covid-19 Impacted Borrowers

In the event that a borrower enters into or requests a COVID-19
related forbearance plan on or after the closing date, such
mortgage loan will remain in the mortgage pool and the servicing
administrator will be required to make advances in respect of
delinquent interest and principal (as well as servicing advances)
on such mortgage loan during the forbearance period (to the extent
such advances are deemed recoverable). Forbearances are being
offered in accordance with applicable state and federal regulatory
guidelines and the homeowner's individual circumstances. At the end
of the forbearance period, as with any other modification, to the
extent the related borrower is not able to make a lump sum payment
of the forborne amount, the servicer may, subject to the servicing
matrix, offer the borrower a repayment plan, enter into a
modification with the borrower (including a modification to defer
the forborne amounts) or utilize any other loss mitigation option
permitted under the pooling and servicing agreement.

The servicing fee rate will be equal to 8 bps. Under the
transaction documents, the servicing administrator may increase the
servicer fee rate up to 25 bps in the event that servicing
administrator terminates Cenlar as the servicer. The successor
servicer chosen by the servicing administrator must be reasonably
acceptable to the master servicer. The master servicer may increase
the servicing fee up to an amount that in its good faith judgment
is necessary or advisable to engage a successor servicer. In
modeling this transaction, Moody's assumed a 25 bps servicing fee
rate in line with other transactions that have similar servicing
fee structure.

Third-party review

The credit, compliance, property valuation, and data integrity
portion of the third-party review (TPR) was conducted on a total of
approximately 37.7% (217 loans) of the pool (by loan count).
Additional valuation products were ordered on the remaining 359
loans. For each appraisal waiver (AW) loan, there was an Automatic
Valuation Model (AVM) review conducted in connection with this
offering by a third party vendor with respect to the related
mortgaged properties. There were no AW loans in the pool with AVM
value that was more than 10% less than the stated value.

While the TPR results indicated compliance with the originators'
underwriting guidelines for most of the loans, no material
compliance issues and no material appraisal defects, the total
sample size of 217 loans reviewed did not meet Moody's credit
neutral criteria. Moody's, therefore made an adjustment to loss
levels to account for this risk.

Also, AW loans, which constitute approximately 50% of the mortgage
loans by aggregate cut-off date balance, may present a greater risk
as the value of the related mortgaged properties may be less than
the value ascribed to such mortgaged properties. Moody's made an
adjustment in Moody's analysis to account for the increased risk
associated with such loans.

Representations and Warranties Framework

The R&W provider and the guarantor are both loanDepot entities,
which may not have the financial wherewithal to purchase defective
loans. The Guarantor (LD Holdings Group LLC) will guarantee certain
performance obligations of the R&W provider (loanDepot.com, LLC).
Moreover, unlike other transactions that Moody's have rated, the
R&W framework for this transaction does not include a mechanism
whereby loans that experience an early payment default (EPD) are
repurchased. Moody's have adjusted its Aaa CE and expected losses
to account for these weaknesses in the R&W framework.

Transaction structure

The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all prepayments
to the senior bond for a specified period of time, and increasing
amounts of prepayments to the subordinate bonds thereafter, but
only if loan performance satisfies delinquency and loss tests.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 0.60% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 0.50% of the closing pool balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 0.60% and 0.50%,
respectively, are consistent with the credit neutral floors for the
assigned ratings.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


MELLO MORTGAGE 2021-MTG1: Moody's Rates Class B5 Notes 'Ba2'
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fifty-eight classes of residential mortgage-backed securities
(RMBS) issued by Mello Mortgage Capital Acceptance (MMCA)
2021-MTG1. The ratings range from Aaa (sf) to Ba2 (sf).

MMCA 2021-MTG1 is a securitization of first-lien high-balance GSE
eligible mortgage loans. The transaction is backed by 576, 30-year
(99.4% by balance) and 25-year (0.6% by balance) fixed-rate
mortgage loans, with an aggregate stated principal balance of
$383,005,628, originated solely by loanDepot.com, LLC (loanDepot).
The average stated principal balance is $664,940. All mortgage
loans are designated as Qualified Mortgages (QM) under the QM safe
harbor rules.

Approximately 50% of the mortgage loans by aggregate unpaid
principal balance (UPB) are "Appraisal Waiver" (AW) loans, whereby
the sponsor obtained an AW for each such mortgage loan from Fannie
Mae or Freddie Mac through their respective programs. In each case,
neither Fannie Mae nor Freddie Mac required an appraisal of the
related mortgaged property as a condition of approving the related
mortgage loan for purchase by Fannie Mae or Freddie Mac, as
applicable.

Cenlar FSB (Cenlar) will service all the mortgage loans in the
transaction. Wells Fargo Bank, N.A. (Long term debt Aa2) will serve
as the master servicer. The servicing administrator, loanDepot,
will be primarily responsible for funding certain servicing
advances of delinquent scheduled interest and principal payments
for the mortgage loans, unless the servicer determines that such
amounts would not be recoverable. The master servicer will be
obligated to fund any required monthly advance if the servicing
administrator fails in its obligation to do so.

One third-party review (TPR) firm verified the accuracy of the loan
level information that Moody's received from the sponsor. Of the
576 loans in the pool, detailed credit, compliance, property
valuation and data accuracy reviews were conducted on 217 (37.7% by
loan count) mortgage loans. Additional valuation products were
ordered on the remaining 359 loans. Based on the review, the TPR
results indicate that there are no material compliance, credit, or
data issues and no appraisal defects. However, the sample size of
loans (217) that underwent a complete review of loan level
information does not meet Moody's credit neutral criteria,
therefore, Moody's made adjustment to loss levels to account for
this risk.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to MMCA 2018-MTG2, MMCA 2018-MTG1, Provident
Funding Mortgage Trust 2020-2, Provident Funding Mortgage Trust
2020-1, and Provident Funding Mortgage Trust 2019-1 transactions.
Overall, this pool has a weaker credit risk profile as compared to
that of recent comparable transactions with respect to FICO
distribution.

The securitization has a shifting interest structure with a
five-year lockout period that benefits from a senior floor and a
subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Mello Mortgage Capital Acceptance 2021-MTG1

Cl. A1, Assigned Aaa (sf)

Cl. A2, Assigned Aaa (sf)

Cl. A3, Assigned Aaa (sf)

Cl. A4, Assigned Aaa (sf)

Cl. A5, Assigned Aaa (sf)

Cl. A6, Assigned Aaa (sf)

Cl. A7, Assigned Aaa (sf)

Cl. A8, Assigned Aaa (sf)

Cl. A9, Assigned Aaa (sf)

Cl. A10, Assigned Aaa (sf)

Cl. A11, Assigned Aaa (sf)

Cl. A12, Assigned Aaa (sf)

Cl. A13, Assigned Aaa (sf)

Cl. A14, Assigned Aaa (sf)

Cl. A15, Assigned Aaa (sf)

Cl. A16, Assigned Aaa (sf)

Cl. A17, Assigned Aaa (sf)

Cl. A18, Assigned Aaa (sf)

Cl. A19, Assigned Aa1 (sf)

Cl. A20, Assigned Aa1 (sf)

Cl. A21, Assigned Aa1 (sf)

Cl. A22, Assigned Aaa (sf)

Cl. A23, Assigned Aaa (sf)

Cl. A24, Assigned Aaa (sf)

Cl. AX1*, Assigned Aaa (sf)

Cl. AX2*, Assigned Aaa (sf)

Cl. AX3*, Assigned Aaa (sf)

Cl. AX4*, Assigned Aaa (sf)

Cl. AX5*, Assigned Aaa (sf)

Cl. AX6*, Assigned Aaa (sf)

Cl. AX7*, Assigned Aaa (sf)

Cl. AX8*, Assigned Aaa (sf)

Cl. AX9*, Assigned Aaa (sf)

Cl. AX10*, Assigned Aaa (sf)

Cl. AX11*, Assigned Aaa (sf)

Cl. AX12*, Assigned Aaa (sf)

Cl. AX13*, Assigned Aaa (sf)

Cl. AX14*, Assigned Aaa (sf)

Cl. AX15*, Assigned Aaa (sf)

Cl. AX16*, Assigned Aaa (sf)

Cl. AX17*, Assigned Aaa (sf)

Cl. AX18*, Assigned Aaa (sf)

Cl. AX19*, Assigned Aaa (sf)

Cl. AX20*, Assigned Aa1 (sf)

Cl. AX21*, Assigned Aa1 (sf)

Cl. AX22*, Assigned Aa1 (sf)

Cl. AX23*, Assigned Aaa (sf)

Cl. AX24*, Assigned Aaa (sf)

Cl. AX25*, Assigned Aaa (sf)

Cl. B1, Assigned Aa3 (sf)

Cl. B1A, Assigned Aa3 (sf)

Cl. BX1*, Assigned Aa3 (sf)

Cl. B2, Assigned A2 (sf)

Cl. B2A, Assigned A2 (sf)

Cl. BX2*, Assigned A2 (sf)

Cl. B3, Assigned Baa2 (sf)

Cl. B4, Assigned Ba1 (sf)

Cl. B5, Assigned Ba2 (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 0.19%
at the mean, 0.05% at the median, and reaches 5.05% 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 consumer 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.

Moody's increased its model-derived median expected losses by 10.0%
(5.32% for the mean) and our Aaa losses by 2.5% to reflect the
likely performance deterioration resulting from a slowdown in US
economic activity in 2020 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 loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned 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 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 third-party due diligence and the
R&W framework of the transaction.

Collateral description

MMCA 2021-MTG1 is a securitization of first-lien high-balance GSE
eligible mortgage loans. The transaction is backed by 576, 30-year
(99.4% by balance) and 25-year (0.6% by balance) fixed-rate
mortgage loans, with an aggregate stated principal balance of
$383,005,628, originated solely by loanDepot.com, LLC (loanDepot).
The average stated principal balance is $664,940 and the weighted
average (WA) current mortgage rate is 2.8%. Borrowers of the
mortgage loans backing this transaction have strong credit profiles
demonstrated by strong credit scores and low loan-to-value (LTV)
ratios. The weighted average primary borrower original FICO score
and original LTV ratio of the pool is 766 and 66.7%, respectively.
The WA original debt-to-income (DTI) ratio is 31.6%. Approximately,
19.3% by loan balance of the borrowers in the pool have more than
one mortgage. However, there is no single borrower with multiple
mortgages in the pool. All of the loans are designated as Qualified
Mortgages (QM) under the QM safe harbor rules. All loans are
underwritten to Freddie Mac or Fannie Mae guidelines with minimal
overlays from loanDepot.

Approximately half of the mortgages (51.4% by loan balance) are
backed by properties located in California. The next largest
geographic concentration is Washington (14.8% by loan balance), New
Jersey (11.8% by loan balance), and Virginia (10.6% by loan
balance). All other states each represent 4% or less by loan
balance. Approximately 1.1% (by loan balance) of the pool is backed
by properties that are 2-to-4 unit residential properties whereas
loans backed by single family residential properties represent
58.3% (by loan balance) of the pool.

Approximately 81.5% (by loan balance) of the loans were originated
through the retail channel and 18.5% (by loan balance) of the loans
were originated through the broker channel

Origination Quality and Underwriting Guidelines

loanDepot has originated all the mortgage loans in the pool. All
mortgage loans were originated generally in accordance with Federal
Housing Finance Agency (FHFA) standards, under loanDepot's
conforming high balance loan program, with no material overlays
imposed by the originator. The underwriting guidelines evaluate,
among others, the borrowers' ability to repay, employment history,
credit history and FICO scores, debt to income ratio (DTI) and
residual income. The mortgage loans were originated using an
automated underwriting system (AUS), DU for Fannie Mae and LP for
Freddie Mac loans, as both a risk screening tool and also to ensure
that the only ineligible factor is the loan amount. For a loan to
get approved, a DU response of "Approve/Eligible" or LP response of
"Accept" is required. Manual underwriting of any loans is not
allowed under the program.

Moody's consider loanDepot's origination quality to be in line with
its peers due to: (1) adequate underwriting policies and
procedures, (2) acceptable performance with low delinquency and
repurchase and (3) adequate quality control. Therefore, Moody's
have not applied an additional adjustment for origination quality.

Servicing arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate. Cenlar FSB (Cenlar) will service all the mortgage
loans in the transaction. Wells Fargo Bank, N.A. (Long term debt
Aa2) will serve as the master servicer. The servicing
administrator, loanDepot, will be primarily responsible for funding
certain servicing advances of delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer will be obligated to fund any required monthly advance if
the servicing administrator fails in its obligation to do so.
Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions based on this servicing arrangement.

Covid-19 Impacted Borrowers

In the event that a borrower enters into or requests a COVID-19
related forbearance plan on or after the closing date, such
mortgage loan will remain in the mortgage pool and the servicing
administrator will be required to make advances in respect of
delinquent interest and principal (as well as servicing advances)
on such mortgage loan during the forbearance period (to the extent
such advances are deemed recoverable). Forbearances are being
offered in accordance with applicable state and federal regulatory
guidelines and the homeowner's individual circumstances. At the end
of the forbearance period, as with any other modification, to the
extent the related borrower is not able to make a lump sum payment
of the forborne amount, the servicer may, subject to the servicing
matrix, offer the borrower a repayment plan, enter into a
modification with the borrower (including a modification to defer
the forborne amounts) or utilize any other loss mitigation option
permitted under the pooling and servicing agreement.

The servicing fee rate will be equal to 8 bps. Under the
transaction documents, the servicing administrator may increase the
servicer fee rate up to 25 bps in the event that servicing
administrator terminates Cenlar as the servicer. The successor
servicer chosen by the servicing administrator must be reasonably
acceptable to the master servicer. The master servicer may increase
the servicing fee up to an amount that in its good faith judgment
is necessary or advisable to engage a successor servicer. In
modeling this transaction, Moody's assumed a 25 bps servicing fee
rate in line with other transactions that have similar servicing
fee structure.

Third-party review

The credit, compliance, property valuation, and data integrity
portion of the third-party review (TPR) was conducted on a total of
approximately 37.7% (217 loans) of the pool (by loan count).
Additional valuation products were ordered on the remaining 359
loans. For each appraisal waiver (AW) loan, there was an Automatic
Valuation Model (AVM) review conducted in connection with this
offering by a third party vendor with respect to the related
mortgaged properties. There were no AW loans in the pool with AVM
value that was more than 10% less than the stated value.

While the TPR results indicated compliance with the originators'
underwriting guidelines for most of the loans, no material
compliance issues and no material appraisal defects, the total
sample size of 217 loans reviewed did not meet Moody's credit
neutral criteria. Moody's, therefore made an adjustment to loss
levels to account for this risk.

Also, AW loans, which constitute approximately 50% of the mortgage
loans by aggregate cut-off date balance, may present a greater risk
as the value of the related mortgaged properties may be less than
the value ascribed to such mortgaged properties. Moody's made an
adjustment in its analysis to account for the increased risk
associated with such loans.

Representations and Warranties Framework

The R&W provider and the guarantor are both loanDepot entities,
which may not have the financial wherewithal to purchase defective
loans. The Guarantor (LD Holdings Group LLC) will guarantee certain
performance obligations of the R&W provider (loanDepot.com, LLC).
Moreover, unlike other transactions that Moody's have rated, the
R&W framework for this transaction does not include a mechanism
whereby loans that experience an early payment default (EPD) are
repurchased. Moody's have adjusted its Aaa CE and expected losses
to account for these weaknesses in the R&W framework.

Transaction structure

The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all prepayments
to the senior bond for a specified period of time, and increasing
amounts of prepayments to the subordinate bonds thereafter, but
only if loan performance satisfies delinquency and loss tests.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 0.60% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 0.50% of the closing pool balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor and the subordinate floor of 0.60% and 0.50%,
respectively, are consistent with the credit neutral floors for the
assigned ratings.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


MKS CLO 2017-1: S&P Affirms B+ (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, and
C-R replacement notes from MKS CLO 2017-1 Ltd., a CLO issued in
2017 that is managed by MacKay Shields LLC. S&P withdrew its
ratings on the original class A, B, and C notes following payment
in full on the March 18, 2021, refinancing date. At the same time,
S&P affirmed its ratings on the class D and E notes.

On the March 18, 2021, refinancing date, the proceeds from the
class A-R, B-R, and C-R replacement note issuances were used to
redeem the original class A, B, and C 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 assigned ratings to the replacement notes.

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 Affirmed

  MKS CLO 2017-1 Ltd.
  Class D: BBB (sf)
  Class E: B+ (sf)

  Ratings Withdrawn

  MKS CLO 2017-1 Ltd.
  Class A to not rated from 'AAA (sf)'
  Class B to not rated from 'AA (sf)'
  Class C to not rated from 'A (sf)'


NEUBERGER BERMAN 25: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Neuberger Berman Loan Advisers
CLO 25 Ltd., a CLO originally issued in September 2017 that is
managed by Neuberger Berman Loan Advisers LLC. S&P withdrew its
ratings on the original class A-1 following payment in full on the
March 18, 2021, refinancing date.

On the March 18, 2021, refinancing date, the proceeds from the
class A-R, B-R, C-R, D-R, and E-R replacement note issuances were
used to redeem the original class A-1, A-2, B, C, D, and E notes
(which were not rated by S&P Global Ratings except for class A-1)
as outlined in the transaction document provisions. S&P withdrew
its rating on the original A-1 notes, and it is assigning ratings
to all replacement notes.

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

The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, also reflect the changes described below.

STRUCTURE CHANGES

-- Subordination levels across all rated notes have changed.
-- The spreads across all classes of notes have decreased.

DOCUMENT CHANGES

-- There is a provision in the indenture that allows interim
payments of principal proceeds with the requirement that any
payment made must follow the note payment sequence.

-- The transaction allows the purchase of bonds up to 5% of the
collateral principal amount.

The transaction permits the purchase of loss mitigation obligations
under the following requirements:

-- If principal proceeds are used, coverage tests must be
satisfied and either the principal balance of all collateral
obligations (excluding defaulted obligations) plus the S&P Global
Ratings' collateral value of defaulted obligations plus eligible
investments must be greater than or equal to the reinvestment
target par balance, or, as an alternative to the latter, if
principal proceeds are used below target par, the obligations
acquired must in addition be no more junior and issued by the same
or affiliated obligor.

-- If interest proceeds are used, there must be sufficient
interest proceeds present to pay all interest on the rated notes.

QUANTITATIVE ANALYSIS

The results shown in the table indicate that the rated notes have
sufficient credit enhancement to withstand our projected default
levels.

  Credit Enhancement (%)

  Class    Subordination   BDR    SDR    BDR cushion

  A-R              37.85  65.39  59.10   6.29

  B-R              26.20  60.90  51.34   9.56

  C-R (deferrable) 20.34  53.77  45.48   8.29

  D-R (deferrable) 14.54  44.27  36.67   7.61

  E-R (deferrable) 10.24  31.87  29.99   1.88

  BDR--Break-even default rate.
  SDR--Scenario default rate.

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 (see the table
above). 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."

  RATINGS ASSIGNED

  Neuberger Berman Loan Advisers CLO 25 Ltd.

  Replacement class     Rating     Amount (mil $)

  A-R                   AAA (sf)     318.50
  B-R                   AA (sf)       59.75
  C-R (deferrable)      A (sf)        30.00
  D-R (deferrable)      BBB- (sf)     29.75
  E-R (deferrable)      BB- (sf)      22.00
  Subordinated notes    NR            52.50

  RATING WITHDRAWN

  Neuberger Berman Loan Advisers CLO 25 Ltd.

                           Rating
  Original class          To         From
  A-1                     NR        AAA(sf)

  NR--Not rated.


NEW MOUNTAIN 2: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to New Mountain
CLO 2 Ltd./New Mountain CLO 2 LLC's floating- and fixed-rate
notes.

The note issuance is a CLO securitization backed by primariloadly
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 19,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  New Mountain CLO 2 Ltd./New Mountain CLO 2 LLC

  Class A, $248.00 million: AAA (sf)
  Class B-1, $36.00 million: AA (sf)
  Class B-2, $20.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $41.06 million: Not rated



NP SPE X: S&P Affirms BB (sf) Rating on Class C-1 Notes
-------------------------------------------------------
S&P Global Ratings assigned its ratings to NP SPE X LP's fixed-rate
secured railcar equipment series 2021-1 class A-1 and B-1 notes. At
the same time, S&P affirmed its ratings on the existing series
2019-2 class A-2, A-3, B-1, and C-1 notes and withdrew its rating
on the series 2019-2 class A-1 notes.

The note issuance is an ABS transaction backed by a
$719,433,618-portfolio comprising 8,347 railcars. This combined
fleet backs the series 2019-2 and series 2021-1 notes. The issuer
has the right to lease revenues from the portfolio and any residual
cash flows from the sale of the railcars. The proceeds from the
series 2021-1 issuance will be used to redeem the series 2019-2
class A-1 notes.

The ratings assigned and the affirmations reflect:

-- The likelihood that timely interest and ultimate principal
payments will be made on or before the legal final maturity date
for the class A-1 and B-1 notes;

-- The initial and future lessees' estimated credit quality;

-- The railcar collateral's value and rental-generating
potential;

-- The transaction's legal and payment structures;

-- The demonstrated servicing ability of Trinity Industries
Leasing Co.; and

-- The liquidity facility, which will have an available advance
amount of up to nine months' interest on the class A-1 and B-1
notes.

As of the February 2021 payment date, the deal is in early
amortization due to the debt service coverage ratio (DSCR) being
less than 1.05x. There is also unpaid scheduled principal payment
amounts on the class A-2 notes and interest and scheduled principal
payment amounts past-due and unpaid on the class C-1 notes from the
existing series 2019-2 issuance. As per the transaction documents,
non-payment of scheduled principal payment amounts on the class A
and C notes and non-payment of interest on the class C notes is not
an event of default prior to the legal final maturity date.

As per the transaction documents, the issuer has the option to
exercise a cure right on no more than two occasions in any 12
consecutive calendar months by receiving a capital contribution to
the extent required to cause the DSCR to be greater than or equal
to 1.05x. To that extent, the issuer will receive a cure amount
capital contribution of $4.568 million from its parent, NP SPE X
Holdings, to ensure the existing DSCR early amortization event is
no longer occurring and continuing as of the closing date. The cure
amount capital contribution is added to the numerator in the
calculation of DSCR, and, as a consequence, the DSCR is projected
to be 1.22x as of the closing date, up from 0.89x in February
2021.

NP SPE X Holdings will make two further capital contributions to
the issuer on the closing date. The first contribution of
approximately $7.0 million will be an amount sufficient, together
with the cure amount capital contribution mentioned above, to
ensure that all scheduled principal payment amounts and past due
interest payment will be paid in full. The second contribution of
$3.2 million will be deposited into the expense account.

S&P said, "The results of our cash flow runs for the class B-1
notes from both series and the series 2019-2 class C-1 notes could
be consistent with a higher rating. However, we considered the high
proportion of cars currently off-hire, sustained downward pressure
on lease rates (especially for cars carrying frac sand), the risk
factors associated with this sector owing to the pandemic and its
resultant stress on lease rates, demand for railcars, lessee credit
quality, and business relationships. Based on these factors, we
assigned and affirmed the ratings at the levels specified herein.

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

  Ratings Assigned

  NP SPE X LP (Series 2021-1)
  Class A-1, $165.0 million: A (sf)
  Class B-1, $26.1 million: BBB (sf)

  Ratings Affirmed

  NP SPE X LP (Series 2019-2)
  Class A-2: A (sf)
  Class A-3: A (sf)
  Class B-1: BBB (sf)
  Class C-1: BB (sf)

  Ratings Withdrawn

  NP SPE X LP (Series 2019-2)
  Class A-1 to not rated from 'A (sf)'



NXT CAPITAL 2015-1: Moody's Hikes Rating on E-R Notes to Ba1
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued NXT Capital CLO 2015-1, LLC:

US$39,000,000 Class C-R2 Secured Deferrable Floating Rate Notes Due
2027 (the "Class C-R2 Notes"), Upgraded to Aaa (sf); previously on
December 19, 2019 Upgraded to Aa2 (sf)

US$29,500,000 Class D-R2 Secured Deferrable Floating Rate Notes Due
2027 (the "Class D-R2 Notes"), Upgraded to A1 (sf); previously on
December 19, 2019 Upgraded to A3 (sf)

US$31,000,000 Class E-R Secured Deferrable Floating Rate Notes Due
2027 (the "Class E-R Notes"), Upgraded to Ba1 (sf); previously on
April 23, 2019 Assigned Ba3 (sf)

NXT Capital CLO 2015-1, LLC, originally issued in May 2015 and
partially refinanced in January 2018 and April 2019, 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 April 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-R
notes have been paid down by approximately 78.6% or $105.9 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 313.15%, 191.96%, 148.49%, and 119.95%,
respectively, versus March 2020 levels of 182.70%, 148.23%,
129.71%, and 114.66%, 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 4491
compared to 3983 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: $204,787,220

Defaulted par: $5,342,410

Diversity Score: 27

Weighted Average Rating Factor (WARF): 5137

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
4.83%

Weighted Average Recovery Rate (WARR): 48.08%

Weighted Average Life (WAL): 2.61 years

Par haircut in OC tests and interest diversion test: 5.73%

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from Moody's base case. Some of the
additional scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
debt with weak speculative-grade ratings and low market values 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.


OCEAN TRAILS VII: S&P Affirms B+ (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, and
C-R replacement notes from Ocean Trails CLO VII/Ocean Trails CLO
VII LLC, a CLO that is managed by Five Arrows Managers North
America LLC. At the same time, S&P withdrew its ratings on the
class A-1, A-2, B, and C notes following payment in full on the
March 18, 2021, refinancing date, and affirmed its ratings on the
class D and E notes. The floating-rate A-1 note and the fixed-rate
A-2 note were replaced by the new floating-rate class A-R note.

On the March 18, 2021, refinancing date, the proceeds from the
class A-R, B-R, and C-R replacement note issuances were used to
redeem the class A-1, A-2, B, and C notes, as outlined in the
transaction document provisions. S&P said, "As result, we withdrew
our ratings on the class A-1, A-2, B, and C notes in line with
their full redemption and assigned our ratings to the class A-R,
B-R, and C-R replacement notes. The replacement notes are being
issued via a proposed supplemental indenture. We also affirmed our
ratings on the class D and E notes, which were unaffected by the
amendment."

S&P said, "Given the paydown of the class B and C notes, we are
also withdrawing our ratings on the B-1, B-1X, B-2, B-2X, B-3,
B-3X, B-4, B-4X, C-1, C-1X, C-2, C-2X, C-3, C-3X, C-4, and C-4X
notes. Given the new issuance and the new ratings assigned to the
class B-R and C-R notes, we are assigning new ratings to the class
B-1-R, B-1X-R, B-2-R, B-2X-R, B-3-R, B-3X-R, B-4-R, B-4X-R, C-1-R,
C-1X-R, C-2-R, C-2X-R, C-3-R, C-3X-R, C-4-R, and C-4X-R notes.

"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

  Ocean Trails CLO VII/ Ocean Trails CLO VII LLC
  Replacement class A-R, $256.00 million: AAA (sf)
  Replacement class B-R(i), $48.00 million: AA (sf)
  Replacement class C-R(i), $24.00 million: A (sf)

  Exchangeable note combinations(iv)
  Combination 1
  Class B-1-R(ii), $48.00 million(v): AA (sf)
  Class 1B-1X-R(iii), N/A: AA (sf)

  Combination 2
  Class B-2-R(ii), $48.00 million(v): AA (sf)
  Class B-2X-R(iii), N/A: AA (sf)

  Combination 3
  Class B-3-R(ii), $48.00 million(v): AA (sf)
  Class B-3X-R(iii), N/A: AA (sf)

  Combination 4
  Class B-4-R(ii), $48.00 million(v): AA (sf)
  Class B-4X-R(iii), N/A: AA (sf)

  Combination 5
  Class C-1-R (deferrable)(ii), $24.00 million(v): A (sf)
  Class C-1X-R (deferrable)(iii), N/A: A (sf)

  Combination 6
  Class C-2-R (deferrable)(ii), $24.00 million(v): A (sf)
  Class C-2X-R (deferrable)(iii), N/A: A (sf)

  Combination 7
  Class C-3-R (deferrable)(ii), $24.00 million(v): A (sf)
  Class C-3X-R (deferrable)(iii), N/A: A (sf)

  Combination 8
  Class C-4-R (deferrable)(ii), $24.00 million(v): A (sf)
  Class C-4X-R (deferrable)(iii), N/A: A (sf)

  Ratings Withdrawn
  
  Ocean Trails CLO VII/ Ocean Trails CLO VII LLC

  Class A-1: to NR from 'AAA (sf)'
  Class A-2: to NR from 'AAA (sf)'
  Class B: to NR from 'AA (sf)'
  Class C: to NR from 'A (sf)'
  Class B-1: to NR from 'AA (sf)'
  Class B-1X: to NR from 'AA (sf)'
  Class B-2: to NR from 'AA (sf)'
  Class B-2X: to NR from 'AA (sf)'
  Class B-3: to NR from 'AA (sf)'
  Class B-3X: to NR from 'AA (sf)'
  Class B-4: to NR from 'AA (sf)'
  Class B-4X: to NR from 'AA (sf)'
  Class C-1: to NR from 'A (sf)'
  Class C-1X: to NR from 'A (sf)'
  Class C-2: to NR from 'A (sf)'
  Class C-2X: to NR from 'A (sf)'
  Class C-3: to NR from 'A (sf)'
  Class C-3X: to NR from 'A (sf)'
  Class C-4: to NR from 'A (sf)'
  Class C-4X: to NR from 'A (sf)'

  Ratings Affirmed

  Ocean Trails CLO VII/ Ocean Trails CLO VII LLC

  Class D: BBB- (sf)
  Class E: B+ (sf)
  Other Notes Not Rated

  Ocean Trails CLO VII/ Ocean Trails CLO VII LLC

  Subordinated notes: NR

(i)The class B-R and C-R notes will be exchangeable for
proportionate interest in combinations of principal notes and
interest-only notes of their respective classes. In aggregate, the
cost of debt, outstanding balance, and payment priority following
such an exchange would remain the same. Reference the exchangeable
note combinations section for combinations.
(ii)MASCOT P&I notes will have the same principal balance as the
class B-R or C-R notes, as applicable, surrendered in the exchange.

(iii)Interest-only notes earn a fixed rate of interest on its
notional balance and is not entitled to any payments of principal.
The notional balance will equal the principal balance of the
corresponding MASCOT P&I note of such combination.
(iv)Applicable combinations will have an aggregate interest rate
equal to that of the exchanged note.
(v) Maximum principal amount.
NR--Not rated.
N/A--Not applicable.


PALMER SQUARE 2021-2: Moody's Gives (P)B1 Rating on Class E Notes
-----------------------------------------------------------------
classes of notes to be issued by Palmer Square Loan Funding 2021-2,
Ltd. (the "Issuer" or "Palmer Square 2021-2").

Moody's rating action is as follows:

US$476,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)

US$84,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Assigned (P)Aa1 (sf)

US$42,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class B Notes"), Assigned (P)A2 (sf)

US$24,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Assigned (P)Baa3 (sf)

US$24,500,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class D Notes"), Assigned (P)Ba2 (sf)

US$7,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Assigned (P)B1 (sf)

The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes, and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on our methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

Palmer Square 2021-2 is a static CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans.. We expect the portfolio to be 100% ramped as of
the closing date.

Palmer Square Capital Management LLC (the "Servicer") may engage is
disposition of the assets on behalf of the Issuer during the life
of the transaction. Reinvestment is not permitted and all sale and
unscheduled principal proceeds received will be used to amortize
the notes in sequential order.

In addition to the Rated Notes, the Issuer will issue 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: $700,000,000

Diversity Score: 74

Weighted Average Rating Factor (WARF): 2677

Weighted Average Spread (WAS): 3.37% (actual spread vector of the
portfolio)

Weighted Average Recovery Rate (WARR): 47.94%

Weighted Average Life (WAL): 5.1 years (actual amortization vector
of the portfolio)

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 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.


PPLUS TRUST LTD-1: S&P Raises $25MM Class A/B Certs Rating to 'B'
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on the PPLUS Trust Series
LTD-1's $25 million class A and B certificates to 'B' from 'B-'.

S&P's ratings on the certificates are dependent on its rating on
the underlying security, L Brands Inc.'s 6.95% debentures due March
1, 2033 ('B').

The rating actions reflect the March 19, 2021, raising of S&P's
rating on the underlying security to 'B' from 'B-'.

S&P may take subsequent rating actions on this transaction due to
changes in our rating assigned to the underlying security.



PROVIDENT FUNDING 2021-1: Moody's Assigns B2 Rating to 2 Tranches
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of notes issued by Provident Funding Warehouse
Securitization Trust 2021-1 (the transaction). The ratings range
from Aaa (sf) to 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 or Freddie Mac (agency
mortgage loans). This warehouse facility has a total size of
$450,000,000.

The complete rating action are as follows.

Issuer: Provident Funding Warehouse Securitization Trust 2021-1

Cl. A Notes, Assigned Aaa (sf)

Cl. B Notes, Assigned Aa2 (sf)

Cl. C Notes, Assigned A1 (sf)

Cl. D Notes, Assigned A3 (sf)

Cl. E Notes, Assigned Baa2 (sf)

Cl. F Notes, Assigned B2 (sf)

Cl. G Notes, Assigned 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 loss of 27.14%, mean expected loss of 4.56%
and median expected loss 3.73%, 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). The
mortgage loans must also comply with the transaction's eligibility
criteria. The total securitized facility balance is $450,000,000.
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) since these loans are eligible
for purchase by GSEs, Moody's also took into account the applicable
agencies guide or program.

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

Moody's consider Provident Funding an adequate originator of
agency-eligible mortgage loans based on the company's staff and
processes for underwriting, quality control, risk management and
performance. The company, a limited partnership that is closely
held by senior management, including CEO Craig Pica, was formed in
1992, as a privately held mortgage banking company headquartered in
Burlingame, California. The company originates, sells and services
residential mortgage loans throughout the US. The company sources
loans through a nationwide network of independent brokers,
correspondent lenders and in-house retail channel.

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 Moody's 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 Moody's
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 regard 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 Moody's 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 Assigns B Rating on B-5 Certs
---------------------------------------------------------
Fitch Ratings assigns ratings to the residential mortgage-backed
certificates issued by RCKT Mortgage Trust 2021-1 (RCKT 2021-1).

DEBT             RATING               PRIOR
----             ------               -----
RCKT Mortgage Trust 2021-1

A-1      LT  AAAsf   New Rating     AAA(EXP)sf
A-10     LT  AAAsf   New Rating     AAA(EXP)sf
A-11     LT  AAAsf   New Rating     AAA(EXP)sf
A-12     LT  AAAsf   New Rating     AAA(EXP)sf
A-13     LT  AAAsf   New Rating     AAA(EXP)sf
A-14     LT  AAAsf   New Rating     AAA(EXP)sf
A-15     LT  AAAsf   New Rating     AAA(EXP)sf
A-16     LT  AAAsf   New Rating     AAA(EXP)sf
A-2      LT  AAAsf   New Rating     AAA(EXP)sf
A-3      LT  AAAsf   New Rating     AAA(EXP)sf
A-4      LT  AAAsf   New Rating     AAA(EXP)sf
A-5      LT  AAAsf   New Rating     AAA(EXP)sf
A-6      LT  AAAsf   New Rating     AAA(EXP)sf
A-7      LT  AAAsf   New Rating     AAA(EXP)sf
A-8      LT  AAAsf   New Rating     AAA(EXP)sf
A-9      LT  AAAsf   New Rating     AAA(EXP)sf
A-X-1    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-10   LT  AAAsf   New Rating     AAA(EXP)sf
A-X-1A   LT  AAAsf   New Rating     AAA(EXP)sf
A-X-1B   LT  AAAsf   New Rating     AAA(EXP)sf
A-X-2    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-3    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-4    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-5    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-6    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-7    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-8    LT  AAAsf   New Rating     AAA(EXP)sf
A-X-9    LT  AAAsf   New Rating     AAA(EXP)sf
B-1      LT  AA+sf   New Rating     AA+(EXP)sf
B-1A     LT  AA+sf   New Rating     AA+(EXP)sf
B-2      LT  A+sf    New Rating     A+(EXP)sf
B-2A     LT  A+sf    New Rating     A+(EXP)sf
B-3      LT  BBB+sf  New Rating     BBB+(EXP)sf
B-4      LT  BB+sf   New Rating     BB+(EXP)sf
B-5      LT  Bsf     New Rating     B(EXP)sf
B-6      LT  NRsf    New Rating     NR(EXP)sf
B-X-1    LT  AA+sf   New Rating     AA+(EXP)sf
B-X-2    LT  A+sf    New Rating     A+(EXP)sf

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
475 loans, totaling $373 million, and seasoned approximately one
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%.

The class B3 and B4 were passing higher ratings based only on a
loss and cashflow analysis. Given the low payment priority of the
bonds as well as the thin tranche size, low credit enhancement and
sensitivity to small changes in loss, the class B3 was assigned a
rating one notch lower than what would have been indicated by the
cashflow analysis and the class B4 a rating two notches lower.

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 market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
that may be considered in the surveillance of the transaction.
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 LLC. 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

RCKT Mortgage Trust 2021-1 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 Assigns B2 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 37
classes of residential mortgage-backed securities (RMBS) issued by
RCKT Mortgage Trust 2021-1 (RCKT 2021-1). The ratings range from
Aaa (sf) to 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 Moody's 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 Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-4, Assigned Aaa (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aa1 (sf)

Cl. A-14, Assigned Aa1 (sf)

Cl. A-15, Assigned Aa1 (sf)

Cl. A-16, Assigned Aa1 (sf)

Cl. A-X-1*, Assigned Aa1 (sf)

Cl. A-X-1A*, Assigned Aa1 (sf)

Cl. A-X-1B*, Assigned Aa1 (sf)

Cl. A-X-2*, Assigned Aaa (sf)

Cl. A-X-3*, Assigned Aaa (sf)

Cl. A-X-4*, Assigned Aaa (sf)

Cl. A-X-5*, Assigned Aaa (sf)

Cl. A-X-6*, Assigned Aaa (sf)

Cl. A-X-7*, Assigned Aaa (sf)

Cl. A-X-8*, Assigned Aa1 (sf)

Cl. A-X-9*, Assigned Aa1 (sf)

Cl. A-X-10*, Assigned Aa1 (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-X-1*, Assigned Aa3 (sf)

Cl. B-1A, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-X-2*, Assigned A3 (sf)

Cl. B-2A, Assigned A3 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned 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 (0.18% at the median) and reaches 3.37% at a stress
level consistent with our 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%
(7.94% for the mean) and its 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 we 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 thirdparty 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 its 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 B- (sf) Rating on $6.25MM Class F-RR Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Recette CLO Ltd./Recette
CLO LLC's floating-rate notes. The transaction is a refinancing 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 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.

  Ratings Assigned

  Recette CLO Ltd./Recette CLO LLC
  Class X-RR, $3.25 million: AAA (sf)
  Class A-RR, $224.00 million: AAA (sf)
  Class B-RR, $42.00 million: AA (sf)
  Class C-RR, $21.00 million: A (sf)
  Class D-RR, $21.00 million: BBB- (sf)
  Class E-RR, $12.25 million: BB- (sf)
  Class F-RR, $6.25 million: B- (sf)
  Subordinated notes, $43.50 million: not rated


REGATTA II FUNDING: S&P Affirms B- (sf) Rating on Class D-R2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R3,
A-2L-R3, A-2F-R3, and B-R3 replacement notes from Regatta II
Funding L.P./Regatta II Funding LLC, a CLO that is managed by
Napier Park Global Capital LLC (the reinvestment period ended on
Jan. 15, 2021). 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 23, 2021, refinancing date and affirmed our ratings on
the class C-R2 and D-R2 notes.

On the refinancing date, the proceeds from the class A-1-R3,
A-2L-R3, A-2F-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-2L-R3, A-2F-R3, and B-R3 replacement notes. The
replacement notes were issued via a supplemental indenture. We also
affirmed our ratings on the class C-R2 and D-R2 notes, which were
unaffected by the amendment."

S&P said, "Though class B-R3 does not currently pass our cash flow
stresses at the newly assigned rating and indicated a one-notch
failure, we took into account that the transaction will benefit
from the reduced cost of capital as per the amendment and that the
tranche's credit support is likely to improve once paydowns to
senior notes commence (the reinvestment period ended January 2021).
We considered the margin of failure and that this transaction has
experienced relatively stable performance since our prior rating
action in August 2020 and currently does not have significant
exposure to CCC and CCC- rated assets. As a result, we assigned an
'A (sf)' rating to the new refinancing class B-R3

"Class C-R2 also does not pass our cash flow stresses at its
current rating and indicates a one-notch downgrade. Our rating
affirmation reflects the margin of failure (less than 50 basis
points), the notes' subordination levels, the reduced cost of cost
of capital once the amendment passes, the likely improvement in
credit support as paydowns commence, 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 Withdrawn

  Regatta II Funding L.P./Regatta II Funding LLC

  Class A-1-R2 to not rated from 'AAA (sf)'
  Class A-2-R2 to not rated from 'AA (sf)'
  Class B-R2 to not rated from 'A (sf)'

  Ratings Affirmed

  Regatta II Funding L.P./Regatta II Funding LLC

  Class C-R2: BBB- (sf)
  Class D-R2: B- (sf)

  Other Notes Not Rated

  Regatta II Funding L.P./Regatta II Funding LLC
  
  LP Certs: Not rated



RISERVA CLO: S&P Assigns B-(sf) Rating on $6.875MM Class F-RR Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-RR, A-RR,
B-RR, C-RR, D-RR, E-RR, and F-RR replacement notes from Riserva CLO
Ltd., a CLO managed by Invesco RR Fund L.P., a subsidiary of
Invesco. This is a refinancing of the original CLO that was issued
in 2016 and previously refinanced in 2019, which were not rated by
S&P Global Ratings.

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.

On the March 18, 2021 refinancing date, the proceeds from the class
X-RR, A-RR, B-RR, C-RR, D-RR, E-RR, and F-RR replacement note
issuances redeemed the original class notes as outlined in the
transaction document provisions.

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."

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 S&P will take rating actions as it
deems necessary.
  
  Ratings Assigned

  Riserva CLO Ltd.
  Class X-RR, $2.500 million: AAA (sf)
  Class A-RR, $379.250 million: AAA (sf)
  Class B-RR, $71.250 million: AA (sf)
  Class C-RR, $35.500 million: A (sf)
  Class D-RR, $36.000 million: BBB- (sf)
  Class E-RR, $22.250 million: BB- (sf)
  Class F-RR, $6.875 million: B- (sf)
  Subordinated notes, $62.000 million: Not rated



RR 14: S&P Assigns BB- (sf) Rating on $24.30MM Class D Notes
------------------------------------------------------------
S&P Global Ratings assigned its 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 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 management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and

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

  Ratings Assigned

  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


SDART 2019-3: Moody's Raises Class E Notes Rating to Ba3
--------------------------------------------------------
Moody's Investors Service has upgraded seven classes of bonds
issued by three auto loan securitizations. The bonds are backed by
pools of retail automobile loan contracts originated and serviced
by Santander Consumer USA Inc.

The complete rating actions are as follows:

Issuer: Santander Drive Auto Receivables Trust (SDART) 2019-3

Class D Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020
Upgraded to A1 (sf)

Class E Notes, Upgraded to Ba3 (sf); previously on Aug 21, 2019
Definitive Rating Assigned B1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-1

Class C Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020
Upgraded to Aa1 (sf)

Class D Notes, Upgraded to Aa3 (sf); previously on Dec 17, 2020
Upgraded to A3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-2

Class C Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020
Upgraded to Aa1 (sf)

Class D Notes, Upgraded to A1 (sf); previously on Jul 22, 2020
Definitive Rating Assigned Baa1 (sf)

Class E Notes, Upgraded to Ba2 (sf); previously on Dec 17, 2020
Upgraded to Ba3 (sf)

RATINGS RATIONALE

The upgrades are primarily driven by the buildup of credit
enhancement due to structural features including a sequential pay
structure, non-declining reserve account and
overcollateralization.

The rating actions on bonds from Santander Drive Auto Receivables
Trust 2019-3 and Santander Drive Auto Receivables Trust 2020-1 also
take into account the correction of an error in the servicing fee
calculation used in the prior rating actions for the transactions.
Previously, Moody's had incorrectly overestimated the servicing
fees in our analysis. This has now been corrected and today's
rating actions on these notes reflect the correct servicing fees.

Moody's lifetime cumulative net loss expectations are 15.9% for the
Santander Drive 2019-3 and 2020-1 transactions and 16.1% for the
Santander Drive 2020-2. The loss expectations reflect an increase
of approximately 20% to the transactions' remaining net losses due
to potential performance deterioration resulting from a slowdown in
US economic activity due to the COVID-19 outbreak. Non-prime auto
loans are more susceptible to the current economic slowdown due to
the relatively weak credit quality of the underlying obligors.

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. Our analysis has considered the effect on the
performance of consumer assets from a gradual and unbalanced
recovery in US economic activity. Specifically, for auto loan ABS,
loan performance will continue to benefit from government support
and the improving unemployment rate that will support the
borrower's income and their ability to service debt. However, any
softening of used vehicle prices will reduce recoveries on
defaulted auto loans. Furthermore, any elevated use of borrower
assistance programs, such as extensions, may adversely impact
scheduled cash flows to bondholders.

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 Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2020.

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

Up

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

Down

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


SIERRA TIMESHARE 2021-1: Fitch Gives BB(EXP) Rating on Cl. D Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Outlooks to notes
issued by Sierra Timeshare 2021-1 Receivables Funding LLC (2021-1).
The social and market disruption caused by the coronavirus pandemic
and related containment measures have negatively affected the U.S.
economy. To account for the potential impact, Fitch incorporated
conservative assumptions in deriving the base case cumulative gross
default (CGD) proxy. The analysis focused on peak extrapolations of
2007-2009 and 2017-2018 vintages as a starting point.

DEBT          RATING               PRIOR
----          ------               -----
Sierra Timeshare 2021-1 Receivables Funding LLC

A      LT  AAAsf  New Rating     AAA(EXP)sf
B      LT  Asf    New Rating     A(EXP)sf
C      LT  BBBsf  New Rating     BBB(EXP)sf
D      LT  BBsf   New Rating     BB(EXP)sf

KEY RATING DRIVERS

Borrower Risk — Strong Collateral Quality: Approximately 68.1% of
Sierra 2021-1 consists of Wyndham Vacation Resorts, Inc. (WVRI)
originated loans; the remaining loans were originated by Wyndham
Resort Development Corporation (WRDC). Fitch has determined that,
on a like-for-like FICO basis, WRDC's receivables perform better
than WVRI's. The weighted average (WA) original FICO score of the
pool is 730. Overall, the 2021-1 pool shows a marginal increase in
WRDC loans and moderate shift upward in the FICO-band
concentrations for the WVRI platform relative to the 2020-2
transaction.

Forward-Looking Approach on CGD Proxy — Weakening CGD
Performance: Similar to other timeshare originators, Travel +
Leisure Co.'s (T+L [formerly Wyndham Destinations, Inc.])
delinquency and default performance exhibited notable increases in
the 2007-2008 vintages, stabilizing in 2009 and thereafter.
However, more recent vintages from 2014-2018 have experienced
increasing gross defaults versus vintages back to 2009, partially
driven by increased paid product exits (PPEs). Fitch's CGD proxy
for this pool is 22.40% (lower than 22.50% in 2020-2). Given the
current economic environment and increasing gross default trends,
Fitch applied a conservative approach to the CGD proxy.

Coronavirus Pressure Continues: Fitch has made assumptions about
the spread of the 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 3Q20 are followed by a slower
recovery trajectory from 4Q20 onward with GDP remaining below its
4Q19 level for 18-30 months. To account for this scenario, Fitch's
base case proxy focused on prior recessionary vintages of 2007-2009
as well as more recent weaker performing vintages of 2017-2018 to
arrive at a 22.40% base case proxy. The CGD proxy accounts for the
weaker performance and potential negative impacts from the severe
downturn in the tourism and travel industries during the pandemic
that are highly correlated with the timeshare sector.

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 (please refer to Rating Sensitivity section). Under this
scenario, the notes could be downgraded by up to three categories.

Structural Analysis — Deal-Over-Deal Lower CE Structure: Initial
hard credit enhancement (CE) for the class A, B, C and D notes is
70.20%, 40.70%, 17.00% and 4.50%, respectively. CE is lower for the
class A through D notes from 75.50%, 45.25%, 22.75%, and 12.50%
respectively, in 2020-2, but remains above pre-pandemic
transactions for the class A through C notes. Hard CE comprises
overcollateralization, a reserve account and subordination. Soft CE
is also provided by excess spread and is 12.0% per year. Loss
coverage for all notes is able to support default multiples of
3.50x, 2.50x, 1.75x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and
'BBsf', respectively. The decline in CE is primarily attributed to
a slightly stronger collateral pool than 2020-2, as evidenced by
the decline in the base case default proxy.

Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: T+L has demonstrated sufficient abilities as
an originator and servicer of timeshare loans. This is evidenced by
the historical delinquency and loss performance of securitized
trusts and of the managed portfolio.

Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of T+L and Wyndham Consumer
Finance, Inc. (WCF) would not impair the timeliness of payments on
the securities.

RATING SENSITIVITIES

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE levels
    and consideration for potential upgrades. If CGD is 20% less
    than the projected proxy, the ratings would be maintained for
    class A notes at stronger rating multiples.

-- For the class B, C and D notes, the multiples would increase
    resulting for potential upgrade of one rating category, one
    notch, and one rating category, respectively.

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

-- Unanticipated increases in the frequency of defaults could
    produce CGD levels higher than the base case and would likely
    result in declines of CE and remaining default coverage levels
    available to the notes. Additionally, unanticipated increases
    in prepayment activity could also result in a decline in
    coverage. Decreased default coverage may make certain note
    ratings susceptible to potential negative rating actions,
    depending on the extent of the decline in coverage.

-- Hence, Fitch conducts sensitivity analysis by stressing both a
    transaction's initial base case CGD and prepayment assumptions
    and examining the rating implications on all classes of issued
    notes. The CGD sensitivity stresses the CGD proxy to the level
    necessary to reduce each rating by one full category, to non
    investment grade (BBsf) and to 'CCCsf' based on the break-even
    loss coverage provided by the CE structure. The prepayment
    sensitivity includes 1.5x and 2.0x increases to the prepayment
    assumptions representing moderate and severe stresses,
    respectively. These analyses are intended to provide an
    indication of the rating sensitivity of notes to unexpected
    deterioration of a trust's performance.

-- Additionally, Fitch conducts increases of 1.5x and 2.0x to the
    CGD proxy, which represents moderate and severe stresses,
    respectively. 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 one
    to three rating categories.

-- Due to the coronavirus pandemic, the U.S. and the broader
    global economy remain under stress, with surging unemployment
    and pressure on businesses stemming from government social
    distancing guidelines. Unemployment pressure on the consumer
    base may result in increases in delinquencies.

-- For sensitivity purposes, Fitch also assumed a 2.0x increase
    in delinquency stress. The results indicated no adverse rating
    impact to the notes.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence focused on a
comparison and re-computation of certain characteristics with
respect to 150 sample loans. Fitch considered this information in
its analysis, and the findings did not have an impact on the
agency'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.


SIERRA TIMESHARE 2021-1: S&P Assigns BB (sf) Rating on D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sierra Timeshare 2021-1
Receivables Funding LLC's timeshare loan-backed, fixed-rate notes.

The note issuance is an ABS transaction backed by a vacation
ownership interval (timeshare) loans.

When S&P assigned its preliminary ratings, the transaction totaled
$300 million. Since then, the transaction was upsized to $500
million.

S&P said, "Given that we are in a recessionary period since the
pandemic started in 2020 and to reflect the uncertain and weakened
U.S. economic and sector outlook, we increased our base-case
default assumption by 1.25x to stress defaults from 'B' to 'BB'
rating scenarios. In addition to our base rating stress, to reflect
additional liquidity stress from deferrals and potential increase
in delinquencies, we also considered incremental liquidity and
sensitivity stress in all rating categories.

"The ratings reflect our opinion of the credit enhancement
available in the form of subordination, overcollateralization, a
reserve account, and available excess spread. The ratings also
reflect our view of Wyndham Consumer Finance Inc.'s (WCF) servicing
ability and experience in the timeshare market."

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

  Sierra Timeshare 2021-1 Receivables Funding LLC

  Class A, $164.796 million: AAA (sf)
  Class B, $150.510 million: A (sf)
  Class C, $120.918 million: BBB (sf)
  Class D, $63.776 million: BB (sf)


STARWOOD MORTGAGE 2021-1: Fitch Assigns B-(EXP) Rating on B-2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Starwood Mortgage
Residential Trust 2021-1 (STAR 2021-1).

DEBT               RATING
----               ------
STAR 2021-1

A-1     LT  AAA(EXP)sf   Expected Rating
A-2     LT  AA(EXP)sf    Expected Rating
A-3     LT  A(EXP)sf     Expected Rating
M-1     LT  BBB-(EXP)sf  Expected Rating
B-1     LT  BB-(EXP)sf   Expected Rating
B-2     LT  B-(EXP)sf    Expected Rating
B-3     LT  NR(EXP)sf    Expected Rating
A-IO-S  LT  NR(EXP)sf    Expected Rating
XS      LT  NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by Starwood Mortgage Residential Trust 2021-1,
Mortgage-Backed Certificates, Series 2021-1 (STAR 2021-1) as
indicated above. The certificates are supported by 801 loans with a
balance of $383.5 million as of the cutoff date. This will be the
second Fitch-rated STAR transaction.

The certificates are secured primarily by mortgage loans that were
originated by third-party originators, with Impac Mortgage Loans,
Luxury Mortgage Corp, and Sprout Mortgage LLC sourcing 54% of the
pool. Of the loans in the pool, 73.5% are designated as
nonqualified mortgage (non-QM) and 25.2% are investment properties
not subject to Ability to Repay Rule (ATR). Approximately 0.7% of
loans are designated as QM in the pool.

There is Libor exposure in this transaction. The collateral
consists of 58.2% adjustable-rate loans, which reference one-year
Libor. The certificates are fixed rate and capped at the net
weighted average coupon (WAC).

KEY RATING DRIVERS

Nonprime Prime Credit Quality (Mixed): The collateral consists of
801 loans, totaling $383.5 million, and seasoned approximately 24
months in aggregate. Roughly 30% of the pool is seasoned 24 months
or more and a portion of these loans has come from collapsed
transactions. The borrowers have a relatively strong credit profile
(726 FICO and 38% DTI) and moderate leverage (71.5% sLTV). The pool
consists of 67.4% of loans where the borrower maintains a primary
residence, while 32.6% is an investor property or second home.
Additionally, 24.3% of the loans were originated through a retail
channel. Only 0.7% are designated as QM loan, while 0.2% are HPQM,
73.5% are non-QM and the remaining 25.2% are exempt from QM since
they are investor properties.

Geographic Concentration (Neutral): Approximately 60.6% of the pool
is concentrated in California. The largest MSA concentration is in
the Los Angeles-Long Beach-Santa Ana, CA MSA (35.5%), followed by
the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (12.0%)
and the San Francisco-Oakland-Fremont, CA MSA (6.4%). The top three
MSAs account for 54.0% of the pool. As a result, there was a 1.15x
probability of default (PD) penalty for geographic concentration.

Loan Documentation (Negative): Approximately 85.1% of the pool was
underwritten to less than full documentation, with 55% underwritten
to a 12- or 24-month bank statement program for verifying income in
accordance with Appendix Q standards and Fitch's view of a full
documentation program. A key distinction between this pool and
legacy Alt-A loans is that these loans adhere to underwriting and
documentation standards required under the CFPB's Rule, which
reduces the risk of borrower default arising from lack of
affordability, misrepresentation or other operational quality risks
due to rigor of the Rule's mandates with respect to the
underwriting and documentation of the borrower's ATR. Additionally,
4.5% is an Asset Depletion product, 1.5% is a CPA or PnL product,
and 14.4% is DSCR product.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A
certificates while shutting out the mezzanine and subordinate bonds
from principal until all three classes have been reduced to zero.
To the extent that either the cumulative loss trigger event or the
delinquency trigger event occurs in a given period, principal will
be distributed sequentially to the class A-1, A-2 and A-3 bonds
until they are reduced to zero.

Payment Holidays Related to Coronavirus Pandemic (Neutral): Two
borrowers are on an active forbearance plan (one borrower is
current and the other is 30 days delinquent) and and two loans are
on both an active forbearance plan and repayment plan. No payment
is contractually due for these borrowers until the end of the
forbearance plan. Nine loans in the pool are currently on a
post-coronavirus forbearance repayment plan, and nine loans had a
deferral granted (eight of the nine loans are cash flowing
post-deferral and one loans is 30 days delinquent).

Loans were treated as delinquent in the loss analysis, if they were
not cash flowing while on a COVID-19 relief plan, post-COVID-19
deferral or post COVID-19 forbearance. Any loan that is making
payments on a coronavirus plan, on a COVID-19 plan that has either
repaid in full or is on a repayment plan and cash flowing was
treated as clean current for the period of the coronavirus related
delinquencies.

Post-closing, if a borrower seeks relief due to COVID-19. The
servicer will offer forbearance for a period of 4-6 months. At the
end of the forbearance period, the borrower is expected to repay
the forborne amount either in a lump sum payment or by a repayment
plan. Deferrals are only used if the borrower is not able to become
current under a repayment plan.

Investor Property Concentration (Negative): Roughly 26%. comprises
investment properties. Specifically, 11.6% of loans were
underwritten using the borrower's credit profile or were
underwritten to an investor-no ratio program (0.5% of the pool),
while the remaining 14.4% were originated through the originators'
investor cash flow program that targets real estate investors
qualified on a debt service coverage ratio (DSCR) basis. Compared
to the non-DSCR loans in the pool, the DSCR loans have similar
profile with a WA FICO of 724 versus 726 (as calculated by Fitch)
and an original CLTV of roughly 68.9 versus 68.9%. Fitch increased
the PD by approximately 2.0x for the cash flow ratio loans
(relative to a traditional income documentation investor loan) to
account for the increased risk.

Foreign National Concentration (Negative): Approximately 3.0% of
the loans in the pool (39 loans) were underwritten to foreign
nationals or non-permanent residents. Fitch treated these borrowers
as investor occupied, no documentation for income and employment
and removed liquid reserves.

Stop Advance Structure (Mixed): The transaction has a stop advance
feature where the servicer will advance delinquent principal and
interest (P&I) up to 180 days. While the limited advancing of
delinquent P&I benefits the pool's projected loss severity (LS), it
reduces liquidity. To account for the reduced liquidity of a
limited advancing structure, principal collections are available to
pay timely interest to the 'AAAsf', 'AAsf' and 'Asf' rated bonds.
Fitch expects 'AAAsf' and 'AAsf' rated bonds to receive timely
payments of interest and all other bonds to receive ultimate
interest. Additionally, as of the closing date, the deal benefits
from approximately 364 bps of excess spread, which will be
available to cover shortfalls prior to any writedowns.

The servicers, Select Portfolio Servicing (SPS) and AmWest Funding
Corp (AmWest), will provide P&I advancing on delinquent loans (even
the loans that become subject to a coronavirus forbearance plan)
for up to 180 days. If either servicer is not able to advance, the
servicing administrator has the option to advance, and if the
servicing administrator is not able to advance, the master servicer
(Wells Fargo Bank) is obligated to advance delinquent P&I on the
certificates as long as they deem it recoverable .

Similar to Other Non-QM Transactions: This transaction has been
collateralized with generally comparable credit quality and assets
and have used the identical structure and similar transaction
parties as other Non-QM issuers that Fitch has rated in the past
year. This transaction has more delinquent loans than recent Non-QM
transactions, but this is due to the loans being more seasoned (16
months on average) and having loans that have sought
COVID-19-related relief. Unlike other Non-QM issuers, Starwood uses
deferrals as a last resort loss mitigation option to assist
borrowers and, as a result, has higher delinquencies than its peers
that defer a borrower's payment each month and cause losses to the
trust. Fitch's projected asset losses and the transaction's credit
enhancement is in line with prior Non-QM transactions with similar
collateral attributes and credit enhancement.

Low Operational Risk: Operational risk is well controlled for this
transaction. Fitch has reviewed the mortgage acquisition platform
for Starwood Non-Agency Lending (Starwood) and found it to have
sufficient risk controls. The aggregator is assessed by Fitch as an
'Average' aggregator. The two largest originators are IMPAC
Mortgage and Luxury Mortgage, both assessed by Fitch as 'Average'
originators. SPS and AmWest are the named servicers for this
transaction and are rated by Fitch as 'RPS1-' and 'NR'
respectively. Fitch reduced its loss expectations by 223 bps at the
'AAAsf' rating category to reflect the counterparties associated
with the transaction. Starwood's retention of at least 5% of each
class of bonds helps ensure an alignment of interest between the
issuer and investors.

Wells Fargo (RMS1-/Negative) will be the master servicer.

R&W Framework: The R&W framework for this transaction is consistent
with Tier 2 quality. While the reps for this transaction are
substantially in line with those listed in Fitch's published
criteria and provide a solid alignment of interest, Fitch added
approximately 98 bps to the expected loss at the 'AAAsf' rating
category to reflect the non-investment-grade counterparty risk of
the provider and the lack of an automatic review of defaulted
loans, other than for loans with a realized loss that have a
complaint or counterclaim of a violation of ATR.

The lack of an automatic review is mitigated by the ability of
holders of 25% of the total outstanding aggregate class balance to
initiate a review. IMPAC Mortgage (CCC internal credit opinion)
will provide the reps for the 28.3% of the pool that it originated
and Starwood (BB internal credit opinion) will provide the reps for
the remaining loans in the transaction.

Due Diligence Review Results: Third-party due diligence was
performed on 100% of loans in the transaction by four third-party
review (TPR) firms (AMC, Clayton, Covius, and Consolidated
Analytics). As part of its rating process, Fitch reviews due
diligence platforms of active TPR firms to confirm the vendor has
sufficient systems and staff in place to effectively review
mortgage loans. The four TPRs were assessed by Fitch as an
'Acceptable - Tier 1-3' TPR firm. See Appendix 1 of the related
presale report for further details.

99% of loans were graded 'A' or 'B', which indicates sound
origination processes with a low presence of material exceptions.
Four loans in the transaction pool received a final grade of 'C'
for valuation exceptions, in particular not having secondary values
or the secondary value is not supported. For the valuation
exceptions, Fitch did not provide diligence credit for the four
loans to account for the increased risk.

The model credit for the high percentage of loan level due
diligence combined with the adjustments for loan exceptions reduced
the 'AAAsf' loss expectation by 33bps.

STAR 2021-1 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk. Operational risk is well controlled
for in STAR 2021-1, including strong transaction due diligence as
well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction
in expected losses and is relevant to the rating.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.

Factors 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 39.1% at 'AAAsf'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs, compared with the model projection.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation.

-- The analysis assumes positive home price growth of 10.0%.
    Excluding the senior classes that are already 'AAAsf', the
    analysis indicates there is potential positive rating
    migration for all of the rated classes. This section provides
    insight into the model-implied sensitivities the transaction
    faces when one assumption is modified, while holding others
    equal. The modeling process uses the modification of these
    variables to reflect asset performance in up- and down
    environments.

-- The results should only be considered as one potential
    outcome, as the transaction is exposed to multiple dynamic
    risk factors. It should not be used as an indicator of
    possible future performance. Fitch has also added a
    coronavirus sensitivity analysis that contemplates a more
    severe and prolonged economic stress caused by a reemergence
    of infections in the major economies, before a slow recovery
    begins in 2Q21. Under this severe scenario, Fitch expects the
    ratings to be impacted by changes in its sustainable home
    price model due to updates to the model's underlying economic
    data inputs. Any long-term impact arising from coronavirus
    disruptions on these economic inputs will likely affect both
    investment- and speculative-grade ratings.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

There are two criteria variations to Fitch's US RMBS Rating
Criteria. Per the criteria, if the transaction has more than 10% of
the loans seasoned 24 months or more, a pay history review and a
tax and title review are to be conducted on the seasoned loans. The
seasoned loans in the transaction did not have a pay history review
or a tax, lien, and title review conducted; however, Fitch received
information from the servicers on these data points:

Fitch received a 24-month pay history from the servicers for all of
the loans seasoned 24 months or more and confirmation that the pay
strings provided in the tape were accurate . Fitch also received
confirmation from the servicers that there are no outstanding tax,
title or lien issues on the loans seasoned 24 months or more. The
servicers also stated that they are actively monitoring for tax,
title and lien issues and will advance as needed to maintain the
first lien position of the loans. Fitch was comfortable with the
data provided from the servicer.

No adjustments were made in the analysis due to these variations
and the variations had no rating impact.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Covius, Consolidation Analytics, and Clayton. The
third-party due diligence described in Form 15E focused on three
areas, a compliance review, a credit review, and a valuation
review, and was conducted on 100% of the loans in the pool. Fitch
considered this information in its analysis and believes the
overall results of the review generally reflected strong
underwriting controls.

Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with its published standards
for reviewing loans and in accordance with the independence
standards outlined in its criteria.

Fitch considered all the above information in its analysis, and, as
a result, the overall expected loss was reduced by 0.33%.

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

STAR 2021-1 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk. Operational risk is well controlled
for in STAR 2021-1, including strong transaction due diligence as
well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction
in expected losses and is relevant to the rating.

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


SYMPHONY CLO XXVI: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its 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 and new class X notes
were issued via a proposed supplemental indenture. S&P withdrew its
ratings on the original class A, B, C, D, and E notes following
payment in full on the March 18, 2021 refinancing date.

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

On the March 18, 2021, refinancing date, the proceeds from the
class A-R, B-1R, B-2R, C-R, D-R, and E-R replacement note and new
class X notes 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 assigned our ratings
to the replacement notes and new class X 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."

  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

  Ratings Withdrawn
  Symphony CLO XXVI Ltd./Symphony CLO XXVI LLC
  Class A to NR from 'AAA (sf)'
  Class B to NR from 'AA (sf)'
  Class C to NR from 'A (sf)'
  Class D to NR from 'BBB (sf)'
  Class E to NR from 'BB- (sf)'

  NR--Not rated.


TCW CLO 2021-1: S&P Assigns BB- (sf) Rating on $16MM Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  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


TESLA AUTO 2021-A: Moody's Assigns (P)Ba2 Rating to Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Tesla Auto Lease Trust 2021-A (TALT 2021-A).
This is the first auto lease transaction in 2021 for Tesla Finance
LLC (TFL; not rated). The notes will be backed by a pool of
closed-end retail automobile leases originated by TFL, who is also
the servicer and administrator for this transaction.

The complete rating actions are as follows:

Issuer: Tesla Auto Lease Trust 2021-A

Class A-1 Notes, Assigned (P)P-1 (sf)

Class A-2 Notes, Assigned (P)Aaa (sf)

Class A-3 Notes, Assigned (P)Aaa (sf)

Class A-4 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa2 (sf)

Class C Notes, Assigned (P)A2 (sf)

Class D Notes, Assigned (P)Baa2 (sf)

Class E Notes, Assigned (P)Ba2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of TFL as the servicer
and administrator.

Moody's expected median cumulative net credit loss expectation for
TALT 2020-A is 0.50% and the total loss at a Aaa stress on the
collateral is 36.00% (including 4.50% credit loss and 31.50%
residual value loss at a Aaa stress). The residual value loss at a
Aaa stress of 31.50% is higher than the 30.00% assigned to the
prior 2020-A transaction mainly due to higher RV setting as
percentage of MSRP. In general, the relatively high residual value
loss at a Aaa stress for TALT transactions are the result of (1)
the sponsor's very limited securitization history and short
operating history; (2) thin RV performance data, especially for
Model Y, which is included in ABS transactions for the first time;
(3) a lack of model diversification; (4) high RV maturity and
geographic concentration; (5) unique or significantly greater RV
risk for BEVs, especially for Tesla vehicles, which have
significant technology risks including those that relate to
self-driving and battery technology; (6) the impact of a potential
manufacturer bankruptcy on RV, especially in the context of Tesla's
vertically integrated production model; and (7) the current
expectations for the macroeconomic environment during the life of
the transaction. Moody's based its cumulative net credit loss
expectation and loss at a Aaa stress of the collateral on an
analysis of the quality of the underlying collateral; the
historical credit loss and residual value performance of similar
collateral, including securitization performance and managed
portfolio performance; the ability of TFL to perform the servicing
functions; and current expectations for the macroeconomic
environment during the life of the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class
D notes, and Class E notes are expected to benefit from 29.75%,
22.75%, 17.25%, 13.15%, and 9.50% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, non-declining reserve account
and subordination, except for the Class E notes, which do not
benefit from subordination. The notes may also benefit from excess
spread.

The COVID-19 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 consumer assets from a gradual and unbalanced
recovery in US economic activity. Specifically, for US Auto lease
deals, performance will continue to benefit from government support
and the improving unemployment rate, which will support lessees'
income and their ability to make lease payments. However, any
softening of used vehicle prices will impact residual value
performance on leases. Furthermore, any elevated level of lessee
assistance programs, such as lease deferrals and extensions, may
adversely impact scheduled cash flows to bondholders.

Moody's regards the COVID-19 outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2020.

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

Up

Moody's could upgrade the subordinated notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. In Moody's analysis
of the Class A-1 money market tranche, Moody's applied incremental
stresses to Moody's typical cash flow assumptions in consideration
of a likely slowdown in borrower payments brought on by the
economic impact of the COVID-19 pandemic. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies or a servicer
disruption that impacts obligor's payments.


THAYER PARK: S&P Assigns 'B- (sf)' Rating on $10MM Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-1-R,
A-2A-R, A-2B-R, B-R, C-R, D-R, and E-R replacement notes from
Thayer Park CLO Ltd., a CLO originally closed in May 2017 that is
managed by Blackstone Liquid Credit Strategies LLC. S&P withdrew
its ratings on the original class A-1 notes following payment in
full on the March 23, 2021, refinancing date. S&P Global Ratings
did not rate the class A-2, B, C, and D notes.

On the March 23, 2021, refinancing date, the proceeds from the
class X-R, A-1-R, A-2A-R, A-2B-R, B-R, C-R, D-R, and E-R
replacement note issuances were used to redeem the class A-1, A-2,
B, C, and D notes as outlined in the transaction document
provisions. Therefore, S&P withdrew its rating on the original
class A-1 notes in line with their full redemption, and its
assigned ratings to the replacement notes.

The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:

-- The replacement class X-R, A-1-R, A-2A-R, A-2B-R, B-R, C-R,
D-R, and E-R notes were issued at a lower spread/coupon than the
original notes;

-- The reinvestment period was extended to April 2026, the
non-call period was extended to April 2023, and the stated maturity
was extended to April 2034;

-- Of the underlying collateral obligations, 99.80% have credit
ratings assigned by S&P Global Ratings; and

-- Of the underlying collateral obligations, 95.61% have recovery
ratings assigned by S&P Global Ratings.

The deal is now allowed to purchase workout-related assets with the
following requirements:

-- If principal proceeds are used and the asset receives credit
greater than zero in the transaction, each overcollateralization
ratio test must be satisfied, and all proceeds on the workout asset
and related obligation already held by the issuer must be recovered
as principal.

-- If principal proceeds are used and the asset receives zero
credit in the transaction, the principal balance of all collateral
obligations (excluding defaulted obligations) plus the S&P Global
Ratings' collateral value of defaulted obligations plus eligible
investments must be greater than or equal to the reinvestment
target par balance.

-- If interest proceeds are used, there must be sufficient
interest proceeds present to pay all interest on the rated notes.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.

"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

  Thayer Park CLO Ltd.

  Replacement class X-R notes, $5.00 million: 'AAA (sf)'
  Replacement class A-1-R notes, $310.00 million: 'AAA (sf)'
  Replacement class A-2A-R notes, $58.00 million: 'AA (sf)'
  Replacement class A-2B-R notes, $12.00 million: 'AA (sf)'
  Replacement class B-R notes, $30.00 million: 'A (sf)'
  Replacement class C-R notes, $28.50 million: 'BBB- (sf)'
  Replacement class D-R notes, $16.50 million: 'BB- (sf)'
  Replacement class E-R notes, $10.00 million: 'B- (sf)'
  Subordinated notes, $54.60 million: NR

  Rating Withdrawn

  Thayer Park CLO Ltd.

  Class A-1 to NR from 'AAA (sf)'

  NR--Not rated.



TRALEE CLO VII: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Tralee CLO
VII Ltd.'s fixed- and 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 24,
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 management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

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

  Preliminary Ratings Assigned

  Tralee CLO VII Ltd.

  Class A-1, $240.00 million: AAA (sf)
  Class A-2, $16.00 million: AAA (sf)
  Class B, $48.00 million: AA (sf)
  Class C-1, $14.00 million: A (sf)
  Class C-2, $10.00 million: A (sf)
  Class D, $22.00 million: BBB- (sf)
  Class E, $16.00 million: BB- (sf)
  Subordinated notes, $40.80 million: Not rated


TRESTLES CLO 2017-1: S&P Assigns Prelim B-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-1-R, B-2-R, C-R, D-R, and E-R replacement notes
from Trestles CLO 2017-1 Ltd./Trestles CLO 2017-1 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 19,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the March 31, 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,
it may withdraw its 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.

  Preliminary Ratings Assigned

  Trestles CLO 2017-1 Ltd./Trestles CLO 2017-1 LLC

  Class A-1-R, $320.00 million: AAA (sf)
  Class A-2-R, $60.00 million: AA (sf)
  Class B-1-R (deferrable), $24.00 million: A (sf)
  Class B-2-R (deferrable), $6.00 million: A (sf)
  Class C-R (deferrable), $30.00 million: BBB- (sf)
  Class D-R (deferrable), $17.50 million: BB- (sf)
  Class E-R (deferrable), $7.50 million: B- (sf)
  Subordinated notes, $45.985 million: not rated


UBS COMMERCIAL 2018-C15: Fitch Affirms B- Rating on G-RR Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of UBS Commercial Mortgage
Trust 2018-C15 commercial mortgage pass-through certificates series
2018-C15. Additionally, Fitch has removed classes D-RR, E-RR, F-RR,
and G-RR from Rating Watch Negative, and assigned Negative Outlooks
to these classes.

    DEBT               RATING            PRIOR
    ----               ------            -----
UBS 2018-C15

A-2 90278LAV1    LT  AAAsf   Affirmed    AAAsf
A-3 90278LAX7    LT  AAAsf   Affirmed    AAAsf
A-4 90278LAY5    LT  AAAsf   Affirmed    AAAsf
A-S 90278LBB4    LT  AAAsf   Affirmed    AAAsf
A-SB 90278LAW9   LT  AAAsf   Affirmed    AAAsf
B 90278LBC2      LT  AA-sf   Affirmed    AA-sf
C 90278LBD0      LT  A-sf    Affirmed    A-sf
D 90278LAC3      LT  BBB+sf  Affirmed    BBB+sf
D-RR 90278LAE9   LT  BBB-sf  Affirmed    BBB-sf
E-RR 90278LAG4   LT  BB+sf   Affirmed    BB+sf
F-RR 90278LAJ8   LT  BB-sf   Affirmed    BB-sf
G-RR 90278LAL3   LT  B-sf    Affirmed    B-sf
X-A 90278LAZ2    LT  AAAsf   Affirmed    AAAsf
X-B 90278LBA6    LT  AA-sf   Affirmed    AA-sf

KEY RATING DRIVERS

Pier 1 Headquarters Loan Drives Resolution of Watch and a Decline
in Loss Expectations: The affirmations are driven by a decline in
loss expectations for the pool, primarily due to the positive
resolution of the specially serviced Pier 1 Headquarters loan (4.2%
of the prior pool balance), which paid in full. Fitch had
previously placed classes D-RR, E-RR, F-RR, and G-RR on Rating
Watch Negative and revised Rating Outlooks to Negative from Stable
on classes A-S, B, C, D, and X-B on Nov. 4, 2020, primarily due to
modeling a loss of approximately 50% on the Pier 1 Headquarters, as
the single tenant had filed bankruptcy and gone dark. Four hotel
and retail loans (8.5%) remain in special servicing due to
COVID-related stress, and 16 loans (38.2%) have been designated as
FLOCs.

Fitch's current ratings incorporate a base case loss of 4.50%. The
Negative Outlooks on classes A-S through G-RR, and X-B factor in
additional sensitivities that reflect losses could reach 7.00%;
these sensitivities include additional coronavirus-related stresses
as well as a potential outsized loss on the Saint Louis Galleria
loan.

Alternative Loss Scenario: In its analysis, Fitch applied a 20%
Loss Severity to Saint Louis Galleria (7.4%) to reflect declining
inline sales, the decrease in commerce and tourism amid the
coronavirus pandemic and potential for a more prolonged impact on
mall performance. The additional loss assumes a 25% stress to YE
2019 NOI and a 14.25% cap rate. The Negative Rating Outlooks on
classes A-S through G-RR, and X-B partially reflect this
sensitivity scenario, as well as ongoing concerns with the ultimate
impact of the pandemic on long-term performance of other loans in
the transaction.

Saint Louis Galleria (7.4%) is a Brookfield sponsored
super-regional mall located in St. Louis, MO. The subject's three
largest tenants include Galleria 6 Cinemas (4.2% NRA), H&M (2.8%
NRA) and Victoria's Secret (2.8% NRA), and the subject's
non-collateral anchors include Dillard's, Macy's, and Nordstrom.
Inline sales excluding Apple fell to $404 psf (TTM June 2020) from
$470 psf (2019) and $561 psf (TTM August 2018). According to the
subject's March 2020 rent roll, multiple leases comprising
approximately 24% of NRA were scheduled to expire in 2021. The
borrower has entered into a forbearance agreement effective between
April and December 2020.

Fitch Loans of Concern: The largest contributor to Fitch's overall
loss expectations is Woodbury & Cyrene (3.1%), a two-property,
82-unit multifamily portfolio in Olympia, WA. As of 1Q20, the
property was 99% occupied and performing at a 1.20x NOI DSCR. Due
to an increase in expenses, the YE 2019 NOI was approximately 20%
below the issuer's UW NOI. Due to the decline in cash flow, Fitch
is modeling a loss of approximately 30%.

The second largest contributor to Fitch's overall loss expectations
is 16300 Roscoe Blvd (2.9%), a 154,033-sf office property located
in Van Nuys, CA, and built in 1956. The largest tenant, MGA
Entertainment (61.3% of NRA) has gone dark, reducing physical
occupancy at the property to 29%. MGA Entertainment is a
sponsor-affiliated tenant with a lease expiration in December 2033.
Per the servicer, the space is being marketed and negotiations are
ongoing with three tenants that would lease approximately 33.6% of
NRA. The loan is currently not cash managed as MGA Entertainment
guarantees their lease.

If MGA Entertainment were to terminate the lease, cash management
would be triggered. MGA Entertainment has built a parking garage
and has plans to renovate the building's exterior to make the
property more appealing to potential tenants. Fitch's analysis
included an additional stress to the YE 2019 NOI to address the
departure of the largest tenant.

Specially Serviced Loans: The largest specially serviced loan is
the Princeton Marriott at Forrestal (3.9%), a 302- key hotel in
Princeton, NJ. The loan transferred to special servicing in
September 2020 for imminent default. The special servicer is
currently reviewing the borrower's request for coronavirus relief.
Per the June 2020 STR report, the property had a TTM RevPAR of $80
compared to Fitch's expectations of $108 at issuance. Fitch's
analysis included an overall 26% stress to the YE 2019 NOI to
address the expected declines in performance due to the pandemic.

Nebraska Crossing (2.1%) is a retail outlet center located in
Gretna, NE. The loan transferred to special servicing in May 2020
after the borrower requested relief due to the pandemic. After
discussions with the servicer, the borrower requested the loan sent
back to the master servicer. Once the loan is brought current, it
will be returned to the master servicer. Fitch assumed minimal
losses for potential fees.

Minimal Change to Credit Enhancement: As of the February 2021
distribution date, the pool's aggregate balance has been reduced by
5.4% to $611.8 million from $646.5 million at issuance. Twelve
full-term, interest-only loans account for 40.8% of the pool, and
eight loans representing 20.0% of the pool are partial
interest-only. The remainder of the pool consists of 20 balloon
loans representing 39.2% of the pool. Interest shortfalls are
currently affecting class NR-RR.

Coronavirus Exposure: The pool contains eight loans (16.3%) secured
by hotels with a weighted-average NOI DSCR of 2.29x. Retail
properties account for 30.4% of the pool balance and have
weighted-average NOI DSCR of 1.91x. 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 seven hotel loans and two retail loans due
to their vulnerability to the pandemic. These additional stresses
contributed to the Negative Rating Outlooks on classes A-S through
G-RR, and X-B.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S through G-RR and X-B reflects
the continued exposure to the specially serviced loans and FLOCs,
concerns surrounding the ultimate impact of the pandemic, and the
additional sensitivity analysis applied to the Saint Louis Galleria
loan. 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 include stable to
    improved asset performance coupled with paydown and/or
    defeasance. Upgrades of classes B, C, and X-B would only occur
    with significant improvement in credit enhancement and/or
    defeasance, but would be limited should the deal become
    susceptible to a concentration, whereby the underperformance
    of particular loan(s) could cause this trend to reverse. An
    upgrade to classes D and D-RR 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
    RR, F-RR, and G-RR are 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 pandemic and the Saint Louis Galleria loan
    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
    2, A-3, A-4, A-SB, X-A, and A-S, are less likely due to the
    high credit enhancement, but may occur at 'AAAsf' or 'AAsf'
    should interest shortfalls occur. Downgrades to classes B, C,
    X-B, D and D-RR would occur should overall pool losses
    increase and/or one or more large loans, such as the Saint
    Louis Galleria loan, have an outsized loss that erodes credit
    enhancement.

-- Downgrades to classes E-RR, F-RR and G-RR would occur should
    loss expectations increase 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 Saint Louis Galleria were
    to default or transfer to special servicing, 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.


VOYA CLO 2017-3: S&P Assigns Prelim B-(sf) Rating on E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2A-R, A-2B-R, B-R, C-R, D-R, and E-R notes from Voya CLO
2017-3 Ltd., a collateralized loan obligation (CLO) originally
issued in 2017 that is managed by Voya Alternative Asset Management
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 24,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the April 1, 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 classes at a floating spread and fixed
rate, replacing the current fixed and floating rate notes.

-- Extend the stated maturity and reinvestment period extended 2.5
years.

-- Issue a new class X-R note. These notes are expected to be paid
down using interest proceeds over the first 20 payment dates.

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

  Voya CLO 2017-3 Ltd.

  Class X-R, $6.00 million: Not rated
  Class A-1-R, $362.00 million: AAA (sf)
  Class A-2A-R, $73.00 million: AA (sf)
  Class A-2B-R, $10.00 million: AA (sf)
  Class B-R, $36.00 million: A (sf)
  Class C-R, $32.75 million: BBB- (sf)
  Class D-R, $21.00 million: BB- (sf)
  Class E-R, $9.00 million: B- (sf)
  Subordinated notes, $53.30 million: Not rated



WELLS FARGO 2021-CCRE2: Fitch Affirms CCC Rating on Class G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of German American Capital
Corp.'s Wells Fargo Commercial Mortgage Trust commercial mortgage
pass-through certificates series 2012-CCRE2 (COMM 2012-CCRE2).

     DEBT                  RATING           PRIOR
     ----                  ------           -----
COMM 2012-CCRE2

A-3 12624KAJ5      LT  AAAsf   Affirmed     AAAsf
A-4 12624KAD8      LT  AAAsf   Affirmed     AAAsf
A-M 12624KAF3      LT  AAAsf   Affirmed     AAAsf
A-M-PEZ 12624KAN6  LT  AAAsf   Affirmed     AAAsf
A-SB 12624KAC0     LT  AAAsf   Affirmed     AAAsf
B 12624KAG1        LT  AAsf    Affirmed     AAsf
B-PEZ 12624KAQ9    LT  AAsf    Affirmed     AAsf
C 12624KAH9        LT  Asf     Affirmed     Asf
C-PEZ 12624KAU0    LT  Asf     Affirmed     Asf
D 12624KAW6        LT  BBB+sf  Affirmed     BBB+sf
E 12624KAY2        LT  BBB-sf  Affirmed     BBB-sf
F 12624KBA3        LT  Bsf     Affirmed     Bsf
G 12624KBC9        LT  CCCsf   Affirmed     CCCsf
X-A 12624KAE6      LT  AAAsf   Affirmed     AAAsf

KEY RATING DRIVERS

Increased Loss Expectations: While the majority of the pool
continues to exhibit stable performance, loss expectations have
increased since Fitch's prior rating action, primarily driven by
the Chicago Ridge Mall loan (7.6% of pool). Thirteen loans (24.7%)
are Fitch Loans of Concern (FLOCs), including two underperforming
regional mall loans (13.5%), one (5.9%) of which is specially
serviced.

Fitch's current ratings incorporate a base case loss of 5.80%. The
Negative Outlooks on classes D, E and F reflect losses that could
reach 9.00% when factoring additional coronavirus-related stresses
and a potential outsized loss on the Crossgates Mall loan.

The largest increase in loss since the last rating action is the
largest FLOC, Chicago Ridge Mall (7.6%), which is secured by a
regional mall in Chicago Ridge, IL. The loan is sponsored by
Star-West JV LLC, a joint venture controlled by Starwood Capital
Group. Fitch's base case loss on this loan has increased to 31%
from 11% at the prior rating action, and is based on a 15% cap rate
and 20% haircut to YE 2019 NOI.

Fitch also performed an additional sensitivity that applied a
potential outsized loss of approximately 50%, which is based on a
20% cap rate and 25% haircut to YE 2019 NOI. Fitch's loss accounted
for superior mall competition, upcoming lease rollover, weak
sponsorship and closure of non-collateral Sears in April 2021.

Collateral occupancy fell to 70.2% in December 2020 from 71.9% in
December 2019 and 71.7% in December 2018. The collateral includes
the former Carson's anchor box (154,000 sf; 26.3% of NRA), which
became vacant in August 2018. Construction recently began on a
Dick's Sporting Goods store to backfill approximately 50,000 sf of
this space, and is expected to open in summer 2021.

Near-term lease rollover is significant, including 12.9% of the NRA
in 2021, 13.9% in 2022 and 11.1% in 2023; collateral tenants
greater than 2% of the NRA with upcoming rollover include Bed Bath
& Beyond (7%; expired in January 2021), AMC Theatres (5.5%; January
2022) and Old Navy (2.7%; January 2023). In-line sales for tenants
less than 10,000 sf, excluding food court and restaurant tenants,
fell to $387 psf for TTM September 2020 from $492 psf for TTM
September 2019 and $487 psf for 2018. AMC Theatres sales fell to
$368,682 per screen for TTM September 2020 from $994,906 for TTM
September 2019 and $977,015 for 2018.

The next largest FLOC is the Crossgates Mall loan (5.9%), which is
secured by a regional mall in Albany, NY. The loan transferred to
special servicing in April 2020 for imminent default. Despite
missing the May through September 2020 debt service payments, the
sponsor, Pyramid Group, was granted a six-month forbearance from
the special servicer. The 12-month repayment period began in
January 2021 and the loan is now current, but remains in special
servicing.

While there is potential for this loan to default at its May 2022
maturity, Fitch believes a loan extension is possible given the
sponsor's commitment and the asset's market positioning. Fitch's
base case loss of 24% considers a discount to the updated July 2020
appraisal value and implies a 14.9% cap rate to YE 2019 NOI.

Collateral occupancy, excluding specialty long-term tenants, was
86.3% in December 2020, compared with 88.2% in December 2019. When
including specialty long-term tenants, occupancy was 95.9%. The
largest collateral tenants include JCPenney (13.4%; May 2023),
Regal Cinemas/IMAX (7.5%; October 2035) and Dick's Sporting Goods
(6%; January 2025). Six collateral tenants (17.4%) are currently
closed due to the pandemic, including Regal Cinemas/IMAX, Apex
Entertainment Center (3.7%) and Dave & Buster's (2.5%).

Increased Credit Enhancement (CE): As of the February 2021
remittance reporting, the pool's aggregate principal balance was
paid down by 20.6% to $1.05 billion from $1.32 billion at issuance.
Defeasance increased to 16.8% of the pool (16 loans) from 14.3% (14
loans) at the prior rating action. Three loans (17.7%) are
full-term, interest-only and the remaining 44 loans (82.3%) are
amortizing. All loans are scheduled to mature by August 2022.

Alternative Loss Considerations: Fitch's analysis included an
additional sensitivity scenario that applied a potential outsized
loss of 50% on the current balance of the Chicago Ridge and
Crossgates Mall loans to reflect the potential for further
performance declines and prolonged workouts/disposition timeline
given the lack of market liquidity for regional malls, while
factoring paydown from the defeased loans and additional
coronavirus-related stresses; this sensitivity scenario contributed
to the Negative Rating Outlooks.

Additional Stresses Applied due to Coronavirus Exposure: Loans
secured by retail, hotel and multifamily properties represent
25.4%, 1.5% and 0.6% of the pool, respectively. Fitch's analysis
applied additional coronavirus-related stresses on four retail
loans (12.1%) and two hotel loans (1.5%) to account for potential
cash flow disruptions due to the coronavirus pandemic; these
additional stresses contributed to the Negative Rating Outlooks.

The retail loans have a weighted average (WA) NOI DSCR of 1.59x and
can withstand an average 37.2% decline to NOI before DSCR falls
below 1.00x. The hotel loans have a WA NOI DSCR of 2.20x and can
withstand an average 54.5% decline to NOI before DSCR falls below
1.00x. The multifamily loan has an NOI DSCR of 1.26x and can
withstand a 20.4% decline to NOI before DSCR falls below 1.00x.

COMM 2012-CCRE2 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to two underperforming regional malls, Chicago
Ridge Mall and Crossgates Mall, as a result of changing consumer
preferences to shopping, which has a negative impact on the credit
profile and is highly relevant to the rating, resulting in the
Negative Rating Outlooks on classes D, E and F.

RATING SENSITIVITIES

The Negative Rating Outlooks reflect downgrade potential due to
performance concerns on the FLOCs, particularly the two regional
mall loans. The Stable Rating Outlooks reflect the increasing CE,
expected continued amortization and stable performance of the
majority of the pool.

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

-- Upgrades are currently not expected given the retail outlook
    on regional malls, uncertainty surrounding the duration of the
    pandemic and expectations that the Chicago Ridge Mall,
    Crossgates Mall and other loans susceptible to the coronavirus
    pandemic may have difficulties refinancing at their 2022
    maturities. Sensitivity factors that could lead to upgrades
    would include stable to improved asset performance,
    particularly on the regional mall FLOCs, coupled with
    additional paydown and/or defeasance.

-- Upgrades to classes B-PEZ, B, C-PEZ and C would only occur
    with significant improvement in CE and/or defeasance and with
    performance stabilization on the Chicago Ridge Mall,
    Crossgates Mall and other properties affected by the
    coronavirus pandemic. Classes would not be upgraded above
    'Asf' if there were likelihood of interest shortfalls.

-- Upgrades to classes D and E may occur as the number of FLOCs
    are reduced, properties vulnerable to the pandemic return to
    pre-pandemic levels and/or with the payoff, modification or
    workout of the Chicago Ridge Mall and Crossgates Mall loans
    that result in scenarios better than currently expected, and
    there is sufficient CE to the classes. Classes F and G are
    unlikely to be upgraded absent significant performance
    improvement on the Chicago Ridge Mall loan and higher
    recoveries than expected on the Crossgates Mall loan.

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-SB
    through A-M-PEZ and X-A are not likely due to the position in
    the capital structure, but may occur should interest
    shortfalls affect these classes.

-- Downgrades to classes B-PEZ, B, C-PEZ and C are possible
    should expected losses for the pool increase significantly,
    all loans susceptible to the coronavirus pandemic suffer
    losses and both the Chicago Ridge Mall and Crossgates Mall
    loans experience outsized losses.

-- Downgrades to classes D, E and F would occur should loss
    expectations increase from continued performance decline of
    the FLOCs, loans susceptible to the pandemic not stabilizing,
    additional loans default or transfer to special servicing,
    higher losses incurred on the specially serviced loans than
    expected and/or the Chicago Ridge Mall or Crossgates Mall
    loans experience outsized losses. A downgrade to class G would
    occur as losses are realized and/or 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, additional classes may be assigned
Negative Outlooks and/or 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.


WESTLAKE AUTOMOBILE 2021-1: S&P Assigns B (sf) Rating on F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Westlake Automobile
Receivables Trust 2021-1's automobile receivables-backed notes
series 2021-1.

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

The ratings reflect S&P's view of:

-- The availability of approximately 47.06%, 40.52%, 31.89%,
25.32%, 22.16%, and 18.12% credit support for the class A-1, A-2-A,
and A-2-B (collectively, class A), B, C, D, E, and F notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These provide approximately 3.35x, 2.85x, 2.20x,
1.70x, 1.47x, and 1.10x, respectively, of S&P's 13.50%-14.00%
expected cumulative net loss range.

-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.70x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in "S&P Global Ratings
Definitions," published Jan. 5, 2021. The collateral
characteristics of the securitized pool of subprime automobile
loans.

-- The originator/servicer's long history in the
subprime/specialty auto finance business.

-- S&P's analysis of approximately 15 years (2006-2020) of static
pool data on the company's lending programs.

-- The transaction's payment, credit enhancement, and legal
structures.

  Ratings Assigned

  Westlake Automobile Receivables Trust 2021-1

  Class A-1, $212.00 million: A-1+ (sf)
  Class A-2-A, $655.34 million: AAA (sf)
  Class A-2-B, $50.00 million: AAA (sf)
  Class B, $135.68 million: AA (sf)
  Class C, $174.87 million: A (sf)
  Class D, $131.16 million: BBB (sf)
  Class E, $55.02 million: BB (sf)
  Class F, $85.93 million: B (sf)


[*] S&P Takes Various Actions on 145 Classes from 39 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 145 ratings from 39 U.S.
RMBS transactions issued between 1994 and 2019. The review yielded
two upgrades, 24 downgrades, 59 affirmations, and 60 withdrawals.

Analytical Considerations

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

S&P incorporate various considerations into its decisions to raise,
lower, or affirm ratings when reviewing the indicative ratings
suggested by its projected cash flows. These considerations are
based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:

-- Factors related to COVID-19;
-- Collateral performance/delinquency trends;
-- Erosion of/increases in credit support;
-- Principal-only criteria
-- Small loan count; and
-- Interest-only criteria.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance or
structural characteristics and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
below for the specific rationales associated with each of the
classes with rating transitions.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections.

"We withdrew our ratings on 11 classes from four transactions due
to the small number of loans remaining in the related group. Once a
pool has declined to a de minimis amount, their future performance
becomes more difficult to project. As such, we believe there is a
high degree of credit instability that is incompatible with any
rating level."

A list of Affected Ratings can be viewed at:

            https://bit.ly/3929MMf



[*] S&P Takes Various Actions on 37 Classes From 16 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 37 ratings from 16 U.S.
RMBS transactions issued between 1999 and 2008. The review yielded
13 upgrades, two downgrades, 14 affirmations, and eight
withdrawals.

ANALYTICAL CONSIDERATIONS

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

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:

-- Factors related to the COVID-19 pandemic,
-- Collateral performance or delinquency trends,
-- Available subordination and/or overcollateralization,
-- Expected short duration,
-- Small loan count,
-- Historical interest shortfalls or missed interest payments,   

    and
-- Reduced interest payments due to loan modifications.

RATING ACTIONS

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes.

"The ratings affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections.

"We withdrew our ratings on eight classes from three transactions
due to the small number of loans remaining within the related
structure. Once a pool has declined to a de minimis amount, we
believe there is a high degree of credit instability that is
incompatible with any rating level."

          https://bit.ly/3cm3hpH



                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets.  At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled.  Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets.  A company may establish reserves on its balance sheet for
liabilities that may never materialize.  The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.

On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts.  The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.

Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/books/to order any title today.

Monthly Operating Reports are summarized in every Saturday edition
of the TCR.

The Sunday TCR delivers securitization rating news from the week
then-ending.

TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.

                            *********

S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.

Copyright 2021.  All rights reserved.  ISSN: 1520-9474.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.  Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.

The TCR subscription rate is $975 for 6 months delivered via
e-mail.  Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each.  For subscription information, contact Peter A.
Chapman at 215-945-7000.

                   *** End of Transmission ***