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

              Sunday, April 4, 2021, Vol. 25, No. 93

                            Headlines

522 FUNDING 2021-7: S&P Assigns BB- (sf) Rating on Class E Notes
AMUR EQUIPMENT: DBRS Confirms CCC (high) on 3 Classes of Notes
ANCHORAGE CAPITAL 13: S&P Assigns Prelim 'BB-' Rating on E-R Notes
ANCHORAGE CAPITAL 18: S&P Assigns B- (sf) Rating on Class F Notes
APIDOS CLO XXXV: S&P Assigns BB- (sf) Rating on Class E Notes

ARBOR REALTY 2021-FL1: DBRS Finalizes B (low) Rating on G Notes
ARES LIX CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
ARES XLI CLO: Moody's Assigns Ba3 Rating to $24M Class E-R Notes
ATTENTUS CDO I: Moody's Hikes Rating on $65M Class B Notes to B2
ATTENTUS CDO III: Moody's Raises Ratings on 2 Tranches to B3

BANK 2021-BNK32: DBRS Gives Prov. BB(high) Rating on 2 Classes
BANK 2021-BNK32: Fitch Assigns Final B- Rating on Class G Certs
BCC FUNDING XVI: DBRS Confirms BB(high) Rating of Class D Notes
BELLEMEADE RE 2021-1: Moody's Assigns B3 Rating on Class B-1 Notes
BENCHMARK 2019-B10: Fitch Affirms B- Rating on 2 Tranches

BENCHMARK 2021-B24: Fitch Assigns B- Rating on Class G Certs
BRAVO RESIDENTIAL 2021-HE1: DBRS Finalizes B Rating on B-2 Notes
BSPRT 2021-FL6: DBRS Gives Prov. B (low) Rating on Class H Notes
CANACCORD GENUITY: DBRS Confirms Preferred Shares at Pfd-4 (high)
CARLYLE US 2021-2: S&P Assigns Prelim BB- (sf) Rating on E Notes

CARLYLE US CLO 2021-2: S&P Assigns BB- (sf) Rating on Class E Notes
CARVANA AUTO 2021-P1: DBRS Gives Prov. BB (high) Rating on N Notes
CBAM 2021-14: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
CENT CLO 21: S&P Affirms CCC+ (sf) Rating on Class E-R2 Notes
CIM MORTGAGE 2021-J2: Moody's Assigns (P)B1 Rating to B-5 Notes

CIM TRUST 2021-J2: Fitch Assigns Final B Rating on B-5 Certs
CIM TRUST 2021-J2: Fitch to Rate Class B-5 Certs 'B(EXP)'
CIM TRUST 2021-J2: Moody's Assigns B1 Rating on Class B-5 Notes
CITIGROUP COMMERCIAL 2014-GC21: DBRS Confirms BB Rating on E Certs
CITIGROUP COMMERCIAL 2015-GC27: DBRS Cuts 2 Certs' Rating to B(low)

CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms B- Rating on F Debt
CITIGROUP MORTGAGE 2014-GC23: Fitch Affirms B- Rating on F Certs
CITIGROUP MORTGAGE 2021-RP1: Fitch Gives B(EXP) Rating on B-2 Debt
CITIGROUP MORTGAGE 2021-RP1: Fitch Rates Class B-2 Debt 'Bsf'
COMM 2013-CCRE10: DBRS Confirms B Rating on Class F Certs

COMM 2014-CCRE20: DBRS Cuts Class X-E Certs Rating to B (low)
COMM 2014-LC15: DBRS Cuts Class F Certs Rating to CCC
COMM 2014-UBS4: DBRS Cuts Class F Certs Rating to B (low)
COMM 2015-CCRE26: Fitch Lowers Class F Certs to 'B-sf'
COMM 2015-PC1: DBRS Cuts Class F Certs Rating to CCC

COMM 2021-LBA: DBRS Gives Prov. B (low) Rating on Class G Certs
CSAIL 2015-C2: DBRS Cuts Rating of 2 Classes to B(sf)
CSAIL 2019-C15: DBRS Lowers Class G-RR Certs Rating to B(sf)
CSAIL 2021-C20: Fitch Assigns Final B- Rating on Class G-RR Debt
CSMC 2021-NQM2: S&P Assigns Prelim B(sf) Rating on Class B-2 Notes

CSMC COMMERCIAL 2006-C5: Moody's Lowers Class A-J Certs to Ca
DIAMOND CLO 2019-1: S&P Affirms BB- (sf) Rating on Class E Notes
DRYDEN 61 CLO: Moody's Gives Ba3 Rating on $21.7M Class E-R Notes
ELEVATION CLO 2021-12: S&P Assigns BB-(sf) Rating on Class E Notes
FAT BRANDS 2020-1: DBRS Keeps B Rating on B-2 Notes Under Review

FREDDIE MAC 2021-DNA2: DBRS Finalizes BB Rating on 3 Classes
GALAXY XIX: S&P Affirms CCC+ (sf) Rating on Class E-R Notes
GOLDENTREE LOAN 1: S&P Assigns Prelim B (sf) Rating on F-R-2 Notes
GS MORTAGAGE 2013-GCJ16: DBRS Confirms B (low) Rating on G Certs
GS MORTGAGE 2013-GCJ14: DBRS Cuts Class X-C Certs Rating to B(sf)

GS MORTGAGE 2017-GS6: Fitch Affirms B- Rating on Class F Certs
GS MORTGAGE 2021-PJ3: DBRS Gives Prov. B Rating on Class B-5 Certs
GS MORTGAGE 2021-PJ3: Fitch Assigns Final B Rating on B5 Certs
IMPACT FUNDING 2014-1: DBRS Confirms B Rating on Class F Certs
IMSCI 2013-3: Fitch Cuts Rating on Class F Certs to 'CCC'

INSTITUTIONAL 2013-4: DBRS Confirms B(low) Rating on Class G Certs
INVESCO CLO 2021-1: Moody's Gives (P)Ba3 Rating to Class E Notes
JP MORGAN 2021-1440: DBRS Finalizes B(low) Rating on Class F Trust
JP MORGAN 2021-4: Fitch Assigns B-(EXP) Rating on B-5 Debt
JP MORGAN 2021-4: Fitch Assigns Final B- Rating on B-5 Debt

JP MORGAN 2021-4: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs
JP MORGAN 2021-4: Moody's Assigns B2 Rating to Class B-5 Certs
JP MORGAN 2021-5: S&P Assigns B (sf) Rating on Class B-5 Certs
JP MORGAN 2021-5: S&P Assigns Prelim B (sf) Rating on B-5 Notes
JP MORGAN 2021-MHC: Moody's Assigns (P)B3 Rating to Cl. F Certs

JPMBB COMMERCIAL 2014-C21: DBRS Cuts Class X-D Certs Rating to B
JPMBB COMMERCIAL 2014-C22: DBRS Cuts Rating of 3 Classes to C(sf)
JPMBB COMMERCIAL 2014-C25: DBRS Cuts Rating of 2 Classes to B(sf)
JPMBB COMMERCIAL 2014-C26: DBRS Cuts Class X-F Certs Rating to B
JPMBB COMMERCIAL 2015-C30: DBRS Confirms B(sf) Rating on F Certs

JPMCC COMMERCIAL 2015-JP1: DBRS Cuts Rating of Class G Certs to CCC
KEYERA CORPORATION 2021-A: DBRS Finalizes BB(high) on Sub Notes
KKR CLO 17: Moody's Assigns Ba3 Rating to $33.6M Class E-R Notes
KKR CLO 31: S&P Assigns BB- (sf) Rating on $24MM Class E Notes
LCCM 2017-LC26: Fitch Affirms B- Rating on Class F Certs

MADISON PARK XI: S&P Affirms CCC+ (sf) Rating on Class F-R Notes
MARATHON CLO 2021-16: S&P Assigns BB- (sf) Rating on Class D Notes
MCAP CMBS 2014-1: DBRS Confirms B(sf) Rating on Class G Certs
MCAP CMBS 2014-1: Fitch Affirms B Rating on Class G Certs
MCF CLO V: S&P Affirms BB- (sf) Rating on $22.25 MM Class E Notes

MCF CLO V: S&P Stays BB- (sf) Rating on $22.25MM Class E Notes
MF1 2021-FL5: DBRS Gives Prov. B (low) Rating on Class G Notes
MORGAN STANLEY 2013-C7: Moody's Lowers Class G Certs to C
MORGAN STANLEY 2013-C9: DBRS Confirms B(high) Rating on H Certs
MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class X-C Certs

MORGAN STANLEY 2014-C17: DBRS Cuts Rating of Class F Certs to CCC
MORGAN STANLEY 2014-C19: DBRS Confirms B Rating on Class X-F Certs
MORGAN STANLEY 2015-MS1: DBRS Confirms B(high) Rating on F Certs
MORGAN STANLEY 2017-CLS: Moody's Hikes Rating on F Debt to B1
MORGAN STANLEY 2021-1: Fitch Assigns Final B Rating on B-5 Debt

NATIONAL COLLEGIATE 2006-4: Fitch Affirms C Rating on 4 Tranches
NATIONAL COLLEGIATE 2007-A: Fitch Affirms B Rating on Class C Debt
NEUBERGER BERMAN XVI-S: S&P Assigns B-(sf) Rating on F-R Notes
NORTH AMERICAN: DBRS Confirms Pfd-4 Rating on Preferred Shares
OBX 2021-NQM1 2021-1: S&P Assigns B (sf) Rating on Class B-2 Notes

OCP CLO 2019-16: S&P Assigns BB- (sf) Rating on Class E-R Notes
OPORTUN FUNDING 2021-A: DBRS Finalizes BB(high) Rating on D Notes
PALMER SQUARE 2021-1: Moody's Assigns B2 Rating to Class E Notes
PPM CLO 3: Moody's Assigns Ba3 Rating to $20M Class E-R Notes
PROGRESS RES 2021-SFR1: DBRS Finalizes B(low) Rating on G Certs

PROVIDENT FUNDING 2021-1: Moody's Gives Ba3 Rating to Cl B-5 Notes
REAL ESTATE 2014-1: DBRS Confirms B(high) Rating on Class G Certs
REAL ESTATE 2015-1: DBRS Confirms B Rating on Class G Certs
REALT 2006-1: Fitch Affirms B Rating on Class G Certificates
REGATTA XVIII: S&P Assigns BB- (sf) Rating on $22MM Class E Notes

ROCKFORD CLO 2019-1: Moody's Assigns Ba3 Rating to Class E-R Notes
RR 15: S&P Assigns BB- (sf) Rating on $24.375MM Class D Notes
RR 15: S&P Assigns Preliminary BB- (sf) Rating on Class D Notes
SEQUOIA MORTGAGE 2021-2: Fitch Gives Final BB- Rating on B4 Certs
SOLARCITY LMC V 2016-1: S&P Affirms 'BB(sf)' on Class B Notes

STAR 2021-SFR1: DBRS Finalizes B (low) Rating on Class G Certs
STARWOOD MORTGAGE 2021-1: Fitch Gives Final B- Rating on 11 Classes
TESLA AUTO 2021-A: Moody's Rates $43.18MM Class E Notes 'Ba2'
TOWD POINT 2020-4: Fitch Assigns B- Rating on 16 Tranches
TRALEE CLO VII: S&P Assigns BB- (sf) Rating on $16MM Class E Notes

TRESTLES CLO 2017-1: S&P Assigns B- (sf) Rating on Class E-R Notes
TRIANGLE RE 2021-1: DBRS Finalizes B(low) Rating on Class M-2 Certs
UNITED AUTO 2021-1: DBRS Finalizes B(sf) Rating on Class F Notes
US CAPITAL IV: Moody's Hikes Rating on $14M Class A-2 Notes to B3
VCP CLO II: DBRS Finalizes BB (low) Rating on Class E Notes

VERUS SECURITIZATION 2021-R2: S&P Assigns 'B-' Rating on B-2 Notes
VIBRANT CLO XII: S&P Assigns BB-(sf) on $19.13MM Class D Notes
WELLFLEET CLO 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes
WELLS FARGO 2014-LC16: DBRS Cuts Class F Certs Rating to C
WELLS FARGO 2015-C28: DBRS Cuts Class X-E Certs Rating to B (high)

WELLS FARGO 2015-LC20: DBRS Confirms B Rating on Class X-F Certs
WELLS FARGO 2019-C49: DBRS Confirms BB Rating on Class G-RR Certs
WELLS FARGO 2021-1: Fitch Assigns B+ Rating on B-5 Debt
WELLS FARGO 2021-1: S&P Assigns B (sf) Rating on Class B-5 Certs
WESTLAKE AUTOMOBILE 2021-1: DBRS Gives Prov. B Rating on F Notes

WFRBS COMM'L 2014-LC14: DBRS Confirms B Rating on Class F Certs
WFRBS COMMERCIAL 2014-C20: DBRS Cuts Rating of 2 Classes to C
WFRBS COMMERCIAL 2014-C24: Moody's Lowers Cl. C Certs to Ba1
[*] S&P Takes Various Actions on 97 Classes From 14 U.S. RMBS Deals

                            *********

522 FUNDING 2021-7: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

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

  Class A-L loans(i), $162.6 million: AAA (sf)
  Class A-L notes, $0.0 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

(i)The class A-L loans may be converted to A-L notes, and the A-L
loans will be reduced by such amount.



AMUR EQUIPMENT: DBRS Confirms CCC (high) on 3 Classes of Notes
--------------------------------------------------------------
DBRS, Inc. upgraded eight ratings and confirmed the remainder on
the following classes of securities included in four Amur Equipment
Finance transactions:

Amur Equipment Finance Receivables V LLC:
-- Series 2018-1, Class A-2 Notes, confirmed at AAA (sf)
-- Series 2018-1, Class B Notes, upgraded to AAA (sf)
-- Series 2018-1, Class C Notes, upgraded to AA (sf)
-- Series 2018-1, Class D Notes, upgraded to A (sf)
-- Series 2018-1, Class E Notes, upgraded to BBB (low) (sf)
-- Series 2018-1, Class F Notes, confirmed at CCC (high) (sf)

Amur Equipment Finance Receivables VI LLC:
-- Series 2018-2, Class A-2 Notes, confirmed at AAA (sf)
-- Series 2018-2, Class B Notes, upgraded to AA (high) (sf)
-- Series 2018-2, Class C Notes, upgraded to A (high) (sf)
-- Series 2018-2, Class D Notes, upgraded to BBB (sf)
-- Series 2018-2, Class E Notes, upgraded to BB (low) (sf)
-- Series 2018-2, Class F Notes, confirmed at CCC (high) (sf)

Amur Equipment Finance Receivables VII LLC:
-- Series 2019-1, Class A-2 Notes, confirmed at AAA (sf)
-- Series 2019-1, Class B Notes, confirmed at AA (sf)
-- Series 2019-1, Class C Notes, confirmed at A (low) (sf)
-- Series 2019-1, Class D Notes, confirmed at BBB (low) (sf)
-- Series 2019-1, Class E Notes, confirmed at B (high) (sf)
-- Series 2019-1, Class F Notes, confirmed at CCC (high) (sf)

Amur Equipment Finance Receivables VIII LLC:
-- Series 2020-1, Class A-1 Notes, confirmed at R-1 (high) (sf)
-- Series 2020-1, Class A-2 Notes, confirmed at AAA (sf)
-- Series 2020-1, Class B Notes, confirmed at AA (sf)
-- Series 2020-1, Class C Notes, confirmed at A (sf)
-- Series 2020-1, Class D Notes, confirmed at BBB (sf)
-- Series 2020-1, Class E Notes, confirmed at BB (sf)
-- Series 2020-1, Class F Notes, confirmed at B (sf)

The rating actions are based on the following analytical
considerations:

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

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

-- The currently available hard credit enhancement in the form of
overcollateralization, subordination (as applicable), and amounts
of deposit in the cash reserve account, as well as the change in
the level of protection afforded by each form of credit enhancement
since the closing of each transaction.

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected cumulative net loss assumptions that take into account the
increased stress commensurate with the moderate macroeconomic
scenario.

-- The relative benefit from obligor and geographic
diversification of collateral pools.

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

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 27, 2020), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.


ANCHORAGE CAPITAL 13: S&P Assigns Prelim 'BB-' Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R replacement notes from
Anchorage Capital CLO 13 Ltd., a CLO originally issued in March
2019 that is managed by Anchorage Capital Group 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 25,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the April 7, 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 notes at lower weighted average cost of
debt than the original notes.

-- Extend the stated maturity and reinvestment period
approximately two years.

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

  Anchorage Capital CLO 13 Ltd.

  Class X-R, $1.80 million: AAA (sf)
  Class A loans, $215.00 million: Not rated
  Class A-R, $91.00 million: Not rated
  Class B-1-R, $39.00 million: AA (sf)
  Class B-2-R, $20.00 million: AA (sf)
  Class C-R (deferrable), $36.50 million: A (sf)
  Class D-1-R (deferrable)(i), 26.60 million: BBB- (sf)
  Class D-2-R (deferrable)(i), $6.00 million: BBB- (sf)
  Class E-R (deferrable), $17.40 million: BB- (sf)
  Subordinated notes, $56.00 million: Not rated

  (i)Class D-1-R and D-2-R pay sequentially.



ANCHORAGE CAPITAL 18: S&P Assigns B- (sf) Rating on Class F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Anchorage Capital CLO 18
Ltd.'s floating-rate notes.

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

The ratings reflect:

-- 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

  Anchorage Capital CLO 18 Ltd.

  Class A-1, $230.00 million: AAA (sf)
  Class A-2, $20.00 million: Not rated
  Class B-1, $24.00 million: AA (sf)
  Class B-2, $22.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $27.00 million: BBB- (sf)
  Class E (deferrable), $15.50 million: BB- (sf)
  Class F (deferrable), $9.50 million: B- (sf)
  Subordinated notes, $36.80 million: Not rated



APIDOS CLO XXXV: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Apidos CLO XXXV/Apidos
CLO XXXV 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

  Apidos CLO XXXV/Apidos CLO XXXV LLC

  Class A, $315.00 million: AAA (sf)
  Class B, $65.00 million: AA (sf)
  Class C, $31.25 million: A (sf)
  Class D, $28.75 million: BBB- (sf)
  Class E, $17.50 million: BB- (sf)
  Subordinated notes, $53.60 million: Not rated


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

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

All trends are Stable.

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

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

The transaction will have a sequential-pay structure.

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

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

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

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

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

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

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

The transaction is managed and includes both a ramp-up and
reinvestment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. The deal is 100.0% multifamily, and
nonmultifamily loans are not allowed through the ramp-up or
reinvestment period. Furthermore, future loans cannot be secured by
student housing or healthcare type facilities such as assisted
living and memory care. The risk of negative credit migration is
also partially offset by eligibility criteria that outline DSCR,
LTV, property type, and loan size limitations for ramp and
reinvestment assets. DBRS Morningstar has RAC on new ramp loans,
companion participations above $1.0 million, and reinvestment
loans. DBRS Morningstar reviews these loans before they come into
the pool to assess any potential ratings impact. DBRS Morningstar
accounted for the uncertainty introduced by the 180-day ramp-up
period by running a ramp scenario that simulates the potential
negative credit migration in the transaction based on the
eligibility criteria.

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

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

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

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


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

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

The preliminary ratings are based on information as of March 25,
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

  Ares LIX CLO Ltd./Ares LIX CLO LLC

  Class A, $384 million: AAA (sf)
  Class B-1, $57 million: AA (sf)
  Class B-2, $15 million: AA (sf)
  Class C-1 (deferrable), $33 million: A (sf)
  Class C-2 (deferrable), $3 million: A (sf)
  Class D (deferrable), $36 million: BBB- (sf)
  Class E (deferrable), $21 million: BB- (sf)
  Subordinated notes, $61.0 million: Not rated



ARES XLI CLO: Moody's Assigns Ba3 Rating to $24M Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
CLO refinancing notes issued by Ares XLI CLO Ltd. (the "Issuer").

Moody's rating action is as follows:

US$384,000,000 Class A-R2 Senior Floating Rate Notes due 2034 (the
"Class A-R2 Notes"), Assigned Aaa (sf)

US$24,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes
due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien senior secured
loans and eligible investments, and up to 10.0% of the portfolio
may consist of assets that are not senior secured loans.

Ares CLO Management LLC (the "Manager") will continue to direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended 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 issuance of the Refinancing Notes, the other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Adjusted Weighted Average Rating Factor" and changes to the base
matrix and modifiers.

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

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

Portfolio par: $600,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3300

Weighted Average Spread (WAS): 3.59%

Weighted Average Coupon (WAC): 7.5%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.06 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 a Downgrade of the
Ratings:

The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.


ATTENTUS CDO I: Moody's Hikes Rating on $65M Class B Notes to B2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Attentus CDO I, Ltd.:

US$280,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes due 2036 (current outstanding balance of $50,206,131.23)
(the "Class A-1 Notes"), Upgraded to Aa2 (sf); previously on April
12, 2019 Upgraded to A1 (sf)

US$20,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes due 2036 (the "Class A-2 Notes"), Upgraded to Baa1 (sf);
previously on April 12, 2019 Upgraded to Baa3 (sf)

US$65,000,000 Class B Third Priority Senior Secured Floating Rate
Notes due 2036 (the "Class B Notes"), Upgraded to B2 (sf);
previously on April 12, 2019 Upgraded to Caa1 (sf)

Attentus CDO I, Ltd., issued in May 2006, is a collateralized debt
obligation (CDO) backed by a portfolio of REIT trust preferred
securities (TruPS), with exposure to bank TruPS, insurance notes,
corporate and CMBS securities.

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
over-collateralization (OC) ratios since March 2020.

The Class A-1 notes have paid down by approximately 9.3% or $5.2
million since March 2020, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2 and Class B notes have improved to 347.1%,
248.2% and 128.9%, respectively, from March 2020 levels of 314.8%,
231.3%, and 124.2%, respectively. The Class A-1 notes will continue
to benefit from the diversion of excess interest and the use of
proceeds from redemptions of any assets in the collateral pool.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $174.3 million,
defaulted par of $15.5 million, a weighted average default
probability of 37.94% (implying a WARF of 3145), and a weighted
average recovery rate upon default of 11.7%.

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
Approach to Rating TruPS CDOs" published in June 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.


ATTENTUS CDO III: Moody's Raises Ratings on 2 Tranches to B3
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Attentus CDO III, Ltd.:

US$100,000,000 Class A-2 Third Priority Senior Secured Floating
Rate Notes Due 2042 (current outstanding balance of $98,429,962.54)
(the "Class A-2 Notes"), Upgraded to Aa2 (sf); previously on April
20, 2017 Upgraded to Aa3 (sf)

US$34,000,000 Class B Fourth Priority Deferrable Secured Floating
Rate Notes Due 2042 (the "Class B Notes"), Upgraded to Baa3 (sf);
previously on April 20, 2017 Upgraded to Ba2 (sf)

US$16,000,000 Class C-1 Fifth Priority Deferrable Secured Floating
Rate Notes Due 2042 (the "Class C-1 Notes"), Upgraded to B3 (sf);
previously on April 20, 2017 Upgraded to Caa2 (sf)

US$15,000,000 Class C-2 Fifth Priority Deferrable Secured
Fixed/Floating Rate Notes Due 2042 (the "Class C-2 Notes"),
Upgraded to B3 (sf); previously on April 20, 2017 Upgraded to Caa2
(sf)

Attentus CDO III, Ltd., issued in January 2007, is a collateralized
debt obligation (CDO) backed by a portfolio of REIT, bank and
insurance trust preferred securities (TruPS), and corporate bonds.

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 and Class A-2 notes, an increase in the transaction's
over-collateralization (OC) ratios, and the improvement in the
credit quality of the underlying portfolio since March 2020.

The Class A-1 notes have paid in full and Class A-2 notes have paid
down by approximately 1.6% or $1.6 million since March 2020, using
principal proceeds from the redemption of the underlying assets and
the diversion of excess interest proceeds. Based on Moody's
calculations, the OC ratios for the Class A-2, Class B and Class C
notes have improved to 189.4%, 140.8% and 114.4%, respectively,
from March 2020 levels of 180.4%, 136.5% and 111.7%, respectively.

The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 1987 from 2264 in
March 2020.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $186.4 million,
defaulted par of $51.2 million, a weighted average default
probability of 26.11% (implying a WARF of 1987), and a weighted
average recovery rate upon default of 13.0%.

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
Approach to Rating TruPS CDOs" published in June 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.


BANK 2021-BNK32: DBRS Gives Prov. BB(high) Rating on 2 Classes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-BNK32 to
be issued by BANK 2021-BNK32:

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

All trends are Stable. Classes X-D, X-F, X-G, X-H, D, E, F, G, and
H will be privately placed. Class RR will be a nonoffered
certificate.
The Class X-A, Class X-B, Class X-D, Class X-F, Class X-G, and
Class X-H certificates (collectively referred to as the Class X
Certificates) are interest-only (IO) certificates that reference a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranch
adjusted upward by one notch if senior in the waterfall.

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

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

The collateral consists of 64 fixed-rate loans secured by 106
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. Two loans, representing
13.9% of the pool, are shadow-rated investment grade by DBRS
Morningstar. Additionally, 19 loans in the pool, representing 8.3%
of the pool, are backed by residential co-operative loans, which
typically have very low expected losses. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. When the cut-off balances were measured
against the DBRS Morningstar Net Cash Flow and their respective
actual constants, the initial DBRS Morningstar Weighted-Average
(WA) Debt Service Coverage Ratio (DSCR) of the pool was 3.03 times
(x). There were only five loans, representing 4.5%, that exhibited
a DSCR Morningstar DSCR below 1.32x, a threshold indicative of a
higher likelihood of midterm default. The pool additionally
includes five loans, representing 8.8% of the allocated pool
balance, that exhibit a DBRS Morningstar Loan-to-Value (LTV) ratio
in excess of 67.1%, a threshold generally indicative of
above-average default frequency. The WA DBRS Morningstar LTV of the
pool at issuance was 51.0% and the pool is scheduled to amortize
down to a DBRS Morningstar WA LTV of 49.6% at maturity. These
credit metrics are based on the A-note balances. Excluding the
shadow-rated loans, the deal still exhibits a favorable WA DBRS
Morningstar LTV of 53.4%.

Two of the loans, 605 Third Avenue and Seventh Avenue Leased Fee,
exhibit credit characteristics consistent with investment-grade
shadow ratings. Combined, these loans represent 13.9% of the pool.
605 Third Avenue has credit characteristics consistent with a A
(low) shadow rating. Seventh Avenue Leased Fee has credit
characteristics consistent with a AAA shadow rating. Additionally,
nineteen loans in the pool, representing 8.3% of the transaction,
are backed by residential co-operative loans. Residential
co-operatives tend to have minimal risk, given their low leverage
and low risk to residents if the co-operative associations default
on their mortgages. The WA DBRS Morningstar LTV for these loans is
16.1%.

Thirty-nine loans, representing a combined 65.9% of the pool by
allocated loan balance, exhibit issuance LTVs of less than 59.3%, a
threshold historically indicative of relatively low-leverage
financing and generally associated with below-average default
frequency. The WA DBRS Morningstar LTV of 51.0% compares favorably
against BANK 2020-BNK30 at 52.4% and BANK 2020-BNK29 at 58.4%, both
of which were rated by DBRS Morningstar. Even with the exclusion of
the shadow-rated loans and the loans secured by co-operative
properties, collectively representing 22.2% of the pool, the deal
exhibits favorable DBRS Morningstar Issuance LTV of 55.9%.

While the pool demonstrates favorable loan metrics with WA DBRS
Morningstar Issuance and Balloon LTVs of 51.0% and 49.6%,
respectively, it also exhibits heavy leverage barbelling. There are
two loans, accounting for 13.9% of the pool, with investment-grade
shadow ratings and a WA LTV of 36.4% and 19 loans, representing
8.3% of the transaction, secured by co-operatives with a WA DBRS
Morningstar LTV of 16.1%. The pool also has 39 loans, representing
a combined 65.9% of the pool by allocated loan balance, with an
issuance LTV lower than 59.3%, a threshold historically indicative
of relatively low-leverage financing. There are five loans,
comprising a combined 8.8% of the pool balance, with an issuance
LTV higher than 67.1%, a threshold historically indicative of
relatively high-leverage financing and generally associated with
above-average default frequency. The WA expected loss of the pool's
investment-grade and co-operative component was approximately 0.4%,
while the WA expected loss of the pool's conduit component was
substantially higher at approximately 1.8%, further illustrating
the barbelled nature of the transaction.

Sixteen loans, representing 21.5% of the pool, are in areas
identified as DBRS Morningstar Market Ranks 7 or 8, which are
generally characterized as highly dense urbanized areas that
benefit from increased liquidity driven by consistently strong
investor demand, even during times of economic stress. Markets with
these ranks benefit from lower default frequencies than less dense
suburban, tertiary, and rural markets. Urban markets represented in
the deal include New York and San Francisco. Furthermore, 30 loans,
representing 41.1% of the pool balance, have collateral in MSA
Group 3, which represents the best-performing group in terms of
historical CMBS default rates among the top 25 MSAs. MSA Group 3
has a historical default rate of 17.2%, which is nearly 40.0% lower
than the overall CMBS historical default rate of 28.0%.

DBRS Morningstar deemed three loans, representing 27.7% of the pool
balance, received a property quality of Average (+) or better
including two loans, representing 19.9% of the pool balance, to
have Above Average quality. Four loans, which represent the largest
four loans in the pool, representing 37.7% of the pool, have Strong
sponsorship. Furthermore, DBRS Morningstar identified only one
loan, representing just 0.80% of the pool, as having a sponsorship
and/ or loan collateral that results in DBRS Morningstar
classifying the sponsor strength as Weak.

The pool has a relatively high concentration of loans secured by
office and retail properties; these 16 loans represent 51.2% of the
pool balance. The ongoing coronavirus pandemic continues to pose
challenges globally and the future demand for office and retail
space is uncertain with many store closures, companies filing for
bankruptcy or downsizing, and more companies extending their
remote-working strategy. One of the six off loans, 605 Third
Avenue, representing 27.8% of the office concentration, is
shadow-rated investment grade by DBRS Morningstar. Furthermore,
74.0% of the office loans are located in MSA Group 3, which
represents the lowest historical CMBS default rates. Of the retail
concentration, four loans, representing 31.1% of the retail
concentration, are secured by multiple properties (22 in total),
which insulate the loans from issues at any one property.
Furthermore, 53.1% of the total retail concentration is in an area
with a DBRS Morningstar Mark Rank of 6 or higher. The office and
retail properties exhibit favorable WA DBRS Morningstar DSCRs of
3.39x and 1.97x, respectively. Additionally, both property types
exhibit favorable WA Morningstar LTVs at 51.3% and 56.8%,
respectively. Two of the loans secured by office properties,
representing 63.0% of the concentration, have sponsors that were
deemed to be Strong.

Thirty-eight loans, representing 78.5% of the pool balance, are
structured with full-term IO periods. An additional 14 loans,
representing 16.4% of the pool balance, are structured with
partial-IO terms ranging from one month to 60 months. Of the 38
loans structured with full-term IO periods, 10 loans, representing
27.8% of the pool by allocated loan balance, are located in areas
with a DBRS Morningstar Market Rank of 6, 7, or 8. These markets
benefit from increased liquidity even during times of economic
stress. Two of the 38 identified loans, representing 13.9% of the
total pool balance, are shadow-rated investment grade by DBRS
Morningstar: 605 Third Avenue and 530 Seventh Avenue Fee. The
full-term IO loans are effectively preamortized, as evidenced by
the very low WA DBRS Morningstar Issuance LTV of only 52.1% for
these loans.

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


BANK 2021-BNK32: Fitch Assigns Final B- Rating on Class G Certs
---------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks on
BANK 2021-BNK32, commercial mortgage pass-through certificates
series 2021-BNK32.

Fitch has assigned the following:

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

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

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

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

-- $161,500,000a Class A-4 'AAAsf'; Outlook Stable;

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

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

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

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

-- $367,780,000a Class A-5 'AAAsf'; Outlook Stable;

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

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

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

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

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

-- $152,569,000b Class X-B 'AA-sf'; Outlook Stable;

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(b) Notional amount and IO.

(c) Privately placed and pursuant to Rule 144a.

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

The ratings are based on information provided by the issuer as of
March 24, 2021.

Since Fitch published its presale on March 10, 2021, the rating for
class X-B was updated to 'AA-sf' from 'A-sf', to reflect the lowest
rated tranche whose payable interest has an impact on the IO
payments.

Additionally, the class balances for class A-4 and A-5 have been
finalized. At the time that the expected ratings were published,
the initial certificate balances of classes A-4 and A-5 were
unknown and expected to be approximately $601,680,000 in aggregate,
subject to a 5% variance. The final class balances for classes A-4
and A-5 are $161,500,000 and $367,780,000, respectively.

TRANSACTION SUMMARY

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

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

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes Covid-19) pandemic may have an adverse
impact on near-term revenue (i.e. bad debt expense, rent relief)
and operating expenses (i.e. sanitation costs) for some properties
in the pool. Delinquencies may occur in the coming months as
forbearance programs are put in place, although the ultimate impact
on credit losses will depend heavily on the severity and duration
of the negative economic impact of the coronavirus pandemic, and to
what degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers. Per the offering documents, all
of the loans are current and are not subject to any forbearance
requests.

KEY RATING DRIVERS

Better Than Average Fitch DSCR: Overall, the pool's Fitch DSCR of
1.61x is higher than the 2020 and 2019 averages of 1.32x and 1.26x,
respectively. The pool's Fitch LTV of 97.5% is below the 2020 and
2019 averages of 99.6% and 103.0%, respectively. Excluding the
cooperative loans, the pool's Fitch DSCR and LTV are 1.32x and
103.7%, respectively.

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

-- Original Rating: AAAsf/AA-sf/A-sf/BBBsf/BBB-sf/BB-sf/B-sf; and

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BCC FUNDING XVI: DBRS Confirms BB(high) Rating of Class D Notes
---------------------------------------------------------------
DBRS, Inc. upgraded four ratings and confirmed the remaining
ratings on the following classes of securities included in four BCC
Funding transactions:

BCC Funding XII LLC:

-- Loan confirmed at A (sf)

BCC Funding XIV LLC:

-- Series 2018-1, Class B Notes confirmed at AAA (sf)
-- Series 2018-1, Class C Notes upgraded to AAA (sf)
-- Series 2018-1, Class D Notes upgraded to A (high) (sf)
-- Series 2018-1, Class E Notes upgraded to BB (high) (sf)

BCC Funding XVI LLC:

-- Series 2019-1, Class A-2 Notes confirmed at AAA (sf)
-- Series 2019-1, Class B Notes upgraded to AA (sf)
-- Series 2019-1, Class C Notes confirmed at A (low) (sf)
-- Series 2019-1, Class D Notes confirmed at BB (sf)

BCC Funding XVII LLC:

-- Class A-1 Notes confirmed at R-1 (high) (sf)
-- Class A-2 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at A (high) (sf)
-- Class C Notes confirmed at BBB (high) (sf)
-- Class D Notes confirmed at BB (high) (sf)
-- Class E Notes confirmed at B (sf)

The rating actions are based on the following analytical
considerations:

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

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

-- The currently available hard credit enhancement in the form of
overcollateralization, subordination (as applicable), and amounts
of deposit in the cash reserve account, as well as the change in
the level of protection afforded by each form of credit enhancement
since the closing of each transaction.

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected cumulative net loss assumptions that take into account the
increased stress commensurate with the moderate macroeconomic
scenario.

-- The relative benefit from obligor and geographic
diversification of collateral pools.

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

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 27, 2020), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.


BELLEMEADE RE 2021-1: Moody's Assigns B3 Rating on Class B-1 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive 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 A1 (sf)

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

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

Cl. M-2, Assigned Ba3 (sf)

Cl. B-1, Assigned 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 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 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 Moody's
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.


BENCHMARK 2019-B10: Fitch Affirms B- Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Benchmark 2019-B10
Mortgage Trust, commercial mortgage pass-through certificates,
series 2019-B10. In addition, Fitch has revised the Rating Outlooks
on classes E, F, G, X-D, X-F and X-G to Negative from Stable.

     DEBT                RATING             PRIOR
     ----                ------             -----
BMARK 2019-B10

A-1 08162VAA6     LT  AAAsf   Affirmed      AAAsf
A-2 08162VAB4     LT  AAAsf   Affirmed      AAAsf
A-3 08162VAD0     LT  AAAsf   Affirmed      AAAsf
A-4 08162VAE8     LT  AAAsf   Affirmed      AAAsf
A-M 08162VAG3     LT  AAAsf   Affirmed      AAAsf
A-SB 08162VAC2    LT  AAAsf   Affirmed      AAAsf
B 08162VAH1       LT  AA-sf   Affirmed      AA-sf
C 08162VAJ7       LT  A-sf    Affirmed      A-sf
D 08162VAV0       LT  BBBsf   Affirmed      BBBsf
E 08162VAX6       LT  BBB-sf  Affirmed      BBB-sf
F 08162VAZ1       LT  BB-sf   Affirmed      BB-sf
G 08162VBB3       LT  B-sf    Affirmed      B-sf
X-A 08162VAF5     LT  AAAsf   Affirmed      AAAsf
X-B 08162VAK4     LT  A-sf    Affirmed      A-sf
X-D 08162VAM0     LT  BBB-sf  Affirmed      BBB-sf
X-F 08162VAP3     LT  BB-sf   Affirmed      BB-sf
X-G 08162VAR9     LT  B-sf    Affirmed      B-sf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations have increased since
issuance, primarily driven by a greater number of Fitch Loans of
Concern (FLOCs) that have been affected by the slowdown in economic
activity related to the coronavirus pandemic. Seventeen loans are
FLOCs (38.3% of pool), including one specially serviced loan
(1.7%). Fitch's current ratings incorporate a base case loss of
5.70%. The Negative Outlooks reflect losses that could reach 8.30%
when factoring in additional coronavirus-related stresses and a
potential outsized loss of 20% to the Saint Louis Galleria loan.

The largest contributor to loss, Tailor Lofts (3.3%), is secured by
a 441-bed student housing property in Chicago, IL. The property is
well located in the West Loop neighborhood of Chicago and within
walking distance of both University of Illinois Chicago and Rush
University. All leases are 12 month and require parental
guarantees. Occupancy declined to 60.7% as of September 2020, with
an average rent per unit of $1,109, from 95.2% at September 2019
and 99.5% at issuance. Fitch's analysis applied a 15% haircut to
the YE 2019 NOI to factor in the decline in occupancy.

The second largest contributor to loss, Union Bay Apartments
(1.9%), is secured by a 74-unit multifamily property in Seattle,
WA. Occupancy declined to 86% at YE 2020 from 96% at YE 2019. Per
the most recent reported financials, property-level operating
expenses have also increased substantially since issuance.

The third largest contributor to loss, Embassy Suites Scottsdale
(3.1%), is secured by a full-service, 312-key hotel in Scottsdale,
AZ. The borrower has requested relief, which is currently under
review by the special servicer, due to property operations being
negatively affected by the pandemic. Per the March 2020 STR report,
occupancy, ADR and RevPAR were 61.6%, $164 and $101, respectively,
compared with 61.5%, $175 and $107 for its competitive set; RevPAR
penetration was 94.1%. Fitch requested a more recent STR report,
but was not provided one. Fitch's analysis incorporated a 20%
stress to the YE 2019 NOI to address pandemic-related performance
concerns.

The specially serviced loan, 166 Geary St (1.7%), is secured by an
office property in downtown San Francisco, CA; the collateral
consists of 14 stories (floors 3-16) within a 16-story building and
excludes the first two floors of retail space. The loan transferred
to special servicing in June 2020 for delinquent payments. The
largest tenant, WeWork, occupies 12,533 sf (36% of NRA) and
accounts for 42% of the rental revenue, with a lease expiration in
December 2028. . Per the special servicer, a modification proposal
from the borrower was recently received and is currently under
review. Additionally, Fitch's loss expectation reflects a discount
to the appraisal value which accounts for the removal of WeWork.

Minimal Changes to Credit Enhancement: As of the February 2021
remittance reporting, the pool's aggregate balance has paid down by
0.4% to $1.1 billion from $1.1 billion at issuance. No loans have
been paid off or defeased since issuance. There are 21 loans that
are full term, interest-only (59.2%), 15 loans (29.1%) that are
partial interest-only and 10 loans (11.7%) that are amortizing
balloon loans. Based on the scheduled balance at maturity, the pool
will pay down by 5.3%.

Additional Stresses Applied due to Coronavirus Exposure: Ten loans
(15.8%) are secured by retail properties, six loans (9.7%) are
secured by hotel properties and 10 loans (25.2%) are secured by
multifamily properties. Fitch applied additional
coronavirus-related stresses to five retail loans and six hotel
loans; these additional stresses contributed the Negative Rating
Outlooks.

Alternative Loss Scenario: Fitch performed an additional
sensitivity scenario which applied a potential outsized loss of 20%
to the Saint Louis Galleria loan (6%) 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. This outsized loss assumes a 25% haircut to the YE
2019 NOI and a 14.25% cap rate. The Negative Rating Outlooks
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 (5.2%) is a Brookfield-sponsored
super-regional mall located in St. Louis, MO. The three largest
collateral tenants include Galleria 6 Cinemas (4.2% of NRA), H&M
(2.8%) and Victoria's Secret (2.8%). Non-collateral anchors include
Dillard's, Macy's and Nordstrom. Inline sales, excluding Apple,
fell to $404 psf as of TTM June 2020, from $470 psf at YE 2019 and
$561 psf as of TTM August 2018. According to the March 2020 rent
roll, multiple leases comprising approximately 24% of the NRA were
scheduled to expire in 2021. The borrower has entered into a
forbearance agreement effective between April and December 2020.

Credit Opinion Loans: Three loans representing 15.2% of the pool
received investment-grade credit opinions at issuance. 3 Columbus
Circle (6.5%) had an investment-grade credit opinion of BBB-sf* on
a standalone basis. ARC Apartments (5.2%) had an investment-grade
credit opinion of A-sf* on a standalone basis. 101 California
(3.5%) had an investment-grade credit opinion of BBB-sf* on a
standalone basis.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E, F, G, X-D, X-F and X-G
reflect the potential for downgrade due to the sensitivity analysis
on the St. Louis Galleria loan and performance concerns associated
with the FLOCs. The Stable Rating Outlooks reflect the overall
stable performance of the majority of the pool and expected
continued amortization.

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

-- Sensitivity factors that could lead to upgrades include stable
    to improved asset performance coupled with paydown and/or\
    defeasance. Upgrades to classes B, C and X-B would only occur
    with significant improvement in credit enhancement and/or
    defeasance and with the stabilization of performance on the
    FLOCs, particularly Saint Louis Galleria.

-- Upgrades to classes D, E, and X-D would consider these
    factors, but would be limited based on sensitivity to
    concentrations or the potential for future concentration.
    Classes would not be upgraded above 'Asf' if there is a
    likelihood of interest shortfalls.

-- An upgrade to classes F, X-F, G and X-G is unlikely until the
    later years of the transaction, and only if the performance of
    the remaining pool is stable and/or properties vulnerable to
    the coronavirus return to pre-pandemic levels, and there is
    sufficient CE to the classes.

-- The Negative Outlooks on classes E, F, G, X-D, X-F and X-G may
    be revised to Stable with the stabilization of performance on
    the Saint Louis Galleria and properties vulnerable to the
    pandemic.

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

-- Sensitivity factors that lead to downgrades include an
    increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the senior classes, A
    1, A-2, A-3, A-4, A-SB, X-A, A-M and B are not likely due to
    their position in the capital structure, but may occur should
    interest shortfalls occur.

-- Downgrades to classes C, X-B, and D could occur should
    expected losses for the pool increase substantially and all of
    the loans susceptible to the coronavirus pandemic suffer
    losses.

-- Downgrades to classes E, X-D, F, X-F, G and X-G would occur
    with an outsized loss on the Saint Louis Galleria, performance
    of the FLOCs fail to stabilize and/or additional loans default
    and/or transfer to special servicing.

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 Rating Outlook or
those with Negative Rating Outlooks will be downgraded by 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.


BENCHMARK 2021-B24: Fitch Assigns B- Rating on Class G Certs
------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2021-B24 Mortgage Trust commercial mortgage pass-through
certificates series 2021-B24 as follows:

-- 11,152,000 class A-1 'AAAsf'; Outlook Stable;

-- 73,848,000 class A-2 'AAAsf'; Outlook Stable;

-- 81,111,000 class A-3 'AAAsf'; Outlook Stable;

-- 213,500,000 class A-4 'AAAsf'; Outlook Stable;

-- 365,781,000 class A-5 'AAAsf'; Outlook Stable;

-- 25,562,000 class A-SB 'AAAsf'; Outlook Stable;

-- 857,686,000a class X-A 'AAAsf'; Outlook Stable;

-- 99,123,000a class X-B 'A-sf'; Outlook Stable;

-- 86,732,000 class A-S 'AAAsf'; Outlook Stable;

-- 49,562,000 class B 'AA-sf'; Outlook Stable;

-- 49,561,000 class C 'A-sf'; Outlook Stable;

-- 57,822,000ab class X-D 'BBB-sf; Outlook Stable;

-- 28,910,000ab class X-F 'BB-sf'; Outlook Stable;

-- 12,391,000ab class X-G 'B-sf; Outlook Stable;

-- 31,664,000b class D 'BBBsf'; Outlook Stable;

-- 26,158,000b class E 'BBB-sf'; Outlook Stable;

-- 28,910,000b class F 'BB-sf'; Outlook Stable;

-- 12,391,000b class G 'B-sf'; Outlook Stable.

The following classes are not rated by Fitch:

-- 45,431,418b class NR;

-- 45,431,418ab class X-NR;

-- 20,859,855bc class RR;

-- 37,106,641bc RR Interest.

(a) Notional amount and interest only (IO).

(b) Privately placed and pursuant to Rule 144A.

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

Since Fitch published its expected ratings on March 01, 2021, the
balances for classes A-4 and A-5 were finalized. At the time the
expected ratings were published, the initial certificate balances
of classes A-4 and A-5 were expected to be $579,281,000 in the
aggregate, subject to a variance of plus or minus 5%. The final
class balances for classes A-4 and A-5 are $213,500,000 and
$365,781,000, respectively. The classes above reflect the final
ratings and deal structure.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 40 fixed-rate loans secured by
71 commercial properties having an aggregate principal balance of
$1,159,329,914 as of the cut-off date. The loans were contributed
to the trust by Citi Real Estate Funding Inc, JPMorgan Chase Bank,
National Association, German American Capital Corporation and
Goldman Sachs Mortgage Company.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 23.2% of the properties
by balance, cash flow analyses of 94.7% of the pool, and asset
summary reviews on 100% of the pool.

Coronavirus Impact. The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenue (i.e. bad debt expense, rent relief) and operating expenses
(i.e. sanitation costs) for some properties in the pool.
Delinquencies may occur in the coming months as forbearance
programs are put in place, although the ultimate impact on credit
losses will depend heavily on the severity and duration of the
negative economic impact of the coronavirus pandemic and to what
degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers.

Per the offering documents, all the loans are current and are not
subject to any ongoing forbearance requests; however, the sponsors
for four loans, Dawson Marketplace (3.8% of the pool), JW Marriott
Nashville (3.0% of the pool), Willoughby Commons (1.5% of the
pool), and Holiday Inn Philadelphia South (0.5% of the pool) have
negotiated loan amendments/modifications. Please see the
"Additional Coronavirus Forbearance Provisions" section in page 14
of this presale report for additional information.

KEY RATING DRIVERS

Leverage Exceeds that of Recent Transactions. The pool has a higher
leverage than those of other recent multiborrower transactions
rated by Fitch. The pool's Fitch trust loan-to-value (LTV) of
104.1% is higher than the 2020 and 2019 averages of 99.6% and
103.0%, respectively. Additionally, the pool's trust Fitch (DSCR)
of 1.34x is in-line with the 2020 average of 1.32x and above the
2019 average of 1.26x. Excluding credit opinion loans, the pool's
weighted average (WA) Fitch trust DSCR and LTV are 1.26x and
111.9%, respectively.

Investment-Grade Credit Opinion Loans. The pool includes two loans,
representing 13.8% of the pool, that received investment-grade
credit opinions. This is below the 2020 and 2019 averages of 24.5%
and 14.2%, respectively. 410 Tenth Avenue (6.9% of the pool)
received a credit opinion of Asf* on a standalone basis. MGM Grand
& Mandalay Bay (6.9%) received a credit opinion of BBB+sf* on a
standalone basis.

High Office Exposure. Loans secured by office properties account
for 54.3% of the pool's cutoff balance, which is higher than the
2020 and 2019 averages of 41.2% and 34.2%, respectively. Seven of
the top 10 loans are secured by office, including the largest loan,
410 Tenth Avenue (6.9% of the pool). Industrial properties have the
next highest property type concentration at 15.3%, which is above
the 2020 and 2019 averages of 9.8% and 7.3%, respectively. The
pool's retail property concentration of 12.6% is below the 2020 and
2019 averages of 16.3% and 23.6%, respectively, and the pool's
hotel concentration of 10.5% is slightly above the 2020 average of
9.2% and below the 2019 average of 12.0%.

Limited Amortization. Twenty-seven loans, representing 76.2% of the
pool's cutoff balance, are interest only (IO) for the entirety of
the respective loan terms or up to the anticipated repayment date
(ARD). This concentration of full-term IO loans is greater than the
2020 and 2019 averages of 67.7% and 60.3%, respectively. Based on
the scheduled balance at maturity, the pool will pay down 3.5% by
maturity, which is below the 2020 and 2019 averages of 5.3% and
5.9%, respectively.

RATING SENSITIVITIES

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow (NCF) in up- and down-environments. The result below
should only be considered as one potential outcome, as the
transaction is exposed to multiple dynamic risk factors. It should
not be used as an indicator of possible future performance.

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

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

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

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

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

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

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

10% NCF Decline: 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'Bsf'
/'CCCsf' / 'CCCsf'.

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

30% NCF Decline: 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf'/ 'CCCsf' /
'CCCsf' / 'CCCsf'.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on Ernst & Young LLP. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.

ESG CONSIDERATIONS

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


BRAVO RESIDENTIAL 2021-HE1: DBRS Finalizes B Rating on B-2 Notes
----------------------------------------------------------------
DBRS, Inc. finalized the following ratings on the Mortgage-Backed
Notes, Series 2021-HE1 issued by BRAVO Residential Funding Trust
2021-HE1 (BRAVO 2021-HE1):

-- $199.9 million Class A-1 at AAA (sf)
-- $21.1 million Class A-2 at AA (sf)
-- $13.4 million Class A-3 at A (sf)
-- $21.9 million Class M-1 at BBB (sf)
-- $7.9 million Class B-1 at BB (sf)
-- $4.9 million Class B-2 at B (sf)

The AAA (sf) rating on the Notes reflects 34.15% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 27.20%, 22.80%,
15.60%, 13.00%, and 11.40% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned
first- and junior-lien revolving home equity lines of credit
(HELOC) and home equity mortgage loans funded by the issuance of
asset-backed notes. The Notes are backed by 5,400 HELOCs (including
multiple segments of the same loan at different interest rates) and
63 home equity loans with a total unpaid principal balance (UPB) of
$299,414,701 and $4,127,532, respectively. The HELOCs have a total
current credit limit of $430,624,727 as of the Cut-Off Date
(January 31, 2021).

DBRS Morningstar considers this transaction to be a seasoned
performing HELOC securitization. Please refer to Appendix 7 of the
"RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities
Model and Rating Methodology" for the applicable analytics used to
estimate expected losses for HELOCs.

The transaction includes a significantly seasoned first-lien
portion and a slightly more seasoned junior-lien (predominantly
second-lien) portion.

In this transaction, approximately 77.1% of the loans are open- and
temporarily closed-HELOCs; 21.6% are closed-HELOCs; and 1.4% are
home equity mortgage loans. The open-HELOC loans generally have a
draw period during which borrowers may make draws up to a credit
limit, which would result in increased loan balances up to the
related credit limit, though such right to make draws may be
temporarily frozen in certain circumstances. The HELOCs could be
closed temporarily, preventing borrowers from making new draws. The
temporary "freeze" of the credit line may happen for a few reasons,
including, but not limited to, a decrease in value of the related
mortgaged property, a material change in a borrower's financial
circumstances, a default by the related borrower under the related
line of credit agreement, or a change in delinquency status.
Borrowers of closed-HELOCs may no longer make draws, while
open-HELOC mortgagors generally have a draw periods of 10 or 20
years and a repayment period at the end of the draw term of either
10, 15, or 20 years or are required to be repaid in full at the end
of the draw period. During the repayment period, borrowers are no
longer allowed to draw. Also, their monthly principal payments
during the repayment period will equal an amount that allows the
outstanding loan balance to evenly amortize down over the repayment
term, except for 29.0% that have a balloon payment due at the end
of the repayment period. Borrowers are generally required to make
accrued and unpaid interest payments only during the draw period
except in certain instances when the principal balance exceeds the
credit limit.

Approximately 11.2% and 27.3% of the loans (by loan count) were
originated with a fixed-rate lock and fixed-rate option feature,
respectively. A loan with a fixed-rate lock feature gives the
borrower the ability to convert their HELOC into a closed,
fixed-rate mortgage loan with a repayment period of 15 years. A
HELOC with a fixed-rate option feature gives the borrower the
ability to convert up to three segments of $5,000 or more to a
fixed-rate segment, while retaining the ability to draw additional
balances during the draw period up to the remaining credit limit.

The portfolio is approximately 109 months seasoned and contains
1.9% modified loans. The modifications happened more than two years
ago for 73.4% of the modified loans. Within the pool, 190 mortgages
have non-interest-bearing deferred amounts totaling $336,751, which
equate to approximately 0.1% of the total principal balance. There
are no HAMP or proprietary principal forgiveness amounts included
in the deferred amounts.

Loan Funding Structure LLC (LFS) is the Sponsor and PMIT TRS LLC is
the Seller. PMIT Residential Funding II, LLC (the Depositor) will
transfer the loans to the Trust. These loans were originated and
previously serviced by various entities through purchases in the
secondary market.

Rushmore Loan Management Services LLC will service the loans. The
initial aggregate servicing fee for the BRAVO 2021-HE1 portfolio
will be 0.50% per annum.

U.S. Bank National Association (rated AA (high) with a Negative
trend by DBRS Morningstar) will serve as Indenture Trustee, Paying
Agent, and Custodian. U.S. Bank Trust National Association will
serve as the Owner Trustee.

The Sponsor or a majority-owned affiliate of the Sponsor will
acquire and intends to retain a vertical 5% interest in each class
of securities to satisfy the credit risk-retention requirements
under Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder.

Unlike in several other transactions backed by junior-lien mortgage
loans and/or HELOCs, in this transaction, any junior-lien HELOC or
loan that is 180 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method will not be charged-off.
Notwithstanding, DBRS Morningstar assumes no recoveries upon
default of any junior liens in this pool in its analysis.

This transaction utilizes a structural mechanism similar to those
used in other HELOC-backed transactions to fund future draw
requests. The Servicer will be required to fund draws and will be
entitled to reimburse itself for such draws prior to any payments
on the Notes from the principal collections. If the aggregate draws
exceed the principal collections (Net Draw), then the Indenture
Trustee will reimburse the Servicer first from amounts on deposit
in the variable-funding account (VFA) and second, if the amounts
available in the VFA are insufficient, from the future principal
collections. The VFA has an initial balance of $100,000 and a VFA
required amount of $100,000 for each payment date. If the amount on
deposit in the VFA is less than such required amount on a payment
date, the Paying Agent will use excess cash flow remaining (as
described in the Cash Flow Structure and Features section of the
related report) to deposit in the VFA. To the extent the VFA is not
funded up to its required amount from excess cash flow, the holder
of the Trust Certificates on behalf of the Class R Notes will be
required to use its own funds to make any deposits to the VFA or to
reimburse the Servicer for any Net Draws. The holder of the Trust
Certificate is permitted to finance these funding obligations by
using the financing secured by the Trust Certificate with a
third-party lender. The balance of Class R Notes will be increased
by an amount deposited to VFA account used to reimburse the
Servicer for the Net Draws.

The transaction employs a modified sequential-pay cash flow
structure with a pro rata principal distribution among the more
senior tranches (Class A-1, A-2, and A-3 Notes) subject to a
sequential priority trigger (Credit Event) as described further
below. The Trust Certificates have a pro rata principal
distribution with all senior and subordinate tranches while the
Credit Event is not in effect. When the trigger is in effect, the
Trust Certificates principal distribution will be subordinated to
both the senior and subordinate notes in the payment waterfall.
While a Credit Event is in effect, realized losses will be
allocated reverse sequentially starting with the Trust
Certificates, followed by the Class B-3 Notes, and then continuing
up to Class A-1 Notes based on their respective payment priority.
While a Credit Event is not in effect, the losses will be allocated
pro rata between the Trust Certificates and all outstanding notes
based on their respective priority of payments. The outstanding
notes will allocate realized losses reverse sequentially, beginning
with Class B-3 up to Class A-1 Notes.

There will be no advancing of delinquent principal or interest on
the mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances
for the first-lien loans in respect of homeowner association fees,
taxes and insurance, and installment payments on energy improvement
liens, as well as reasonable costs and expenses incurred in the
course of servicing and disposing properties. The Servicer is also
obligated to fund any monthly Net Draws, as noted above.

As of the Cut-Off Date, 99.0% of the pool is current and 0.7% is 30
days delinquent, under the MBA delinquency method. Additionally,
0.2% of the pool is in bankruptcy (all bankruptcy loans are
performing or 30 days delinquent). Approximately 91.2% of the
mortgage loans have been zero times 30 days delinquent (0 x 30) for
at least the past 24 months under the MBA delinquency method.

The majority of the pool (98.9%) is exempt from the Consumer
Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. The loans subject to the ATR rules (1.1%) were
missing a designation.

The holder of the Trust Certificates may, at its option, on or
after the earlier of (1) the payment date in February 2024 or (2)
the date on which the total loans' and REO properties' balance
falls to or below 30% of the loan balance as of the Cut-Off Date
(Optional Termination Date), purchase all of the loans and REO
properties at the optional termination price described in the
transaction documents.

The Depositor, at its option, may purchase any mortgage loan that
is 90 days or more MBA delinquent under the MBA Method (or in the
case of any loan that has been subject to a coronavirus-related
forbearance plan, on any date from and after the date on which such
loan becomes 90 days MBA delinquent following the end of the
forbearance period) at the repurchase price (Optional Purchase)
described in the transaction documents. The total balance of such
loans purchased by the Depositor will not exceed 10% of the Cut-Off
Balance.

The Servicer, at a direction of the Controlling Holder, may direct
the Issuer to sell of eligible nonperforming loans (those 120 days
or more MBA delinquent) or real estate owned (REO) properties
(both, Eligible NPLs) to third parties individually or in bulk
sales. The Controlling Holder will have a sole authority over the
decision to sale the Eligible NPLs, as described in the transaction
documents.

Coronavirus Disease (COVID-19) Impact

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

RPL is a traditional RMBS asset class that consists of
securitizations backed by pools of seasoned performing and
reperforming residential first- and junior- lien home loans and
HELOCs. Although borrowers in these pools may have experienced
delinquencies in the past, the loans have been largely performing
for the past six to 24 months since issuance. Generally, these
pools are highly seasoned and contain sizable concentrations of
previously modified loans.

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

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

In the RPL asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that loans which were previously
delinquent, recently modified, or have higher updated loan-to-value
ratios (LTVs) may be more sensitive to economic hardships resulting
from higher unemployment rates and lower incomes. Borrowers with
previous delinquencies or recent modifications have exhibited
difficulty in fulfilling payment obligations in the past and may
revert to spotty payment patterns in the near term. Higher LTV
borrowers with lower equity in their properties generally have
fewer refinance opportunities and, therefore, slower prepayments.

In addition, the Coronavirus Aid, Relief, and Economic Security
(CARES) Act, signed into law on March 27, 2020, mandates that all
mortgagors with government-backed mortgages be allowed to delay at
least 180 days of monthly payments (followed by another period of
180 days if the mortgagor requests it). For loans not subject to
the CARES Act, servicers may still provide payment relief to
borrowers who report financial hardship related to coronavirus.
Within this pool, although not subject to the CARES Act, 4.1% of
the borrowers are on or have been on coronavirus-related
forbearance or deferral plans. These forbearance plans allow
temporary payment holidays, followed by repayment once the
forbearance period ends or a deferral of the forborne balance.

For this transaction, DBRS Morningstar applied additional
assumptions to evaluate the impact of potential cash flow
disruptions on the rated tranches, stemming from (1) lower P&I
collections and (2) no servicing advances on delinquent P&I. These
assumptions include:

Increased delinquencies for the first 12 months for the AAA (sf)
and AA (sf) rating level;

Increased delinquencies for the first nine months for the A (sf)
and below rating levels;

No voluntary prepayments for the first 12 months for the AAA (sf)
and AA (sf) rating levels; and

No liquidation recovery for the first 12 months for the AAA (sf)
and AA (sf) rating levels.

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


BSPRT 2021-FL6: DBRS Gives Prov. B (low) Rating on Class H Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by BSPRT 2021-FL6 Issuer, Ltd.:

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

The Issuer elected to make certain changes to the non-offered Class
G certificate after DBRS Morningstar assigned a provisional rating
of BB (sf). The resulting finalized provisional rating DBRS
Morningstar assigned to the non-offered Class G certificate in
light of the changes was BB (low) (sf).

The initial collateral includes 21 mortgage loans, consisting of
eight whole loans and 13 fully funded senior, senior pari passu, or
pari passu participations secured by commercial or multifamily real
estate properties with an initial cut-off balance totaling $446.7
million. Twenty of the mortgages have floating rates, while one
loan has a fixed rate. The transaction is a managed vehicle, which
includes a 180-day ramp-up acquisition period and subsequent
30-month reinvestment period. The ramp-up acquisition period will
be used to increase the trust balance by $253.3 million to a total
target collateral principal balance of $700.0 million. DBRS
Morningstar assessed the $253.3 million ramp component using a
conservative pool construct, and, as a result, the ramp loans have
expected losses above the pool weighted-average (WA) loan expected
loss. During the reinvestment period, so long as the note
protection tests are satisfied and no event of default has occurred
and is continuing, the collateral manager may direct the
reinvestment of principal proceeds to acquire reinvestment
collateral interest, including funded companion participations,
meeting the eligibility criteria. The eligibility criteria, among
other things, has minimum debt service coverage ratio (DSCR),
loan-to-value (LTV), 14 Herfindahl score, and loan size
limitations. This pertains to all loans in the pool with exception
to Palms on Lamar (7.2% of pool), which is only subject to Loan
Specific Eligibility Criteria. Lastly, the eligibility criteria
stipulates Rating Agency Confirmation on ramp loans, reinvestment
loans, and a $1.0 million threshold on pari passu participation
acquisitions if a portion of the underlying loan is already
included in the pool, thereby allowing DBRS Morningstar the ability
to review the new collateral interest and any potential impacts to
the overall ratings.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 18 loans, comprising 92.1% of the initial pool balance,
had a DBRS Morningstar As-Is DSCR of 1.00 times (x) or below, a
threshold indicative of default risk. Additionally, the DBRS
Morningstar Stabilized DSCR of 11 loans, comprising 67.7% of the
initial pool balance, was 1.00x or below, which is indicative of
elevated refinance risk. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other loan structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets to
stabilize above market levels.

The transaction will have a sequential-pay structure.

The sponsor for the transaction, BSPRT 2021-FL6 Holder, LLC, is an
indirect wholly-owned subsidiary of Benefit Street Partners Realty
Trust, Inc. (BSPRT) and an experienced commercial real estate (CRE)
collateralized loan obligation (CLO) issuer and collateral manager.
As of September 30, 2020, BSPRT managed a commercial mortgage debt
portfolio of approximately $2.6 billion and had issued six CRE CLO
transactions. Through December 31, 2020, BSPRT had not realized any
losses on any of its CRE bridge loans. Additionally, BSPRT will
purchase and retain 100.0% of the Class F Notes, the Class G Notes,
the Class H Notes, and the Preferred Shares, which total $115.5
million, or 16.5% of the transaction total.

77.9% of the total pool comprises multifamily (62.5%), self-storage
(9.3%), and industrial (6.1%) properties. These property types have
historically shown lower defaults and losses. Multifamily
properties benefit from staggered lease rollover and generally low
expense ratios compared with other property types. While revenue is
quick to decline in a downturn because of the short-term nature of
the leases, it is also quick to respond when the market improves.
Furthermore, the pool has limited office and retail exposure,
comprising 22.1% of the pool, which have experienced considerable
disruption as a result of the Coronavirus Disease (COVID-19)
pandemic with mandatory closures, stay-at-home orders, retail
bankruptcies, and consumer shifts to online purchasing.
Additionally, the pool contains no loans backed by hotel
properties.

The business plan score (BPS) for loans DBRS Morningstar analyzed
was between 1.37 and 2.42, with an average of 2.03. On a scale of 1
to 5, a higher DBRS Morningstar BPS is indicative of more risk in
the sponsor's business plan. Consideration is given to the
anticipated lift at the property from current performance, planned
property improvements, sponsor experience, projected time horizon,
and overall complexity. Compared with similar transactions, the
subject has a relatively low average BPS, which is indicative of
lower risk.

The ongoing coronavirus pandemic continues to pose challenges and
risks to the CRE sector, and while DBRS Morningstar expects
multifamily (62.5% of the pool) to fare better than most other
property types, the long-term effects on the general economy and
consumer sentiment are still unclear. DBRS Morningstar received
coronavirus and business plan updates for all loans in the pool,
confirming that all debt service payments have been received in
full through February 2021. Furthermore, no loans are in
forbearance or other debt service relief and no loan modifications
were requested. All loans in the pool have been originated after
March 2020 or the beginning of the pandemic. Loans originated after
the pandemic include timely property performance reports and
recently completed third-party reports, including appraisals. Given
the uncertainty and elevated execution risk stemming from the
coronavirus pandemic, 13 loans, totaling 60.7% of the trust
balance, are structured with substantial upfront interest
reserves.

The transaction is managed and includes a delayed-close loan, a
ramp-up component, a reinvestment period, and a replenishment
period, which could result in negative credit migration and/or an
increased concentration profile over the life of the transaction.
The risk of negative migration is also partially offset by
eligibility criteria that outline DSCR, LTV, 14 Herfindahl minimum,
property type, and loan size limitations for ramp and reinvestment
assets. DBRS Morningstar has the ability to provide a no-downgrade
confirmation for new ramp loans, companion participations over $1.0
million, and new reinvestment loans. These loans will be analyzed
by DBRS Morningstar before they come into the pool and reviewed for
potential ratings impact. DBRS Morningstar accounted for the
uncertainty introduced by the 180-day ramp-up period by running a
ramp scenario that simulates the potential negative credit
migration in the transaction based on the eligibility criteria. The
ramp component has a higher expected loss than the weighted-average
pre-ramp pool.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the loan structure to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes loss given default based on the as-is credit metrics,
assuming the loan is fully funded with no NCF or value upside.

As of the cut-off date, the pool contains 21 loans and is
concentrated by CRE CLO standards with a lower Herfindahl score of
14.85. Furthermore, the top 10 loans represent 74.7% of the pool.
The 21 loans are secured by 25 properties across 13 states, and the
properties are primarily in core markets with the overall pool's WA
DBRS Morningstar Market Rank at 3.7. The cut-off date balance will
increase from a delayed-close loan and ramp-up loans, which is
projected to occur 180 days after closing. New loans will increase
loan count and add broader diversity to the pool, raising the
Herfindahl score.

Because of the ongoing coronavirus pandemic, DBRS Morningstar was
unable to perform site inspections on any of the properties in the
pool. As a result, DBRS Morningstar relied more heavily on
third-party reports, online data sources, and information provided
by the Issuer to determine the overall DBRS Morningstar property
quality assigned for each loan. Recent third-party reports were
provided for all loans and contained property quality commentary
and photos. DBRS Morningstar made relatively conservative property
quality adjustments with only one loan, 4 West Las Olas (2.9% of
the pool), being modeled with Above Average property quality.
Furthermore, no loans received Excellent property quality
distinction and three loans, comprising 23.0% of the pool, were
modeled with Average + property quality.

Twenty loans, comprising 94.0% of the pool, have floating interest
rates and are interest only during the initial loan term, creating
interest rate risk should interest rates increase. For the
floating-rate loans, DBRS Morningstar used the one-month Libor
index, which is based on the lower of a DBRS Morningstar stressed
rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. Additionally, all loans have
extension options, and, in order to qualify for these options, the
loans must meet minimum DSCR and LTV requirements. All loans are
short-term and, even with extension options, have a fully extended
loan term of five years maximum. The borrowers for 20 loans,
totaling 94.0% of the trust balance, have purchased Libor rate caps
that range between 0.50% and 3.00% to protect against rising
interest rates over the term of the loan.

The underlying mortgage loans for the transaction will pay the
floating rate, which presents potential benchmark transition risk
as the deadline approaches for the elimination of Libor. The
transaction documents provide for the transition to an alternative
benchmark rate, which is primarily contemplated to be either Term
Secured Overnight Financing Rate (SOFR) plus the applicable
Alternative Rate Spread Adjustment or Compounded SOFR plus the
Alternative Rate Spread Adjustment. There is an inherent conflict
of interest between the special servicer and the seller as they are
related entities. Given that the special servicer is typically
responsible for pursuing remedies from the seller for breaches of
the representations and warranties, this conflict could be
disadvantageous to the noteholders. While the special servicer is
classified as the enforcing transaction party, if a loan repurchase
request is received, the trustee and seller will be notified and
the seller is required to correct the material breach or defect or
repurchase the affected loan within a maximum period of 90 days.
The repurchase price would amount to the outstanding principal
balance and unpaid interest less relevant seller expenses and
protective advances made by the servicer. The Issuer retains 16.50%
equity in the transaction holding the first-loss piece.

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


CANACCORD GENUITY: DBRS Confirms Preferred Shares at Pfd-4 (high)
------------------------------------------------------------------
DBRS Limited confirmed the Cumulative Preferred Shares rating of
Canaccord Genuity Group Inc.'s at Pfd-4 (high) and changed the
trend to Stable from Negative. The Company has a Support Assessment
of SA3, which implies no expected systemic support.

KEY RATING CONSIDERATIONS

The trend change to Stable reflects DBRS Morningstar's view that
the considerable uncertainties facing financial institutions,
particularly those with more limited business models, caused by the
Coronavirus Disease (COVID-19) pandemic have begun to abate. CG is
a Canadian-based financial institution with $6.1 billion in assets
as of Q3 2021, operating in the U.S., the United Kingdom (UK), and
Australia, with a focus on capital markets activities and wealth
management. The Company reported 9M 2021 revenue of $1.3 billion,
up 44% from 9M 2020 earnings of $119 million, double the earnings
of the previous year. CG benefited from the businesses it had
acquired in 2019, the year prior to the pandemic, namely its U.S.
capital markets business as well as its Australian wealth
management operations.

In confirming the rating, DBRS Morningstar recognizes CG's solid
niche franchise, with a growing wealth management presence across
various geographies, while remaining cognizant of the Company's
increased leverage following its recent wealth management and other
acquisitions. The Company has made acquisitions in Canada, the
U.S., the UK, and Australia, and although it has now integrated
these businesses it will need to continue to leverage the larger
platform to further enhance efficiencies. The Company expects the
combined businesses' success and efficiencies should drive profits
and enable it to reduce leverage over time. However, DBRS
Morningstar remains cognizant that the continued impact of the
coronavirus-related downturns could, over the short term, create
earnings volatility and impede the Company's ability to comfortably
meet contractual payments.

RATING DRIVERS

Although DBRS Morningstar considers CG as being well placed in its
current rating category, over the longer term, further franchise
diversification that contributes to sustained and improving
earnings across segments while lowering leverage would result in an
upgrade. Conversely, weakened credit fundamentals or inconsistent
earnings would result in a rating downgrade. Furthermore, given
CG's high reliance on market confidence to support its franchise,
any significant operational or reputational issues would likely
negatively affect the rating, as would material negative stresses
to the Company's liquidity or funding profiles.

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


CARLYLE US 2021-2: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carlyle US
CLO 2021-2 Ltd./Carlyle US CLO 2021-2 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 29,
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

  Carlyle US CLO 2021-2 Ltd./Carlyle US CLO 2021-2 LLC

  Class A-1, $302.5 million: AAA (sf)
  Class A-2, $12.5 million: Not rated
  Class B, $65.0 million: AA (sf)
  Class C (deferrable), $30.0 million: A (sf)
  Class D (deferrable), $30.0 million: BBB- (sf)
  Class E (deferrable), $20.0 million: BB- (sf)
  Subordinated notes, $48.8 million: Not rated


CARLYLE US CLO 2021-2: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carlyle US CLO 2021-2
Ltd./Carlyle US CLO 2021-2 LLC's floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Carlyle US CLO 2021-2 Ltd./Carlyle US CLO 2021-2 LLC

  Class A-1, $302.5 million: AAA (sf)
  Class A-2, $12.5 million: Not rated
  Class B, $65.0 million: AA (sf)
  Class C (deferrable), $30.0 million: A (sf)
  Class D (deferrable), $30.0 million: BBB- (sf)
  Class E (deferrable), $20.0 million: BB- (sf)
  Subordinated notes, $48.8 million: Not rated



CARVANA AUTO 2021-P1: DBRS Gives Prov. BB (high) Rating on N Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Carvana Auto Receivables Trust 2021-P1:

-- $50,000,000 Class A-1 Notes at R-1 (high) (sf)
-- $130,000,000 Class A-2 Notes at AAA (sf)
-- $130,000,000 Class A-3 Notes at AAA (sf)
-- $68,000,000 Class A-4 Notes at AAA (sf)
-- $14,000,000 Class B Notes at AA (sf)
-- $16,000,000 Class C Notes at A (sf)
-- $7,000,000 Class D Notes at BBB (sf)
-- $17,000,000 Class N Notes at BB (high) (sf)

The provisional ratings are based on a review by DBRS Morningstar
of the following analytical considerations:

(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of overcollateralization,
subordination, fully funded reserve funds, and excess spread.
Credit enhancement levels are sufficient to support the DBRS
Morningstar-projected cumulative net loss (CNL) assumption under
various stress scenarios.

(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms in which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and principal by the
legal final maturity date.

(3) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.

-- DBRS Morningstar performed an operational review of Carvana,
LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the
entities to be an acceptable originator and servicer, respectively,
of auto loans.

(4) The operational history of Carvana and the strength of the
overall company and its management team.

-- Company management has considerable experience in the consumer
lending business.

-- Carvana's platform is a technology-driven platform that focuses
on providing the customer with high-level experience, selection,
and value. Its website and smartphone app provide the consumer with
vehicle search and discovery (on a selection of more than 20,000
vehicles online); the ability to trade or sell vehicles almost
instantaneously; and real-time, personalized financing. Carvana has
developed underwriting policies and procedures for use across the
lending platform that leverages technology where appropriate to
validate customer identity, income, employment, residency, credit
worthiness, and proper insurance coverage.

-- Carvana has developed multiple proprietary risk models to
support various aspects of its vertically integrated automotive
lending business. All proprietary risk models used in Carvana's
lending business are regularly monitored and tested. The risk
models are updated from time to time to adjust for new performance
data, changes in customer and economic trends, and additional
sources of third-party data.

(5) The credit quality of the collateral, which includes
Carvana-originated loans with Deals Score, of 50 or higher.

-- As of the February 27, 2021, cut-off date, the collateral pool
for the transaction is primarily composed of receivables due from
prime and near-prime obligors with a weighted-average (WA) FICO
score of 707 and WA annual percentage rate of 8.19% and a WA
loan-to-value ratio of 95.45%. Approximately 39.51%, 41.94%, and
18.55% of the pool include loans with CRVNA Deal Scores greater
than or equal to 80, between 60 and 79, and between 50 and 59,
respectively. Additionally, 11.95% of the pool comprises obligors
with FICO scores greater than 800, 35.92% consists of FICO scores
between 701 to 800, and 1.56% is from obligors with FICO scores
less than or equal to 600 or with no FICO score.

-- DBRS Morningstar analyzed the performance of Carvana's auto
loan and retail installment contract originations and static pool
vintage loss data broken down by Deal Score to determine a
projected CNL expectation for the CRVNA 2021-P1 pool.

(6) DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, DBRS Morningstar-projected CNL includes an
assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 2.80% based on the cut-off date pool
composition.

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary "Global Macroeconomic
Scenarios: January 2021 Update," published on January 28, 2021.
DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020, that have been regularly updated. The scenarios
were last updated on January 28, 2021, and are reflected in DBRS
Morningstar's rating analysis. The assumptions also take into
consideration observed performance during the 2008–09 financial
crisis and the possible impact of stimulus. The assumptions
consider the moderate macroeconomic scenario outlined in the
commentary, with the moderate scenario serving as the primary
anchor for current ratings. The moderate scenario factors in
increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

(7) Carvana's financial condition as reported in its annual report
on Form 10-K filed as of February 25, 2021, and 10-Q.

(8) The legal structure and expected presence of legal opinions,
which will address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Carvana, that
the trust has a valid first-priority security interest in the
assets, and consistency with the DBRS Morningstar "Legal Criteria
for U.S. Structured Finance."

-- The 2020-P1 transaction included a repurchase obligation on
each receivable if an application for title is not filed within 45
days of close or a title is not obtained within 180 days of
closing. Carvana has removed the language pertaining to the
timeframe. As a result, there may be a percentage of the pool that
may not have a title by the 180-day post close mark. The risk is
mitigated by the representations made under the Receivables
Purchase Agreement in which Carvana represents that each receivable
will have a certificate of title and if title isn't obtained it
remains a repurchase obligation to the Seller. Also, under the
Servicing Agreement, the servicer continues to represent that it
will do everything as customary practice to obtain such title.

The ratings on the Class A-1, A-2, A-3, and A-4 Notes reflect 9.42%
of initial hard credit enhancement provided by subordinated notes
in the pool (8.92%) and the reserve account (0.50%). The ratings on
the Class B, C, and D Notes reflect 6.04%, 2.19%, and 0.50% of
initial hard credit enhancement, respectively.

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


CBAM 2021-14: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CBAM 2021-14
Ltd./CBAM 2021-14 LLC's floating-rate notes.

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

The preliminary ratings are based on information as of March 30,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool.

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

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

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

  Preliminary Ratings Assigned

  CBAM 2021-14 Ltd./CBAM 2021-14 LLC

  Class A, $250.00 million: AAA (sf)
  Class B, $54.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $15.00 million: BB- (sf)
  Subordinated notes, $40.00 million: Not rated


CENT CLO 21: S&P Affirms CCC+ (sf) Rating on Class E-R2 Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R3,
A-2-R3, and B-R3 replacement notes from Cent CLO 21 Ltd./Cent CLO
21 Corp., a CLO originally issued in June 2014 and previously
refinanced in March 2017 and July 2018 that is managed by Columbia
Management Investment Advisers LLC. S&P withdrew its ratings on the
previously refinanced class A-1RA, A-1RB, A-2-R2, and B-R2 notes
following payment in full on the March 26, 2021, refinancing date.
At the same time, S&P affirmed its ratings on the class C-R2, D-R2
and E-R2 notes.

On the March 26, 2021, refinancing date, the proceeds from the
class A-1-R3, A-2-R3, and B-R3 replacement note issuances were used
to redeem the class A-1RA, A-1RB, A-2-R2, and B-R2 notes as
outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the previously refinanced notes in line
with their full redemption, and it is assigning ratings to the
replacement notes.

The replacement notes are being issued via a supplemental
indenture, which outlines the terms of the replacement notes. The
class A-1RA and A-1RB notes are being refinanced into the class
A-1-R3 notes.

On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class E-R2 notes (which are not
being refinanced) than the rating action reflects. S&P said,
"However, we affirmed the rating at 'CCC+ (sf)' on these notes
after considering the current credit enhancement levels, lower than
average exposure to 'CCC' rated collateral. Both
overcollateralization ratios and the portfolio have remained stable
since the last rating action. Additionally, the rating committee
believed that this class does not represent our definition of 'CC'
risk in accordance with our guidance criteria."

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."

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 Affirmed

  Cent CLO 21 Ltd./Cent CLO 21 Corp.

  Class C-R2: BBB- (sf)
  Class D-R2: BB- (sf)
  Class E-R2: CCC+ (sf)

  Ratings Withdrawn

  Cent CLO 21 Ltd./Cent CLO 21 Corp.

  Class A-1RA: to NR from 'AAA (sf)'
  Class A-1RB: to NR from 'AAA (sf)'
  Class A-2-R2: to NR from 'AA (sf)'
  Class B-R2: to NR from 'A (sf)'

  Other Outstanding Notes

  Cent CLO 21 Ltd./Cent CLO 21 Corp.

  Subordinated notes: NR



CIM MORTGAGE 2021-J2: Moody's Assigns (P)B1 Rating to B-5 Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fifty-eight classes of residential mortgage-backed securities
(RMBS) issued by CIM Mortgage Trust 2021-J2. The ratings range from
(P)Aaa (sf) to (P)B1 (sf).

CIM Trust 2021-J2 (CIM 2021-J2) is a securitization of prime
residential mortgages. The pool comprises of 504, 30-year and two
25-year fixed rate mortgages.

This transaction represents the second prime jumbo issuance by
Chimera Investment Corporation (the sponsor) in 2021. The
transaction includes 504, 30-year fixed rate and two 25-year fixed
rate, first lien mortgages with an unpaid principal balance of
approximately $479,118,140. The pool consists of 100% non
-conforming mortgage loans. The mortgage loans for this transaction
have been acquired by the affiliate of the sponsor, Fifth Avenue
Trust (the Seller) from Bank of America, National Association
(BANA). BANA acquired the mortgage loans through its whole loan
purchase program from various originators. Approximately, 96.7% of
the loans in the pool are underwritten to Chimera Investment
Corporations (Chimera) guidelines. All the loans are designated as
qualified mortgages (QM) under the QM safe harbor rules. Shellpoint
Mortgage Servicing (SMS) will service the loans and Wells Fargo
Bank, N.A. (Aa2) will be the master servicer. SMS will be
responsible for advancing principal and interest and corporate
advances, with the master servicer backing up SMS' advancing
obligations if SMS cannot fulfill them.

Three third-party review (TPR) firms verified the accuracy of the
loan level information that Moody's received from the sponsor.
These firms conducted detailed credit, property valuation, data
accuracy and compliance reviews on 100% of the mortgage loans in
the collateral pool. The TPR results indicate that there are no
material compliance, credit, or data issues and no appraisal
defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to other prime jumbo securitizations. In addition,
Moody's adjusted its expected losses based on qualitative
attributes, including the financial strength of the representation
and warranties (R&W) provider and TPR results.

CIM 2021-J2 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 for each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: CIM Mortgage Trust 2021-J2

Cl. A-1, Assigned (P)Aaa (sf)

Cl. A-2, Assigned (P)Aaa (sf)

Cl. A-3, Assigned (P)Aaa (sf)

Cl. A-4, Assigned (P)Aaa (sf)

Cl. A-5, Assigned (P)Aaa (sf)

Cl. A-6, Assigned (P)Aaa (sf)

Cl. A-7, Assigned (P)Aaa (sf)

Cl. A-8, Assigned (P)Aaa (sf)

Cl. A-9, Assigned (P)Aaa (sf)

Cl. A-10, Assigned (P)Aaa (sf)

Cl. A-11, Assigned (P)Aaa (sf)

Cl. A-12, Assigned (P)Aaa (sf)

Cl. A-13, Assigned (P)Aaa (sf)

Cl. A-14, Assigned (P)Aaa (sf)

Cl. A-15, Assigned (P)Aaa (sf)

Cl. A-16, Assigned (P)Aaa (sf)

Cl. A-17, Assigned (P)Aaa (sf)

Cl. A-18, Assigned (P)Aaa (sf)

Cl. A-19, Assigned (P)Aaa (sf)

Cl. A-20, Assigned (P)Aaa (sf)

Cl. A-21, Assigned (P)Aaa (sf)
Cl. A-22, Assigned (P)Aaa (sf)

Cl. A-23, Assigned (P)Aaa (sf)

Cl. A-24, Assigned (P)Aaa (sf)

Cl. A-IO1*, Assigned (P)Aaa (sf)

Cl. A-IO2*, Assigned (P)Aaa (sf)

Cl. A-IO3*, Assigned (P)Aaa (sf)

Cl. A-IO4*, Assigned (P)Aaa (sf)

Cl. A-IO5*, Assigned (P)Aaa (sf)

Cl. A-IO6*, Assigned (P)Aaa (sf)

Cl. A-IO7*, Assigned (P)Aaa (sf)

Cl. A-IO8*, Assigned (P)Aaa (sf)

Cl. A-IO9*, Assigned (P)Aaa (sf)

Cl. A-IO10*, Assigned (P)Aaa (sf)

Cl. A-IO11*, Assigned (P)Aaa (sf)

Cl. A-IO12*, Assigned (P)Aaa (sf)

Cl. A-IO13*, Assigned (P)Aaa (sf)

Cl. A-IO14*, Assigned (P)Aaa (sf)

Cl. A-IO15*, Assigned (P)Aaa (sf)

Cl. A-IO16*, Assigned (P)Aaa (sf)

Cl. A-IO17*, Assigned (P)Aaa (sf)

Cl. A-IO18*, Assigned (P)Aaa (sf)

Cl. A-IO19*, Assigned (P)Aaa (sf)

Cl. A-IO20*, Assigned (P)Aaa (sf)

Cl. A-IO21*, Assigned (P)Aaa (sf)

Cl. A-IO22*, Assigned (P)Aaa (sf)

Cl. A-IO23*, Assigned (P)Aaa (sf)

Cl. A-IO24*, Assigned (P)Aaa (sf)

Cl. A-IO25*, Assigned (P)Aaa (sf)

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

Cl. B-IO1*, Assigned (P)Aa3 (sf)

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

Cl. B-2, Assigned (P)A2 (sf)

Cl. B-IO2*, Assigned (P) A2 (sf)

Cl. B-2A, Assigned (P)A2 (sf)

Cl. B-3, Assigned (P)Baa2 (sf)

Cl. B-4, Assigned (P)Ba2 (sf)

Cl. B-5, Assigned (P)B1 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.21%
at the mean, 0.09% at the median, and reaches 2.35% 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 our model-derived median expected losses by 10.0%
(5.99% 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 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

Moody's assessed the collateral pool as of the cut-off date of
March 1, 2021. CIM 2021-J2 is a securitization of 506 prime
residential mortgage loans with an aggregate principal balance of
approximately $479,118,140. The pool comprises 504 30-year and two
25-year fixed rate mortgages.

Overall, the credit quality of the mortgage loans backing this
transaction is better than recently issued prime jumbo
transactions. The WA FICO for the aggregate pool is 784 with a WA
LTV and WA CLTV of 62.9%. Approximately 13.6% (by loan balance) of
the pool has a LTV ratio greater than 75%. High LTV loans generally
have a higher probability of default and higher loss severity
compared to lower LTV loans.

Exterior-only appraisals: In response to the COVID-19 national
emergency, many originators/aggregators have temporarily
transitioned to allowing exterior-only appraisals, instead of a
full interior and exterior inspection of the subject property, on
many mortgage transactions. There are 5 loans in the pool, 1.05% by
unpaid principal balance, that do not have a full appraisal that
includes an exterior and an interior inspection of the property.
Instead, these loans have an exterior-only appraisal. Moody's did
not make any adjustments to its losses for such loans primarily
because of strong credit characteristics such as high FICO score,
low LTV and DTI ratios, and significant liquid cash reserves and
because such loans comprise a de minimis percentage of loan pool,
by balance. In addition, none of these borrowers have any prior
history of delinquency.

Loans with delinquency and forbearance history: Although there are
no loans in the pool that are currently delinquent, there are 8
loans in the pool that have some history of delinquency. Of these 8
delinquent loans, 1 delinquency was COVID-19 related delinquency.
The borrower was under a forbearance plan and was then subsequently
reinstated in November 2020. Since then, the borrower is current on
his/her mortgage obligation. The other 7 loans were delinquent due
to servicing transfer issues but have regularly made their mortgage
payments since then. Moody's increased its model-derived median
expected losses by 10% ( 5.99% for the mean) and its Aaa losses by
2.5% to reflect the likely performance deterioration resulting from
of slowdown in US economic activity due to the coronavirus
outbreak. Moody's regard the coronavirus outbreak as a social risk
under its ESG framework, given the substantial implications for
public health and safety.

Origination Quality and Underwriting Guidelines

There are 12 originators in the transaction. The largest
originators in the pool with more than 10% by balance are
Guaranteed Rate Inc., Guaranteed Rate Affinity, LLC, and Proper
Rate, LLC (37.3%) and Fairway Independent Mortgage Corporation
(14.0%).

The seller, Fifth Avenue Trust, acquired the mortgage loans from
Bank of America, National Association (BANA). Approximately 96.7%
of the mortgage loans by stated principal balance as of the cut-off
date were acquired by BANA from various mortgage loan originators
or sellers through its jumbo whole loan purchase program. These
mortgage loans have principal balances in excess of the
requirements for purchase by Fannie Mae and Freddie Mae (i.e. 100%
of the loans in the pool are prime jumbo loans) and were generally
acquired pursuant to the CIM 2021-J2 acquisition criteria.

Approximately 3.3% of the mortgage loans by stated principal
balance as of the cut-off date were acquired by BANA and originated
pursuant to the guidelines of either loanDepot.com, LLC (loanDepot)
or Quicken Loans LLC (Quicken). The CIM 2021-J2 acquisition
criteria does not apply to the eligibility criteria, underwriting,
or origination or acquisition of these mortgage loans.

Moody's increased its base case and Aaa loss expectations for all
loans underwritten to Chimera's underwriting guidelines, which
include loans originated by Guaranteed Rate, Guaranteed Rate
Affinity, LLC, and Proper Rate, LLC and Fairway Independent
Mortgage Corporation, because Moody's consider such mortgage loans
to have been acquired to slightly less conservative prime jumbo
underwriting standards. Moody's did not make any adjustments to
Moody's losses for loans originated under loanDepot's or Quicken's
underwriting guidelines as Moody's consider them to be adequate
originators of prime jumbo mortgage loans.

Servicing arrangement / COVID-19 Impacted Borrowers

In the event that a borrower enters into or requests a COVID-19
related forbearance plan after March 1, 2021, such mortgage loan
will remain in the mortgage pool and the servicer will be required
to make advances in respect of delinquent interest and principal
(as well as servicing advances) on such mortgage loan during the
forbearance period (to the extent such advances are deemed
recoverable). Forbearances are being offered in accordance with
applicable state and federal regulatory guidelines and the
homeowner's individual circumstances. At the end of the forbearance
period, as with any other modification, to the extent the related
borrower is not able to make a lump sum payment of the forborne
amount, the servicer may, subject to the servicing matrix, offer
the borrower a repayment plan, enter into a modification with the
borrower (including a modification to defer the forborne amounts)
or utilize any other loss mitigation option permitted under the
pooling and servicing agreement.

As with any other modification, it is anticipated that the servicer
will reimburse itself at the end of the forbearance period for any
advances made by it with respect to such mortgage loan, whether
that be from any lump sum payments made by the related borrower,
from any increased payments received with respect to any repayment
plan entered into by the borrower, or, if modified and capitalized
in connection therewith, at the time of such modification as a
reimbursement of such capitalized advances from principal
collections on all of the mortgage loans. The servicer also has the
right to reimburse itself for any advance from all collections on
the mortgage loans at any time it deems such advance to be
non-recoverable. With respect to a mortgage loan that is the
subject of a servicing modification, the amount of principal of the
mortgage loan, that has been deferred, if any and that does not
accrue interest will be treated as a realized loss and to the
extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

Third Party Review

Three third-party review (TPR) firms, Clayton Services LLC,
Consolidated Analytics, Inc, and Opus Capital Markets Consultants,
LLC, verified the accuracy of the loan level information that the
sponsor gave Moody's. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 100% of
the mortgage loans in the collateral pool. The TPR results indicate
that the majority of reviewed loans were in compliance with
respective originators' underwriting guidelines, no material
compliance or data issues, and no appraisal defects.

For property valuation, the TPR firms identified all loans as
either A or B level grades. There were 3 loans the appraisal of
which was not supported by the desk review (variance between the
appraisal value and the desk review was greater than -10%). A field
review was subsequently ordered, and this valuation came out in
line with the appraisal. Moody's did not make any additional
adjustments to its base case and Aaa loss expectations for TPR.

Representations and Warranties Framework

Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the seller, who will in turn assign to the
depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, Chimera Funding TRS LLC (an affiliate
of the sponsor) will backstop the R&Ws for all originator's loans.
The R&W provider's obligation to backstop third party R&Ws will
terminate 5 years after the closing date, subject to certain
performance conditions. The R&W provider will also provide the gap
reps. Moody's considered the R&W framework in its analysis and
found it to be adequate. Moody's therefore did not make any
adjustments to its losses based on the strength of the R&W
framework.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give Moody's a clear
indication that the loans do not breach the R&Ws the originators
have made and that the originators are unlikely to face any
material repurchase requests in the future. The loan-level R&Ws are
strong and, in general, either meet or exceed the baseline set of
credit-neutral R&Ws Moody's identified for US RMBS. Among other
considerations, the R&Ws address property valuation, underwriting,
fraud, data accuracy, regulatory compliance, the presence of title
and hazard insurance, the absence of material property damage, and
the enforceability of the mortgage.

In a continued effort to focus breach reviews on loans that are
more likely to contain origination defects that led to or
contributed to the delinquency of the loan, an additional carve out
has been in recent transactions Moody's have rated from other
issuers relating to the delinquency review trigger. Similarly, in
this transaction, exceptions exist for certain excluded disaster
mortgage loans that trip the delinquency trigger. These excluded
disaster loans include COVID-19 forbearance loans.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.10% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 0.75% of the cut-off pool
balance.

Other Considerations

In CIM 2021-J2, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at a cost
to the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's consider this credit neutral
because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

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.


CIM TRUST 2021-J2: Fitch Assigns Final B Rating on B-5 Certs
------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by CIM Trust 2021-J2 (CIM
2021-J2).

DEBT           RATING             PRIOR
----           ------             -----
CIM 2021-J2

A-1     LT  AAAsf  New Rating   AAA(EXP)sf
A-2     LT  AAAsf  New Rating   AAA(EXP)sf
A-3     LT  AAAsf  New Rating   AAA(EXP)sf
A-4     LT  AAAsf  New Rating   AAA(EXP)sf
A-5     LT  AAAsf  New Rating   AAA(EXP)sf
A-6     LT  AAAsf  New Rating   AAA(EXP)sf
A-7     LT  AAAsf  New Rating   AAA(EXP)sf
A-8     LT  AAAsf  New Rating   AAA(EXP)sf
A-9     LT  AAAsf  New Rating   AAA(EXP)sf
A-10    LT  AAAsf  New Rating   AAA(EXP)sf
A-11    LT  AAAsf  New Rating   AAA(EXP)sf
A-12    LT  AAAsf  New Rating   AAA(EXP)sf
A-13    LT  AAAsf  New Rating   AAA(EXP)sf
A-14    LT  AAAsf  New Rating   AAA(EXP)sf
A-15    LT  AAAsf  New Rating   AAA(EXP)sf
A-16    LT  AAAsf  New Rating   AAA(EXP)sf
A-17    LT  AAAsf  New Rating   AAA(EXP)sf
A-18    LT  AAAsf  New Rating   AAA(EXP)sf
A-19    LT  AAAsf  New Rating   AAA(EXP)sf
A-20    LT  AAAsf  New Rating   AAA(EXP)sf
A-21    LT  AAAsf  New Rating   AAA(EXP)sf
A-22    LT  AAAsf  New Rating   AAA(EXP)sf
A-23    LT  AAAsf  New Rating   AAA(EXP)sf
A-24    LT  AAAsf  New Rating   AAA(EXP)sf
A-IO1   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO2   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO3   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO4   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO5   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO6   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO7   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO8   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO9   LT  AAAsf  New Rating   AAA(EXP)sf
A-IO10  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO11  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO12  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO13  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO14  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO15  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO16  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO17  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO18  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO19  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO20  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO21  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO22  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO23  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO24  LT  AAAsf  New Rating   AAA(EXP)sf
A-IO25  LT  AAAsf  New Rating   AAA(EXP)sf
B-1     LT  AAsf   New Rating   AA(EXP)sf
B-IO1   LT  AAsf   New Rating   AA(EXP)sf
B-1A    LT  AAsf   New Rating   AA(EXP)sf
B-2     LT  Asf    New Rating   A(EXP)sf
B-IO2   LT  Asf    New Rating   A(EXP)sf
B-2A    LT  Asf    New Rating   A(EXP)sf
B-3     LT  BBBsf  New Rating   BBB(EXP)sf
B-4     LT  BBsf   New Rating   BB(EXP)sf
B-5     LT  Bsf    New Rating   B(EXP)sf
B-6     LT  NRsf   New Rating   NR(EXP)sf
A-IO-S  LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 506 fixed-rate mortgages (FRMs)
with a total balance of approximately $479.12 million as of the
cutoff date. The loans were originated by various mortgage
originators, and the seller, Fifth Avenue Trust, acquired the loans
from Bank of America, National Association (BANA). Distributions of
P&I and loss allocations are based on a traditional
senior-subordinate, shifting interest structure.

KEY RATING DRIVERS

Revised GDP Due to Coronavirus (Negative): The ongoing coronavirus
pandemic and resulting containment efforts have led to revisions to
Fitch's GDP estimates for 2021. Fitch's current baseline Global
Economic Outlook for U.S. GDP growth is a positive 4.5% for 2021,
up from negative 3.5% for 2020. To account for the baseline
macroeconomic scenario and increase in loss expectations, the
Economic Risk Factor (ERF) default variable for the 'Bsf' and
'BBsf' rating categories was increased from floors of 1.0 and 1.5,
respectively, to 2.0.

High Quality Mortgage Pool (Positive): The pool consists of very
high quality, 25-year and 30-year fixed-rate, fully amortizing safe
harbor qualified mortgage (SHQM) loans to borrowers with strong
credit profiles, relatively low leverage and large liquid reserves.
Per Fitch's calculation methodology, the loans are seasoned an
average of four months. The pool has a weighted average (WA)
original FICO score of 780, which is indicative of very high credit
quality borrowers. Approximately 86% of the loans have a borrower
with a FICO score above 750. In addition, the original WA combined
loan-to-value ratio (CLTV) of 63% represents substantial borrower
equity in the property and reduced default risk.

Geographic Concentration (Negative): Approximately 47% of the pool
is concentrated in California. The largest MSA concentration is in
the San Francisco MSA (17%), followed by the Los Angeles MSA (16%)
and the Seattle MSA (6%). The top three MSAs account for 38% of the
pool. As a result, there was a 1.02x probability of default (PD)
penalty for geographic concentration.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate, shifting
interest structure whereby the subordinate classes receive only
scheduled principal and are locked out from receiving unscheduled
principal or prepayments for five years. The lockout feature helps
to maintain subordination for a longer period should losses occur
later in the life of the deal. The applicable credit support
percentage feature redirects subordinate principal to classes of
higher seniority if specified credit enhancement (CE) levels are
not maintained.

Full Servicer Advancing (Mixed): The servicer will provide full
advancing for the life of the transaction (the servicer is also
expected to advance delinquent P&I on loans that enter a
coronavirus forbearance plan). Although full P&I advancing will
provide liquidity to the certificates, it will also increase the
loan-level loss severity (LS) since the servicer looks to recoup
P&I advances from liquidation proceeds, which results in less
recoveries. Wells Fargo, as master servicer, will advance if the
servicer fails to do so.

Subordination Floor (Positive): A CE or senior subordination floor
of 1.10% has been considered to mitigate potential tail-end risk
and loss exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Also, a junior subordination floor
of 0.75% will be maintained to mitigate tail risk, which arises as
the pool seasons and fewer loans are outstanding. Additionally, the
stepdown tests do not allow principal prepayments to subordinate
bondholders in the first five years following deal closing.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net weighted average coupon (WAC) of
the loans, which does not affect contractual interest due on the
certificates. Furthermore, the expenses to be paid from the trust
are capped at $300,000 per annum, which can be carried over each
year, subject to the cap until paid in full.

Payment Forbearance (Neutral): As of March 1, 2021, none of the
borrowers in the pool are on an active coronavirus forbearance
plan. Any borrowers that previously entered into a coronavirus
pandemic-related forbearance plan have since been reinstated (Fitch
did not penalize these loans). In the event that, after closing, a
borrower enters into or requests an active coronavirus-related
forbearance plan, such loan will remain in the pool and the
servicer will be required to make advances in respect of delinquent
P&I (as well as servicing advances) on such mortgage loan during
the forbearance period (to the extent such advances are deemed
recoverable), and the mortgage loan will be considered delinquent
for all purposes under the transaction documents.

If the borrower does not resume making payments, the loan will
likely become modified and the advancing party will be reimbursed
from principal collections on the overall pool. This will likely
result in writedowns to the most subordinate class, which will be
written back up as subsequent recoveries are realized. Since there
will be no borrowers on a coronavirus-related forbearance plan as
of the closing date and forbearance requests have significantly
declined, Fitch did not increase its loss expectation to address
the potential for writedowns due to reimbursement of servicer
advances.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of the pool by Clayton Services,
Opus CMC and Consolidated Analytics, which are respectively
assessed as Acceptable — Tier 1, Acceptable — Tier 2 and
Acceptable — Tier 3 by Fitch. The due diligence results
identified no material exceptions, as 100% of the loans were graded
either 'A' or 'B'. Credit exceptions were deemed immaterial and
supported by compensating factors, and compliance exceptions were
primarily related to the TRID (TILA-RESPA Integrated Disclosures)
rule and cured with subsequent documentation. Fitch applied a
credit for loans that received due diligence, which ultimately
reduced the 'AAAsf' loss expectation by 15 basis points (bps).

Representation and Warranty Framework Adjustment (Negative): The
loan-level representation and warranty (R&W) framework is
consistent with a Tier 1 framework, as it contains the full list of
representations that are outstanding for the life of the mortgage
loans. Despite a strong framework, repurchase obligations are
designated to a separate fund that does not hold an
investment-grade rating. The fund may have issues fulfilling
repurchases in times of economic stress, particularly if the fund
must repurchase on behalf of underlying originators. Fitch
increased its loss expectations by 12bps at the 'AAAsf' rating
category to account for the non-investment-grade counterparty risk
of the R&W provider.

Low Operational Risk (Negative): Operational risk is well
controlled for in this transaction. Chimera actively purchases
prime jumbo loans and is assessed as an 'average' aggregator by
Fitch. Loans were primarily originated by Guaranteed Rate, Inc.,
whom Fitch has reviewed and assessed to be an 'average'
originator.

Shellpoint Mortgage Servicing is the named servicer for the
transaction and is responsible for primary and special servicing
functions. Fitch views Shellpoint as a sound servicer of prime
loans, and the company is rated 'RPS2'/Stable. Wells Fargo Bank,
N.A. (RMS1-/Negative) will act as master servicer. Overall, Fitch
increased its expected losses at the 'AAAsf' rating stress
slightly, by 6bps, to reflect the absence of originator assessments
covering a portion of the transaction coupled with the 'average'
aggregator assessment.

RATING SENSITIVITIES

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

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 39.0% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or in other words, positive home price growth with no
    assumed overvaluation. The analysis assumes positive home
    price growth of 10%. Excluding the senior class, which is
    already rated 'AAAsf', the analysis indicates there is
    potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics, Clayton Services and Opus. The
third-party due diligence described in Form 15E focused on credit,
compliance, data integrity and property valuation. Fitch considered
this information in its analysis.

100% of the pool received a final grade of "A" or "B", which
confirms no incidence of material exceptions. Approximately 39% of
the loan pool (by loan count) was assigned a final grade "B", which
is in line with other prime jumbo RMBS reviewed by Fitch. Loans
graded "B" were primarily due to credit exceptions.

Approximately 30% of the pool received credit exceptions that were
considered immaterial as they were supported with significant
compensating factors identified by both the seller and Chimera
during the acquisition process. Additionally, approximately 16% of
the pool was graded "B" for immaterial compliance exceptions
primarily to the TILA-RESPA Integrated Disclosure (TRID) rule that
were corrected by the seller with subsequent and/or post-closing
documentation. Fitch did not apply any loss adjustments.

Fitch applied a credit for loans that received due diligence, which
ultimately reduced the 'AAAsf' loss expectation by 15bps.

ESG CONSIDERATIONS

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.


CIM TRUST 2021-J2: Fitch to Rate Class B-5 Certs 'B(EXP)'
---------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates (RMBS) issued by CIM Trust 2021-J2 (CIM 2021-J2).

DEBT                 RATING  
----                 ------  
CIM 2021-J2

A-1       LT AAA(EXP)sf  Expected Rating
A-2       LT AAA(EXP)sf  Expected Rating
A-3       LT AAA(EXP)sf  Expected Rating
A-4       LT AAA(EXP)sf  Expected Rating
A-5       LT AAA(EXP)sf  Expected Rating
A-6       LT AAA(EXP)sf  Expected Rating
A-7       LT AAA(EXP)sf  Expected Rating
A-8       LT AAA(EXP)sf  Expected Rating
A-9       LT AAA(EXP)sf  Expected Rating
A-10      LT AAA(EXP)sf  Expected Rating
A-11      LT AAA(EXP)sf  Expected Rating
A-12      LT AAA(EXP)sf  Expected Rating
A-13      LT AAA(EXP)sf  Expected Rating
A-14      LT AAA(EXP)sf  Expected Rating
A-15      LT AAA(EXP)sf  Expected Rating
A-16      LT AAA(EXP)sf  Expected Rating
A-17      LT AAA(EXP)sf  Expected Rating
A-18      LT AAA(EXP)sf  Expected Rating
A-19      LT AAA(EXP)sf  Expected Rating
A-20      LT AAA(EXP)sf  Expected Rating
A-21      LT AAA(EXP)sf  Expected Rating
A-22      LT AAA(EXP)sf  Expected Rating
A-23      LT AAA(EXP)sf  Expected Rating
A-24      LT AAA(EXP)sf  Expected Rating  
A-IO1     LT AAA(EXP)sf  Expected Rating
A-IO2     LT AAA(EXP)sf  Expected Rating
A-IO3     LT AAA(EXP)sf  Expected Rating
A-IO4     LT AAA(EXP)sf  Expected Rating
A-IO5     LT AAA(EXP)sf  Expected Rating
A-IO6     LT AAA(EXP)sf  Expected Rating
A-IO7     LT AAA(EXP)sf  Expected Rating
A-IO8     LT AAA(EXP)sf  Expected Rating
A-IO9     LT AAA(EXP)sf  Expected Rating
A-IO10    LT AAA(EXP)sf  Expected Rating
A-IO11    LT AAA(EXP)sf  Expected Rating
A-IO12    LT AAA(EXP)sf  Expected Rating
A-IO13    LT AAA(EXP)sf  Expected Rating
A-IO14    LT AAA(EXP)sf  Expected Rating
A-IO15    LT AAA(EXP)sf  Expected Rating
A-IO16    LT AAA(EXP)sf  Expected Rating
A-IO17    LT AAA(EXP)sf  Expected Rating
A-IO18    LT AAA(EXP)sf  Expected Rating
A-IO19    LT AAA(EXP)sf  Expected Rating
A-IO20    LT AAA(EXP)sf  Expected Rating
A-IO21    LT AAA(EXP)sf  Expected Rating
A-IO22    LT AAA(EXP)sf  Expected Rating
A-IO23    LT AAA(EXP)sf  Expected Rating
A-IO24    LT AAA(EXP)sf  Expected Rating
A-IO25    LT AAA(EXP)sf  Expected Rating
B-1       LT AA(EXP)sf   Expected Rating
B-IO1     LT AA(EXP)sf   Expected Rating
B-1A      LT AA(EXP)sf   Expected Rating
B-2       LT A(EXP)sf    Expected Rating
B-IO2     LT A(EXP)sf    Expected Rating
B-2A      LT A(EXP)sf    Expected Rating
B-3       LT BBB(EXP)sf  Expected Rating
B-4       LT BB(EXP)sf   Expected Rating
B-5       LT B(EXP)sf    Expected Rating
B-6       LT NR(EXP)sf   Expected Rating
A-IO-S    LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 507 fixed-rate mortgages (FRMs)
with a total balance of  approximately $479.74 million as of the
cutoff date. The loans were originated by various mortgage
originators, and the seller, Fifth Avenue Trust, acquired the loans
from Bank of America, National Association (BANA). Distributions of
P&I and loss allocations are based on a traditional
senior-subordinate, shifting interest structure.

KEY RATING DRIVERS

Revised GDP Due to Coronavirus (Negative): The ongoing coronavirus
pandemic and resulting containment efforts have led to revisions to
Fitch's GDP estimates for 2021. Fitch's current baseline Global
Economic Outlook for U.S. GDP growth is a positive 4.5% for 2021,
up from negative 3.5% for 2020. To account for the baseline
macroeconomic scenario and increase in loss expectations, the
Economic Risk Factor (ERF) default variable for the 'Bsf' and
'BBsf' rating categories was increased from floors of 1.0 and 1.5,
respectively, to 2.0.

High Quality Mortgage Pool (Positive): The pool consists of very
high quality, 25-year and 30-year fixed-rate, fully amortizing safe
harbor qualified mortgage (SHQM) loans to borrowers with strong
credit profiles, relatively low leverage and large liquid reserves.
Per Fitch's calculation methodology, the loans are seasoned an
average of four months. The pool has a weighted average (WA)
original FICO score of 780, which is indicative of very high credit
quality borrowers. Approximately 86% of the loans have a borrower
with a FICO score above 750. In addition, the original WA combined
loan-to-value ratio (CLTV) of 63% represents substantial borrower
equity in the property and reduced default risk.

Geographic Concentration (Negative): Approximately 47% of the pool
is concentrated in California. The largest MSA concentration is in
the San Francisco MSA (17%), followed by the Los Angeles MSA (16%)
and the Seattle MSA (6%). The top three MSAs account for 38% of the
pool. As a result, there was a 1.02x probability of default (PD)
penalty for geographic concentration.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate, shifting
interest structure whereby the subordinate classes receive only
scheduled principal and are locked out from receiving unscheduled
principal or prepayments for five years. The lockout feature helps
to maintain subordination for a longer period should losses occur
later in the life of the deal. The applicable credit support
percentage feature redirects subordinate principal to classes of
higher seniority if specified credit enhancement (CE) levels are
not maintained.

Full Servicer Advancing (Mixed): The servicer will provide full
advancing for the life of the transaction (the servicer is also
expected to advance delinquent P&I on loans that enter a
coronavirus forbearance plan). Although full P&I advancing will
provide liquidity to the certificates, it will also increase the
loan-level loss severity (LS) since the servicer looks to recoup
P&I advances from liquidation proceeds, which results in less
recoveries. Wells Fargo, as master servicer, will advance if the
servicer fails to do so.

Subordination Floor (Positive): A CE or senior subordination floor
of 1.10% has been considered to mitigate potential tail-end risk
and loss exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Also, a junior subordination floor
of 0.75% will be maintained to mitigate tail risk, which arises as
the pool seasons and fewer loans are outstanding. Additionally, the
stepdown tests do not allow principal prepayments to subordinate
bondholders in the first five years following deal closing.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net weighted average coupon (WAC) of
the loans, which does not affect contractual interest due on the
certificates. Furthermore, the expenses to be paid from the trust
are capped at $300,000 per annum, which can be carried over each
year, subject to the cap until paid in full.

Payment Forbearance (Neutral): As of Mar. 1, 2021, none of the
borrowers in the pool are on an active coronavirus forbearance
plan. Any borrowers that previously entered into a coronavirus
pandemic-related forbearance plan have since been reinstated (Fitch
did not penalize these loans). In the event that, after closing, a
borrower enters into or requests an active coronavirus-related
forbearance plan, such loan will remain in the pool and the
servicer will be required to make advances in respect of delinquent
P&I (as well as servicing advances) on such mortgage loan during
the forbearance period (to the extent such advances are deemed
recoverable), and the mortgage loan will be considered delinquent
for all purposes under the transaction documents.

If the borrower does not resume making payments, the loan will
likely become modified and the advancing party will be reimbursed
from principal collections on the overall pool. This will likely
result in writedowns to the most subordinate class, which will be
written back up as subsequent recoveries are realized. Since there
will be no borrowers on a coronavirus-related forbearance plan as
of the closing date and forbearance requests have significantly
declined, Fitch did not increase its loss expectation to address
the potential for writedowns due to reimbursement of servicer
advances.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of the pool by Clayton Services,
Opus CMC and Consolidated Analytics, which are respectively
assessed as Acceptable — Tier 1, Acceptable — Tier 2 and
Acceptable — Tier 3 by Fitch. The due diligence results
identified no material exceptions, as 100% of the loans were graded
either 'A' or 'B'. Credit exceptions were deemed immaterial and
supported by compensating factors, and compliance exceptions were
primarily related to the TRID (TILA-RESPA Integrated Disclosures)
rule and cured with subsequent documentation. Fitch applied a
credit for loans that received due diligence, which ultimately
reduced the 'AAAsf' loss expectation by 15 basis points (bps).

Representation and Warranty Framework Adjustment (Negative): The
loan-level representation and warranty (R&W) framework is
consistent with a Tier 1 framework, as it contains the full list of
representations that are outstanding for the life of the mortgage
loans. Despite a strong framework, repurchase obligations are
designated to a separate fund that does not hold an
investment-grade rating. The fund may have issues fulfilling
repurchases in times of economic stress, particularly if the fund
must repurchase on behalf of underlying originators. Fitch
increased its loss expectations by 12bps at the 'AAAsf' rating
category to account for the non-investment-grade counterparty risk
of the R&W provider.

Low Operational Risk (Negative): Operational risk is well
controlled for in this transaction. Chimera actively purchases
prime jumbo loans and is assessed as an 'average' aggregator by
Fitch. Loans were primarily originated by Guaranteed Rate, Inc.,
whom Fitch has reviewed and assessed to be an 'average'
originator.

Shellpoint Mortgage Servicing is the named servicer for the
transaction and is responsible for primary and special servicing
functions. Fitch views Shellpoint as a sound servicer of prime
loans, and the company is rated 'RPS2'/Stable. Wells Fargo Bank,
N.A. (RMS1-/Negative) will act as master servicer. Overall, Fitch
increased its expected losses at the 'AAAsf' rating stress
slightly, by 6bps, to reflect the absence of originator assessments
covering a portion of the transaction coupled with the 'average'
aggregator assessment.

RATING SENSITIVITIES

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

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 39.0% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or in other words, positive home price growth with no
    assumed overvaluation. The analysis assumes positive home
    price growth of 10%. Excluding the senior class, which is
    already rated 'AAAsf', the analysis indicates there is
    potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

-- This section provides insight into the model-implied
    sensitivities the transaction faces when one assumption is
    modified, while holding others equal. The modeling process
    uses the modification of these variables to reflect asset
    performance in up- and down environments. The results should
    only be considered as one potential outcome, as the
    transaction is exposed to multiple dynamic risk factors. It
    should not be used as an indicator of possible future
    performance.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics, Clayton Services and Opus. The
third-party due diligence described in Form 15E focused on credit,
compliance, data integrity and property valuation. Fitch considered
this information in its analysis.

100% of the pool received a final grade of "A" or "B", which
confirms no incidence of material exceptions. Approximately 39% of
the loan pool (by loan count) was assigned a final grade "B", which
is in line with other prime jumbo RMBS reviewed by Fitch. Loans
graded "B" were primarily due to credit exceptions.

Approximately 30% of the pool received credit exceptions that were
considered immaterial as they were supported with significant
compensating factors identified by both the seller and Chimera
during the acquisition process. Additionally, approximately 16% of
the pool was graded "B" for immaterial compliance exceptions
primarily to the TILA-RESPA Integrated Disclosure (TRID) rule that
were corrected by the seller with subsequent and/or post-closing
documentation. Fitch did not apply any loss adjustments.

Fitch applied a credit for loans that received due diligence, which
ultimately reduced the 'AAAsf' loss expectation by 15bps.

ESG CONSIDERATIONS

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.


CIM TRUST 2021-J2: Moody's Assigns B1 Rating on Class B-5 Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fifty-eight classes of residential mortgage-backed securities
(RMBS) issued by CIM Trust 2021-J2. The ratings range from Aaa (sf)
to B1 (sf).

CIM Trust 2021-J2 (CIM 2021-J2) is a securitization of prime
residential mortgages. The pool comprises of 504, 30-year and two
25-year fixed rate mortgages.

This transaction represents the second prime jumbo issuance by
Chimera Investment Corporation (the sponsor) in 2021. The
transaction includes 504, 30-year fixed rate and two 25-year fixed
rate, first lien mortgages with an unpaid principal balance of
approximately $479,118,140. The pool consists of 100% non
conforming mortgage loans. The mortgage loans for this transaction
have been acquired by the affiliate of the sponsor, Fifth Avenue
Trust (the Seller) from Bank of America, National Association
(BANA). BANA acquired the mortgage loans through its whole loan
purchase program from various originators. Approximately, 96.7% of
the loans in the pool are underwritten to Chimera Investment
Corporations (Chimera) guidelines. All the loans are designated as
qualified mortgages (QM) under the QM safe harbor rules. Shellpoint
Mortgage Servicing (SMS) will service the loans and Wells Fargo
Bank, N.A. (Aa2) will be the master servicer. SMS will be
responsible for advancing principal and interest and corporate
advances, with the master servicer backing up SMS' advancing
obligations if SMS cannot fulfill them.

Three third-party review (TPR) firms verified the accuracy of the
loan level information that we received from the sponsor. These
firms conducted detailed credit, property valuation, data accuracy
and compliance reviews on 100% of the mortgage loans in the
collateral pool. The TPR results indicate that there are no
material compliance, credit, or data issues and no appraisal
defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to other prime jumbo securitizations. In addition,
Moody's adjusted its expected losses based on qualitative
attributes, including the financial strength of the representation
and warranties (R&W) provider and TPR results.

CIM 2021-J2 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 for each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: CIM Trust 2021-J2

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 Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

Cl. A-18, Assigned Aaa (sf)

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. A-21, Assigned Aaa (sf)

Cl. A-22, Assigned Aaa (sf)

Cl. A-23, Assigned Aaa (sf)

Cl. A-24, Assigned Aaa (sf)

Cl. A-IO1*, Assigned Aaa (sf)

Cl. A-IO2*, Assigned Aaa (sf)

Cl. A-IO3*, Assigned Aaa (sf)

Cl. A-IO4*, Assigned Aaa (sf)

Cl. A-IO5*, Assigned Aaa (sf)

Cl. A-IO6*, Assigned Aaa (sf)

Cl. A-IO7*, Assigned Aaa (sf)

Cl. A-IO8*, Assigned Aaa (sf)

Cl. A-IO9*, Assigned Aaa (sf)

Cl. A-IO10*, Assigned Aaa (sf)

Cl. A-IO11*, Assigned Aaa (sf)

Cl. A-IO12*, Assigned Aaa (sf)

Cl. A-IO13*, Assigned Aaa (sf)

Cl. A-IO14*, Assigned Aaa (sf)

Cl. A-IO15*, Assigned Aaa (sf)

Cl. A-IO16*, Assigned Aaa (sf)

Cl. A-IO17*, Assigned Aaa (sf)

Cl. A-IO18*, Assigned Aaa (sf)

Cl. A-IO19*, Assigned Aaa (sf)

Cl. A-IO20*, Assigned Aaa (sf)

Cl. A-IO21*, Assigned Aaa (sf)

Cl. A-IO22*, Assigned Aaa (sf)

Cl. A-IO23*, Assigned Aaa (sf)

Cl. A-IO24*, Assigned Aaa (sf)

Cl. A-IO25*, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-IO1*, Assigned Aa3 (sf)

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

Cl. B-2, Assigned A2 (sf)

Cl. B-IO2*, Assigned A2 (sf)

Cl. B-2A, Assigned A2 (sf)

Cl. B-3, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B1 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.21%
at the mean, 0.09% at the median, and reaches 2.35% 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 regard 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%
(5.99% for the mean) and Moody's 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 thirdparty due diligence and the
R&W framework of the transaction.

Collateral Description

Moody's assessed the collateral pool as of the cut-off date of
March 1, 2021. CIM 2021-J2 is a securitization of 506 prime
residential mortgage loans with an aggregate principal balance of
approximately $479,118,140. The pool comprises 504 30-year and two
25-year fixed rate mortgages.

Overall, the credit quality of the mortgage loans backing this
transaction is better than recently issued prime jumbo
transactions. The WA FICO for the aggregate pool is 784 with a WA
LTV and WA CLTV of 62.9%. Approximately 13.6% (by loan balance) of
the pool has a LTV ratio greater than 75%. High LTV loans generally
have a higher probability of default and higher loss severity
compared to lower LTV loans.

Exterior-only appraisals: In response to the COVID-19 national
emergency, many originators/aggregators have temporarily
transitioned to allowing exterior-only appraisals, instead of a
full interior and exterior inspection of the subject property, on
many mortgage transactions. There are 5 loans in the pool, 1.05% by
unpaid principal balance, that do not have a full appraisal that
includes an exterior and an interior inspection of the property.
Instead, these loans have an exterior-only appraisal. Moody's did
not make any adjustments to Moody's losses for such loans primarily
because of strong credit characteristics such as high FICO score,
low LTV and DTI ratios, and significant liquid cash reserves and
because such loans comprise a de minimis percentage of loan pool,
by balance. In addition, none of these borrowers have any prior
history of delinquency.

Loans with delinquency and forbearance history: Although there are
no loans in the pool that are currently delinquent, there are 8
loans in the pool that have some history of delinquency. Of these 8
delinquent loans, 1 delinquency was COVID-19 related delinquency.
The borrower was under a forbearance plan and was then subsequently
reinstated in November 2020. Since then, the borrower is current on
his/her mortgage obligation. The other 7 loans were delinquent due
to servicing transfer issues but have regularly made their mortgage
payments since then. Moody's increased its model-derived median
expected losses by 10% (5.99% for the mean) and Moody's Aaa losses
by 2.5% to reflect the likely performance deterioration resulting
from of slowdown in US economic activity due to the coronavirus
outbreak. Moody's regard the coronavirus outbreak as a social risk
under its ESG framework, given the substantial implications for
public health and safety.

Origination Quality and Underwriting Guidelines

There are 12 originators in the transaction. The largest
originators in the pool with more than 10% by balance are
Guaranteed Rate Inc., Guaranteed Rate Affinity, LLC, and Proper
Rate, LLC (37.3%) and Fairway Independent Mortgage Corporation
(14.0%).

The seller, Fifth Avenue Trust, acquired the mortgage loans from
Bank of America, National Association (BANA). Approximately 96.7%
of the mortgage loans by stated principal balance as of the cut-off
date were acquired by BANA from various mortgage loan originators
or sellers through its jumbo whole loan purchase program. These
mortgage loans have principal balances in excess of the
requirements for purchase by Fannie Mae and Freddie Mae (i.e. 100%
of the loans in the pool are prime jumbo loans) and were generally
acquired pursuant to the CIM 2021-J2 acquisition criteria
(described below) .

Approximately 3.3% of the mortgage loans by stated principal
balance as of the cut-off date were acquired by BANA and originated
pursuant to the guidelines of either loanDepot.com, LLC (loanDepot)
or Quicken Loans LLC (Quicken). The CIM 2021-J2 acquisition
criteria does not apply to the eligibility criteria, underwriting,
or origination or acquisition of these mortgage loans.

Moody's increased its base case and Aaa loss expectations for all
loans underwritten to Chimera's underwriting guidelines, which
include loans originated by Guaranteed Rate Inc., Guaranteed Rate
Affinity, LLC, and Proper Rate, LLC and Fairway Independent
Mortgage Corporation, because Moody's consider such mortgage loans
to have been acquired to slightly less conservative prime jumbo
underwriting standards. Moody's did not make any adjustments to its
losses for loans originated under loanDepot's or Quicken's
underwriting guidelines as Moody's consider them to be adequate
originators of prime jumbo mortgage loans.

Servicing arrangement / COVID-19 Impacted Borrowers

In the event that a borrower enters into or requests a COVID-19
related forbearance plan after March 1, 2021, such mortgage loan
will remain in the mortgage pool and the servicer will be required
to make advances in respect of delinquent interest and principal
(as well as servicing advances) on such mortgage loan during the
forbearance period (to the extent such advances are deemed
recoverable). Forbearances are being offered in accordance with
applicable state and federal regulatory guidelines and the
homeowner's individual circumstances. At the end of the forbearance
period, as with any other modification, to the extent the related
borrower is not able to make a lump sum payment of the forborne
amount, the servicer may, subject to the servicing matrix, offer
the borrower a repayment plan, enter into a modification with the
borrower (including a modification to defer the forborne amounts)
or utilize any other loss mitigation option permitted under the
pooling and servicing agreement.

As with any other modification, it is anticipated that the servicer
will reimburse itself at the end of the forbearance period for any
advances made by it with respect to such mortgage loan, whether
that be from any lump sum payments made by the related borrower,
from any increased payments received with respect to any repayment
plan entered into by the borrower, or, if modified and capitalized
in connection therewith, at the time of such modification as a
reimbursement of such capitalized advances from principal
collections on all of the mortgage loans. The servicer also has the
right to reimburse itself for any advance from all collections on
the mortgage loans at any time it deems such advance to be
non-recoverable. With respect to a mortgage loan that is the
subject of a servicing modification, the amount of principal of the
mortgage loan, that has been deferred, if any and that does not
accrue interest will be treated as a realized loss and to the
extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

Third Party Review

Three third-party review (TPR) firms, Clayton Services LLC,
Consolidated Analytics, Inc, and Opus Capital Markets Consultants,
LLC, verified the accuracy of the loan level information that the
sponsor gave us. These firms conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool. The TPR results indicate
that the majority of reviewed loans were in compliance with
respective originators' underwriting guidelines, no material
compliance or data issues, and no appraisal defects.

For property valuation, the TPR firms identified all loans as
either A or B level grades. There were 3 loans the appraisal of
which was not supported by the desk review (variance between the
appraisal value and the desk review was greater than -10%). A field
review was subsequently ordered, and this valuation came out in
line with the appraisal. Moody's did not make any additional
adjustments to Moody's base case and Aaa loss expectations for
TPR.

Representations and Warranties Framework

Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the seller, who will in turn assign to the
depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, Chimera Funding TRS LLC (an affiliate
of the sponsor) will backstop the R&Ws for all originator's loans.
The R&W provider's obligation to backstop third party R&Ws will
terminate 5 years after the closing date, subject to certain
performance conditions. The R&W provider will also provide the gap
reps. Moody's considered the R&W framework in Moody's analysis and
found it to be adequate. Moody's therefore did not make any
adjustments to our losses based on the strength of the R&W
framework.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give us a clear
indication that the loans do not breach the R&Ws the originators
have made and that the originators are unlikely to face any
material repurchase requests in the future. The loan-level R&Ws are
strong and, in general, either meet or exceed the baseline set of
credit-neutral R&Ws Moody's identified for US RMBS. Among other
considerations, the R&Ws address property valuation, underwriting,
fraud, data accuracy, regulatory compliance, the presence of title
and hazard insurance, the absence of material property damage, and
the enforceability of the mortgage.

In a continued effort to focus breach reviews on loans that are
more likely to contain origination defects that led to or
contributed to the delinquency of the loan, an additional carve out
has been in recent transactions Moody's have rated from other
issuers relating to the delinquency review trigger. Similarly, in
this transaction, exceptions exist for certain excluded disaster
mortgage loans that trip the delinquency trigger. These excluded
disaster loans include COVID-19 forbearance loans.

Tail Risk & 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 principal payments under certain defined
scenarios. Because a shifting interest structure allows
subordinated bonds to pay down over time as the loan pool shrinks,
senior bonds are exposed to increased performance volatility, known
as tail risk. The transaction provides for a senior subordination
floor of 1.10% of the closing pool balance, which mitigates tail
risk by protecting the senior bonds from eroding credit enhancement
over time. Additionally, there is a subordination lock-out amount
which is 0.75% of the cut-off pool balance.

Other Considerations

In CIM 2021-J2, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at a cost
to the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's consider this credit neutral
because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

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.


CITIGROUP COMMERCIAL 2014-GC21: DBRS Confirms BB Rating on E Certs
------------------------------------------------------------------
DBRS Limited downgraded the ratings on two classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-GC21 issued by
Citigroup Commercial Mortgage Trust 2014-GC21 as follows:

-- Class X-D to B (sf) from BB (low) (sf)
-- Class F to B (low) (sf) from B (high) (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

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

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

The rating downgrades and negative trends generally reflect the
overall weakened performance of the collateral since the last
review and the increased likelihood of loss to the trust upon the
resolution of Harbor Square (Prospectus ID#14, 2.1% of the pool),
which is currently in special servicing.

As of the February 2021 remittance, 57 of the original 70 loans
remain in the pool, with a trust balance of $745.5 million,
representing a collateral reduction of 28.3% since issuance. A
single loan has liquidated from the pool, resulting in an $8.9
million loss to the non-rated Class G in 2019. There are five
loans, representing 5.5% of the current trust balance, that are
fully defeased. By property type, the pool is most concentrated by
retail, multifamily, and mixed-use, with loans secured by those
property types representing 33.9%, 19.3%, and 11.1% of the current
trust balance, respectively.

There are two loans in special servicing, representing 3.6% of the
current trust balance. The larger of the two, Harbor Square
(Prospectus ID#14, 2.1% of the current trust balance), was
transferred to special servicing in February 2020 for imminent
monetary default following the borrower's notice that the
property's operations no longer supported debt payments. The
property is secured by a 344, 823-square foot shopping center in
Egg Harbor Township, New Jersey. At issuance, the property was
anchored by Boscov's Department Store (49.8% of the net rentable
area (NRA); lease expiration of September 2028) and Burlington Coat
Factory (24.6% of the NRA), which vacated after their lease
expiration in November 2019, causing occupancy to fall to 73.5%.
According to servicer commentary, leasing momentum has garnered no
momentum as a result of a struggling retail market, which has
hindered tenant sales and re-tenanting efforts; this has likely
been exacerbated by the ongoing Coronavirus Disease (COVID-19)
pandemic. While tenant rollover is otherwise fairly granular, the
property's third-largest tenant, Spirit Halloween (9.2% of the
NRA), has a lease expiration in March 2022, with no extension
options available. Historically, the tenant has remained open only
during the Halloween and Christmas seasons, allowing other tenants
to use the space for employee training and storage the remainder of
the year. The loan has a moderate loan-to-value ratio of 54.8%
based on the February 2021 trust balance and the issuance value of
$28.5 million; however, the current value of the property is likely
far lower given the dark anchor space, paired with the poor
property quality and the location of the subject. While no updated
appraisal has been provided to date, DBRS Morningstar assumes the
loan will take a significant loss upon resolution.

There are 11 loans, representing 41.7% of the current trust
balance, on the servicer's watchlist. The servicer is monitoring
these loans for a variety of reasons, including low debt service
coverage ratio (DSCR) and occupancy issues; however, the primary
reason for the increase of loans on the watchlist is the
coronavirus-driven stress for retail and hospitality properties,
with watchlisted loans backed by those property types generally
reporting a declining DSCR.

The Lanes Mill Marketplace (Prospectus ID#9, 2.9% of the current
trust balance) loan, which is secured by a mixed-use property in
Howell, New Jersey, is being monitored on the servicer's watchlist
for performance-related declines stemming from increased vacancy.
The loan is current as of the February 2021 reporting, but the DSCR
has been below breakeven since the departure of Barnes & Noble
(16.9% of the NRA), which vacated at lease expiration in February
2019. While the borrower was able to sign Sketchers (5.1% of the
NRA) to a 10-year lease through June 2030, leasing activity has
been significantly hindered by the coronavirus, although the
borrower is actively marketing the space. The property is anchored
by Stop & Shop (45.7% of the NRA; lease expiration of December
2028), and while grocery anchored properties have generally shown
more resilience to the effects of the ongoing pandemic, the tenant
reported a trailing 12 months ended December 2019 sales figure of
$270 per square foot (psf), which is quite low, and well below the
issuance figure of $446 psf. As of Q3 2020, the loan had an
annualized net cash flow of $1.1 million (a DSCR of 0.74 times
(x)), compared with $1.3 million (0.92x) at YE2019 and the DBRS
Morningstar figure derived at issuance of $1.7 million (1.20x).
Given the drastic decline in the anchor tenant's sales along with
the increased vacancy and performance decline, DBRS Morningstar has
elevated the probability of default for this loan to recognize the
current credit risk it poses to the trust.

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


CITIGROUP COMMERCIAL 2015-GC27: DBRS Cuts 2 Certs' Rating to B(low)
-------------------------------------------------------------------
DBRS, Inc. downgraded the ratings on five classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-GC27 issued by
Citigroup Commercial Mortgage Trust 2015-GC27 as follows:

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

DBRS Morningstar also confirmed the ratings on the following
classes as follows:

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

As part of its review, DBRS Morningstar removed Classes E, F, G,
X-E, and X-F from Under Review with Negative Implications where it
had placed them on August 6, 2020. The trends on Classes E, F, X-E,
and X-F are Negative. Class G no longer carries a trend, given its
CCC (sf) rating, and DBRS Morningstar designated this class as
having Interest in Arrears. The trends on all remaining classes are
Stable.

The downgrades and Negative trends generally reflect the overall
weakened performance of the collateral since the last review,
specifically the increased likelihood of losses to the trust upon
the ultimate resolutions of the Highland Square (Prospectus ID#5
– 3.5% of the trust balance) and Centralia Outlets (Prospectus
ID#8 – 2.7% of the trust balance) loans. At issuance, the trust
comprised 100 fixed-rate loans secured by 116 commercial properties
with a total trust balance of $1.19 billion. Per the February 2021
remittance report, there are 95 loans secured by 111 commercial
properties remaining in the trust with balance of $1.08 billion,
representing a 9.8% collateral reduction from scheduled
amortization and the payoff of five loans. Over the previous 12
months, two loans, totaling $19.0 million, were repaid in full and
four loans, amounting to $47.3 million, were fully defeased. Two
loans, totaling 7.5% of the trust balance, transferred to the
special servicer during the Coronavirus Disease (COVID-19)
pandemic.

Per the February 2021 remittance report, 13 loans (10.1% of the
trust balance) were fully defeased. The pool is relatively diverse
based on loan size with the largest 15 loans representing 53.0% of
the trust balance. The pool is concentrated by property type as the
trust comprises 42 loans, totaling 37.4% of the trust balance, that
are secured by retail properties. The trust also features a
relatively high number of loans backed by collateral in tertiary
and low-density markets with 41 loans, comprising 64.2% of the
trust balance, secured by properties with a DBRS Morningstar Market
Rank of 3 or lower. However, the pool is somewhat insulated from
lodging properties (which have shown the highest cash flow
volatility during the pandemic) with only five loans (7.0% of the
trust balance) secured by hotels. In addition, there are 11 loans,
representing 23.0% of the trust balance, that feature full
interest-only (IO) terms.

Five loans, comprising 12.1% of the trust balance, were in special
servicing as of the February 2021 remittance report. DBRS
Morningstar is most concerned about the Highland Square and
Centralia Outlets loans. Highland Square is secured by a 753-bed
student housing complex in Oxford, Mississippi, approximately two
miles northeast of the main campus of the University of
Mississippi. The loan transferred to the special servicer in
November 2018 after an extended period on the watchlist for cash
flow declines. New competitive properties have been delivered since
issuance, which significantly affected the subject's performance
given its inferior location with regard to proximity to campus. The
property became real estate owned in October 2019 following
foreclosure. A November 2020 rent roll noted the property was 73.7%
occupied with an average rent of $505 per bed, compared with the
issuance figures of 94.8% and $593 per bed, respectively.
Special-servicer commentary as of February 2021 noted the subject
was 6% pre-leased for the upcoming 2021/2022 academic year. The
property was reappraised in June 2020 at a value of $30.2 million,
a continuous decline from the $39.0 million appraised value in July
2019 and $51.0 million appraised value at issuance. The loan was
liquidated from the trust as part of this analysis based on the
updated appraised value, resulting in an implied loss severity in
excess of 35.0%.

Centralia Outlets is secured by the fee interest in an outlet mall
in Centralia, Washington, approximately 85 miles southwest of
Seattle. The loan is sponsored by a seasoned regional investor who
developed more than 1.2 million square feet of commercial space in
the Seattle area. The loan transferred to the special servicer in
July 2020 for monetary default as a result of the pandemic, and
debt service payments were last remitted in May 2020. The special
servicer is in discussions with the borrower to determine next
steps and relief. The property was reappraised in September 2020
for a value of $21.6 million, down 54.0% from the $47.0 million
appraised value at issuance. The appraiser indicated very limited
collateral value upside with an "as-stabilized" value that remained
below the outstanding loan principal balance. A September 2020 rent
roll noted the property was 79.6% occupied, down from the 87.4%
occupancy rate at issuance. The largest tenants are Ralph Lauren
(6.6% of net rentable area (NRA); lease expiration of January 2024)
and Nike Clearance (5.8% of NRA; lease expiration of March 2022).
VF Outlet, which had been the largest tenant with 14.2% of the NRA,
and Van Heusen both appear to have vacated at the end of their
lease terms, and the property is projected to be 63.2% leased as of
February 2021. Per the appraiser, the subject's leases have typical
co-tenancy requirements and termination clauses for an outlet
center. With respect to co-tenancy clauses, 12 of the in-place
tenants require an occupancy rate of at least 65% to 75%. The
projected occupancy rate is expected to trigger co-tenancy clauses,
which could result in additional vacancies in the near term. The
loan was hypothetically liquidated from the trust based on the
updated appraised value, resulting an implied loss severity in
excess of 40.0%.

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



CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms B- Rating on F Debt
---------------------------------------------------------------
Fitch Ratings has affirmed all ratings and outlooks on 14 classes
of Citigroup Commercial Mortgage Trust 2016-P4.

     DEBT              RATING            PRIOR
     ----              ------            -----
CGCMT 2016-P4

A-1 29429EAA9    LT  AAAsf   Affirmed    AAAsf
A-2 29429EAB7    LT  AAAsf   Affirmed    AAAsf
A-3 29429EAC5    LT  AAAsf   Affirmed    AAAsf
A-4 29429EAD3    LT  AAAsf   Affirmed    AAAsf
A-AB 29429EAE1   LT  AAAsf   Affirmed    AAAsf
A-S 29429EAH4    LT  AAAsf   Affirmed    AAAsf
B 29429EAJ0      LT  AA-sf   Affirmed    AA-sf
C 29429EAK7      LT  A-sf    Affirmed    A-sf
D 29429EAL5      LT  BBB-sf  Affirmed    BBB-sf
E 29429EAN1      LT  BB-sf   Affirmed    BB-sf
F 29429EAQ4      LT  B-sf    Affirmed    B-sf
X-A 29429EAF8    LT  AAAsf   Affirmed    AAAsf
X-B 29429EAG6    LT  AA-sf   Affirmed    AA-sf
X-C 29429EAW1    LT  BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations have remained fairly
stable since Fitch's last rating action despite an increase in
specially serviced loans. Additionally, Fitch has modeled higher
losses to certain loans to address performance concerns stemming
from the coronavirus pandemic. There are 11 Fitch Loans of Concern
(FLOCs) (37.9%), including the two specially serviced loans (8.2%),
both of which have transferred since the last rating action.
Fitch's current ratings reflect a base case loss of 5.9%. The
Negative Rating Outlooks take into account additional stresses
related to the coronavirus pandemic, which indicate losses could
reach 7%.

FLOCs/Specially Serviced Loans: The largest contributor to loss
expectations and loan with largest increase in modeled losses is
401 South State Street (4.3%). The loan is secured by two
properties: a 479,500-sf building and a 7,500-sf adjacent office
property located in the South Loop submarket in downtown Chicago.
The loan transferred to special servicing in June 2020 for payment
default after the property's single tenant Robert Morris University
- Illinois vacated in April 2020. The tenant previously occupied
approximately 75% of the NRA with a lease expiration in June 2024.
A receiver was placed in September 2020. The special servicer
indicated they are dual-tracking foreclosure and the receiver is
attempting to re-lease the space. An updated appraisal was
requested but was not available. Fitch performed a dark value
analysis, which resulted in modeled losses of approximately 56% on
current total exposure.

The second largest contributor to loss expectations is Marriott
Midwest Portfolio (4%). The loan is secured by a portfolio of 10
hotels, totaling 1,103 rooms, located across the midwestern U.S.
There are three properties in Michigan (36% loan balance, 338
rooms), six properties in Minnesota (54% loan balance, 653 rooms)
and one property in Wisconsin (10% loan balance, 112 rooms). Seven
of the hotels operate as SpringHill Suites and three operate as
TownePlace Suites. Each of the hotels is entered in a 15-year
franchise agreement with Marriott that will expire in February
2031, nearly 10 years past the loan maturity.

The loan was transferred to special servicing in June 2020 as a
result of the adverse impact from the coronavirus pandemic. As of
the March 2020 TTM financials, occupancy was 74% and NOI DSCR was
2.31x. Cash management has been triggered due to the payment
default. The special servicer continues to evaluate options,
including a potential forbearance agreement. Fitch's loss
expectations of 19% were based on a discount to a recent
valuation.

The third largest contributor to loss expectations is Esplanade I
(5.5%). The loan is secured by a 609,000-sf suburban office
property located in Downers Grove, IL, approximately 20 miles west
of the Chicago CBD. Per the December 2020 rent roll, the property
was 85% occupied and the YE19 NOI DSCR was 1.39x. The two largest
tenants at the property, IRS (14% NRA) and Hillshire Brands/Tyson
Foods (12% NRA) had lease expirations in 2021; the leases were
recently extended, for five and two years, respectively. Despite
the tenant renewals, approximately 19% of the NRA is scheduled to
roll in 2021, including the third and fourth largest tenants. No
further leasing updates were available. Fitch's analysis included a
20% stress to YE19 NOI to reflect potential upcoming tenant roll,
resulting in a loss severity of approximately 10%.

The second largest loan, Hyatt Regency Huntington Beach Resort &
Spa (8.6%) is a FLOC. The 517-key full-service hotel is located in
Huntington Beach, CA. Hotel amenities include multiple F&B outlets,
a large amount of indoor and outdoor meeting space, two swimming
pools, fitness facility and spa and a walking bridge connecting the
hotel to the beach. The hotel closed in March 2020 in response to
the pandemic and re-opened in July 2020. The loan transferred to
the special servicer in July 2020 for coronavirus-related hardships
and was recently returned to the master servicer in February 2021
with an executed forbearance agreement, which, among other things,
includes a three-month principal and interest deferment followed by
a six-month IO period. Fitch's analysis included a 26% stress to
YE19 NOI to reflect the loan's previous performance issues, which
resulted in a loss severity of under 1%.

Increasing Credit Enhancement: As of the revised March 2021
distribution date, the pool's aggregate balance has been paid down
by 3.3% to $697 million from $721 million at issuance. There are no
loans that have defeased. Six loans (23.9%) are full-term
interest-only loans. There are 25 loans (49.9%) that were
structured with partial interest only periods; only one (4.2%)
remains in the initial interest only period. The transaction has
not realized any losses to date, although interest shortfalls are
affecting non-rated class H (the previous non-revised remittance
indicated shortfalls affecting classes A-S through NR). There are
two non-specially serviced loans that will mature in 2021.

Coronavirus Exposure: There are 18 loans (38.6%) secured by retail
properties, including the largest loan in the pool (10% of the
pool). There are six hotel loans that comprise 19.4% of the pool,
including three (14.7%) in the top 15. The retail properties have a
weighted average (WA) NOI DSCR of 2.02x and can sustain a WA
decline in NOI of 46% before DSCR would fall below 1.0x. The hotel
properties have a WA NOI DSCR of 2.56x and can sustain a WA decline
in NOI of 60% before DSCR would fall below 1.0x.

Fitch's analysis included additional NOI stresses to 10 retail and
four hotel loans to account for potential future cash flow
disruptions due to the coronavirus pandemic. The stresses
contributed to maintaining the Negative Rating Outlooks.

Undercollateralization: The transaction is undercollateralized by
approximately $775,000 due to a WODRA on the Hyatt Regency
Huntington Beach Resort & Spa loan, which was reflected in the
March 2021 remittance report.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E and F reflect the
potential for near-term rating downgrades should the performance of
the specially serviced and FLOCs continue to deteriorate. The
Negative Rating Outlooks also reflect concerns with hotel and
retail properties due to declines in travel and commerce as a
result of the pandemic.

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

-- Sensitivity factors that lead to upgrades would include stable
    to improved asset performance coupled with paydown and/or
    defeasance. Classes would not be upgraded above 'Asf' if there
    is a likelihood of interest shortfalls. Upgrades to classes B,
    C and associated interest only classes X-B and X-C would
    likely occur with significant improvement in CE and with
    improvement in the performance of the FLOCs, particularly 401
    South State Street and Marriott Midwest Portfolio.

-- An upgrade to class D is not likely until the later years of
    the transaction and only if the performance of the remaining
    pool is stable, as the FLOCs and other properties vulnerable
    to the coronavirus stabilize and if there is sufficiently high
    CE to the class. Upgrades to classes E and F are unlikely but
    could occur with substantial improvement in performance
    amongst the FLOCs and specially serviced loans or if the
    specially serviced loans are disposed of with better than
    expected recoveries.

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

-- Sensitivity factors that lead to downgrades include an
    increase in pool-level losses from underperforming or
    specially serviced loans. Downgrades to the senior classes (A
    1 through A-S) are less likely due to high CE but may occur if
    losses increase substantially or if there is likelihood for
    interest shortfalls.

-- A downgrade to classes B, C, D and interest-only classes X-B
    and X-C would likely occur as expected losses increase or as
    CE is eroded, as loans susceptible to the coronavirus transfer
    to special servicing or should outsized losses on large loans
    materialize, particularly 401 South State Street and Marriott
    Midwest Portfolio. Downgrades of classes E and F would occur
    with increased certainty of losses.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, Fitch expects that a greater
percentage of classes may be assigned a Negative Rating Outlook or
those with Negative Rating Outlooks will be downgraded one or more
categories.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


CITIGROUP MORTGAGE 2014-GC23: Fitch Affirms B- Rating on F Certs
----------------------------------------------------------------
Fitch Ratings affirms 13 classes of Citigroup Commercial Mortgage
Trust commercial mortgage pass-through certificates series
2014-GC23.

    DEBT                RATING           PRIOR
    ----                ------           -----
CGCMT 2014-GC23

A-3 17322VAS5    LT  AAAsf   Affirmed    AAAsf
A-4 17322VAT3    LT  AAAsf   Affirmed    AAAsf
A-AB 17322VAU0   LT  AAAsf   Affirmed    AAAsf
A-S 17322VAV8    LT  AAAsf   Affirmed    AAAsf
B 17322VAW6      LT  AAsf    Affirmed    AAsf
C 17322VAX4      LT  A-sf    Affirmed    A-sf
D 17322VAE6      LT  BBB-sf  Affirmed    BBB-sf
E 17322VAG1      LT  BB-sf   Affirmed    BB-sf
F 17322VAJ5      LT  B-sf    Affirmed    B-sf
PEZ 17322VBA3    LT  A-sf    Affirmed    A-sf
X-A 17322VAY2    LT  AAAsf   Affirmed    AAAsf
X-B 17322VAZ9    LT  A-sf    Affirmed    A-sf
X-C 17322VAA4    LT  BB-sf   Affirmed    BB-sf

KEY RATING DRIVERS

Stable Loss Expectations; Increased Credit Enhancement: The
affirmations reflect the overall stable performance of the
collateral. Credit enhancement (CE) has increased slightly since
the prior rating action due to scheduled amortization. As of the
March 2021 remittance report, the pool has been paid down by 18.6%
to $1.0 billion from $1.23 billion at issuance. Of the 83 loans in
the transaction at issuance, 65 loans remain. Ten loans (15.2%)
have been defeased and one loan (0.4% of the prior balance) has
been liquidated at a loss since the prior rating action. Three
loans (30.0%) are full-term interest-only and 28 loans (43.4%) are
partial-term interest-only, all of which have begun amortizing. No
remaining loans mature prior to 2024. Class G has realized $1.9
million in losses to date and is currently experiencing interest
shortfalls.

Fitch's current ratings are based on a base case loss expectation
of 5.00%. The Negative Outlooks on classes E, F, and X-C reflect
losses that could reach 6.60% when factoring additional
pandemic-related stresses, as well as a potential outsized loss on
Chula Vista Center.

Fitch Loans of Concern: There are ten (17.7% of pool) Fitch Loans
of Concern (FLOCs), including five specially serviced loans (6.8%).
The largest driver to losses is Chula Vista Center (6.5%), a
regional mall in the San Diego metro where a non-collateral Sears
closed in February 2020. The mall has also experienced declining
occupancy as in-line tenants have vacated over the past several
years. As of YE 2020, total mall and collateral occupancy were 62%
and 80%, respectively. As of the YE 2020 sales report, comp inline
sales under 10,000 sf were $317 psf at YE 2020 compared to $449 psf
at YE 2019 and $374 psf at issuance.

Smaller performing FLOCs include four retail loans that are either
being stress tested due to the coronavirus pandemic, have lost a
major tenant, or have experienced declines in cash flow.

Specially Serviced Loans: The Centre Properties Portfolio (3.0%), a
four-property retail portfolio in the Indianapolis metro,
transferred to special servicing in June 2020 due to the
coronavirus pandemic. As of 1Q21, the portfolio was 84% occupied
and performing at a 1.15x NOI debt service coverage ratio (DSCR).

Doubletree Rochester (1.5%), a 248-key full-service hotel in
Rochester, NY, transferred to special servicing in June 2020 due to
imminent monetary default. The special servicer is working to
install a receiver as they pursue foreclosure. Given the
possibility that this loan could become REO, Fitch modeled a loss
of approximately 20%.

Smaller specially serviced loans include two properties where the
special servicer is negotiating with the borrowers on COVID relief
and one REO shopping center in the Atlanta metro.

Alternative Loss Scenario: Fitch's analysis included an additional
sensitivity scenario of an outsized 35% loss to the maturity
balance of Chula Vista Center due to the regional mall asset class,
dark anchor space, and declining occupancy. This additional
sensitivity scenario also factors in the expected paydown of the
defeased loans, contributed to the Negative Rating Outlooks on
classes E, F, and X-C.

Coronavirus Exposure: The pool contains four loans (8.0%) secured
by hotels with a weighted average (WA) NOI DSCR of 2.73x. Retail
properties account for 34.9% of the pool balance and have WA NOI
DSCR of 1.65x. Cash flow disruptions continue as a result of
property and consumer restrictions due to the spread of the
coronavirus. Fitch's base case analysis applied an additional NOI
stress to two hotel loans and eight retail loans due to their
vulnerability to the pandemic. These additional stresses
contributed to the Negative Rating Outlooks on classes E, F, and
X-C.

RATING SENSITIVITIES

The Negative Outlooks on classes E, F, and X-C reflect the
potential for a near-term rating change should the performance of
Chula Vista Center or other specially serviced loans deteriorate.
The Stable Outlooks on classes A-3 through D reflect the overall
stable performance of the pool and expected continued
amortization.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of classes B, C, X-B, and PEZ may
    occur with significant improvement in CE or defeasance. An
    upgrade to class D would also take into account these factors,
    but would be limited based on sensitivity to concentrations or
    the potential for future concentration. Classes would not be
    upgraded above 'Asf' if there is a likelihood for interest
    shortfalls.

-- An upgrade to classes E, F, and X-C is not likely unless the
    loans vulnerable to the pandemic stabilize and if there is
    sufficient CE, which would likely occur when the non-rated
    class is not eroded and the senior classes payoff. While
    uncertainty surrounding the coronavirus pandemic and Chula
    Vista Center loan continues, upgrades are not likely.

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

-- Increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the senior classes, A
    3 through C are not likely due to the position in the capital
    structure and the high CE and defeasance, but may occur at
    'AAAsf' or 'AAsf' should interest shortfalls occur.Downgrades
    to class D would occur should overall pool losses increase or
    one or more large loans have an outsized loss which would
    erode CE, such as an outsized loss on Chula Vista Center.

-- Downgrades to classes E, F, and X-C would occur should loss
    expectations increase due to an increase in specially serviced
    loans or an increased certainty of loss at Chula Vista Center.
    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.

Deutsche Bank is the trustee for the transaction and serves as the
backup advancing agent. Deutsche Bank's Long-Term Issuer Default
Rating (IDR) is currently 'BBB'/'F2'/Outlook Positive. Fitch relies
on the master servicer, Midland Loan Services, Inc., a division of
PNC Financial Services Group, Inc. (A+/F1/ Stable), which is
currently the primary advancing agent, as counterparty.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


CITIGROUP MORTGAGE 2021-RP1: Fitch Gives B(EXP) Rating on B-2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Citigroup Mortgage
Loan Trust 2021-RP1 (CMLTI 2021-RP1).

DEBT                 RATING
----                 ------
CMLTI 2021-RP1

A-1       LT AAA(EXP)sf  Expected Rating
A-2       LT AA(EXP)sf   Expected Rating
A-3       LT AA(EXP)sf   Expected Rating
A-4       LT A(EXP)sf    Expected Rating
A-5       LT BBB(EXP)sf  Expected Rating
M-1       LT A(EXP)sf    Expected Rating
M-2       LT BBB(EXP)sf  Expected Rating
B-1       LT BB(EXP)sf   Expected Rating
B-2       LT B(EXP)sf    Expected Rating
B-3       LT NR(EXP)sf   Expected Rating
B-4       LT NR(EXP)sf   Expected Rating
B-5       LT NR(EXP)sf   Expected Rating
B         LT NR(EXP)sf   Expected Rating
A-IO-S    LT NR(EXP)sf   Expected Rating
X         LT NR(EXP)sf   Expected Rating
SA        LT NR(EXP)sf   Expected Rating
BC        LT NR(EXP)sf   Expected Rating
PT        LT NR(EXP)sf   Expected Rating
R         LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The transaction is expected to close on March 31, 2021. The notes
are supported by a collateral group consisting of 2,502 seasoned
performing loans (SPLs) and re-performing loans (RPLs) with a total
balance of approximately $514.6 million, including $26.7 million,
or 5.2%, of the aggregate pool balance in non-interest-bearing
deferred principal amounts, as of the statistical calculation
date.

Distributions of principal and interest (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 servicer will not advance delinquent monthly payments
of P&I.

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. After the
adjustment for coronavirus-related forbearance loans, 12% of the
pool was 30 days delinquent as of the statistical calculation date,
and 45% of loans are current but have had recent delinquencies
(after being adjusted for Fitch's treatment of coronavirus-related
forbearance and deferral loans). Roughly 76% (by UPB) have been
modified. Fitch increased its loss expectations to account for the
delinquent loans and the high percentage of "dirty current" loans.
See Asset Analysis section for additional color.

Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.

No Servicer P&I Advances (Mixed): The servicer will not advance
delinquent monthly payments of P&I, which reduces liquidity to the
trust. P&I advances made on behalf of loans that become delinquent
and eventually liquidate reduce liquidation proceeds to the trust.
Due to the lack of P&I advancing, the loan-level loss severity (LS)
is less for this transaction than for those where the servicer is
obligated to advance P&I. Structural provisions and cash flow
priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf' and 'AAsf' rated
classes.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to, or
that may be considered in the surveillance of the transaction.

Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation. The analysis assumes positive home price growth
    of 10%. Excluding the senior class, which is already 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all of the rated classes.

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper MVDs at the national level. The
    analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition
    to the model-projected 38.7% at 'AAA'. The analysis indicates
    that there is some potential rating migration with higher MVDs
    compared with the model projection.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton and EdgeMAC. A third-party due
diligence review was completed on 100% of the loans in the
transaction pool. The scope of the due diligence review varied for
this transaction depending on the seasoning of loans in the
transaction pool; approximately 6% of the transaction by loan count
is seasoned less than 24 months from the cut-off date and the
remaining 94% by loan count is seasoned greater than 24 months. The
population considered less than 24 months seasoned was subject to a
due diligence scope consistent with newly originated loans that
includes a review of credit, regulatory compliance and property
valuation. The seasoned loan population received a diligence scope
that consists primarily of regulatory compliance along with updated
tax and title search and review of servicing comments. Both review
scopes for new origination and seasoned populations were consistent
with Fitch criteria.

126 of reviewed loans, or approximately 5.4% of seasoned sample,
received a final grade of 'D' as the loan file did not have a final
HUD-1. Fitch also applied outside the model adjustments on 61 loans
that were modified and did not have evidence that the modification
agreement was present. Each loan received a three-month foreclosure
timeline extension to represent a delay in the event of liquidation
as a result of these files not being present. Fitch also separately
treated six loans as 2nd liens due to either an active lien on the
property from a prior mortgage that was not covered by the title
policy in place or the subject mortgage not recorded properly in
the respective county. Fitch adjusted its loss expectation at the
'AAAsf' by approximately 11bps to reflect the missing final HUD-1
files, modification agreements and 2nd lien treatment. An updated
tax, title and lien search was also performed on 100% of loans in
the transaction pool. The search identified loans with outstanding
liens and taxes that could take priority over the subject mortgage.
Fitch considered this information in its analysis and, as a result,
Fitch adjusted its loss expectation at the 'AAAsf' by approximately
18 basis points.

DATA ADEQUACY

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

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; however, this information was not provided
based on the American Securitization Forum's (ASF) data layout
format. Despite this difference in data presentation, Fitch
considered the data to be comprehensive. The data contained in
Citi's data tape were reviewed by the due diligence company and no
material discrepancies were noted.

ESG CONSIDERATIONS

CMLTI 2021-RP1 has an ESG Relevance Score of '4' for transaction
parties and operational risk. Operational risk is well controlled
for in CMLTI 2021-RP1, including strong R&Ws and transaction due
diligence, as well as a strong servicer, which resulted in a
reduction in expected losses.

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


CITIGROUP MORTGAGE 2021-RP1: Fitch Rates Class B-2 Debt 'Bsf'
-------------------------------------------------------------
Fitch Ratings has assigned ratings to Citigroup Mortgage Loan Trust
2021-RP1 (CMLTI 2021-RP1).

DEBT            RATING             PRIOR
----            ------             -----
CMLTI 2021-RP1

A-1      LT  AAAsf  New Rating   AAA(EXP)sf
A-2      LT  AAsf   New Rating   AA(EXP)sf
A-3      LT  AAsf   New Rating   AA(EXP)sf
A-4      LT  Asf    New Rating   A(EXP)sf
A-5      LT  BBBsf  New Rating   BBB(EXP)sf
M-1      LT  Asf    New Rating   A(EXP)sf
M-2      LT  BBBs   New Rating   BBB(EXP)sf
B-1      LT  BBsf   New Rating   BB(EXP)sf
B-2      LT  Bsf    New Rating   B(EXP)sf
B-3      LT  NRsf   New Rating   NR(EXP)sf
B-4      LT  NRsf   New Rating   NR(EXP)sf
B-5      LT  NRsf   New Rating   NR(EXP)sf
B        LT  NRsf   New Rating   NR(EXP)sf
A-IO-S   LT  NRsf   New Rating   NR(EXP)sf
X        LT  NRsf   New Rating   NR(EXP)sf
SA       LT  NRsf   New Rating   NR(EXP)sf
BC       LT  NRsf   New Rating   NR(EXP)sf
PT       LT  NRsf   New Rating   NR(EXP)sf
R        LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by a collateral group consisting of 2,502
seasoned performing loans (SPLs) and re-performing loans (RPLs)
with a total balance of approximately $514.6 million, including
$26.7 million or 5.2% of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date.

Distributions of principal and interest (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 servicer will not advance delinquent monthly payments
of P&I.

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. After the
adjustment for pandemic-related forbearance loans, 12% of the pool
was 30 days delinquent as of the statistical calculation date, and
45% of loans are current but have had recent delinquencies after
being adjusted for Fitch's treatment of pandemic-related
forbearance and deferral loans. Roughly 76% by unpaid principal
balance have been modified. Fitch increased its loss expectations
to account for the delinquent loans and the high percentage of
"dirty current" loans. See Asset Analysis section of the related
presale for additional color.

Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.

No Servicer P&I Advances (Mixed): The servicer will not advance
delinquent monthly payments of P&I, which reduces liquidity to the
trust. P&I advances made on behalf of loans that become delinquent
and eventually reduce liquidation proceeds to the trust. Due to the
lack of P&I advancing, the loan-level loss severity (LS) is less
for this transaction than for those where the servicer is obligated
to advance P&I. Structural provisions and cash flow priorities,
together with increased subordination, provide for timely payments
of interest to the 'AAAsf' and 'AAsf' rated classes.

CMLTI 2021-RP1 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk, which has a positive impact on the
credit profile, and is relevant to the rating in conjunction with
other factors. Operational risk is well-controlled for CMLTI
2021-RP1, including strong representations and warranties and
transaction due diligence, as well as a strong servicer, which
resulted in a reduction in expected losses. See the ESG Navigator
in Appendix 5 of the associated presale report for further
details.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area (MSA) level. The
implied rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to, or that may be considered in the
surveillance of the transaction.

Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation. The analysis assumes positive home price growth
    of 10%. Excluding the senior class, which is already 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all rated classes.

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper MVDs at the national level. The
    analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition
    to the model-projected 38.7% at 'AAA'. The analysis indicates
    that there is some potential rating migration with higher MVDs
    compared with the model projection.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton and EdgeMAC. A third-party due
diligence review was completed on 100% of the loans in the
transaction pool. The scope of the due diligence review varied for
this transaction depending on the seasoning of loans in the
transaction pool; approximately 6% of the transaction by loan count
is seasoned less than 24 months from the cut-off date, and the
remaining 94% by loan count is seasoned greater than 24 months. The
population considered less than 24 months seasoned was subject to a
due diligence scope consistent with newly originated loans that
includes a review of credit, regulatory compliance and property
valuation. The seasoned loan population received a diligence scope
that consists primarily of regulatory compliance along with updated
tax and title search and review of servicing comments. Both review
scopes for new origination and seasoned populations were consistent
with Fitch criteria.

Approximately 5.4% of the seasoned sample, or 126 reviewed loans,
received a final grade of 'D' as the loan file did not have a final
HUD-1. Fitch also applied outside the model adjustments on 61 loans
that were modified and did not have evidence that the modification
agreement was present. Each loan received a three-month foreclosure
timeline extension to represent a delay in the event of liquidation
as a result of these files not being present. Fitch also separately
treated six loans as second liens due to either an active lien on
the property from a prior mortgage that was not covered by the
title policy in place or the subject mortgage not recorded properly
in the respective county. Fitch adjusted its loss expectation at
the 'AAAsf' by approximately 11bps to reflect the missing final
HUD-1 files, modification agreements and second lien treatment. An
updated tax, title and lien search was also performed on 100% of
loans in the transaction pool. The search identified loans with
outstanding liens and taxes that could take priority over the
subject mortgage. Fitch considered this information in its analysis
and, as a result, adjusted its loss expectation at the 'AAAsf'
level by approximately 18bps.

ESG CONSIDERATIONS

CMLTI 2021-RP1 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk, which has a positive impact on the
credit profile, and is relevant to the rating in conjunction with
other factors.

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


COMM 2013-CCRE10: DBRS Confirms B Rating on Class F Certs
---------------------------------------------------------
DBRS Limited confirmed all classes of the Commercial Mortgage
Pass-Through Certificates, Series 2013-CCRE10 issued by COMM
2013-CCRE10 Mortgage Trust as follows:

-- Class A-3 at AAA (sf)
-- Class A-3FL at AAA (sf)
-- Class A-3FX at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class PEZ at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)

The trends on all classes are Stable, with the exception of the
trends on Classes D, E, and F, which were changed to Negative.

The Negative trends are reflective of DBRS Morningstar's concerns
surrounding the one loan in special servicing, which represents
2.8% of the pool, and the two largest of the 13 loans on the
servicer's watchlist. Although the outlook for the loan in special
servicing is somewhat positive, given a recent appraisal showing an
improvement in value from issuance, and the two largest watchlisted
loans remain current despite cash flow declines at the respective
collateral properties, even relatively moderate increases in risk
for those loans are significant for this pool. This is because the
transaction structure includes three relatively small balance
classes at the bottom of the capital stack, with the unrated Class
G previously reduced by approximately half of the issuance balance
with the liquidation of Strata Estate Suites (Prospectus ID #15),
which resulted in a $17.2 million loss applied with the October
2018 remittance.

In total, the loans on the servicer's watchlist represent 19.8% of
the pool. These loans are being monitored for various reasons,
including low debt service coverage ratio (DSCR), declining
occupancy, failure to submit financials, and deferred maintenance.
As of the February 2021 remittance, the trust balance has been
reduced by 22.2% to $786.5 million from the initial $1.0 billion,
with 47 of the original 59 loans remaining in the pool. The
transaction is concentrated by property type as 10 loans,
representing 31.8% of the pool, are secured by office-type
properties and another 10 loans, representing 18.0% of the pool,
are secured by retail properties or mixed use portfolios that are
primarily composed of retail assets.

The specially serviced loan, Hotel Murano (Prospectus ID#13; 2.8%
of the pool), is secured by a 319-room full-service hotel property
in Tacoma, Washington, which has been closed since March 2020 due
to the Coronavirus Disease (COVID-19) pandemic. The loan
transferred to special servicing in June 2020 for imminent monetary
default and, as of the February 2021 remittance, was most recently
paid in April 2020. The special servicer is working with the
sponsor to finalize the terms of a forbearance agreement, but the
extended delinquency and the delay in negotiations to resolve the
outstanding defaults is worrisome. Mitigating to a certain extent
the increased risks from issuance is the August 2020 appraisal
obtained by the special servicer that showed an as-is value of
$39.7 million, an increase over the issuance figure of $37.5
million. While the value improvement is somewhat unique for hotel
properties in the coronavirus pandemic environment, the
historically strong performance of the subject hotel, which
reported revenues of $22.4 million for YE2019— an improvement of
135.0% over the issuer's estimated figure—is a contributing
factor.

Based on a hypothetical liquidation scenario analyzed by DBRS
Morningstar, a property sale would have to occur at a nearly 40%
discount to the August 2020 appraisal for the trust to realize a
loss on this loan. However, given the unknown outcome of the final
workout strategy and the severely delinquent status for the loan, a
probability of default (PD) penalty was applied in the analysis for
this review, significantly increasing the expected loss.

The largest loan on the servicer's watchlist is SpringHill
Suites/Fairfield Inn & Suites (Prospectus ID#7; 5.4% of the pool),
which is secured by two connected limited-service hotels situated
in downtown Louisville, Kentucky. The collateral comprises 333
total keys, including a 19-key SpringHill Suites and a 135-key
Fairfield Inn & Suites. The loan was added to the servicer's
watchlist in November 2020 due to a low DSCR. As of the trailing
twelve months ended June 2020, the DSCR was reported at 0.87 times
(x), down significantly from the YE2019 and YE2018 DSCRs of 2.01x
and 1.59x, respectively. The cash flow declines are a direct result
of the coronavirus pandemic and, as of the February 2021
remittance, the loan remains current and no relief request has been
submitted by the sponsor to date.

The second-largest loan on the servicer's watchlist is General
Motors Innovation Center (Prospectus ID#8; 3.9% of the pool),
secured by a 320,000 square foot Class A office property located in
Austin, Texas. General Motors (GM), the former single tenant,
vacated the property following its August 2020 lease expiry and the
space has yet to be backfilled. GM's plans to vacate the property
were known at least 12 months prior to the lease expiry, meaning
the sponsor has been marketing the space for at least 18 months,
with no leasing traction thus far. The loan remains current and a
cash flow sweep that was to be required as part of the GM lease
expiry date was waived in lieu of a letter of credit, which was
provided by the sponsor and showed an amount of $7.6 million as of
the February 2021 loan level reserve report. Given the extended
status as fully vacant and the likelihood that leasing activity for
large blocks of space will continue to be tepid during the
pandemic, the loan was analyzed with a PD penalty to increase the
expected loss for this review.

DBRS Morningstar confirmed that the performance of One Wilshire
(Prospectus ID #1; 10.4% of the pool) remains consistent with
investment-grade loan characteristics.

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


COMM 2014-CCRE20: DBRS Cuts Class X-E Certs Rating to B (low)
-------------------------------------------------------------
DBRS Limited downgraded its ratings on five classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE20
issued by COMM 2014-CCRE20 Commercial Mortgage Trust, as follows:

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

DBRS Morningstar confirmed its ratings on the remaining classes as
follows:

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)

In addition, DBRS Morningstar discontinued its rating on Class X-F
as it references a class with a C (sf) rating. All trends are
Stable with the exception of Classes D, E, and X-D, which have
Negative trends, and Classes F and G, which have ratings that do
not carry a trend.

With this review, DBRS Morningstar removed Classes E, X-E, and X-F
from Under Review with Negative Implications where they were placed
on September 25, 2020. DBRS Morningstar also added the Interest in
Arrears designation to Class E.

The downgrades and Negative trends generally reflect the overall
weakened performance of the collateral since the last review and
the increased likelihood of losses to the trust upon the resolution
of several of the specially serviced loans, particularly the Crowne
Plaza Houston Katy Freeway and DoubleTree Beachwood loans. These
loans showed significant performance declines prior to the onset of
the Coronavirus Disease (COVID-19) global pandemic, although other
loans in the pool have been more directly affected by the pandemic
given the pool's high concentration of hospitality and retail
properties, totaling 61.4% of the pool, which have been hit
particularly hard by the effects of the pandemic.

As of the February 2021 remittance, 57 of the original 64 loans
remain in the pool, representing a collateral reduction of 15.8%
since issuance. Twelve loans, representing 17.3% of the current
pool balance, are fully defeased. On a positive note, there are
only four loans, representing 4.0% of the current trust balance, on
the servicer's watchlist. The servicer is monitoring these loans
for a variety of reasons, including low debt service coverage ratio
(DSCR) and occupancy issues; however, the primary reason for the
increase of loans on the watchlist is the coronavirus-driven stress
for retail and hospitality properties, with watchlisted loans
backed by those property types generally reporting a low DSCR.

Per the February 2021 remittance, eight loans are in special
servicing, totaling 19.5% of the trust balance. Our primary concern
is with Crowne Plaza Houston Katy Freeway (Pros ID#9; 3.0% of
pool), which is secured by the borrower's fee interest in a
six-story, 207-key, full-service hotel in Houston, approximately
five miles north of the Houston Galleria Mall. The loan transferred
to special servicing in May 2020 for payment default after the
property's performance trended downward over the past few years,
primarily a result of market factors associated with the downturn
in the energy markets. The year-end 2019 NCF was down 58% since
issuance and reported a DSCR of 0.59x. According to the servicer
commentary, the lender is working with the borrower to transition
the property via deed in lieu. The property was reappraised in June
2020 at $25.9 million, 47% below its issuance appraised value,
resulting in a current LTV of 114.6%. DBRS Morningstar liquidated
this loan as part of this analysis and assumed a loss to the
trust.

DoubleTree Beachwood (Pros ID#12; 2.5% of pool), the pool's only
REO loan, is backed by a 404-key full-service hotel in Beachwood,
Ohio, 12 miles east of Cleveland. The property's performance has
deteriorated in recent years as a result of increased competition
from two nearby hotels that recently underwent renovations as well
as from one new hotel in the area. The DoubleTree Beachwood has
invested very little in renovations since its flag conversion in
2013. An updated appraisal completed in April 2020 valued the
property at $9.7 million, which implies an LTV of 251%. The value
reflects a decrease of 76% from the at-issuance appraisal value of
$40 million. DBRS Morningstar assumed a nearly total loss as part
of this analysis.

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


COMM 2014-LC15: DBRS Cuts Class F Certs Rating to CCC
-----------------------------------------------------
DBRS Limited downgraded the ratings on two classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-LC15
issued by COMM 2014-LC15 Mortgage Trust as follows:

-- Class X-C to B (low) (sf) from B (sf)
-- Class F to CCC (sf) from B (low) (sf)

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

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

DBRS Morningstar removed Classes E, X-C, and F from Under Review
with Negative Implications, where they were placed on August 6,
2020. Class E has a Negative trend because of the increase in risks
associated with the specially serviced loans. Class F does not
carry a trend. All other trends are Stable.

As of the February 2021 remittance, the pool balance had been
reduced to $714.2 million from $927.5 million at issuance, a
collateral reduction of 16.7% resulting from amortization, the
payoff of six loans, and the liquidation of two loans from the
trust. The pool is fairly concentrated by property type as loans
representing 37.2% of the pool are secured by retail properties. In
addition, three loans (2.3% of the pool balance) are fully
defeased.

The Negative trend on Class E and downgrades to Classes X-C and F
reflect DBRS Morningstar's concerns for the six loans, representing
12.2% of the pool, in special servicing. The largest loan in
special servicing, Marriott Downtown Hartford (Prospectus ID#8,
5.7% of the pool), is secured by a 409-key full-service hotel in
Hartford, Connecticut, and transferred to special servicing in July
2020 for payment default. The loan struggled throughout 2020 and
reported a negative cash flow because of its reliance on the
Connecticut Convention Center which is connected to the collateral.
The Coronavirus Disease (COVID-19) pandemic has severely affected
group and meeting bookings, and the loan is currently 90 days to
120 days delinquent. The special servicer and borrower are
currently negotiating potential debt relief options.

The second-largest loan in special servicing is Hilton Garden Inn
Houston (Prospectus ID#14, 2.6% of the pool). This loan, secured by
a 171-key hotel in Houston, transferred to special servicing in
December 2019 for payment default. In addition to disruptions
arising from the pandemic, the hotel has been negatively affected
by fluctuations in the oil industry. The YE2019 debt service
coverage ratio (DSCR) was reported at only 0.21 times (x) and,
through Q3 2020, the loan's cash flow turned negative. The borrower
has expressed interest in conveying title back to the lender. An
updated appraisal as of September 2020 valued the property at $12.5
million, a 60% decline from the issuance value of $31.6 million.
For this review, DBRS Morningstar liquidated the loan from the
trust which resulted in an implied loss severity in excess of 50%.

DBRS Morningstar remains concerned with the McKinley Mall loan
(Prospectus ID#22, 1.2% of the pool) which has been in special
servicing since April 2018. This loan is secured by a regional mall
in Buffalo that has lost all but one of its anchor tenants to
bankruptcy closures. Through Q3 2020, the collateral was 64.7%
occupied with an annualized DSCR of 0.02x. Servicer commentary
notes that a receiver is now in control and the borrower is
co-operating with an orderly turnover of the mall. An updated
appraisal as of November 2020 valued the property at $11.5 million,
a 79.6% decline from the issuance value of $56.6 million. For this
review, DBRS Morningstar liquidated the loan from the trust which
resulted in an implied loss severity in excess of 85%.

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


COMM 2014-UBS4: DBRS Cuts Class F Certs Rating to B (low)
---------------------------------------------------------
DBRS Limited downgraded its ratings on four classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4
issued by COMM 2014-UBS4 Mortgage Trust as follows:

-- Class X-C to B (high) (sf) from BB (high) (sf)
-- Class E to B (sf) from BB (sf)
-- Class X-D to B (sf) from B (high) (sf)
-- Class F to B (low) (sf) from B (sf)

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

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

In addition, DBRS Morningstar discontinued its rating on Class A-2
as it has repaid in full and removed Classes X-D and F from Under
Review with Negative Implications where they were placed on August
6, 2020. Classes D, X-C, E, X-D, and F carry Negative trends. All
other trends remain Stable.

The rating downgrades and Negative trends generally reflect the
increased risk of loss to the trust for some of the loans in the
pool, primarily concentrated in the two largest loans in special
servicing. As of the February 2021 remittance, there were 20 loans
on the servicer's watchlist, representing 36.8% of the pool, and
seven loans, representing 16.4% of the pool, in special servicing.
The watchlisted loans are being monitored for various reasons
including low DSCRs, activation of cash traps, occupancy declines,
upcoming tenant rollover, and Coronavirus Disease
(COVID-19)-related borrower relief requests. All but one of the
specially serviced loans, which include two top 15 loans, have
transferred to the special servicer since the outbreak of the
coronavirus.

As of the February 2021 remittance, the trust had an aggregate
principal balance of $1.05 billion, representing a collateral
reduction of 18.6% since issuance, with 80 of the original 91 loans
remaining in the pool. There has been one loan liquidated with a
loss since issuance, the Microtel Inn & Suites loan, which was
contained to the unrated certificates. As of the February 2021
remittance report, 15 loans, representing 7.2% of the current trust
balance, were fully defeased. The trust is concentrated by property
type, with office properties accounting for 12 loans, representing
33.6% of the current trust balance. Retail makes up the
second-largest property type concentration with 27 loans,
representing 21.1% of the current trust balance. Lodging makes up
the third-largest property type concentration with nine loans,
representing 17.0% of the current trust balance.

The largest loan in special servicing is 597 Fifth Avenue
(Prospectus ID#2, 10.0% of the current trust balance). The loan is
secured by two adjacent mixed-use properties in the Midtown
neighborhood of Manhattan, consisting of 80,032 square feet (sf) of
Class B office and ground floor retail. Previously modified in May
2020, the loan transferred to the special servicer again in October
2020 for imminent payment default. The mezzanine lender recently
requested that a new leasing/management firm be appointed, and the
special servicer and the directing certificated holder approved the
request, which is being finalized by the special servicer. The
workout strategy is noted as foreclosure, but the moratorium on
commercial real estate foreclosures remains in place in New York,
stalling any action by the servicer to initiate the taking of
title. The servicer has yet to provide an updated appraisal, but
given the fact that the ground floor retail space appears to be
largely vacant and potentially fully available for lease as of an
online search conducted by DBRS Morningstar in March 2021, the
as-is value has likely fallen quite sharply from the issuance
figure of $180.0 million, significantly increasing the risk of loss
at resolution and a primary driver for the rating downgrades and
trend changes as outlined above.

The second-largest loan in special servicing is Cross County Plaza
(Prospectus ID#9, 2.8% of the current trust balance), which is
secured by an anchored retail center in West Palm Beach, Florida.
The loan, which is on the DBRS Morningstar Hotlist, transferred to
the special servicer in May 2020 and, as of the February 2021
remittance, was listed as 30-59 days delinquent. The property has
struggled since the loss of Kmart in 2016 and Winn-Dixie in 2019,
but two new tenants (Ollie's Bargain Outlet and a trampoline park)
were recently signed, bringing the property to an occupancy rate of
85.0% as of August 2020. The servicer cites a workout strategy of
foreclosure, but no concrete information on the timeline has been
provided to date. Given the low occupancy rate for much of the life
of the loan and the low in-place cash flow and delinquency for the
loan, the risk of loss to the trust is significantly increased from
issuance.

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


COMM 2015-CCRE26: Fitch Lowers Class F Certs to 'B-sf'
------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 10 classes of
Deutsche Bank Securities, Inc.'s COMM 2015-CCRE26 Mortgage Trust
commercial mortgage pass-through certificates. Fitch has also
maintained the Negative Outlooks on two classes.

    DEBT                RATING           PRIOR
    ----                ------           -----
COMM 2015-CCRE26

A-3 12593QBD1    LT  AAAsf   Affirmed    AAAsf
A-4 12593QBE9    LT  AAAsf   Affirmed    AAAsf
A-M 12593QBG4    LT  AAAsf   Affirmed    AAAsf
A-SB 12593QBC3   LT  AAAsf   Affirmed    AAAsf
B 12593QBH2      LT  AA-sf   Affirmed    AA-sf
C 12593QBJ8      LT  A-sf    Affirmed    A-sf
D 12593QBK5      LT  BBB-sf  Affirmed    BBB-sf
E 12593QAL4      LT  BB+sf   Affirmed    BB+sf
F 12593QAN0      LT  B-sf    Downgrade   BB-sf
X-A 12593QBF6    LT  AAAsf   Affirmed    AAAsf
X-C 12593QAC4    LT  BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrade and Negative Outlooks
reflect increased loss expectations and performance deterioration
on a greater number of Fitch Loans of Concerns (FLOCs) that have
been impacted by the slowdown in economic activity amid the
coronavirus pandemic. Eighteen loans (35.1% of pool) were
designated as FLOCs, including six loans in special servicing
(9.8%). Fitch's current ratings incorporate a base case loss of
6.90%. The Negative Outlooks on classes E and F reflect losses
which could reach 7.80%, should additional stresses related to the
coronavirus pandemic materialize.

Largest Contributors to Loss: The largest contributor to Fitch's
loss expectation, Rosetree Corporate Center (4.3%), is secured by a
268,156 sf suburban office building located in Media, PA
(approximately 22 miles from Philadelphia). The loan, which is
sponsored by PA Portfolio K3 Investments LLC, was designated a FLOC
due to a major tenant vacancy when FXI, Inc. (15.9% of net rentable
area (NRA); 21% of base rents) vacated at the end of its lease term
in September 2019. The loan faces potential payment default and
special servicer transfer risks. Fitch's loss expectation of
approximately 38% in the base case is based on a 10% cap rate and
20% total haircut to YE 2018 NOI.

Occupancy and servicer-reported NOI DSCR declined to 68% and 0.94x,
respectively, at YE 2020, down from 92% and 1.14x at YE 2018 and
88% and 1.39x at issuance. The loan is currently amortizing after
the initial two-year IO period expired in September 2017. The loan
is currently fully cash managed and all excess cash is being swept.
As of March 2021, the special rollover reserve balance is
approximately $740,000. Additionally, near term rollover includes
10.7% in 2021 and 13.8% in 2022. The largest current tenant is
ECBM, LP, which leases 7% NRA through January 2027.

The second largest contributor to Fitch's loss expectation, Ashley
Park (6.7%), is secured by a 554,364 sf anchored retail center
located in Newnan, GA. The loan, which is sponsored by Apollo U.S.
Real Estate Fund II, was designated a FLOC due to rollover concerns
and potential for performance declines amid the coronavirus
pandemic. Fitch's loss expectation of approximately 15% in the base
case is based on a 10% cap rate and 20% total haircut to YE 2020
NOI.

Near term rollover includes 1.4% NRA in 2021 and 16.6% in 2022.
Occupancy and servicer-reported NOI DSCR were 93% and 1.73x at YE
2020 compared with 93% and 2.05x at YE 2019. Based on amortizing
payments, which commenced in July 2020, DSCR would be 1.49x at YE
2020 and 1.48x at YE 2019. Occupancy and servicer-reported NOI DSCR
were 92% and 1.51x at issuance. The center is anchored by
Dillard's, which leases 28% NRA through January 2024. Other large
tenants include Regal Cinemas, which leases 9.1% NRA through
November 2029 and Dick's, which leases 8.1% NRA through January
2022.

The third largest contributor to Fitch's loss expectation, Hotel
Lucia (3.0%), is secured by a 127-key, full service unflagged
boutique hotel located in Portland, OR. The loan, which is
sponsored by Gordon Sondland, transferred to special servicing in
July 2020 for payment default. The Borrower chose to take the
relief that was granted by Oregon House Bill 4204, which expired on
Dec. 31, 2020. Funds have been sent to be applied for the January
2021 and February 2021 payments. The special servicer will continue
to track the loan and ensure timely payments before transferring
the loan back to the master servicer. Fitch's loss expectation of
approximately 29% is based on a discount to the July 2020 appraisal
value.

Occupancy was 33% at YE 2020, down from 78% at YE 2019 and 80% at
issuance. Servicer-reported NOI DSCR was -0.50x as of September
2020, down from 1.22x at YE 2019 and 1.87x at issuance. Per
servicer updates, the decline in 2019 was primarily attributed to
increased expenses and market competition. Per STR, the hotel was
slightly underperforming its competitive set with a RevPAR
penetration rate of 96.9% at YE 2019.

The fourth largest contributor to Fitch's loss expectation, Chapel
Square Retail (3.5%) is secured by a 195,191 sf mixed-use
office/retail center located in Avon, CO. The loan, which is
sponsored by David Hoffmann, was designated a FLOC due to near term
rollover and performance concerns amid the coronavirus pandemic.
Fitch's loss expectation of approximately 18% is based on a 10% cap
rate and 20% total haircut to YE 2020 NOI.

Per the September 2020 rent roll, near term rollover includes 3.1%
NRA in 2020, 13.8% in 2021 and 9.5% in 2022. Occupancy and
servicer-reported NOI DSCR were 96% and 1.48x at YE 2020 compared
with 97% and 1.32x at YE 2019 and 99% and 1.45x at issuance. The
loan had an initial three-year interest period and began amortizing
in October 2018. The largest tenant, Traer Creek, which leases
27.3% NRA through March 2023 subleases its space to Sun Ski &
Sports and Pier 1 Imports. Pier 1 Imports filed for bankruptcy in
2020 and announced closure of all its stores. Per servicer updates,
Traer Creek continues to remain current on its rental obligations.

Exposure to Coronavirus Pandemic: Six loans (13.8%) are secured by
hotel properties. The weighted average (WA) NOI DSCR for the hotel
loans is 1.97x. These hotel loans could sustain a WA decline in NOI
of 50% before DSCR falls below 1.00x. Eighteen loans (17.0%) are
secured by retail properties. The WA NOI DSCR for the non-defeased
retail loans is 1.87x. These retail loans could sustain a WA
decline in NOI of 47% before DSCR falls below 1.00x. Additional
coronavirus specific stresses were applied to all six hotel loans
(13.8%), seven retail loans (11.1%) and two mixed-use loans (4.5%).
These additional stresses contributed to the Negative Outlooks on
classes E and F.

Increasing Credit Enhancement (CE): As of the March 2021
distribution date, the pool's aggregate balance has been paid down
by 8.2% to $1.0 billion from $1.09 billion at issuance. One loan
with a $7.3 million balance at disposition paid at maturity since
Fitch's prior review. Seven loans (17.2%) are full-term, IO.
Twenty-one loans (55.3%) have a partial-term, IO component of which
19 have begun to amortize. Four loans (3.3%) are defeased. Interest
shortfalls of $224,318 are currently impacting the non-rated class
H.

Pool Concentration: The top 10 loans comprise 54.3% of the pool.
Loan maturities are concentrated in 2025 (99.2%). Based on property
type, the largest concentrations are office at 39.2%, retail at
17.0% and hotel at 13.8%.

RATING SENSITIVITIES

The Negative Outlooks on classes E and F reflect the potential for
further downgrades and concerns with the FLOCs, primarily the
specially serviced loans and loans impacted by the coronavirus
pandemic. The Stable Outlooks on classes A-3 through D, X-A and X-C
reflect the overall stable performance of the pool and the
expectation of paydown from continued amortization.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of classes B, C, D and X-C may
    occur with significant improvement in CE and/or defeasance but
    would be limited based on sensitivity to concentrations or the
    potential for future concentration. Classes would not be
    upgraded above 'Asf' if there is a likelihood for interest
    shortfalls.

-- Upgrades of classes E and F are not likely due to performance
    concerns with the FLOCs but could occur if performance of the
    FLOCs improves significantly and/or if there is sufficient CE,
    which would likely occur if the non-rated classes are not
    eroded and the senior classes pay-off.

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

-- Increase in pool level expected losses from underperforming or
    specially serviced loans. Downgrades of classes A-3, A-4 and
    A-SB are not likely due to the overall stable performance of
    the pool and expected receipt of continued amortization.

-- Downgrades of classes A-M, B, C, D, X-A and X-C could occur if
    interest shortfalls impact the class, if additional loans
    become FLOCs or if performance of the FLOCs deteriorates
    further. Classes E and F would be downgraded if performance of
    the FLOCs declines and/or losses on the loans expected to be
    impacted by the coronavirus pandemic materialize.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
further negative rating actions, including additional downgrades
and/or Negative Outlook revisions.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


COMM 2015-PC1: DBRS Cuts Class F Certs Rating to CCC
----------------------------------------------------
DBRS, Inc. downgraded the ratings on two classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-PC1 issued by COMM
2015-PC1 Mortgage Trust as follows:

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

DBRS Morningstar also confirmed the ratings on the following
classes:

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

DBRS Morningstar also removed Classes E, F, X-D, and X-E from Under
Review with Negative Implications, where they were placed on August
6, 2020. All trends are Stable with the exception of Class F, which
does not carry a trend. DBRS Morningstar also designated Class F as
having Interest in Arrears.

The rating downgrades reflect increased risk to the pool from the
high volume of specially serviced loans and the interest shortfalls
affecting Class F, which began with the January 2021 remittance and
are anticipated to remain in the near term. At issuance, the trust
consisted of 80 loans secured by 147 commercial and multifamily
properties with a total trust balance of $1.46 billion. Per the
February 2021 remittance report, 71 loans secured by 135 properties
remained in the trust with a total trust balance of $1.20 billion,
representing an 18.3% collateral reduction. Since the last review
in March 2020, three loans, totaling $154.3 million, were repaid in
full, including Princeton GSA Portfolio (Prospectus ID#2—$114.0
million). Additionally, one loan, Hampton Inn—Sunbury (Prospectus
ID#71), was liquidated from the trust with a realized loss of
$436,565 in December 2020. In addition, six loans, totaling 4.3% of
the trust balance, are fully defeased.

The pool is relatively diverse based on loan size, with the largest
15 loans totaling 48.5% of the trust balance. Loans secured by
office properties represent the largest property type
concentration, with 15 loans totaling 32.4% of the trust balance.
The trust is also relatively concentrated by hotel and retail
property types, which represent 22.4% and 19.6% of the trust
balance, respectively. Eleven loans, representing 18.0% of the
trust balance, are in special servicing, including three of the
largest seven loans. An additional 15 loans, representing 20.0% of
the trust balance, are on the servicer's watchlist. Most
watchlisted loans are on the servicer's watchlist because of a debt
service coverage ratio decline.

The Plaza at Harmon Meadow (Prospectus ID#4, 4.1% of the trust
balance) is secured by a mixed-use retail and office property seven
miles west of Manhattan in Secaucus, New Jersey. The loan
transferred to the special servicer in April 2020 for loan maturity
default after the April 2020 loan maturity date. The borrower was
unable to secure financing and communicated its unwillingness to
contribute additional capital to the project. The collateral was
reappraised in October 2020 for a value of $66.3 million, up 1.2%
from the $65.5 million appraised value at issuance. The property
continues to perform at a satisfactory level, with a 90.6%
occupancy rate as of June 2020 and modestly higher rents compared
with issuance. The servicer has commenced foreclosure proceedings,
although DBRS Morningstar does not anticipate a loss to the trust
in the near term based on the increased appraised value since
issuance and stable operating history.

Riverview Center (Prospectus ID#6, 2.5% of the trust balance) is
secured by a mixed-use office-industrial warehouse property in
Menands, New York, approximately three miles north of downtown
Albany. The loan transferred to the special servicer in December
2019 after the borrower requested a short-term extension for the
April 2020 loan maturity date. The loan was unable to be refinanced
and attempts to negotiate a forbearance agreement were
unsuccessful. The special servicer appointed a receiver and is
waiting on a foreclosure sale date. The property's occupancy rate
has gradually declined since issuance and the Albany office market
remains stagnant. The loan is overleveraged as the property was
reappraised in October 2020 for a value of $19.0 million, down
66.1% from the $56.0 million appraised value at issuance. As part
of this analysis, the loan was liquidated from the trust based on
the October 2020 appraised value, resulting in an implied loss
severity in excess of 50.0% to the trust.

DBRS Morningstar continues to closely monitor the 100 Pearl Street
loan (Prospectus ID#11, 2.3% of the trust), as a loan modification
agreement was executed in July 2019 that allows a discounted payoff
option (DPO) to the borrower in July 2023. The loan is secured by
the fee interest in an office building in the central business
district of Hartford, Connecticut. The property's primary tenant
vacated upon lease expiration in December 2018, and the loan was
subsequently modified. The modification included a conversion of
the loan to interest-only (IO) payments, a reduction of the
interest rate (which increases over time), and a provision granting
the borrower a $20.25 million DPO option which, if executed, would
result in a loss to the trust. The borrower has since executed a
new lease for a primary tenant, Hartford Health Corporation that
commenced occupancy in Q2 2020. However, DBRS Morningstar believes
the loan remains overleveraged and, given the structure of the
modification, will continue to add to the deal's interest
shortfalls.

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


COMM 2021-LBA: DBRS Gives Prov. B (low) Rating on Class G Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-LBA to
be issued by COMM 2021-LBA Mortgage Trust (COMM 2021-LBA):

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

All trends are Stable. Class J and Class HRR are not rated (NR).

The subject transaction consists of a portfolio of 18
industrial/logistics properties located across seven states being
recapitalized by a newly formed joint venture (JV) between LBA
Realty Fund VI, L.P. (LBA) and GIC (Realty) Private Limited (GIC),
the sovereign wealth fund of Singapore. DBRS Morningstar previously
analyzed and assigned ratings to certificates in connection with a
similar recapitalization sponsored by a JV partnership between LBA
and Blackstone (BX Trust 2021-LBA).

The portfolio benefits from its position across several
strong-performing gateway industrial markets, including
Philadelphia, Northern New Jersey, Los Angeles, Sacramento,
Chicago, and Salt Lake City. Collectively, the portfolio's markets
have a weighted-average (WA) availability rate of 6.4%, which is
below the Q3 2020 national average of approximately 7.6% according
to CBRE Econometric Advisers (EA). Gateway industrial markets serve
as key distribution points in the global supply chain, are near
major population centers, and generally exhibit greater liquidity
and stability in times of economic stress.

The entire portfolio is classified as warehouse/distribution
product, which was generally confirmed by DBRS Morningstar site
tours on a sampling of the portfolio. Furthermore, only 8.1% of the
portfolio's square footage is composed of office space, which is on
the lower end of the range for recently analyzed industrial
portfolios.

The transaction benefits from strong cash flow stability
attributable to a significant proportion of credit tenant leases
across the portfolio. Approximately 43.1% of the DBRS Morningstar
in-place base rent is attributable to investment-grade (IG)
tenants, including several high investment-grade rated entities.
Furthermore, if the sponsor is successful in executing an Amazon
lease for the 3825 Forsyth property, the portfolio's proportion of
in-place base rent derived from IG tenants would be in excess of
52.0%.

The borrower sponsors, a JV partnership between LBA and GIC, are
contributing approximately $238.2 million in cash equity as a part
of the transaction to recapitalize the portfolio. DBRS Morningstar
generally views acquisition loans with significant amounts of cash
equity more favorably, given the stronger alignment of economic
incentives when compared with cash-out financings.

The DBRS Morningstar LTV on the trust loan is significant at
106.7%. The high leverage point, combined with the lack of
amortization, could potentially result in elevated refinance risk
and/or loss severities in an EOD.

The portfolio has a WA year built of approximately 1985, which is
significantly older than other recently analyzed industrial
portfolios. Older properties tend to have lower clear heights and
often lack the benefits of modern building technology and HVAC
systems. Accordingly, the portfolio's WA clear heights are
approximately 26 feet, which are less favorable than other recently
analyzed portfolios, which have averaged closer to 27 feet.

Eleven of the portfolio's 18 properties are leased to single-tenant
users, therefore reducing tenant diversity and granularity. The
properties collectively comprise approximately 48.0% of the DBRS
Morningstar in-place base rent (exclusive of the prospective Amazon
lease for 3825 Forsyth). This proportion of single-tenant
properties is higher than other recently analyzed transactions.
However, as mentioned above, a sizable portion of the portfolio is
leased to IG tenants, which offsets some of the single-tenant
risk.

The mortgage loan has a partial pro rata/sequential-pay structure,
which allows for pro rata paydowns for the first 20.0% of the
unpaid principal balance. DBRS Morningstar considers this structure
to be credit negative, particularly at the top of the capital
stack. Under a partial pro rata paydown structure, deleveraging of
the senior notes through the release of individual properties
occurs at a slower pace compared with a sequential-pay structure.
DBRS Morningstar applied a penalty to the transaction's capital
structure to account for the pro rata nature of certain
prepayments.

The borrower can also release individual properties subject to
customary requirements. However, the prepayment premium for the
release of individual assets is generally 105.0% of the allocated
loan amount for the first 20.0% of the original principal balance
of the mortgage loan and 110.0% thereafter. DBRS Morningstar
considers the release premium to be weaker than a generally
credit-neutral standard of 115.0% and, as a result, applied a
penalty to the transaction's capital structure to account for the
weak deleveraging premium.

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



CSAIL 2015-C2: DBRS Cuts Rating of 2 Classes to B(sf)
-----------------------------------------------------
DBRS Limited downgraded its ratings on four classes of the
Commercial Mortgage Pass Through Certificates, Series 2015-C2
issued by CSAIL 2015-C2 Commercial Mortgage Trust as follows:

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

These four classes were removed from Under Review with Negative
Implications, where they were placed on August 6, 2020. These
classes have Negative trends. DBRS Morningstar also designated
Class F as having Interest in Arrears.

DBRS Morningstar also confirmed its ratings on the remaining
classes as follows:

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

DBRS Morningstar changed the trends on Classes C and D to Negative
from Stable. All other trends are Stable.

The rating downgrades and Negative trends reflect the increased
risk of loss to the trust for some of the loans in the pool,
including several that are currently in special servicing. As of
the February 2021 remittance, the initial trust balance of $1.38
billion had been reduced by 9.3% to $1.25 billion, with 110 of the
original 118 loans remaining in the pool. Additionally, there are
nine loans, representing 6.9% of the pool, that are fully defeased.
The transaction is concentrated by property type. There are 49
loans, representing 40.9% of the pool, secured by retail properties
or mixed-use portfolios that are primarily composed of retail
assets, and there are 17 loans, representing 19.8% of the pool,
secured by office assets.

As of the February 2021 remittance, 29 loans, representing 25.2% of
the pool, were on the servicer's watchlist and there were nine
loans, representing 8.4% of the pool, in special servicing. The
loans on the watchlist are being monitored for various reasons,
including a low debt service coverage ratio (DSCR),
occupancy-related issues, tenant rollover risk, and deferred
maintenance issues.

Two loans in the top 10 are on the servicer's watchlist for
performance-related issues. The largest of these, Residence Inn
Beverly Hills (Prospectus ID#4; 3.5% of the pool), is secured by a
186-key extended-stay hotel, and the loan has been flagged for a
low DSCR. The coverage was reported at 1.0 times (x) as of the
trailing-12 months (T-12) ended September 30, 2020, down from its
YE2019 DSCR of 2.14x. The second-largest watchlisted loan is Little
Tokyo Galleria (Prospectus ID#10; 1.9% of the pool), backed by a
192,000-square-foot (sf) enclosed shopping centre in downtown Los
Angeles, has requested relief because of the ongoing Coronavirus
Disease (COVID-19) pandemic. The loan was previously as much as 59
days delinquent but was brought current in November 2020.

DBRS Morningstar notes that there is one loan that appears to meet
the servicer's watchlist criteria but has yet to be added: the
Soho-Tribeca Grand Hotel Portfolio loan (Prospectus ID#3; 5.2% of
the pool), which is secured by two hotel properties in New York
City's SoHo and Tribeca neighborhoods and most recently reported a
DSCR of 0.17x. In addition, there is another top five loan not on
the servicer's watchlist but on the DBRS Morningstar Hotlist in
Westfield Trumbull (Prospectus ID#5; 2.7% of the current pool
balance), which is secured by a portion of a regional mall in
Trumbull, Connecticut, and is being monitored for the loss of Lord
& Taylor and exposure to JCPenney.

The largest loan in special servicing, The Depot (Prospectus ID#6,
2.3% of the pool), is secured by a 642-bed student housing property
in Akron, Ohio, serving the students of the University of Akron,
situated approximately a quarter mile from the subject. The loan
has been in special servicing since July 2016 and the property has
been real estate owned since February 2020. Prior to the loan's
transfer to special servicing, performance declines related to
supply increases in the market were noted and the property
continues to underperform issuance expectations, with a 57.0%
occupancy rate as of the beginning of the 2020–21 academic year.
The most recent appraisal obtained by the special servicer, dated
July 2020, showed an as-is value of $16.9 million, down from the
$24.0 million value as of the August 2019 appraisal and well below
the issuance value of $46.0 million. This loan was liquidated in
the analysis for this review, resulting in a loss severity in
excess of 70.0%.

The second-largest loan in special servicing, Bayshore Mall
(Prospectus ID#17; 1.7% of the current pool balance), is secured by
a regional mall in Eureka, California. The loan transferred to the
special servicer in October 2020; however, the loan has been
delinquent since August 2020. Property performance began to suffer
at YE2019 when Sears vacated its anchor pad and, as of November
2020, the property was 68.0% occupied. Remaining anchor tenants
include Walmart, Kohl's, Sportsman's Warehouse, Bed Bath & Beyond,
and Ross Dress for Less. Sales figures have also been weak in
recent years as, according to the March 2020 sales report, T-12
sales for in-line tenants occupying less than 10,000 sf were $326
per sf (psf) and T-12 sales for tenants occupying more than 10,000
sf were $234 psf. The property was appraised for $69.0 million at
issuance, equating to a loan-to-value ratio of 63.4% based on the
current pool balance; however, given the performance decline,
outstanding delinquency, and headwinds facing retail and
specifically nontrophy regional malls, the property's value has
likely decreased. According to the servicer, the
borrower—Brookfield Properties Retail Inc.—will be
transitioning the property back to the lender. As such, a new
appraisal has been ordered and counsel has been hired because the
loan is early in the resolution process. In its analysis, DBRS
Morningstar assumed a haircut to the issuance value and liquidated
this loan from the trust, resulting in a hypothetical loss severity
exceeding 35.0%.

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



CSAIL 2019-C15: DBRS Lowers Class G-RR Certs Rating to B(sf)
------------------------------------------------------------
DBRS Limited downgraded the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2019-C15 issued by CSAIL 2019-C15
Mortgage Trust as follows:

-- Class F-RR to BB (sf) from BB (high) (sf)
-- Class G-RR to B (sf) from B (high) (sf)

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

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

With this review, DBRS Morningstar removed Classes F-RR and G-RR
from Under Review with Negative Implications, where they were
placed on August 6, 2020.

The trends for Classes E-RR, F-RR, and G-RR are Negative. All other
trends are Stable.

The rating downgrades and Negative trends reflect the increased
risk of loss to the trust for some of the loans in the pool, most
notably in the largest loan in special servicing, Nebraska Crossing
(Prospectus ID#15, 2.8% of the pool), which recently showed an
appraised value decline for the collateral outlet mall of 46.1%
from issuance. DBRS Morningstar also notes significantly increased
risks for the Continental Towers loan (Prospectus ID#13, 3.0% of
the pool), which is backed by an suburban office property within
the Chicago metropolitan statistical area that showed an
availability rate of nearly 40.0% in an online leasing flyer
located by DBRS Morningstar, suggesting the second-largest tenant
with 11.6% of the net rentable area (NRA) will vacate at lease
expiry in July of this year.

The rating confirmations for the remaining classes reflect the
overall stable performance of the transaction since issuance. As of
the February 2021 remittance, all 36 of the original loans remain
in the pool. There are 14 loans, representing 36.1% of the current
trust balance, on the servicer's watchlist. The servicer is
monitoring these loans for a variety of reasons, including low debt
service coverage ratios (DSCRs) and occupancy issues; however, the
primary reason for the high concentration of loans on the watchlist
is the Coronavirus Disease (COVID-19) pandemic-driven stress for
lodging properties, with watchlisted loans backed by that property
type generally reporting a low DSCR. Additionally, the transaction
has a higher concentration of loans secured by lodging and retail
properties, representing 23.7% and 23.2% of the pool, respectively,
and loans backed by these property types are among those most
significantly affected by the pandemic, with borrowers more likely
to be requesting relief from the servicers.

As of the February 2021 remittance, the pool has two loans,
representing 4.5% of the pool, in special servicing: the previously
mentioned Nebraska Crossing and the Brooklyn Multifamily Portfolio
loan (Prospectus ID#23, 1.7% of the pool). The Nebraska Crossing
loan is a pari passu loan secured by an outdoor mall located in
Gretna, Nebraska, roughly 20 miles southeast of Omaha. The loan
transferred to special servicing in May 2020 due to
coronavirus-related stress, with payments after May 2020
outstanding as of the February 2021 remittance. In October 2020,
the property was reappraised for a value of $80.8 million, down
46.1% from the issuance value of $150.0 million, but still slightly
above the outstanding principal balance for the whole loan of $71.5
million.

Although the sharp value decline is suggestive of significantly
increased risks for this loan from issuance, there are mitigating
factors in the servicer's commentary that suggests a loan
modification and return to master servicing is imminent for this
loan, and the stable historical performance of the property should
incentivize the sponsor to comply with the terms of the
modification and cure the outstanding defaults for the loan. Given
the high implied loan-to-value ratio for the August 2020 valuation,
the loan was analyzed with a probability of default (POD) penalty
to significantly increase the expected loss in the analysis for
this review.

The other large loan contributing to the rating downgrades for this
pool is the Continental Towers pari passu loan, which is not on the
servicer's watchlist or in special servicing, but has been placed
on the DBRS Morningstar Hotlist. The collateral property is a
910,717-square-foot Class B office property located in Rolling
Meadows, approximately 25 miles northwest of the Chicago central
business district. Reis reports that the subject's northwest
suburbs submarket has been quite soft for the last decade, holding
near 25.0% for the first half of the last 10 years before ticking
up in 2015 through the end of 2020, when the vacancy rate was
reported at 31.6%. These dynamics will be particularly challenging
for this property, which showed an availability rate of 36.1% in a
LoopNet listing last updated March 4, 2021. This availability rate
appears inclusive of the vacancy that was existing at issuance and
more recently available space including the Komatsu America
Corporation (Komatsu) space, which represents 11.6% of the NRA and
was vacated in 2020, and the former Ceannate Corp space, which
represents 8.2% of the NRA and appears to have been vacated at or
even ahead of the September 2020 termination option. It was known
at issuance that Komatsu would vacate the space, with the tenant to
pay rent through the July 2021 lease expiry. The issuance documents
state Ceannate Corp would be required to pay a termination fee of
$2.4 million if the option was exercised. The servicer's loan level
report for the companion loan transaction, CSAIL 2018-C14 (not
rated by DBRS Morningstar), shows $5.0 million in tenant reserves
on the loan.

The property was 89.0% occupied at issuance and the current
availability rate of 36.1% is well above the projected availability
rate of 22.6% when factoring in the known Komatsu exit at issuance.
The servicer most recently reported an occupancy rate of 74.0% as
of June 2020, which appears to count the Komatsu space as occupied
but the Ceannate Corp space as vacant. Excluding Komatsu implies a
physical occupancy rate of 62.4%, which is in line with the rate
suggested by the LoopNet listing. Given the increase in vacancy,
DBRS Morningstar estimates the DSCR to be approximately 1.79 times
(x), compared with the YE2019 DSCR of 2.23x. However, the occupancy
rate could fall even further within the near term as there is also
another top five tenant with a lease expiry in July 2021—Rational
Cooking Systems Inc. (2.9% of the NRA)—and another rolling next
year, Panasonic Corporation of North America (5.2% of the NRA,
expiring in December 2022). Although the substantial tenant
reserves, as well as the sponsor's substantial equity infusion at
the acquisition funded by the subject loan, are mitigating factors
worth noting, the already challenged submarket and the additional
stress of the ongoing coronavirus pandemic are indicative of
significantly increased risks for this loan. As such, a POD penalty
was applied to increase the expected loss in the analysis for this
review.

At issuance, DBRS Morningstar shadow-rated three loans,
representing 15.6% of the current pool balance, as investment
grade. These loans include SITE JV Portfolio (Prospectus ID#3, 6.1%
of the pool), 787 Eleventh Avenue (Prospectus ID#4, 5.5% of the
pool), and 2 North 6th Street (Prospectus ID#8, 4.1% of the pool).
With this review, DBRS Morningstar confirms that the performance of
these loans remains consistent with investment-grade loan
characteristics.

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




CSAIL 2021-C20: Fitch Assigns Final B- Rating on Class G-RR Debt
----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks on
CSAIL 2021-C20 Commercial Mortgage Trust Series 2021-C20.

-- $8.27 million (d) class A-1 'AAAsf'; Outlook Stable;

-- $180.9 million (d) class A-2 'AAAsf'; Outlook Stable;

-- $251.8 million (d) class A-3 'AAAsf'; Outlook Stable;

-- $14 million (d) class A-SB 'AAAsf'; Outlook Stable;

-- $59.3 million (d) class A-S 'AAAsf'; Outlook Stable;

-- $514.3 million (a)(d) class X-A 'AAAsf'; Outlook Stable;

-- $28,442,000d class B 'AA-sf'; Outlook Stable;

-- $26.8 million (d) class C 'A-sf'; Outlook Stable;

-- $55.3 million (a)(d) class X-B 'A-sf'; Outlook Stable;

-- $17.1 million (b)(d) class D 'BBBsf'; Outlook Stable;

-- $13 million (b)(d) class E 'BBB-sf'; Outlook Stable;

-- $30 million (a)(b)(d) class X-D 'BBB-sf'; Outlook Stable;

-- $14.6 million (b)(c)(d) class F-RR 'BB-sf'; Outlook Stable;

-- $6.5 million (b)(c)(d) class G-RR 'B-sf'; Outlook Stable.

The following class is not rated by Fitch:

-- $29.3 million (c)(d) class NR-RR.

(a) Notional amount and IO.

(b) Privately placed and pursuant to Rule 144A.

(c) Class includes horizontal credit risk retention interest
representing no less than 3.33% of the approximate initial
certificate balance.

(d) Class includes vertical credit risk retention interest
representing no less than 1.72% of the approximate initial
certificate balance.

Since Fitch published its expected ratings on March 15, 2021, the
rating for class X-B was updated to 'AA-sf' from 'A-sf', to reflect
the lowest rated tranche whose payable interest has an impact on
the IO payments.

Since Fitch published its expected ratings on March 15, 2021, the
class balances for class A‐2 and A‐3 have been finalized. At
the time that the expected ratings were published, the initial
certificate balances of classes A‐2 and A‐3 were unknown and
expected to be approximately $432.8 million in aggregate, subject
to a 5% variance. The final class balances for classes A‐2 and
A‐3 are $180.9 million and $251.8 million, respectively. The
classes above reflect the final ratings and deal structure.

TRANSACTION SUMMARY

The ratings are based on information provided by the issuer as of
March 12, 2021.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 29 loans secured by 40
commercial properties having an aggregate principal balance of
$650.1 million as of the cut-off date. The loans were contributed
to the trust by 3650 REIT Loan Funding 1 LLC, Column Financial
Inc., UBS Real Estate Securities Inc. and German American Capital
Corporation.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 39.8% of the properties
by balance, cash flow analysis of 93.0% and asset summary reviews
on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenue (i.e., bad debt expense, rent relief) and operating
expenses (i.e., sanitation costs) for some properties in the pool.
Delinquencies may occur in the coming months as forbearance
programs are put in place, although the ultimate impact on credit
losses will depend heavily on the severity and duration of the
negative economic impact of the coronavirus pandemic and to what
degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers.

KEY RATING DRIVERS

Higher Fitch Leverage than Recent Transactions: The transaction has
higher leverage relative to recent transactions. Fitch's trust debt
LTV of 104.0% (112.3% on total debt) is higher than the 2020 and
2019 LTVs of 99.6% and 103.0% for the trust debt (110.5% and 110.3%
for the total debt stack, respectively). Fitch's DSCR of 1.24x
(1.12x for total debt) is lower than the 2020 and 2019 average
trust DSCR of 1.32x and 1.26x, respectively (1.18x and 1.17x
respectively for the total debt stack).

Credit Opinion Loans: The pool includes three loans representing
20.4% of the pool that received investment-grade credit opinions.
This falls between the 2020 and 2019 average credit opinion
concentrations of 24.5% and 14.2%, respectively. The Grace Building
(9.2% of the pool) received a credit opinion of 'A-sf' on a
stand-alone basis, MGM Grand & Mandalay Bay (6.0% of the pool)
received a credit opinion of 'BBB+sf' on a stand-alone basis and
The Westchester (5.4% of the pool) received a credit opinion of
'BBB-sf' on a stand-alone basis.

High Pool Concentration: The overall pool is made up of 29 loans,
significantly less than the 2020 and 2019 averages of 44 and 50.
The top 10 loans total 60.0% of the overall pool, higher than the
2020 and 2019 averages of 56.8% and 51.0%, respectively. The LCI
and SCI were 488 and 610, higher than the LCI and SCI of 2020 (440
and 474) and of 2019 (379 and 403).

RATING SENSITIVITIES

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

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

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

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

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

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

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

10% NCF Decline: 'Asf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf'
/'CCCsf' / 'CCCsf'.

20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf '
/ 'CCCsf' / 'CCCsf'.

30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf'/ 'CCCsf' /
'CCCsf' / 'CCCsf'.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.

ESG CONSIDERATIONS

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


CSMC 2021-NQM2: S&P Assigns Prelim B(sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSMC
2021-NQM2 Trust's mortgage pass-through notes.

The note issuance is an RMBS transaction backed by first-lien,
fixed-rate, adjustable-rate, and adjustable-rate interest-only,
fully amortizing residential mortgage loans to both prime and
nonprime borrowers (some with interest-only periods). The loans are
secured by single-family residential properties, planned-unit
developments, condominiums, and two- to four-family residential
properties.

The preliminary ratings are based on information as of March 26,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The transaction's geographic concentration;

-- The mortgage aggregator, DLJ Mortgage Capital Inc.; and

-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pooland liquidity
available in the transaction.

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

  Preliminary Ratings Assigned

  CSMC 2021-NQM2 Trust

  Class A-1, $213,177,000: AAA (sf)
  Class A-2, $17,388,000: AA (sf)
  Class A-3, $27,000,000: A (sf)
  Class M-1, $12,582,000: BBB (sf)
  Class B-1, $6,926,000: BB (sf)
  Class B-2, $4,524,000: B (sf)
  Class B-3, $1,131,516: NR
  Class A-IO-S, notional(i): NR
  Class XS, notional(ii): NR
  Class PT(iii), $282,728,516: NR
  Class R: NR

(i)The notional amount will equal the aggregate interest-bearing
principal balance of the mortgage loans as of the first day of the
related due period and is initially $282,652,424.
(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due period
and is initially $282,728,516.
(iii)Certain initial exchangeable notes are exchangeable for the
exchangeable notes and vice versa.
NR--Not rated.



CSMC COMMERCIAL 2006-C5: Moody's Lowers Class A-J Certs to Ca
-------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded the rating on one class in CSMC Commercial Mortgage
Trust 2006-C5 as follows:

Cl. A-J, Downgraded to Ca (sf); previously on May 9, 2019
Downgraded to Caa3 (sf)

Cl. A-X*, Affirmed C (sf); previously on May 9, 2019 Affirmed C
(sf)

* Reflects interest-only classes

RATINGS RATIONALE

The rating on Cl. A-J was downgraded due to higher anticipated
losses from the sole remaining loan which is in special servicing
and REO. Cl. A-J has already experienced an 8% realized loss as a
result of previously liquidated loans and Moody's anticipates a
nearly full loss on the remaining certificate balance.

The rating on the IO class was affirmed based on the credit quality
of its referenced classes.

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 commercial real estate from a gradual and unbalanced
recovery in US economic activity. Stress on commercial real estate
properties will be most directly stemming from declines in hotel
occupancies (particularly related to conference or other group
attendance) and declines in foot traffic and sales for
non-essential items at retail properties.

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

Moody's rating action reflects a base expected loss of 99.9% of the
current pooled certificate balance, compared to 73.8% at Moody's
last review. Moody's base expected loss plus realized losses is now
14.7% of the original pooled balance, compared to 13.9% at the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include an
increase in realized and expected losses from specially serviced
and troubled loans.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September
2020.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced loans to the most junior class and the recovery as a pay
down of principal to the most senior class.

DEAL PERFORMANCE

As of the March 17, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $81.7 million
from $3.43 billion at securitization. The certificates are
collateralized by one mortgage loan that is currently in special
servicing. The transaction is under-collateralized as the aggregate
certificate balance is $11.7 million greater than the pooled loan
balance. This disparity of principal balances is due to
workout-delayed reimbursement amounts (WODRAs) that allow the
master servicer to recoup advances from previously modified loans.

Ninety-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $423 million (for an average loss
severity of 51%).

The sole remaining specially serviced loan is the Best Western
President Loan ($70 million -- 85.6% of the certificate balance),
which is secured by the leasehold interest in a 16-story, 334-room,
full service hotel located in the Theater District on West 48th
Street between Seventh and Eighth Avenue in Manhattan, New York.
The property's flag was changed from a Best Western to a TRYP by
Wyndham in 2014 and is now known as the Gallivant Times Square. The
loan was first transferred to special servicing in March 2014 for
imminent payment default and was modified effective October 2014.
The loan transferred back into special servicing in December 2015
and did not pay off at maturity in August 2016. The property faces
several deferred maintenance and repair issues. The property's net
operating income has been negative for several years and faces a
scheduled ground rent payment increase of 2.5% in March 2021. The
property is currently under contract for sale and has accrued over
$3.5 million in appraisal entitlement reductions (ASERs). Due to
the continued underperformance of this property and current
environment for hotels, Moody's expects a significant loss from
this loan. Additionally, Moody's is currently treating the
under-collateralization amount of $11.7 million as an anticipated
loss of principal to the trust.


DIAMOND CLO 2019-1: S&P Affirms BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1R, A-2R,
B-R, C-R, and D-R replacement notes from Diamond CLO 2019-1 Ltd., a
CLO originally issued in 2019 that is managed by Blackstone
Alternative Credit Advisors 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 26, 2021, refinancing date. At the same time, S&P
affirmed its rating on the class E notes.

On the March 26, 2021, refinancing date, the proceeds from the
class A-1R, A-2R, B-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 document provisions. Therefore, S&P
withdrew its ratings on the original notes in line with their full
redemption, and it is assigning ratings to the replacement notes.

The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also add Libor replacement language and
update certain definitions.

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."

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

  Diamond CLO 2019-1 Ltd./Diamond CLO 2019-1 LLC

  Replacement class A-1R, $202.767 million: AAA (sf)
  Replacement class A-2R, $37.375 million: AAA (sf)
  Replacement class B-R, $34.500 million: AA (sf)
  Replacement class C-R, $51.750 million: A (sf)
  Replacement class D-R, $34.500 million: BBB- (sf)

  Ratings Withdrawn

  Diamond CLO 2019-1 Ltd./Diamond CLO 2019-1 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 D to NR from 'BBB- (sf)'

  Rating Affirmed

  Diamond CLO 2019-1 Ltd./Diamond CLO 2019-1 LLC

  Class E: BB- (sf)

  Other Outstanding Notes

  Diamond CLO 2019-1 Ltd./Diamond CLO 2019-1 LLC
  Subordinated notes: NR

  NR--Not rated.



DRYDEN 61 CLO: Moody's Gives Ba3 Rating on $21.7M Class E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Dryden 61 CLO, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$1,666,667 Class X-R Senior Secured Floating Rate Notes due 2032
(the "Class X-R Notes"), Assigned Aaa (sf)

US$315,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2032 (the "Class A-1-R Notes"), Assigned Aaa (sf)

US$10,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2032 (the "Class A-2-R Notes"), Assigned Aaa (sf)

US$55,000,000 Class B-R Senior Secured Floating Rate Notes due 2032
(the "Class B-R Notes"), Assigned Aa2 (sf)

US$23,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C-R Notes"), Assigned A2 (sf)

US$35,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D-R Notes"), Assigned Baa3 (sf)

US$21,700,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2032 (the "Class E-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

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

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

PGIM, Inc. (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 , the other
class of secured notes and additional subordinated 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; changes to the
overcollateralization test levels; the inclusion of alternative
benchmark replacement provisions; additions to the CLO's ability to
hold workout and restructured assets, and changes to the definition
of "Adjusted Weighted Average Rating Factor".

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "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: $497,774,735

Defaulted par: $1,492,844

Diversity Score: 92

Weighted Average Rating Factor (WARF): 3172

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.36%

Weighted Average Recovery Rate (WARR): 48.0%

Weighted Average Life (WAL): 5.6 years

Par haircut in OC tests and interest diversion test: 0.3%

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; an additional cashflow
analysis assuming a lower WAS to test the sensitivity to LIBOR
floors, and a lower recovery rate assumption on defaulted assets to
reflect declining loan recovery rate expectations.

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

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

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

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

The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.


ELEVATION CLO 2021-12: S&P Assigns BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Elevation CLO 2021-12
Ltd./Elevation CLO 2021-12 LLC's floating-rate notes.

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

The 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

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

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

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



FAT BRANDS 2020-1: DBRS Keeps B Rating on B-2 Notes Under Review
----------------------------------------------------------------
DBRS, Inc. maintained its Under Review with Negative Implications
status on the BB (sf) and B (sf) ratings on the Series 2020-1,
Class A-2 Notes and the Series 2020-1, Class B-2 Notes,
respectively, issued by FAT Brands Royalty I, LLC.

DBRS Morningstar based the maintenance of the Under Review with
Negative Implications status on the following analytical
considerations:

-- Transaction performance for asset-backed securities (ABS)
showed evidence of improvement beginning in Q2 2020 relative to the
onset of the Coronavirus Disease (COVID-19) pandemic, amid
weakening in the underlying credit profile of the manager related
to the pandemic's impact. Systemwide sales and same-store sales
have recovered significantly from the drop experienced as the
pandemic hit. The emphasis on enhancing off-premises capabilities
(pickup, delivery, and outdoor dining) has helped cushion the
impact of the loss in customer foot traffic.

-- The deal's structural features, including the back-up manager
mechanism, FAT Brands' franchise business model, amortization
triggers, and the liquidity of the manager, are positive elements
supporting the current ratings.

-- Despite a catalyst to the recovery on the horizon, certainty
around when the country can approach herd immunity levels and if
this can occur within the year remains to be seen. Concerns over
vaccination supply, delivery, eligibility, and the threat of
Covid-19 variants loom in the current environment. While DBRS
Morningstar expects the vaccine rollout to set the stage for
further improvement in transaction performance and the potential
for improvement in the underlying credit profile of the manager as
consumer confidence returns, more visibility is warranted with
respect to the speed and implementation results from the vaccine
rollout.

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

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

-- Increased cash flows from the addition of the Johnny Rockets
brand into its portfolio of assets. The acquisition grows overall
systemwide sales and expands FAT Brands' geographic footprint.

-- Debt service coverage ratio and leverage-based triggers have
not been tripped.

PRIOR RATING ACTIONS

DBRS Morningstar placed both classes of securities Under Review
with Negative Implications on April 22, 2020, and maintained the
status of Under Review with Negative Implications on July 28, 2020,
and November 5, 2020. For more information on the April 22, 2020,
rating action, please refer to the press release titled "DBRS
Morningstar Takes Rating Actions on Two FAT Brands Royalty I, LLC
Securities." For more information on the July 28, 2020, maintenance
of status, please refer to the press release titled "DBRS
Morningstar Maintains Under Review with Negative Implications
Status on FAT Brands Royalty I." For more information on the
November 5, 2020, maintenance of status, please refer to the press
release titled "DBRS Morningstar Maintains Under Review with
Negative Implications Status on FAT Brands Royalty I, LLC
Ratings."

Notes: The principal methodology is U.S. ABS General Ratings
Methodology (October 19, 2020), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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


GALAXY XIX: S&P Affirms CCC+ (sf) Rating on Class E-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-RR,
A-2-RR, and B-RR replacement notes from Galaxy XIX CLO Ltd./Galaxy
XIX CLO LLC, a CLO originally issued in February 2015 that is
managed by PineBridge Investments LLC. S&P withdrew its ratings on
the original class A-1-R, A-2-R, and B-R notes following payment in
full on the March 30, 2021, refinancing date. At the same time, S&P
affirmed its ratings on the class C-R, D-1-R, D-2-R, and E-R notes.


On the March 30, 2021, refinancing date, the proceeds from the
class A-1-RR, A-2-RR, and B-RR replacement note issuances were used
to redeem the original class A-1-R, A-2-R, and B-R notes as
outlined in the transaction document provisions. Therefore, S&P
withdrew its ratings on the original notes in line with their full
redemption and assigned our ratings to the replacement notes.

The replacement notes are being issued via a proposed supplemental
indenture. The affirmed ratings on the class C-R, D-1-R, D-2-R, and
E-R notes were unaffected by the amendment.

The class E-R notes do not pass S&P's cash flow stresses at the
current rating. Its rating affirmations reflect the notes'
subordination levels and the transaction's stable performance since
the downgrade in August 2020.

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. Our analysis also considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches, as well as qualitative
factors.

"The ratings reflect our view of the credit support available to
the refinanced notes after examining the new and lower spreads,
which reduce the transaction's overall cost of funding.

"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."

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 Affirmed

  Galaxy XIX CLO Ltd./Galaxy XIX CLO LLC

  Class C-R: BBB (sf)
  Class D-1-R: B+ (sf)
  Class D-2-R: B+ (sf)
  Class E-R: CCC+ (sf)

  Ratings Withdrawn

  Galaxy XIX CLO Ltd./Galaxy XIX CLO LLC

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

  Other Outstanding Notes

  Galaxy XIX CLO Ltd./Galaxy XIX CLO LLC

  Class A subordinated notes: NR
  Class B subordinated notes: NR

  NR--Not rated.



GOLDENTREE LOAN 1: S&P Assigns Prelim B (sf) Rating on F-R-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R-2, A-1B, A-1-R-2, B-1B, B-1-R-2, C-R-2, D-R-2, E-R-2, and F-R-2
replacement notes and A-1 and B-1 loans from Goldentree Loan
Management US CLO 1 Ltd./Goldentree Loan Management US CLO 1 LLC, a
CLO originally issued in April 2017 that is managed by GoldenTree
Loan Management L.P. 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 30,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On April 7, 2021, the 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 outlines the terms of the replacement notes.
According to the proposed supplemental indenture:

-- The replacement notes are being issued at a higher weighted
average cost of debt than the existing notes

-- The stated maturity and the reinvestment period will both be
extended five years.

-- Restructured loan-related concepts were added.

-- Of the identified underlying collateral obligations, 100.00%
have credit ratings assigned by S&P Global Ratings.

-- Of the underlying collateral obligations, 92.75% have recovery
ratings assigned by S&P Global Ratings.

  Preliminary Ratings Assigned

  Goldentree Loan Management US CLO 1 Ltd. /Goldentree Loan
Management US CLO 1 LLC

  Class X-R-2, $5.000 million: AAA (sf)
  Class A-1 loan(i), $376.213 million: AAA (sf)
  Class A-1B(i), $0.000 million: AAA (sf)
  Class A-1-R-2, $72.042 million: AAA (sf)
  Class B-1 loan(i), $35.000 million: AA (sf)
  Class B-1B(i), $0.000 million: AA (sf)
  Class B-1-R-2, $47.755 million: AA (sf)
  Class C-R-2 (deferrable), $34.500 million: A (sf)
  Class D-R-2 (deferrable), $41.375 million: BBB- (sf)
  Class E-R-2 (deferrable), $27.570 million: BB- (sf)
  Class F-R-2 (deferrable), $8.550 million: B (sf)
  Subordinated notes, $59.000 million: Not rated

(i)On any business day all or a portion of the class A-1 and B-1
loans can be converted to A-1B and B-1B notes at a maximum value of
$376.213 million and $35.000 million with corresponding decrease in
the balance of the A-1 and B-1 loans, respectively.



GS MORTAGAGE 2013-GCJ16: DBRS Confirms B (low) Rating on G Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2013-GCJ16 issued by GS
Mortgage Securities Trust 2013-GCJ16 as follows:

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

DBRS Morningstar assigned Negative trends to Classes F, G, and X-C
due to the increasing risks associated with the specially serviced
loans. All other trends are Stable.

As of the February 2021 remittance, the pool's balance has been
reduced from $1.1 billion at issuance to $761.2 million resulting
from the payoff of 15 loans in addition to amortization. There have
been no losses to the trust to date. There are eight loans,
representing 25.3% of the pool on the servicer's watchlist,
including the Windsor Court New Orleans loan, the second-largest
loan in the pool. These loans are being monitored for various
reasons, including low debt service coverage ratio (DSCR) or
occupancy, tenant rollover risk, and/or pandemic-related
forbearance requests.

Six loans, representing 12.2% of the pool, are with the special
servicer. The largest specially serviced loan is the Walpole
Shopping Mall loan (Prospectus ID#6, 5.8% of the pool), which is
secured by a 397,971 square foot (sf) anchored retail center in
Walpole, Massachusetts, about 20 miles outside of downtown Boston.
The loan is a $44.4 million pari passu participation in a $70.9
million whole loan and was transferred to the special servicer in
May 2020 due to a Coronavirus Disease (COVID-19) relief request.
Occupancy at the property dropped to 89% after Office Max, formerly
the third-largest tenant, vacated at its lease expiration in
January 2020. A 2020 appraisal valued the property at $50.9
million, which is about $20.0 million below the loan balance, and
DBRS Morningstar assumed a loss in this analysis.

The second-largest specially serviced loan is the Portland
Paramount Hotel loan (Prospectus ID#18, 1.8% of the pool balance),
which is secured by a 54-room full-service hotel in downtown
Portland. Since issuance, the hotel performed well with a DSCR
above 2.00x, but in 2020 cash flow quickly deteriorated to below
breakeven due to the ongoing effects of the coronavirus pandemic
restrictions. While temporary legal restrictions in the state of
Oregon likely delayed workout discussions, the servicer commentary
indicates the borrower and special servicer are discussing next
steps. A 2020 appraisal valued the property at $29 million, which
is above the $14.1 million loan balance and implies a 48.5% loan to
value.

The two largest loans in the pool have received modifications due
to coronavirus relief requests. The Windsor Court New Orleans loan
(Prospectus ID#1, 8.5% of the pool balance) is secured by a
316-room full-service luxury hotel that is well located in the
Riverside/Convention Center submarket of New Orleans. The hotel
displayed strong performance pre-coronavirus and completed a $15
million renovation in 2018, which led to a 27% increase in net cash
flow (when compared to the issuance level) and a 2.19 times DSCR in
2019. However, cash flow was crippled in 2020 due to the strict
travel restrictions in place and for the trailing 12-month period
ending September 2020, net cash flow was $2.6 million compared to
the issuer's underwritten cash flow level of $8.2 million. While
the loan has been kept current, it received a forbearance in April
2020, which included using FF&E reserves to make P&I payments for
October 2020 to December 2020, deferring the monthly FF&E deposit
for six months (with past due amounts being repaid between April
2021 and September 2021), waiving the DSCR Trigger from April 2021
through June 2021, and granting approval for a $2.5 million PPP
loan. Additionally, the Miracle Mile Shops loan (Prospectus ID#2,
9.0% of the pool balance), which is a $68.2 million pari passu
participation in a $565.5 million whole loan secured by a
450,000-sf retail center located on Las Vegas Boulevard, also
received a forbearance. The property performed well since issuance
with net cash flow 12% above the underwritten level and stable
occupancy at 98% in 2019. However, as the Las Vegas economy is
highly dependent on the tourism industry, foot traffic and in turn
cash flow were severely disrupted due to the strict travel
limitations in place throughout much of the 2020 coronavirus
pandemic. While the loan remained current, the year-end 2020
financials reported a small 2% drop in occupancy to 96% while cash
flow declined by 27% below the issuer's underwritten level. The
loan was modified by the special servicer, the terms of which
included interest-only payments from August 2020 through February
2021, with principal and reserve payments being deferred. Although
a repayment period was not defined, excess cash, when available,
will be placed in a debt service and reserves account.

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


GS MORTGAGE 2013-GCJ14: DBRS Cuts Class X-C Certs Rating to B(sf)
-----------------------------------------------------------------
DBRS Limited downgraded three classes of Commercial Mortgage
Pass-Through Certificates, Series 2013-GCJ14 (the Certificates)
issued by GS Mortgage Securities Trust 2013-GCJ14 as follows:

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

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

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

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

The rating downgrades and Negative trends are due to the increased
risk of loss to the trust for four retail loans either in special
servicing or on the DBRS Morningstar Hotlist. The specially
serviced loans driving these rating actions are secured by regional
mall properties that are exhibiting significantly increased risks
from issuance and both were analyzed with liquidation scenarios for
this review.

In general, the pool is concentrated with loans backed by retail
and hotel property types, which represent 38.4% of the pool balance
collectively. These property types have been the most immediately
and significantly impacted by the effects of the pandemic and in
the case of the two mall loans in special servicing, previous
performance declines are either now exacerbated or being
accelerated by the pandemic. According to the February 2021
remittance, 22 loans are on the servicer's watchlist, representing
26.1% of the current pool balance. The two largest loans on the
watchlist are secured by hotel properties in W Chicago – City
Center (Prospectus ID #3, 7.5% of the pool), which recently went 30
days delinquent with the February 2021 remittance, and Hampton Inn
LaGuardia (Prospectus ID #7, 3.3% of the pool), which is current
but on the servicer's watchlist for the trailing 12 months ending
September 2020 debt service coverage ratio (DSCR) of 0.76 times
(x). The servicer is monitoring these loans for various reasons,
including a low DSCR or occupancy figure, tenant rollover risk,
and/or pandemic-related forbearance requests.

There are two top 15 loans backed by retail properties on the
servicer's watchlist and on the DBRS Morningstar Hotlist in Willow
Knolls Court (Prospectus ID #9, 2.2% of the pool) and Cobblestone
Court (Prospectus ID #14, 1.9% of the pool). Both of these loans
are being monitored for occupancy declines at the respective
properties, which are located in tertiary markets and will likely
be significantly impeded in efforts to backfill vacant space,
particularly given the impact to retail leasing activity amid the
pandemic.

As of the February 2021 remittance, 73 of the original 84 loans
remain in the pool, with scheduled amortization resulting in
collateral reduction of 13.1% since issuance. There are 12 loans,
representing 12.0% of the current pool balance, which are fully
defeased. Three loans, representing 5.8% of the current pool
balance, are in special servicing, including the sixth largest-loan
in the pool, Mall St. Matthews (Prospectus ID#6, 3.6% of the pool
balance), which is secured by a regional mall in Louisville,
Kentucky. The loan was transferred to special servicing in June
2020 after the loan failed to repay at the scheduled June 2020
maturity date. As of the February 2021 remittance, the loan is a
nonperforming matured balloon and the servicer is discussing a
potential workout and/or deed-in-lieu with the sponsor, an
affiliate of Brookfield Property Partners (Brookfield).

The largest tenants at Mall St. Matthews are JCPenney, Dave &
Buster's, and Cinemark USA, Inc. (Cinemark), with JCPenney
reporting a lease expiry in August 2022. As of September 2020, the
subject reported an occupancy of 93.6% and a DSCR of 1.82x,
compared to the YE2019 occupancy of 93.8% and DSCR of 1.96x.
Although the coverage remains generally in line with the issuance
figures, the exposure to JCPenney and entertainment venues in
Cinemark and Dave & Buster's suggests increased risks from issuance
and could be the reason Brookfield has floated the idea of a
deed-in-lieu.

Brookfield owns a second mall located within close proximity to
this mall, Oxmoor Center, which also backs a CMBS loan held in the
MSC 2011-C11 transaction, rated by DBRS Morningstar. At issuance
for the subject transaction, the two malls were noted to have
complimentary tenancy and the proximity and shared ownership were
not viewed as significant concerns; however, the landscape for
regional malls has significantly shifted and Brookfield has
recently announced plans to trim its portfolio down to core
performing properties. This could also be the rationale behind the
suggestion that Mall St. Matthews could be relinquished to the
servicer given the Oxmoor Center loan is current and no Coronavirus
Disease (COVID-19) relief request has been processed by the
servicer. Given these circumstances, the Mall St. Matthews loan was
analyzed with a liquidation scenario for this review, resulting in
a loss severity in excess of 20.0%.

The second-largest loan in special servicing is Indiana Mall
(Prospectus ID#20, 1.3% of the pool), which is secured by a
regional mall located in Indiana, Pennsylvania, approximately 60
miles northwest of the Pittsburgh CBD. This loan has been in
special servicing since November 2018, following an occupancy
decline to 35.0% with the loss of Bon-Ton and Kmart.
Unsurprisingly, the initial appraisal obtained by the special
servicer, dated December 2018, indicated an as-is value of $8.4
million. There was some leasing activity at the property with the
signing of Harbor Freight Tools, bringing the December 2019 value
up slightly, to $8.7 million, but the prospects for the servicer's
efforts to sell the property are significantly worse amid the
pandemic, despite some relatively positive news in the last few
years. As such, the loan was analyzed with a punitive liquidation
scenario that resulted in a loss severity approaching 100% for this
loan as part of this review.

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



GS MORTGAGE 2017-GS6: Fitch Affirms B- Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GS Mortgage Securities
Trust, commercial mortgage pass-through certificates, series
2017-GS6 (GSMS 2017-GS6).

     DEBT                 RATING            PRIOR
     ----                 ------            -----
GSMS 2017-GS6

A-1 36253PAA0      LT  AAAsf   Affirmed     AAAsf
A-2 36253PAB8      LT  AAAsf   Affirmed     AAAsf
A-3 36253PAC6      LT  AAAsf   Affirmed     AAAsf
A-AB 36253PAD4     LT  AAAsf   Affirmed     AAAsf
A-S 36253PAG7      LT  AAAsf   Affirmed     AAAsf
B 36253PAH5        LT  AA-sf   Affirmed     AA-sf
C 36253PAJ1        LT  A-sf    Affirmed     A-sf
D 36253PAK8        LT  BBB-sf  Affirmed     BBB-sf
E 36253PAP7        LT  BBsf    Affirmed     BBsf
F 36253PAR3        LT  B-sf    Affirmed     B-sf
X-A 36253PAE2      LT  AAAsf   Affirmed     AAAsf
X-B 36253PAF9      LT  A-sf    Affirmed     A-sf
X-D 36253PAM4      LT  BBB-sf  Affirmed     BBB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The affirmations reflect
the overall stable performance and loss expectations with no
material changes to pool metrics since issuance. There have been no
specially serviced loans since issuance. Four loans (8.6%% of pool)
were flagged as Fitch Loans of Concern (FLOCs) due to the loss or
expected loss of a large tenant. Fitch's ratings are based on deal
loss expectations of 3.75%.

The largest FLOC, Redlands Towne Center (4.9%), is secured by a
251,621 sf anchored retail property anchored by JC Penney (39% NRA;
lease expires 2026) located in Redlands, California. Babies/Toy R
Us, the second largest tenant representing 25% of NRA vacated in
June 2018 prior to its 2023 lease expiration. As a result,
occupancy declined to 69.3% from 100% at YE 2017. EoS Fitness
(17.5% NRA) subsequently re-leased approximately 69% of the former
vacant space at a higher rental rate with a lease from November
2019 through November 2034. Occupancy was a reported 86% as of
September 2020. Fitch's analysis used the annualized September 2020
NOI to recognize the new tenant, and with a 20% stress to account
for the impact of the coronavirus pandemic.

The second largest FLOC, River Ranch (1.9%) is secured by a 140,701
sf mixed use property (retail/multifamily) located in Lafayette,
LA. The largest tenant, Paul Michael Company (23.5% NRA), vacated
in January 2020 prior to its 2022 lease expiration. As a result,
occupancy declined to approximately 71% from 95.3% at YE 2019.
Caoline and Company (10.8%) subsequently re-leased a portion of the
former vacant space in addition to two newly signed retail leases
(2%) in 2020. Occupancy was a reported 84% as of September 2020.
Fitch's analysis includes a 15% stress to the December 2019 NOI to
account for upcoming rollover concerns as approximately 13.3% NRA
and 16.7% NRA expires in 2021 and 2022, respectively.

The two remaining FLOCs (1.9%) are outside the Top 15; one property
is secured by a mixed-use property and the other a warehouse
facility. Large tenants have ore expected to vacate at both
properties. Fitch's analysis includes at least a 45% stress to the
December 2019 NOI for each property to account for upcoming
rollover concerns.

Minimal Change to Credit Enhancement (CE): There has been minimal
change to CE since issuance. As of the March 2021 distribution
date, the pool's aggregate balance has been paid down by 1.1% to
$948.7 million from $959.1 million at issuance. All original 33
loans remain in the pool. Based on the loans' scheduled maturity
balances, the pool is expected to amortize 5.3% during the term.
Thirteen loans (54.4% of pool) are full-term, IO and 12 loans
(28.8%) have a partial-term, IO component of which 9 (15.4%) have
begun to amortize.

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. Two loans (3.3%) are secured by hotel
properties, 10 loans (16.9%) are secured by retail properties and
one loan (1.1%) is secured by a multifamily property. Fitch applied
additional coronavirus-related stresses to four retail loans (8.7%)
and the two hotel loans; however, the additional stress did not
impact the ratings. Fitch will continue to monitor any declines in
loan performance and will adjust ratings and outlooks accordingly.

Loan Concentration: The pool is concentrated with a total of 33
loans. The largest 10 loans comprise 66.8% of the pool. The largest
property-type concentration is office at 48.7% of the pool,
followed by mixed use at 18.8% and retail at 17%.

Pari Passu Loans: Nine of the top 10 loans (61.9%) have pari-passu
additional debt.

RATING SENSITIVITIES

The Negative Outlook to class F reflects the potential for
downgrade due to long-term concerns surrounding Redlands Towne
Center. Rating Outlooks for the remaining classes remain Stable due
to overall stable performance and loss expectations with no
material changes to pool metrics since issuance.

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

-- Upgrades to classes B, C and IO class X-B would only occur
    with significant improvement in CE and/or defeasance and/or
    with the stabilization of performance on the FLOCs. Upgrades
    to classes D and X-D would also consider these factors, but
    would be limited based on sensitivity to concentrations or the
    potential for future concentrations. Classes would not be
    upgraded above 'Asf' if interest shortfalls are likely.

-- Upgrades to classes E and F are not likely until the later
    years of the transaction and only if the performance of the
    remaining pool is stable with significant performance
    improvement on the FLOCs and/or properties vulnerable to the
    coronavirus return to pre-pandemic levels, and there is
    sufficient CE to the classes.

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 loans or
    specially serviced loan transfers. Downgrades to classes A-1
    through A-S (and IO-class X-A) are less likely due to the high
    CE, but may occur should interest shortfalls affect these
    classes.

-- Downgrades to classes B, C, X-B, D and X-D would occur should
    loss expectations increase significantly and the performance
    of the FLOCs fail to stabilize or decline further. Downgrades
    to classes E and F would occur should the FLOCs fail to
    stabilize and/or loans transfer to special servicing. The
    Negative Outlook may be revised back to Stable if Redlands
    Towne Center continues improves and the pool continues to
    perform as expected.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
additional negative rating actions, including downgrades of a
category or more and Negative Outlook revisions.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


GS MORTGAGE 2021-PJ3: DBRS Gives Prov. B Rating on Class B-5 Certs
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2021-PJ3 (the
Certificates) to be issued by GS Mortgage-Backed Securities Trust
2021-PJ3:

-- $375.4 million Class A-1 at AAA (sf)
-- $375.4 million Class A-2 at AAA (sf)
-- $47.5 million Class A-3 at AAA (sf)
-- $47.5 million Class A-4 at AAA (sf)
-- $281.5 million Class A-5 at AAA (sf)
-- $281.5 million Class A-6 at AAA (sf)
-- $93.8 million Class A-7 at AAA (sf)
-- $93.8 million Class A-8 at AAA (sf)
-- $422.9 million Class A-9 at AAA (sf)
-- $422.9 million Class A-10 at AAA (sf)
-- $422.9 million Class A-X-1 at AAA (sf)
-- $375.4 million Class A-X-2 at AAA (sf)
-- $47.5 million Class A-X-3 at AAA (sf)
-- $281.5 million Class A-X-5 at AAA (sf)
-- $93.8 million Class A-X-7 at AAA (sf)
-- $5.1 million Class B-1 at AA (sf)
-- $5.1 million Class B-2 at A (sf)
-- $3.8 million Class B-3 at BBB (sf)
-- $1.3 million Class B-4 at BB (sf)
-- $1.3 million Class B-5 at B (sf)

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

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

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

The AAA (sf) ratings on the Certificates reflect 4.25% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.10%, 1.95%,
1.10%, 0.80%, and 0.50% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 447 loans with a total principal
balance of $441,623,829 as of the Cut-Off Date (March 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average loan
age of two months. Approximately 99.9% of the pool are traditional,
nonagency, prime jumbo mortgage loans. The remaining 0.1% of the
pool are conforming, high-balance mortgage loans that were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers section of the
related presale report.

The originators for the mortgage pool are Guaranteed Rate (36.2%),
CrossCountry Mortgage, LLC (32.9%), and various other originators,
each comprising less than 15.0% of the mortgage loans. Goldman
Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller
of the transaction. For certain originators, the related loans were
sold to MAXEX Clearing LLC (5.5%) and were subsequently acquired by
the Mortgage Loan Seller.

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

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

For this transaction, as permitted by the Coronavirus Aid, Relief,
and Economic Security Act, signed into law on March 27, 2020, four
loans (0.7% of the pool) had been granted forbearance plans because
the borrowers reported financial hardship related to the
Coronavirus Disease (COVID-19) pandemic. These forbearance plans
allow temporary payment holidays, followed by repayment once the
forbearance period ends. As of the Cut-Off Date, all four loans
satisfied their forbearance plans and are current. Furthermore,
none of the loans in the pool are on active coronavirus forbearance
plans.

Coronavirus Pandemic Impact

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

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

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

In connection with the economic stress assumed under its moderate
scenario, DBRS Morningstar assumes a combination of higher
unemployment rates and more conservative home price assumptions for
the prime asset class than those DBRS Morningstar previously used.
Such assumptions translate to higher expected losses on the
collateral pool and correspondingly higher credit enhancement.

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

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


GS MORTGAGE 2021-PJ3: Fitch Assigns Final B Rating on B5 Certs
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by GS Mortgage-Backed
Securities Trust 2021-PJ3 (GSMBS 2021-PJ3).

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

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

TRANSACTION SUMMARY

This is a Prime Jumbo transaction, with a shifting interest
structure. The certificates are supported by 447 conforming and
nonconforming loans with a total balance of approximately $441.6
million as of the cutoff date.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists
entirely of 30-year fixed-rate mortgage (FRM) fully amortizing
loans seasoned approximately four months in aggregate. The
borrowers in this pool have strong credit profiles (772 model FICO)
and relatively low leverage (a 72.8% sustainable loan to value
ratio [sLTV]). The 100% full documentation collateral comprises
mostly nonconforming prime-jumbo loans (99.9%), with a one
conforming agency-eligible loan (0.1%), while 100% of the loans are
safe harbor qualified mortgages (SHQM). Of the pool, 98.5% are of
loans for which the borrower maintains a primary residence, while
1.5% are for second homes. Additionally, over 95% of the loans were
originated through a retail channel.

Shifting-Interest Deal Structure (Mixed): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared to a sequential or modified
sequential structure.

To help mitigate tail risk, which arises as the pool seasons and
fewer loans are outstanding, a subordination floor of 1.10% of the
original balance will be maintained for the senior certificates,
and a subordination floor of 0.70% of the original balance will be
maintained for the subordinate certificates.

Shellpoint Servicing will provide full advancing for the life of
the transaction. While this helps the liquidity of the structure,
it also increases the expected loss due to unpaid servicer
advances.

RATING SENSITIVITIES

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

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper MVDs at the national level. The
    analysis assumes MVDs of 10%, 20% and 30%, in addition to the
    model-projected 5%. As shown in the table included in the
    presale report, the analysis indicates that some potential
    rating migration exists with higher MVDs compared with the
    model projection.

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

-- Additionally, the defined rating sensitivities determine the
    stresses to MVDs that would reduce a rating by one full
    category, to non-investment grade and to 'CCCsf'.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E).
Third-party due diligence was performed on 100% of the loans in the
transaction. Due diligence was performed by AMC, Opus and
Consolidated Analytics, which Fitch assesses as Acceptable - Tier
1, Acceptable - Tier 2 and Acceptable - Tier 3, respectively. The
review scope is consistent with Fitch criteria, and the results are
generally similar to prior prime RMBS transactions. Credit
exceptions were supported by strong mitigating factors, and
compliance exceptions were primarily cured with subsequent
documentation.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on 100% of the pool. The third-party due
diligence was consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Opus and Consolidate Analytics were engaged to perform
the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory.

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

ESG CONSIDERATIONS

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


IMPACT FUNDING 2014-1: DBRS Confirms B Rating on Class F Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings of the following classes of
Affordable Multifamily Commercial Mortgage Pass-Through
Certificates, Series 2014-1 issued by Impact Funding Affordable
Multifamily Housing Mortgage Loan Trust 2014-1:

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-FX1 at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class X-B at B (high) (sf)
-- Class X-FX2 at B (high) (sf)
-- Class F at B (sf)

All trends are Stable. The rating for Class A-1 was discontinued as
it was repaid in full with the February 2021 remittance. DBRS
Morningstar also removed Classes X-B, X-FX2, and F from Under
Review with Negative Implications, where they were placed on August
6, 2020.

The rating confirmations reflect the overall stable performance of
the transaction, which closed in November 2014 with 124 fixed-rate
loans secured by 118 multifamily properties. As of the February
2021 remittance report, there was a collateral reduction of 10.5%
since issuance, with 122 loans remaining in the pool. The
collateral properties are low-income housing tax credit (LIHTC)
developments with generally low leverage metrics, as reflected in
the weighted-average (WA) debt yield and loan-to-value of 18.8% and
42.9%, respectively, based on the most recent cash flows and
February 2021 balances. Based on the February 2021 reporting, the
WA debt service coverage ratio (DSCR) for the pool was 1.94 times
(x), up from the WA DBRS Morningstar Term DSCR figure derived at
issuance of 1.41x.

As of the February 2021 remittance, there are three loans on the
servicer's watchlist, representing 2.4% of the current pool
balance. All of these loans are being monitored for cash flow
declines caused by an increase in expenses, with coverage ratios
ranging between 0.63x and 0.94x for the Q3 2020 reporting period.
None of these loans are reporting any significant decline in
physical occupancy rates. Although this cash flow declines present
additional risk for the respective loans within the transaction,
there are mitigating factors in the value of the tax credits sold
as part of the LIHTC program, which provides significant incentive
for the tax credit investors to fund any cash flow shortfalls (as
necessary) at the collateral properties to avoid a credit recapture
in the event the borrower defaults on the loan.

The largest loan on the watchlist, Brookland Artspace Lofts
(Prospectus ID#7, representing 1.1% of the pool balance) is secured
by a 41-unit multifamily complex in Washington, D.C. The loan is
being monitored for a low DSCR, driven by expense increases related
to utility costs, professional legal fees, and repair and
maintenance costs. According to the servicer, the borrower
completed common area painting throughout the second half of 2020.
In addition, increases in professional legal fees were related to
evictions and unpaid rent collections throughout 2020, according to
the servicer. The loan reported a Q3 2020 DSCR figure of 0.94x
compared with the DBRS Morningstar DSCR derived at issuance of
1.27x. Despite the increase in expenses, the loan has historically
remained current and has reported an occupancy rate of 100% since
2017.

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


IMSCI 2013-3: Fitch Cuts Rating on Class F Certs to 'CCC'
---------------------------------------------------------
Fitch Ratings has downgraded three, and affirmed four, classes of
Institutional Mortgage Securities Canada Inc.'s (IMSCI) Commercial
Mortgage Pass-Through Certificates series 2013-3. All currencies
are denominated in Canadian dollars (CAD).

    DEBT                RATING          PRIOR
    ----                ------          -----
IMSCI 2013-3

A-3 45779BBA6    LT  AAAsf  Affirmed    AAAsf
B 45779BBB4      LT  AAsf   Affirmed    AAsf
C 45779BBC2      LT  Asf    Affirmed    Asf
D 45779BBD0      LT  BBsf   Downgrade   BBBsf
E 45779BBE8      LT  BB-sf  Downgrade   BBB-sf
F 45779BAV1      LT  CCCsf  Downgrade   Bsf
G 45779BAW9      LT  CCCsf  Affirmed    CCCsf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades reflect increased loss
expectations from continued underperformance of the Fitch Loans of
Concern (FLOCs) and exposure to the energy sector. Despite the
recourse provisions and low historical loss rates associated with
Canadian CMBS loans, Fitch has concerns with the recoverability of
the five FLOCs (29.3% of pool), which include two specially
serviced loans (15%). The downgrades and Negative Rating Outlooks
reflect the classes' reliance on the repayment of these five
FLOCs.

The specially serviced loans, both of which are affiliated with a
related borrower, are Deerfoot Court (9%), which is secured by a
76,322-sf office building located in Calgary, AB, and Airways
Business Plaza (6%), which is secured by a 65,097-sf mixed-use
office/retail property located in Calgary, AB. Both loans
transferred to special servicing in December 2019 due the
borrower's bankruptcy.

As of 1Q21, occupancy at these properties fell to 80% and 70%,
respectively, from 95.3% and 89.9% at YE 2019. The most recent
servicer-reported YE 2018 NOI DSCRs were 1.61x and 1.46x,
respectively. Per the special servicer, a receiver has been
appointed and the servicer is formulating plans for a receiver
sale.

Three other non-specially serviced loans (14.3%) sponsored by
Lanesborough Real Estate Investment Trust (LREIT) have been
designated as FLOCs due to cash flow deterioration since issuance
and low DSCR, primarily caused by the declining Alberta energy
sector. Performance deterioration has been exacerbated by the Fort
McMurray wildfires in 2016 and floods in 2020.

The Lunar & Whimbrel Apartments (5.2%), Snowbird & Skyview
Apartments (4.9%) and Parkland & Gannet Apartments (4.2%) loans are
secured by multifamily properties located in Fort McMurray, AB. As
of November 2020, these properties reported declining occupancies
of 41%, 50.8% and 89.6%, respectively, from 91.8%; 92.1% and 85.1%
as of November 2019. The servicer-reported YE 2019 NOI DSCR were
0.59x, 0.36x and 0.44x. All three of these loans were granted
forbearance and maturity extensions through May 2021; they remain
current under the terms of the forbearance.

Per the November 2020 property inspection reports, Lunar & Whimbrel
Apartments and Snowbird & Skyview Apartments sustained damage from
the Fort McMurray floods in April 2020. Thirty-one out of 61 units
were taken offline at Lunar & Whimbrel Apartments and 29 out of 63
units were taken offline at Snowbird & Skyview Apartments. Repairs
at both properties were expected to be completed in 1Q21. All of
the FLOCs are full recourse to their respective sponsor/borrower.

Increased Credit Enhancement (CE): CE has increased since issuance
due to loan payoffs and scheduled amortization. As of the March
2021 distribution date, the pool's aggregate principal balance has
been paid down by 63.6% to $91.2 million from $250.4 million at
issuance. There have been no realized losses to date; however,
approximately $217,052 in interest shortfalls are currently
affecting the non-rated class H. All of the non-specially serviced
loans in the pool are currently amortizing. Upcoming scheduled loan
maturities for the non-specially serviced loans include 14.3% of
the pool in 2021, 53.5% in 2022 and 17.2% in 2023.

Coronavirus Exposure: No loans in the pool are secured by hotel
properties. Eleven loans (35.1%) are secured by retail properties,
nine (21.5%) of which are secured by single-tenant pharmacies that
remain open and have been deemed essential during the pandemic. The
weighted average (WA) amortizing NOI DSCR for the retail loans is
1.69x; these retail loans could sustain a WA decline in NOI of
38.9% before DSCR falls below 1.0x.

Five loans (33.6%) are secured by multifamily properties, including
one (15.6%) secured by a senior housing property which reported
occupancy of 93.1% as of March 2020 and NOI DSCR of 1.42x as of YE
2019. The remaining four multifamily loans (18.0%) are secured by
apartment properties located in Alberta that have suffered
performance volatility due to the energy sector and/or the Fort
McMurray wildfires in 2016 and floods in 2020.

Pool Concentration and Energy Exposure: The pool is concentrated
with only 22 of the original 38 loans remaining. The top five and
top 10 loans account for 44.3% and 69.0% 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 and timing of repayment; the ratings and Outlooks
reflect this analysis.

There is significant sponsor concentration; both of the specially
serviced loans (15.0%) are affiliated with the same individual and
five loans (33.6%) are sponsored by LREIT. Six loans (33.1%) are
secured by properties in located in Alberta, which has experienced
volatility from the energy sector over the past few years.

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 22 remaining loans, 17 (79.4%) feature full or partial recourse
to the borrowers and/or sponsors.

RATING SENSITIVITIES

The Negative Rating Outlooks reflect the reliance on the FLOCs and
the potential for rating changes should performance deteriorate or
if loans fail to repay at maturity. The Stable Rating Outlooks on
classes A-3 and B reflect increasing CE, continued amortization and
expected paydown from the non-FLOCs at their respective
maturities.

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. An upgrade of class B would likely occur with
    significant improvement in CE and/or defeasance, however
    adverse selection and increased concentrations, further
    underperformance of the FLOCs or higher than expected losses
    on the specially serviced loans could cause this trend to
    reverse;

-- Upgrades to classes C, D and E are considered unlikely and
    would be limited based on the concentrated nature of the pool.
    Classes would not be upgraded above 'Asf' if there is
    likelihood for interest shortfalls;

-- Upgrades to classes F and G are not likely given the concerns
    surrounding the FLOCs, but may occur if losses do not
    materialize.

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 classes A-3 and B are
    not likely due to the position in the capital structure, but
    may occur should interest shortfalls affect these classes;

-- Downgrades to classes C, D and E would occur if the FLOCs
    continue to experience further performance deterioration,
    losses on the specially serviced loans are higher than
    expected and/or properties vulnerable to the coronavirus fail
    to return to pre-pandemic levels;

-- Downgrades to classes F and G would occur with increased
    certainty of losses or as losses are realized;

-- The Rating Outlooks on classes C, D and E may be revised back
    to Stable if performance of the FLOCs improves, the specially
    serviced loans are resolved with better recoveries than
    expected and/or properties vulnerable to the coronavirus
    stabilize once the pandemic is over.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
further negative rating actions, including additional downgrades
and/or Negative Rating Outlook revisions.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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.


INSTITUTIONAL 2013-4: DBRS Confirms B(low) Rating on Class G Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2013-4 issued by Institutional
Mortgage Securities Canada Inc., Series 2013-4 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class X at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at B (high) (sf)
-- Class G at B (low) (sf)

All trends are Stable except for Classes F and G, which have
Negative trends.

The Negative trends on Classes F and G reflect DBRS Morningstar's
concerns surrounding two loans in the pool: Nelson Ridge
(Prospectus ID#4; 10.3% of the pool) and Franklin Suites
(Prospectus ID#12; 5.4% of the pool), both backed by properties in
Fort McMurray, Alberta. Outside of the above-mentioned loans, which
have been negatively affected by the sustained downturn in the oil
market and resulting difficulties for the local and larger Alberta
economy, the pool has generally performed in line with DBRS
Morningstar's expectations.

As of the February 2021 remittance, 15 of the original 33 loans
remain in the pool, representing a collateral reduction of 53.5%
since issuance. One loan, representing 10.5% of the current pool
balance, is fully defeased. The transaction is highly concentrated
by property type as six loans, representing 46.7% of the current
trust balance, are secured by retail collateral; multifamily
properties back the second-largest concentration of loans, with
five loans representing 26.2% of the current trust balance.
Additionally, there are eight loans, representing 45.3% of the
current trust balance, on the servicer's watchlist as of the
February 2021 remittance. The servicer is monitoring these loans
for a variety of reasons, including low debt service coverage ratio
and occupancy issues; however, the primary reason for the increase
of loans on the watchlist for this deal compared with earlier is
the influx of relief requests submitted by the respective borrowers
as a result of the Coronavirus Disease (COVID-19) pandemic.

Nelson Ridge, the second-largest loan on the servicer's watchlist,
is part of a pari passu whole loan secured by a multifamily
property in Fort McMurray. The loan is also on the DBRS Morningstar
Hotlist. Because of the sustained difficulties in the local
economy, the property has consistently shown significant
performance declines through most of the years since issuance. The
loan has been in special servicing twice, and, in both cases, it
was returned to the master servicer as a corrected loan. The loan
has been modified, with the servicer granting a forbearance to
extend the maturity date to December 2021 from December 2019,
subject to additional periodic principal lump sum payments, which
were satisfied. Most recently, the servicer granted the borrower's
coronavirus relief request to convert the monthly payments to an
interest-only (IO) structure between April 2020 and August 2020.

The loan sponsor, Lanesborough Real Estate Investment Trust, which
provides 100% recourse, continues to fund debt service shortfalls
out of pocket and has been cooperative and proactive in working
with the servicer to resolve outstanding issues. The loan is also
100% guaranteed by both 2668921 Manitoba Ltd. (Manitoba) and
Shelter Canadian Properties Ltd., the parent company of Manitoba.

The Franklin Suites loan is secured by a 75-key, extended-stay
hotel in the north end of downtown Fort McMurray. The market's
dependency on the global oil markets has affected the property's
performance since 2014, with additional stress added in new
competitive supply constructed in 2018. The hotel has been closed
for bookings since March 2020 and remains closed as of February
2021; however, the sponsor has other limited-service hotels in Fort
McMurray that have remained open.

After the sponsor requested coronavirus relief, the servicer agreed
to allow for reserve funds to cover the monthly principal and
interest (P&I) payments for April 2020 through July 2020, with the
August to October 2020 payments restructured to IO. Full P&I
obligations resumed with the November 2020 payment, and the sponsor
is required to repay the reserve draws and outstanding principal
not paid in 2020 over a 12-month period that began in November
2020. The loan has full recourse to Temple REIT, which is majority
owned by Morguard.

Although the respective sponsors for the Fort McMurray loans in
this pool have paid their obligations so far, the property cash
flows have been well below issuance for several years, a product of
the oil slump that began several years ago. Therefore, the loans
have significantly increased risks from issuance, supporting the
Negative trends on the lowest-rated classes in the pool.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to Calloway Courtenay (Prospectus ID#1; 16.3% of the pool).
With this review, DBRS Morningstar confirms that the performance of
this loan remains consistent with investment-grade loan
characteristics.

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



INVESCO CLO 2021-1: Moody's Gives (P)Ba3 Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes to be issued by Invesco CLO 2021-1, Ltd. (the "Issuer" or
"Invesco 2021-1")

Moody's rating action is as follows:

US$315,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2034 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)

US$10,000,000 Class A-2 Senior Secured Fixed Rate Notes Due 2034
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)

US$55,000,000 Class B Senior Secured Floating Rate Notes Due 2034
(the "Class B Notes"), Assigned (P)Aa2 (sf)

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

US$32,500,000 Class D Deferrable Mezzanine Secured Floating Rate
Notes Due 2034 (the "Class D Notes"), Assigned (P)Baa3 (sf)

US$20,000,000 Class E Deferrable Junior Secured Floating Rate Notes
Due 2034 (the "Class E Notes"), Assigned (P)Ba3 (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 Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

Invesco 2021-1 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 and eligible investments, up to 10%
of the portfolio may consist of second lien loans, senior unsecured
loans, first-lien last-out loans, and up to 5% of the portfolio may
consist of senior secured bonds, senior secured floating rate notes
and high-yield bonds. The portfolio is expected to be approximately
90% ramped as of the closing date.

Invesco CLO Equity Fund 3, 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 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: $500,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2870

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 46.6%

Weighted Average Life (WAL): 9.0 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.


JP MORGAN 2021-1440: DBRS Finalizes B(low) Rating on Class F Trust
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Securities issued by
J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-1440:

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

All trends are Stable.

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

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

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

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

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

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

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

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

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



JP MORGAN 2021-4: Fitch Assigns B-(EXP) Rating on B-5 Debt
----------------------------------------------------------
Fitch Ratings has assigned expected ratings to JP Morgan Mortgage
Trust 2021-4 (JPMMT 2021-4).

DEBT                RATING  
----                ------  
JPMMT 2021-4

A-1     LT  AAA(EXP)sf   Expected Rating
A-2     LT  AAA(EXP)sf   Expected Rating
A-3     LT  AAA(EXP)sf   Expected Rating
A-3-A   LT  AAA(EXP)sf   Expected Rating
A-3-B   LT  AAA(EXP)sf   Expected Rating
A-3-X   LT  AAA(EXP)sf   Expected Rating
A-4     LT  AAA(EXP)sf   Expected Rating
A-4-A   LT  AAA(EXP)sf   Expected Rating
A-4-X   LT  AAA(EXP)sf   Expected Rating
A-5     LT  AAA(EXP)sf   Expected Rating
A-5-A   LT  AAA(EXP)sf   Expected Rating
A-5-X   LT  AAA(EXP)sf   Expected Rating
A-6     LT  AAA(EXP)sf   Expected Rating
A-6-A   LT  AAA(EXP)sf   Expected Rating
A-6-X   LT  AAA(EXP)sf   Expected Rating
A-7     LT  AAA(EXP)sf   Expected Rating
A-7-A   LT  AAA(EXP)sf   Expected Rating
A-7-X   LT  AAA(EXP)sf   Expected Rating
A-8     LT  AAA(EXP)sf   Expected Rating
A-8-A   LT  AAA(EXP)sf   Expected Rating
A-8-X   LT  AAA(EXP)sf   Expected Rating
A-9     LT  AAA(EXP)sf   Expected Rating
A-9-A   LT  AAA(EXP)sf   Expected Rating
A-9-X   LT  AAA(EXP)sf   Expected Rating
A-10    LT  AAA(EXP)sf   Expected Rating
A-10-A  LT  AAA(EXP)sf   Expected Rating
A-10-X  LT  AAA(EXP)sf   Expected Rating
A-11    LT  AAA(EXP)sf   Expected Rating
A-11-X  LT  AAA(EXP)sf   Expected Rating
A-11-A  LT  AAA(EXP)sf   Expected Rating
A-11-AI LT  AAA(EXP)sf   Expected Rating
A-11-B  LT  AAA(EXP)sf   Expected Rating
A-11-BI LT  AAA(EXP)sf   Expected Rating
A-12    LT  AAA(EXP)sf   Expected Rating
A-13    LT  AAA(EXP)sf   Expected Rating
A-14    LT  AAA(EXP)sf   Expected Rating
A-15    LT  AAA(EXP)sf   Expected Rating
A-X-1   LT  AAA(EXP)sf   Expected Rating
A-X-2   LT  AAA(EXP)sf   Expected Rating
A-X-3   LT  AAA(EXP)sf   Expected Rating
A-X-4   LT  AAA(EXP)sf   Expected Rating
B-1     LT  AA-(EXP)sf   Expected Rating
B-1-A   LT  AA-(EXP)sf   Expected Rating
B-1-X   LT  AA-(EXP)sf   Expected Rating
B-2     LT  A-(EXP)sf    Expected Rating
B-2-A   LT  A-(EXP)sf    Expected Rating
B-2-X   LT  A-(EXP)sf    Expected Rating
B-3     LT  BBB-(EXP)sf  Expected Rating
B-4     LT  BB-(EXP)sf   Expected Rating
B-5     LT  B-(EXP)sf    Expected Rating
B-6     LT  NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 1,392 loans with a total balance
of approximately $1.281 billion as of the cutoff date. The pool
consists of prime quality fixed-rate mortgages (FRMs) from various
mortgage originators. The servicers in the transactions consists of
JP Morgan Chase Bank and various other servicers. Nationstar
Mortgage LLC will be the master servicer.

100% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM)
or Agency Safe Harbor QM loans.

There is no exposure to LIBOR in this transaction. The collateral
is 100% fixed rate loans, the certificates are fixed rate, based
off of the net WAC, or floating/inverse floating rate based off of
the SOFR index and capped at the net WAC. This is the third
Fitch-rated JPMMT transaction to use SOFR as the index rate for
floating/inverse floating-rate certificates.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year, 25-year and 20-year fixed-rate fully
amortizing loans. All of the loans qualify as SHQM or Agency Safe
Harbor QM loans. The loans were made to borrowers with strong
credit profiles, relatively low leverage and large liquid reserves.
The loans are seasoned at an average of four months according to
Fitch (three months per the transaction documents). The pool has a
weighted average (WA) original FICO score of 780 (as determined by
Fitch), which is indicative of very high credit quality borrowers.
Approximately 87.2% of the loans have a borrower with an original
FICO score above 750. In addition, the original WA combined
loan-to-value ratio (CLTV) of 69.2%, translating to a sustainable
loan-to-value ratio (sLTV) of 73.4%, represents substantial
borrower equity in the property and reduced default risk.

96.61% of the pool comprises nonconforming loans, while the
remaining 3.39% represents conforming loans. 100% of the loans are
designated as QM loans, with roughly 84.8% of the pool being
originated by a retail channel.

The pool consists of 90.8% of loans where the borrower maintains a
primary residence, while 7.2% comprises second homes and 2.0%
represents nonpermanent residences that were treated as investor
properties. Single-family homes comprise 93.2% of the pool, and
condominiums make up 6.0%. Cashout refinances comprise 9.3% of the
pool, purchases comprise 41.2% of the pool and rate-term refinances
comprise 49.5% of the pool.

A total of 397 loans in the pool are over $1 million, and the
largest loan is $2.77 million.

Fitch determined that 2.0% of the loans were made to foreign
nationals/nonpermanent residents. These loans were treated as
investor-occupied to reflect the additional risk they may pose.

Geographic Concentration (Neutral): Approximately 47.0% of the pool
is concentrated in California. The largest MSA concentration is in
the Los Angeles-Long Beach-Santa Ana, CA MSA (15.0%), followed by
the San Francisco-Oakland-Fremont, CA MSA (12.6%) and the San
Jose-Sunnyvale-Santa Clara, CA MSA (7.4%). The top three MSAs
account for 34.9% of the pool. As a result, there was no
probability of default (PD) penalty for geographic concentration.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps to maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): A CE or senior subordination floor of 0.40%
has been considered to mitigate potential tail end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 0.350076% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

Payment Forbearance (Neutral): As of the cutoff date, none of the
borrowers in the pool were on a coronavirus forbearance plan;
however, approximately 0.16% of the borrowers of the mortgage loans
had previously inquired about or requested forbearance plans with
the related servicer but subsequently declined to enter into any
forbearance plan with such servicer, and they remained current as
of the cutoff date.

Fitch did not make any adjustments to the loans where the borrowers
inquired about a plan, as the borrowers ultimately did not opt into
a plan, have not missed a payment and have been contractually
current.

Any loan that enters into a coronavirus forbearance plan between
the cutoff date and the settlement date will be removed from the
pool by the mortgage seller. For borrowers who enter into a
coronavirus forbearance plan postclosing, the P&I advancing party
will advance P&I during the forbearance period. If at the end of
the forbearance period the borrower begins making payments, the
advancing party will be reimbursed from any catchup payment
amount.

If the borrower does not resume making payments, the servicers will
implement loss mitigation strategies, which may include modifying
the loan. If a loan is modified, the advancing party will be
reimbursed from principal collections on the overall pool. This
will likely result in writedowns to the most subordinate class,
which will be written back up as subsequent recoveries are
realized. Since there will be no borrowers on a coronavirus
forbearance plan as of the closing date and forbearance requests
have significantly declined, Fitch did not increase its loss
expectations to address the potential for writedowns due to
reimbursement of servicer advances.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. JP Morgan has an extensive
operating history in mortgage aggregations and is assessed by Fitch
as an 'Above-Average' aggregator. JP Morgan has a developed
sourcing strategy and maintains strong internal controls that
leverage the company's enterprise wide risk management framework.
Approximately 93.5% of loans are serviced by JP Morgan Chase
(Chase), rated 'RPS1-'. Nationstar is the master servicer and will
advance if the servicer is not able to. If the master servicer is
not able to advance, then the Securities Administrator (Citibank)
will advance. Due to the low operational risk, the 'AAA' loss was
reduced by 0.33%.Representation and Warranty Framework (Negative):
The loan-level representations and warranties (R&Ws) are mostly
consistent with a higher tier framework, but have knowledge
qualifiers without a clawback provision contributed to its Tier 2
assessment. Fitch increased its loss expectations 26 bps at the
'AAAsf' rating category to mitigate the limitations of the
framework and the non-investment-grade counterparty risk of the
providers.

Third-Party Due Diligence (Positive): Third-party due diligence was
performed on 100% of loans in the transaction by five different
third-party review firms; two firms are assessed by Fitch as
'Acceptable - Tier 1', and the remaining 'Acceptable - Tier 2'. The
review confirmed strong origination practices; no material
exceptions were listed and loans that received a final 'B' grades
were due to non-material exceptions that were mitigated with strong
compensating factors. Fitch applied a credit for the high
percentage of loan level due diligence which reduced the 'AAAsf'
loss expectation by 18 bps.

Full Servicer Advancing (Mixed): The servicers will provide full
advancing for the life of the transaction (the servicer is expected
to advance delinquent P&I on loans that enter a coronavirus
forbearance plan). Although full P&I advancing will provide
liquidity to the certificates, it will also increase the loan level
loss severity (LS) since the servicer looks to recoup P&I advances
from liquidation proceeds, which results in less recoveries.

Nationstar is the master servicer and will advance if the servicer
is not able to. If the master servicer is not able to advance, then
the securities administrator (Citibank) will advance.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$550,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

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

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to, or
that may be considered in the surveillance of the transaction.

Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation. The analysis assumes positive home price growth
    of 10%. Excluding the senior class, which is already 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all of the rated classes.

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper market value declines at the
    national level. The analysis assumes market value declines of
    10%, 20%, and 30%, in addition to the model projected MVD,
    which is 5.8% in the base case. The analysis indicates that
    there is some potential rating migration with higher MVDs for
    all rated classes, compared with the model projection.
    Specifically, a 10% additional decline in home prices would
    lower all rated classes by two or more full categories.

-- This section provides insight into the model-implied
    sensitivities the transaction faces when one assumption is
    modified, while holding others equal. The modelling process
    uses the modification of these variables to reflect asset
    performance in up and down environments. The results should
    only be considered as one potential outcome, as the
    transaction is exposed to multiple dynamic risk factors. It
    should not be used as an indicator of possible future
    performance.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Digital Risk, IngletBlair, and Opus
Capital Markets. The third-party due diligence described in Form
15E focused on four areas: compliance review, credit review,
valuation review, and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustment(s) to its analysis.

DATA ADEQUACY

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the ResiPLS data layout format, and
the data are considered comprehensive. The data contained in the
ResiPLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.

ESG CONSIDERATIONS

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

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


JP MORGAN 2021-4: Fitch Assigns Final B- Rating on B-5 Debt
-----------------------------------------------------------
Fitch Ratings has assigned final ratings to JP Morgan Mortgage
Trust 2021-4 (JPMMT 2021-4).

DEBT              RATING             PRIOR
----              ------             -----
JPMMT 2021-4

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

TRANSACTION SUMMARY

The certificates are supported by 1,392 loans with a total balance
of approximately $1.281 billion as of the cutoff date. The pool
consists of prime quality fixed-rate mortgages (FRMs) from various
mortgage originators. The servicers in the transactions consists of
JP Morgan Chase Bank and various other servicers. Nationstar
Mortgage LLC will be the master servicer.

100% of the loans qualify as Safe Harbor Qualified Mortgage (SHQM)
or Agency Safe Harbor QM loans.

There is no exposure to LIBOR in this transaction. The collateral
is 100% fixed rate loans, the certificates are fixed rate, based
off of the net WAC, or floating/inverse floating rate based off of
the SOFR index and capped at the net WAC. This is the third
Fitch-rated JPMMT transaction to use SOFR as the index rate for
floating/inverse floating-rate certificates.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year, 25-year and 20-year fixed-rate fully
amortizing loans. All of the loans qualify as SHQM or Agency Safe
Harbor QM loans. The loans were made to borrowers with strong
credit profiles, relatively low leverage and large liquid reserves.
The loans are seasoned at an average of four months according to
Fitch (three months per the transaction documents). The pool has a
weighted average (WA) original FICO score of 780 (as determined by
Fitch), which is indicative of very high credit quality borrowers.
Approximately 87.2% of the loans have a borrower with an original
FICO score above 750. In addition, the original WA combined
loan-to-value ratio (CLTV) of 69.2%, translating to a sustainable
loan-to-value ratio (sLTV) of 73.4%, represents substantial
borrower equity in the property and reduced default risk.

96.61% of the pool comprises nonconforming loans, while the
remaining 3.39% represents conforming loans. 100% of the loans are
designated as QM loans, with roughly 84.8% of the pool being
originated by a retail channel.

The pool consists of 90.8% of loans where the borrower maintains a
primary residence, while 7.2% comprises second homes and 2.0%
represents nonpermanent residences that were treated as investor
properties. Single-family homes comprise 93.2% of the pool, and
condominiums make up 6.0%. Cashout refinances comprise 9.3% of the
pool, purchases comprise 41.2% of the pool and rate-term refinances
comprise 49.5% of the pool.

A total of 397 loans in the pool are over $1 million, and the
largest loan is $2.77 million.

Fitch determined that 2.0% of the loans were made to foreign
nationals/nonpermanent residents. These loans were treated as
investor-occupied to reflect the additional risk they may pose.

Geographic Concentration (Neutral): Approximately 47.0% of the pool
is concentrated in California. The largest MSA concentration is in
the Los Angeles-Long Beach-Santa Ana, CA MSA (15.0%), followed by
the San Francisco-Oakland-Fremont, CA MSA (12.6%) and the San
Jose-Sunnyvale-Santa Clara, CA MSA (7.4%). The top three MSAs
account for 34.9% of the pool. As a result, there was no
probability of default (PD) penalty for geographic concentration.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps to maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): A CE or senior subordination floor of 0.40%
has been considered to mitigate potential tail end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 0.350076% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

Payment Forbearance (Neutral): As of the cutoff date, none of the
borrowers in the pool were on a coronavirus forbearance plan;
however, approximately 0.16% of the borrowers of the mortgage loans
had previously inquired about or requested forbearance plans with
the related servicer but subsequently declined to enter into any
forbearance plan with such servicer, and they remained current as
of the cutoff date.

Fitch did not make any adjustments to the loans where the borrowers
inquired about a plan, as the borrowers ultimately did not opt into
a plan, have not missed a payment and have been contractually
current.

Any loan that enters into a coronavirus forbearance plan between
the cutoff date and the settlement date will be removed from the
pool by the mortgage seller. For borrowers who enter into a
coronavirus forbearance plan post-closing, the P&I advancing party
will advance P&I during the forbearance period. If at the end of
the forbearance period the borrower begins making payments, the
advancing party will be reimbursed from any catchup payment
amount.

If the borrower does not resume making payments, the servicers will
implement loss mitigation strategies, which may include modifying
the loan. If a loan is modified, the advancing party will be
reimbursed from principal collections on the overall pool. This
will likely result in writedowns to the most subordinate class,
which will be written back up as subsequent recoveries are
realized. Since there will be no borrowers on a coronavirus
forbearance plan as of the closing date and forbearance requests
have significantly declined, Fitch did not increase its loss
expectations to address the potential for writedowns due to
reimbursement of servicer advances.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. JP Morgan has an extensive
operating history in mortgage aggregations and is assessed by Fitch
as an 'Above-Average' aggregator. JP Morgan has a developed
sourcing strategy and maintains strong internal controls that
leverage the company's enterprise wide risk management framework.
Approximately 93.5% of loans are serviced by JP Morgan Chase
(Chase), rated 'RPS1-'.

Nationstar is the master servicer and will advance if the servicer
is not able to. If the master servicer is not able to advance, then
the Securities Administrator (Citibank) will advance. Due to the
low operational risk, the 'AAA' loss was reduced by 0.33%.
Representation and Warranty Framework (Negative): The loan-level
representations and warranties (R&Ws) are mostly consistent with a
higher tier framework, but have knowledge qualifiers without a
clawback provision contributed to its Tier 2 assessment. Fitch
increased its loss expectations 26 bps at the 'AAAsf' rating
category to mitigate the limitations of the framework and the
non-investment-grade counterparty risk of the providers.

Third-Party Due Diligence (Positive): Third-party due diligence was
performed on 100% of loans in the transaction by five different
third-party review firms; two firms are assessed by Fitch as
'Acceptable - Tier 1', and the remaining 'Acceptable - Tier 2'. The
review confirmed strong origination practices; no material
exceptions were listed and loans that received a final 'B' grades
were due to non-material exceptions that were mitigated with strong
compensating factors. Fitch applied a credit for the high
percentage of loan level due diligence which reduced the 'AAAsf'
loss expectation by 18 bps.

Full Servicer Advancing (Mixed): The servicers will provide full
advancing for the life of the transaction (the servicer is expected
to advance delinquent P&I on loans that enter a coronavirus
forbearance plan). Although full P&I advancing will provide
liquidity to the certificates, it will also increase the loan level
loss severity (LS) since the servicer looks to recoup P&I advances
from liquidation proceeds, which results in less recoveries.

Nationstar is the master servicer and will advance if the servicer
is not able to. If the master servicer is not able to advance, then
the securities administrator (Citibank) will advance.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$550,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

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

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to, or
that may be considered in the surveillance of the transaction.

Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation. The analysis assumes positive home price growth
    of 10%. Excluding the senior class, which is already 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all of the rated classes.

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper market value declines at the
    national level. The analysis assumes market value declines of
    10%, 20% and 30%, in addition to the model projected MVD,
    which is 5.8% in the base case. The analysis indicates that
    there is some potential rating migration with higher MVDs for
    all rated classes, compared with the model projection.
    Specifically, a 10% additional decline in home prices would
    lower all rated classes by two or more full categories.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modelling process uses the modification
of these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Digital Risk, IngletBlair, and Opus
Capital Markets. The third-party due diligence described in Form
15E focused on four areas: compliance review, credit review,
valuation review, and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustment(s) to its analysis.

DATA ADEQUACY

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the ResiPLS data layout format, and
the data are considered comprehensive. The data contained in the
ResiPLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.

ESG CONSIDERATIONS

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

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


JP MORGAN 2021-4: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 50
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-4. The ratings range from
(P)Aaa (sf) to (P)B2 (sf).

The certificates are backed by 1,392 fully-amortizing fixed-rate
mortgage loans with a total balance of $1,281,490,187 as of the
March 01, 2021 cut-off date. The loans have original terms to
maturity of up to 30 years. JPMMT 2021-4 includes predominantly
prime jumbo non-agency eligible (96.6%) and GSE eligible (3.4%)
mortgages purchased by J.P. Morgan Mortgage Acquisition Corp.
(JPMMAC), the sponsor and mortgage loan seller, from various
originators and MaxEx Clearing, LLC (MaxEx). The characteristics of
the mortgage loans underlying the pool are generally comparable to
those of other JPMMT transactions backed by prime mortgage loans
that Moody's have rated. As of the cut-off date, approximately 0.2%
of the borrowers of the mortgage loans have inquired about or
requested forbearance plans with the related servicer but
subsequently declined to enter into any forbearance plan with such
servicer and remain current.

Approximately 27.0% of the loans in the pool are purchased from
MaxEx. Guaranteed Rate Inc, together with its affiliates Guaranteed
Affinity, LLC & Proper Rate, LLC, and Finance of America Mortgage,
LLC originated approximately 30.1% and 11.4% of the mortgage loans
(by balance), respectively in the pool. All other originators
accounted for less than 10% of the pool by balance. With respect to
the mortgage loans, each originator and MaxEx, as applicable, made
a representation and warranty (R&W) that the mortgage loan
constitutes a qualified mortgage (QM) under the QM rule.

NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing ("Shellpoint") will interim service approximately about
93.5%, loanDepot.com, LLC (loanDepot) will service about 3.0%
(subserviced by Cenlar, FSB), United Wholesale Mortgage, LLC (UWM)
will service about 2.4% (subserviced by Cenlar, FSB), Johnson Bank
will service about 1.1% and USAA Federal Savings Bank (subserviced
by Nationstar Mortgage LLC. d/b/a Mr. Cooper) will service about
0.05% of the mortgage loans. Shellpoint will act as interim
servicer from the closing date until the servicing transfer date,
which is expected to occur on or about June 1, 2021 (but which may
occur after such date). After the servicing transfer date, these
mortgage loans will be serviced by JPMorgan Chase Bank, National
Association, (JPMCB).

The servicing fee for loans serviced by JPMCB (Shellpoint, until
the servicing transfer date), loanDepot and UWM will be based on a
step-up incentive fee structure with additional fees for servicing
delinquent and defaulted loans. Johnson Bank and USAA have a fixed
fee servicing framework. Nationstar Mortgage LLC (Nationstar) will
be the master servicer and Citibank, N.A. (Citibank) will be the
securities administrator and Delaware trustee. Pentalpha
Surveillance, LLC will be the representations and warranties breach
reviewer.

Five third-party review (TPR) firms verified the accuracy of the
loan level information. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 100% of
the mortgage loans in the collateral pool.

Distributions of principal and interest (P&I) and loss allocations
are based on a typical shifting interest structure that benefits
from senior and subordination floors. Moody's coded the cash flow
to each of the certificate classes using Moody's proprietary cash
flow tool. In coding the cash flow, Moody's took into account the
step-up incentive servicing fee structure.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2021-4

Cl. A-1, Rating Assigned (P)Aaa (sf)

Cl. A-2, Rating Assigned (P)Aaa (sf)

Cl. A-3, Rating Assigned (P)Aaa (sf)

Cl. A-3-A, Rating Assigned (P)Aaa (sf)

Cl. A-3-B, Rating Assigned (P)Aaa (sf)

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

Cl. A-4, Rating Assigned (P)Aaa (sf)

Cl. A-4-A, Rating Assigned (P)Aaa (sf)

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

Cl. A-5, Rating Assigned (P)Aaa (sf)

Cl. A-5-A, Rating Assigned (P)Aaa (sf)

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

Cl. A-6, Rating Assigned (P)Aaa (sf)

Cl. A-6-A, Rating Assigned (P)Aaa (sf)

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

Cl. A-7, Rating Assigned (P)Aaa (sf)

Cl. A-7-A, Rating Assigned (P)Aaa (sf)

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

Cl. A-8, Rating Assigned (P)Aaa (sf)

Cl. A-8-A, Rating Assigned (P)Aaa (sf)

Cl. A-8-X*, Rating Assigned (P)Aaa (sf)
Cl. A-9, Rating Assigned (P)Aaa (sf)

Cl. A-9-A, Rating Assigned (P)Aaa (sf)

Cl. A-9-X*, Rating Assigned (P)Aaa (sf)

Cl. A-10, Rating Assigned (P)Aaa (sf)

Cl. A-10-A, Rating Assigned (P)Aaa (sf)

Cl. A-10-X*, Rating Assigned (P)Aaa (sf)

Cl. A-11, Rating Assigned (P)Aaa (sf)

Cl. A-11-X*, Rating Assigned (P)Aaa (sf)

Cl. A-11-A, Rating Assigned (P)Aaa (sf)

Cl. A-11-AI*, Rating Assigned (P)Aaa (sf)

Cl. A-11-B, Rating Assigned (P)Aaa (sf)

Cl. A-11-BI*, Rating Assigned (P)Aaa (sf)

Cl. A-12, Rating Assigned (P)Aaa (sf)

Cl. A-13, Rating Assigned (P)Aaa (sf)

Cl. A-14, Rating Assigned (P)Aaa (sf)

Cl. A-15, Rating Assigned (P)Aaa (sf)

Cl. A-X-1*, Rating Assigned (P)Aaa (sf)

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

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

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

Cl. B-1, Rating Assigned (P)Aa3 (sf)

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

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

Cl. B-2, Rating Assigned (P)A3 (sf)

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

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

Cl. B-3, Rating Assigned (P)Baa3 (sf)

Cl. B-4, Rating Assigned (P)Ba3 (sf)

Cl. B-5, Rating Assigned (P)B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Moody's expected loss for this pool in a baseline scenario-mean is
0.25%, in a baseline scenario-median is 0.12%, and reaches 2.77% at
a stress level consistent with Moody's Aaa ratings.

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

Moody's increased Moody's model-derived median expected losses by
10% (6.27% 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 Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

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

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence, and the
R&W framework of the transaction.

Collateral Description

JPMMT 2021-4 is a securitization of a pool of 1,392
fully-amortizing fixed-rate prime jumbo non-conforming (96.6%) and
GSE-eligible conforming (3.4%) mortgage loans with a total balance
of $1,281,490,187 as of the cut-off date, with a weighted average
(WA) remaining term to maturity of 357 months, and a WA seasoning
of 2 months. The WA original FICO score is 784 and the WA original
combined loan-to-value ratio (CLTV) is 69.3%. About 2.2% and 15.2%
(by loan balance) of mortgage loans were originated through
correspondent and broker channels, respectively.

The borrowers have high monthly income (about $28,623 on a WA
basis), and significant liquid cash reserve (about $348,566 on a WA
basis), all of which have been verified as part of the underwriting
process and reviewed by the third-party review firms. The
GSE-eligible loans have an average balance of $699,758 compared to
the average GSE balance of approximately $230,000. The higher
conforming loan balance is attributable to the greater amount of
properties located in high-cost areas, such as the metro areas of
Los Angeles, San Francisco and San Jose. The GSE-eligible loans,
which make up about 3.4% of the JPMMT 2021-4 pool by loan balance,
were underwritten pursuant to GSE guidelines and were approved by
DU/LP. All the loans are subject to the QM and Ability-to-Repay
(ATR) rules.

Overall, the characteristics of the loans underlying the pool are
generally comparable to those of other JPMMT transactions backed by
prime mortgage loans that Moody's have rated.

Aggregation/Origination Quality

Moody's consider JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC as an
aggregator, we have also reviewed the originator(s) contributing a
significant percentage of the collateral pool (above 10%) and
MaxEx. Additionally, Moody's did not make an adjustment for
GSE-eligible loans, since those loans were underwritten in
accordance with GSE guidelines. Moody's increased its base case and
Aaa loss expectations for certain originators of non-conforming
loans where Moody's do not have clear insight into the underwriting
practices, quality control and credit risk management.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar Mortgage LLC
(Nationstar Mortgage Holdings Inc. corporate family rating B2) will
act as the master servicer. The servicers are required to advance
P&I on the mortgage loans. To the extent that the servicers are
unable to do so, the master servicer will be obligated to make such
advances. In the event that the master servicer, Nationstar, is
unable to make such advances, the securities administrator,
Citibank, N.A. (rated Aa3) will be obligated to do so to the extent
such advance is determined by the securities administrator to be
recoverable.

COVID-19 Impacted Borrowers

As of the Cut-Off date, approximately 0.2% of the borrowers of the
mortgage loans have inquired about or requested forbearance plans
with the related servicer but subsequently declined to enter into
any forbearance plan with such servicer and remain current. JPMMAC
will be removing any mortgage loan with respect to which the
related borrower requests or enters into a COVID-19 related
forbearance plan after the cut-off date but on or prior to the
closing date, which would be a closing date substitution amount
treated like a prepayment at month one. In the event that after the
closing date a borrower enters into or requests a COVID-19 related
forbearance plan, such mortgage loan (and the risks associated with
it) will remain in the mortgage pool.

Servicing Fee Framework

The servicing fee for loans serviced by JPMCB (and Shellpoint,
until the servicing transfer date), loanDepot and UWM will be based
on a step-up incentive fee structure with a monthly base fee of $40
per loan and additional fees for delinquent or defaulted loans.
Johnson Bank and USAA will be paid a monthly flat servicing fee
equal to one-twelfth of 0.25% of the remaining principal balance of
the mortgage loans.

By establishing a base servicing fee for performing loans that
increases when loans become delinquent, the fee-for-service
structure aligns monetary incentives to the servicer with the costs
of servicing. The servicer receives higher fees for labor-intensive
activities that are associated with servicing delinquent loans,
including loss mitigation, than they receive for servicing a
performing loan, which is less costly and labor-intensive. The
fee-for-service compensation is reasonable and adequate for this
transaction because it better aligns the servicer's costs with the
deal's performance. Furthermore, higher fees for the more
labor-intensive tasks make the transfer of these loans to another
servicer easier, should that become necessary.

Third-Party Review

Five TPR firms, AMC Diligence, LLC (AMC), Clayton Services, LLC
(Clayton), Inglet Blair LLC (IB), Digital Risk, LLC (DR) and Opus
Capital Markets Consultants, LLC (Opus) (collectively, TPR firms)
reviewed 100% of the loans in this transaction for credit,
regulatory compliance, property valuation, and data accuracy. Each
mortgage loan was reviewed by only one of the TPR firms and each
TPR firm produced one or more reports detailing its review
procedures and the related results. The TPR results indicated
compliance with the originators' underwriting guidelines for
majority of loans, no material compliance issues and no material
appraisal defects. Overall, the loans that had exceptions to the
originators' underwriting guidelines had strong documented
compensating factors such as low DTIs, low LTVs, high reserves,
high FICOs, or clean payment histories. The TPR firms also
identified minor compliance exceptions for reasons such as
inadequate RESPA disclosures (which do not have assignee liability)
and TILA/RESPA Integrated Disclosure (TRID) violations related to
fees that were out of variance but then were cured and disclosed.

The TPR firms compared third-party valuation products to the
original appraisals. Property valuation was conducted using a
third-party collateral desk appraisal (CDA), field review and
automated valuation model (AVM) or a Collateral Underwriter (CU)
risk score. For a portion of the mortgage loans in the pool, a CDA
or a field review or AVM was not provided and had a CU risk score
less than or equal to 2.5. Moody's consider the use of CU risk
score for non-conforming loans to be credit negative due to (1) the
lack of human intervention which increases the likelihood of
missing emerging risk trends, (2) the limited track record of the
software and limited transparency into the model and (3) GSE focus
on non-jumbo loans which may lower reliability on jumbo loan
appraisals. Moody's did not apply an adjustment to the loss for
such loans because (i) the statistically significant sample size
and valuation results of the loans that were reviewed using a
third-party valuation product such as a CDA and field review is
sufficient, (ii) the original appraisal balances for nonconforming
loans were not significantly higher than that of appraisal values
for GSE-eligible loans and (iii) the borrowers of such loans have
strong credit characteristics including high FICO scores, low LTV
and adequate reserves.

In addition, there are 15 loans (1.3% by balance) that have
exterior only appraisal due to COVID-19, instead of full appraisal.
Since the exterior-only appraisal only covers the outside of the
property there is a risk that the property condition cannot be
verified to the same extent had the appraiser been provided access
to the interior of the home. Also, 2 loans representing 0.1% of
pool balance are appraisal waiver loans. These loans do not have a
traditional appraisal but instead an estimate of value or sales
price is provided, typically, by the seller. Moody's did not make
any specific adjustment for exterior-only appraisal or appraisal
waiver loans since they account for a de-minimis portion of the
pool.

R&W Framework

JPMMT 2021-4's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance.
Moody's review of the R&W framework considers the financial
strength of the R&W providers, scope of R&Ws (including qualifiers
and sunsets) and enforcement mechanisms. The creditworthiness of
the R&W provider determines the probability that the R&W provider
will be available and have the financial strength to repurchase
defective loans upon identifying a breach. An investment grade
rated R&W provider lends substantial strength to its R&Ws. Moody's
analyze the impact of less creditworthy R&W providers case by case,
in conjunction with other aspects of the transaction. Moody's
applied an adjustment to all R&W providers that are unrated and/or
financially weaker entities.

Trustee and Master Servicer

The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance P&I if the servicer fails to do so.
If the master servicer fails to make the required advance, the
securities administrator is obligated to make such advance.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bonds have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.

The Class A-11 Certificates will have a pass-through rate that will
vary directly with the SOFR rate and the Class A-11-X Certificates
will have a pass-through rate that will vary inversely with the
SOFR rate.

Tail Risk & Subordination Floor

This deal has a standard shifting interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 0.40% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. The
subordinate bonds benefit from a floor as well. When the total
current balance of a given subordinate tranche plus the aggregate
balance of the subordinate tranches that are junior to it amount to
less than 0.350076% of the original pool balance, those tranches
that are junior to it do not receive principal distributions. The
principal those tranches would have received is directed to pay
more senior subordinate bonds pro-rata.

In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.

Moody's calculate the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35%
severity.

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.

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


JP MORGAN 2021-4: Moody's Assigns B2 Rating to Class B-5 Certs
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 50
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-4. The ratings range from
Aaa (sf) to B2 (sf).

The certificates are backed by 1,392 fully-amortizing fixed-rate
mortgage loans with a total balance of $1,281,490,187 as of the
March 01, 2021 cut-off date. The loans have original terms to
maturity of up to 30 years. JPMMT 2021-4 includes predominantly
prime jumbo non-agency eligible (96.6%) and GSE eligible (3.4%)
mortgages purchased by J.P. Morgan Mortgage Acquisition Corp.
(JPMMAC), the sponsor and mortgage loan seller, from various
originators and MaxEx Clearing, LLC (MaxEx). The characteristics of
the mortgage loans underlying the pool are generally comparable to
those of other JPMMT transactions backed by prime mortgage loans
that Moody's have rated. As of the cut-off date, approximately 0.2%
of the borrowers of the mortgage loans have inquired about or
requested forbearance plans with the related servicer but
subsequently declined to enter into any forbearance plan with such
servicer and remain current.

Approximately 27.0% of the loans in the pool are purchased from
MaxEx. Guaranteed Rate Inc, together with its affiliates Guaranteed
Affinity, LLC & Proper Rate, LLC, and Finance of America Mortgage,
LLC originated approximately 30.1% and 11.4% of the mortgage loans
(by balance), respectively in the pool. All other originators
accounted for less than 10% of the pool by balance. With respect to
the mortgage loans, each originator and MaxEx, as applicable, made
a representation and warranty (R&W) that the mortgage loan
constitutes a qualified mortgage (QM) under the QM rule.

NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing ("Shellpoint") will interim service approximately about
93.5%, loanDepot.com, LLC (loanDepot) will service about 3.0%
(subserviced by Cenlar, FSB), United Wholesale Mortgage, LLC (UWM)
will service about 2.4% (subserviced by Cenlar, FSB), Johnson Bank
will service about 1.1% and USAA Federal Savings Bank (subserviced
by Nationstar Mortgage LLC. d/b/a Mr. Cooper) will service about
0.05% of the mortgage loans. Shellpoint will act as interim
servicer from the closing date until the servicing transfer date,
which is expected to occur on or about June 1, 2021 (but which may
occur after such date). After the servicing transfer date, these
mortgage loans will be serviced by JPMorgan Chase Bank, N.A.
(JPMCB).

The servicing fee for loans serviced by JPMCB (Shellpoint, until
the servicing transfer date), loanDepot and UWM will be based on a
step-up incentive fee structure with additional fees for servicing
delinquent and defaulted loans. Johnson Bank and USAA have a fixed
fee servicing framework. Nationstar Mortgage LLC (Nationstar) will
be the master servicer and Citibank, N.A. (Citibank) will be the
securities administrator and Delaware trustee. Pentalpha
Surveillance, LLC will be the representations and warranties breach
reviewer.

Five third-party review (TPR) firms verified the accuracy of the
loan level information. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 100% of
the mortgage loans in the collateral pool.

Distributions of principal and interest (P&I) and loss allocations
are based on a typical shifting interest structure that benefits
from senior and subordination floors. Moody's coded the cash flow
to each of the certificate classes using Moody's proprietary cash
flow tool. In coding the cash flow, Moody's took into account the
step-up incentive servicing fee structure.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2021-4

Cl. A-1, Rating Assigned Aaa (sf)

Cl. A-2, Rating Assigned Aaa (sf)

Cl. A-3, Rating Assigned Aaa (sf)

Cl. A-3-A, Rating Assigned Aaa (sf)

Cl. A-3-B, Rating Assigned Aaa (sf)

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

Cl. A-4, Rating Assigned Aaa (sf)

Cl. A-4-A, Rating Assigned Aaa (sf)

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

Cl. A-5, Rating Assigned Aaa (sf)

Cl. A-5-A, Rating Assigned Aaa (sf)

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

Cl. A-6, Rating Assigned Aaa (sf)

Cl. A-6-A, Rating Assigned Aaa (sf)

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

Cl. A-7, Rating Assigned Aaa (sf)

Cl. A-7-A, Rating Assigned Aaa (sf)

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

Cl. A-8, Rating Assigned Aaa (sf)

Cl. A-8-A, Rating Assigned Aaa (sf)

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

Cl. A-9, Rating Assigned Aaa (sf)

Cl. A-9-A, Rating Assigned Aaa (sf)

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

Cl. A-10, Rating Assigned Aaa (sf)

Cl. A-10-A, Rating Assigned Aaa (sf)

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

Cl. A-11, Rating Assigned Aaa (sf)

Cl. A-11-X*, Rating Assigned Aaa (sf)

Cl. A-11-A, Rating Assigned Aaa (sf)

Cl. A-11-AI*, Rating Assigned Aaa (sf)

Cl. A-11-B, Rating Assigned Aaa (sf)

Cl. A-11-BI*, Rating Assigned Aaa (sf)

Cl. A-12, Rating Assigned Aaa (sf)

Cl. A-13, Rating Assigned Aaa (sf)

Cl. A-14, Rating Assigned Aaa (sf)

Cl. A-15, Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

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

Cl. B-3, Rating Assigned Baa3 (sf)

Cl. B-4, Rating Assigned Ba3 (sf)

Cl. B-5, Rating Assigned B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Moody's expected loss for this pool in a baseline scenario-mean is
0.25%, in a baseline scenario-median is 0.12%, and reaches 2.77% at
a stress level consistent with Moody's Aaa ratings.

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

Moody's increased its model-derived median expected losses by 10%
(6.27% for the mean) and Moody's Aaa loss by 2.5% to reflect the
likely performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

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

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the thirdparty due diligence, and the
R&W framework of the transaction.

Collateral Description

JPMMT 2021-4 is a securitization of a pool of 1,392
fully-amortizing fixed-rate prime jumbo non-conforming (96.6%) and
GSE-eligible conforming (3.4%) mortgage loans with a total balance
of $1,281,490,187 as of the cut-off date, with a weighted average
(WA) remaining term to maturity of 357 months, and a WA seasoning
of 2 months. The WA original FICO score is 784 and the WA original
combined loan-to-value ratio (CLTV) is 69.3%. About 2.2% and 15.2%
(by loan balance) of mortgage loans were originated through
correspondent and broker channels, respectively.

The borrowers have high monthly income (about $28,623 on a WA
basis), and significant liquid cash reserve (about $348,566 on a WA
basis), all of which have been verified as part of the underwriting
process and reviewed by the third-party review firms. The
GSE-eligible loans have an average balance of $699,758 compared to
the average GSE balance of approximately $230,000. The higher
conforming loan balance is attributable to the greater amount of
properties located in high-cost areas, such as the metro areas of
Los Angeles, San Francisco and San Jose. The GSE-eligible loans,
which make up about 3.4% of the JPMMT 2021-4 pool by loan balance,
were underwritten pursuant to GSE guidelines and were approved by
DU/LP. All the loans are subject to the QM and Ability-to-Repay
(ATR) rules.

Overall, the characteristics of the loans underlying the pool are
generally comparable to those of other JPMMT transactions backed by
prime mortgage loans that Moody's have rated.

Aggregation/Origination Quality

Moody's consider JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC as an
aggregator, Moody's have also reviewed the originator(s)
contributing a significant percentage of the collateral pool (above
10%) and MaxEx. Additionally, Moody's did not make an adjustment
for GSE-eligible loans, since those loans were underwritten in
accordance with GSE guidelines. Moody's increased its base case and
Aaa loss expectations for certain originators of non-conforming
loans where Moody's do not have clear insight into the underwriting
practices, quality control and credit risk management.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar Mortgage LLC
(Nationstar Mortgage Holdings Inc. corporate family rating B2) will
act as the master servicer. The servicers are required to advance
P&I on the mortgage loans. To the extent that the servicers are
unable to do so, the master servicer will be obligated to make such
advances. In the event that the master servicer, Nationstar, is
unable to make such advances, the securities administrator,
Citibank, N.A. (rated Aa3) will be obligated to do so to the extent
such advance is determined by the securities administrator to be
recoverable.

COVID-19 Impacted Borrowers

As of the Cut-Off date, approximately 0.2% of the borrowers of the
mortgage loans have inquired about or requested forbearance plans
with the related servicer but subsequently declined to enter into
any forbearance plan with such servicer and remain current. JPMMAC
will be removing any mortgage loan with respect to which the
related borrower requests or enters into a COVID-19 related
forbearance plan after the cut-off date but on or prior to the
closing date, which would be a closing date substitution amount
treated like a prepayment at month one. In the event that after the
closing date a borrower enters into or requests a COVID19 related
forbearance plan, such mortgage loan (and the risks associated with
it) will remain in the mortgage pool.

Servicing Fee Framework

The servicing fee for loans serviced by JPMCB (and Shellpoint,
until the servicing transfer date), loanDepot and UWM will be based
on a step-up incentive fee structure with a monthly base fee of $40
per loan and additional fees for delinquent or defaulted loans.
Johnson Bank and USAA will be paid a monthly flat servicing fee
equal to one-twelfth of 0.25% of the remaining principal balance of
the mortgage loans.

By establishing a base servicing fee for performing loans that
increases when loans become delinquent, the fee-for-service
structure aligns monetary incentives to the servicer with the costs
of servicing. The servicer receives higher fees for labor-intensive
activities that are associated with servicing delinquent loans,
including loss mitigation, than they receive for servicing a
performing loan, which is less costly and labor-intensive. The
fee-for-service compensation is reasonable and adequate for this
transaction because it better aligns the servicer's costs with the
deal's performance. Furthermore, higher fees for the more
labor-intensive tasks make the transfer of these loans to another
servicer easier, should that become necessary.

Third-Party Review

Five TPR firms, AMC Diligence, LLC (AMC), Clayton Services, LLC
(Clayton), Inglet Blair LLC (IB), Digital Risk, LLC (DR) and Opus
Capital Markets Consultants, LLC (Opus) (collectively, TPR firms)
reviewed 100% of the loans in this transaction for credit,
regulatory compliance, property valuation, and data accuracy. Each
mortgage loan was reviewed by only one of the TPR firms and each
TPR firm produced one or more reports detailing its review
procedures and the related results. The TPR results indicated
compliance with the originators' underwriting guidelines for
majority of loans, no material compliance issues and no material
appraisal defects. Overall, the loans that had exceptions to the
originators' underwriting guidelines had strong documented
compensating factors such as low DTIs, low LTVs, high reserves,
high FICOs, or clean payment histories. The TPR firms also
identified minor compliance exceptions for reasons such as
inadequate RESPA disclosures (which do not have assignee liability)
and TILA/RESPA Integrated Disclosure (TRID) violations related to
fees that were out of variance but then were cured and disclosed.

The TPR firms compared third-party valuation products to the
original appraisals. Property valuation was conducted using a
third-party collateral desk appraisal (CDA), field review and
automated valuation model (AVM) or a Collateral Underwriter (CU)
risk score. For a portion of the mortgage loans in the pool, a CDA
or a field review or AVM was not provided and had a CU risk score
less than or equal to 2.5. Moody's consider the use of CU risk
score for non-conforming loans to be credit negative due to (1) the
lack of human intervention which increases the likelihood of
missing emerging risk trends, (2) the limited track record of the
software and limited transparency into the model and (3) GSE focus
on non-jumbo loans which may lower reliability on jumbo loan
appraisals. Moody's did not apply an adjustment to the loss for
such loans because (i) the statistically significant sample size
and valuation results of the loans that were reviewed using a
third-party valuation product such as a CDA and field review is
sufficient, (ii) the original appraisal balances for nonconforming
loans were not significantly higher than that of appraisal values
for GSE-eligible loans and (iii) the borrowers of such loans have
strong credit characteristics including high FICO scores, low LTV
and adequate reserves.

In addition, there are 15 loans (1.3% by balance) that have
exterior only appraisal due to COVID-19, instead of full appraisal.
Since the exterior-only appraisal only covers the outside of the
property there is a risk that the property condition cannot be
verified to the same extent had the appraiser been provided access
to the interior of the home. Also, 2 loans representing 0.1% of
pool balance are appraisal waiver loans. These loans do not have a
traditional appraisal but instead an estimate of value or sales
price is provided, typically, by the seller. Moody's did not make
any specific adjustment for exterior-only appraisal or appraisal
waiver loans since they account for a de-minimis portion of the
pool.

R&W Framework

JPMMT 2021-4's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance.
Moody's review of the R&W framework considers the financial
strength of the R&W providers, scope of R&Ws (including qualifiers
and sunsets) and enforcement mechanisms. The creditworthiness of
the R&W provider determines the probability that the R&W provider
will be available and have the financial strength to repurchase
defective loans upon identifying a breach. An investment grade
rated R&W provider lends substantial strength to its R&Ws. Moody's
analyze the impact of less creditworthy R&W providers case by case,
in conjunction with other aspects of the transaction. Moody's
applied an adjustment to all R&W providers that are unrated and/or
financially weaker entities.

Trustee and Master Servicer

The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance P&I if the servicer fails to do so.
If the master servicer fails to make the required advance, the
securities administrator is obligated to make such advance.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bonds have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.

The Class A-11 Certificates will have a pass-through rate that will
vary directly with the SOFR rate and the Class A-11-X Certificates
will have a pass-through rate that will vary inversely with the
SOFR rate.

Tail Risk & Subordination Floor

This deal has a standard shifting interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 0.40% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. The
subordinate bonds benefit from a floor as well. When the total
current balance of a given subordinate tranche plus the aggregate
balance of the subordinate tranches that are junior to it amount to
less than 0.350076% of the original pool balance, those tranches
that are junior to it do not receive principal distributions. The
principal those tranches would have received is directed to pay
more senior subordinate bonds pro-rata.

In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.

Moody's calculate the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35%
severity.

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.

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


JP MORGAN 2021-5: S&P Assigns B (sf) Rating on Class B-5 Certs
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage
Trust 2021-5's mortgage pass-through certificates.

The certificate issuance is an RMBS securitization backed by
residential mortgage loans.

The ratings reflect S&P's view of:

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework for this
transaction;

-- The geographic concentration;

-- The experienced aggregator;

-- The 100% due diligence results consistent with represented loan
characteristics; and

-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.

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

  Ratings Assigned

  J.P. Morgan Mortgage Trust 2021-5

  Class A-1, $342,601,000: AAA (sf)
  Class A-2, $342,601,000: AAA (sf)
  Class A-2-A, $342,601,000: AAA (sf)
  Class A-2-X, $342,601,000(i): AAA (sf)
  Class A-3, $324,569,000: AAA (sf)
  Class A-3-A, $324,569,000: AAA (sf)
  Class A-3-X, $324,569,000(i): AAA (sf)
  Class A-4, $243,427,000: AAA (sf)
  Class A-4-A, $243,427,000: AAA (sf)
  Class A-4-X, $243,427,000(i): AAA (sf)
  Class A-5, $81,142,000: AAA (sf)
  Class A-5-A, $81,142,000: AAA (sf)
  Class A-5-X, $81,142,000(i): AAA (sf)
  Class A-6, $193,949,000: AAA (sf)
  Class A-6-A, $193,949,000: AAA (sf)
  Class A-6-X, $193,949,000(i): AAA (sf)
  Class A-7, $130,620,000: AAA (sf)
  Class A-7-A, $130,620,000: AAA (sf)
  Class A-7-X, $130,620,000(i): AAA (sf)
  Class A-8, $49,478,000: AAA (sf)
  Class A-8-A, $49,478,000: AAA (sf)
  Class A-8-X, $49,478,000(i): AAA (sf)
  Class A-9, $40,571,000: AAA (sf)
  Class A-9-A, $40,571,000: AAA (sf)
  Class A-9-X, $40,571,000(i): AAA (sf)
  Class A-10, $40,571,000: AAA (sf)
  Class A-10-A, $40,571,000: AAA (sf)
  Class A-10-X, $40,571,000(i): AAA (sf)
  Class A-M, $18,032,000: AAA (sf)
  Class A-M-A, $18,032,000: AAA (sf)
  Class A-M-X, $18,032,000(i): AAA (sf)
  Class A-X-1, $342,601,000(i): AAA (sf)
  Class B-1, $7,393,000: AA (sf)
  Class B-2, $3,245,000: A (sf)
  Class B-3, $3,426,000: BBB (sf)
  Class B-4, $1,082,000: BB (sf)
  Class B-5, $1,623,000: B (sf)
  Class B-6, $1,262,821: Not rated
  Class A-R, $0: Not rated



JP MORGAN 2021-5: S&P Assigns Prelim B (sf) Rating on B-5 Notes
---------------------------------------------------------------
S&P Global Ratings today assigned its preliminary ratings to J.P.
Morgan Mortgage Trust 2021-5's mortgage pass-through certificates.

The certificate issuance is an RMBS securitization backed by
residential mortgage loans.

The preliminary ratings are based on information as of March 25,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework for this
transaction;

-- The geographic concentration;

-- The experienced aggregator;

-- The 100% due diligence results consistent with represented loan
characteristics; and

The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.

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

  Preliminary Ratings Assigned

  J.P. Morgan Mortgage Trust 2021-5

  Class A-1, $342,601,000: AAA (sf)
  Class A-2, $342,601,000: AAA (sf)
  Class A-2-A, $342,601,000: AAA (sf)
  Class A-2-X, $342,601,000(i): AAA (sf)
  Class A-3, $324,569,000: AAA (sf)
  Class A-3-A, $324,569,000: AAA (sf)
  Class A-3-X, $324,569,000(i): AAA (sf)
  Class A-4, $243,427,000: AAA (sf)
  Class A-4-A, $243,427,000: AAA (sf)
  Class A-4-X, $243,427,000(i): AAA (sf)
  Class A-5, $81,142,000: AAA (sf)
  Class A-5-A, $81,142,000: AAA (sf)
  Class A-5-X, $81,142,000(i): AAA (sf)
  Class A-6, $193,949,000: AAA (sf)
  Class A-6-A, $193,949,000: AAA (sf)
  Class A-6-X, $193,949,000(i): AAA (sf)
  Class A-7, $130,620,000: AAA (sf)
  Class A-7-A, $130,620,000: AAA (sf)
  Class A-7-X, $130,620,000(i): AAA (sf)
  Class A-8, $49,478,000: AAA (sf)
  Class A-8-A, $49,478,000: AAA (sf)
  Class A-8-X, $49,478,000(i): AAA (sf)
  Class A-9, $40,571,000: AAA (sf)
  Class A-9-A, $40,571,000: AAA (sf)
  Class A-9-X, $40,571,000(i): AAA (sf)
  Class A-10, $40,571,000: AAA (sf)
  Class A-10-A, $40,571,000: AAA (sf)
  Class A-10-X, $40,571,000(i): AAA (sf)
  Class A-M, $18,032,000: AAA (sf)
  Class A-M-A, $18,032,000: AAA (sf)
  Class A-M-X, $18,032,000(i): AAA (sf)
  Class A-X-1, $342,601,000(i): AAA (sf)
  Class B-1, $7,393,000: AA (sf)
  Class B-2, $3,245,000: A (sf)
  Class B-3, $3,426,000: BBB (sf)
  Class B-4, $1,082,000: BB (sf)
  Class B-5, $1,623,000: B (sf)
  Class B-6, $1,262,821: Not rated
  Class A-R, $0: Not rated

  (i)Notional balance.



JP MORGAN 2021-MHC: Moody's Assigns (P)B3 Rating to Cl. F Certs
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
of CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage
Securities Trust 2021-MHC, Commercial Mortgage Pass-Through
Certificates, Series 2021-MHC:

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

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

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

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

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

Cl. X-CP*, Assigned (P)A3 (sf)

* Reflects interest-only class

RATINGS RATIONALE

The certificates are collateralized by a single, floating-rate loan
secured by the borrower's fee simple interest in a portfolio of 93
manufactured housing community ("MHC") properties, one self storage
property, and the indirect equity interests in the entities that
own 1,504 community owned homes located across 13 states. Moody's
ratings are based on the credit quality of the loans and the
strength of the securitization structure.

The portfolio contains a total of 11,129 pads, which is comprised
of 10,897 manufactured housing ("MH") pads, 194 recreational
vehicle ("RV") pads, and 38 site built homes. The self-storage
property contains 136 units. There are 1,504 community owned homes,
which represent approximately 14% of the pads. Construction dates
for the communities range from 1920 to 2000, with a weighted
average year built of 1976.

The portfolio is diversified by region and property count. The
portfolio's largest property accounts for only 5.3% of allocated
loan amount ("ALA") and the top 10 properties account for 34.4% of
the ALA and 35.6% of NCF. In terms of regional diversity, the
portfolio is spread across 13 states and 29 markets. The top five
markets (Champaign, Dallas / Fort Worth, St. Louis, Austin, and
Omaha) account for 50.3% of NCF and 49.8% of ALA. Collectively,
these markets contain 5,488 pads (49.3% of the total portfolio
pads) across 41 properties.

Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower CMBS methodology and Moody's IO Rating methodology. The
rating approach for securities backed by a single loan compares the
credit risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.

The securitization consists of a single floating-rate,
interest-only, first lien mortgage loan with an outstanding cut-off
date principal balance of $488,620,000 (the "loan" or "mortgage
loan"). The mortgage loan has an initial two-year term, with three,
one-year extension options.

The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology.

The Moody's first-mortgage DSCR is 2.03x and Moody's first-mortgage
stressed DSCR (at a 9.25% constant) is 0.67x. Moody's DSCR is based
on its assessment of the property's stabilized NCF.

The Moody's LTV ratio for the first-mortgage balance is 145.6%.
Taking into consideration the mezzanine loan of $40,000,000, the
total debt Moody's LTV would increase to 157.3%. Moody's analysis
did not underwrite any direct value associated to the community
owned homes. The Moody's LTV ratio is based on Moody's value.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 2.47.

Notable strengths of the transaction include: granular portfolio,
acquisition by experienced MHC sponsor, recent capital
expenditures, and strong MHC fundamentals.

Notable concerns of the transaction include: the effects of the
coronavirus, high Moody's LTV, overall age of the portfolio,
Sponsor's first acquisition of properties located in certain
markets, certain credit negative loan structure and legal
features.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September
2020.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from our
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.

Factors that would lead to an Upgrade or Downgrade of the Ratings:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.

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 commercial real estate from a gradual and unbalanced
recovery in the United States of America 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.


JPMBB COMMERCIAL 2014-C21: DBRS Cuts Class X-D Certs Rating to B
----------------------------------------------------------------
DBRS Limited downgraded its ratings on four classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-C21
issued by JPMBB Commercial Mortgage Securities Trust 2014-C21 as
follows:

-- Class X-C to BB (low) (sf) from BB (high) (sf)
-- Class E to B (high) (sf) from BB (sf)
-- Class X-D to B (sf) from BB (low) (sf)
-- Class F to B (low) (sf) from B (high) (sf)

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

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class D at BBB (low) (sf)

With this review, DBRS Morningstar removed classes X-C, E, X-D, and
F from Under Review with Negative Implications where they were
placed on August 6, 2020. All trends are Stable with the exception
of Classes D, X-C, E, X-D, and F, which carry a Negative trend.

The rating downgrades and Negative trends generally reflect the
increased risk of loss to the trust, primarily contained to the
largest specially serviced loan in the pool. As of the February
2021 reporting, there were four loans, representing 3.7% of the
current trust balance, in special servicing (including one loan in
the top 15). Two of these four loans were transferred to the
special servicer since the outbreak of the Coronavirus Disease
(COVID-19), and one loan (Prospectus ID#46 – Lockport
Professional Park, 0.6% of the current trust balance) is backed by
a property that is real estate owned. There are also 13 loans on
the servicer's watchlist, representing 22.5% of the current trust
balance. The loans are being monitored for various reasons
including low debt service coverage ratios, activation of cash
traps, occupancy declines, upcoming tenant rollover, and
coronavirus-related borrower relief requests.

As of the February 2021 remittance, the trust had an aggregate
principal balance of $1.09 billion, representing a collateral
reduction of 14.1% since issuance. There have been three loans
liquidated with losses to date in Metro West Office Portfolio,
Waterbury Crossing, and Shuman Office Building, with losses
contained to the unrated certificates. The trust benefits from
defeasance: as of the February 2021 remittance report, 11 loans,
representing 10.5% of the current trust balance, were fully
defeased. The trust is concentrated by property type, with retail
properties accounting for 15 loans, representing 32.6% of the
current trust balance. Office makes up the second-largest property
type concentration with 12 loans, representing 23.6% of the current
trust balance. Multifamily makes up the third-largest property type
concentration with 14 loans, representing 16.7% of the current
trust balance.

The largest loan in special servicing, Charlottesville Fashion
Square (Prospectus ID#16, 2.4% of the current trust balance), is
secured by a 362,000-square-foot (sf) portion of a 577,000-sf
regional mall in Charlottesville, Virginia. The loan transferred to
special servicing in October 2019 for imminent monetary default
following the departure of Sears. More recently, noncollateral
anchor JCPenney vacated in November 2020, with Belk Men's
(collateral) and Belk Women's (noncollateral) as the remaining
anchors. The sponsor, Washington Prime Group, has provided notice
that it will be transitioning the property to the trust. A receiver
was appointed in March 2020 and, according to the August 2020
appraisal, the as-is value was reported at $7.5 million while the
stabilized value was reported at $15.0 million, both of which are
significant declines from the issuance value of $83.9 million. The
current whole-loan balance is $43.9 million and, based on the
liquidation scenario assumed by DBRS Morningstar as part of this
review, a loss severity approaching 100% is expected at
disposition.

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

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


JPMBB COMMERCIAL 2014-C22: DBRS Cuts Rating of 3 Classes to C(sf)
-----------------------------------------------------------------
DBRS Limited downgraded seven classes of the Commercial Mortgage
Pass-Through Certificates, Series 2014-C22 issued by JPMBB
Commercial Mortgage Securities Trust 2014-C22 as follows:

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

DBRS Morningstar removed Classes E, F, and G from Under Review with
Negative Implications where they were placed on August 6, 2020.
DBRS Morningstar also designated Classes F and G as having Interest
in Arrears.

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

-- Class A-3A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)

DBRS Morningstar also discontinued its ratings on Classes X-C and
X-D as the lowest-rated reference obligations, Classes E and F,
were downgraded to C (sf).

The trends on Classes B, C, and EC were changed to Negative from
Stable. All other trends are Stable with the exception of Classes
D, E, F, and G, which have ratings that do not carry trends.

According to the February 2021 remittance, 70 of the original 76
loans remain in the trust, representing a collateral reduction of
12.0% since issuance. The pool is fairly concentrated by property
type, with 37.7% of the pool secured by office properties and 23.8%
secured by retail properties. Eleven loans, representing 6.4% of
the pool, are fully defeased. Five loans, representing 13.8% of the
current pool balance, are in special servicing and 21 loans,
representing 34.6% of the current pool balance, are on the
servicer's watchlist. The watchlisted loans are being monitored for
tenant rollover, low debt service coverage ratios (DSCRs) and/or
occupancy, trigger events, or Coronavirus Disease (COVID-19)
related forbearance requests.

The rating downgrades and Negative trends reflect the increased
risk of loss to the trust from the largest specially serviced
loans. The largest loan in special servicing, Las Catalinas Mall
(Prospectus ID#3; 7.5% of the pool), is secured by a 355,000 square
foot (sf) portion of a 494,000-sf regional mall in Caguas, Puerto
Rico. The loan transferred to special servicing in June 2020 for
imminent monetary default. Although the effects of the coronavirus
pandemic were cited as reasons for the default, the property was
struggling prior to the pandemic, beginning with the departure of
the collateral anchor Kmart in January 2019, with the collateral
occupancy rate eventually falling to 46.2%. The impact of the Kmart
closure was exacerbated in late 2020 when the non-collateral shadow
anchor, Sears, was also closed, suggesting the overall occupancy
rate for the mall is near 35.0%.

The special servicer finalized a loan modification in December
2020, with the terms allowing for a maturity extension to February
2026, a reduced interest rate for three years, a deferral of
accrued interest between April 2020 and December 2020, and
conversion of the loan to interest-only (IO) payments through
maturity. In addition, a future discounted payout (DPO) of $72.5
million of the loan can be made in August 2023, which suggests a
steep discount to the current whole-loan balance of $128.8 million.
The borrower was required to contribute $8.5 million at closing to
pay for leasing and transaction costs as part of the loan
modification and, although the equity infusion is noteworthy, the
DPO option suggests a significant loss will be realized at the
loan's final disposition. As part of this review, DBRS Morningstar
assumed a liquidation scenario for this loan, resulting in a loss
severity in excess of 70.0%.

The second mall loan in special servicing, Charlottesville Fashion
Square (Prospectus ID#15; 1.8% of the pool), is secured by a
362,000-sf portion of a 577,000-sf regional mall in
Charlottesville, Virginia. The loan transferred to special
servicing in October 2019 for imminent monetary default following
the departure of Sears. More recently, the non-collateral anchor
JCPenney vacated in November 2020, with Belk Men's (collateral) and
Belk Women's (non-collateral) as the remaining anchors. The
sponsor, Washington Prime Group, has provided notice that it will
be transitioning the property to the trust. A receiver was
appointed in March 2020 and, according to the August 2020
appraisal, the as-is value was reported at $7.5 million while the
stabilized value was reported at $15.0 million, both of which are
significant declines from the issuance value of $83.9 million. The
current whole-loan balance is $43.9 million and, based on the
liquidation scenario assumed by DBRS Morningstar as part of this
review, a loss severity approaching 100% is expected at
disposition.

The second-largest loan in special servicing is the 10333 Richmond
loan (Prospectus ID#7; 3.4% of the pool), which is secured by an
office property located in Houston. The property has struggled with
low occupancy for several years and the loan has been with the
special servicer since December 2017. According to the December
2020 rent roll, the property was 51.7% occupied, and the servicer
most recently reported a trailing nine months ended September 2018
DSCR of 0.81x; however, despite the property's cash flow issues,
the loan has been current throughout the transfer to special
servicer and, according to the most recent commentary, a loan
modification has been proposed and is being reviewed by the
servicer. Based on the February 2020 appraisal, the property was
valued at $19.9 million, a decline from the February 2018 value of
$23.3 million previously obtained by the special servicer and well
below the issuance value of $46.4 million. Given the outstanding
loan balance of $33.9 million, a significant loss is expected at
resolution, despite the sponsor's commitment to keeping the loan
current and seeking a modification of terms. For this review, DBRS
Morningstar assumed a liquidation scenario that implied a loss
severity in excess of 60.0%.

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



JPMBB COMMERCIAL 2014-C25: DBRS Cuts Rating of 2 Classes to B(sf)
-----------------------------------------------------------------
DBRS Limited downgraded its ratings on four classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-C25
issued by JPMBB Commercial Mortgage Securities Trust 2014-C25 as
follows:

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

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

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

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

The rating downgrades and Negative trends reflect DBRS
Morningstar's concerns surrounding the nine loans in special
servicing, four of which were liquidated with losses to the trust
in the analysis for this review. As of the February 2021
remittance, the initial trust balance of $1.1 billion had been
reduced by 18.6% to $963.9 million, with 57 of the original 65
loans remaining in the pool. The transaction is concentrated by
property type, as 12 loans, representing 34.1% of the pool, are
secured by office assets and 18 loans, representing 32.6% of the
pool, are secured by retail properties or mixed-use portfolios that
are primarily composed of retail assets. The second-largest loan in
the pool is Grapevine Mills (Prospectus ID#3, 7.6% of the pool),
which is secured by an outlet mall in Grapevine, Texas, a Dallas
suburb. The mall is owned and operated by an affiliate of Simon
Property Group (Simon) and is currently performing with no
outstanding relief request or history of delinquency since the
start of the Coronavirus Disease (COVID-19) pandemic. Additionally,
there are six loans, representing 9.6% of the pool, that are fully
defeased.

As of the February 2021 remittance, 10 loans, representing 8.4% of
the pool, were on the servicer's watchlist, and there were nine
loans, representing 17.5% of the pool, in special servicing. The
loans on the watchlist are being monitored for various reasons,
including low debt service coverage ratio or occupancy, tenant
rollover risk, and deferred maintenance.

The largest loan in special servicing, Mall at Barnes Crossing and
Market Center Tupelo (Prospectus ID#4, 6.6% of the pool), is
secured by a 569,000-square-foot (sf) portion of a 670,000-sf
regional mall and an adjacent 60,000-sf retail center in Tupelo,
Mississippi. The loan sponsor is an affiliate of Brookfield
Property Partners L.P. (Brookfield; rated BBB with a Negative trend
by DBRS Morningstar), and the loan transferred to special servicing
in December 2020 for imminent monetary default. The regional mall
lost one of its anchor tenants, Sears (13.0% of net rentable area
(NRA)), in 2018, and the space has yet to be backfilled.

Total collateral occupancy had declined to 79.0% as of September
2020 from a high of 96.0% at YE2018. The regional mall is also
anchored by Belk, Belk Home and Men's (14.2% of NRA), JCPenney
(14.4% of NRA), and Dick's Sporting Goods (7.9% of NRA). Belk
recently filed for bankruptcy, and the regional department store
chain's future is in substantial doubt, a situation that could mean
additional anchor closures in the near term. The JCPenney anchor's
future is similarly uncertain, but the outlook is slightly superior
to Belk's given JCPenney's acquisition out of bankruptcy by a joint
venture that included Brookfield and Simon. The workout strategy
for this loan is yet to be determined; however, the loan was 90
days to 120 days delinquent as of the February 2021 remittance, and
DBRS Morningstar notes that Brookfield has publicly expressed plans
to shed underperforming properties from its portfolio over the near
term. In the analysis for this review, a substantial probability of
default penalty was applied to increase the expected loss for this
loan.

The second-largest loan in special servicing, Hilton Houston Post
Oak (Prospectus ID#6, 4.4% of the pool), is secured by a 448-key
full-service hotel in Houston, approximately one block north of the
Houston Galleria mall. The loan was more than 121 days delinquent
as of the February 2021 remittance and was transferred to special
servicing in May 2020. Although the transfer was said to be driven
by the coronavirus pandemic's impact on property cash flows, DBRS
Morningstar notes that the property had been significantly
underperforming issuance expectations for several years.

The servicer's commentary indicates that the workout strategy for
this loan is a deed in lieu of foreclosure. A September 2020
appraisal obtained by the special servicer valued the collateral at
$57.5 million, a decline of 54.0% from the appraised value of
$126.2 million at issuance. Based on a significant haircut to this
valuation, which was applied given the uncertainty for both the
lodging industry and demand in the Houston area, this loan was
liquidated in the analysis, resulting in a loss severity in excess
of 50.0%.

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



JPMBB COMMERCIAL 2014-C26: DBRS Cuts Class X-F Certs Rating to B
----------------------------------------------------------------
DBRS Limited downgraded its ratings on four classes of the
Commercial Mortgage Pass-Through Certificates, Series 2014-C26
issued by JPMBB Commercial Mortgage Securities Trust 2014-C26 as
follows:

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

With this review, DBRS Morningstar removed Classes X-E, E, X-F, and
F from Under Review with Negative Implications, where they were
placed on August 6, 2020.

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

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

The trends on Classes X-D, D, X-E, E, X-F, and F are Negative; all
other trends remain Stable.

The rating downgrades and Negative trends reflect the increased
risk of loss to the trust for some of the loans in the pool,
generally concentrated in the largest loans in special servicing.
As of the February 2021 reporting, there were 17 loans on the
servicer's watchlist, representing 27.7% of the current trust
balance. The watchlisted loans exhibit various signs of increased
risk, including cash flow and occupancy declines, upcoming tenant
rollover, and relief requests submitted by the sponsors in response
to the Coronavirus Disease (COVID-19) pandemic. There were three
loans, representing 3.64% of the current trust balance, in special
servicing (including two loans in the top 15) as of the February
2021 remittance. All but one of these loans have transferred to
special servicing since the outbreak of the pandemic.

As of the February 2021 remittance, the trust had an aggregate
principal balance of $1.14 billion, representing a collateral
reduction of 22.1% since issuance. Since issuance, 11 loans have
been repaid in full and one loan was liquidated (the Hilton Garden
Inn Houston loan), with a $3.7 million loss contained to the
unrated certificates. There are also seven loans, representing
13.3% of the pool, that are defeased. The collateral pool is
concentrated by property type, with office properties accounting
for 16 loans and representing 42.6% of the current trust balance,
followed by retail and lodging, which represent 17.2% and 17.1% of
the pool, respectively.

The largest loan in special servicing is Heron Lakes (Prospectus
ID#4, 4.3% of the current trust balance), secured by a Class A
office complex in Houston. The property has been real estate owned
since the servicer's successful foreclosure in February 2020 and
has been in special servicing since December 2018. The most recent
appraisal in the servicer's reporting is dated April 2019, showing
an as-is value of $58.0 million, down from $71.0 million at
issuance. However, it is likely that the value has fallen
significantly since that time given the sustained low occupancy
rate for the collateral property and the difficult market dynamics
for Houston office properties, which have since been exacerbated
amid the pandemic. As such, a liquidation scenario based on a
significant haircut to the most recent value was assumed in the
analysis for this review, suggesting a loss severity in excess of
70%.

The second-largest loan in special servicing is The Outlets Shoppes
of the Bluegrass (Prospectus ID#8, 3.5% of the pool), which is a
pari passu loan secured by an outlet mall in Simpsonville,
Kentucky, 25 miles east of Louisville. The loan sponsor is a joint
venture between CBL & Associates (CBL; 65% ownership interest) and
Horizon Group Properties (35% ownership interest). This loan was
initially transferred to special servicing in April 2020 for
imminent default and was ultimately transferred back to the master
servicer at the borrower's request in June 2020. However, the loan
was later returned to special servicing with the February 2021
remittance, following CBL's bankruptcy filing in November 2020. The
collateral property remains generally well occupied as of the most
recent reporting available, which showed that the property was
87.8% occupied as of September 2020, when the servicer reported a
debt service coverage ratio of 1.42 times. Given the recent
transfer back to special servicing, not much information is
available on the status of the workout, but the majority owner's
bankruptcy filing is indicative of increased risks for this loan,
prompting a probability of default penalty in the analysis for this
review to increase the expected loss for the loan.

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


JPMBB COMMERCIAL 2015-C30: DBRS Confirms B(sf) Rating on F Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-C30 issued by JPMBB
Commercial Mortgage Securities Trust 2015-C30 as follows:

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

Classes E, F, X-E, and X-F were removed from Under Review with
Negative Implications where they were placed on August 6, 2020. The
trends on Classes E, F, X-E, and X-F are Negative, reflecting the
continuing performance challenges to the underlying collateral,
many of which have been driven by the impact of the Coronavirus
Disease (COVID-19) pandemic. The trends on all other classes are
Stable.

The rating confirmations reflect the stable performance of the
transaction, which has remained in line with DBRS Morningstar's
expectations. At issuance, the transaction consisted of 70 loans
with an original trust balance of $1.3 billion. As of the February
2021 remittance report, 63 loans remained in the transaction with a
trust balance of $1.2 billion, representing a collateral reduction
of approximately 13.2% since issuance resulting from amortization
and the payoff of seven loans. In addition, four loans totaling
$23.7 million have defeased.

The 69-02 Garfield Avenue loan (Prospectus ID#51; 0.41% of pool) is
the only loan in special servicing. The loan is secured by a
restaurant/banquet hall totaling 37,480 square feet (sf) in Queens,
New York. The loan transferred to special servicing in September
2020 for maturity default. The stated maturity date was July 6,
2020; however, the borrower initially received a 60-day forbearance
that expired in September 2020. According to the most recent
servicer commentary, the special servicer and borrower are in
active discussions for a modification. The loan remained current
through the February 2021 remittance. An updated appraisal
completed in November 2020 valued the property at $9.6 million,
which implied an LTV of 49.9%.

While not on the servicer's watchlist, the pool contains two
regional malls in the top 15 that are sponsored by Washington Prime
Group, which according to a published report from Bloomberg is
contemplating a bankruptcy filing after the company failed to make
an interest payment on its corporate debt. The larger of the two
loans, Pearlridge Center (Prospectus ID#2; 6.2% of pool), is
secured by a two-level super-regional Class B mall in Aiea, Hawaii,
nine miles northwest of the Honolulu central business district. The
subject is the largest enclosed mall in Hawaii. The property is
anchored by a Macy's, Ross Dress for Less, TJ Maxx, Bed Bath &
Beyond, and Sears (on a ground lease). In 2019, the sponsors
completed a $33 million renovation project that included interior
and exterior upgrades, a redesigned dining space, and updated
entranceways. The property has maintained stable performance to
date as net cash flow is consistent with issuance levels. The
property was 90% occupied as of Q3 2020 with a debt service
coverage ratio (DSCR) of 2.64 times (x).

Scottsdale Quarter (Prospectus ID#11; 3.6% of pool) is secured by
541,971-sf mixed-use lifestyle center in Scottsdale, Arizona, about
20 miles north of Phoenix. The property is anchored by anchored by
Forever 21, Restoration Hardware, Pottery Barn, West Elm, and
Apple. The collateral portion of the property is composed of
approximately 67.5% of retail space and 32.5% of office space.
Occupancy has been trending downward since issuance and experienced
its largest decline between 2019 and 2020 when its largest retail
tenant, IPIC Theaters (8.2% of net rentable area (NRA)), and Nike
(3.4% of NRA) vacated causing occupancy to decrease to 72% as of Q3
2020 from 80% as of YE2019. Occupancy further decreased to 68% in
2021 following the departure of H&M, which represented 4.4% of NRA.
The tenant vacated upon its January 2021 lease expiration. Despite
these developments, the loan maintained a stable DSCR of 2.04x as
of Q3 2020.

DBRS Morningstar is also concerned with the Sunbelt Portfolio
(Prospectus ID#3; 5.5% of pool) after occupancy decreased to 67% as
of Q4 2020 from 81% as of YE2019. The loan is backed by a portfolio
of three office properties, two in Birmingham, Alabama, and one in
Columbia, South Carolina, totaling 1.3 million sf. The drop in
occupancy between years is largely attributed to the departure of
the largest tenant, Wells Fargo Bank, which occupied about 91,000
sf (7% of the portfolio's NRA) and vacated upon its December 2019
lease expiration while the second-largest tenant, Burr & Forman,
downsized its space by 17,419 sf (3% of the portfolio's NRA) at the
Wells Fargo Tower in Birmingham. The tower changed names to the
Shipt Tower after an online grocery company backfilled 60,000 sf of
the former Wells Fargo space. Based on the December 2020 rent roll,
the Shipt Tower was 67.2% occupied, Meridian Tower in Columbia was
95.4% occupied, and the Inverness Center in Birmingham was 55.1%
occupied.

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



JPMCC COMMERCIAL 2015-JP1: DBRS Cuts Rating of Class G Certs to CCC
-------------------------------------------------------------------
DBRS, Inc. downgraded two classes of Commercial Mortgage
Pass-Through Certificates, Series 2015-JP1 issued by JPMCC
Commercial Mortgage Securities Trust 2015-JP1 as follows:

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

DBRS Morningstar also confirmed the following classes:

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class X-C at A (high) (sf)
-- Class X-D at A (low) (sf)
-- Class X-E at BBB (high) (sf)
-- Class B at AA (sf)
-- Class A-S at AAA (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)

DBRS Morningstar removed Classes E, F, G, and X-E from Under Review
with Negative Implications, where they were placed on August 6,
2020. All trends are Stable, with the exception of Class F, which
has a Negative trend, and Class G, which doesn't carry a trend. The
downgrades and Negative trend reflect a loss incurred by the trust
since the last review, as well as anticipated losses upon
resolution of the transaction's largest specially serviced loan.

As of the February 2021 remittance, the pool's balance had been
reduced to $621.7 million from $799.2 million at issuance,
resulting from the payoff of six loans and scheduled amortization.
Additionally, the pool recorded its first loss in October 2020 when
the $36.6 million Holiday Inn Baltimore Inner Harbor loan, formerly
the sixth-largest loan, liquidated with a $22.6 million loss.

Eight loans, representing 11.5% of the pool, are with the special
servicer. The largest specially serviced loan is the DoubleTree
Tulsa Warren Place loan (Prospectus ID#9, 3.0% of the pool), which
is secured by a 370-room full-service hotel in Tulsa, Oklahoma. The
loan transferred to the special servicer in May 2020 ahead of the
December 2020 maturity due to Coronavirus Disease (COVID-19)
related hardships. The property has not met the issuance net cash
flow for the past several years, with the 2019 cash flow reported
at $1.4 million, or 36% below the issuer's level of $2.2 million.
The coronavirus pandemic further stressed the property and it
reported a September 2020 cash flow below breakeven. The property
was reappraised for $15.0 million in October 2020, 56% lower than
the at-issuance appraisal value of $34.2 million. The hotel is
being sold via receivership and the special servicer set best and
final offers by February 2021. As part of this analysis, DBRS
Morningstar liquidated the loan from the trust and expects a loss
upon resolution.

The second-largest specially serviced loan is the DoubleTree
Anaheim – Orange County loan (Prospectus ID#10, 2.9% of the pool
balance), which is secured by a 461-room full-service hotel in
Orange County, California, and transferred to special servicing in
July 2020 for payment default. The subject is located in close
proximity to several major demand drivers, primarily Disneyland and
the Anaheim Convention Center, both of which have been effectively
closed by the coronavirus pandemic and are currently functioning as
vaccination sites. The borrower has presented the special servicer
with resolution options to bring the loan current, which are being
evaluated by the lender. An updated appraisal as of August 2020
valued the property as-is at $61.1 million, a 23.5% decline from
the issuance value of $83.8 million but still well in excess of the
whole loan amount. The appraisal also lists a stabilized value of
$90.4 million, which incorporates occupancy and average daily rate
increases over a three-year period.

The cross-collateralized/cross-defaulted Franklin Ridge loans
(Prospectus IDs#13, 14, and 15, totaling 2.7% of the pool balance)
are secured by a total of 133,869 sf of medical office space across
three buildings in White Marsh, Maryland, about 10 miles northeast
of Johns Hopkins University. The 9910 building was 100% leased to
Johns Hopkins, which had a lease expiration in December 2020; it is
unclear if Johns Hopkins vacated, returned any space, or if it
renewed the lease, but it appears likely that the transfer was
related to this lease expiration. Additionally, the 9900 building
lost a large tenant in 2018, which reduced occupancy at that
building to 77%, down from 100% since issuance and performance has
hovered just above breakeven for the last few years. However, the
tenant that vacated remained at this campus and took a smaller
space in the 9920 building. All three loans remain current as of
the February 2021 remittance.

There are 11 additional loans, representing 12.3% of the pool, on
the servicer's watchlist. These loans are being monitored for
various reasons, including low debt service coverage ratios or
occupancy, tenant rollover risk, and/or pandemic-related
forbearance requests.

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


KEYERA CORPORATION 2021-A: DBRS Finalizes BB(high) on Sub Notes
---------------------------------------------------------------
DBRS Limited finalized its provisional rating of BB (high) with a
Stable trend on the $350 million Fixed-to-Fixed Rate Subordinated
Notes Series 2021-A due March 10, 2081 issued by Keyera Corp.

The rating being finalized is based upon the rating on
already-outstanding Subordinated Notes.

The Issuer expects to use the net proceeds of the offering of the
Subordinated Notes to refinance indebtedness under its revolving
credit facility, to fund capital projects, and for other general
corporate purposes.

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



KKR CLO 17: Moody's Assigns Ba3 Rating to $33.6M Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by KKR CLO 17 Ltd. (the "Issuer").

Moody's rating action is as follows:

US$4,000,000 Class X Senior Secured Floating Rate Notes Due 2034
(the "Class X Notes"), Assigned Aaa (sf)

US$372,000,000 Class A-R Senior Secured Floating Rate Notes Due
2034 (the "Class A-R Notes"), Assigned Aaa (sf)

US$77,400,000 Class B-R Senior Secured Floating Rate Notes Due 2034
(the "Class B-R Notes"), Assigned Aa2 (sf)

US$24,150,000 Class C-1-R Senior Secured Deferrable Floating Rate
Notes Due 2034 (the "Class C-1-R Notes"), Assigned A2 (sf)

U.S.$7,050,000 Class C-2-R Senior Secured Deferrable Fixed Rate
Notes Due 2034 (the "Class C-2-R Notes"), Assigned A2 (sf)

U.S.$37,800,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf)

U.S.$33,600,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans,
cash, and eligible investments, and up to 10% of the portfolio may
consist of second lien loans and unsecured loans.

KKR Financial Advisors II, LLC (the "Manager"), and KKR Credit
Advisors (Ireland) Unlimited Company acting as sub-manager (the
"Sub-Manager"), will continue to direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's extended five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager and
Sub-Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets and changes to the definition of
"Adjusted Weighted Average Moody's Rating Factor".

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

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

Performing par and principal proceeds balance: $595,059,272

Defaulted par: $5,976,774

Diversity Score: 71

Weighted Average Rating Factor (WARF): 3050

Weighted Average Spread (WAS): 3.59%

Weighted Average Recovery Rate (WARR): 47.62%

Weighted Average Life (WAL): 9 years

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around 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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's and
Sub-Manager's investment decisions and management of the
transaction will also affect the performance of the Refinancing
Notes.


KKR CLO 31: S&P Assigns BB- (sf) Rating on $24MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its 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 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.

  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


LCCM 2017-LC26: Fitch Affirms B- Rating on Class F Certs
--------------------------------------------------------
Fitch Ratings has affirmed all classes of LCCM 2017-LC26 Mortgage
Trust commercial mortgage pass-through certificates.

     DEBT               RATING            PRIOR
     ----               ------            -----
LCCM 2017-LC26

A-2 50190DAC0     LT  AAAsf   Affirmed    AAAsf
A-3 50190DAG1     LT  AAAsf   Affirmed    AAAsf
A-4 50190DAJ5     LT  AAAsf   Affirmed    AAAsf
A-S 50190DAS5     LT  AAAsf   Affirmed    AAAsf
A-SB 50190DAE6    LT  AAAsf   Affirmed    AAAsf
B 50190DAU0       LT  AA-sf   Affirmed    AA-sf
C 50190DAW6       LT  A-sf    Affirmed    A-sf
D 50190DAY2       LT  BBB-sf  Affirmed    BBB-sf
E 50190DBA3       LT  BB-sf   Affirmed    BB-sf
F 50190DBC9       LT  B-sf    Affirmed    B-sf
X-A 50190DAL0     LT  AAAsf   Affirmed    AAAsf
X-B 50190DAN6     LT  A-sf    Affirmed    A-sf
X-D 50190DAQ9     LT  BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's loss projections for the pool are
relatively unchanged since the last rating action, despite
additional loans being flagged as Fitch Loans of Concern (FLOC).
Four loans (16.0% of the pool), have transferred to special
servicing since the last rating action due to the slowdown in
economic activity related to the coronavirus pandemic. Fitch's
current ratings assume a base case loss of 5.6%. The Negative
Outlooks on classes E and F reflect additional stresses, which
indicate that losses could reach 6.9%. There are eight FLOCs
representing 25.7% of the pool, six of which are in the top 15.

The largest FLOC and the largest contributor to modeled losses is
Marriott LAX (10% of the pool). It is the largest loan in the pool
and is secured by a 1,004-room, full service Marriott hotel located
less than half a mile from Los Angeles International Airport. The
borrower requested relief in May 2020, following which discussions
were held but never finalized. The loan transferred to special
servicing in December 2020 for payment default. It is due for the
October 2020 and all subsequent debt service payments. The loan is
reporting negative cash flow for the annualized September 2020
statement. Prior to the pandemic, the loan was performing in line
with Fitch's expectations at issuance. The YE2019 NOI DSCR was
1.83x.

According to servicer commentary, the workout strategy will
dual-track modification of the loan with foreclosure proceedings.
The property has significant competition within a one-mile radius.
The franchise agreement with Marriot extends through September
2040. The loan is sponsored by XLD Group Ltd., a large, diversified
real estate investment group based in Sichuan, China. The modeled
loss severity reflects Fitch's stressed value, which is based on a
26% haircut to the YE2019 NOI.

Improvement in Credit Enhancement: The majority of bonds have
experienced increased credit support due to amortization and
unscheduled paydown. As of the March 2021 distribution date, the
pool's aggregate principal balance has paid down by 6.8% to $583.2
million from $625.7 million at issuance. There was unscheduled
paydown in 2020 due to the disposition of top 15 loan previously in
special servicing. The loan liquidated from the trust but with
enough recovery to contribute to the paydown of the A-1 class.

There are 56 of the original 57 loans still outstanding.
Thirty-four loans representing 37.0% of the pool are interest-only
for the full term and one additional loan representing 8.0% of the
pool was structured with a partial interest-only component and has
not yet begun to amortize. Since issuance, two loans representing
2.3% of the pool have been fully defeased.

Alternative Loss Scenario: The fourth largest FLOC and the tenth
largest loan in the pool is 455 Plaza Drive. The collateral is the
leased fee interest in a 261-room Embassy Suites hotel in Secaucus,
NJ. The underlying property was built to suit for Embassy Suites in
1986 and is subject to a ground lease that expires October 2021.
The terms of the lease include rent to be paid based on a
percentage of the underlying hotel's revenues. Since issuance, this
rental revenue has been in decline. Additionally, the borrower has
been embroiled in an ongoing legal dispute with the hotel's
operator regarding the property's poor performance relative to
stipulations in the ground lease agreement.

The servicer has confirmed that the tenant does not plan to renew
and the ground lease will terminate at the October 2021 expiration.
If the borrower is not able to find a third party to takeover
ground lease payments, the loan will have no source of income.
Fitch's base case loss reflects the likelihood that the loan
transfers to special servicing if the borrower is unable to find a
replacement tenant. In addition, Fitch ran a sensitivity stress for
this loan which assumes a 20% loss to reflect uncertainty regarding
the ongoing litigation. The current ratings withstand this
additional stress, with the exception of classes E and F which are
already on Rating Outlook Negative.

Exposure to Coronavirus: The pool's retail exposure includes 32
loans representing 20.2% of the pool, most of which are small loans
secured by single-tenant Dollar General stores. There are four
hotels in the pool representing 16.3% of the pool, three of which
are in special servicing. Not including the specially serviced
loans, Fitch applied additional stresses to only two retail loans
given expected continued stresses to cash flow.

RATING SENSITIVITIES

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

-- Stable to improved performance coupled with pay down and/or
    defeasance. An upgrade to class B would occur with continued
    paydown and be limited as concentrations increase. Upgrades of
    classes C and D would only occur with significant improvement
    in credit enhancement and stabilization of the FLOCs. Classes
    would not be upgraded above 'Asf' if there is likelihood for
    interest shortfalls. An upgrade to classes E and F is not
    likely unless performance of the FLOCs stabilizes and if the
    performance of the remaining pool is stable and would not
    likely occur until later years in the transaction assuming
    losses were minimal.

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

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the classes rated
    'AAAsf' are not considered likely due to the position in the
    capital structure, but may occur at 'AAAsf' or 'AA-sf' should
    interest shortfalls occur. Downgrades to classes C and D are
    possible should additional defaults occur. Downgrades to
    classes E and F are possible should the performance of FLOCs
    decline further or should the specially serviced loans
    languish or fail to resolve in a timely manner.

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 Rating Outlook or
those with Negative Rating Outlooks will be downgraded one or more
categories.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


MADISON PARK XI: S&P Affirms CCC+ (sf) Rating on Class F-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R-2, B-R-2,
and C-R-2 replacement notes from Madison Park Funding XI Ltd., a
CLO originally issued in 2013 that later reset in 2017. The CLO is
managed by Credit Suisse Asset Management. The replacement notes
were issued via a supplemental indenture. S&P withdrew its ratings
on the class A-R, B-R, and C-R notes following payment in full on
the March 25, 2021, refinancing date. At the same time, S&P
affirmed its ratings on the class X, D-R, E-R and F-R notes.

On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class F-R notes (which are not
being refinanced) than the rating action reflects. S&P affirmed its
'CCC+ (sf)' rating on this class after considering the notes'
subordination levels and the transaction's stable performance since
its downgrade in August 2020.

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 classes have adequate credit enhancement available at
the rating levels associated with these rating actions.

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

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

  Ratings Assigned

  Madison Park Funding XI Ltd./Madison Park Funding XI LLC

  Replacement class A-R-2, $325.00 million: AAA (sf)
  Replacement class B-R-2, $65.80 million: AA (sf)
  Replacement class C-R-2, $40.80 million: A (sf)

  Ratings Affirmed

  Madison Park Funding XI Ltd./Madison Park Funding XI LLC

  Class X: AAA (sf)
  Class D-R: BB+ (sf)
  Class E-R: B (sf)
  Class F-R: CCC+ (sf)

  Ratings Withdrawn

  Madison Park Funding XI Ltd./Madison Park Funding XI LLC

  Class A-R: to NR from AAA (sf)
  Class B-R: to NR from AA (sf)
  Class C-R: to NR from A (sf)

  NR--Not rated.



MARATHON CLO 2021-16: S&P Assigns BB- (sf) Rating on Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Marathon CLO 2021-16
Ltd./Marathon CLO 2021-16 LLC's floating- and fixed-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

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

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

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



MCAP CMBS 2014-1: DBRS Confirms B(sf) Rating on Class G Certs
-------------------------------------------------------------
DBRS Limited upgraded two classes of the Commercial Mortgage
Pass-Through Certificates, Series 2014-1 issued by MCAP CMBS Issuer
Corporation as follows:

-- Class E to AAA (sf) from BBB (low) (sf)
-- Class F to BBB (low) (sf) from BB (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

-- Class D at AAA (sf)
-- Class G at B (sf)

DBRS Morningstar also removed Classes E, F, and G from Under Review
with Negative Implications where they were initially placed on
December 20, 2019, because of the concerns and uncertainty
surrounding the 1121 Centre Street NW loan (Prospectus ID#7; 17.5%
of the current trust balance) and developments with the loan
sponsor, Strategic Group. All trends are Stable

The rating upgrades and confirmations reflect the current credit
outlook on the remaining collateral. As of the February 2021
remittance, five of the original 32 loans remain in the pool with
an aggregate principal trust balance of $19.2 million, representing
a 91.4% collateral reduction since issuance. Four of the remaining
loans, representing 82.5% of the current trust balance, are
performing either in line with or above issuance expectations.
Based on the most recent reporting, these loans had a
weighted-average debt service coverage ratio of 1.63 times (x),
compared with 1.50x at issuance, reflecting an 8.9% net cash flow
growth. All four loans are scheduled to mature in 2024; generally,
refinancing prospects look favorable for these loans despite the
ongoing Coronavirus Disease (COVID-19) pandemic. Three of these
loans, representing 68.4% of the current trust balance, have
material recourse to the loan's sponsor.

The 1121 Centre Street NW loan was formerly secured by a Class B
mid-rise office building located in Calgary. In October 2020, the
property sold for $6.8 million, with proceeds from the sale used to
pay down the trust loan, outstanding advances, and other fees. A
balance of $3.4 million remains in the trust as of the February
2021 reporting and is recourse to the borrowing entity and to the
guarantor, Riaz Mamdani & IEC Ltd., for the full amount of the
outstanding debt, which the lender is currently pursuing through
legal remedies; however, given the ongoing pandemic, the timeline
for resolution is unknown. At issuance, the property had a value of
$16.9 million ($269 per square foot (psf)), however, given the
decline in both occupancy and net cash flow being driven by soft
market conditions coupled with the influx of new supply and lack of
demand for the product type amid the ongoing pandemic, the sale
price declined to $6.8 million ($108 psf). While the loan is
structured with full recourse provisions, it is unknown if the
sponsor has capital available to fulfill this obligation or if the
guaranty will be enforceable. In the event that the loan does
experience a fully realized loss of the outstanding loan balance,
it would very likely be contained to the non-rated first loss piece
in the capital stack of this transaction.

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



MCAP CMBS 2014-1: Fitch Affirms B Rating on Class G Certs
---------------------------------------------------------
Fitch Ratings has upgraded one and affirmed three classes of MCAP
CMBS Issuer Corporation's commercial mortgage pass-through
certificates, series 2014-1. All currencies are denominated in
Canadian dollars (CAD).

    DEBT              RATING              PRIOR
    ----              ------              -----
MCAP CMBS Issuer Corpation 2014-1

D 55280LAJ7     LT  Asf     Upgrade       BBBsf
E 55280LAE8     LT  BBB-sf  Affirmed      BBB-sf
F 55280LAF5     LT  BBsf    Affirmed      BBsf
G 55280LAG3     LT  Bsf     Affirmed      Bsf

KEY RATING DRIVERS

Increased Credit Enhancement: The upgrade of class D reflects
increased credit enhancement since Fitch's last rating action from
approximately $5.4 million in principal proceeds received from the
October 2020 sale of the Calgary office property securing the
specially serviced 1121 Centre Street NW loan (17.5% of pool) and
continued scheduled amortization.

As of the March 2021 distribution date, the pool's aggregate
principal balance had paid down by 91.4% to $19.3 million from $224
million at issuance. Excluding the specially serviced loan, the
pool has a weighted average amortization term of 21.7 years, which
represents faster amortization than U.S. conduit loans. The four
non-specially serviced loans (82.5%) have scheduled maturities
between April and October 2024.

Stable Performance; Pool Concentration: Overall pool performance
and loss expectations have remained generally stable since the last
rating action. The pool is highly concentrated with five loans
remaining. Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis that grouped the remaining loans
based on their perceived likelihood of repayment and expected
losses from the specially serviced loan. The ratings reflect this
sensitivity analysis. Repayment of classes D, E and a portion of
class F is reliant on proceeds from low leveraged, performing
balloon loans.

The Negative Rating Outlook on class G reflects concerns with the
recoverability of the outstanding $3.4 million balance of the
specially serviced 1121 Centre Street NW loan and the class'
reliance on the largest loan, which was designated a Fitch Loan of
Concern (FLOC), for repayment.

At issuance, the 1121 Centre Street NW loan carried a full recourse
guarantee from two entities on a joint and several basis. The
servicer is working to collect the outstanding balance within the
Mortgage Act; however, they indicated it is too early to conclude
whether the full or partial balance will be recovered from the
guarantors.

The largest loan, 3571-3609 Sheppard Ave East (34.6%), which is
secured by a 37,890-sf mixed use property with retail and office
space in Scarborough, ON, in the northeast quadrant of the City of
Toronto, was flagged as a FLOC due to declining occupancy and lease
rollover concerns. The property is anchored by Rexall Pharma Plus
(31% of NRA leased through May 2026). At issuance, the loan carried
a partial recourse (50%) guarantee from the sponsors, Grand Alms
Future Ltd. & Accessible Lifestyle Consultants Inc.

Property occupancy declined to 83.9% as of March 2020 from 100% in
May 2019 due to MCI Medical Clinics Inc. (9% of NRA) vacating ahead
of its February 2026 expiration and Agincourt Muslim Association
vacating 7% of the NRA to relocate to the property's non-collateral
basement space. As of the March 2020 rent roll, six tenants (25% of
NRA) had requested coronavirus-related rent relief. Near-term
rollover includes 13% of the NRA (two tenants) with leases that
expired in 2020, 22.5% rolling in 2021 (seven tenants) and 4.9% in
2022 (two tenants).

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, recourse to the borrower and additional guarantors. Of
the remaining pool, 85.9% of the loans feature full or partial
recourse to the borrowers and/or sponsors.

Coronavirus Exposure: No loans in the pool are secured by hotel
properties and Fitch does not expect any immediate impact to the
ratings from the coronavirus pandemic. Two loans (20.8% of pool)
are secured by retail properties, including one loan (8565 McCowan
Road; 14.1%) secured by an unanchored retail center in Markham, ON
and one loan (5498 Boulevard Henri-Bourassa Est; 6.6%) secured by a
single-tenant bank on a long-term lease in Montreal, QC, which
remains open and has been deemed essential during the pandemic.

The other two non-specially serviced loans are secured by mixed use
properties. The 3571-3609 Sheppard Ave East loan (34.6%) is secured
by a retail/office property in Scarborough, ON, and the 175 rue de
Rotterdam loan (27.1%) is backed by a warehouse/office building in
Saint Augustin de Desmaures, QC that is fully leased to single
tenant Strongco Limited Partnership through August 2029.

RATING SENSITIVITIES

The Negative Outlook on class G reflects the potential for
downgrade due to the class' reliance on the FLOC for repayment. The
Stable Rating Outlooks reflect the increasing credit enhancement
and expected continued amortization.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades to classes D and 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 classes F and G and/or a revision of the Negative
    Outlook on class G to Stable may occur should credit
    enhancement and/or defeasance increase significantly,
    performance of the FLOC improve and/or the specially serviced
    loan is resolved with a lower loss than expected. Future
    upgrades may be limited due to the small remaining class size
    of the junior certificates and the pool concentration.

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. However, any potential losses could
    be mitigated by loan recourse provisions. Downgrades of
    classes D and E are not likely due to the position in the
    capital structure, high credit enhancement and reliance on low
    leverage, performing balloon loans, but may occur should
    overall pool losses increase significantly and/or the FLOC has
    an outsized loss, which would erode credit enhancement.

-- Downgrades to classes F and G would occur should loss
    expectations increase due to additional loan defaults or
    transfers to special servicing and/or from continued
    performance decline of the FLOC.

-- 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 class G which has a Negative Outlook may be
    downgraded one or more categories.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


MCF CLO V: S&P Affirms BB- (sf) Rating on $22.25 MM Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, B-RR,
C-RR, and D-RR replacement notes and affirmed the rating on the
class E notes from MCF CLO V LLC, a CLO originally issued in March
2017 that is managed by Madison Capital Funding LLC. The
replacement notes were issued via a supplemental indenture. At the
same time, S&P withdrew its ratings on the original class A-R, B-R,
C-R, and D-R notes.

S&P said, "The ratings reflect our view of the credit support
available to the refinanced notes after examining the new and lower
spreads, which reduce the transaction's overall cost of funding.

"On the March 31, 2021, refinancing date, the proceeds from the
issuance of the replacement notes redeemed the original notes. At
that time, we withdrew the ratings on the original notes and
assigned ratings to the replacement notes."

The replacement notes were issued via a supplemental indenture,
which, outlined the terms of the replacement notes. In addition,
according to the supplemental indenture:

-- The replacement class A-RR, B-RR, C-RR, and D-RR notes were
issued at a lower spread over the three-month LIBOR than the
original notes.

-- The stated maturity and the reinvestment period were each
extended by four years.

-- The class E notes were not included in the refinancing;
however, the noteholders consented to the extension of the stated
maturity in line with the replacement notes.

-- Of the identified underlying collateral obligations, 96.55%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 6.79% 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.

"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

  MCF CLO V LLC

  Replacement class A-RR, $172.50 million: AAA (sf)
  Replacement class B-RR, $29.00 million: AA (sf)
  Replacement class C-RR (deferrable), $24.00 million: A (sf)
  Replacement class D-RR (deferrable), $15.00 million: BBB- (sf)

  Ratings Withdrawn

  MCF CLO V LLC
  Class A-R to not rated
  Class B-R to not rated
  Class C-R to not rated
  Class D-R to not rated

  Ratings Affirmed

  MCF CLO V LLC

  Class E (deferrable), $22.25 million: BB- (sf)
  
  Other Outstanding Notes

  MCF CLO V LLC

  Subordinated notes, $47.56 million: Not rated


MCF CLO V: S&P Stays BB- (sf) Rating on $22.25MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-RR, B-RR, C-RR, and D-RR replacement notes from MCF CLO V LLC, a
CLO originally issued in March 2017 that is managed by Madison
Capital Funding 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 26,
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. 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 have the following provisions:

-- The replacement class A-RR, B-RR, C-RR, and D-RR notes are
expected to be issued at a lower spread over the three-month LIBOR
than the original notes.

-- The stated maturity and the reinvestment period will each be
extended by four years.

-- The class E notes are not being included in the refinancing;
however, it is anticipated that the noteholders will consent to the
amendment of the stated maturity to extend in line with the
replacement notes.

-- Of the identified underlying collateral obligations, 96.55%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 6.79% 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.

"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

  MCF CLO V LLC

  Replacement class A-RR, $172.50 million: AAA (sf)
  Replacement class B-RR, $29.00 million: AA (sf)
  Replacement class C-RR (deferrable), $24.00 million: A (sf)
  Replacement class D-RR (deferrable), $15.00 million: BBB- (sf)

  Other Outstanding Notes

  MCF CLO V LLC

  Class E (deferrable), $22.25 million: BB- (sf)
  Subordinated notes, $47.56 million: Not rated


MF1 2021-FL5: DBRS Gives Prov. B (low) Rating on Class G Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by MF1 2021-FL5, Ltd.:

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

The initial collateral consists of 35 floating-rate mortgage loans
secured by 49 transitional multifamily and five senior housing
properties totaling $1.177 billion (56.7% of the total fully funded
balance), excluding $298.0 million of remaining future funding
commitments and $599.1 million of pari passu debt. Three loans (LA
Multifamily Portfolio II, SF Multifamily Portfolio II, and LA
Multifamily Portfolio III), representing 7.2% of the trust balance,
are associated with the same sponsorship group. These loans allow
the borrower to acquire and bring properties into the trust
post-closing through future funding up to a maximum whole-loan
balance of $100.0 million for each individual loan, which is
accounted for in figures and metrics throughout the report. Two
loans in the pool, 56 West 125th Street and Vitagraph, representing
4.9% of the initial pool balance, are contributing both senior and
mezzanine loan components that will both be held in the trust. Of
the 35 loans, there is one unclosed, delayed-close loan as of March
9, 2021: Pinnacle (#9), representing 3.8% of the initial pool
balance. Additionally, one loan, LA Multifamily Portfolio III
(#35), has delayed-close mortgage assets, which are identified in
the data tape and included in the DBRS Morningstar analysis. If a
delayed-close loan or asset is not expected to close or fund prior
to the purchase termination date, then any amounts remaining in the
unused proceeds account up to $5.0 million will be deposited into
the replenishment account. Any funds in excess of $5.0 million will
be transferred to the payment account and applied as principal
proceeds in accordance with the priority of payments. Additionally,
during a 90-day period following the closing date, the Issuer can
bring an estimated $13.4 million of future funding participations
into the pool, resulting in a target deal balance of $1.190
billion.

The loans are mostly secured by currently cash flowing assets, many
of which are in a period of transition with plans to stabilize and
improve the asset value. In total, 21 loans, representing 56.6% of
the pool, have remaining future funding participations totaling
$298.0 million, which the Issuer may acquire in the future.

Given the floating-rate nature of the loans, the index DBRS
Morningstar used (one-month Libor) was the lower of (1) DBRS
Morningstar's stressed rate that corresponded with the remaining
fully extended term of the loans and (2) the strike price of the
interest rate cap with the respective contractual loan spread added
to determine a stressed interest rate of the loan term. When
measuring the cut-off date balances against the DBRS Morningstar
As-Is NCF, 32 loans, representing 91.7% of the cut-off date pool
balance, had a DBRS Morningstar As-Is DSCR of 1.00x or below, a
threshold indicative of default risk. Additionally, the DBRS
Morningstar Stabilized DSCR for 19 loans, representing 43.0% of the
initial pool balance, of 1.00x or below indicates elevated
refinance risk. The properties are often transitioning with
potential upside in cash flow; however, DBRS Morningstar does not
give full credit to the stabilization if there are no holdbacks or
if the other loan structural features are insufficient to support
such treatment. Furthermore, even if the structure is acceptable,
DBRS Morningstar generally does not assume the assets will
stabilize above market levels. The transaction will have a
sequential-pay structure.

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

The loans were all sourced by an affiliate of the Issuer, which has
strong origination practices and substantial experience in the
multifamily industry. Classes F and G and the Preferred Shares will
be purchased by a wholly-owned subsidiary of MF1 REIT II LLC.

Seven loans, representing 18.9% of the pool, are in areas
identified as DBRS Morningstar Market Ranks of 7 or 8, which are
generally characterized as highly dense urbanized areas that
benefit from increased liquidity driven by consistently strong
investor demand, even during times of economic stress. Markets
ranked 7 and 8 benefit from lower default frequencies than less
dense suburban, tertiary, and rural markets. Urban markets
represented in the deal include Los Angeles, New York, San
Francisco, and Denver. Fifteen loans, representing 44.4% of the
pool balance, have collateral in MSA Group 3, which is the
best-performing group in terms of historical CMBS default rates
among the top 25 MSAs. MSA Group 3 has a historical default rate of
17.2%, which is nearly 10.8 percentage points lower than the
overall CMBS historical default rate of 28.0%.

The pool exhibits a Herfindahl score of 26.9, which is favorable
for a CRE CLO and notably higher than previous transactions rated
by DBRS Morningstar including MF1 2020-FL4, with a Herfindahl score
of 13.9, and MF1 2021-FL3, with a Herfindahl score of 23.1.

The loan collateral was generally in very good physical condition
as evidenced by five loans, representing 19.2% of the initial pool
balance, secured by properties that DBRS Morningstar deemed to be
Above Average in quality. An additional three loans, representing
10.7% of the initial pool balance, are secured by properties with
Average + quality. Furthermore, only two loans are backed by a
property that DBRS Morningstar considered to be Average –
quality, representing 8.0% of the initial pool balance.

Twenty-three loans, comprising 60.3% of the initial trust balance,
represent acquisition financing wherein sponsors contributed
significant cash equity as a source of funding in conjunction with
the mortgage loan, resulting in a moderately high sponsor cost
basis in the underlying collateral.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the future funding amounts to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes LGD based on the As-Is LTV, assuming the loan is fully
funded.

The ongoing coronavirus pandemic continues to pose challenges and
risks to the CRE sector and, while DBRS Morningstar expects
multifamily to fare better than most other property types, the
long-term effects on the general economy and consumer sentiment are
still unclear. Furthermore, the pandemic has nearly halted leasing
activity for assisted-living properties in the short term, which
will continue to hamper this sector. Thirty-four loans,
representing 96.8% of the initial pool balance (including the
delayed-close loans), were originated after the beginning of the
pandemic in March 2020. Loans originated after the pandemic include
timely property performance reports and recently completed
third-party reports, including appraisals. Seventeen loans,
representing 46.5% of the initial pool balance, are secured by
newly built or recently renovated properties with relatively simple
business plans, which primarily involve the completion of an
initial lease-up phase. The sponsors behind these assets are using
the loans as traditional bridge financing, enabling them to secure
more permanent financing once the properties reach stabilized
operations. Given the uncertainty and elevated execution risk
stemming from the coronavirus pandemic, 22 loans, representing
67.8% of the initial pool balance, are structured with upfront
interest reserves, some of which are expected to cover one year or
more of interest shortfalls. The three assisted-living properties,
representing 8.5% of the initial pool balance, were modeled with
increased POD and LGD.

The loan agreements for LA Multifamily Portfolio II (#5), SF
Multifamily Portfolio II (#20), and LA Multifamily Portfolio III
(#35) allow the related borrower to acquire additional properties
as collateral for the mortgage loan subject to maximum whole loan
proceeds of $100.0 million each. This exposes the pool to an
increase in borrower concentration, and there is no
nonconsolidation opinion required for the loans. However, the
sponsor is a well-capitalized real estate investment company with
significant experience managing multifamily properties and
operating in West Coast markets, particularly San Francisco.
Furthermore, the sponsor has successfully executed a similar
business plan on other portfolios. Additionally, the portfolio
properties are in very desirable markets in San Francisco and Los
Angeles with many in areas with a DBRS Morningstar Market Rank of 7
or 8, which is indicative of a liquid and urban market. DBRS
Morningstar modeled the maximum whole-loan amounts of $100.0
million by adding additional properties to the portfolios based on
the eligibility criteria provided by the Issuer. For modeling
purposes, DBRS Morningstar increased the maximum Stabilized LTVs by
250 basis points to allow some conservatism on the future
appraisals, which DBRS Morningstar will not be able to review.

Four loans, representing 12.8% of the initial cut-off date pool
balance, have a sponsor with negative credit history and/or limited
financial wherewithal, including Dunbar (#2), Glendale Portfolio
(#11), 56 West 125th Street (#19), and Memory Center of Atlanta
(#30). DBRS Morningstar deemed these loans to have Weak sponsor
strength, effectively increasing the POD for each loan.

All loans have floating interest rates and are IO during the
initial loan term, which ranges from 24 months to 36 months,
creating interest rate risk. The borrowers of all 35 loans have
purchased Libor rate caps, ranging between 0.75% and 3.00%, to
protect against rising interest rates over the term of the loan.
All loans are short term and, even with extension options, have a
fully extended loan term of five years maximum. Additionally, 34 of
the loans, representing 98.9% of the initial pool balance, have
extension options and, in order to qualify for these options, the
loans must meet minimum DSCR and LTV requirements. Nineteen loans,
representing 51.6% of the initial pool balance, amortize on 30-year
schedules during all or a portion of their extension options.

The transaction will likely be subject to a benchmark rate
replacement, which will depend on the availability of various
alternative benchmarks. The current selected benchmark is the
Secured Overnight Financing Rate (SOFR). Term SOFR, which is
expected to be a similar forward-looking term rate compared with
Libor, is the first alternative benchmark replacement rate but is
currently being developed. There is no assurance Term SOFR
development will be completed or that it will be widely endorsed
and adopted. This could lead to volatility in the interest rate on
the mortgage assets and floating-rate notes. The transaction could
be exposed to a timing mismatch between the notes and the
underlying mortgage assets as a result of the mortgage benchmark
rates adjusting on different dates than the benchmark on the notes,
or a mismatch between the benchmark and/or the benchmark
replacement adjustment on the notes and the benchmark and/or the
benchmark replacement adjustment (if any) applicable to the
mortgage loans. In order to compensate for differences between the
successor benchmark rate and then-current benchmark rate, a
benchmark replacement adjustment has been contemplated in the
indenture as a way to compensate for the rate change. Currently,
Wells Fargo, National Association in its capacity as Designated
Transaction Representative will generally be responsible for
handling any benchmark rate change, and will be held to a gross
negligence standard only with regard to any liability for its
actions.

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


MORGAN STANLEY 2013-C7: Moody's Lowers Class G Certs to C
---------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on six classes in Morgan Stanley Bank of
America Merrill Lynch Trust 2013-C7, Commercial Mortgage
Pass-Through Certificates as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Jun 23, 2020 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Jun 23, 2020 Affirmed Aaa
(sf)

Cl. A-AB, Affirmed Aaa (sf); previously on Jun 23, 2020 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Jun 23, 2020 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa3 (sf); previously on Jun 23, 2020 Affirmed Aa3
(sf)

Cl. C, Downgraded to Baa1 (sf); previously on Jun 23, 2020 Affirmed
A3 (sf)

Cl. D, Downgraded to B1 (sf); previously on Jun 23, 2020 Downgraded
to Ba2 (sf)

Cl. E, Downgraded to B3 (sf); previously on Jun 23, 2020 Downgraded
to B1 (sf)

Cl. F, Downgraded to Caa2 (sf); previously on Jun 23, 2020
Downgraded to B3 (sf)

Cl. G, Downgraded to C (sf); previously on Jun 23, 2020 Downgraded
to Caa3 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Jun 23, 2020 Affirmed
Aaa (sf)

Cl. X-B*, Affirmed A2 (sf); previously on Jun 23, 2020 Affirmed A2
(sf)

Cl. PST**, Downgraded to A1 (sf); previously on Jun 23, 2020
Affirmed Aa3 (sf)

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on five P&I classes were affirmed due to the credit
support and because the transaction's key metrics, including
Moody's loan-to-value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the transaction's Herfindahl Index
(Herf), are within acceptable ranges.

The ratings on five P&I classes were downgraded due to a decline in
pool performance and higher anticipated losses as a result of the
exposure to specially serviced loans primarily secured by retail
properties. The largest contributor to the anticipated losses is
the Solomon Pond Mall loan (9.1% of the pool) which is secured by a
regional mall that has experienced declines in performance and net
operating income (NOI) prior to the coronavirus pandemic and was 60
days delinquent as of the March 2021 remittance date. The other two
specially serviced loans are secured by Valley West Mall (4.2% of
the pool) which has also exhibited declining performance prior to
2020 and 494 Broadway (1.9%) which is more than 90 days delinquent
and secured by a mixed-used (office/retail) property located in
Manhattan.

The ratings on the IO classes were affirmed based on the credit
quality of the referenced classes.

The rating on Class PST was downgraded due to the decline in credit
quality of its referenced exchangeable classes.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around our
forecasts. Moody's analysis has considered the effect on the
performance of commercial real estate from a gradual and unbalanced
recovery in US economic activity. Stress on commercial real estate
properties will be most directly stemming from declines in hotel
occupancies (particularly related to conference or other group
attendance) and declines in foot traffic and sales for
non-essential items at retail properties.

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

Moody's rating action reflects a base expected loss of 8.3% of the
current pooled balance, compared to 7.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.2% of the
original pooled balance, compared to 5.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in September 2020.

DEAL PERFORMANCE

As of the May 15, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to $1.01 billion
from $1.39 billion at securitization. The certificates are
collateralized by 56 mortgage loans ranging in size from less than
1% to 16.4% of the pool, with the top ten loans (excluding
defeasance) constituting 58.8% of the pool. One loan, constituting
2.0% of the pool, has an investment-grade structured credit
assessment. Ten loans, constituting 12.4% of the pool, have
defeased and are secured by US government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 14, compared to 15 at Moody's last review.

As of the March 2021 remittance report, loans representing 85% were
current or within their grace period on their debt service
payments, 4% were between 30 -- 59 days delinquent, and 9% were
between 60 -- 89 days delinquent.

Twelve loans, constituting 12.3% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

One loan has been liquidated from the pool, resulting in a realized
loss of $2.7 million (for a loss severity of 17%). Three loans,
constituting 15.2% of the pool, are currently in special servicing.
Moody's estimates an aggregate $57.3 million loss (37% expected
loss on average) for the specially serviced loans.

The largest specially serviced loan is the Solomon Pond Mall Loan
($91.8 million -- 9.1% of the pool), which is secured by a 399,000
SF component of an 885,000 SF regional mall located in Marlborough,
Massachusetts (approximately 27 miles west of Boston). The property
is operated by Simon Property Group, which is the primary sponsor
of the loan (a 54% ownership stake). The property's non-collateral
anchors include traditional department stores of Macy's, Sears and
JC Penney, none of which are part of the loan collateral. In
February 2021, Sears (163,000 SF) announced plans to close this
location in May 2021. The largest collateral tenant is Regal Cinema
(17% of the NRA; lease expiration in April 2022). As of February
2021, the property was 85% leased, with an in-line occupancy
(tenants less than 10,000 SF) of 62%. The property's financial
performance generally improved from securitization through 2017,
however, the property's performance has since declined annually
primarily due to lower rental revenue. The property's 2019 NOI was
down 2.5% from 2018 NOI, 16% from 2017 NOI and was 13% lower than
at securitization. The property's performance further declined in
2020 and had a year-end NOI DSCR of 1.75X in 2020 as compared to
1.83X in 2019. The loan transferred to special servicing in May
2020 for imminent default and the borrower and lender are in
discussions in regards to a potential loan modification. The loan
is paid through December 2020 and has amortized 16% since
securitization. The loan has a scheduled maturity date November
2022 and despite the high in-place DSCR and amortization, the loan
may face heightened refinance risk as a result of the declining
performance and the overall retail environment.

The second largest specially serviced loan is the Valley West Mall
($41.9 million -- 4.2% of the pool), which is secured by an 856,000
square foot (SF) enclosed regional mall located in West Des Moines,
Iowa. At securitization the mall was anchored by Von Maur, JC
Penney, and Younkers (all collateral tenants). However, Yonkers
(205,250 SF; 24% of the NRA) vacated in August 2018 and the space
remains vacant. Additionally, a new Von Maur is expected to open at
Jordan Creek Town Center, the dominant mall in the West Des Moines
submarket, in 2022. Performance at the Valley West Mall has
continually declined since securitization primarily due to
declining rental revenue. The year-end 2019 NOI was 59% lower than
in 2013 and the property performance further declined in 2020 with
an additional 34% drop in NOI year over year. As of December 2020,
the property was 61% occupied, with an in-line occupancy of 60%.
The loan transferred to special servicing in August 2019 due to
imminent default. In February 2021, the city of West Des Moines and
the sponsor announced a potential redevelopment plan that would
cost $278 million, $262 million of which would be contributed by
the sponsor. Servicer commentary indicates the Borrower is
continuing to make progress on the proposed redevelopment plan. The
loan has amortized 16% since securitization and was 30 days
delinquent as of the March 2021 remittance date.

The third largest specially serviced loan is the 494 Broadway Loan
($19.4 million -- 1.9% of the pool), which is secured by 13,000 SF
mixed-use, property located in the SoHo neighborhood of New York
City, New York. As of June 2020, the property was 77% leased to
three office and retail tenants. The largest tenant, Pandora
Ventures, renewed their lease in February 2018 at a significantly
lower rate than at securitization. As a result, the actual DSCR has
fallen to below 1.00X and the loan was transferred to special
servicing in July 2019. The borrower requested a loan modification
which was ultimately denied as the borrower refused to pay debt
service payments. The special servicer has filed for foreclosure
and appointed a receiver in February 2020 who has taken control of
the property. As a result of the pandemic, none of the tenants at
the property were paying rent for a period of time and the receiver
is working to collect past due rent from one of the tenants. The
receiver also negotiated a short-term lease extension with
Pandora.

The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology.

Moody's received full year 2019 operating results for 100% of the
pool, and full or partial year 2020 operating results for 92% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 102%, compared to 102% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 14% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.1%.

Moody's actual and stressed conduit DSCRs are 1.70X and 1.02X,
respectively, compared to 1.68X and 1.04X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The loan with a structured credit assessment is the Sunvalley
Shopping Center Fee Loan ($19.9 million -- 2.0% of the pool), which
is secured by the leased fee interest associated with six parcels
of land totaling 68.4 acres located in Concord, California. The
parcels generate revenue through a ground lease to a 1.4 million SF
regional mall. Moody's structured credit assessment is aaa
(sca.pd), the same as at Moody's last review.

The top three conduit loans represent 30.8% of the pool balance.
The largest loan is the Chrysler East Building Loan ($165 million
-- 16.4% of the pool), which is secured by a 32-story, 745,000 SF
multi-tenant office building within the Grand Central office market
of New York, New York. The loan sponsor is Tishman Speyer
Properties. The property is part of the Chrysler Center, a two
building interconnected complex that also includes the Chrysler
Building skyscraper. The collateral was 95% leased as of June 2020,
compared to 98% leased in June 2019 and 84% leased in December
2018. The largest tenants at the property include Mintz, Levin,
Cohn & Ferris, Viner Finance Inc, and APG Asset Management, all of
which have lease expirations in December 2022 or later. The loan is
interest only for its entire term and Moody's LTV and stressed DSCR
are 123% and 0.75X, respectively, the same as at Moody's last
review.

The second largest loan is the Millennium Boston Retail Loan ($93.2
million -- 9.2% of the pool), which is secured by nine commercial
condominium units contained within three buildings, totaling
282,000 SF of mixed use space in the Midtown/Theater District area
of downtown Boston, Massachusetts. The properties were 95% leased
as of June 2020. The loan benefits from amortization, having
amortized nearly 12% since securitization. The property's largest
tenants include a two-level, 19-screen AMC Loews Theater and a
second story Sports Club/ LA - Boston health club. The AMC Loews
Theater recently executed two five-year extensions, extending their
lease to July 2031. The loan is current on its debt service
payments through June 2020 and cancelled its initial request for
COVID-19 relief. The loan has amortized nearly 14% since
securitization and Moody's LTV and stressed DSCR are 93% and 0.96X,
respectively, compared to 91% and 0.98X at last review.

The third largest loan is the Storage Post Portfolio ($52.2 million
-- 5.2% of the pool), which is secured by six self storage
properties consisting of 6,967 units containing over 512,000 square
feet. The properties are located in infill locations with
significant barriers to entry within New York and Northern New
Jersey. As of September 2020, the portfolio was 95% leased.
Property performance has consistently improved since
securitization, with 2019 NOI up over 45% from underwritten levels.
The loan is interest only for the full term. Moody's LTV and
stressed DSCR are 60% and 1.62X, respectively, compared to 62% and
1.56X at the last review.


MORGAN STANLEY 2013-C9: DBRS Confirms B(high) Rating on H Certs
---------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2013-C9
issued by Morgan Stanley Bank of America Merrill Lynch Trust
2013-C9 as follows:

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

The trends on all classes are Stable, with the exception of the
trend on Class H, which was changed to Negative from Stable.

The Negative trend is largely reflective of the increased risk
factors for the pool in the extended delinquency of the largest
loan in the pool, Milford Plaza Fee (Prospectus ID#1, 17.9% of the
pool), which is in special servicing, and the occupancy declines
for the collateral property backing the largest loan on the
servicer's watchlist in Apthorp Retail Condominium (Prospectus
ID#5, 6.1% of the pool).

In total, there are two specially serviced loans, representing
19.5% of the pool, and 15 loans on the servicer's watchlist,
representing 24.7% of the pool, as of the February 2021 remittance.
The watchlisted loans are being monitored for various reasons,
including a low debt service coverage ratio (DSCR) or occupancy
figure, tenant rollover risk, and/or pandemic-related forbearance
requests. As of the February 2021 remittance, the trust balance has
been reduced by 28.1% to $918.5 million from the initial $1.3
billion, with 50 of the original 60 loans remaining in the pool.
The transaction is concentrated by property type as 25 loans,
representing 38.0% of the pool, are secured by retail properties
and another eight loans, representing 28.7% of the pool, are
secured by office properties. Additionally, there are eight loans
that are fully defeased, which represents 29.4% of the pool.

The Milford Plaza Fee loan is a pari passu loan secured by the
ground-leased fee interest under a hotel condominium of the Milford
Plaza Hotel, located in the Times Square-Theater District
neighborhood in New York City. The loan transferred to special
servicing in June 2020 for imminent monetary default and, as of the
February 2021 remittance, was most recently paid in April 2020. The
special servicer is dual tracking foreclosure while continuing
workout discussions with the borrower. As of an August 2020
appraisal, the collateral's as-is value was estimated at $378.0
million, a slight reduction compared with the issuance appraised
value of $386.0 million and well outside the whole loan balance of
$275.0 million. As such, a significant loss at resolution is not
anticipated despite the extended delinquency. To account for the
increased risks in the outstanding defaults and the unknowns with
regard to tourist traffic amid the Coronavirus Disease (COVID-19)
pandemic for New York City, a probability of default (POD) penalty
was applied to increase the expected loss for the loan in the
analysis for this review.

The Apthorp Retail Condominium loan is secured by a retail
component of The Apthorp, a 12-story, 161-unit luxury residential
condominium located in Manhattan. The loan was placed on the
servicer's watchlist in November 2019 due to a low DSCR. As of the
trailing 12 months ended September 2020, the DSCR was reported at
0.97 times (x), down from the YE2019 DSCR of 1.04x. The performance
declines are a direct result of two top five tenants vacating their
spaces ahead of lease expirations. As of the February 2021
remittance, the loan remains current and no relief request has been
submitted by the sponsor to date. Given the property has operated
below the 1.10x threshold since 2018 due to occupancy declines,
with the prospects for backfilling the vacant space further
diminished amid the pandemic, the loan was analyzed with a POD
penalty to increase the expected loss for this review.

There is a top five loan in the transaction backed by a regional
mall in Prospectus ID#4, Dartmouth Mall (6.2% of the pool), which
is on the DBRS Morningstar Hotlist. The collateral property is a
regional mall located in Dartmouth, Massachusetts, owned and
operated by Pennsylvania Real Estate Trust (PREIT), which filed for
bankruptcy in November 2020. PREIT emerged from bankruptcy
protection shortly thereafter, in December 2020, and the subject
loan, which was briefly in special servicing between June and
September 2020, remains current and is not on the servicer's
watchlist as of the February 2021 reporting. While with the special
servicer, the loan was modified to allow for a short-term relief
period for the borrower, requested as a result of the ongoing
coronavirus pandemic.

Although the mall lost a collateral anchor in Sears in 2019, a
portion of the space was taken by Burlington Coat Factory
(Burlington), which opened in the spring of 2020. More recently,
PREIT confirmed in January 2021 that an Aldi grocery store will
take another portion of the space, sharing a storefront with
Burlington at the property's eastern end. Remaining anchors include
JCPenney, AMC Theaters, and a noncollateral Macy's. The DSCR has
been quite stable through the life of the loan, with the servicer
most recently reporting a DSCR as of the Q3 2020 of 1.73x with a
collateral occupancy rate of 97.0%. Although enclosed malls in
secondary markets are among those that appear the most vulnerable
to the effects of the pandemic, the ability of the sponsor to draw
replacements for a vacant Sears does speak to the general
desirability of the location and the nontraditional replacements in
Burlington and Aldi suggest there may be repurposing opportunities
that better fit the tastes and habits of today's consumers.

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


MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class X-C Certs
------------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-C15 issued by
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 as
follows:

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

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

The ratings confirmation reflects the overall stable performance of
the transaction over the previous 12 months. At issuance, the trust
comprised 48 fixed-rate loans secured by 76 commercial and
multifamily properties with a trust balance of $1.08 billion. Per
the February 2021 remittance report, there are 38 loans secured by
65 properties remaining in the trust with a total trust balance of
$851.0 million, representing a 21.2% collateral reduction. Over the
previous 12 months, there were two loans, totaling $36.2 million,
that were repaid in full and one additional loan that fully
defeased. In total, five loans, or 8.3% of the trust balance, are
fully defeased. The pool is concentrated by loan size as the
largest loan, Arundel Mills & Marketplace (Prospectus ID#1),
comprises 17.5% of the trust balance and the largest 10 loans
comprise 72.8% of the trust balance. The transaction is
concentrated by property type as loans secured by retail properties
and hospitality properties total 44.1% and 25.9% of the trust
balance, respectively. The pool benefits from a higher
concentration of urban market properties as 10 loans, comprising
37.0% of the trust balance, have a DBRS Morningstar Market Rank of
five or greater.

Per the February 2021 remittance report, there is one loan, Darby
Row & the Belfry Apartments (Prospectus ID#42 – 0.4% of the trust
balance), in special servicing. An additional 10 loans,
representing 30.9% of the trust balance, are on the servicer's
watchlist with most loans exhibiting low debt service coverage
ratios (DSCR) during the Coronavirus Disease (COVID-19) pandemic.
Five of the watchlisted loans are secured by hospitality properties
that had low DSCRs, which is to be expected given the travel
restrictions during the pandemic.

The Arundel Mills & Marketplace loan is secured by a 1.7 million sf
regional mall and the Arundel Mills Marketplace in Hanover,
Maryland, approximately 12 miles southwest of Baltimore. The
subject was developed in 2000 and is anchored by Live! Casino &
Hotel Maryland (27.9% of total net rentable area (NRA)), which
opened in 2012 and is subject to a ground lease extending through
June 2111. A 17-story 310-key hotel and conference center was
constructed and opened in June 2018. Other notable tenants include
Bass Pro Shops Outdoor, Cinemark Theatres, H&M, Burlington Coat
Factory, Dave & Buster's, and T.J. Maxx. A September 2020 rent roll
noted the entire property was 96.8% occupied with an average rent
of $18.15 psf, compared to the occupancy rate and average base rent
of 98.6% and $24.61 psf, respectively, at issuance. Average base
rent decreased following the addition of the hotel and conference
center as the new improvements do not pay ground rent. Notable
upcoming lease expirations in 2021 include Skechers USA, Disney
Store Outlet, Hanesbrands, Bed Bath & Beyond, Off Broadway Shoes,
and Staples. The Bed Bath & Beyond closed its store at the property
in Q3 2020. It should also be noted Modell's Sporting Goods closed
all of its locations after filing for Chapter 11 bankruptcy in
March 2020. The loan exhibited a relatively strong net cash flow in
2020 despite temporarily closing due to the coronavirus pandemic
between March 2020 and June 2020. The loan reported a trailing
nine-month ending September 30, 2020, DSCR of 2.84 times (x),
compared to the year-end (YE) 2019 DSCR of 3.02x, YE2018 DSCR of
2.95x, and YE2017 DSCR of 2.87x. The loan benefits from a granular
tenant base with nationally recognized tenants, the experienced
sponsorship provided by Simon Property Group, and the property's
destination status given the casino and adjacent hotel.

At issuance, DBRS Morningstar shadow-rated the Arundel Mills &
Marketplace and JW Marriott and Fairfied Inn & Suites loans (23.2%
of the trust balance) investment grade. With this review, DBRS
Morningstar confirms that the performance of the loans remains
consistent with investment-grade loan characteristics.

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


MORGAN STANLEY 2014-C17: DBRS Cuts Rating of Class F Certs to CCC
-----------------------------------------------------------------
DBRS Limited downgraded two classes of the Commercial Mortgage
Pass-Through Certificates, Series 2014-C17 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2014-C17 as follows:

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

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

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

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

DBRS Morningstar also discontinued its ratings on Class X-C as the
lowest-rated reference obligation, Class F, was downgraded to CCC
(sf).

All trends are Stable with the exception of Classes D and E, which
have Negative trends, and Class F, which has a rating that does not
carry a trend. DBRS Morningstar also designated Class F as having
Interest in Arrears.

According to the February 2021 remittance, 58 of the original 67
loans remain in the trust, representing a collateral reduction of
27.9% since issuance. The pool is fairly concentrated by property
type, with 44.4% of the pool secured by retail properties and 26.7%
of the pool secured by hotel properties. Six loans, representing
13.0% of the current pool balance, are in special servicing, and 9
loans, representing 24.9% of the current pool balance, are on the
servicer's watchlist. The watchlisted loans are being monitored for
tenant rollover, low debt service coverage ratios (DSCRs), and/or
occupancy issues, some of which are caused by disruptions related
to the Coronavirus Disease (COVID-19) pandemic.

The rating downgrades and negative trends reflect the increased
risk of loss to the trust via some of the specially serviced loans.
This increased risk is most prominently observed in the
third-largest loan in special servicing, Holiday Inn Houston
Intercontinental (Prospectus ID#17, 2.5% of the pool), which has
been in special servicing since March 2017. The special servicer
took title of the property in 2018 and, as of the February 2021
remittance, the outstanding servicer advances of $23.3 million
exceed the outstanding principal balance of $18.5 million. The most
recent appraisal, dated October 2020, valued the property at $20.1
million, down from $30.9 million as of November 2019, but above the
servicer's initial appraisal dated June 2017, which valued the
property at $16.1 million. Given the high advances and the low
as-is value, DBRS Morningstar believes the loan could be resolved
with a loss well in excess of 100.0%. With this review, DBRS
Morningstar analyzed this loan with a liquidation scenario,
assuming a loss severity in excess of 150.0%. The projected loss
for this loan is a primary driver for the rating downgrades and
trend changes as previously detailed.

The largest loan in special servicing, San Isidro Plaza I & II
(Prospectus ID#5, 5.5% of the pool), is the second-largest loan in
the pool and was transferred to special servicing in July 2020 for
imminent monetary default as a result of the coronavirus pandemic.
The loan is secured by a 284,000-square-foot anchored retail
property in Santa Fe, New Mexico. As of the February 2021
remittance, the loan status is late but less than 30 days
delinquent and a workout strategy has yet to be determined.
According to the September 2020 appraisal, the property was valued
at $51.3 million, representing a relatively moderate 15.2% decrease
from the issuance value of $60.5 million, and suggests value
outside of the current loan balance of $41.2 million. The property
is generally well tenanted with major tenants including Lowe's Home
Improvement and Sprouts Farmers Market, but there are concerns
surrounding the second-largest tenant, Regal Cinemas (17.3% of net
rentable area, lease expires in April 2022), which has been
severely affected by the pandemic. Given the exposure to a movie
theater tenant, a probability of default (PoD) penalty was applied
to increase the expected loss for this loan in the analysis for
this review.

The largest loan in the pool, Marriott Philadelphia Downtown
(Prospectus ID#1, 11.8% of the pool), was placed on the servicer's
watchlist due to a low DSCR, with the Q3 2020 DSCR reported at
-0.07 times (x) compared with the YE2019 DSCR of 2.37x. The pari
passu loan is secured by the fee-simple interest in a 1,408-key
full-service Marriott Philadelphia hotel located in the Center City
District of Philadelphia. The property is the only hotel with
direct access to the Pennsylvania Convention Center and convention
business is a significant demand driver for the subject, which has
been severely affected during the pandemic. According to the
trailing 12-months ended January 31, 2021, Smith Travel Research
report, the property reported an occupancy rate of 48.7%, an
average daily rate of $158.58, and revenue per available room
(RevPAR) of $77.20, compared with the comparable set's RevPAR of
$37.09. Despite the decline in performance, the loan has been kept
current and, to date, the borrower has not requested relief from
the servicer. Given the sharp declines in revenue and likely
sustained drop in demand for the foreseeable future, a PoD penalty
was applied to increase the expected loss for this loan as part of
this review.

At issuance, DBRS Morningstar shadow-rated the Courtyard King
Kamehameha's Kona Beach Hotel Leased Fee loan (Prospectus ID#6,
4.9% of the pool) investment grade. With this review, DBRS
Morningstar confirms that the performance of the loan remains
consistent with investment-grade loan characteristics.

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


MORGAN STANLEY 2014-C19: DBRS Confirms B Rating on Class X-F Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings for all classes of Commercial
Pass-Through Certificates, Series 2014-C19 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2014-C19 as follows:

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

The trends on Classes X-D, D, X-E, E, X-F, and F are Negative while
the trends on all other classes are Stable. DBRS Morningstar also
removed Classes X-E, E, X-F, and F from Under Review with Negative
Implications where they had been placed on August 6, 2020.

The Negative trends are reflective of the increased risk of loss to
the trust from the underlying loans in the pool that make up the
eight loans (6.1% of the pool) in special servicing and the 19
loans (33.7% of the pool) on the servicer's watchlist. As of the
February 2021 remittance, the initial trust balance has been
reduced by 26.6% to $1.08 billion from $1.47 billion, with 66 of
the original 77 loans remaining in the pool. The transaction is
concentrated by property type as 10 loans, representing 30.0% of
the pool, are secured by office assets and 25 loans, representing
20.8% of the pool, are secured by retail properties. Additionally,
three loans, representing 1.8% of the pool, are fully defeased.

Three of the nine specially serviced loans were liquidated from the
pool with this review, suggesting the losses are confined to the
unrated Class G certificates. However, the reduced credit support
for the lowest rated bonds, as well as the increased expected loss
for some of the other loans in the pool for which probability of
default (PD) penalties were applied, was a primary driver of the
Negative trends.

The second-largest largest loan in special servicing, 333 Northbelt
Houston (Prospectus ID#24; 1.1% of the pool), is secured by a
220,717 square foot Class B office building located in Houston. The
property's occupancy rate began to fall beginning in 2016 and the
most recent information provided by the servicer indicated an
occupancy rate of just over 50.0% as of September 2020. The loan
has been in special servicing since 2018 and the workout timeline
has been extended, in part because of the borrower's bankruptcy
filing in January 2019. The special servicer's commentary suggests
recent activity in the courts will allow the servicer to initiate
remediation efforts, but no concrete updates have been provided to
date. The most recent appraisal obtained by the special servicer,
dated October 2020, provided a very low as-is value of $3.1
million, down sharply from the issuance value of $18.0 million.
Based on the October 2020 value, a liquidation scenario implying a
loss severity approaching 100% was assumed for this review. The
second-largest specially serviced loan that was liquidated for this
review, Towne Place Suites Vernal (Prospectus ID#43; 0.6% of the
pool) is secured by an 85-key extended-stay hotel located in
Vernal, Utah. The loan was transferred to special servicing in June
2019 for imminent monetary default and the servicer is expected to
proceed with foreclosure. The November 2020 appraisal obtained by
the special servicer provided an as-is value of $3.5 million, down
68.0% from the issuance value. Based on this value, the loan was
liquidated from the pool with an implied loss severity in excess of
65.0%.

The third and final loan liquidated in the analysis for this
review, La Quinta Inn & Suites Broussard (Prospectus ID#57; 0.4% of
the pool), is secured by a 61-key limited-service hotel in
Broussard, Louisiana. The loan was transferred to special servicing
in April 2020 due to payment default in light of disruptions
related to the Coronavirus Disease (COVID-19) pandemic. The
property became real estate owned through a deed-in-lieu in
November 2020, with the servicer currently evaluating a strategy
for moving the loan's resolution forward. An October 2020 appraisal
provided an as-is value of $4.0 million, down 49.0% from issuance.
Based on this appraisal, the loan was liquidated from the pool with
an implied loss severity in excess of 35.5%.

The remaining loans in special servicing were analyzed with PD
penalties to increase the expected loss in the analysis, as
appropriate, based on the increased risks and prospects for
resolution for each.

Of the 19 loan on the servicer's watchlist, 16 are being monitored
for performance issues, including low and declining debt service
coverage ratios (DSCRs) and/or occupancy-related issues. The
largest of the loans on the servicer's watchlist is Linc LIC
(Prospectus ID#5; 6.1% of the pool), which was flagged for a
declining occupancy rate. The loan is secured by a 709-unit luxury
multifamily building located in Long Island City, New York. The
loan was added to the servicer's watchlist in January 2021 after
the property's occupancy rate declined to 67.0% in September 2020,
down from its YE2019 rate of 91.0%. The second-largest loan on the
watchlist, One & Only Ocean Club (Prospectus ID#8; 4.8% of the
pool), is being monitored for a low DSCR, which was most recently
calculated for the trailing twelve months ended September 2020 when
it was -0.04 times (x), down from the YE2019 DSCR of 1.82x. The
servicer's commentary suggests a relief request is expected or
possibly in process, but no loan modification has been papered to
date. In the case of these loans, the historically stable
performance of the underlying collateral is considered a mitigating
factor to the increased risks brought by the coronavirus pandemic,
but the likelihood that performance declines will be sustained
through the near to moderate term was also considered and, as a
result, both loans were analyzed with PD penalties to increase the
expected loss for this review.

At issuance, DBRS Morningstar shadow-rated the 300 North Lasalle
loan (Prospectus ID#2; 11.5%) as investment grade. DBRS Morningstar
confirmed the performance of the loan remains consistent with
investment-grade loan characteristics.

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


MORGAN STANLEY 2015-MS1: DBRS Confirms B(high) Rating on F Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings of all classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-MS1 issued by
Morgan Stanley Capital I Trust 2015-MS1 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which has had a collateral reduction of just 4.2%
since issuance with all of the original 54 loans remaining in the
pool as of the February 2021 remittance report.

The February 2021 remittance report also noted that 14 loans,
representing 21.7% of the pool, were on the servicer's watchlist
and four loans, representing 14.2% of the pool, were in special
servicing, including two loans in the top 10. The largest loan in
special servicing, Waterfront at Port Chester (Prospectus ID#4,
6.3% of the pool), secured by a 350,000-square-foot power center in
Port Chester, New York, transferred to special servicing in June
2020 for payment default. The property is shadow anchored by a
noncollateral Costco. The largest collateral tenants include Stop &
Shop (20.1% of net rentable area (NRA), lease expires August 2030),
Loews Cineplex Entertainment (20.0% of NRA, lease expires December
2030), and Bed Bath & Beyond (10.3% of NRA, lease expires January
2022). The loan previously performed at a 1.39 times (x) debt
service coverage ratio (DSCR) at YE2019 but requested payment
relief because of the Coronavirus Disease (COVID-10) pandemic. An
updated appraisal as of September 2020 valued the property at
$106.0 million, a 40.5% decline from the issuance value of $178.0
million. The lender is currently evaluating its options for a loan
modification. DBRS Morningstar analyzed this loan with a stressed
probability of default for this analysis.

The second-largest loan in special servicing, Hilton Garden Inn W
54th Street (Prospectus ID#8, 4.7% of the pool), secured by a
401-room select-service hotel in Midtown Manhattan, New York,
transferred to special servicing in May 2020 for payment default.
The property is well located near several major tourist
destinations but has failed to meet issuance expectations because
of significant supply increases over the past several years. The
loan most recently performed at a 1.68x DSCR as of YE2019. The
borrower was able to use funds in an excess cash reserve to make
debt service payments but the reserve was depleted as of October
2020. As of February 2021, the loan was more than 60 days
delinquent. The borrower has submitted a proposal for a loan
modification which is currently being negotiated. DBRS Morningstar
analyzed this loan with a stressed probability of default for this
analysis.

At issuance, DBRS Morningstar assigned investment-grade shadow
ratings to three loans, 32 Old Slip Fee (Prospectus ID#3, 7.1% of
pool), Alderwood Mall (Prospectus ID#5, 4.9% of pool), and 841-853
Broadway (Prospectus ID#6, 5.9% of pool). With this review, DBRS
Morningstar confirmed that the performance of these loans remains
consistent with investment-grade loan characteristics.

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


MORGAN STANLEY 2017-CLS: Moody's Hikes Rating on F Debt to B1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on 16 classes
across four US single asset single borrower commercial mortgage
backed securities deals secured by life science office properties
located in the Boston/Cambridge submarket. The ratings upgrades
reflect Moody's expectations of lower default risk and enhanced
value stability associated with this property type and the prime
location of these assets.

A List of Affected Credit Ratings are:

Tranche Name          Prior Rating       Current Rating
------------          ------------       --------------
Morgan Stanley Capital I Trust 2017-CLS

Class B                 Aa3                 Aa2
Class C                 A3                  A2
Class D                 Baa3                Baa1
Class E                 Ba3                 Ba1
Class F                 B3                  B1

CAMB Commercial Mortgage Trust 2019-LIFE

Class X-NCP             Baa2                A3
Class B                 Aa3                 Aa2
Class C                 A3                  A2
Class D                 Baa3                Baa1

KNDL 2019-KNSQ Mortgage Trust

Class B                 Aa3                 Aa1
Class C                 A3                  A2
Class D                 Baa3                Baa1

JP Morgan Chase Commercial Mortgage Securities Trust 2019-OSB

Class X-B               A2                  Aa3
Class B                 Aa3                 Aa1
Class C                 A3                  A1
Class D                 Baa3                Baa1

RATINGS RATIONALE

The ratings on 14 principal and interest (P&I) tranches were
upgraded due to Moody's assignment of lower property grades and
corresponding cap rates to the life science office properties
within these transactions. The lower property grades reflect
Moody's expectations of lower default risk and enhanced value
stability associated with wider acceptance of this specialized
office subsector. Moody's decreased property grades and
corresponding cap rates by 75 bps across the universe of four SASB
transactions secured by life science office properties that Moody's
rated prior to October 2020.

The ratings on the two IO classes were upgraded based on the credit
quality of their referenced classes.

The main drivers of the lower property grades include (1) strategic
location within one of the core life science clusters, (2) cashflow
stability, (3) long term post pandemic demand prospects and (4)
robust institutional demand. The collateral for all four
transactions is located in the greater Boston/Cambridge submarket
which is considered one of the top life science clusters in the
country. The infill locations with natural physical barriers to
entry and their proximity to world class universities and research
facilities is difficult to replicate.

Furthermore, there are strong tailwinds in the life science space
as healthcare expenditures are expected to continue increasing as
people aged 65+ comprise a growing percentage of the population.
Prescription drug expenditures and the total R&D spend is projected
to continue increase providing solid fundamentals for the life
science office properties. And counter to some other areas within
commercial real estate that have been negatively impacted due to
the pandemic, the life science real estate sector will benefit from
an increased focus and funding in the healthcare sector post
pandemic.

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 commercial real estate from a gradual and unbalanced
recovery in US economic activity. Stress on commercial real estate
properties will be most directly stemming from declines in hotel
occupancies (particularly related to conference or other group
attendance) and declines in foot traffic and sales for
non-essential items at retail properties.

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

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
defeasance or an improvement in loan performance.

Factors that could lead to a downgrade of the ratings include a
decline in loan performance or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September 2020.


MORGAN STANLEY 2021-1: Fitch Assigns Final B Rating on B-5 Debt
---------------------------------------------------------------
Fitch Ratings has assigned the following final ratings to Morgan
Stanley Residential Mortgage Loan Trust 2021-1:

DEBT               RATING               PRIOR
----               ------               -----
MSRM 2021-1

A-1        LT  AAAsf   New Rating     AAA(EXP)sf
A-1-IO     LT  AAAsf   New Rating     AAA(EXP)sf
A-1A-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-2        LT  AAAsf   New Rating     AAA(EXP)sf
A-2-A      LT  AAAsf   New Rating     AAA(EXP)sf
A-2-B      LT  AAAsf   New Rating     AAA(EXP)sf
A-2A-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-2B-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-3        LT  AAAsf   New Rating     AAA(EXP)sf
A-3-A      LT  AAAsf   New Rating     AAA(EXP)sf
A-3-B      LT  AAAsf   New Rating     AAA(EXP)sf
A-3A-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-3B-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-4        LT  AAAsf   New Rating     AAA(EXP)sf
A-4-B      LT  AAAsf   New Rating     AAA(EXP)sf
A-4A-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-4B-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-5        LT  AAAsf   New Rating     AAA(EXP)sf
A-5-A      LT  AAAsf   New Rating     AAA(EXP)sf
A-5-B      LT  AAAsf   New Rating     AAA(EXP)sf
A-5A-IO    LT  AAAsf   New Rating     AAA(EXP)sf
A-5B-IO    LT  AAAsf   New Rating     AAA(EXP)sf
B-1        LT  AA-sf   New Rating     AA-(EXP)sf
B-2        LT  A-sf    New Rating     A-(EXP)sf
B-3        LT  BBB+sf  New Rating     BBB+(EXP)sf
B-4        LT  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

TRANSACTION SUMMARY

This is the fourth post-crisis transaction off the Morgan Stanley
Residential Mortgage Loan Trust shelf, with the first transaction
issued in 2014. This is the second MSRM transaction that comprises
loans from various sellers and acquired by Morgan Stanley in their
prime jumbo aggregation process.

The certificates are supported by 318 prime-quality loans with a
total balance of approximately $282.46 million as of the cutoff
date. The pool consists of 100% fixed-rate mortgages (FRMs) from
various mortgage originators. The servicer in this transaction is
Specialized Loan Servicing LLC (SLS). Nationstar Mortgage LLC will
be the master servicer.

100.0% of the loans qualify as Safe Harbor Qualified Mortgage
(SHQM) or agency eligible temporary QM loans.

There is no exposure to LIBOR in this transaction. The collateral
is 100% fixed rate loans, and the certificates are fixed rate and
capped at the net WAC or based on the net WAC.

Like other prime transactions, the transaction utilizes a senior
subordinate shifting interest structure with subordination floors
to protect against tail risk.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
25- and 30-year fixed rate fully amortizing loans, seasoned
approximately five months in aggregate. Most of the loans were
originated through the sellers' retail channels. The borrowers in
this pool have strong credit profiles (774 FICO as determined by
Fitch) and relatively low leverage (74.8% sLTV as determined by
Fitch). Eighty-seven loans are over $1 million and the largest is
$2.36 million. Fitch considered 100% of the loans in the pool to be
fully documented loans.

Geographic Concentration (Neutral): Approximately 38.4% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(13.7%) followed by the San Francisco MSA (8.6%) and the Miami MSA
(7.0%). The top three MSAs account for 29.3% of the pool. As a
result, there was no adjustment for geographic concentration.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): A CE or senior subordination floor of 1.55%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration. A junior subordination floor of 1.00% has been
considered to mitigate potential tail-end risk and loss exposure
for subordinate tranches as pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.

Payment Forbearance (Neutral): As of the cutoff date, none of the
borrowers in the pool are on a coronavirus forbearance plan or
other pandemic relief plan. Since there are no loans currently
delinquent or under a forbearance plan, Fitch did not make any
additional adjustments to account for increase servicing advance
recoupment, and relied on the pre-pandemic advancing and
liquidation stresses outlined in Fitch's criteria.

If a borrower were to request pandemic relief, the servicer is
offering borrowers a three-month forbearance plan with the option
to extend for another three months if still affected. The
forbearance plan will be followed by a repayment plan. The servicer
will follow standard servicing practices when assessing the need
for pandemic relief and other loss mitigation options.

The servicer plans to advance delinquent P&I while the borrower is
on a forbearance plan.

No Meaningful Changes from Prior Prime Transactions (Neutral): This
transaction is very comparable to other recently issued prime
transactions in both the collateral composition and transaction
structure. Fitch's projected asset loss for the transaction's CE is
in line with other prime transactions that have similar collateral
attributes.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. Morgan Stanley has an extensive
operating history in mortgage aggregations and is assessed by Fitch
as an 'Above Average' aggregator. Morgan Stanley has a developed
sourcing strategy and maintains strong internal controls that
leverage the company's enterprise wide risk management framework.
100% of the loans are serviced by Specialized Loan Servicing (SLS),
rated 'RPS2' by Fitch. SLS will be the advancing party, but in the
event that neither SLS nor Nationstar are able to advance, Citibank
will be the ultimate advancing party.

Representation and Warranty Framework (Negative): The loan-level
representations and warranties (R&Ws) are mostly consistent with a
higher tier framework but have a prescriptive testing construct and
materiality factor with no parameters that are restricting them to
a Tier 2. Although some of the loan-level representations have
knowledge qualifiers, there is a knowledge qualifier clawback
provision for the sellers/originators, which Fitch views as a
positive aspect of the framework.

Morgan Stanley is not providing the R&Ws for this transaction. The
underlying originators/sellers will be the R&W provider. Morgan
Stanley will be providing gap reps if the originators/sellers are
not providing the rep up until the closing date. The following reps
will sunset after 36 months: fraud, underwriting,
income/employment/ assets, and property valuation.

Fitch increased its loss expectations 31bps at the 'AAAsf' rating
category to mitigate the limitations of the framework and the
non-investment-grade counterparty risk of the providers.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by five
different third-party review firms; two firms are assessed by Fitch
as 'Acceptable - Tier 1', and the other three firms are assessed as
'Acceptable - Tier 3'. The review confirmed strong origination
practices; no material exceptions were listed and loans that
received a final 'B' grades were due to non-material exceptions
that were mitigated with strong compensating factors. Fitch applied
a credit for the high percentage of loan level due diligence, which
reduced the 'AAAsf' loss expectation by 21bps.

Full Servicer Advancing (Mixed): The servicers will provide full
advancing for the life of the transaction (the servicer is expected
to advance delinquent P&I on loans that enter a coronavirus
forbearance plan). Although full P&I advancing will provide
liquidity to the certificates, it will also increase the loan-level
loss severity (LS) since the servicer looks to recoup P&I advances
from liquidation proceeds, which results in less recoveries.

Nationstar is the master servicer and will advance if the servicer
is not able to. If the master servicer is not able to advance, then
the securities administrator (Citibank) will advance.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$425,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

RATING SENSITIVITIES

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

Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation. The analysis assumes positive home price growth
    of 10%. Excluding the senior class, which is already 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all of the rated classes.

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

-- This defined stress sensitivity analysis demonstrates how the
    ratings would react to steeper market value declines at the
    national level. The analysis assumes market value declines of
    10%, 20% and 30%, in addition to the model projected 6.6% in
    the base case. The analysis indicates that there is some
    potential rating migration with higher MVDs for all rated
    classes, compared with the model projection. Specifically, a
    10% additional decline in home prices would lower all rated
    classes by two or more full categories.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Consolidated Analytics, Digital
Risk, and Infinity. The third-party due diligence described in Form
15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustment(s) to its analysis.

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

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


NATIONAL COLLEGIATE 2006-4: Fitch Affirms C Rating on 4 Tranches
----------------------------------------------------------------
Fitch Ratings has affirmed 37 notes and maintained the Rating Watch
Negative on seven notes from 12 National Collegiate Student Loan
Trusts (NCSLTs).

     DEBT                     RATING                       PRIOR
     ----                     ------                       -----
National Collegiate Student Loan Trust 2003-1

A-7 63543PAG1        LT  BBsf   Rating Watch Maintained    BBsf
B-1 63543PAJ5        LT  Csf    Affirmed                   Csf
B-2 63543PAK2        LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2004-1

A-4 63543PAP1        LT  CCsf   Affirmed                   CCsf
B-1 63543PAS5        LT  Csf    Affirmed                   Csf
B-2 63543PAT3        LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust
2004-2

A-5 1 63543PAY2      LT  BBsf   Rating Watch Maintained    BBsf
A-5 2 63543PBC9      LT  BBsf   Rating Watch Maintained    BBsf
B 63543PBA3          LT  CCsf   Affirmed                   CCsf
C 63543PBB1          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-1

A-5 1 63543PBM7      LT  BBsf   Rating Watch Maintained    BBsf
A-5 2 63543PBN5      LT  BBsf   Rating Watch Maintained    BBsf
B 63543PBK1          LT  CCsf   Affirmed                   CCsf
C 63543PBL9          LT  Dsf    Affirmed                   Dsf

National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust
2005-2

A-5-1 63543PBU9      LT  CCCsf  Affirmed                   CCCsf
A-5-2 63543PBY1      LT  CCCsf  Affirmed                   CCCsf
B 63543PBW5          LT  Csf    Affirmed                   Csf
C 63543PBX3          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust
2005-3

A-5-1 63543TAE8      LT  Bsf    Rating Watch Maintained    Bsf
A-5-2 63543TAF5      LT  Bsf    Rating Watch Maintained    Bsf
B 63543TAJ7          LT  Csf    Affirmed                   Csf
C 63543TAK4          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2006-1

A-5 63543PCD6        LT  Csf    Affirmed                   Csf
B 63543PCF1          LT  Csf    Affirmed                   Csf
C 63543PCG9          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2006-2

A-4 63543MAD5        LT  Csf    Affirmed                   Csf
B 63543MAF0          LT  Csf    Affirmed                   Csf
C 63543MAG8          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2006-3

A-5 63543VAE3        LT  CCsf   Affirmed                   CCsf
B 63543VAG8          LT  Csf    Affirmed                   Csf
C 63543VAH6          LT  Csf    Affirmed                   Csf
D 63543VAJ2          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2006-4

A-4 63543WAD3        LT  Csf    Affirmed                   Csf
B 63543WAF8          LT  Csf    Affirmed                   Csf
C 63543WAG6          LT  Csf    Affirmed                   Csf
D 63543WAH4          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2007-1

A-4 63543XAD1        LT  Csf    Affirmed                   Csf
B 63543XAF6          LT  Csf    Affirmed                   Csf
C 63543XAG4          LT  Csf    Affirmed                   Csf
D 63543XAH2          LT  Csf    Affirmed                   Csf

National Collegiate Student Loan Trust 2007-2

A-4 63543LAD7        LT  Csf    Affirmed                   Csf
B 63543LAF2          LT  Csf    Affirmed                   Csf
C 63543LAG0          LT  Csf    Affirmed                   Csf
D 63543LAH8          LT  Csf    Affirmed                   Csf

TRANSACTION SUMMARY

On May 31, 2020, Judge Maryellen Norieka, U.S. District Judge for
the District of Delaware, in an action entitled "Consumer Financial
Protection Bureau vs. The National Collegiate Master Student Trust
et. al." declined to approve a consent judgment proposed by the
CFPB and reportedly agreed to by the NCSLTs. The judgment was
intended to address alleged violations by the NCSLTs of the
Consumer Financial Protection Act of 2010.

The CFPB had until June 19, 2020 to respond to a motion to dismiss
filed by Transworld Systems, Inc., the subservicer and debt
collector for the transactions.

Considering that the action remains outstanding, Fitch maintains
the 'BBBsf' rating cap for these transactions and the Rating Watch
Negative on all notes with ratings of 'Bsf' or above.

The affirmations reflect that, for all transactions, performance
was stable and credit enhancement (CE) levels moved in line with
expectations since last review.

Fitch maintains a rating cap at 'BBBsf' for these NCSLT
transactions and a Negative Watch on all non-distressed tranches as
a consequence of the pending CFP proposed judgement that could have
a negative credit impact on the transactions if confirmed. Fitch
will resolve the RWN as soon as additional clarity is available on
the outcome of the proposed CFPB judgment, as well as any other
pending litigation involving the trusts and the transactions
parties.

KEY RATING DRIVERS

Collateral Performance:

The NCSLT trusts are collateralized by private student loans
originated by First Marblehead Corporation. At deal inception, all
loans were guaranteed by The Education Resources Institute (TERI);
however, no credit is given to the guaranty since TERI filed for
bankruptcy on April 7, 2008. Fitch has maintained its assumption of
constant default rate (CDR) at 4.00% for NCSLT 2003-1, 2004-2,
2005-1 and 2005-3 as described below under coronavirus Impact.
Recovery rate was assumed to be 0% in light of recent lawsuit
uncertainty between the trusts and defaulted borrowers.

Payment Structure:

All trusts are under-collateralized as total parity is less than
100%. Senior reported parity as of Jan. 31, 2021 is 196.20%,
95.12%, 283.91%, 191.79%, 115.78%, 138.54%, 109.65%,
81.38%,129.23%, 113.86%, 105.49% and 100.37% for NCSLT 2003-1,
2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1, 2006-2, 2006-3,
2006-4, 2007-1 and 2007-2. Senior notes benefit from subordination
provided by the junior notes.

Operational Capabilities:

Pennsylvania Higher Education Assistance Agency (PHEAA) services
roughly 98% of the trusts, with Nelnet servicing the rest. US Bank
N.A. acts as special servicer for the trusts. Fitch believes all
servicers are acceptable servicers of private student loans.

Nevertheless, Fitch understands that a lawsuit to call a servicer
default under the transaction documents against PHEAA was initiated
by some of the holders of the beneficial interest in the NCSLT
trusts. Despite the uncertainty on the outcome of pending
litigations between transaction parties, including PHEAA, Fitch
believes such risk is addressed by the rating cap at 'BBBsf' and
Fitch's conservative assumptions on defaults and recoveries.

Coronavirus Impact:

Under the coronavirus baseline scenario, 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 2H20 is followed by a slower recovery
trajectory in early 2021 with GDP remaining below its 4Q19 level
for 18-30 months. Fitch maintained its base case CDR assumption at
4.00% for NCSLT 2003-1, 2004-2, 2005-1 and 2005-3 to take into
account the effects of the pandemic on the portfolio, assuming a
short-term peak of CDR followed by a plateau. Fitch conducted
rating sensitivities for a more prolonged stress contemplated in
the coronavirus downside scenario.

CFPB Proposed Judgment:

On Sept. 14, 2017, the CFPB filed an action against the NCSLTs for
illegal student loan debt collection. According to the CFPB,
consumers were sued for private student loan debt that the
companies couldn't prove was owed or which were too old to sue
over. On Sept. 18, 2017, a proposed consent judgment was filed with
the court to settle all matters in the dispute.

If the proposed judgment is confirmed, it may result in the NCSLTs
making an aggregate payment of at least USD 19.1 million. The
proposed consent judgment specifies that the payment is due within
10 days of the effective date of the judgment. Should this result
in a lump sum, one-time senior liability, it may impair the ability
of some of the trusts, depending on the number of trusts affected,
to pay senior interest in a timely fashion, resulting in an event
of default for the notes. If instead the payment is in some way
distributed over time, for example by being advanced through an
agent, by a reserving mechanism or other means, it will reduce the
cash available to repay noteholders and thereby reduce the
available protection. In addition, the outcome of the independent
loan audit and the possible effect on the enforceability of
underlying loan contracts is uncertain at this stage. As a result
of all these factors, Fitch placed all the NCSLT trusts' notes with
a non-distressed rating on Rating Watch Negative.

Fitch expects to resolve the Rating Watch Negative when additional
clarity on the final outcome of the proposed CFPB judgment is
available.

All of the transactions have an ESG Relevance Score of '5' for
Customer Welfare - Fair Messaging, Privacy & Data Security.

RATING SENSITIVITIES

Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed while holding others equal. The results should only be
considered as one potential outcome, as the transactions are
exposed to multiple risk factors that are all dynamic variables.

Fitch maintains a rating cap at 'BBBsf' for these NCSLT
transactions and a Negative Watch on all non-distressed tranches as
a consequence of the pending CFP proposed judgement that could have
a negative credit impact on the transactions if confirmed. Fitch
will resolve the RWN as soon as additional clarity is available on
the outcome of the proposed CFPB judgment, as well as any other
pending litigation involving the trusts and the transactions
parties.

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

-- Positive rating actions are not likely until there is
    resolution of the outstanding CFPB judgement. Fitch's base
    case default and recovery assumptions are derived primarily
    from historical collateral performance. Actual performance
    that is materially better than these assumptions will increase
    CE and remaining loss coverage levels available to the notes,
    which may result in positive rating action up to the rating
    cap of 'BBBsf'.

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

-- Fitch expects to resolve the Rating Watch Negative on the non
    distressed notes as soon as additional information is
    available on the effects (if any) of the proposed CFPB
    judgement on the affected NCSLT trusts. Allocation of the
    settlement payment (if confirmed and applicable) to one or a
    few NCSLTs trusts in a short period of time may result in
    multi-category downgrades on the affected trusts. Allocation
    of the payment across all trusts over a longer horizon may
    result in less pronounced negative rating action.

-- Base case default rates were increased by 10%, 25% and 50%, in
    accordance with Fitch's U.S. Private Student Loan ABS Rating
    Criteria, and there was no change to expected ratings due to
    the rating cap on the trusts following the CFPB proposed
    judgment.

-- Under Fitch's Coronavirus Downside Scenario, Fitch considers a
    more severe and prolonged period of stress with a halting
    recovery beginning in 2Q21. To reflect this greater stress,
    Fitch ran sensitivities in which the base case default
    assumption was increased to 'BBsf' and 'BBBsf' stressed
    default rate assumptions of approximately 35% and 85%,
    respectively. Under this scenario, due to the rating cap on
    the trusts following the CFPB proposed judgment, there would
    be no expected rating change for the bonds.

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.

ESG CONSIDERATIONS

NCSLT 2003-1, 2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1,
2006-2, 2006-3, 2006-4, 2007-1 and 2007-2 have an ESG Relevance
Score of '5' for Customer Welfare - Fair Messaging, Privacy & Data
Security. This is due to compliance with consumer protection
related regulatory requirements, such as fair/transparent lending,
data security, and safety standards, which has a negative impact on
the credit profile and is highly relevant to the rating, resulting
in capping the ratings at 'BBBsf' as well as placing the
non-distressed notes on Rating Watch Negative.


NATIONAL COLLEGIATE 2007-A: Fitch Affirms B Rating on Class C Debt
------------------------------------------------------------------
Fitch Ratings has affirmed National Collegiate Trust (NCT) 2006-A,
NCT 2007-A and NCT 2005-GATE.

    DEBT              RATING           PRIOR
    ----              ------           -----
National Collegiate Trust 2005-GATE

B 63544AAQ1     LT  BBBsf  Affirmed    BBBsf

The National Collegiate Trust 2006-A

A-2 63544JAB5   LT  AAAsf  Affirmed    AAAsf
B 63544JAC3     LT  BBBsf  Affirmed    BBBsf

The National Collegiate Trust 2007-A

A 63543YAA5     LT  AAsf   Affirmed    AAsf
B 63543YAB3     LT  BBBsf  Affirmed    BBBsf
C 63543YAC1     LT  Bsf    Affirmed    Bsf

KEY RATING DRIVERS

Collateral Performance:

NCT 2006-A, 2007-A and 2005-GATE trusts are collateralized by
private student loans originated by Bank of America
(AA-/F1+/RO:Sta) under First Marblehead Corp's GATE Program. NCT
2006-A and 2007-A also include originations by CHELA Funding II,
LLC.

Fitch has maintained its assumption of a constant default rate
(CDR) at 3.50%, which incorporates the expected economic impact of
the coronavirus pandemic on asset performance. A base-case recovery
rate of 30% was assumed for National Collegiate Trust 2006-A and
2007-A, and 14% for National Collegiate Trust 2005-GATE, which was
determined to be appropriate based on data previously provided by
the issuer and reflects the guarantee provided by Bank of America
on loans originated pursuant to the GATE Program.

Payment Structure:

Credit enhancement (CE) is provided by overcollateralization (OC;
the excess of the trust's asset balance over the bond balance) and
excess spread. For NCT 2006-A, cash may be released from the trust
at the greater of (i) 104% total parity, and (ii) the percentage
equivalent of (outstanding notes + $5.3 million)/ (outstanding
notes), currently at 143%. No cash is currently being released from
NCT 2006-A or 2005-GATE. For NCT 2007-A, cash is currently being
released from the trusts as the 104% parity level required is
currently met.

Liquidity support is provided to NCT 2006-A, NCT 2007-A and NCT
2005-GATE by a reserve account sized at about USD one million. In
Fitch's view, the available reserve accounts are able to cover for
at least one quarter of senior costs and interest payments.

Operational Capabilities:

Pennsylvania Higher Education Assistance Agency (PHEAA) services
100% of NCT 2005-GATE and NCT 2007-A, and 88% of NCT 2006-A.
FirstMark services the remaining 12% of NCT 2006-A. Fitch believes
all servicers are acceptable servicers of private student loans.

Coronavirus Impact:

Under the coronavirus baseline scenario, 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 2H20 is followed by a slower recovery
trajectory in early 2021 with GDP remaining below its 4Q19 level
for 18-30 months. Fitch maintained its base case CDR assumption at
3.50% to consider the effects of the pandemic on the portfolio,
assuming a short-term peak of CDR followed by a plateau. Fitch
conducted rating sensitivities for a more prolonged stress
contemplated in the coronavirus downside scenario.

RATING SENSITIVITIES

Under Fitch's Coronavirus Downside Scenario, Fitch considers a more
severe and prolonged period of stress with a slower recovery
trajectory in early 2021. To reflect this greater stress, Fitch
increased base-case default rates by 1.35x; this did not result in
any rating changes for the senior and subordinate notes of NCT
2006-A, 2007-A and 2005-GATE transactions.

Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed while holding others equal. The modeling process first
uses the estimation and stress of base-case default and recovery
assumptions to reflect asset performance in a stressed environment.
Second, structural protection was analyzed with Fitch's GALA Model.
The results should only be considered as one potential outcome, as
the transaction is exposed to multiple risk factors that are all
dynamic variables.

Please note that tranches rated 'CCCsf' or below are not included
in these sensitivities.

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

NCT 2006-A

Current Ratings: 'AAAsf'/'BBBsf'

-- Decrease base case defaults by 50%: 'AAAsf'/'AAAsf';

-- Increase base case recoveries by 30%: 'AAAsf'/'AAAsf';

-- Decrease base case defaults and increase base case recoveries
    each by 50%: 'AAAsf'/'AAAsf'.

NCT 2007-A

Current Ratings: 'AAsf'/'BBBsf'/'Bsf'

-- Decrease base case defaults by 50%: 'AAAsf'/'BBB+sf'/'Bsf';

-- Increase base case recoveries by 30%: 'AAAsf'/'A-sf'/'BB-sf';

-- Decrease base case defaults and increase base case recoveries
    each by 50%: 'AAAsf'/'Asf'/'BBsf'.

NCT 2005-GATE

Current Ratings: 'BBBsf'

-- Decrease base case defaults by 50%: 'AAAsf';

-- Increase base case recoveries by 30%: 'AAAsf';

-- Decrease base case defaults and increase base case recoveries
    each by 50%: 'AAAsf'.

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

NCT 2006-A

Current Ratings: 'AAAsf'/'BBBsf'

Expected impact on the note rating of increased defaults (class
A-2/B):

-- Increase base case defaults by 10%: 'AAAsf'/'AAAsf';

-- Increase base case defaults by 25%: 'AAAsf'/'AAAsf';

-- Increase base case defaults by 50%: 'AAAsf'/'AA+sf'.

Expected impact on the note rating of reduced recoveries (class
A-2/B):

-- Reduce base case recoveries by 10%: 'AAAsf'/'AAAsf';

-- Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf';

-- Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2/B):

-- Increase base case defaults and reduce base case recoveries
    each by 10%: 'AAAsf'/'AAAsf';

-- Increase base case defaults and reduce base case recoveries
    each by 25%: 'AAAsf'/'AAAsf';

-- Increase base case defaults and reduce base case recoveries
    each by 50%: 'AAAsf'/'AA-sf'.

NCT 2007-A

Current Ratings: 'AAsf'/'BBBsf'/'Bsf'

Expected impact on the note rating of increased defaults (class
A/B/C):

-- Increase base case defaults by 10%: 'AAAsf'/'BBB+sf'/'Bsf';

-- Increase base case defaults by 25%: 'AAAsf'/'BBB+sf'/'Bsf';

-- Increase base case defaults by 50%: 'AAAsf'/'BBB+sf'/'Bsf'.

Expected impact on the note rating of reduced recoveries (class
A/B/C):

-- Reduce base case recoveries by 10%: 'AAAsf'/'BBBsf'/'CCCsf';

-- Reduce base case recoveries by 20%: 'AAAsf'/'BBBsf'/'CCCsf';

-- Reduce base case recoveries by 30%: 'AAAsf'/'BBB-sf'/'CCCsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A/B/C):

-- Increase base case defaults and reduce base case recoveries
    each by 10%: 'AAAsf'/'BBBsf'/'CCCsf';

-- Increase base case defaults and reduce base case recoveries
    each by 25%: 'AAAsf'/'BBBsf'/'CCCsf';

-- Increase base case defaults and reduce base case recoveries
    each by 50%: 'AAAsf'/'BBB-sf'/'CCCsf'.

NCT 2005-GATE

Current Ratings: 'BBBsf'

Expected impact on the note rating of increased defaults (class
B):

-- Increase base case defaults by 10%: 'AAAsf';

-- Increase base case defaults by 25%: 'AA+sf';

-- Increase base case defaults by 50%: 'AA-sf'.

Expected impact on the note rating of reduced recoveries (class
B):

-- Reduce base case recoveries by 10%: 'AAAsf';

-- Reduce base case recoveries by 20%: 'AAAsf';

-- Reduce base case recoveries by 30%: 'AAAsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class B):

-- Increase base case defaults and reduce base case recoveries
    each by 10%: 'AAAsf';

-- Increase base case defaults and reduce base case recoveries
    each by 25%: 'AAsf';

-- Increase base case defaults and reduce base case recoveries
    each by 50%: 'A+sf'.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

For this surveillance review, the ratings assigned to NCT 2006-A's
and 2005-GATE's class B notes are eight notches below the
model-implied ratings, constituting a variation to the 'U.S.
Private Student Loan ABS Rating Criteria'. The rating action below
the model-implied rating considers the subordinated position of the
Class B notes (2006-A) in the priority of payments as well as the
uncertainty in portfolio performance under the coronavirus
pandemic, as shown by the increase of loans in forbearance to 6% -
8% in past months. Continued stabilization of forbearance levels
following the coronavirus pandemic together with continued pro rata
amortization between the class A and B bonds, which increases
relative credit protection to the B notes, could result in
additional upgrades, as reflected by the Positive Outlook on the B
notes. If Fitch were to not apply this variation to its criteria,
the class B notes could have been upgraded to 'AAAsf'.

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

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

ESG CONSIDERATIONS

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


NEUBERGER BERMAN XVI-S: S&P Assigns B-(sf) Rating on F-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R,
C-R, D-R, E-R, and F-R replacement notes from Neuberger Berman CLO
XVI-S Ltd./Neuberger Berman CLO XVI-S LLC, a CLO originally issued
in January 2018 that is managed by Neuberger Berman Loan Advisers
LLC. S&P withdrew its ratings on the original class A notes
following payment in full on the March 30, 2021, refinancing date.

On the refinancing date, the proceeds from the class X-R, A-R, B-R,
C-R, D-R, E-R, and F-R replacement note issuances were used to
redeem the original class X, A, B, C, D, E, and F notes as outlined
in the transaction document provisions. S&P withdrew its ratings on
the original X and A notes, and S&P assigned 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

-- The subordination levels at the "AAA", "BB-", and "B-" level
were increased.

-- The reinvestment period was extended to 2026, and the non-call
period was extended to 2023.

-- The spreads across all classes of notes have gone up.

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 also prohibits the purchase of assets in a
restricted industry: that is, one where the primary business
activity deals with the production or trade of controversial
weapons or is involved in trade of tobacco or related products.

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 table 1 indicate that the rated notes have
sufficient credit enhancement to withstand our projected default
levels.

  Table 1

  Credit Enhancement

  Class     Sub (%)     BDR (%)    SDR (%)    BDR cushion (%)
  X-R       N/A          94.21      61.63       32.57
  A-R       38.04        64.88      61.63        3.25
  B-R       24.33        60.31      53.95        6.35
  C-R       18.06        52.23      48.28        3.95
  (deferrable)
  D-R       12.06        42.10      39.08        3.02
  (deferrable)
  E-R        8.57        33.80      32.11        1.69
  (deferrable)
  F-R        6.85        28.38      26.33        2.05
  (deferrable)

  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. 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 CLO XVI-S Ltd./Neuberger Berman CLO XVI-S LLC

  Replacement class    Rating      Amount (mil $)
  X-R                  AAA (sf)             5.000
  A-R                  AAA (sf)           279.000
  B-R                  AA (sf)             61.750
  C-R (deferrable)     A (sf)              28.250
  D-R (deferrable)     BBB- (sf)           27.000
  E-R (deferrable)     BB- (sf)            15.750
  F-R (deferrable)     B- (sf)              7.750
  Subordinated notes   NR                  30.825

  RATINGS WITHDRAWN

  Neuberger Berman CLO XVI-S Ltd./Neuberger Berman CLO XVI-S LLC

                      Rating
  Original class     To   From
  A                  NR   AAA (sf)

  NR--Not rated.



NORTH AMERICAN: DBRS Confirms Pfd-4 Rating on Preferred Shares
--------------------------------------------------------------
DBRS Limited confirmed the rating on the Preferred Shares issued by
North American Financial 15 Split Corp. at Pfd-4 (high). The
Company holds a portfolio that consists of common shares of
approximately 15 North American financial services companies: Bank
of America Corporation; Bank of Montreal; The Bank of Nova Scotia;
Canadian Imperial Bank of Commerce; CI Financial Corp.; Citigroup
Inc.; The Goldman Sachs Group, Inc.; Great-West Lifeco Inc.;
JPMorgan Chase & Co.; Manulife Financial Corporation; National Bank
of Canada; Royal Bank of Canada; Sun Life Financial, Inc.; The
Toronto-Dominion Bank; and Wells Fargo & Company. Up to 15% of the
Company's net asset value (NAV) may be invested in securities of
issuers other than those mentioned above and no more than 10% of
the Company's NAV may be invested in any single issuer.
Approximately 49.9% of the Portfolio was invested in U.S. dollars
(USD) as of November 30, 2020. The Company may use derivatives for
hedging purposes. The termination date is December 1, 2024.

On September 23, 2020, the Company announced the Preferred Share
dividend rate increase for the fiscal year beginning December 1,
2020. The Preferred Shares currently pay a fixed cumulative monthly
dividend of $0.05625 per Preferred Share, yielding 6.75% annually
on their issue price of $10.00 per share. Monthly distributions to
holders of the Class A Shares make up $0.11335 per share. No
distributions will be paid to Class A Shares if the NAV per unit
falls below $15.00 and no special year-end dividends will be paid
if, after such payment, the Portfolio's NAV is less than $25.00.

The Portfolio provides approximately 35.7% of downside protection
as at February 26, 2021.

The Preferred Share dividend coverage ratio is approximately 0.4
times. The average grind on the Portfolio is expected to be 5.3%
annually for the next four years. To supplement dividend income
received on the Portfolio, the Company may engage in option
writing.

Based on the current amount of the downside protection and
Portfolio metrics, the rating on the Preferred Shares was confirmed
at Pfd-4 (high).

The main challenges are:

(1) Market fluctuations resulting from the response to the
worldwide spread of the Coronavirus Disease (COVID-19) that could
affect the NAV of the Company.

(2) The reliance on the Portfolio manager to generate additional
income through methods such as option writing.
(3) The monthly cash distributions to holders of the Class A Shares
which create grind in the Portfolio.

(4) The unhedged portion of the USD-denominated Portfolio that
exposes the Portfolio to foreign currency risk.

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


OBX 2021-NQM1 2021-1: S&P Assigns B (sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to OBX 2021-NQM1 Trust's
mortgage pass-through notes series 2021-1.

The note issuance is an RMBS transaction backed by first-lien,
fixed- and adjustable-rate, fully amortizing, and interest-only
residential mortgage loans primarily secured by single-family
residences, planned-unit developments, condominiums, and two- to
four-family homes to both prime and nonprime borrowers. The pool
has 428 loans, which are primarily nonqualified mortgage (non-QM)
and ability-to-repay (ATR)-exempt loans.

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;

-- The mortgage aggregator, Onslow Bay Financial LLC; and

-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

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

  Ratings Assigned(i)

  OBX 2021-NQM1 Trust

  Class A-1, $186,680,000: AAA (sf)
  Class A-2, $16,071,000: AA (sf)
  Class A-3, $32,527,000: A (sf)
  Class M-1, $9,643,000: BBB (sf)
  Class B-1, $6,300,000: BB (sf)
  Class B-2, $4,114,000: B (sf)
  Class B-3, $1,800,339: NR
  Class XS, notional(ii): NR
  Class A-IO-S, notional(ii): NR
  Class R: NR

  (i)The collateral and structural information in this report
reflects the private placement memorandum dated March 18, 2021.
(ii)The notional amount equals the loans' aggregate stated
principal balance.
  NR--Not rated.


OCP CLO 2019-16: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A Loans, A-R,
B Loans, B-R, C-R, D-R, and E-R replacement notes from OCP CLO
2019-16 Ltd./ OCP CLO 2019-16 LLC, a CLO that is managed by Onex
Credit Partners LLC. At the same time, we withdrew our ratings on
the class A-1, B, C, D, and E notes following payment in full on
the March 31, 2021 refinancing date (S&P did not rate the class A-2
note).

The replacement notes and loans are being issued via a supplemental
indenture, which outlines the terms of the replacement notes and
loans. According to the proposed supplemental indenture:

-- The stated maturity will be extended to April 2033.

-- Workout-loan and LIBOR fallback-related concepts were added.

-- Up to the initial principal balance of the class A Loans and
class B Loans can be converted to class A-R and class B-R notes,
respectively.

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. 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 ratings reflect our view of the credit support available to
the refinanced notes after examining the new and lower spreads,
which reduce the transaction's overall cost of funding.

"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."

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

  OCP CLO 2019-16, Ltd./OCP CLO 2019-16 LLC

  Replacement class A Loans, $222.67 million: AAA (sf)
  Replacement class A-R, $95.43 million: AAA (sf)
  Replacement class B Loans, $41.86 million: AA (sf)
  Replacement class B-R, $17.94 million: AA (sf)
  Replacement class C-R, $29.80 million: A (sf)
  Replacement class D-R, $29.80 million: BBB- (sf)
  Replacement class E-R, $19.50 million: BB- (sf)

  Ratings Withdrawn

  OCP CLO 2019-16, Ltd./OCP CLO 2019-16 LLC

  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)'
  Other Notes Not Rated

  OCP CLO 2019-16, Ltd./OCP CLO 2019-16 LLC

  Class sub note: NR

  NR--Not rated.



OPORTUN FUNDING 2021-A: DBRS Finalizes BB(high) Rating on D Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
(the Notes) issued by Oportun Funding XIV, LLC, Series 2021-A:

-- $264,705,000 Class A Notes at AA (low) (sf)
-- $45,077,000 Class B Notes at A (low) (sf)
-- $41,241,000 Class C Notes at BBB (low) (sf)
-- $23,977,000 Class D Notes at BB (high) (sf)

The rating on the Notes is based on DBRS Morningstar's review of
the following considerations:

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

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

-- DBRS Morningstar's projected losses include an additional
stress due to the potential impact of the coronavirus. The DBRS
Morningstar cumulative net loss assumption is 10.68% based on the
worst-case loss pool constructed giving consideration to the
concentration limits present in the structure.

-- DBRS Morningstar incorporated a hardship deferment stress into
its analysis as a result of an increase in utilization related to
the impact of the coronavirus pandemic on borrowers. DBRS
Morningstar stressed hardship deferments to test liquidity risk
early in the life of the transaction's cash flows.

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

-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the Reserve Account, and excess
spread. Credit enhancement levels are sufficient to support DBRS
Morningstar's stressed assumptions under various stress scenarios.

(4) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final payment date.

(5) Oportun's capabilities with regard to originations,
underwriting, and servicing.

(6) The ability of Systems & Services Technologies, Inc. (SST) to
perform duties as a Back-Up Servicer. SST, as Back-Up Servicer, is
required to take over as successor servicer of the collateral in
the Oportun 2021-A transaction within 15 calendar days of notice of
a servicing termination event. SST and Oportun have developed a
detailed servicing transition plan to facilitate an orderly
transfer of servicing.

(7) On March 3rd, 2021, Oportun received a Civil Investigative
Demand (CID) from the Consumer Financial Protection Bureau (CFPB).
The stated purpose of the CID is to determine whether small-dollar
lenders or associated persons, in connection with lending and
debt-collection practices, have not been in compliance with certain
federal consumer protection laws over which the CFPB has
jurisdiction.

-- Oportun and PF Servicing believe that their practices have been
in full compliance with CFPB guidance and that they have followed
all published authority with respect to their practices, and
Oportun intends to cooperate with the CFPB with respect to this
matter. See Company Description in the rating report for more
information regarding this matter. At this time, the Seller is
unable to predict the outcome of this CFPB investigation, including
whether the investigation will result in any action or proceeding
or in any changes to the Seller's or the Servicer's practices.

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

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



PALMER SQUARE 2021-1: Moody's Assigns B2 Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Palmer Square CLO 2021-1, Ltd. (the "Issuer" or
"Palmer Square 2021-1"); one class upgraded from provisional
rating.

Moody's rating action is as follows:

US$299,250,000 Class A-1 Senior Secured Floating Rate Notes due
2034 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)

US$62,937,500 Class A-2 Senior Secured Floating Rate Notes due 2034
(the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf)

US$23,275,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2034 (the "Class B Notes"), Definitive Rating Assigned A2 (sf)

US$31,112,500 Class C Senior Secured Deferrable Floating Rate Notes
due 2034 (the "Class C Notes"), Definitive Rating Assigned Baa3
(sf)

US$20,425,000 Class D Secured Deferrable Floating Rate Notes due
2034 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf)

US$7,125,000 Class E Secured Deferrable Floating Rate Notes due
2034 (the "Class E Notes"), Definitive Rating Assigned and Upgraded
to B2 (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 Moody's methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

Palmer Square 2021-1 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 and unsecured loans. The portfolio is approximately 90%
ramped as of the closing date.

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

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

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

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

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

Par amount: $475,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2806

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

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


PPM CLO 3: Moody's Assigns Ba3 Rating to $20M Class E-R Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by PPM CLO 3 Ltd. (the "Issuer").

Moody's rating action is as follows:

US$4,000,000 Class X Floating Rate Notes due 2034 (the "Class X
Notes"), Assigned Aaa (sf)

US$256,000,000 Class A-R Floating Rate Notes due 2034 (the "Class
A-R Notes"), Assigned Aaa (sf)

US$48,000,000 Class B-R Floating Rate Notes due 2034 (the "Class
B-R Notes"), Assigned Aa2 (sf)

US$21,000,000 Class C-R Deferrable Floating Rate Notes due 2034
(the "Class C-R Notes"), Assigned A2 (sf)

US$23,000,000 Class D-R Deferrable Floating Rate Notes due 2034
(the "Class D-R Notes"), Assigned Baa3 (sf)

US$20,000,000 Class E-R Deferrable Floating Rate Notes due 2034
(the "Class E-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of first lien senior secured
loans, cash, and eligible investments, and up to 7.5% of the
portfolio may consist of asses which are not senior secured loans.

PPM Loan Management Company, LLC (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 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 issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Moody's Default Probability Rating" for purposes of determining
the Weighted Average Rating Factor Test and changes to the base
matrix and modifiers.

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

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

Portfolio par: $400,000,000

Diversity Score: 88

Weighted Average Rating Factor (WARF): 2900

Weighted Average Spread (WAS): 3.30%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 9 years

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

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

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

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

The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.


PROGRESS RES 2021-SFR1: DBRS Finalizes B(low) Rating on G Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Single-Family Rental Pass-Through Certificates (the Certificates)
issued by Progress Residential 2021-SFR1 Trust (PROG 2021-SFR1):

-- $187.9 million Class A at AAA (sf)
-- $43.8 million Class B at AA (sf)
-- $27.0 million Class C at A (sf)
-- $32.2 million Class D at BBB (high) (sf)
-- $41.2 million Class E at BBB (low) (sf)
-- $57.9 million Class F at BB (low) (sf)
-- $46.3 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A Certificates reflects 61.6% of
credit enhancement provided by subordinated notes in the pool. The
AA (sf), A (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf),
and B (low) (sf) ratings reflect 52.6%, 47.1%, 40.5%, 32.1%, 20.3%,
and 10.8% credit enhancement, respectively.

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

PROG 2021-SFR1's 2,107 properties are in nine states, with the
largest concentration by broker price opinion value in Florida
(26.1%). The largest metropolitan statistical area (MSA) by value
is Atlanta (12.5%), followed by Nashville (12.1%). The geographic
concentration dictates the home-price stresses applied to the
portfolio and the resulting market value decline (MVD). The MVD at
the AAA (sf) rating level for this deal is 58.4%. PROG 2021-SFR1
has properties from 18 MSAs, most of which did not experience home
price index declines as dramatic as those in the recent housing
downturn.

DBRS Morningstar finalized the provisional ratings for each class
of certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. (For more details, see
www.dbrsmorningstar.com.) DBRS Morningstar developed property-level
stresses for the analysis of single-family rental assets. DBRS
Morningstar's analysis includes estimated base-case net cash flow
(NCF) by evaluating the gross rent, concession, vacancy, operating
expenses, and capital expenditure data. The DBRS Morningstar NCF
analysis resulted in a minimum debt service coverage ratio higher
than 1.0 times.

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



PROVIDENT FUNDING 2021-1: Moody's Gives Ba3 Rating to Cl B-5 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 15
classes of residential mortgage-backed securities (RMBS) issued by
Provident Funding Mortgage Trust (PFMT) 2021-1. The ratings range
from Aaa (sf) to Ba3 (sf).

PFMT 2021-1 is the first transaction in 2021 backed by loans
originated by the sponsor, Provident Funding Associates, L.P.
(Provident Funding). PFMT 2021-1 is a securitization of
agency-eligible mortgage loans originated and serviced by Provident
Funding (corporate family rating of B1) and will be the fourth
transaction for which Provident Funding is the sole originator and
servicer. Approximately 48.4% of the mortgage loans by aggregate
unpaid principal balance (UPB) are "Appraisal Waiver" (AW) loans,
whereby the sponsor obtained an appraisal waiver for each such
mortgage loan from Fannie Mae or Freddie Mac (collective, GSEs)
through their respective programs. In each case, neither GSE
required an appraisal of the related mortgaged property as a
condition of approving the related mortgage loan for purchase by
the GSEs.

Overall, the credit quality of the mortgage loans backing this
transaction is similar to the previously sponsored Provident
Funding securitizations which Moody's have rated and to that of
transactions issued by other prime issuers. Borrowers of the
mortgage loans backing this transaction have strong credit profiles
demonstrated by strong credit scores, high percentage of equity and
significant liquid reserves. As of the cut-off date, no borrower
under any mortgage loan is in a COVID-19 related forbearance plan
with the servicer.

Provident Funding will act as the servicer of the mortgage loans.
Wells Fargo Bank, N.A (Wells Fargo, rated Aa1) will be the master
servicer, securities administrator, paying agent and certificate
registrar and the trustee will be Wilmington Savings Fund Society,
FSB.

PFMT 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: Provident Funding Mortgage Trust 2021-1

Cl. A-1, Rating Assigned Aaa (sf)

Cl. A-1A, Rating Assigned Aaa (sf)

Cl. A-2, Rating Assigned Aaa (sf)

Cl. A-2A, Rating Assigned Aaa (sf)

Cl. A-3, Rating Assigned Aaa (sf)

Cl. A-3A, Rating Assigned Aaa (sf)

Cl. A-4, Rating Assigned Aaa (sf)

Cl. A-4A, Rating Assigned Aaa (sf)

Cl. A-5, Rating Assigned Aa1 (sf)

Cl. A-5A, Rating Assigned Aa1 (sf)

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

Cl. B-2, Rating Assigned A2 (sf)

Cl. B-3, Rating Assigned Baa2 (sf)

Cl. B-4, Rating Assigned Baa3 (sf)

Cl. B-5, Rating Assigned Ba3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.14%
at the mean (0.05% at the median) and reaches 2.17% 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 US economic activity.

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

Moody's increased our model-derived median expected losses by 10%
(5% 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 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 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. 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 (TPR), and the
representations & warranties (R&W) framework of the transaction.

Collateral Description

As of the cut-off date of March 1, 2021, the pool contains of 1,239
mortgage loans with an aggregate principal balance of $526,872,987
secured by first liens on one- to three-family residential
properties, condominiums or planned unit developments, originated
from October 2020 through February 2021, and are fully amortizing,
fixed-rate Safe Harbor Qualified Mortgages (QM) loans, each with an
original term to maturity of up to 30 years. The mortgage loans
have principal balances which meet the requirements for purchase by
the GSEs, and were underwritten pursuant to the guidelines of the
GSEs, as applicable, using their automated underwriting systems
(collectively, agency-eligible loans).

Borrowers of the mortgage loans backing this transaction have
strong credit profiles demonstrated by strong credit scores, high
percentage of equity and significant liquid reserves. The average
stated principal balance is $425,241 and the weighted average (WA)
current mortgage rate is 2.7%. The mortgage pool has a WA original
term of 358 months. The mortgage pool has a WA seasoning of 1.5
months. The borrowers have a WA credit score of 784, WA combined
loan-to-value ratio (CLTV) of 60.0% and WA debt-to-income ratio
(DTI) of 31.0%. Furthermore, approximately 65.8% (by loan balance)
of the properties backing the mortgage loans are located in five
states: California, Washington, Colorado, Oregon and Utah, with
33.4% (by loan balance) of the properties located in California.
Properties located in the states of Texas, Arizona, Massachusetts,
Georgia and Pennsylvania round out the top ten states by loan
balance. Approximately 84.3% (by loan balance) of the properties
backing the mortgage loans included in PFMT 2021-1 are located in
these ten states.

Third-Party Review

One TPR firm verified the accuracy of the loan level information.
The TPR firm conducted detailed credit, property valuation, data
accuracy and compliance reviews on a random sample of approximately
24% (by loan count) of the mortgage loans in the collateral pool.
The due diligence results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. Moody's did not make any adjustments to its base case and
Aaa stress loss assumptions based on the TPR results.

However, the compliance, credit, property valuation, and data
integrity portion of the TPR was conducted on a random sample of
approximately 24% (by loan count) of the initial population of the
pre-securitization mortgage loans, down from 100% in PFMT 2019-1
and approximately 30% in PFMT 2020-1, the two most recent
transactions issued by the sponsor that Moody's have rated. With
sampling, there is a risk that loan defects may not be discovered
and such loans would remain in the pool. Moreover, vulnerabilities
of the R&W framework, such as the lack of an automatic review of
R&Ws by independent reviewer and the weaker financial strength of
the R&W provider, reduce the likelihood that such defects would be
discovered and cured during the transaction's life. Moody's made an
adjustment to loss levels to account for this risk.

Representations & Warranties

Moody's assessed Provident Funding Mortgage Trust 2020-1's R&W
framework for this transaction as adequate, consistent with that of
other prime jumbo transactions. An effective R&W framework protects
a transaction against the risk of loss from fraudulent or defective
loans. Moody's assessed the R&W framework based on three factors:
(a) the financial strength of the R&W provider; (b) the strength of
the R&Ws (including qualifiers and sunsets) and (c) the
effectiveness of the enforcement mechanisms. Moody's evaluated the
impact of these factors collectively on the ratings in conjunction
with the transaction's specific details and in some cases, the
strengths of some of the factors can mitigate weaknesses in others.
Moody's also considered the R&W framework in conjunction with other
transaction features, such as the TPR being conducted on a random
sample of approximately 24% (by loan count) (with no material
findings), custodial receipt, and property valuations, as well as
any sponsor alignment of interest, to evaluate the overall exposure
to loan defects and inaccurate information.

However, Moody's applied an adjustment to its losses to account for
the following two risks. First, Moody's accounted for the risk that
Provident Funding (rated B1), the R&W provider, 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 Provident Funding' 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.

Second, Moody's accounted for the risk that while the sponsor has
provided R&Ws that are generally consistent with a set of credit
neutral R&Ws that Moody's identified in Moody's methodology, the
R&W framework in this transaction differs from that of some other
prime jumbo transactions we have rated because there is a risk that
some loans with R&W defects may not be reviewed because an
independent reviewer is not named at closing and there is a
possibility that an independent reviewer will not be appointed
altogether. Instead, reviews are performed at the option and
expense of the controlling holder, or if there is no controlling
holder (which is the case at closing, because an affiliate of
sponsor will hold the subordinate classes and thus there will be no
controlling holder initially), a senior holder group.

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.

Servicing arrangement

Provident Funding will service the mortgage loans pursuant to the
pooling and servicing agreement. Moody's consider the overall
servicing arrangement for this pool to be adequate given the
servicing abilities of the Provident Funding as primary servicer.
Moody's also consider the presence of a strong master servicer to
be a mitigant against the risk of any servicing disruptions.
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions based on the servicing arrangement.

Other Considerations

The servicer has the option to purchase any mortgage loan which is
90 days or more delinquent, which may result in the step-down test
used in the calculation of the senior prepayment percentage to be
satisfied when otherwise it would not have been. Moreover, because
the purchase may occur prior to the breach review trigger of 120
days delinquency, the loan may not be reviewed for breaches of
representations and warranties and thus, systemic defects may
remain undetected. In Moody's analysis, Moody's considered that the
loans will be purchased by the servicer at par and a TPR firm
having performed a review on a random sample of approximately 24%
(by loan count) of the mortgage loans. Moreover, the reporting for
this transaction will list the mortgage loans purchased by the
servicer.

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 of 0.65% of the closing pool balance,
and a subordination lock-out amount of 0.65% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to our methodology.

Transaction Structure

The transaction is structured as a one pool shifting interest
structure in which the senior bonds benefit from a senior floor and
a subordination floor. Funds collected, including principal, are
first used to make interest payments to the senior bonds. Next
principal payments are made to the senior bonds and then interest
and principal payments are paid to the subordinate bonds in
sequential order, subject to the subordinate class percentage of
the subordinate principal distribution amounts.

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 the super senior bonds until their principal
balances are written off. As in all transactions with
shifting-interest structures, the senior bonds benefit from a cash
flow waterfall that allocates all prepayments to the senior bonds
for a specified period of time, and allocates increasing amounts of
prepayments to the subordinate bonds thereafter only if loan
performance satisfies both delinquency and loss tests.

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


REAL ESTATE 2014-1: DBRS Confirms B(high) Rating on Class G Certs
-----------------------------------------------------------------
DBRS Limited confirmed all ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-1 issued by Real Estate
Asset Liquidity Trust, Series 2014-1 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the February 2021 remittance,
13 of the original 34 loans remained in the pool, with an aggregate
trust balance of $107.3 million, representing a collateral
reduction of approximately 61.8% since issuance as a result of loan
repayment and scheduled loan amortization. The transaction is
concentrated by property type, as seven loans, representing 41.3%
of the current trust balance, are secured by retail assets, while
three loans, representing 24.9% of the current trust balance, are
secured by self-storage properties. The pool is also concentrated
by loan size, as the three largest loans in the pool represent
50.0% of the remaining trust balance. One loan, representing 7.2%
of the current trust balance, has been fully defeased. All loans
remaining in the pool benefit from some level of material recourse
to the loan's sponsor. There are five loans, representing 39% of
the current trust balance, that are scheduled to mature in August
2021; generally, refinance prospects look favorable for these loans
despite the ongoing Coronavirus Disease (COVID-19) pandemic.

The largest loan, Skyline Industrial Montreal (Prospectus ID#1,
23.0% of the current trust balance), is secured by six industrial
buildings totaling 562,045 sf in the Greater Montreal submarkets of
West Island, Lachine, and Saint-Laurent. All of the properties are
close to major transportation networks and the Montreal-Pierre
Elliot Trudeau International Airport. Based on the most recent rent
roll, the properties were 100.0% occupied and leased to 14 tenants.
The largest tenant, Silgan Plastics Canada Inc. (34.3% of the net
rentable area (NRA)), recently extended its lease by five years
through December 2023 at a rental rate of $5.40 per square foot
(psf), slightly above the issuance rate of $5.30 psf. While there
is some near-term tenant rollover risk in the third-largest tenant
(16.2% of the NRA, expiring May 2021) prior to the loan's scheduled
maturity in August 2021, the tenant has been in occupancy at the
property since 2001, and historical loan performance has been
healthy, with the most recent reporting reflecting a debt service
coverage ratio of 1.50x as of YE2019. In addition, the loan has
full recourse to the sponsorship group, Skyline Commercial Real
Estate Limited Partnership.

According to the February 2021 remittance report, there are no
loans in special servicing or delinquent, but there are two loans
on the servicer's watchlist, representing 23.5% of the current
trust balance. Both these loans have been affected by the ongoing
difficulties caused by the coronavirus. One of the loans, 1015 Golf
Links Roads (Prospectus ID#2, 15.7% of the current trust balance),
was granted forbearance in June 2020. A subsequent deferral was
granted, extending the principal portion deferral to include July
through September 2020 payments. Repayment commenced in October
2020, with deferred amounts being made up in nine equal
installments through July 2021.

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


REAL ESTATE 2015-1: DBRS Confirms B Rating on Class G Certs
-----------------------------------------------------------
DBRS Limited confirmed all ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-1 issued by Real Estate
Asset Liquidity Trust, Series 2015-1 as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. As of the February 2021 remittance,
36 of the original 46 loans remained in the pool, with an aggregate
trust balance of $248.2 million, representing a collateral
reduction of 25.9% since issuance as a result of loan repayment and
scheduled loan amortization. One loan, representing 10.2% of the
current trust balance, has been fully defeased. There are 22 loans,
representing 71.8% of the current trust balance, that benefit from
some level of material recourse to the loan's sponsor.

The transaction is concentrated by property type, as eight loans,
representing 27.5% of the current trust, are secured by retail
assets, while three loans, representing 19.6% of the current trust
balance, are secured by lodging properties. In addition, the
largest loan, representing 10.4% of the pool, is secured by a
retirement home. While the Coronavirus Disease (COVID-19) pandemic
has affected these property types most severely, the servicer has
offered short-term forbearance for those borrowers requesting
relief, while the remainder of the loans continue to perform.
According to the February 2021 remittance report, there are no
loans that are in special servicing or delinquent, although there
are five loans on the servicer's watchlist, representing 25.2% of
the current trust balance. Four of these loans, representing 14.8%
of the current trust balance, were on the watchlist as a result of
the ongoing difficulties caused by the coronavirus. All four loans
have received forbearance in the form of deferred payment of
principal following an interest-only (IO) term of three to six
months.

The largest loan, Alta Vista Manor Retirement Ottawa (Prospectus
ID#1, 10.4% of the current pool balance) is secured by a 174-unit,
luxury senior housing retirement residence in Ottawa. The property
comprises a mix of independent living and assisted living units and
is ideally near the Ottawa Hospital. The loan has been on the
servicer's watchlist since May 2018 because of declining revenue
and a low debt service coverage ratio (DSCR). As of YE2019, the
loan reported a net cash flow (NCF) of $1.1 million (a DSCR of 0.56
times (x)), a 60.0% decline from the Issuer's NCF figure of $5.6
million (a DSCR of 1.40x). According the servicer, the reason for
the decline in performance has been multifaceted, including
increased competition, delayed move-in dates, and restrictions put
in place for new residents as a result of the coronavirus pandemic.
The property has also incurred higher expenses from infection
control measures, which have further strained cash flows. The loan
has full recourse to Regal Lifestyle Communities, which was
purchased by Welltower (formerly known as Health Care REIT Inc.)
and Revera, Inc. Welltower is the largest healthcare real estate
investment trust in the United States, reporting cash equivalents
of USD 2 billion as of December 31, 2020, and has significant
financial wherewithal to weather the performance decline recently
observed.

DBRS Morningstar is also monitoring the Hilton Mississauga
Meadowvale loan (Prospectus ID#7, 4.8% of the current pool
balance), a 374-key full-service hotel in the Meadowvale Business
Park in Mississauga, Ontario. The trust loan is a pari passu
participation in a $27.0 million whole loan, which is split into
two notes held in the subject transaction and in IMSCI 2016-7 (also
rated by DRBS Morningstar). The servicer added this loan to the
watchlist in September 2020 after significant performance declines
stemming from the restrictions brought on by the coronavirus. At
issuance, demand segmentation was 49% meeting and group, largely
driven by conferences held at the property, given its 46,518 square
feet of meeting space. While the province of Ontario is in a period
of transition, Peel Region, where the subject is located, is still
in the Grey Zone, which is the most restrictive of measures across
the province. The loan was granted three months of IO payments
beginning in September 2020, with principal payments to be repaid
over the following six months beginning in December 2020. Based on
the most recent reporting, the borrower is honoring the loan
modification. The sponsor, Manjis Holdings, is a real estate
investment group with interests in Hilton Toronto and the senior
living company, Amica Mature Lifestyles. The sponsorship group
provides partial recourse of $10 million.

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


REALT 2006-1: Fitch Affirms B Rating on Class G Certificates
------------------------------------------------------------
Fitch Ratings has affirmed eight classes of Real Estate Asset
Liquidity Trust's (REAL-T) commercial mortgage pass-through
certificates series 2016-1.

    DEBT                RATING           PRIOR
    ----                ------           -----
REAL-T 2016-1

A-1 75585RMW2    LT  AAAsf   Affirmed    AAAsf
A-2 75585RMY8    LT  AAAsf   Affirmed    AAAsf
B 75585RNC5      LT  AAsf    Affirmed    AAsf
C 75585RNE1      LT  Asf     Affirmed    Asf
D 75585RNG6      LT  BBBsf   Affirmed    BBBsf
E 75585RNJ0      LT  BBB-sf  Affirmed    BBB-sf
F 75585RNL5      LT  BBsf    Affirmed    BBsf
G 75585RNM3      LT  Bsf     Affirmed    Bsf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The overall pool
performance remains stable from issuance. There are no delinquent
or specially serviced loans. Three loans (12.4% of the pool have
been designated as Fitch Loans of Concern (FLOC) due to concerns
related to occupancy, scheduled tenant rollover, and lack of
updated financials. Fitch's current ratings incorporate a base case
loss of 2.60%. The Negative Rating Outlook on class G reflects
additional coronavirus related stresses which assumes losses could
reach 3.30%.

Increased Credit Enhancement: As of the March, 2021 distribution
date, the pool's aggregate balance has been reduced by 22% to
$312.7 million, from $401.0 million at issuance. There are no
interest-only loans in the pool. At issuance, the pool was
scheduled to amortize 23.3% by maturity. One loan representing 0.4%
of the pool is scheduled to mature in 2021, and three loans
representing 8.2% of the pool are scheduled to mature in 2022.

Canadian Loan Attributes and Historical Performance: The ratings
reflect strong historical Canadian commercial real estate loan
performance, as well as positive loan attributes, such as short
amortization schedules, recourse to the borrower and additional
guarantors. Approximately 79.3% of the loans in the pool reflect
full or partial recourse.

Coronavirus Exposure: Eighteen loans (35.5% of the pool) are
secured by retail properties and additional coronavirus related
stresses were applied to eight loans (23.5% of the pool) to account
for potential cash flow disruptions due to the coronavirus
pandemic.

RATING SENSITIVITIES

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

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

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

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

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

-- Downgrades to classes B and C are possible should the FLOCs
    incur greater than expected losses. Class D may be downgraded
    should loss expectations increase due to further performance
    decline for the FLOCs. Downgrades to classes E through G may
    occur should loans transfer to special servicing, risks
    associated with tenant rollover materialize or worsen, or
    retail loans fail to return to pre-pandemic levels.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


REGATTA XVIII: S&P Assigns BB- (sf) Rating on $22MM Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Regatta XVIII Funding
Ltd./Regatta XVIII Funding LLC's floating-rate notes.

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

The 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

  Regatta XVIII Funding Ltd./Regatta XVIII Funding LLC

  Class A-1, $335.50 million: AAA (sf)
  Class A-2, $11.50 million: AAA (sf)
  Class B, $68.25 million: AA (sf)
  Class C (deferrable), $35.75 million: A (sf)
  Class D (deferrable), $33.00 million: BBB- (sf)
  Class E (deferrable), $22.00 million: BB- (sf)
  Subordinated notes, $57.65 million: not rated


ROCKFORD CLO 2019-1: Moody's Assigns Ba3 Rating to Class E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Rockford Tower CLO 2019-1, Ltd.
(the "Issuer").

Moody's rating action is as follows:

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

US$47,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2034 (the "Class B-1-R Notes"), Assigned Aa2 (sf)

US$13,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2034
(the "Class B-2-R Notes"), Assigned Aa2 (sf)

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

US$30,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf)

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

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of first lien senior secured
loans and eligible investments. Up to 7.5% of the portfolio may
consist of second lien loans, unsecured loans and permitted
non-loan assets, with permitted non-loan assets limited to 5% and
unsecured bonds limited to 2.5%.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Adjusted Weighted Average Moody's Rating Factor" and changes to
the base matrix and modifiers.

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

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

Performing par and principal proceeds balance: $497,556,533

Defaulted par: $2,443,467

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2903

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 5.50%

Weighted Average Recovery Rate (WARR): 47.25%

Weighted Average Life (WAL): 9.06 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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.


RR 15: S&P Assigns BB- (sf) Rating on $24.375MM Class D Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to RR 15 Ltd./RR 15 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 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 15 Ltd./RR 15 LLC

  Class A-1, $409.500 million: AAA (sf)
  Class A-2, $78.000 million: AA (sf)
  Class B (deferrable), $45.500 million: A (sf)
  Class C (deferrable), $39.000 million: BBB- (sf)
  Class D (deferrable), $24.375 million: BB- (sf)
  Subordinated notes, $51.100 million: Not rated



RR 15: S&P Assigns Preliminary BB- (sf) Rating on Class D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to RR 15
Ltd./RR 15 LLC's floating-rate notes.

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

The preliminary ratings are based on information as of March 29,
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 management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and

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

  Preliminary Ratings Assigned

  RR 15 Ltd./RR 15 LLC

  Class A-1, $409.500 million: AAA (sf)
  Class A-2, $78.000 million: AA (sf)
  Class B (deferrable), $45.500 million: A (sf)
  Class C (deferrable), $39.000 million: BBB- (sf)
  Class D (deferrable), $24.375 million: BB- (sf)
  Subordinated notes, $51.100 million: Not rated



SEQUOIA MORTGAGE 2021-2: Fitch Gives Final BB- Rating on B4 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
certificates to be issued by Sequoia Mortgage Trust 2021-2 (SEMT
2021-2).

DEBT               RATING               PRIOR
----               ------               -----
SEMT 2021-2

A1        LT  AAAsf   New Rating     AAA(EXP)sf
A10       LT  AAAsf   New Rating     AAA(EXP)sf
A11       LT  AAAsf   New Rating     AAA(EXP)sf
A12       LT  AAAsf   New Rating     AAA(EXP)sf
A13       LT  AAAsf   New Rating     AAA(EXP)sf
A14       LT  AAAsf   New Rating     AAA(EXP)sf
A15       LT  AAAsf   New Rating     AAA(EXP)sf
A16       LT  AAAsf   New Rating     AAA(EXP)sf
A17       LT  AAAsf   New Rating     AAA(EXP)sf
A18       LT  AAAsf   New Rating     AAA(EXP)sf
A19       LT  AAAsf   New Rating     AAA(EXP)sf
A2        LT  AAAsf   New Rating     AAA(EXP)sf
A20       LT  AAAsf   New Rating     AAA(EXP)sf
A21       LT  AAAsf   New Rating     AAA(EXP)sf
A22       LT  AAAsf   New Rating     AAA(EXP)sf
A23       LT  AAAsf   New Rating     AAA(EXP)sf
A24       LT  AAAsf   New Rating     AAA(EXP)sf
A25       LT  AAAsf   New Rating     AAA(EXP)sf
A3        LT  AAAsf   New Rating     AAA(EXP)sf
A4        LT  AAAsf   New Rating     AAA(EXP)sf
A5        LT  AAAsf   New Rating     AAA(EXP)sf
A6        LT  AAAsf   New Rating     AAA(EXP)sf
A7        LT  AAAsf   New Rating     AAA(EXP)sf
A8        LT  AAAsf   New Rating     AAA(EXP)sf
A9        LT  AAAsf   New Rating     AAA(EXP)sf
AIO1      LT  AAAsf   New Rating     AAA(EXP)sf
AIO10     LT  AAAsf   New Rating     AAA(EXP)sf
AIO11     LT  AAAsf   New Rating     AAA(EXP)sf
AIO12     LT  AAAsf   New Rating     AAA(EXP)sf
AIO13     LT  AAAsf   New Rating     AAA(EXP)sf
AIO14     LT  AAAsf   New Rating     AAA(EXP)sf
AIO15     LT  AAAsf   New Rating     AAA(EXP)sf
AIO16     LT  AAAsf   New Rating     AAA(EXP)sf
AIO17     LT  AAAsf   New Rating     AAA(EXP)sf
AIO18     LT  AAAsf   New Rating     AAA(EXP)sf
AIO19     LT  AAAsf   New Rating     AAA(EXP)sf
AIO2      LT  AAAsf   New Rating     AAA(EXP)sf
AIO20     LT  AAAsf   New Rating     AAA(EXP)sf
AIO21     LT  AAAsf   New Rating     AAA(EXP)sf
AIO22     LT  AAAsf   New Rating     AAA(EXP)sf
AIO23     LT  AAAsf   New Rating     AAA(EXP)sf
AIO24     LT  AAAsf   New Rating     AAA(EXP)sf
AIO25     LT  AAAsf   New Rating     AAA(EXP)sf
AIO26     LT  AAAsf   New Rating     AAA(EXP)sf
AIO3      LT  AAAsf   New Rating     AAA(EXP)sf
AIO4      LT  AAAsf   New Rating     AAA(EXP)sf
AIO5      LT  AAAsf   New Rating     AAA(EXP)sf
AIO6      LT  AAAsf   New Rating     AAA(EXP)sf
AIO7      LT  AAAsf   New Rating     AAA(EXP)sf
AIO8      LT  AAAsf   New Rating     AAA(EXP)sf
AIO9      LT  AAAsf   New Rating     AAA(EXP)sf
B1        LT  AA-sf   New Rating     AA-(EXP)sf
B2        LT  A-sf    New Rating     A-(EXP)sf
B3        LT  BBB-sf  New Rating     BBB-(EXP)sf
B4        LT  BB-sf   New Rating     BB-(EXP)sf
B5        LT  NRsf    New Rating     NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 381 loans with a total balance of
approximately $348.48 million as of the cutoff date. The pool
consists of prime fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. (Redwood) from various mortgage
originators. Distributions of principal and interest and loss
allocations are based on a senior-subordinate, shifting-interest
structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
381 full documentation loans, totaling $348 million and seasoned
approximately one month in aggregate. The borrowers have a strong
credit profile (778 model FICO and 30% DTI) and moderate leverage
(72% sLTV). The pool consists of 96.2% of loans where the borrower
maintains a primary residence, while 3.8% is a second home.
Additionally, 94% of the loans were originated through a retail
channel, and 100% are designated as QM loans.

Shifting Interest Structure (Negative): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature most commonly used by Redwood's program for
loans more than 120 days delinquent (a stop-advance loan). Unpaid
interest on stop-advance loans reduces the amount of interest that
is contractually due to bondholders in reverse-sequential order.
While this feature helps limit cash flow leakage to subordinate
bonds, it can result in interest reductions to rated bonds in
high-stress scenarios.

120-Day Stop Advance (Mixed): The deal is structured to four months
of servicer advances for delinquent principal and interest. The
limited advancing reduces loss severities as a lower amount is
repaid to the servicer when a loan liquidates.

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 0.75% of the original balance will be
maintained for the certificates.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
The implied rating sensitivities are only an indication of some of
the potential outcomes and do not consider other risk factors that
the transaction may become exposed to or that may be considered in
the surveillance of the transaction. Sensitivity analyses were
conducted at the state and national levels to assess the effect of
higher MVDs for the subject pool as well as lower MVDs, illustrated
by a gain in home prices.

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 39.5% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or in other words positive home price growth with no
    assumed overvaluation. The analysis assumes positive home
    price growth of 10%. Excluding the senior class, which is
    already rated 'AAA(EXP)sf', the analysis indicates there is
    potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAA(EXP)sf'.

-- This section provides insight into the model-implied
    sensitivities the transaction faces when one assumption is
    modified, while holding others equal. The modeling process
    uses the modification of these variables to reflect asset
    performance in up- and down environments. The results should
    only be considered as one potential outcome, as the
    transaction is exposed to multiple dynamic risk factors. It
    should not be used as an indicator of possible future
    performance.

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

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

There is one variation from Fitch's "U.S. RMBS Cash Flow Analysis
Criteria." Fitch expects the subordination floor to exceed: a) the
sum of the 25 largest 'AAAsf' expected loss amounts, b) the 'AAAsf'
expected losses of 100 average loans, and c) the amount of loss
resulting from the default of the five largest loans applying the
'AAAsf' loss severity. The minimum subordination floor sensitivity
outline in Fitch's criteria is designed to capture the tail-risk
from a typical Prime 2.0 transaction. Given this is outside of the
norm, there are some structural nuances, like the limited servicer
advance, the stronger CE test, which recognizes stop advance loans,
and post-test failure re-direction of scheduled principal to the
senior classes, all of which should protect from tail risk. From a
loss perspective, there was a significant amount of conservatism
built into the losses, as loss severity floors were applied at
'AAAsf' rating, and only four of the largest 20 loans had an
expected loss above Fitch's loss severity floors in the 'AAAsf'
rating stress.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton and EdgeMac. The third-party due diligence
described in Form 15E focused on credit, compliance and property
valuations.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on about 80% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." Clayton and EdgeMac, were engaged to perform the
review. Loans reviewed under this engagement were given compliance,
credit and valuation grades and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Refer to the Third-Party Due Diligence section
of the presale report for further details.

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

ESG CONSIDERATIONS

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


SOLARCITY LMC V 2016-1: S&P Affirms 'BB(sf)' on Class B Notes
-------------------------------------------------------------
S&P Global Ratings affirmed its 'BBB (sf)' and 'BB (sf)' ratings on
the class A and B notes, respectively, from SolarCity LMC Series V
LLC's series 2016-1.

This issuance is an ABS transaction backed by the rights, title,
and interest in a portfolio of solar assets, including customer
agreements, solar equipment, permits, manufacturer's warranties,
and cash flow associated with the ownership of these assets.

The affirmations reflect that the notes' performance is in line
with projections and expectations at closing. The transaction has
had steady performance and has paid down the notes per
expectations. According to the performance reports from the
servicer, no performance triggers were breached; there has been no
early amortization, no debt-service coverage ratio sweep, and no
manager termination event; and the transactions met their reserve
account and overcollateralization requirements.

S&P will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and will take rating actions as it deems necessary.



STAR 2021-SFR1: DBRS Finalizes B (low) Rating on Class G Certs
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Single-Family Rental Pass-Through Certificates (the Certificates)
issued by STAR 2021-SFR1 Trust:

-- $95.1 million Class A at AAA (sf)
-- $25.6 million Class B at AAA (sf)
-- $30.1 million Class C at AA (sf)
-- $28.8 million Class D at A (low) (sf)
-- $36.7 million Class E at BBB (low) (sf)
-- $28.7 million Class F at BB (low) (sf)
-- $33.7 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A Certificates reflects 69.6% and
61.4% of credit enhancement provided by subordinated notes in the
pool. The AA (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and
B (low) ratings reflect 51.8%, 42.5%, 30.8%, 21.6%, and 10.8% of
credit enhancement, respectively.

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

STAR 2021-SFR1's 1,612 properties are in five states, with the
largest concentration by broker price opinion value in Georgia
(56.4%). The largest metropolitan statistical area (MSA) by value
is Atlanta (56.4%), followed by Phoenix (20.8%). The geographic
concentration dictates the home-price stresses applied to the
portfolio and the resulting market value decline (MVD). The Atlanta
concentration was mitigated by DBRS Morningstar's qualitative
adjustments and the distribution of the properties across 51 ZIP
codes within the MSA. The MVD at the AAA (sf) rating level for this
deal is 56.6%. STAR 2021-SFR1 has properties from 12 MSAs, most of
which did not experience home-price index declines as dramatic as
those in the recent housing downturn.

DBRS Morningstar finalized the provisional ratings for each class
of certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. DBRS Morningstar
developed property-level stresses for the analysis of single-family
rental assets. DBRS Morningstar's analysis includes estimated
base-case net cash flow (NCF) by evaluating the gross rent,
concession, vacancy, operating expenses, and capital expenditure
data. The DBRS Morningstar NCF analysis resulted in a minimum debt
service coverage ratio higher than 1.0 times.

Furthermore, DBRS Morningstar reviewed the third-party participants
in the transaction, including the property manager, servicer, and
special servicer. These transaction parties are acceptable to DBRS
Morningstar. DBRS Morningstar also conducted a legal review and
found no material rating concerns.

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


STARWOOD MORTGAGE 2021-1: Fitch Gives Final B- Rating on 11 Classes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Starwood Mortgage
Residential Trust 2021-1 (STAR 2021-1).

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

A-1       LT  AAAsf   New Rating    AAA(EXP)sf
A-2       LT  AAsf    New Rating    AA(EXP)sf
A-3       LT  Asf     New Rating    A(EXP)sf
M-1       LT  BBB-sf  New Rating    BBB-(EXP)sf
B-1       LT  BB-sf   New Rating    BB-(EXP)sf
B-2       LT  B-sf    New Rating    B-(EXP)sf
A-IO-S    LT  NRsf    New Rating    NR(EXP)sf
XS        LT  NRsf    New Rating    NR(EXP)sf
B-2-A     LT  B-sf    New Rating  
B-2-AX    LT  B-sf    New Rating  
B-2-B     LT  B-sf    New Rating  
B-2-BX    LT  B-sf    New Rating  
B-2-C     LT  B-sf    New Rating  
B-2-CX    LT  B-sf    New Rating  
B-2-D     LT  B-sf    New Rating  
B-2-DX    LT  B-sf    New Rating  
B-2-E     LT  B-sf    New Rating  
B-2-EX    LT  B-sf    New Rating  
B-3-1     LT  NRsf    New Rating    NR(EXP)sf
B-3-1-A   LT  NRsf    New Rating
B-3-1-AX  LT  NRsf    New Rating
B-3-1-B   LT  NRsf    New Rating
B-3-1-BX  LT  NRsf    New Rating
B-3-1-C   LT  NRsf    New Rating
B-3-1-CX  LT  NRsf    New Rating
B-3-1-D   LT  NRsf    New Rating
B-3-1-DX  LT  NRsf    New Rating
B-3-1-E   LT  NRsf    New Rating
B-3-1-EX  LT  NRsf    New Rating
B-3-2     LT  NRsf    New Rating
B-3-2-A   LT  NRsf    New Rating
B-3-2-AX  LT  NRsf    New Rating
B-3-2-B   LT  NRsf    New Rating
B-3-2-BX  LT  NRsf    New Rating
B-3-2-C   LT  NRsf    New Rating
B-3-2-CX  LT  NRsf    New Rating
B-3-2-D   LT  NRsf    New Rating
B-3-2-DX  LT  NRsf    New Rating
B-3-2-E   LT  NRsf    New Rating
B-3-2-EX  LT  NRsf    New Rating

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed certificates 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).

The issuer requested ratings be assigned to the Exchangeable
classes after the presale was published. As a result, Fitch
assigned final ratings to the Exchangeable classes as well as the
Senior, Mezzanine, and Subordinate classes. The ratings on the
exchangeable classes are based off of the lowest rating that the
Exchangeable classes are based off/notional off of.

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 pandemic relief, the servicer
will offer forbearance for a period of four to six 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 349 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
pandemic-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%
EHRI-eligible horizontal residual interest 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 will provide the reps for the
28.3% of the pool that it originated and Starwood 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.

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

-- This defined negative stress sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model-projected 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 U.S. 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.


TESLA AUTO 2021-A: Moody's Rates $43.18MM Class E Notes 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes 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 are 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

$113,000,000, 0.15648%, Class A-1 Notes, Definitive Rating Assigned
P-1 (sf)

$380,000,000, 0.36%, Class A-2 Notes, Definitive Rating Assigned
Aaa (sf)

$248,000,000, 0.56%, Class A-3 Notes, Definitive Rating Assigned
Aaa (sf)

$95,840,000, 0.66%, Class A-4 Notes, Definitive Rating Assigned Aaa
(sf)

$82,790,000, 1.02%, Class B Notes, Definitive Rating Assigned Aa2
(sf)

$65,060,000, 1.18%, Class C Notes, Definitive Rating Assigned A2
(sf)

$48,490,000, 1.34%, Class D Notes, Definitive Rating Assigned Baa2
(sf)

$43,180,000, 2.64%, Class E Notes, Definitive Rating Assigned 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 2021-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 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 our 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.


TOWD POINT 2020-4: Fitch Assigns B- Rating on 16 Tranches
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Towd
Point Mortgage Trust 2020-4 (TPMT 2020-4). TPMT 2020-4 closed in
October 2020, and FirstKey added the exchangeable classes after the
transaction closed.

DEBT           RATING
----           ------
TPMT 2020-4

B1A      LT BB-sf  New Rating
B1AX     LT BB-sf  New Rating
B1B      LT BB-sf  New Rating
B1BX     LT BB-sf  New Rating
B1C      LT BB-sf  New Rating
B1CX     LT BB-sf  New Rating
B1D      LT BB-sf  New Rating
B1DX     LT BB-sf  New Rating
B1E      LT BB-sf  New Rating
B1EX     LT BB-sf  New Rating
B1F      LT BB-sf  New Rating
B1FX     LT BB-sf  New Rating
B2A      LT B-sf   New Rating
B2AX     LT B-sf   New Rating
B2B      LT B-sf   New Rating
B2BX     LT B-sf   New Rating
B2C      LT B-sf   New Rating
B2CX     LT B-sf   New Rating
B2D      LT B-sf   New Rating
B2DX     LT B-sf   New Rating
B2E      LT B-sf   New Rating
B2EX     LT B-sf   New Rating
B2F      LT B-sf   New Rating
B2FX     LT B-sf   New Rating
B2G      LT B-sf   New Rating
B2GX     LT B-sf   New Rating
B2H      LT B-sf   New Rating
B2HX     LT B-sf   New Rating
B3A      LT NRsf   New Rating
B3AX     LT NRsf   New Rating
B3B      LT NRsf   New Rating
B3BX     LT NRsf   New Rating
B3C      LT NRsf   New Rating
B3CX     LT NRsf   New Rating
B3D      LT NRsf   New Rating
B3DX     LT NRsf   New Rating
B3E      LT NRsf   New Rating
B3EX     LT NRsf   New Rating
B3F      LT NRsf   New Rating
B3FX     LT NRsf   New Rating
B3G      LT NRsf   New Rating
B3GX     LT NRsf   New Rating
B4A      LT NRsf   New Rating
B4AX     LT NRsf   New Rating
B4B      LT NRsf   New Rating
B4BX     LT NRsf   New Rating
B4C      LT NRsf   New Rating
B4CX     LT NRsf   New Rating
B4D      LT NRsf   New Rating
B4DX     LT NRsf   New Rating
B4E      LT NRsf   New Rating
B4EX     LT NRsf   New Rating
B4F      LT NRsf   New Rating
B4FX     LT NRsf   New Rating
B4G      LT NRsf   New Rating
B4GX     LT NRsf   New Rating

TRANSACTION SUMMARY

As of the statistical calculation date, the notes were supported by
one collateral group that consisted of 11,673 seasoned performing
loans (SPLs) and re-performing loans (RPLs) with a total balance of
approximately $1.39 billion, which includes $106 million, or 8%, of
the aggregate pool balance in non-interest-bearing deferred
principal amounts. The data in this press release reflects the
transaction composition as of the statistical calculation date.

KEY RATING DRIVERS

Revised GDP Due to the coronavirus pandemic: The coronavirus
pandemic and the resulting containment efforts have resulted in
revisions to Fitch's GDP estimates for 2020. Fitch's baseline
global economic outlook for U.S. GDP growth is currently a 4.6%
decline for 2020, down from 1.7% growth for 2019. Fitch's downside
scenario would see an even larger decline in output in 2020 and a
weaker recovery in 2021. To account for declining macroeconomic
conditions resulting from pandemic, an Economic Risk Factor (ERF)
floor of 2.0 (the ERF is a default variable in the U.S. RMBS loan
loss model) was applied to 'BBBsf' and below.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, SPLs and RPLs. Of the pool,
approximately 7% were delinquent (DQ) as of the statistical
calculation date. Based on Fitch's treatment of coronavirus-related
forbearance and deferral loans, approximately 69% of the loans were
treated as having clean payment histories for the past two years
and the remaining 24% of the loans are current but have had recent
delinquencies or incomplete 24-month pay strings. Roughly 84% have
been modified.

Expected Payment Forbearance and Deferrals Related to Coronavirus
(Negative): The outbreak of coronavirus and widespread containment
efforts in the U.S. will result in increased unemployment and cash
flow disruptions. Mortgage payment deferrals will provide immediate
relief to affected borrowers, and Fitch expects servicers to
broadly adopt this practice. The missed payments will result in
interest shortfalls that will likely be recovered, the timing of
which will depend on repayment terms; if interest is added to the
underlying balance as a non-interest-bearing amount, repayment will
occur at refinancing, property liquidation or loan maturity.

To account for the cash flow disruptions, Fitch assumed forbearance
payments on a minimum of 40% of the pool for the first six months
of the transaction at all rating categories with a reversion to its
standard delinquency and liquidation timing curve by month 10. This
assumption is based on observations of legacy Alt-A delinquencies
and past-due payments following Hurricane Maria in Puerto Rico.
Under these assumptions the 'AAAsf' and 'AAsf' classes did not
incur any shortfalls and are expected to receive timely payments of
interest. The cash flow waterfall providing for principal otherwise
distributable to the lower rated bonds to pay timely interest to
the 'AAAsf' and 'AAsf' bonds and availability of excess spread also
mitigate the risk of interest shortfalls. The 'A-sf' through 'B-sf'
rated classes incurred temporary interest shortfalls that were
ultimately recovered.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. FirstKey Mortgage, LLC
(FirstKey) has a well-established track record in RPL activities
and has an "above-average" aggregator assessment from Fitch. Select
Portfolio Servicing, Inc. (SPS) and Specialized Loan Servicing LLC
(SLS) will perform primary and special servicing functions for this
transaction and are rated 'RPS1-'/Outlook Negative and
'RPS2+'/Outlook Negative, respectively, for this product type. The
benefit of highly rated servicers decreased Fitch's loss
expectations by 135 bps at the 'AAAsf' rating category. The
issuer's retention of at least 5% of the bonds helps ensure an
alignment of interest between issuer and investor.

Low Aggregate Servicing Fee (Mixed): Fitch determined that the
stated aggregate servicing fee of approximately 18 bps (18bps for
SPS and 30bps for SLS) may be insufficient to attract subsequent
servicers under a period of poor performance and high
delinquencies. To account for the potentially higher fee needed to
obtain a subsequent servicer, Fitch's cash flow analysis assumed a
45-bp servicing fee.

Third-Party Due Diligence (Negative): A third-party due diligence
review was conducted on 85% of the loan by loan count/94% by UPB
and focused on regulatory compliance, pay history and a tax and
title lien search. The third-party due diligence was performed by
Clayton and AMC, both of which are assessed as 'Acceptable — Tier
1' TPR firms by Fitch. The results of the review indicate moderate
operational risk with approximately 14% of the reviewed loans
assigned a 'C' or 'D' grade, meaning the loans had material
violations or lacked documentation to confirm regulatory
compliance. Fitch adjusted its loss expectation at the 'AAAsf'
rating category by approximately 10 bps to account for this added
risk. See the Third-Party Due Diligence section for additional
details.

Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction to generally be consistent with what it views
as a Tier 2 framework. The tier assessment is based primarily on
the inclusion of knowledge qualifiers in the framework and the
exclusion of several representations such as loans identified as
having unpaid taxes. The issuer is not providing R&Ws for second
liens, and therefore Fitch treated these loans as Tier 5. Fitch
increased its 'AAAsf' loss expectations by 166 bps to account for a
potential increase in defaults and losses arising from weaknesses
in the reps a well as the noninvestment grade counterparty. See
Mortgage Loan Representations and Warranties section for more
detail.

Limited Life of Rep Provider (Negative): FirstKey, as rep provider,
will only be obligated to repurchase a loan due to breaches prior
to the payment date in November 2021. Thereafter, a reserve fund
will be available to cover amounts due to noteholders for loans
identified as having rep breaches. Amounts on deposit in the
reserve fund as well as the increased level of subordination will
be available to cover additional defaults and losses resulting from
rep weaknesses or breaches occurring on or after the payment date
in November 2021.

No Servicer P&I Advances (Mixed): The servicers will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity (LS) is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.

Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to reallocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class in the absence of servicer advancing.

Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $106 million (8%) of the UPB are
outstanding on 2,888 loans. Fitch included the deferred amounts
when calculating the borrower's loan-to-value ratio (LTV) and
sustainable LTV (sLTV), despite the lower payment and amounts not
being owed during the term of the loan. The inclusion resulted in a
higher probability of default (PD) and LS than if there were no
deferrals. Fitch believes that borrower default behavior for these
loans will resemble that of the higher LTVs, as exit strategies
(i.e. sale or refinancing) will be limited relative to those
borrowers with more equity in the property.

Hurricane Exposure (Negative): 28 loans in the pool (0.2% of UPB)
were identified as being located in an Individual Assistance FEMA
disaster area as a result of the recent hurricanes. In order to
protect against damages and potential losses, these loans were run
as 100% loss. This ultimately resulted in a 12bps increase to
'AAAsf' expected loss.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
that may be considered in the surveillance of the transaction.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, as well
as lower MVDs illustrated by a gain in home prices.

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.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation. The analysis assumes positive home price growth
    of 10%. Excluding the senior class, which is already 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all of the rated classes. Specifically, a 10%
    gain in home prices would result in a full category upgrade
    for the rated class excluding those being assigned ratings of
    'AAAsf'.

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 38.3% 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.

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

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

Fitch's analysis incorporated four criteria variations from the
"U.S. RMBS Rating Criteria."

The first variation relates to the tax/title review. The tax/title
review was outdated (over six months ago) on 15% of the reviewed
loans by loan count. Approximately 94% of the sample loans were
reviewed within 12 months and the remaining loans were reviewed
more than 12 month ago. Additionally, the servicers are monitoring
the tax and title status as part of standard practice and will
advance where deemed necessary to keep the first lien position of
each loan. This variation had no rating impact.

The second variation is that a tax and title review was not
completed on 100% if the first lien loans. Approximately A total of
99.8% of first liens received an updated tax and title search. The
first liens without an updated tax and title search are a
relatively immaterial amount relative to the overall pool and were
treated as second liens which receive a 100% LS. This variation had
no rating impact.

The third variation is that a due diligence compliance and data
integrity review was not completed on approximately 15% of the pool
by loan count. The sample meets Fitch's criteria for second liens
and SPL loans as 32% of the second liens and 71% of the SPL loans
were reviewed (the criteria allows for a 20% sample). Fitch defines
SPL as loans which are seasoned over 24 months, have not been
modified and have had no more one 30-day delinquency in the prior
24 months but are current as of the cutoff date. A criteria
variation was applied for the RPL loans. A total of 69% of the pool
is categorized as RPL, and Fitch's criteria expects 100% review for
RPL loans (99% was reviewed). The loans in the pool are
predominately from a single source. For the RPL loans which did not
receive a compliance review, approximately 1% of the total RPL
population, were treated as missing HUD-1s and received the
standard indeterminate adjustment which increases the LS depending
on the state that the property is located. This variation did not
have a rating impact.

The fourth variation relates to the pay history review. For RPL
transactions, Fitch expects a pay history review to be completed on
100% of the loans and expects the review to reflect the past 24
months. The pay history sample completed on the SPL and second
liens meet's Fitch's criteria. A pay history review was either not
completed, was outdate or a pay string was not received from the
servicer for approximately 4% of the RPL loans. Roughly half of
these loans have dirty pay histories and are therefore receiving a
PD hit in Fitch's model. In addition, the loans are approximately
14 years seasoned and 69% of the pool has been paying on time for
the past 24 months. For the loans where a pay history review was
conducted, the results verified what was provided on the loan tape.
Additionally, the pay strings which were provided on the loan tape
were provided to FirstKey by the current servicer. This variation
did not have a 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 [Clayton and AMC]. The third-party due diligence
described in Form 15E focused on [a compliance review, pay history
and tax and title lien search]. Fitch considered this information
in its analysis and, as a result, Fitch made the following
adjustment(s) to its analysis: [loss severity adjustments to
reflect missing or indeterminate HUD-1 files as well as increased
losses for unpaid tax and lien amounts]. This/These adjustment(s)
resulted in [a less than 25bps loss increase at the 'AAAsf' rating
category].

DATA ADEQUACY

The data was sufficient to support the 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.


TRALEE CLO VII: S&P Assigns BB- (sf) Rating on $16MM Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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 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.

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

  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 B- (sf) Rating on Class E-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, D-R, and E-R replacement notes from Trestles CLO
2017-1 Ltd./Trestles CLO 2017-1 LLC, a CLO originally issued in
July 2017 that is managed by Pacific 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 by primarily of
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

  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



TRIANGLE RE 2021-1: DBRS Finalizes B(low) Rating on Class M-2 Certs
-------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Series 2021-1 Mortgage Insurance-Linked Notes (the Notes) issued by
Triangle Re 2021-1 Ltd. (TMIR 2021-1 or the Issuer):

-- $120.2 million Class M-1A at BBB (low) (sf)
-- $141.4 million Class M-1B at BB (sf)
-- $91.9 million Class M-1C at B (high) (sf)
-- $99.0 million Class M-2 at B (low) (sf)

The BBB (low) (sf), BB (sf), B (high) (sf) and B (low) (sf) ratings
reflect 4.15%, 3.15%, 2.50% and 1.80% of credit enhancement,
respectively.

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

TMIR 2021-1 is Genworth Mortgage Insurance Corporation's
(Genworth's; the ceding insurer) second rated MI-linked note
transaction. The Notes are backed by reinsurance premiums, eligible
investments, and related account investment earnings, in each case
relating to a pool of MI policies linked to residential loans. The
Notes are exposed to the risk arising from losses the ceding
insurer pays to settle claims on the underlying MI policies.

TMIR 2021-1 transaction is backed by seasoned insured mortgage
loans that have never been reported as 60 or more days delinquent
since origination. The mortgage loans have a weighted average
seasoning of 40 months, with MI policies effective on or after
January 2014. As of the cut-off date, these loans have not been
reported to be in a payment forbearance plan.

As of the cut-off date, the pool of insured mortgage loans consists
of 314,407 fully amortizing first-lien fixed- and variable-rate
mortgages. They all have been underwritten to a full documentation
standard, have original loan-to-value ratios (LTVs) less than or
equal to 100%, and have never been reported to be modified. On
March 1, 2020, a new master policy was introduced to conform to
government-sponsored enterprises' revised rescission relief
principles under the Private Mortgage Insurer Eligibility
Requirements guidelines. All of the mortgage loans (100.0%) were
originated prior to the introduction of the new master policy.

On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the Ceding Insurer. As per the agreement, the Ceding
Insurer will receive protection for the funded portion of the MI
losses. In exchange for this protection, the Ceding Insurer will
make premium payments related to the underlying insured mortgage
loans to the Issuer.

The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to AAA or equivalent rated U.S. Treasury money-market
funds and securities. Unlike other residential mortgage-backed
security (RMBS) transactions, cash flow from the underlying loans
will not be used to make any payments; rather, in mortgage
insurance-linked Notes (MILN) transactions, a portion of the
eligible investments held in the reinsurance trust account will be
liquidated to make principal payments to the noteholders and to
make loss payments to the Ceding Insurer when claims are settled
with respect to the MI policy.

The calculation of principal payments to the Notes will be based on
the reduction in the aggregate exposed principal balance on the
underlying MI policy that is allocated to the Notes. The
subordinate Notes will receive their pro rata share of available
principal funds if the minimum credit enhancement test and the
delinquency test are satisfied. The minimum credit enhancement test
will be satisfied if the subordinate percentage is at least 6.50%.
The delinquency test will be satisfied if the three-month average
of 60+ days delinquency percentage is below 75% of the subordinate
percentage.

Interest payments are funded via (1) premium payments that the
Ceding Insurer must make under the reinsurance agreement and (2)
earnings on eligible investments.

On the closing date, the Ceding Insurer will establish a cash and
securities account, the premium deposit account. If the Ceding
Insurer defaults in paying coverage premium payments to the Issuer,
the amount available in this account will cover interest payments
to the noteholders. Unlike a majority of the prior rated MILN
transactions, the premium deposit account will not be funded at
closing. Instead, the Ceding Insurer will make a deposit into this
account up to the applicable target balance only when one of the
premium deposit events occurs. Please refer to the related report
and/or offering circular for more details.

This is the first DBRS Morningstar rated MILN transaction issued
with a 12.5 year term. The Notes are scheduled to mature on August
25, 2033, but will be subject to early redemption at the option of
the Ceding Insurer (1) for a 10% clean-up call or (2) on or
following the payment date in February 2026, among others. The
Notes are also subject to mandatory redemption before the scheduled
maturity date upon the termination of the Reinsurance Agreement.

The ceding insurer of the transaction is Genworth. The Bank of New
York Mellon (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Indenture Trustee, Paying Agent, Note
Registrar, and Reinsurance Trustee.

Coronavirus Impact – MILN

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

Various mortgage insurance (MI) companies have set up programs to
issue MILNs. These programs aim to transfer a portion of the risk
related to MI claims on a reference pool of loans to the investors
of the MILNs. In these transactions, investors' risk increases with
higher MI payouts. The underlying pool of mortgage loans with MI
policies covered by MILN reinsurance agreements is typically
composed of conventional/conforming loans that follow
government-sponsored enterprises' acquisition guidelines and
therefore have LTVs above 80%. However, a portion of each MILN
transaction's covered loans may not be agency eligible.

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

In connection with the economic stress assumed under the moderate
scenario in its commentary "Global Macroeconomic Scenarios: January
2021 Update" published on January 28, 2021, for the MILN asset
class DBRS Morningstar applies more severe market value decline
(MVD) assumptions across all rating categories than what it
previously used. Such MVD assumptions are derived through a
fundamental home price approach based on the forecast unemployment
rates and GDP growth outlined in the aforementioned moderate
scenario. In addition, DBRS Morningstar may assume a portion of the
pool (randomly selected) to be on forbearance plans in the
immediate future. For these loans, DBRS Morningstar assumes higher
loss expectations above and beyond the coronavirus assumptions.
Such assumptions translate to higher expected losses on the
collateral pool and correspondingly higher credit enhancement.

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

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


UNITED AUTO 2021-1: DBRS Finalizes B(sf) Rating on Class F Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by United Auto Credit Securitization Trust
2021-1 (UACST 2021-1):

-- $122,070,000 Class A Notes rated AAA (sf)
-- $33,540,000 Class B Notes rated AA (sf)
-- $29,640,000 Class C Notes rated A (sf)
-- $29,380,000 Class D Notes rated BBB (sf)
-- $20,800,000 Class E Notes rated BB (sf)
-- $13,910,000 Class F Notes rated B (sf)

The ratings are based on a review by DBRS Morningstar of the
following analytical considerations:

(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund, and excess spread.
Credit enhancement levels are sufficient to support the DBRS
Morningstar-projected cumulative net loss (CNL) assumption under
various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.

(2) DBRS Morningstar's projected CNL assumption includes an
assessment of how collateral performance could deteriorate because
of macroeconomic stresses related to the Coronavirus Disease
(COVID-19) pandemic.

(3) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus pandemic, available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, that have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis. The assumptions also take
into consideration observed performance during the 2008–09
financial crisis and the possible impact of stimulus. The
assumptions consider the moderate macroeconomic scenario outlined
in the commentary, with the moderate scenario serving as the
primary anchor for current ratings. The moderate scenario factors
in increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

(4) United Auto Credit Corporation's (UACC or the Company)
capabilities with regard to originations, underwriting, and
servicing and the existence of an experienced and capable backup
servicer.

-- DBRS Morningstar has performed an operational risk review of
UACC and considers the entity an acceptable originator and servicer
of subprime automobile loan contracts with an acceptable backup
servicer.

-- The Company's senior management team has considerable
experience and a successful track record within the auto finance
industry.

-- UACC successfully consolidated its business into a centralized
servicing platform and consolidated originations into two regional
buying centers. The Company retained experienced managers and staff
at the servicing center and buying centers.

-- UACC continues to evaluate and fine-tune its underwriting
standards as necessary. The Company has a risk management system
allowing centralized oversight of all underwriting and substantial
technology systems, which provide daily metrics on all
originations, servicing, and collections of loans.

(5) The credit quality of the collateral and performance of the
Company's auto loan portfolio.

-- UACC originates collateral that generally has shorter terms,
higher down payments, lower book values, and higher borrower income
requirements than some other subprime auto loan originators.

(6) UACST 2021-1 provides for Class F Notes with an assigned rating
of B (sf). While DBRS Morningstar's "Rating U.S. Retail Auto Loan
Securitizations" methodology does not set forth a range of
multiples for this asset class for the B (sf) level, the analytical
approach for this rating level is consistent with that contemplated
by the methodology. The typical range of multiples applied in the
DBRS Morningstar stress analysis for a B (sf) rating is 1.00 times
(x) to 1.25x.

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



US CAPITAL IV: Moody's Hikes Rating on $14M Class A-2 Notes to B3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by U.S. Capital Funding IV, Ltd.:

US$200,000,000 Class A-1 Notes due 2039 (current balance of
$124,789.960.55) (the "Class A-1 Notes"), Upgraded to Ba1 (sf);
previously on December 7, 2017 Upgraded to Ba3 (sf)

US$14,000,000 Class A-2 Notes Notes due 2039 (the "Class A-2
Notes"), Upgraded to B3 (sf); previously on May 19, 2010 Downgraded
to Caa1 (sf)

U.S. Capital Funding IV, Ltd., issued in December 2005, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
trust preferred securities (TruPS).

RATINGS RATIONALE

These rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's senior
over-collateralization (OC) ratio since March 2020.

The Class A-1 notes have paid down by approximately 4.4% or $5.7
million since March 2020, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratio for
the Senior Principal Coverage Test has improved to 119.53% from the
March 2020 level of 117.20%. The Class A-1 notes will continue to
benefit from the diversion of excess interest.

The action also reflects the consideration that an Event of Default
(EoD) is continuing for the transaction. On September 9, 2009, the
transaction declared an EoD because of missed interest payment on
the Class B-1 and Class B-2 Notes, according to Section 5.1(a) of
the indenture. Moody's notes that the majority of noteholders has
not elected to accelerate cash flows at this time.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $165.9 million, defaulted/deferring par of $90.0 million, a
weighted average default probability of 7.8% (implying a WARF of
793), and a weighted average recovery rate upon default of 10.0%.

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
Approach to Rating TruPS CDOs" published in June 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.


VCP CLO II: DBRS Finalizes BB (low) Rating on Class E Notes
-----------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the Class
A-1 Notes, Class A-2 Notes, Class B-1 Notes, Class B-2 Notes, Class
C Notes, Class D Notes, and Class E Notes issued by VCP CLO II,
Ltd. and VCP CLO II, LLC pursuant to the Indenture dated as of
March 4, 2021, by and among the Co-Issuers and Wells Fargo Bank,
National Association as the Trustee:

-- Class A-1 Notes rated AAA (sf)
-- Class A-2 Notes rated AAA (sf)
-- Class B-1 Notes rated AA (sf)
-- Class B-2 Notes rated AA (sf)
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (low) (sf)
-- Class E Notes rated BB (low) (sf)

The DBRS Morningstar ratings on the Class A-1 Notes, Class A-2
Notes, Class B-1 Notes, and Class B-2 Notes address the Issuer's
ability to make timely payments of interest and ultimate payments
of principal on or before the Stated Maturity. The DBRS Morningstar
ratings on the Class C Notes, Class D Notes, and Class E Notes
address the Issuer's ability to make ultimate payments of interest
and ultimate payments of principal on or before the Stated
Maturity.

VCP CLO II is a cash flow collateralized loan obligation (CLO)
transaction that is collateralized primarily by a portfolio of U.S.
senior secured broadly syndicated corporate loans and will be
managed by Vista Credit Partners, L.P. DBRS Morningstar considers
Vista Credit Partners, L.P. to be an acceptable CLO manager.

The finalized ratings reflect the following:

(1) The Indenture dated as of March 4, 2021.
(2) The integrity of the transaction's structure.
(3) DBRS Morningstar's assessment of the portfolio's quality.
(4) Adequate credit enhancement to withstand projected collateral
loss rates under various cash flow stress scenarios.
(5) DBRS Morningstar's assessment of the origination, servicing,
and CLO management capabilities of Vista Credit Partners, L.P.

As the Coronavirus Disease (COVID-19) spread around the world,
certain countries imposed quarantines and lockdowns, including the
United States, which accounts for more than one fourth of confirmed
cases worldwide. The coronavirus pandemic has negatively affected
not only the economies of the nations most afflicted, but also the
overall global economy with diminished demand for goods and
services as well as disrupted supply chains. The effects of the
pandemic may result in deteriorated financial conditions for many
companies and obligors, some of which will experience the effects
of such negative economic trends more than others. At the same
time, governments and central banks in multiple regions, including
the United States and Europe, have taken significant measures to
mitigate the economic fallout from the coronavirus pandemic.

In conjunction with DBRS Morningstar's commentary, "Global
Macroeconomic Scenarios: Implications for Credit Ratings,"
published on April 16, 2020, and its updated commentary, "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021, DBRS Morningstar further considers additional adjustments
to assumptions for the CLO asset class that consider the moderate
economic scenario outlined in the commentary. After a review of the
transaction's target closing portfolio and publicly available
ratings on the Collateral Obligations, DBRS Morningstar decided
that the collateral credit ratings reflect the economic risk of the
coronavirus, commensurate with a moderate-impact scenario.

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


VERUS SECURITIZATION 2021-R2: S&P Assigns 'B-' Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2021-R2's mortgage pass-through notes.

The note issuance is an RMBS transaction backed primarily by
seasoned, first-lien, fixed- and adjustable-rate residential
mortgage loans, including mortgage loans with initial interest-only
periods. The loans are secured primarily by single-family
residential properties, planned-unit developments, condominiums,
mixed-use properties, townhouses, and two- to four-family
residential properties to both prime and nonprime borrowers. The
pool has 613 loans, which are primarily non-qualified mortgage
(ability-to-repay [ATR] compliant) and ATR-exempt loans.

S&P said, "Since we assigned our preliminary ratings on March 11,
2021, which reflected the term sheet dated March 9, 2021, the final
pool balance and class balances (including unrated classes)
decreased by $2,519,112 to $294,043,438. The note balances saw a
corresponding change to maintain the rounded credit enhancement
levels. Our loss coverage estimates at different rating levels and
the ratings assigned to the bonds remained the same as during our
preliminary ratings."

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The mortgage aggregator, Invictus Capital Partners; and

-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

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

  Ratings Assigned

  Verus Securitization Trust 2021-R2

  Class A-1, $210,986,100: AAA (sf)
  Class A-1X, $210,986,100(i): AAA (sf)
  Class A-2, $19,117,500: AA (sf)
  Class A-3, $33,521,000: A (sf)
  Class M-1, $15,577,000: BBB- (sf)
  Class B-1, $8,073,000: BB- (sf)
  Class B-2, $5,284,000: B- (sf)
  Class B-3, $1,484,738: NR
  Class A-IO-S, Notional(ii): NR
  Class XS, Notional(ii): NR
  Class DA, N/A: NR
  Class P, $100: NR
  Class R, N/A: NR

(i)The notional amount equals the class A-1 balance as of the prior
distribution date.
(ii)The notional amount equals the loans' stated principal balance.

NR--Not rated.
N/A--Not applicable.


VIBRANT CLO XII: S&P Assigns BB-(sf) on $19.13MM Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Vibrant CLO XII
Ltd./Vibrant CLO XII LLC's floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool, which consists
primarily of;

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

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

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

  Ratings Assigned

  Vibrant CLO XII Ltd./Vibrant CLO XII LLC

  Class A-1, $279.00 million: AAA (sf)
  Class A-2, $63.00 million: AA (sf)
  Class B-1 (deferrable)(i), $10.50 million: A (sf)
  Class B-2-A (deferrable)(i), $3.75 million: AA- (sf)
  Class B-2-B (deferrable)(i), $3.75 million: A (sf)
  Class B-3 (deferrable)(i), $9.00 million: A (sf)
  Class C (deferrable), $22.50 million: BBB- (sf)
  Class D (deferrable), $19.13 million: BB- (sf)
  Subordinated notes, $47.53 million: Not rated

  (i)The class B-1, B-2 (classes B-2-A and B-2-B are treated as a
single class), and B-3 notes are pari passu, but the allocation to
class B-2 is distributed to class B-2-A before any distribution to
class B-2-B.



WELLFLEET CLO 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wellfleet CLO 2021-1
Ltd./Wellfleet CLO 2021-1 LLC's floating-rate notes.

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

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Wellfleet CLO 2021-1 Ltd./Wellfleet CLO 2021-1 LLC

  Class A-1, $240.00 million: AAA (sf)
  Class A-2, $12.00 million: not rated
  Class B, $52.00 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, $40.54 million: not rated



WELLS FARGO 2014-LC16: DBRS Cuts Class F Certs Rating to C
----------------------------------------------------------
DBRS Limited downgraded the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2014-LC16 issued by Wells Fargo
Commercial Mortgage Trust 2014-LC16 as follows:

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

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

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)

DBRS Morningstar also discontinued its ratings on Classes X-B, X-C,
and X-D as they reference classes that now have C (sf) ratings.

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

With this review, DBRS Morningstar removed Classes D, E, and F as
well as Classes X-B, X-C, and X-D from Under Review with Negative
Implications where they were placed on October 16, 2020, and August
6, 2020, respectively. DBRS Morningstar also designated Classes C,
D, E, and F as having Interest in Arrears.

The rating downgrades and Negative trend generally reflect DBRS
Morningstar's updated loss projections for the two largest loans in
the pool, Woodbridge Center (Prospectus ID#1, 14.8% of the pool)
and Montgomery Mall (Prospectus ID#3, 7.1% of the pool), as well as
a third loan, Oak Court Mall (Prospectus ID#18, 1.9% of the pool).
All three loans are secured by regional malls and all are
delinquent and currently with the special servicer. All three are
further discussed below, but among the most noteworthy developments
for these three loans is the value decline for the Woodbridge
Center property as of the December 2020 appraisal, which showed an
as-is value of $104 million, down from $366 million at issuance.

As of the February 2021 remittance, 70 of the original 82 loans
remain in the pool, representing a collateral reduction of 21.5%
since issuance. Nine loans, representing 5.4% of the current pool
balance, are fully defeased. Including the three previously
mentioned loans, there are eight loans total in special servicing,
representing 31.0% of the pool balance. Additionally, there are
eight loans, representing 10.7% of the current trust balance, on
the servicer's watchlist as of the February 2021 remittance. The
service is monitoring these loans for a variety of reasons,
including low debt service coverage ratio (DSCR) and occupancy
issues; however, the primary reason for the increase of loans on
the watchlist is the Coronavirus Disease (COVID-19)-driven stress
for retail and hospitality properties, with watchlisted loans
backed by those property types generally reporting a low DSCR.

The Woodbridge Center is a pari passu loan that is secured by the
fee interest in a 1.1-million-square-foot (sf) portion of a
1.7-million-sf super-regional mall in Woodbridge, New Jersey,
approximately 30 miles southwest of New York City. The Class B mall
was originally built in 1971 and is owned and operated by
affiliates of Brookfield Property Partners. The mall has reported
cash flow declines for several years and with the closure of the
former Lord & Taylor anchor in January 2020, and shortly thereafter
the closure of the Sears anchor in February 2020, the property was
struggling even before the coronavirus pandemic. In May 2020, the
loan transferred to special servicing due to imminent default and,
as of the February 2021 remittance, the loan was most recently paid
in April 2020.

Although the servicer's reporting has consistently showed a DSCR
above 2.0 times (x) for both pieces of this loan, the debt service
calculation does not appear to be correct as the reported net cash
flow (NCF) figures have consistently held below the issuer's figure
since YE2016, with an issuer's DSCR of 1.42x. The YE2019 DSCR of
2.19x reported by the servicer should be approximately 1.13x using
the full debt service figure and the servicer's reported NCF
figure, which is 20.1% below the issuer's NCF.

According to the February 2021 commentary, the special servicer
continues to discuss possible workout strategies for the loan. As
previously highlighted, the collateral was reappraised in December
2020 at a value of $104.0 million, drastically down by 71.6% from
the $366.0 million appraised value at issuance. The 2020 value
implies an in-place loan-to-value ratio of 226.3%, compared with
64.91% at issuance. Contributing factors to the lower value include
the two dark anchor spaces, the relatively low in-line sales for
the property that could suggest further occupancy loss, and,
likely, the low demand for the property should it be marketed for
sale in the current environment. The most recent sales report on
file with DBRS Morningstar, dated December 2018, showed tenants
less than 10,000 sf reported sales of $357 per sf, which was up by
1.7% from the prior year. Based on the December 2020 value, DBRS
Morningstar liquidated the loan in the analysis for this review, a
scenario that resulted in an implied loss severity in excess of
70.0%.

Montgomery Mall is a regional mall in North Wales, Pennsylvania,
approximately 22 miles north of Philadelphia, that is owned and
operated by Simon Property Group. The mall is anchored by a
JCPenney, DICK's Sporting Goods, Macy's, and Wegmans Food Markets;
however, the mall lost the noncollateral anchor Sears in February
2020. Per the September 2020 rent roll, the mall's occupancy rate
has declined considerably since issuance to 74.2% from 92.4%. The
mall's anchors present additional risk since issuance with JCPenney
and Macy's publicly announcing in recent years their plans for
additional store closures throughout the country. While the loan
reported a sufficient DSCR of 1.98x for YE2019, the property's NCF
significantly declined to $9.2 million in 2019, well below the
issuer's underwritten NCF of $14.2 million at issuance. The
servicer had previously noted that the sponsor was unwilling to
inject additional capital into the collateral; however, the special
servicer continues to discuss possible loan modification solutions
as of February 2021. The collateral was reappraised in August 2020
for a value of $61.0 million, down 61.7% from the $195.0 million
appraised value at issuance. DBRS Morningstar liquidated the loan
from the trust as part of the subject analysis, which resulted in
an implied loss severity in excess of 50.0%.

The Oak Court Mall loan is secured by the in-line portion and a
50,000-sf anchor box of a regional mall in Memphis, Tennessee. The
mall is owned and operated by Washington Prime Group and is
anchored by noncollateral anchors Macy's and Dillard's Women's. The
loan transferred to the special servicer in May 2020 due to
imminent monetary default and forbearance relief was requested. As
of January 2021, the special servicer and borrower agreed to a
preliminary loan modification that would include the extension of
the loan term (the loan is currently scheduled to mature in April
2021), the deferment of debt service payments, and the
implementation of a hard cash management. The collateral's
performance had been steadily deteriorating prior to the
coronavirus pandemic with a YE2019 DSCR of 1.21x, compared with the
YE2018 DSCR of 1.45x and YE2017 DSCR of 1.86x. The June 2020 rent
roll showed the mall was 98.3% occupied and the largest three
collateral tenants included Dillard's Men's (20.8% of collateral
net rentable area (NRA)), H&M (2.7% of collateral NRA), and New
Square (1.0% of collateral NRA). Dillard's Men's subsequently
vacated its 50,000-sf suite in January 2021. The collateral's
occupancy rate is projected to decrease to approximately 77.5% as a
result. The collateral was reappraised in July 2020 for a value of
$15.0 million, down 75.4% from the $61.0 million appraised value at
issuance. DBRS Morningstar liquidated the loan from the trust as
part of the subject analysis, resulting in an implied loss severity
in excess of 70.0%.

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


WELLS FARGO 2015-C28: DBRS Cuts Class X-E Certs Rating to B (high)
------------------------------------------------------------------
DBRS Limited downgraded three classes of Commercial Mortgage
Pass-Through Certificates, Series 2015-C28 issued by Wells Fargo
Commercial Mortgage Trust 2015-C28 as follows:

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

Classes F and X-F were removed from Under Review with Negative
Implications where they had been placed on August 6, 2020. In
addition, DBRS Morningstar discontinued its rating on the notional
Class X-F as that class references Class F, which is now rated CCC
(sf).

DBRS Morningstar also confirmed the remaining classes as follows:

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

The trends on Classes D, E, and X-E were changed to Negative from
Stable. All other trends are Stable.

The rating downgrades and Negative trends reflect the increased
risk of loss from some of the loans in the trust, including some
that are in special servicing.

As of the February 2021 remittance, 86 of the original 99 loans
remain in the pool, with scheduled amortization resulting in
collateral reduction of 12.1% since issuance. Five loans,
representing 6.5% of the current pool balance, are in special
servicing, including the 11th-largest loan in the pool, Brickyard
Square (Prospectus ID#11; 2.3% of the pool balance), which is
secured by a retail center located in Epping, New Hampshire,
approximately 60 miles north of Boston. The loan was transferred to
special servicing in June 2020 for imminent default and, as of the
February 2021 remittance, is over 120 days delinquent. The
servicer's commentary for the other pari passu loan held in the
WFCM 2015-C29 transaction (not rated by DBRS Morningstar) notes an
ongoing review of the borrower's Coronavirus Disease (COVID-19)
relief request.

As of an August 2020 appraisal, the property was valued at $47.6
million, compared with the issuance appraised value of $50.5
million. Given the relatively moderate decline in value, the risk
of a significant loss for this loan is generally low, but the
property's exposure to a theater tenant in O'Neil Cinemas, as well
as the extended delinquency, are suggestive of an increased risk of
default from issuance. The loan was analyzed with a probability of
default (PD) penalty to increase the expected loss and will be
monitored for further developments.

The second-largest loan in special servicing is Courtyard Marriott
Harrisburg (Prospectus ID#17; 1.6% of the pool), which is secured
by a 128-key full-service hotel located in Swatara Township,
Pennsylvania, approximately five miles from downtown Harrisburg,
the state capital. The loan transferred to special servicing in
November 2020 and is 90 to 120 days delinquent as of the February
2021 remittance. Although the property reported cash flow declines
prior to the pandemic, the loan was still well above water.
However, according to the servicer, the borrower wants to deed the
property back to the lender. An updated appraisal has not been
obtained by the special servicer to date. Given the declines in
performance from issuance and the hurdles for the property amid the
pandemic, DBRS Morningstar assumed a significant haircut to the
issuance value as part of a liquidation scenario, which resulted in
a loss severity in excess of 65.0%.

According to the February 2021 remittance, 18 loans, representing
10.1% of the current pool balance, are on the servicer's watchlist.
The largest loan on the watchlist, Milestone Portfolio (Prospectus
ID#8; 2.5% of the pool), is secured by a portfolio that consists of
two single-tenant industrial facilities and a big-box retail
property and is on the watchlist because the largest tenant, Wagner
Industries Inc., has an upcoming lease expiry in October 2021. The
servicer is monitoring the other watchlisted loans for various
reasons, including a low DSCR or occupancy figure, tenant rollover
risk, and/or pandemic-related forbearance requests.

One top 15 loan not on the servicer's watchlist or in special
servicing is, however, on the DBRS Morningstar Hotlist: 3 Beaver
Valley Road (Prospectus ID #6; 4.2% of the pool), which is secured
by an office property in Wilmington, Delaware. The collateral
property was previously 100.0% leased to two tenants, Farmers
Insurance (Farmers; 80.1% of NRA, expiring December 2024) and
Solenis (19.9% of NRA, expiring January 2025). However, Solenis
recently exercised a termination option and relocated, and Farmers,
which operates a subsidiary's business out of the subject location,
also announced plans to downsize in early 2020.

Farmers has a contraction option, effective in January 2022, that
allows the tenant to relinquish space equal to 20.1% of the NRA
with a 12-month notice requirement. The loss of Solenis and the
contraction of Farmers suggests an availability rate of
approximately 40.0% of the NRA of the property. However, a
Commercial Café listing updated on March 6, 2021, listed 222,952
sf of available space, or about 85.0% of the NRA, suggesting
Farmers has relinquished more than the expected square footage.
DBRS Morningstar has requested that the servicer confirm the
availability of space at the property and is awaiting the response.
Given the significantly increased risks from issuance in the
downsizing of Farmers and the loss of Solenis, without a backfill
to date, a PD penalty was applied to increase the expected loss in
the analysis for this review.

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


WELLS FARGO 2015-LC20: DBRS Confirms B Rating on Class X-F Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-LC20 issued by Wells Fargo
Commercial Mortgage Trust 2015-LC20 as follows:

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class PEX at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)

DBRS Morningstar removed Classes E, F, X-E, and X-F from Under
Review with Negative Implications, where they were placed on August
6, 2020. These classes have Negative trends because of the
increasing risks associated with the specially serviced loans. All
other trends are Stable.

As of the February 2021 remittance, the pool's balance had been
reduced to $742.6 million from $829.6 million at issuance,
resulting from the payoff of five loans and scheduled amortization.
There have been no losses to the trust to date.

Eight loans, representing 19.0% of the pool, are with the special
servicer. The largest specially serviced loan is the One Monument
Place loan (Prospectus ID#3, 5.2% of the pool), which is secured by
a 222,477-square-foot (sf) Class A office building in Fairfax,
Virginia. The loan transferred to the special servicer in April
2020 after failing to pay off at maturity. The property has
struggled to maintain stable occupancy over the last few years, and
a January 2021 rent roll reported 47% vacancy. The largest tenant,
Teoco Corporation, a provider of analytic solutions and support to
more than 300 financial organizations, uses this space as its
corporate headquarters. It occupies 25,724 sf (12% of the gross
leasable area (GLA)) on a lease through 2029. The second-largest
tenant is Concept Plus LLC, a technology services company, which
occupies 13,959 sf (6% of the GLA) on a lease through September
2021. The property was reappraised in 2020 for $29.5 million,
implying a 50% value decline since issuance. The special servicer
reported that a forbearance was being negotiated and the loan was
reported as current in February 2021 after several months of
delinquency.

The second-largest specially serviced loan is the University of
Delaware Hotel Portfolio loan (Prospectus ID#4, 4.4% of the pool
balance), which is secured by two adjacent hotels, an Embassy
Suites and a Homewood Suites, that sit across from the University
of Delaware campus. The hotels performed well with a combined 2019
net cash flow that was in line with the issuance level. However, in
2020, cash flow plunged to below breakeven levels as the
Coronavirus Disease (COVID-19) pandemic led to stay-at-home orders
and limitations for on-campus learning. The most recent financials
available were for the nine-month period ended September 30, 2020,
which reported a cash flow of $181,840 compared with the $3.6
million at issuance. As of February 2021, the University of
Delaware reported it has more students attending in person this
spring than it had in fall 2020, which is encouraging.

Additionally, a 2020 appraisal valued the property above the $32.7
million loan balance at $40 million, implying an 81.8%
loan-to-value ratio. The loan is expected to return to the master
servicer once a relief agreement has been finalized.

The Hilton Albany loan (Prospectus ID#9, 3.31% of the pool balance)
is secured by a 385-room full-service hotel in the central business
district of Albany, New York, within walking distance of many
government buildings as well as the Albany Capital Center. The
hotel reported strong financials for 2019 with a net cash flow of
$3.2 million, a debt service coverage ratio (DSCR) of 1.84 times
(x), and an occupancy rate of 66%. The most recent financials
reported were dated September 2020 and reflected a cash flow below
breakeven and an occupancy level down to 26% caused by the ongoing
effects of the strict stay-at-home orders. It appears relief
negotiations may have stalled and the special servicer is seeking
approval to foreclose. This could delay a resolution as an ongoing
moratorium on commercial mortgages foreclosures in New York has
been in effect throughout the pandemic. An updated appraisal has
not yet been reported, and DBRS Morningstar stressed this loan as
part of this analysis.

There are 12 loans, representing 16.7% of the pool, on the
servicer's watchlist. These loans are being monitored for various
reasons, including low DSCRs or occupancy, tenant rollover risk,
and/or pandemic-related forbearance requests. The largest loan on
the watchlist is the 18th Street Atrium loan (Prospectus ID#8, 3.6%
of the pool), secured by an office building in downtown Denver, is
also being monitored on the DBRS Morningstar Hotlist after three
tenants, representing 81.6% of the net rentable area (NRA), vacated
the property. However, performance is expected to improve as the
background check company, Checkr Inc., announced in October 2019
that it had signed an 11-year lease at the subject for
approximately 82.6% of the NRA. According to the December 2020 rent
roll, the tenant occupies 55,068 sf or 49.2% of the GLA on a lease
through 2030. The second-largest loan on the watchlist is the
Hampton Inn & Suites – Miami Airport loan (Prospectus ID#11, 2.3%
of the pool). Shortly after completing guest room renovations in
late 2019, the hotel was faced with pandemic-related travel
restrictions, decimating cash flow to below breakeven in 2020.
However, the loan has strong sponsorship with Hospitality
Operations, Inc., which has kept the loan current. The hotel has
continued with some common area improvements that should be
complete in March 2021.

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


WELLS FARGO 2019-C49: DBRS Confirms BB Rating on Class G-RR Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-C49 issued by Wells Fargo
Commercial Mortgage Trust 2019-C49 as follows:

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

With this review, DBRS Morningstar removed Class J-RR from Under
Review with Negative Implications where it was placed on August 6,
2020.

Classes G-RR, H-RR, and J-RR have Negative trends. All other trends
are Stable.

The Negative trends are largely the result of DBRS Morningstar's
outlook for some of the loans in special servicing, as further
discussed below for the largest of these loans. In general, the
loans contributing to the increased likelihood of loss to the trust
were exhibiting performance declines prior to the onset of the
Coronavirus Disease (COVID-19) global pandemic, and those increased
risks are now exacerbated amid the effects of the pandemic.

As of the February 2021 remittance, all of the original 64 loans
remain in the pool. There are 13 loans, representing 21.0% of the
current trust balance, on the servicer's watchlist. The servicer is
monitoring these loans for a variety of reasons, including a low
debt service coverage ratio (DSCR) and/or occupancy issues;
however, the primary reason for the concentration of loans on the
watchlist is the coronavirus-driven stress for lodging and retail
properties, with watchlist loans backed by those property types
generally reporting a low DSCR.

As of the February 2021 remittance, the pool has four loans,
representing 4.3% of the pool in special servicing, including
Florissant Marketplace (Prospectus ID#19; 1.6% of the pool),
Country Inn & Suites - Orlando (Prospectus ID#31; 1.2% of the
pool), 599 Johnson Ave (Prospectus ID#45; 0.8% of the pool), and
659 Broadway (Prospectus ID#46; 0.8% of the pool).

The largest loan in special servicing, Florissant Marketplace, is
secured by the borrower's fee-simple interest in a grocery-anchored
retail property in the St. Louis suburb of Florissant, Missouri. In
July 2020, the loan transferred to special servicing because of
imminent default, and as of the February 2021 remittance, the loan
was most recently paid in May 2020. Occupancy fell to 72.5% from
100%, when Gold's Gym (27.5% of the net rentable area (NRA)) filed
for bankruptcy and vacated the property in Q2 2020, ahead of its
October 2022 lease expiration. The impact to cash flows was
significant, with the servicer reporting a DSCR of 1.46 times (x)
for the trailing six months ended June 2020, compared with the
YE2019 DSCR of 2.08x.

DBRS Morningstar expects the DSCR to fall to near 1.00x when a full
year's cash flow reflects the loss of Gold's Gym, as the tenant's
$17.91 psf rental rate was well above the average of $7.82 psf for
the remaining tenants at the property. The grocery anchor,
Schnucks, represents 48.0% of the NRA on a lease expiring in
November 2021, and although the renewal status is unknown, the most
recent sales reported as of issuance, for 2018, were quite low at
$265 psf. In addition, the loan seller's summary provided at
issuance noted the property manager's statement that Gold's Gym was
a good co-tenant for Schnucks, so the loss of the complementary
tenancy could also be an issue for the renewal. An October 2020
appraisal obtained by the special servicer indicated an as-is value
of $8.5 million, down from $17.3 million at issuance. Based on that
value, DBRS Morningstar liquidated the loan in the analysis for
this review, resulting in a loss severity exceeding 50.0%.

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


WELLS FARGO 2021-1: Fitch Assigns B+ Rating on B-5 Debt
-------------------------------------------------------
Fitch Ratings assigns the following ratings to Wells Fargo
Mortgage-Backed Securities 2021-1 Trust (WFMBS 2021-1).

DEBT             RATING                PRIOR
----             ------                -----
WFMBS 2021-1

A-1      LT  AAAsf   New Rating     AAA(EXP)sf
A-2      LT  AAAsf   New Rating     AAA(EXP)sf
A-3      LT  AAAsf   New Rating     AAA(EXP)sf
A-4      LT  AAAsf   New Rating     AAA(EXP)sf
A-5      LT  AAAsf   New Rating     AAA(EXP)sf
A-6      LT  AAAsf   New Rating     AAA(EXP)sf
A-7      LT  AAAsf   New Rating     AAA(EXP)sf
A-8      LT  AAAsf   New Rating     AAA(EXP)sf
A-9      LT  AAAsf   New Rating     AAA(EXP)sf
A-10     LT  AAAsf   New Rating     AAA(EXP)sf
A-11     LT  AAAsf   New Rating     AAA(EXP)sf
A-12     LT  AAAsf   New Rating     AAA(EXP)sf
A-13     LT  AAAsf   New Rating     AAA(EXP)sf
A-14     LT  AAAsf   New Rating     AAA(EXP)sf
A-15     LT  AAAsf   New Rating     AAA(EXP)sf
A-16     LT  AAAsf   New Rating     AAA(EXP)sf
A-17     LT  AAAsf   New Rating     AAA(EXP)sf
A-18     LT  AAAsf   New Rating     AAA(EXP)sf
A-19     LT  AAAsf   New Rating     AAA(EXP)sf
A-20     LT  AAAsf   New Rating     AAA(EXP)sf
A-IO1    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO2    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO3    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO4    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO5    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO6    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO7    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO8    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO9    LT  AAAsf   New Rating     AAA(EXP)sf
A-IO10   LT  AAAsf   New Rating     AAA(EXP)sf
A-IO11   LT  AAAsf   New Rating     AAA(EXP)sf
B-1      LT  AA+sf   New Rating     AA+(EXP)sf
B-2      LT  A+sf    New Rating     A+(EXP)sf
B-3      LT  BBB+sf  New Rating     BBB+(EXP)sf
B-4      LT  BB+sf   New Rating     BB+(EXP)sf
B-5      LT  B+sf    New Rating     B+(EXP)sf
B-6      LT  NRsf    New Rating     NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 390 prime fixed-rate mortgage
loans with a total balance of approximately $404 million as of the
cutoff date. All of the loans were originated by Wells Fargo Bank,
N.A. (Wells Fargo). This is the twelfth post-crisis issuance from
Wells Fargo.

KEY RATING DRIVERS

Very High Quality Mortgage Pool (Positive): The collateral
attributes are among the strongest of post-crisis RMBS rated by
Fitch. The pool consists entirely of 30-year fixed-rate fully
amortizing loans to borrowers with strong credit profiles, low
leverage and large liquid reserves. All loans are Safe Harbor
Qualified Mortgages (SHQM). The loans are seasoned an average of
approximately 7.5 months.

The pool has a weighted average (WA) original FICO score of 779,
which is indicative of very high credit quality borrowers.
Approximately 86% has original FICO scores at or above 750. In
addition, the original WA CLTV ratio of 75.5% represents solid
borrower equity in the property. The pool's attributes, together
with Wells Fargo's sound origination practices, support Fitch's
very low default risk expectations.

High Geographic Concentration (Negative): Approximately 65% of the
pool is concentrated in California with relatively average
metropolitan statistical area (MSA) concentration. The largest MSA
concentration is in San Francisco MSA (28.3%) followed by the San
Jose MSA (14.7%) and the Los Angeles MSA (14.7%). The top three
MSAs account for 57.8% of the pool. As a result, an additional
penalty of approximately 13% was applied to the pool's lifetime
default expectations.

Straightforward Deal Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified CE levels are not
maintained.

Full Servicer Advancing (Neutral): The pool benefits from advances
of delinquent principal and interest until the primary servicer of
the pool, Wells Fargo, deems them nonrecoverable. Fitch's loss
severities reflect reimbursement of amounts advanced by the
servicer from liquidation proceeds based on its liquidation
timelines assumed at each rating stress. In addition, the credit
enhancement for the rated classes has some cushion for recovery of
servicer advances for loans that are modified following a payment
forbearance.

To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.45% of the
original balance will be maintained for the senior certificates.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts, reviewer fees and
costs of arbitration, to be paid by the net WA coupon of the loans,
which does not affect the contractual interest due on the
certificates. Furthermore, the expenses to be paid from the trust
are capped at $350,000 per annum, with the exception of independent
reviewer breach review fee, which can be carried over each year,
subject to the cap until paid in full.

Payment Forbearance Related to Coronavirus Pandemic (Neutral): As
of the cutoff date, no loans currently under a forbearance plan
were included in this transaction. Any loans that enter into
forbearance between the cutoff date and the closing date will be
repurchased within 30 days of closing per the additional
representations that Wells is providing. For loans that enter into
forbearance after the close, Wells will advance any missed payments
during the forbearance period. The borrower will be reported as
delinquent on investor reports for these missed payments but not on
reports to the credit bureaus. Should the borrower begin paying
again, the servicer (Wells) will be reimbursed from catch-up
payments by way of a lump sum or repayment plan. If the borrower
does not resume making payments, the loan will likely become
modified and the advancing party will be reimbursed from principal
collections on the overall pool. This will likely result in
writedowns to the most subordinate class, which will be written
back up as subsequent recoveries are realized. Since there will be
no borrowers on a coronavirus forbearance plan as of the closing
date and forbearance requests have significantly declined, Fitch
did not increase its loss expectation to address the potential for
writedowns due to reimbursement of servicer advances.

Low Operational Risk (Positive): Operational risk is very well
controlled for in this transaction. Wells Fargo has an extensive
operating history in residential mortgage originations and is
assessed as an 'Above Average' originator by Fitch. The entity has
a diversified sourcing strategy and utilizes an effective
proprietary underwriting system for its retail originations. Wells
Fargo is also the named primary and master servicer for this
transaction; these functions are rated 'RPS1-' and 'RMS1-',
respectively, which are among Fitch's highest servicer ratings.
Each of these Rating Outlooks were revised to Negative from Stable
due to the changing economic landscape. The expected losses at the
'AAAsf' rating stress were reduced by approximately 57 bps to
reflect these strong operational assessments.

Tier 2 Representation and Warranty Framework (Neutral): While the
loan-level representations and warranties (R&Ws) for this
transaction are substantially in conformity with Fitch criteria,
the framework has been assessed as a Tier 2 due to the narrow
testing construct, which limits the breach reviewer's ability to
identify or respond to issues not fully anticipated at closing. The
Tier 2 assessment and the strong financial condition of Wells Fargo
as R&W provider resulted in a neutral impact to the credit
enhancement.

In response to the coronavirus, and in an effort to focus breach
reviews on loans that are more likely to contain origination
defects that led to or contributed to the delinquency of the loan,
Wells Fargo added additional carve-out language relating to the
delinquency review trigger for certain Disaster Mortgage Loans that
are modified or delinquent due to disaster related loss mitigation
(including the coronavirus). This is discussed further in the Asset
Analysis section.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction pool.
The review was performed by Clayton Services LLC (Clayton), which
is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. 99.8% of
the loans received a final grade of 'A' or 'B' which reflects
strong origination practices. Loans with a final grade of 'B' were
supported with sufficient compensating factors or were already
accounted for in Fitch's loan loss model. Loans that are included
in the due diligence review receive a credit in the loss model; the
aggregate adjustment reduced the 'AAAsf' expected losses by 13
bps.

Revised GDP Due to Coronavirus (Negative): The ongoing coronavirus
pandemic and resulting containment efforts resulted in revisions to
Fitch's GDP estimates for 2021. Fitch's current baseline Global
Economic Outlook for U.S. GDP growth is positive 4.5% for 2021, up
from -3.5% for 2020. To account for the baseline macroeconomic
scenario and increase in loss expectations, the Economic Risk
Factor (ERF) default variable for the 'Bsf' and 'BBsf' rating
categories was increased from floors of 1.0 and 1.5, respectively,
to 2.0.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines than assumed
at the MSA level. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
that may be considered in the surveillance of the transaction.

Sensitivity analyses were conducted at the state and national
levels to assess the effect of higher MVDs for the subject pool as
well as lower MVDs, illustrated by a gain in home prices.

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 37.1% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or in other words positive home price growth with no
    assumed overvaluation. The analysis assumes positive home
    price growth of 10%. Excluding the senior class, which is
    already rated 'AAAsf', the analysis indicates there is
    potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments.

The results should only be considered as one potential outcome, as
the transaction is exposed to multiple dynamic risk factors. It
should not be used as an indicator of possible future performance.
Fitch has added a Coronavirus Sensitivity Analysis that includes a
prolonged health crisis resulting in depressed consumer demand and
a protracted period of below-trend economic activity that delays
any meaningful recovery to beyond 2021.

Under this severe scenario, Fitch expects the ratings to be
impacted by changes in its sustainable home price model due to
updates to the model's underlying economic data inputs. Any
long-term impact arising from coronavirus disruptions on these
economic inputs will likely affect both investment and speculative
grade ratings.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton Services LLC. The third-party due diligence
described in Form 15E focused on a compliance review, credit review
and valuation review. The due diligence company performed a review
on 100% of the loans. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: loans with due diligence received a credit in the
loss model. This adjustment reduced the 'AAAsf' expected losses by
13bps.

ESG CONSIDERATIONS

WFMBS 2021-1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in WFMBS 2021-1 including strong R&W and transaction due diligence
as well as a strong originator and servicer, which resulted in a
reduction in expected losses.

WFMBS 2021-1 also has an ESG Relevance Score of '4' for Exposure to
Environmental Impacts due to moderate geographic
concentration/catastrophe risk. This has a positive impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.

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


WELLS FARGO 2021-1: S&P Assigns B (sf) Rating on Class B-5 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wells Fargo Mortgage
Backed Securities 2021-1 Trust's mortgage pass-through
certificates.

The certificate issuance is an RMBS transaction backed by
residential mortgage loans.

The ratings reflect:

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework;

-- The geographic concentration;

-- The experienced originator;

-- The 100% due diligence results consistent with represented loan
characteristics; and

-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool and available liquidity in the transaction.

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

  Ratings Assigned

  Wells Fargo Mortgage Backed Securities 2021-1 Trust

  Class A-1, $343,440,000: AAA (sf)
  Class A-2, $343,440,000: AAA (sf)
  Class A-3, $257,580,000: AAA (sf)
  Class A-4, $257,580,000: AAA (sf)
  Class A-5, $85,860,000: AAA (sf)
  Class A-6, $85,860,000: AAA (sf)
  Class A-7, $206,064,000: AAA (sf)
  Class A-8, $206,064,000: AAA (sf)
  Class A-9, $137,376,000: AAA (sf)
  Class A-10, $137,376,000: AAA (sf)
  Class A-11, $51,516,000: AAA (sf)
  Class A-12, $51,516,000: AAA (sf)
  Class A-13, $55,809,000: AAA (sf)
  Class A-14, $55,809,000: AAA (sf)
  Class A-15, $30,051,000: AAA (sf)
  Class A-16, $30,051,000: AAA (sf)
  Class A-17, $40,435,000: AAA (sf)
  Class A-18, $40,435,000: AAA (sf)
  Class A-19, $383,875,000: AAA (sf)
  Class A-20, $383,875,000: AAA (sf)
  Class A-IO1, $383,875,000(i): AAA (sf)
  Class A-IO2, $343,440,000(i): AAA (sf)
  Class A-IO3, $257,580,000(i): AAA (sf)
  Class A-IO4, $85,860,000(i): AAA (sf)
  Class A-IO5, $206,064,000(i): AAA (sf)
  Class A-IO6, $137,376,000(i): AAA (sf)
  Class A-IO7, $51,516,000(i): AAA (sf)
  Class A-IO8, $55,809,000(i): AAA (sf)
  Class A-IO9, $30,051,000(i): AAA (sf)
  Class A-IO10, $40,435,000(i): AAA (sf)
  Class A-IO11, $383,875,000(i): AAA (sf)
  Class B-1, $6,667,000: AA (sf)
  Class B-2, $5,051,000: A (sf)
  Class B-3, $4,041,000: BBB (sf)
  Class B-4, $1,818,000: BB- (sf)
  Class B-5, $1,011,000: B (sf)
  Class B-6, $1,616,502: Not rated
  Class R: Not rated

  (i)Notional balance.


WESTLAKE AUTOMOBILE 2021-1: DBRS Gives Prov. B Rating on F Notes
----------------------------------------------------------------
DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the
following classes of notes to be issued by Westlake Automobile
Receivables Trust 2021-1:

-- $156,000,000 Class A-1 Notes at R-1 (high) (sf)
-- $361,700,000* Class A-2-A Notes at AAA (sf)
-- $155,000,000* Class A-2-B Notes at AAA (sf)
-- $99,500,000 Class B Notes at AA (sf)
-- $128,240,000 Class C Notes at A (sf)
-- $96,190,000 Class D Notes at BBB (sf)
-- $40,350,000 Class E Notes at BB (sf)
-- $63,020,000 Class F Notes at B (sf)

*The allocation of the maximum principal amount ($516.7 million) of
the Class A-2 notes between the Class A-2-A and Class A-2-B notes
will be determined at or before the time of pricing (subject to a
maximum allocation of 30% to the Class A-2-B notes).

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

(1) Transaction capital structure, ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and excess
spread. Credit enhancement levels are sufficient to support the
DBRS Morningstar-projected cumulative net loss (CNL) assumption
under various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the rating addresses the
timely payment of interest on a monthly basis and principal by the
legal final maturity date for each class.

(2) DBRS Morningstar's projected CNL assumption includes an
assessment of how collateral performance could deteriorate because
of macroeconomic stresses related to the Coronavirus Disease
(COVID-19) pandemic.

(3) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus pandemic, available in its commentary "Global
Macroeconomic Scenarios: January 2021 Update," published on January
28, 2021. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, that have been regularly updated. The
scenarios were last updated on January 28, 2021, and are reflected
in DBRS Morningstar's rating analysis. The assumptions also take
into consideration observed performance during the 2008–09
financial crisis and the possible impact of stimulus. The
assumptions consider the moderate macroeconomic scenario outlined
in the commentary, with the moderate scenario serving as the
primary anchor for current ratings. The moderate scenario factors
in increasing success in containment during the first half of 2021,
enabling the continued relaxation of restrictions.

(4) The consistent operational history of Westlake Services, LLC
(Westlake or the Company) and the strength of the overall Company
and its management team.

-- The Westlake senior management team has considerable experience
and a successful track record within the auto finance industry.

(5) The capabilities of Westlake with regard to originations,
underwriting, and servicing.

-- DBRS Morningstar performed an operational review of Westlake
and considers the entity to be an acceptable originator and
servicer of subprime automobile loan contracts with an acceptable
backup servicer.

(6) DBRS Morningstar used the static pool approach exclusively
because Westlake has enough data to generate a sufficient amount of
static pool projected losses.

-- DBRS Morningstar was conservative in the loss forecast analysis
performed on the static pool data.

(7) The Company indicated that it may be subject to various
consumer claims and litigation seeking damages and statutory
penalties. Some litigation against Westlake could take the form of
class action complaints by consumers; however, the Company
indicated that there is no material pending or threatened
litigation.

(8) Westlake 2021-1 provides for Class F Notes with an assigned
rating of B (sf). While DBRS Morningstar's "Rating U.S. Retail Auto
Loan Securitizations" methodology does not set forth a range of
multiples for this asset class at the B (sf) level, the analytical
approach for this rating level is consistent with that contemplated
by the methodology. The typical range of multiples DBRS Morningstar
applies in its stress analysis for a B (sf) rating is 1.00 times
(x) to 1.25x.

(9) The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Westlake, that
the trust has a valid first-priority security interest in the
assets, and the consistency with DBRS Morningstar's "Legal Criteria
for U.S. Structured Finance."

DISCONTINUATION OF LIBOR

-- The Westlake 2021-1 transaction documents include provisions
based on the recommended contractual fallback language for
U.S.-dollar Libor-denominated securitizations published by the
Federal Reserve's Alternative Reference Rates Committee (ARRC) on
May 31, 2019.

-- In the event that the Libor-denominated Class A-2-B Notes are
issued and Libor is discontinued, the Class A-2-B Notes will be
allowed to transition to ARRC's recommended alternative reference
rate (which is the Secured Overnight Financing Rate (SOFR)).
-- DBRS Morningstar assumes that, because the sum of the new
benchmark replacement rate and the benchmark replacement adjustment
(as further defined in the transaction documents) is intended to be
a direct replacement for Libor, the contemplation of SOFR as a
benchmark replacement rate is not a material deviation from the
framework provided under DBRS Morningstar's "Interest Rate Stresses
for U.S. Structured Finance Transactions" and related
methodologies.

-- Document provisions will provide for prior notification to DBRS
Morningstar of any subsequent change to the benchmark.

The collateral securing the notes consists entirely of a pool of
retail automobile contracts secured by predominantly used vehicles
that typically have high mileage. The loans are primarily made to
obligors who are categorized as subprime, largely because of their
credit history and credit scores.

Westlake is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.

The ratings on the Class A-1, A-2-A, and A-2-B Notes reflect 40.15%
of initial hard credit enhancement provided by subordinated notes
in the pool (38.65%), the reserve account (1.00%), and OC (0.50%).
The ratings on the Class B, Class C, Class D, Class E and Class F
Notes reflect 31.15%, 19.55%, 10.85%, 7.20% and 1.50% of initial
hard credit enhancement, respectively. Additional credit support
may be provided from excess spread available in the structure.

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


WFRBS COMM'L 2014-LC14: DBRS Confirms B Rating on Class F Certs
---------------------------------------------------------------
DBRS, Inc. confirmed its ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2014-LC14 issued by
WFRBS Commercial Mortgage Trust 2014-LC14 as follows:

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

Classes D, E, F, X-B, and X-C were removed from Under Review with
Negative Implications where they were placed on August 6, 2020. The
trends on Classes D, E, F, X-B, and X-C are Negative, reflecting
the continuing performance challenges to the underlying collateral,
many of which have been driven by the impact of the Coronavirus
Disease (COVID-19) pandemic. The trends on all other classes are
Stable.

The rating confirmations reflect the stable performance of the
transaction, which has remained in line with DBRS Morningstar's
expectations at issuance. At issuance, the transaction consisted of
71 loans with an original trust balance of $1.3 billion. As of the
February 2021 remittance report, 60 loans remain in the transaction
with a current trust balance of $867.6 million, representing a
collateral reduction of approximately 30.9% since issuance
resulting from amortization, the payoff of eight loans, and the
liquidation of three loans. In addition, 13 loans totaling $128.5
million have defeased.

Four loans, representing 8.2% of the pool, are in special
servicing. One of these loans is the third-largest loan, Williams
Center Towers (Prospectus ID#6; 5.0% of the pool), which is secured
by two interconnected office towers totaling 765,809 square feet
(sf) in Tulsa, Oklahoma. The loan transferred to special servicing
in April 2018 shortly after the property's second-largest tenant,
Samson Investment Company, vacated following its bankruptcy filing,
which decreased occupancy to 78%. Performance continues to trend
downward as occupancy further decreased to its current level of
66.6% following the departure of Bank of Oklahoma (6.76% of net
rentable area (NRA)) in December 2019. The tenant exercised an
early termination option two years prior to its December 2021 lease
expiration. Despite its prolonged time in special servicing, the
loan remains current. There has been no updated appraisal since
issuance. The second-largest specially serviced loan, Hampton Inn
Austin (Prospectus ID#35; 1.2% of the pool) transferred to special
servicing in July 2020 for payment default. According to the
servicer, the borrower and special servicer are in active
discussions for a forbearance. DBRS Morningstar's concerns are also
heightened as performance had been trending downward prior to the
coronavirus pandemic with the YE2019 net cash flow (NCF) 38% below
the issuance level with a resultant debt service coverage ratio
(DSCR) of 1.09 times (x). An updated appraisal from July 2020
valued the property at $13 million, which equates to a
loan-to-value ratio of 78.9%. The loan remains delinquent as of the
February 2021 remittance.

Sixteen loans, representing 23.8% of the current trust balance, are
on the servicer's watchlist. These loans are generally being
monitored for low DSCRs that have generally been driven by
disruptions related to the pandemic. Among the watchlisted loans,
DBRS Morningstar's primary concern is with the Canadian Pacific
Plaza loan (Prospectus ID#8; 4.3% of the pool), which is secured by
a 28-story Class B office property located in the central business
district (CBD) of Minneapolis. Occupancy has been trending downward
since issuance, with the largest decrease occurring in 2019 when
the property's second-largest tenant, Nilan Johnson Lewis (19.6% of
NRA), vacated, which dropped occupancy to its current level of 65%.
Furthermore, according to Reis, the submarket vacancy within the
Minneapolis CBD was 18.6% as of Q4 2020, which will likely hinder
backfilling the vacant space. Mitigating these concerns is the
potential upside in revenue as leasing sites are marketing the
space for $21.00 per square foot (psf) triple net, which is greater
than the $15.50 psf rental rate formerly paid by Nilan Johnson
Lewis.

DBRS Morningstar is also concerned with the performance of the West
Side Mall (Prospectus ID#14; 2.8% of the pool), which is secured by
a 420,434-sf open-air shopping center in Edwardsville,
Pennsylvania, approximately three miles northeast of Wilkes-Barre.
The property is anchored by Lowe's Home Improvement (33% of NRA)
under a ground lease through 2027, followed by Price Chopper (17%
of NRA; leased through 2024) and JOANN Fabrics and Crafts (6% of
NRA; leased through 2023). The loan is being monitored on the
servicer's watchlist for performance-related concerns after
occupancy decreased to 71% causing the DSCR to fall below breakeven
between 2018 and 2019. It appears the borrower was able to backfill
some of the vacant space as the annualized Q3 2020 NCF is in line
with issuance and covering with a DSCR of 1.25x.

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


WFRBS COMMERCIAL 2014-C20: DBRS Cuts Rating of 2 Classes to C
-------------------------------------------------------------
DBRS Limited downgraded the ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2014-C20 issued by WFRBS
Commercial Mortgage Trust 2014-C20 as follows:

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

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

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SFL at AAA (sf)
-- Class A-SFX at AAA (sf)
-- Class X-A at AAA (sf)

In addition, DBRS Morningstar discontinued its ratings on Class X-C
as it references a Class with a C (sf) rating.

All trends are Stable with the exception of Classes B, C, and X-B,
which have a Negative trend. In addition, Classes D, E, and F have
ratings that do not carry a trend. With this review, DBRS
Morningstar removed Classes D, E, F, X-B, and X-C from Under Review
with Negative Implications where they were placed on August 6,
2020.

The downgrades and Negative trends generally reflect the overall
weakened performance of the collateral since the last review and
the increased likelihood of losses to the trust upon the resolution
of the specially serviced loans and, more specifically, the
anticipated loss to the trust upon the resolution of the
transaction's largest loan (Woodbridge Center). In addition, the
pool's high concentration of retail properties, representing 39.8%
of the pool, is noteworthy as this property type has been most
acutely affected by the Coronavirus Disease (COVID-19) pandemic.

As of the February 2021 remittance, 82 of the original 98 loans
remain in the pool, with an aggregate principal balance of $918.3
million, representing a collateral reduction of 26.6% since
issuance as a result of loan repayment, scheduled loan
amortization, and the liquidation of a single loan as the trust
incurred a loss of $0.8 million after a discounted payoff of a
specially serviced loan in February 2021. Twelve loans,
representing 7.0% of the current pool balance, are fully defeased.

Five loans, totaling 25.5% of the trust balance, are in special
servicing. Four of the loans transferred to the special servicer
during the coronavirus pandemic, one of which is higher risk
because it is secured by a Class B regional mall that showed
weakened performance prior to the pandemic. Another loan is secured
by a Houston office property, which also had a large increase in
vacancy prior to the outbreak of the coronavirus pandemic.

The Woodbridge Center is a pari passu loan that is secured by the
fee interest in a 1.1 million sf portion of a 1.7 million sf
super-regional mall in Woodbridge, New Jersey, approximately 30
miles southwest of New York City. The Class B mall was originally
built in 1971 and is owned and operated by affiliates of Brookfield
Property Partners (Brookfield). The mall has reported cash flow
declines for several years and with the closure of the former Lord
& Taylor anchor in January 2020 and shortly thereafter, the closure
of the Sears anchor in February 2020, the property was struggling
even before the coronavirus pandemic. In May 2020, the loan
transferred to special servicing due to imminent default and as of
the February 2021 remittance, the loan was most recently paid in
April 2020.

Although the servicer's reporting has consistently showed a DSCR
above 2.0 times (x) for both pieces of this loan, the debt service
calculation does not appear to be correct as the reported net cash
flow (NCF) figures have consistently held below the issuer's figure
since YE2016, with an issuer's DSCR of 1.42x. The YE2019 DSCR of
2.19x reported by the servicer should be approximately 1.13x using
the full debt service figure and the servicer's reported NCF
figure, which is 20.1% below the issuer's NCF.

According to the February 2021 commentary, the special servicer
continues to discuss possible workout strategies for the loan. As
previously highlighted, the collateral was reappraised in December
2020 for a value of $104.0 million, drastically down by 71.6% from
the $366.0 million appraised value at issuance. The 2020 value
implies an in-place loan-to-value ratio of 226.3%, compared with
64.91% at issuance. Contributing factors to the lower value include
the two dark anchor spaces, the relatively low inline sales for the
property that could suggest further occupancy loss and, likely low
demand for the property should it be marketed for sale in the
current environment. The most recent sales report on file with DBRS
Morningstar, dated December 2018, showed tenants less than 10,000
sf reported sales of $357 psf, which was up by 1.7% from the prior
year. Based on the December 2020 value, DBRS Morningstar liquidated
the loan in the analysis for this review, a scenario that resulted
in an implied loss severity in excess of 70.0%.

The second-largest loan in special servicing, Sugar Creek – I &
II ( Prospectus ID#4, 6.6% of the current trust balance),
transferred to special servicing in October 2020. The loan is
secured by two adjacent Class A office buildings in Sugar Land,
Texas, approximately 18 miles southwest of the Houston CBD. As of
the February 2021 reporting, the loan was 30-plus days delinquent
with a workout strategy yet to be determined. The servicer notes
that negotiations for relief are ongoing and that the loan is in
default as the mezzanine loan is also delinquent. This loan has
been on the DBRS Morningstar Hotlist since February 2019 because of
concerns surrounding the three largest tenants, which had lease
expirations in 2019.

The largest tenant, Noble Drilling Services (Noble) (26.3% of the
net rentable area (NRA)), reduced its footprint by approximately
61,000 sf as part of a 10-year renewal that expires in January
2029, while the second- and third-largest tenants, United
Healthcare Services (12.9% of NRA) and ICON Clinical Research (6.2%
of NRA), vacated upon their respective lease expirations in April
and March 2019. As of the August 2020 rent roll, the property was
69.7% occupied, well below historical rates, which generally
hovered around 90.0%. The loan reported a T-6 ended June 2020 DSCR
of 1.04x for the trust loan debt and 0.95x for the whole loan debt,
which is indicative of the actual performance since the increased
vacancy rate. Given the extremely soft market condition in the
Houston MSA, the subject's submarket of Southwest Houston, which
reported a vacancy rate of 25.0% in Q4 2020, and the recent
delinquency and request for relief, DBRS Morningstar has elevated
the probability of default for this loan.

There are 16 loans, representing 24.3% of the current trust
balance, on the servicer's watchlist. The servicer is monitoring
these loans for a variety of reasons, including low debt service
coverage ratio and occupancy issues; however, the primary reason
for the increase of loans on the watchlist is the
coronavirus-driven stress for retail and hospitality properties,
with watchlisted loans backed by those property types generally
reporting a declining DSCR.

The second-largest loan on the servicer's watchlist is Brunswick
Square (Prospectus ID#6, 4.5% of the current trust balance), which
is secured by a 292,685-sf portion of a 760,311-sf regional mall in
East Brunswick, New Jersey. The loan initially transferred to
special servicing for imminent default at the borrower's request in
June 2020, following a three-month closure of the mall but was
returned to the master servicer with no modifications in November
2020 as the borrower indicated its commitment to making payments
without relief. While the loan is current as of the February 2021
reporting, despite performance-related declines with coverage
falling below breakeven, the sponsor, Washington Prime Group (WPG),
missed a February 2021 payment on its corporate debt and hired
restructuring consultants, seemingly indicating that the firm is
experiencing financial difficulties.

The mall is anchored by noncollateral tenants Macy's (244,000 sf)
and JCPenney (223,626 sf), both of which are concerning given their
plans for additional store closures throughout the country. While
collateral occupancy has reported only minor declines in occupancy
recently, falling to 90.7% in September 2020 from 93.8% in December
2019, there are 14 tenants (21.5% of the NRA) that have had recent
lease expirations, while another six tenants (8.1% of the NRA) have
lease expirations scheduled prior to year-end 2021. Collateral
rental rates at the property have fallen to $21.37 psf in September
2020 from $26.12 psf at issuance, representing an 18.2% decline.
Given the concerns surrounding the sponsorship, paired with the
recent decline in performance and increasing rollover risk, DBRS
Morningstar has significantly elevated the probability of default
for this loan.

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


WFRBS COMMERCIAL 2014-C24: Moody's Lowers Cl. C Certs to Ba1
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
and downgraded ratings on three classes in WFRBS Commercial
Mortgage Trust 2014-C24, Commercial Mortgage Pass-Through
Certificates, Series 2014-C24.

Cl. A-3, Affirmed Aaa (sf); previously on Sep 14, 2020 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Sep 14, 2020 Affirmed Aaa
(sf)

Cl. A-5, Affirmed Aaa (sf); previously on Sep 14, 2020 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Sep 14, 2020 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aa1 (sf); previously on Sep 14, 2020 Affirmed Aa1
(sf)

Cl. B, Downgraded to A2 (sf); previously on Sep 14, 2020 Affirmed
Aa3 (sf)

Cl. C, Downgraded to Ba1 (sf); previously on Sep 14, 2020
Downgraded to Baa2 (sf)

Cl. PEX**, Downgraded to Baa1 (sf); previously on Sep 14, 2020
Downgraded to A2 (sf)

Cl. SJ-A***, Affirmed Aa2 (sf); previously on Sep 14, 2020 Affirmed
Aa2 (sf)

Cl. SJ-B***, Affirmed A2 (sf); previously on Sep 14, 2020 Affirmed
A2 (sf)

Cl. SJ-C***, Affirmed Baa1 (sf); previously on Sep 14, 2020
Affirmed Baa1 (sf)

Cl. SJ-D***, Affirmed Ba2 (sf); previously on Sep 14, 2020 Affirmed
Ba2 (sf)

** Reflects exchangeable classes

*** Reflects rake bond classes

RATINGS RATIONALE

The ratings on five pooled principal and interest (P&I) classes
were affirmed because their credit support and because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.

The rating on two pooled P&I classes, Cl. B and Cl. C, were
downgraded due the decline in pool performance as a result of the
anticipated losses and increased potential interest shortfalls risk
from the significant exposure to specially serviced loans as well
as the decline in credit support caused by realized losses from a
recently liquidated loan. Specially serviced loans make up nearly
14% of the pool and the credit support on these two classes has
declined due to the significant losses from the recently liquidated
Two Westlake Park loan.

The ratings on four non-pooled rake classes, Cl. SJ-A, SJ-B, SJ-C
and SJ-D, were affirmed based on the key metrics of their
referenced loan, including Moody's loan to value (LTV) ratio, and
the dominant nature of the asset backing the loan. The rake classes
are supported by the subordinate debt associated with the St.
John's Town Center loan, a super-regional outdoor mall located in
Jacksonville, Florida.

The rating on the exchangeable class, Cl. PEX, was downgraded due
to decline in the credit quality of its referenced exchangeable
classes.

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 commercial real estate from a gradual and unbalanced
recovery in US economic activity. Stress on commercial real estate
properties will be most directly stemming from declines in hotel
occupancies (particularly related to conference or other group
attendance) and declines in foot traffic and sales for
non-essential items at retail properties.

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

Moody's rating action reflects a base expected loss of 6.9% of the
current pooled balance, compared to 11.1% at Moody's last review.
However, due to the significant increase in realized losses,
Moody's base expected loss plus realized losses is now 12.3% of the
original pooled balance, compared to 9.9% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
exchangeable classes and rake bond classes was "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in September 2020.

DEAL PERFORMANCE

As of the March 17, 2021 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 21.2% to
$856.5 million from $1.088 billion at securitization. The
certificates are collateralized by 72 mortgage loans ranging in
size from less than 1% to 12.1% of the pool, with the top ten loans
constituting 48.1% of the pooled loan balance. Nine loans,
constituting 7.9% of the pool, have defeased and are secured by US
government securities. One loan, constituting 12.1% of the pooled
balance, has an investment-grade structured credit assessment.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 22, the same as at Moody's last review.

As of the March 17, 2021 remittance report, loans representing
92.9% were current or within their grace period on their debt
service payments and 7.1% were greater than 90 days delinquent.

Fifteen loans, constituting 28.0% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

Two loan have been liquidated from the pool with realized loss of
$74.1 million (for an average loss severity of 82%). The largest of
which was the Two Westlake Park loan which liquidated with a $71.7
million loss (loss severity of 79%) in the January 2020 remittance
report.

Nine loans, constituting 13.8% of the pool, are currently in
special servicing, of which six loans, 10.1% of the pool,
transferred to special servicing since April 2020.

The largest loan in special servicing is the Bend River Promenade
Loan ($25.6 million -- 3.0% of the pool), which is secured by a
252,147 square foot (SF) retail center located in Bend, Oregon. The
loan transferred to special servicing in April 2020 in relation to
the coronavirus outbreak. As of June 2020, the servicer reported an
occupancy and DSCR of 90% and 1.60X, compared to 96% and 1.72X for
the year-end 2019 and 95% and 1.38X at securitization. The largest
tenants include Macy' (40% of NRA; lease expiration in January
2024); Hobby Lobby (25%; lease expiration in January 2026) and TJ
Maxx (11%; lease expiration in May 2021). The loan was more than 90
days delinquent throughout portions of 2020, however, is now paid
through February 2021 and is currently less than 30 days delinquent
as of the March 2021 remittance date. The special servicer is
currently discussing potential resolution options with the
borrower.

The second largest loan in special servicing is secured by a
parking facility within the Philadelphia International Airport
($22.1 million -- 2.6% of the pool) which transferred to special
servicing in April 2020 due to hardships associated with the
coronavirus pandemic. The property is the closest
privately-operated parking facility to the Philadelphia
International Airport. The property's performance declined
dramatically as a result of lack of travel from the pandemic and
the NOI DSCR as of September 2020 was 0.59X, compared to 2.36X in
2019. The loan is currently more than 90 days delinquent and is due
for the May 2020 payment date. However, the special servicer is
currently pursuing approvals in relation to a short term
forbearance agreement.

The remaining seven specially serviced loans are primarily secured
by retail or hotel properties that been further impacted by the
pandemic. Moody's has also assumed a high default probability for
two poorly performing loans, constituting 1.7% of the pool. The
troubled loans are secured by a multifamily portfolio in Atlanta,
GA (1.3% of the pool) which had exhibited a significant decline in
performance in 2020 and a former single tenant retail property
(0.4% of the pool) located in Visalia, CA which is currently
vacant.

Moody's has estimated an aggregate loss of $22.8 million (17%
expected loss on average) from these troubled loans and specially
serviced loan.

The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology

Moody's received full year 2019 operating results for 97% of the
pool and full or partial year 2020 operating results for 99% of the
pool. Moody's weighted average conduit LTV is 107%, compared to
104% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and specially serviced and troubled loans. Moody's net cash flow
(NCF) reflects a weighted average haircut of 14% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.8%.

Moody's actual and stressed conduit DSCRs are 1.77X and 1.09X,
respectively, compared to 1.79X and 1.10X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The loan with a structured credit assessment is the St. Johns Town
Center Loan ($103.5 million -- 12.1% of the pooled balance), which
is secured by a 981,000 SF component of a 1.4 million SF
super-regional outdoor mall located in Jacksonville, Florida. The
loan represents a pari passu interest in a $203.5 million senior
loan. The property is also encumbered by a $146.5 million B-note
which contribute to the transaction as non-pooled rake bonds. The
loan sponsor is a joint venture between subsidiaries of Simon
Property Group (SPG), Inc. and Deutsche Bank Asset & Wealth
Management with SPG managing the property. The mall is anchored by
Dillard's, Target, Dick's Sporting Goods, Ashley Furniture, and
Nordstrom. Dillard's, Target and Ashely Furniture are not part of
the collateral and own their own spaces. As of December 2020, the
property was 87% occupied, compared to 95% as of December 2019, and
99% at securitization. The reported year-end 2020 NOI was $35.4
million, compared to $37.6 million year-end 2019 and $31.3 million
at securitization. Overall performance as of year-end 2020 remained
above expectations at securitization with a 2020 NOI DSCR of 2.62X,
compared to 2.71X at year-end 2019. The property is considered the
dominant mall in the area. Moody's structured credit assessment and
stressed DSCR on the pooled portion are aaa (sca.pd) and 1.61X,
respectively, the same as at last review. The Moody's total debt
LTV including the B-note is 95.1%.

The top three conduit loans represent 19.9% of the pool balance.
The largest loan is the Gateway Center Phase II Loan ($75.0 million
-- 8.8% of the pool), which represents a pari passu portion of a
$300 million mortgage loan. The loan is secured by a 602,000 SF
retail center located in Brooklyn, New York. The center is the
second phase of a larger retail power center. As of December 2020,
the property was 99% leased, compared to 100% as of December 2019
and securitization. Retailers at the property include JC Penney
(which owns their improvements and leases the land from the
borrower), ShopRite, and Burlington Coat Factory. The JC Penney
location has not been included in any of the recent store closure
announcements. JC Penney represents 20% of the total property's
square footage but less than 5% of the base rental revenue. The
reported year-end 2020 NOI was $23.4 million, compared to $26.3
million year-end 2019 and $23.5 million at securitization and the
2020 NOI DSCR was 1.79X, compared to 2.02X at year-end 2019 and
1.81X at securitization. The loan is interest-only throughout the
loan term. Moody's LTV and stressed DSCR are 120% and 0.76X,
respectively, compared to 114% and 0.78X at the last review.

The second largest loan is the Crossings at Corona Loan ($65.8
million -- 7.7% of the pool), which is secured by an 834,000 SF
component of an approximately 962,200 SF power center located 50
miles south-east of Los Angeles in Corona, California. The center
is anchored by a Kohl's, Edwards Cinemas (Regal) and Best Buy and
is also shadow anchored by a Target. The three largest collateral
tenants all have lease expiration dates in 2024. As of December
2020, the property was 75% leased, compared to 81% in December 2019
and 97% at securitization. Toys R Us (7.6% of the NRA) closed in
April 2018 in conjunction with the bankruptcy of the company. As a
result, the loan is on the servicer's watchlist due to low DSCR
with an NOI DSCR of 1.01X and low occupancy. The loan has remained
current and Moody's LTV and stressed DSCR are 146% and 0.70X,
respectively, compared to 140% and 0.73X at the last review.

The third largest loan is the CTO NNN Portfolio Loan ($30.0 million
-- 3.5% of the pool), which is secured by six single tenant retail
properties, located in six states, totaling 266,764 SF. The
properties are leased Lowes, Harris Teeter, Rite Aid, Walgreens,
and Big Lots. The loan is interest-only throughout the loan term.
Property performance has been stable since securitization and
Moody's LTV and stressed DSCR are 103% and 0.99X, respectively, the
same as at the last review.


[*] S&P Takes Various Actions on 97 Classes From 14 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 97 ratings from 14 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
11 downgrades, 36 affirmations, and 50 withdrawals. In addition,
S&P withdrew one rating that it downgraded to 'D (sf)'.

Analytical Considerations

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 COVID-19;
-- Collateral performance/delinquency trends;
-- Principal write-downs;
-- Erosion of/increases in credit support;
-- A small loan count;
-- Observed interest shortfalls;
-- Principal-only criteria; and
-- Interest-only criteria.

As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity. S&P said, "We use this assumption
about vaccine timing in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates
accordingly."

Rating Actions

S&P said, "The 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 rating 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 50 classes from eight 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. Additionally, as a result, we applied our
principal-only criteria, "Methodology For Surveilling U.S. RMBS
Principal-Only Strip Securities For Pre-2009 Originations,"
published Oct. 11, 2016, on seven classes from six transactions,
which resulted in the withdrawal of our ratings.

"In reviewing the classes with observed interest shortfalls, we
lowered the ratings to be consistent with "S&P Global Ratings
Definitions," published Jan. 5, 2021, which imposes a maximum
rating threshold on classes that have incurred interest shortfalls
resulting from credit or liquidity erosion. In applying our ratings
definitions, we looked to see if the applicable class received
additional compensation beyond the imputed interest due as direct
economic compensation for the delay in interest payment, which
these classes did not. Therefore, in those instances, we used the
maximum length of time until full interest is reimbursed as part of
our analysis to assign a rating to each class. As a result, we
lowered two ratings. In addition, we subsequently withdrew our
rating on class III-A-5 issued from Credit Suisse First Boston
Mortgage Securities Corp. 2003-17, which was initially downgraded
to 'D (sf)' due to observed interest shortfalls.

"We applied our interest-only criteria, "Global Methodology For
Rating Interest-Only Securities," published April 15, 2010, on
class I-X issued from CSFB Mortgage-Backed Trust Series 2003-11,
which resulted in the rating being withdrawn, as all principal- and
interest-paying classes rated 'AA-' or higher have been retired or
downgraded below that rating level."

A list of Affected Ratings can be viewed at:

         https://bit.ly/3suerhM



                            *********

Monday's edition of the TCR delivers a list of indicative prices
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