/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210418.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, April 18, 2021, Vol. 25, No. 107 Headlines AIMCO CLO 14: S&P Assigns BB- (sf) Rating on $14.6MM Class E Notes ALESCO PREFERRED VIII: Fitch Affirms C Rating on 6 Tranches AMUR EQUIPMENT 2021-1: Moody's Gives (P)B3 Rating to Class F Notes ANCHORAGE CAPITAL 13: S&P Assigns BB- (sf) Rating on E-R Notes BARINGS CLO 2021-I: S&P Assigns Prelim BB- (sf) Rating on E Notes BBCMS TRUST 2015-SRCH: Fitch Affirms BB+ Rating on Class E Certs BENCHMARK 2021-B25: Fitch Assigns B- Rating on 2 Tranches CANYON CAPITAL 2021-1: Moody's Assigns Ba3 Rating to Class E Notes CBAM 2021-14: S&P Assigns BB- (sf) Rating on Class E Notes CEDAR FUNDING VI: S&P Assigns BB- (sf) Rating on Class E-RR Notes CIFC FUNDING 2021-II: S&P Assigns Prelim BB-(sf) Rating on E Notes COMM 2010-C1: Fitch Lowers Rating on 2 Tranches to 'CC' COMM MORTGAGE 2015-CCRE25: Fitch Affirms CCC Rating on E Debt CSMC TRUST 2017-TIME: Moody's Cuts Rating on Class D Certs to B1 CSMC TRUST 2021-RPL3: Fitch Assigns B Rating on Class B-2 Notes CSMC TRUST 2021-RPL3: Fitch to Rate Class B-2 Notes 'B(EXP)' DIAMOND RESORTS 2021-1: S&P Assigns Prelim BB Rating on D Notes DT AUTO 2020-1: S&P Affirms BB (sf) Rating on Class E Notes DT AUTO 2021-2: S&P Assigns Prelim BB-(sf) Ratings on Class E Notes ELMWOOD CLO II: S&P Assigns Prelim B- (sf) Rating on F-R Notes FLAGSTAR MORTGAGE 2021-2: Fitch to Rate B-5 Certs 'B+(EXP)' FLAGSTAR MORTGAGE 2021-2: Moody's Gives (P)B2 Rating to B-5 Certs GOLDENTREE LOAN 1: S&P Assigns B (sf) Rating on Class F-R-2 Notes GOLDENTREE LOAN 7: S&P Assigns Prelim B-(sf) Rating on F-R Notes GREAT LAKES V: S&P Assigns BB (sf) Rating on $21MM Class E Notes GREAT LAKES V: S&P Assigns BB (sf) Rating on Class E Notes GREYWOLF CLO II: S&P Assigns Prelim BB- (sf) on Class D Notes GS MORTGAGE 2011-GC3: Moody's Lowers Class X Certs to Caa1 GS MORTGAGE 2021-PJ4: Moody's Gives (P)B2 Rating to Cl. B-5 Certs GUGGENHEIM CLO 2020-1: S&P Assigns Prelim 'BB-' Rating on E Notes HALCYON LOAN 2015-3: Moody's Lowers Rating on Class D Notes to Caa1 HERTZ VEHICLE II: Fitch Affirms CCC Rating on 11 Note Classes JP MORGAN 2014-C21: Fitch Lowers Class F Tranche to 'CC' JPMBB COMMERCIAL 2014-C25: Fitch Lowers 2 Tranches to 'CC' JPMMC COMMERCIAL 2017-JP6: Fitch Affirms B- Rating on G-RR Debt MELLO WAREHOUSE 2021-2: Moody's Gives (P)B2 Rating to 2 Tranches MFA 2021-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs MFA 2021-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs MORGAN STANLEY 2016-UBS11: Fitch Affirms CCC Rating on 2 Tranches OAKTOWN RE VI: Moody's Assigns (P)B3 Rating to Cl. B-1 Notes OCEANVIEW MORTGAGE 2021-1: Moody's Gives (P)B3 Rating to B-5 Notes OHA CREDIT X-R: S&P Assigns Prelim BB- (sf) Rating on E-R Notes PRESTIGE AUTO 2019-1: S&P Affirms BB (sf) Rating on Class E Notes PSMC 2021-1: S&P Assigns 'B (sf)' Rating on Class B-5 Certs RIN IV: Moody's Assigns (P)Ba3 Rating to $11M Class E Notes RR 2: S&P Assigns BB- (sf) Rating on $30MM Class D-R Notes SEQUOIA MORTGAGE 2021-3: Fitch to Rate B-4 Certs 'BB-(EXP)' SIGNAL PEAK CLO 1: S&P Assigns Prelim B- (sf) Rating on F-R3 Notes SLM STUDENT 2007-7: Fitch Affirms B Rating on 2 Tranches THOMPSON PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes VENTURE 42: S&P Assigns Prelim BB- (sf) Rating on Class E Notes VERUS 2021-2: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes WELLS FARGO 2017-C38: Fitch Lowers Class F Certs to 'CCC' WFRBS COMMERCIAL 2011-C3: Moody's Cuts Rating on 2 Tranches to Ca [*] Fitch Affirms 39 Classes From Six CREL CDOs [*] Moody's Puts 53 RMBS Issued 1998-2007 on Review for Downgrade [*] S&P Takes Various Actions on 101 Classes from 13 US RMBS Deals ********* AIMCO CLO 14: S&P Assigns BB- (sf) Rating on $14.6MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to AIMCO CLO 14 Ltd./AIMCO CLO 14 LLC's floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The 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 AIMCO CLO 14 Ltd./AIMCO CLO 14 LLC Class X, $4.00 million: AAA (sf) Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $26.00 million: A (sf) Class D (deferrable), $22.00 million: BBB- (sf) Class E (deferrable), $14.60 million: BB- (sf) Subordinated notes, $36.25 million: Not rated ALESCO PREFERRED VIII: Fitch Affirms C Rating on 6 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 62, upgraded 17, and revised or assigned Rating Outlooks to eight tranches from 10 collateralized debt obligations (CDOs) backed primarily by trust preferred (TruPS) securities issued by banks and insurance companies. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. DEBT RATING PRIOR ---- ------ ----- Preferred Term Securities XXI, Ltd./Inc. A-1 74042JAA1 LT Asf Affirmed Asf A-2 74042JAB9 LT BBBsf Affirmed BBBsf B-1 74042JAC7 LT BBsf Upgrade Bsf B-2 74042JAJ2 LT BBsf Upgrade Bsf C-1 74042JAE3 LT CCsf Affirmed CCsf C-2 74042JAK9 LT CCsf Affirmed CCsf D 74042JAG8 LT Csf Affirmed Csf ALESCO Preferred Funding VIII, Ltd./Inc. A-1A First Priority LT AAsf Affirmed AAsf Floating 01449CAA8 A-1B First Priority LT AAsf Affirmed AAsf Floating 01449CAB6 A-2 Second Priority LT BBBsf Affirmed BBBsf Floating 01449CAG5 B-1 Deferrable Third LT BBsf Affirmed BBsf Priority 01449CAH3 B-2 Deferrable Third LT BBsf Affirmed BBsf Priority 01449CAJ9 C-1 Deferrable Fourth LT Csf Affirmed Csf Priority 01449CAK6 C-2 Deferrable Fourth LT Csf Affirmed Csf Priority 01449CAL4 C-3 Deferrable Fourth LT Csf Affirmed Csf Priority 01449CAM2 D-1 Deferrable Fifth LT Csf Affirmed Csf Priority 01449CAN0 D-2 Deferrable Fifth LT Csf Affirmed Csf Priority 01449CAP5 E Deferrable Sixth LT Csf Affirmed Csf Priority 01449CAQ3 ALESCO Preferred Funding VI, Ltd./Inc. Class A-1 Floating Rate LT Asf Affirmed Asf Notes 01448XAA3 Class A-2 Floating Rate LT Asf Affirmed Asf Notes 01448XAB1 Class A-3 Fixed/Floating LT Asf Affirmed Asf Note 01448XAG0 Class B-1 Deferrable LT BBBsf Affirmed BBBsf Notes 01448XAC9 Class B-2 Deferrable LT BBBsf Affirmed BBBsf Notes 01448XAH8 Class C-1 Deferrable LT Csf Affirmed Csf Notes 01448XAD7 Class C-2 Deferrable LT Csf Affirmed Csf Notes 01448XAE5 Class C-3 Deferrable LT Csf Affirmed Csf Notes 01448XAJ4 Class C-4 Deferrable LT Csf Affirmed Csf Notes 01448XAL9 Class D-1 Deferrable LT Csf Affirmed Csf Notes 01448XAF2 Class D-2 Deferrable LT Csf Affirmed Csf Notes 01448XAK1 Preferred Term Securities XXII, Ltd./Inc. A-1 Senior Notes LT AAsf Affirmed AAsf 74042MAA4 A-2 Senior Notes LT Asf Affirmed Asf 74042MAC0 B-1 Mezzanine Notes LT BBBsf Upgrade BBsf 74042MAE6 B-2 Mezzanine Notes LT BBBsf Upgrade BBsf 74042MAG1 B-3 Mezzanine Notes LT BBBsf Upgrade BBsf 74042MAQ9 C-1 Mezzanine Notes LT Bsf Upgrade CCCsf 74042MAJ5 C-2 Mezzanine Notes LT Bsf Upgrade CCCsf 74042MAL0 D Mezzanine Notes LT Csf Affirmed Csf 74042MAN6 ALESCO Preferred Funding IX, Ltd./Inc. Class A1 First LT Asf Affirmed Asf Priority Delay 01449TAA1 Class A2A Second LT BBBsf Affirmed BBBsf Priority 01449TAB9 Class A2B Second LT BBBsf Affirmed BBBsf Priority 01449TAC7 Class B1 Defer. Third LT BBsf Affirmed BBsf Party 01449TAD5 Class B2 Defer.Third LT BBsf Affirmed BBsf Priority 01449TAE3 Class C1 Defer. 4th LT CCsf Affirmed CCsf Priority 01449TAF0 Class C2 Defer. 4th LT CCsf Affirmed CCsf Priority 01449TAG8 Class C3 Defer. 4th LT CCsf Affirmed CCsf Priority 01449TAH6 Class C4 Defer. 4th LT CCsf Affirmed CCsf Priority 01449TAJ2 Class D1 Defer. 5th LT Csf Affirmed Csf Priority 01449TAK9 Class D2 Defer. 5th LT Csf Affirmed Csf Priority 01449TAL7 Preferred Term Securities XV, Ltd./Inc. A-1 74041CAA7 LT AAsf Affirmed AAsf A-2 74041CAB5 LT Asf Upgrade BBBsf A-3 74041CAC3 LT Asf Upgrade BBBsf B-1 74041CAE9 LT CCsf Affirmed CCsf B-2 74041CAF6 LT CCsf Affirmed CCsf B-3 74041CAG4 LT CCsf Affirmed CCsf C 74041CAH2 LT Csf Affirmed Csf ALESCO Preferred Funding XV, Ltd./Inc. A-1 01450BAA6 LT Asf Affirmed Asf A-2 01450BAB4 LT BBBsf Upgrade BBsf B-1 01450BAC2 LT CCCsf Affirmed CCCsf B-2 01450BAG3 LT CCCsf Affirmed CCCsf C-1 01450BAD0 LT Csf Affirmed Csf C-2 01450BAE8 LT Csf Affirmed Csf D 01450BAF5 LT Csf Affirmed Csf Preferred Term Securities XIX, Ltd./Inc. A-1 74042HAA5 LT AAsf Upgrade Asf A-2 74042HAB3 LT BBBsf Affirmed BBBsf B 74042HAC1 LT BBsf Upgrade Bsf C 74042HAE7 LT CCCsf Affirmed CCCsf D 74042HAG2 LT CCsf Upgrade Csf Tropic CDO V Ltd. A-1L1 89708BAA1 LT AAsf Upgrade Asf A-1L2 89708BAB9 LT Asf Upgrade BBBsf A-1LB 89708BAC7 LT BBsf Upgrade Bsf A-2L 89708BAD5 LT Bsf Upgrade CCCsf A-3F 89708BAF0 LT Csf Affirmed Csf A-3L 89708BAE3 LT Csf Affirmed Csf B-1L 89708BAG8 LT Csf Affirmed Csf B-2L 89708CAA9 LT Csf Affirmed Csf ALESCO Preferred Funding XVI, Ltd./Inc. Class A 01450GAA5 LT BBsf Affirmed BBsf Class B 01450GAB3 LT Bsf Affirmed Bsf Class C 01450GAC1 LT Csf Affirmed Csf Class D 01450GAE7 LT Csf Affirmed Csf KEY RATING DRIVERS The main driver behind the upgrades and the Positive Outlooks was deleveraging from collateral redemptions and excess spread, which resulted in paydowns to the senior most notes, ranging between 2% and 27% of their balances at last review. The magnitude of the deleveraging for each CDO is reported in the accompanying rating action report. For three transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, improved, with the other seven exhibiting negative credit migration. There was one new cure since last review. One bank issuer deferred for the second time and one insurance issuer deferred across two CDOs during this review period. No new defaults have been reported. The ratings on 42 classes of notes in the 10 transactions have been capped based on the application of the performing credit enhancement (CE) cap as described in Fitch's TruPS CDO Criteria. RATING SENSITIVITIES To address potential risks of adverse selection and increased portfolio concentration, Fitch applied a sensitivity scenario, as described in the criteria, to applicable transactions. In addition, this review applied a coronavirus stress scenario. Under this scenario, all issuers in the pool were downgraded either by 0.5 for private bank scores or one notch for publicly rated banks and insurance issuers with a mapped rating. The outcome of this scenario was considered in assignment of Outlooks and when the notes' performing CE was indicating a potential upgrade. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Future upgrades to the rated notes may occur if a transaction experiences improvement in CE through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the rated notes may occur if a significant share of the portfolio issuers defers or defaults on their TruPS instruments, which would cause a decline in performing CE levels. If the pandemic inflicted disruptions become more prolonged, Fitch will formulate a sensitivity scenario that represents a more severe impact on the banking and insurance sectors than the scenario specified above. 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. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The rating for class A-1 in Alesco Preferred Funding VI, Ltd./Inc. is two categories lower than its model-implied rating. The transaction document does not have requirements for the hedge counterparty that conform to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria" (Counterparty Criteria). As a result, the rating of the most senior class is capped at the same rating category as that of the interest rate swap counterparty. The swap does not expire until December 2033. The rating for class A-1 in Preferred Term Securities XXII, Ltd./Inc. is one category lower than the model-implied rating. The transaction document does not conform to Fitch's Counterparty Criteria regarding rating requirements and remedial actions expected for the issuer account bank. The transaction is allowed to hold cash and the account bank does not collateralize cash, which would be a mitigant against the non-conforming language. Therefore, this class of notes is capped at the same rating category as that of its issuer account bank. AMUR EQUIPMENT 2021-1: Moody's Gives (P)B3 Rating to Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the Series 2021-1 notes to be issued by Amur Equipment Finance Receivables IX LLC (Amur 2021-1). Amur Equipment Finance, Inc. (Amur) will sponsor the securitization, which will be backed by fixed-rate loans and leases secured primarily by trucking, transportation and construction equipment. Amur will also be the servicer of the pool to be securitized. Amur 2021-1 will be Amur's ninth transaction backed by somewhat similar collateral and the third that Moody's will rate. The complete rating actions are as follows: Issuer: Amur Equipment Finance Receivables IX LLC, Series 2021-1 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A1 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba2 (sf) Class F Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The provisional ratings of the notes are based on the credit quality of the equipment loan and lease pool to be securitized and its expected performance, the historical performance of Amur's managed portfolio and that of its prior securitizations, the experience and expertise of Amur as the originator and servicer of the underlying pool, the back-up servicing arrangement with Wells Fargo Bank National Association (Aa1 negative), the transaction structure including the level of credit enhancement supporting the notes, and the legal aspects of the transaction. Moody's median cumulative net loss expectation for the Amur 2020-1 collateral pool is 6.00% and loss at a Aaa stress is 28.00%. Moody's cumulative net loss expectation and loss at a Aaa stress is based on its analysis of the credit quality of the underlying collateral pool and the historical performance of similar collateral, including Amur's managed portfolio performance, the track-record, ability and expertise of Amur to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction. Additionally, in assigning a (P)P-1 (sf) rating to the Class A-1 Notes, Moody's considered the cash flows the underlying receivables are expected to generate during the collection periods prior to the Class A-1 notes' legal final maturity date. At current size, assuming no prepayment and Moody's stress default assumption, the A-1 tranche can withstand a reduction in expected cashflows of roughly 37% and payoff prior to maturity. The classes of notes will be paid sequentially. At transaction closing, the Class A, Class B, Class C and Class D and Class E notes will benefit from 30.45%, 25.20%, 19.95%, 14.70%, and 11.20% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes will consist of (1) subordination, (2) over-collateralization (OC) of 7.5% of the initial adjusted discounted pool balance with the transaction utilizing excess spread to build to an OC target of 10.0% of the outstanding adjusted discounted pool balance, and (3) a fully funded, non-declining reserve account of 1.2% of the initial adjusted discounted pool balance. The transaction will also benefit from an OC floor of 1.75%. Excess spread may be available as additional credit protection for the notes. The sequential-pay structure and non-declining reserve account will result in a build-up of credit enhancement supporting the rated notes. 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. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or slower depreciation in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow 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-up of enhancement. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. 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 equipment securing obligors' promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties and inadequate transaction governance. Additionally, Moody's could downgrade the Class A-1 short term rating following a significant slowdown in principal collections that could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. ANCHORAGE CAPITAL 13: S&P Assigns BB- (sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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. Proceeds from the issuance of the replacement notes were used to redeem the original notes. As such, S&P withdrew its ratings on the original notes. The replacement notes were issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, also: -- Issued the replacement notes at lower weighted average cost of debt than the original notes, and -- Extended 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." 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. BARINGS CLO 2021-I: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Barings CLO Ltd. 2021-I/Barings CLO 2021-I 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 April 8, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Barings CLO Ltd. 2021-I/Barings CLO 2021-I LLC Class A, $218.75 million: AAA (sf) Class B, $47.25 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $21.00 million: BBB- (sf) Class E (deferrable), $12.25 million: BB- (sf) Subordinated notes, $38.90 million: Not rated BBCMS TRUST 2015-SRCH: Fitch Affirms BB+ Rating on Class E Certs ---------------------------------------------------------------- Fitch Ratings has affirmed eight classes of BBCMS Trust 2015-SRCH Mortgage Trust commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- BBCMS 2015-SRCH A-1 05547HAA9 LT AAAsf Affirmed AAAsf A-2 05547HAC5 LT AAAsf Affirmed AAAsf B 05547HAJ0 LT AA-sf Affirmed AA-sf C 05547HAL5 LT A-sf Affirmed A-sf D 05547HAN1 LT BBB-sf Affirmed BBB-sf E 05547HAQ4 LT BB+sf Affirmed BB+sf X-A 05547HAE1 LT AAAsf Affirmed AAAsf X-B 05547HAG6 LT A-sf Affirmed A-sf KEY RATING DRIVERS Stable Performance and Property Cash Flow: Property level performance is stable, and the YE 2020 net cash flow (NCF) is in line with issuance expectations. The most recent servicer-reported NCF debt service coverage ratio (DSCR) as of YE 2020 was 1.92x. Despite a loss of income from the amenities building, Fitch's NCF has increased 2% since issuance due to rent steps. Superior Collateral Quality in Strong Location: The loan is secured by the fee simple interest in three newly constructed, single-tenant office buildings, totaling 943,056 sf, leased to Google, Inc. in Sunnyvale, CA. The three buildings hold a LEED-Gold designation are some of the most technologically advanced in the area and hold a LEED-Gold designation, which has positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. The complex also includes a 52,500-sf amenities building (non-collateral) for the sole use of tenants, which includes fitness and weight equipment, studios for classes, full locker rooms and an outdoor pool. Single-Tenant Lease Exposure: The three buildings are leased by Google through August 2027 (co-terminus with the loan maturity). Google has no outs in its lease and has invested approximately $188.6 million ($200 psf) in its buildout. Google is one of the world's largest technology companies with an estimated market capitalization of $878 billion as of April 2020. It is also one of the largest landlords and occupiers of space in the Silicon Valley market. The company has leased three other office buildings in the development (Phase II). Amortization: The loan is interest-only for the first four years and eight months and then amortizes on a 30-year schedule, resulting in seven years of amortization. The loan is no longer in the interest-only period and began to amortize in August 2020. At maturity, the trust balloon balance is estimated to be $372.1 million ($395/sf), resulting in an approximate 13.5% reduction to the initial loan amount. Reserves: Up-front reserves of approximately $71 million were funded to address all outstanding landlord obligations, including tenant improvements, leasing costs and free rent periods. Nearly all of the reserves have been used, and only a small amount remains. The loan includes a cash flow sweep to be used to build reserves to $25 psf during the final two years of the lease term if Google does not give notice to renew. Coronavirus Exposure: Given the strong sponsor (Jay Paul Company), and long-term lease to a creditworthy tenant, Fitch views the collateral to have a more limited impact from the coronavirus pandemic. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Fitch rates the classes A-1 and A-2 'AAAsf', therefore, upgrades are not possible. While not likely in the near term, upgrades to classes B through E are possible with transaction paydown and sustained cash flow improvement. The Stable Rating Outlooks for all classes reflect the relatively stable performance that is consistent with issuance. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A significant decline in asset occupancy; -- A significant deterioration in property cash flow. However, these factors are not expected to materialize due to the long-term nature of the lease to a creditworthy tenant. 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 BBCMS 2015-SRCH has an ESG Relevance Score of '4' for Environmental due to the sustainable building practices including Green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Except for the matters discussed above, 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-B25: Fitch Assigns B- Rating on 2 Tranches --------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2021-B25 Mortgage Trust commercial mortgage pass-through certificates series 2021-B25 as follows: -- $22,751,000 class A-1 'AAAsf'; Outlook Stable; -- $18,335,000 class A-2 'AAAsf'; Outlook Stable; -- $38,075,000 class A-3 'AAAsf'; Outlook Stable; -- $170,000,000a class A-4 'AAAsf'; Outlook Stable; -- $519,148,000a class A-5 'AAAsf'; Outlook Stable; -- $35,940,000 class A-SB 'AAAsf'; Outlook Stable; -- $920,578,000b class X-A 'AAAsf'; Outlook Stable; -- $93,350,000b class X-B 'A-sf'; Outlook Stable; -- $116,329,000 class A-S 'AAAsf'; Outlook Stable; -- $48,829,000 class B 'AA-sf'; Outlook Stable; -- $44,521,000 class C 'A-sf'; Outlook Stable; -- $60,319,000bc class X-D 'BBB-sf'; Outlook Stable; -- $24,415,000bc class X-F 'BB-sf'; Outlook Stable; -- $11,489,000bc class X-G 'B-sf'; Outlook Stable; -- $33,032,000c class D 'BBBsf'; Outlook Stable; -- $27,287,000c class E 'BBB-sf'; Outlook Stable; -- $24,415,000c class F 'BB-sf'; Outlook Stable; -- $11,489,000c class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $38,776,742c class H; -- $38,776,742bc class X-H; -- $17,607,848cd class RR; -- $42,862,034cd RR Interest. -- $13,196,000ce Class 300P-A; -- $43,433,000ce Class 300P-B; -- $43,809,000ce Class 300P-C; -- $41,917,000ce Class 300P-D; -- $3,495,000ce Class 300P-E; -- $9,250,000ce Class 300P-RR; -- $11,875,000ce Class ST-A; -- $625,000ce Class ST-VR. (a) The initial certificate balances of classes A-4 and A-5 are unknown and expected to be $689,148,000 in the aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 to $340,000,000, and the expected class A-5 balance range is $349,148,000 to $689,148,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint of the range for each class. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Non-offered vertical credit risk retention interest. (e) The transaction includes eight classes of non-offered, loan-specific certificates (non-pooled rake classes) related to the companion loan of SOMA Teleco Office and Amazon Seattle. The expected ratings are based on information provided by the issuer as of April 12, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 47 fixed-rate loans secured by 76 commercial properties having an aggregate principal balance of $1,209,397,625 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 18.4% of the properties by balance, cash flow analyses of 86.2% of the pool, and asset summary reviews on 100% of the pool. Coronavirus-Related Effects: 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 effects 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 outcomes on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests; however, the sponsors for JW Marriott Nashville (1.7% of the pool), LiveNation Downtown LA (1.3% of the pool), and At Home - Willow Grove (0.8% of the pool) have negotiated loan amendments/modifications. Please see the "Additional Coronavirus Forbearance Provisions" section in page 13 of the presale report for additional information. KEY RATING DRIVERS Fitch Leverage: The transaction leverage is slightly higher than other recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 102.0% is higher than the 2020 and YTD 2021 averages of 99.6% and 101.2%, respectively. Additionally, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.24x is lower with the 2020 and YTD 2021 averages of 1.32x and 1.41x, respectively. Excluding credit opinion loans, the pool's weighted average (WA) Fitch trust DSCR and LTV are 1.24x and 110.1%, respectively. Investment-Grade Credit Opinion Loans: The pool includes two loans, representing 21.5% of the pool, that received investment-grade credit opinions. Burlingame Point (9.9% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis, Amazon Seattle (7.4%) received a credit opinion of 'BBB-sf' on a standalone basis, and 909 Third Avenue (4.1%) received a credit opinion of 'BBB+sf' on a standalone basis. High Office Exposure: Loans secured by office properties account for 62.4% of the pool's cutoff balance, which is higher than the 2020 and YTD 2021 averages of 41.2% and 40.5%, respectively. Eight of the top 10 loans are secured by office properties, including the top three loans Burlingame Point (9.9% of the pool), SOMA Teleco Office (8.5%) and Amazon Seattle (7.4%). Industrial properties represent the next highest property type concentration at 16.7%, which is above the 2020 and YTD 2021 averages of 9.8% and 11.8%, respectively. The pool's retail concentration of 8.7% is below the 2020 and YTD 2021 averages of 16.3% and 17.8%, respectively, and the pool's hotel concentration of 1.7% is below the 2020 and YTD 2021 averages of 9.2% and 6.1%, 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' / 'A+sf' / 'BBB+sf' / 'BBB-sf' / '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: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'CCCsf' / 'CCCsf'. 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'B-sf' / '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 Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY Fitch received information in accordance with its published criteria. Sufficient data, including asset summaries, three years of property financials, when available, and third-party reports on the properties were received from the issuer. Ongoing performance monitoring, including the data provided, is described in the Surveillance section of the presale report. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of Environmental, Social and Corporate Governance (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. CANYON CAPITAL 2021-1: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by Canyon Capital CLO 2021-1, Ltd. (the "Issuer" or "Canyon Capital 2021-1"). Moody's rating action is as follows: US$4,000,000 Class X Senior Secured Floating Rate Notes due 2034 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$252,000,000 Class A Senior Secured Floating Rate Notes due 2034 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$52,000,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$19,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$24,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$19,500,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Canyon Capital 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 non-senior secured loans. The portfolio is approximately 100% ramped as of the closing date. Canyon CLO Advisors 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 one class of unrated notes and subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2808 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.00% 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. CBAM 2021-14: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 CEDAR FUNDING VI: S&P Assigns BB- (sf) Rating on Class E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement notes from Cedar Funding VI CLO Ltd., a collateralized loan obligation (CLO) originally issued in November 2016 that is managed by Aegon USA Investment Management LLC (Aegon). 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 April 14, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 20, 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 include the following provisions: -- The replacement class A-RR, B-RR, and C-RR notes are expected to be issued at a lower spread than the original notes. -- The replacement class D-RR and E-RR notes are expected to be issued at a higher spread than the original notes. -- The stated maturity will be extended 5.5 years. -- The reinvestment period will be extended 5.2 years. -- The non-call period will be extended to April 2023. -- The weighted average life test value will be extended. -- 100.00% of the underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 97.45% of the underlying collateral obligations have recovery ratings assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "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 Cedar Funding VI CLO Ltd./Cedar Funding VI CLO LLC Replacement class A-RR, $320.000 million: AAA (sf) Replacement class B-RR, $55.000 million: AA (sf) Replacement class C-RR (deferrable), $29.500 million: A (sf) Replacement class D-RR (deferrable), $29.500 million: BBB- (sf) Replacement class E-RR (deferrable), $19.875 million: BB- (sf) Subordinated notes, $49.125 million: Not rated CIFC FUNDING 2021-II: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CIFC Funding 2021-II, Ltd.'s floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of April 9, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned CIFC Funding 2021-II Ltd. Class A, $310.00 million: AAA (sf) Class B, $70.00 million: AA (sf) Class C, $30.00 million: A (sf) Class D, $30.00 million: BBB- (sf) Class E, $20.00 million: BB- (sf) Subordinated notes, $48.00 million: Not rated COMM 2010-C1: Fitch Lowers Rating on 2 Tranches to 'CC' ------------------------------------------------------- Fitch Ratings downgrades four classes and affirms and revises the Rating Outlook of one class of Deustche Bank Securities COMM 2010-C1 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- COMM 2010-C1 C 12622DAJ3 LT Asf Affirmed Asf D 12622DAK0 LT BBsf Downgrade BBBsf E 12622DAL8 LT CCCsf Downgrade Bsf F 12622DAM6 LT CCsf Downgrade CCCsf G 12622DAN4 LT CCsf Downgrade CCCsf Classes A-1, A-1D, A-2, A-3, B, XP-A, XS-A, and XW-A have paid in full. Fitch does not rate the interest-only class XW-B or the $17.1 million class H. KEY RATING DRIVERS One Loan Remains; High Expected Losses: There is one loan remaining in the pool, Fashion Outlets of Niagara Falls, which transferred to special servicing in July 2020 for imminent maturity default. The loan is secured by an outlet mall consisting of approximately 525,663 collateral sf located in Niagara, NY near the U.S. and Canada border. The property is heavily reliant on tourism and pre-pandemic, had experienced significantly lower sales since issuance and fluctuating occupancy. The loan was modified by the special servicer in December 2020. Modification terms included an extension of the maturity date to Oct. 6, 2023; as well as the borrower pledging an additional 181,447 sf in non-collateral (Expansion Property) to the loan. The Expansion Property is connected to the main building of the existing collateral. No other payment terms were modified and the borrower is responsible for all fees. Per the special servicer, the loan was recently returned to the master servicer as a corrected mortgage loan as of March 31, 2021. As of Nov. 30, 2020, occupancy of the original collateral was reported to be 85% for the collateral. The YE 2019 were $305psf for the inline tenants; at issuance in-line sales were $520 psf. Estimated YTD sales as of June 2020 were in the mid-$200s psf. Fitch's current value was based on a 15%stress to the YE 2019 reported NOI and the pro forma NOI reported in the August 2020 broker opinion of value for the Expansion Property, and a 25% cap rate. This is in line with assumptions applied in recent valuations of similarly performing mall properties. Increased Credit Enhancement (CE): Four loans totaling $57.1 million paid off at maturity since Fitch's last rating action, which helps to insulate class C from expected losses. The asset needs to recover only $7 psf for this class to pay in full. However, the remaining classes have risk of CE erosion or realized loss given Fitch's concerns with the declining performance of the collateral and ability of the borrower to improve the mall's value before the extended maturity date. As of the March 2021 distribution date, the pool's aggregate principal balance has paid down by 88.3% to $100.6 million from $857 million at issuance. Coronavirus Exposure: The social and market disruption caused by the effects of the coronavirus pandemic and potential prolonged impact on mall performance and ability of borrowers to refinance class B malls factored into the downgrades and Negative Outlooks. Of particular concern is the property's reliance on tourism, including from Canada as the border remains closed due to the pandemic. Fitch expects retail properties will continue to face cash flow disruption as tenants may not be able to pay rent or as leases with upcoming expiration dates are not renewed. The additional stress applied to this loan contributed to the downgrade of classes D, E, F and G and maintaining the Negative Outlook on class D. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The Negative Rating Outlook is maintained on class D given the on-going concern with further performance and value declines, and potential longer-term impact of the coronavirus pandemic. -- Factors that lead to additional downgrades include a decline in occupancy, cash flow, sales, and/or increased loss expectations on the loan. Downgrades of one category or more to all classes, 'Asf' through 'CCsf', are possible. Classes F and G could be downgraded to 'Csf' or 'Dsf' if losses are considered probable, imminent or are realized. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are currently not expected given the outlook for retail mall performance and the expectation of the negative impact of the coronavirus pandemic. Factors that may lead to upgrades of classes C, D, and E classes would include significant improved performance of the Fashion Outlets of Niagara Falls and/or better than currently expected loss expectations. -- Classes F and G would only be upgraded if losses were no longer considered possible. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls which could occur with a significant reduction in servicing advancing if appraisal values decline. 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 COMM 2010-C1: Exposure to Social Impacts: 4 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 MORTGAGE 2015-CCRE25: Fitch Affirms CCC Rating on E Debt ------------------------------------------------------------- Fitch Ratings has affirmed ratings for ten classes of COMM 2015-CCRE25 Mortgage Trust. DEBT RATING PRIOR ---- ------ ----- COMM 2015-CCRE25 A-3 12593PAV4 LT AAAsf Affirmed AAAsf A-4 12593PAW2 LT AAAsf Affirmed AAAsf A-M 12593PAY8 LT AAAsf Affirmed AAAsf A-SB 12593PAU6 LT AAAsf Affirmed AAAsf B 12593PAZ5 LT AA-sf Affirmed AA-sf C 12593PBA9 LT A-sf Affirmed A-sf D 12593PBB7 LT BBsf Affirmed BBsf E 12593PAE2 LT CCCsf Affirmed CCCsf X-A 12593PAX0 LT AAAsf Affirmed AAAsf X-C 12593PAC6 LT BBsf Affirmed BBsf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations have remained relatively stable since Fitch's last rating action despite an increase in specially serviced loans. There are 31 Fitch Loans of Concern (FLOCs) (39.4%), including the eight specially serviced loans (13.6%) compared with five loans in special servicing (7.3%) at the last rating action. Fitch's current ratings reflect a base case loss of 8.5%. The Negative Rating Outlooks consider that losses could reach 10.0% when applying additional stresses related to the pandemic. Fitch Loans of Concern/Specially Serviced Loans: The largest contributor to expected losses is the specially serviced Monarch 815 at East Tennessee State (3.1%), a student housing property in Johnson City, TN. The loan was transferred to the special servicer in June 2018 due to payment default and became REO in Feb. 2019. The property is less than one mile from East Tennessee State University's main campus and there is a free shuttle bus with a stop located across the street from the property. The 2019 academic year had total enrollment of 14,411, down slightly from 14,574 students in 2018 and 14,608 in 2017. Tarantino Properties was hired as a new management company to help stabilize the property by increasing occupancy and better maintain the property. Occupancy increased to 89% as of February 2021 as students moved back to campus after it was shut down due to the pandemic. The NOI debt service coverage ratio (DSCR) for September 2020 was 0.10x compared with -0.03 at YE 2019, 0.31x at YE 2018 and 0.50x at YE 2017. Fitch's expected losses of 75% are based on a discount to the updated September 2020 appraisal. The second largest contributor to expected losses is the specially serviced Square 95 (2.3%), a 155,309-sf retail property located in Woodbridge, VA. The asset transferred to the special servicer in February 2018 due to occupancy dropping to 49% after Gander Mountain vacated in 2017 when the lease was rejected in bankruptcy. The asset became REO in July 2018. The asset is adjacent to the Potomac Mills Mall, an outlet mall with more than 200 stores. The outlet mall is anchored by Costco, Bloomingdale's-The Outlet Store, Neiman Marcus Last Call, Saks Fifth Avenue Off 5th, Nordstrom Rack and Nike Factory Store. As of March 2021, the former Gander Mountain space was leased to a medical tenant to distribute vaccinations on a short-term lease. The special servicer continues to market the property to long term tenants that the adjacent mall does not restrict. The September 2020 DSCR was 0.44x, YE 2019 DSCR was 0.47x, YE 2018 DSCR was 0.37x and the YE 2017 DSCR was 1.05x. Fitch's expected losses of 70% are based on a discount to the updated November 2020 appraisal. The third largest contributor to expected losses is The Village Square Shopping Center (2.2%), a retail property located in Woodmere, OH and built in 1960. The shopping center was previously anchored by Whole Foods Market that closed in August 2018 after a new Whole Foods Market opened approximately one mile away in a newer mixed-use center called Pinecrest. Whole Foods' lease expired in December 2020 and accounts for approximately 25% of the property's annual rent. The YE2020 NOI DSCR was 1.30x compared with YE 2019 of 1.42x. Fitch's analysis included a 30% stress to the YE 2020 NOI to account for Whole Foods lease expiring in December 2020. The largest FLOC and third largest loan, Courtyard Miami Downtown (4.7%), is a hotel property with 233 rooms in Miami, FL, built in 1975 and renovated in 2012. The servicer's reported NOI DSCR as of YE 2020 was 0.86x compared with 1.97x at YE 2019, 2.01x at YE2018, 1.94x at YE 2017, 1.60x at YE 2016 and 1.72x at issuance. As of the TTM period ended December 2020, the property achieved occupancy, ADR and RevPAR of 47%, $161, and $75, respectively, which were all above the competitive set and compared with 84%, $154 and $129 at issuance. Fitch's analysis included a 26% stress to the YE 2019 cash flow to account for impact from the ongoing coronavirus pandemic and minimal losses were modeled. Increasing Credit Enhancement: As of the March 2021 distribution date, the pool's aggregate balance has paid down by 10.8% to $1.005 billion from $1.127 billion at issuance and includes $5.3 million in realized losses incurred December 2020. Of the 84 loans in the transaction at issuance, 80 loans remain. There are seven loans (5.7%) that have defeased compared with five loans (3.9%) at the prior review. Eight loans (13.8%) are full-term interest-only loans. There are 31 loans, representing 52.4% of the pool, that are partial interest-only. Twenty-nine loans (38.2% of the pool) of the 31 partial interest-only loans have expired. The transaction has realized $5.3 million in losses since the prior review and interest shortfalls are affecting non-rated classes F and G. There is one specially serviced loan (1.2%) in foreclosure scheduled to mature in April 2021 and all remaining loans mature in 2025. Additional Stresses Applied due to Coronavirus Exposure: Twenty-nine loans (32%) are secured by retail properties while mixed-use properties with a retail component comprise an additional four loans (6.9% of the pool). Eleven loans (17.7%) are secured by hotel properties. Fitch applied additional coronavirus-related stresses to Eleven retail loans (12%) and six hotel loans (10.3%); the Negative Rating Outlooks incorporate these additional stresses. RATING SENSITIVITIES The Negative Rating Outlooks reflect the potential for downgrades due to concerns associated with the performance of the FLOCs and specially serviced assets and ultimate impact of the coronavirus pandemic. The Stable Rating Outlooks on the senior classes reflect the overall stable performance of the pool and the increasing credit enhancement (CE) and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades to classes B and C would occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, further underperformance of the FLOCs, including those expected to be negatively affected by the coronavirus pandemic, or higher than expected losses on the specially serviced loans could cause this trend to reverse. -- An upgrade of classes D and X-C would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- An upgrade to class E by a category is not likely until the later years of the transaction and only if there are better than expected recoveries on specially serviced loans, 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 class. 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 A-3, A-4, A-SB, X-A and A-M classes are less likely due to high CE but may occur if losses increase substantially or if there is likelihood for interest shortfalls. -- Downgrades to classes B, C, D and X-C, which have Negative Outlooks, would occur and be one category or more if overall pool losses increase substantially, performance of the FLOCs deteriorate further, properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and/or losses on the specially serviced loans are higher than expected. -- Further downgrades to the 'CCCsf' rated class E will occur if losses are considered probable or inevitable or if losses are realized. The Negative Rating Outlooks on classes B, C, D and X-C may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, 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. CSMC TRUST 2017-TIME: Moody's Cuts Rating on Class D Certs to B1 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on three classes in CSMC Trust 2017-TIME, Commercial Mortgage Pass-Through Certificates, Series 2017-TIME as follows: Cl. A, Affirmed Aaa (sf); previously on Oct 13, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to A3 (sf); previously on Oct 13, 2020 Affirmed Aa3 (sf) Cl. C, Downgraded to Ba2 (sf); previously on Oct 13, 2020 Affirmed A3 (sf) Cl. D, Downgraded to B1 (sf); previously on Oct 13, 2020 Downgraded to Baa3 (sf) Cl. X*, Affirmed Aaa (sf); previously on Oct 13, 2020 Affirmed Aaa (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on Cl. A was affirmed based on the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), as well as other quantitative and qualitative factors including a stressed value recovery analysis. Cl. A benefits from credit support in the form of a significant equity cushion and as part of Moody's analysis Moody's performed a stressed value recovery analysis which evaluated multiple scenarios comparing i) Moody's value at securitization, ii) Moody's current value, ii) stressed levels of decline in market values from securitization, iii) various implied market values using the property's 2019 NCF, and vi) other market data. The ratings on Cl. B, Cl. C, and Cl. D were downgraded due to the increases in servicer advances, interest shortfalls and Moody's expectations of increased risk of default as well as further uncertainty due to the prolonged negotiations of a potential loan resolution. The asset performance had declined prior to the coronavirus outbreak and has been further impacted due to its temporary closure for the majority of 2020. The rating on the IO class was affirmed based on the credit quality of its referenced class. 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 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 the performance of the loan or increase in 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. DEAL PERFORMANCE As of the March 15, 2021 distribution date, the transaction's certificate balance remained unchanged at $140 million same as securitization. The certificates are collateralized by a single loan backed by a first lien commercial mortgage related to the Westin New York at Times Square. Monthly payments of interest only are made at a fixed rate of 3.6761%, and the loan matures in November 2027. There is additional debt in the form of a B Note of $60 million and a $55 million mezzanine loan. The Westin New York at Times Square is a full-service hotel located in Times Square, New York, NY, at the corner of Eighth Avenue and West 43rd Street. The subject property opened in 2002 and is comprised of a 48-story tower with 873 guestrooms, two restaurants and a lounge, and 34,000 square feet (SF) of meeting space. The property is subject to a ground lease expiring in July 2096. The ground lease payment is approximately $4.0 MM per year with an annual increase of 1.5%. The property benefits from additional cash flow payments and cash flow guarantees provided by Marriott according to a settlement agreement resulting from Marriott's merger with Starwood in September 2016. The merger triggered a breach of the area of protection provision in Starwood's management agreement for the subject property. Compensation consists of a 10-year Interest Subsidy and 26-year Net Operating Income (NOI) Guaranty totaling $123.4 MM. With respect to the 26-year NOI Guaranty, payments are subject to annual and aggregate caps where Marriott owes the Property's owner an amount equal to the difference between adjusted NOI for such month and a threshold amount. With respect to the 10-year Interest Subsidy, regardless of the adjusted NOI level achieved during the first ten years, Marriott will also make an annual payment of $5.34 MM (the Interest Subsidy). The loan was transferred to special servicing on April 9, 2020 and the special servicer and borrower initially executed a Standstill Agreement dated May 29, 2020 whereby the Lender agreed to defer collection of debt service, escrows, and reserve deposits for three months through August 2020 and then extended to include both September and October. After the extension of the Standstill Agreement expired, the borrower and the servicer were not able to reach a new agreement, and the borrower is presently working on a re-draft of their proposal. As a result of the pandemic the property has been closed since March 27, 2020 and is scheduled to reopen in April 2021. The loan status is more than 90 days delinquent as of the March 2021 distribution date and the borrower has not made a debt service payment since May 2020. As a result the loan has accumulated approximately $28.1 million in aggregate advances which include tax and insurance, P&I and other expenses. This is a significant increase from the total advances of $5.3 million at Moody's last review in October 2020. The property was appraised in December 2020 at a value above the outstanding loan balance, however, due to the significant outstanding advances the master servicer has recognized an appraisal reduction of just above $1 million as of the March 2021 remittance report. As a result, there are interest shortfalls totaling $6,368 as of the current distribution date. The first mortgage balance represents a Moody's stabilized LTV of 96%. Moody's first mortgage stressed debt service coverage ratio (DSCR) is 0.53X. However, these metrics are based on return of both leisure and corporate travel demand to NYC which may lag that of the overall US. NYC has been the epicenter of coronavirus outbreak and major gateway destinations currently underperform compared to tertiary markets. CSMC TRUST 2021-RPL3: Fitch Assigns B Rating on Class B-2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings to CSMC 2021-RPL3 Trust's (CSMC 2021-RPL3) residential mortgage-backed notes. DEBT RATING PRIOR ---- ------ ----- CSMC 2021-RPL3 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1X LT AAAsf New Rating AAA(EXP)sf M-1 LT AAsf New Rating AA(EXP)sf M-2 LT Asf New Rating A(EXP)sf M-3 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by one collateral group that consists of 2,203 seasoned performing loans (SPLs) and reperforming loans (RPLs), with a total balance of approximately $460.16 million. 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 servicers will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. Based on Fitch's treatment of coronavirus-related forbearance and deferral loans, approximately 65% of the loans were treated as having clean payment histories for the past two years, and the remaining 35% of the loans are current but have had recent delinquencies or incomplete 24-month paystrings. As of the cutoff date, no loans in the pool are currently delinquent. Roughly 98% have been modified. Geographic Concentration (Negative): Approximately 53% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles MSA (16%), followed by the Miami MSA (9%) and the San Francisco MSA (8%). The top three MSAs account for 33% of the pool. As a result, there was a 1.01x adjustment on the probability of default (PD) to account for concentration risk. 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 that class in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer 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. Macro or Sector Risks (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analyses based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data and unexpected developments in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related economic risk factor (ERF) floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related baseline economic scenario forecasts have been revised to 6.2% and 3.3% U.S. GDP growth for 2021 and 2022, respectively, following negative 3.5% GDP growth (or a 3.5% contraction) in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch's decision to revert back to the 1.5 and 1.0 ERF floors, as described in Fitch's "U.S. RMBS Loan Loss Model Criteria". 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. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. 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'. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- The 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 40.5% at 'AAA'. The analysis indicates 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 result in a lowering of all rated classes by one full category. 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. They should not be used as indicators of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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, Opus CMC and Residential Real Estate Review Management. The third-party due diligence described in Form 15E focused on regulatory compliance, which covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth-in-Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). A third-party due diligence review was completed on 41% of the loans in the transaction pool by loan count. The review population consisted of two subsets based on where the collateral was sourced from. Approximately 74% of the transaction pool by loan count was sourced from a single source, which was subject to a 20% random sample. The remaining 26% of the pool is collectively from unknown sources. All loans from unknown sources were subject to a due diligence review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: -- The regulatory compliance review indicated that 111 reviewed loans, or approximately 12.3% of the review sample, were found to have a material defect; therefore, they were assigned a final grade of 'C' or 'D'. -- Of the reviewed loans, 46, or approximately 5.3% of the review sample, received a final grade of 'D', as the loan file did not have a final HUD-1 file for compliance testing purposes. The absence of a final HUD-1 file does not allow the third party review (TPR) firm to properly test for compliance surrounding predatory lending in which the statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. -- The remaining 65 loans with a final grade of 'C' or 'D' reflect missing final HUD-1 files that are not subject to predatory lending, missing state disclosures and other missing documents related to compliance testing. Fitch notes that these exceptions are unlikely to add material risk to bondholders since the statute of limitations on these issues has expired. No adjustment to loss expectations was made for these 61 loans. -- Fitch also applied an adjustment on 11 loans that had missing modification agreements. 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. -- Approximately 74% of the transaction pool by loan count was sourced from a single source, which was subject to a due diligence sample. The due diligence findings were extrapolated to the portion of the pool that did not receive a compliance review. -- Fitch increased its loss expectation at the 'AAAsf' rating level by approximately 30 basis points (bps) to reflect the missing final HUD-1 files, missing modification agreements and title policy issues. 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 TRUST 2021-RPL3: Fitch to Rate Class B-2 Notes 'B(EXP)' ------------------------------------------------------------ Fitch Ratings expects to rate CSMC 2021-RPL3 Trust's (CSMC 2021-RPL3) residential mortgage-backed notes. DEBT RATING ---- ------ CSMC 2021-RPL3 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1X LT AAA(EXP)sf Expected Rating M-1 LT AA(EXP)sf Expected Rating M-2 LT A(EXP)sf Expected Rating M-3 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 A-IO-S LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by CSMC 2021-RPL3 Trust as indicated. The transaction is expected to close on April 12, 2021. The notes are supported by one collateral group that consists of 2,203 seasoned performing loans (SPLs) and re-performing loans (RPLs) with a total balance of approximately $460.16 million. 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 servicers will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. Based on Fitch's treatment of coronavirus-related forbearance and deferral loans, approximately 65% of the loans were treated as having clean payment histories for the past two years and the remaining 35% of the loans are current, but have had recent delinquencies or incomplete 24-month pay strings. As of the cut-off date, no loans in the pool are currently delinquent. Roughly 98% have been modified. Geographic Concentration (Negative): Approximately 53% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles, CA MSA (16%), followed by the Miami, FL MSA (9%) and the San Francisco, CA MSA (8%). The top three MSAs account for 33% of the pool. As a result, there was a 1.01x adjustment on the PD to account for the concentration risk. 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 that class in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduce 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. Macro or Sector Risks (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of COVID-19 vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." 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. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. 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'. Factors 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 40.5% 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. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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, Opus CMC and Residential Real Estate Review Management. The third-party due diligence described in Form 15E focused on regulatory compliance which covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth-in-Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). A third-party due diligence review was completed on 41% of the loans in the transaction pool by loan count. The review population consisted of two subsets based on where the collateral was sourced from. Approximately 74% of the transaction pool by loan count was sourced from a single source, which was subject to a 20% random sample. The remaining 26% of the pool is collectively from unknown sources. All loans from unknown sources were subject to a due diligence review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: The regulatory compliance review indicated that 111 reviewed loans, or approximately 12.3% of the review sample, were found to have a material defect and, therefore, assigned a final grade of 'C' or 'D'. Of the reviewed loans, 46, or approximately 5.3% of the review sample, received a final grade of 'D' as the loan file did not have a final HUD-1 for compliance testing purposes. The absence of a final HUD-1 file does not allow the TPR firm to properly test for compliance surrounding predatory lending in which statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. The remaining 65 loans with a final grade of 'C' or 'D' reflect missing final HUD-1 files that are not subject to predatory lending, missing state disclosures, and other missing documents related to compliance testing. Fitch notes that these exceptions are unlikely to add material risk to bondholders since the statute of limitations on these issues have expired. No adjustment to loss expectations were made for these 61 loans. Fitch also applied an adjustment on 11 loans that had missing modification agreements. 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. Approximately 74% of the transaction pool by loan count was sourced from a single source, which was subject to a due diligence sample. The due diligence findings were extrapolated to the portion of the which did not receive a compliance review. Fitch increased its loss expectation at the 'AAAsf' by approximately 30 bps to reflect the missing final HUD-1 files, missing modification agreements and title policy issues. 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. DIAMOND RESORTS 2021-1: S&P Assigns Prelim BB Rating on D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Diamond Resorts Owner Trust 2021-1's timeshare loan-backed, fixed-rate notes series 2021-1. The note issuance is an ABS transaction backed by a vacation ownership interest (timeshare) loans. The preliminary ratings are based on the information as of April 7, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "Given that we are in a recessionary period since the pandemic started in 2020 and to reflect the uncertain and weakened U.S. economic and sector outlook, we increased our base-case default assumption by 1.25x to stress defaults from 'B' to 'BB' rating scenarios. In addition to our base rating stress, to reflect additional liquidity stress from deferrals and potential increase in delinquencies, we also considered incremental liquidity and sensitivity stress in all rating categories. "The preliminary ratings reflect our opinion of the credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. The preliminary ratings also reflect our view of Diamond Resorts Financial Services Inc.'s (DFRS) servicing ability and experience in the timeshare market." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned Diamond Resorts Owner Trust 2021-1 Class A, $134.10 million: AAA (sf) Class B, $83.18 million: A (sf) Class C, $65.36 million: BBB (sf) Class D, $36.50 million: BB (sf) DT AUTO 2020-1: S&P Affirms BB (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings raised its ratings on five classes of notes from DT Auto Owner Trust 2019-4 and 2020-1 transactions. At the same time, S&P affirmed its ratings on five classes of notes from the same transactions. The issuances are ABS transactions backed by subprime retail auto loans originated by DriveTime Car Sales Co. LLC. S&P said, "The rating actions reflect each transaction's collateral performance to date, our views regarding future collateral performance, and each transaction's structure, credit enhancement levels, and remaining cumulative net loss (CNL) expectations. In addition, we incorporated secondary credit factors into our analysis, such as credit stability, payment priorities under certain scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the notes' creditworthiness remains consistent with the raised and affirmed ratings. "The two series under review are generally performing better than our initial loss expectations at issuance (pre-COVID-19), even having factored in an upward adjustment to remaining losses that could result from elevated unemployment levels associated with the current COVID-19-induced recession. Also, extensions, due to the impact of the COVID-19 pandemic, peaked in April 2020 but have since returned to pre-COVID-19 levels. As such, our forward-looking expectations for series 2019-4 and 2020-1 are for lower losses as reflected in our adjusted expected CNLs." Table 1 Collateral Performance (%)(i) Pool Current 60+ day Series Mo. factor CNL delinq. Extensions DTAOT 2019-4 17 62.09 9.00 7.39 2.28 DTAOT 2020-1 13 71.80 6.16 6.17 1.88 (i)As of the March 2021 distribution date. DTAOT-- DT Auto Owner Trust. Mo.--Month. CNL--Cumulative net loss. Delinq.--Delinquencies. Table 2 CNL Expectations (%)(i) Initial Former Revised lifetime lifetime lifetime Series CNL exp. CNL. Exp(ii) CNL exp.(iii) DTAOT 2019-4 28.50-29.50 31.00-32.00 26.75-27.75 DTAOT 2020-1 28.50-29.50 31.00-32.00 26.75-27.75 (i)As of the March 2021 distribution date. (ii)As of September 2020. (iii)As of March 2021. DTAOT-- DT Auto Owner Trust. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. Each transaction has a sequential principal payment structure that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement consisting of overcollateralization, subordination, if applicable, a non-amortizing reserve account, and excess spread. The hard credit enhancement for each transaction is at the specified target. Since closing, the credit support for each series has increased as a percentage of the amortizing pool balance. S&P said, "We analyzed the current hard credit enhancement versus the remaining expected CNL for the classes where hard credit enhancement alone--without credit to any excess spread--was sufficient, in our view, to upgrade or affirm the ratings. For the other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. The credit support, as a percentage of the current amortizing pool balance compared with our revised remaining loss expectations, is commensurate with the raised and affirmed ratings." Table 3 Hard Credit Support(i) Total hard Current total hard credit support credit support Series Class at issuance (%)(ii) (% of current)(ii) 2019-4 A 60.75 93.76 2019-4 B 50.25 76.85 2019-4 C 35.25 52.69 2019-4 D 21.75 30.94 2019-4 E 14.90 19.92 2020-1 A 60.75 83.45 2020-1 B 50.25 68.83 2020-1 C 35.25 47.93 2020-1 D 21.75 29.13 2020-1 E 14.90 19.59 (i)As of the March 2021 distribution date. (ii)Calculated as a percentage of the total gross receivables pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excess spread is excluded from the hard credit support but it can also provide additional enhancement. S&P said, "We also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. In our view, the results demonstrated that all of the classes' ratings meet our credit stability limits at their respective raised and affirmed rating levels. "We will continue to monitor the performance of all the outstanding transactions to ensure credit enhancement remains sufficient to cover our CNL expectations under our stress scenarios for each of the rated classes." 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 RAISED DT Auto Owner Trust Rating Series Class To From 2019-4 B AAA (sf) AA (sf) 2019-4 C AA- (sf) A (sf) 2019-4 D BBB+ (sf) BBB (sf) 2020-1 B AAA (sf) AA (sf) 2020-1 C A+ (sf) A (sf) RATINGS AFFIRMED DT Auto Owner Trust Series Class Rating 2019-4 A AAA (sf) 2019-4 E BB (sf) 2020-1 A AAA (sf) 2020-1 D BBB (sf) 2020-1 E BB (sf) DT AUTO 2021-2: S&P Assigns Prelim BB-(sf) Ratings on Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to DT Auto Owner Trust 2021-2's asset-backed notes series 2021-2. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 8, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 62.5%, 57.3%, 49.1%, 42.1%, and 36.0% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 2.17x, 1.98x, 1.62x, 1.35x, and 1.19x coverage of our expected net loss range of 27.75%-28.75% for the class A, B, C, D, and E notes, respectively. Credit enhancement also covers cumulative gross losses of approximately 89.3%, 81.8%, 75.5%, 64.8%, and 55.4%, respectively, assuming a 30% recovery rate for the class A and B notes, and a 35% recovery rate for class C, D, and E notes. --The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that we deem appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.35x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions. -- The collateral characteristics of the subprime pool being securitized, including a high percentage (approximately 78%) of obligors with higher payment frequencies (more than once a month), which we expect will result in a somewhat faster paydown on the pool. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. 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 DT Auto Owner Trust 2021-2 Class A, $235.00 million(i): AAA (sf) Class B, $54.50 million(i): AA (sf) Class C, $55.00 million(i): A (sf) Class D, $57.00 million(i): BBB (sf) Class E, $33.50 million(i): BB- (sf) (i)The actual size of these tranches will be determined on the pricing date. ELMWOOD CLO II: S&P Assigns Prelim B- (sf) Rating on F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO II Ltd./Elmwood CLO II LLC's floating-rate notes. Elmwood CLO II Ltd. is managed by Elmwood Asset Management LLC, which is owned primarily by Elliot Investment Management L.P. This is a reset of Elmwood Asset Management LLC's Elmwood CLO II transaction that originally closed in 2019. 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 April 13, 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 Elmwood CLO II Ltd./Elmwood CLO II LLC Class A-R, $640.0 million: AAA (sf) Class B-R, $120.0 million: AA (sf) Class C-R (deferrable), $60.0 million: A (sf) Class D-R (deferrable), $60.0 million: BBB- (sf) Class E-R (deferrable), $40.0 million: BB- (sf) Class F-R (deferrable), $10.0 million: B- (sf) Subordinated notes, $86.0 million: Not rated FLAGSTAR MORTGAGE 2021-2: Fitch to Rate B-5 Certs 'B+(EXP)' ----------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Flagstar Mortgage Trust 2021-2 (FSMT 2021-2). DEBT RATING ---- ------ FSMT 2021-2 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-11X 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-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 A-X-5 LT AAA(EXP)sf Expected Rating A-X-6 LT AAA(EXP)sf Expected Rating A-X-7 LT AAA(EXP)sf Expected Rating A-X-8 LT AAA(EXP)sf Expected Rating A-X-9 LT AAA(EXP)sf Expected Rating A-X-13 LT AAA(EXP)sf Expected Rating A-X-17 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-3-A LT BBB+(EXP)sf Expected Rating B-3-X LT BBB+(EXP)sf Expected Rating B-4 LT BB+(EXP)sf Expected Rating B-5 LT B+(EXP)sf Expected Rating B-6-C LT NR(EXP)sf Expected Rating B LT BBB+(EXP)sf Expected Rating B-X LT BBB+(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Flagstar Mortgage Trust 2021-2 (FSMT 2021-2) as indicated above. The transaction is expected to close on Apr. 28, 2021. The certificates are supported by 498 newly originated fixed-rate prime quality first liens on one- to four-family residential homes. The pool consists of both non-agency jumbo and agency eligible mortgage loans. The total balance of these loans is approximately $447.8 million as of the cut-off date. This is the 14th post-financial crisis issuance from Flagstar Bank, FSB (Flagstar). The pool comprises loans that Flagstar originated through its retail, broker and correspondent channels. The transaction is similar to previous Fitch-rated prime transactions, with a standard senior-subordinate, shifting-interest deal structure. 100% of the loans in the pool were underwritten to the Ability to Repay (ATR) rule and qualify as Safe Harbor or Agency Safe Harbor qualified mortgages (QMs). Flagstar (RPS2-/Negative) will be the servicer, and Wells Fargo Bank, N.A. (RMS1-/Negative) will be the master servicer. KEY RATING DRIVERS High-Quality Prime Mortgage Pool (Positive): The pool consists of very high-quality 30-year fixed-rate fully amortizing loans to prime quality borrowers. 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 three months according to Fitch (two months per the transaction documents). The pool has a weighted average (WA) original FICO score of 771 and 31% debt to income (DTI), as determined by Fitch, which is indicative of a very high credit quality borrower. Approximately 79.5% 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 63.6%, translating to a sustainable loan-to-value ratio (sLTV) of 69.1%, represents substantial borrower equity in the property and reduced default risk. The pool consists of 96% of loans where the borrower maintains a primary residence, while 4% is an investor property or second home. Single-family homes comprise 94.5% of the pool, and condominiums make up 3.8%. Cash-out refinances comprise 13.3% of the pool, purchases comprise 32.2% of the pool and rate-term refinances comprise 54.5% of the pool and 92.3% of the loans are non-conforming, while 7.7% are conforming loans. Additionally, 99.9% of the loans were originated through a retail channel. A total of 130 loans in the pool are more than $1 million, and the largest loan is $2.4 million. There are no loans in the pool that were made to foreign nationals/nonpermanent residents. Fitch viewed this as a positive attribute of the transaction. Geographic Diversification (Neutral): The pool's primary concentration is in California, representing 50% of the pool. Approximately 33.5% of the pool is located in the top three MSAs of San Francisco (16.7%), Los Angeles (9.9%) and San Jose (6.9%). The pool's regional concentration resulted in a 1.01x Geo Penalty to the pool, increasing Fitch's 'AAAsf' loss expectations by 3bps. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Full Servicer Advancing (Mixed): The servicer, Flagstar will provide full advancing for the life of the transaction. Although full principal and interest (P&I) advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Wells Fargo Bank is the master servicer in this transaction and will advance delinquent P&I on the loans if Flagstar is not able to. 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. A junior subordination floor of 1.0% 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. Macro or Sector Risks : Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts were revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." 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. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. 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'. 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 40.0% 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. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. The third-party due diligence described in Form 15E focused on credit, compliance, property valuation and data integrity. Fitch considered this information in its analysis. Fitch applied an adjustment to losses based on the unreviewed population of the pool as described below. A credit was given to loans that received a due diligence review, which decreased Fitch's loss expectations by 7bps at the 'AAAsf' rating stress. A third-party due diligence review was performed by Clayton on a sample of loans from the transaction pool. The sample was determined by a statistically significant selection methodology based on a 95% confidence level with a 5% error rate. Flagstar adopted this methodology in 2019 when it had previously selected loans for review at a fixed rate. This is the third RMBS issued by Flagstar that Fitch has rated that incorporates the statistical significance approach in which approximately 44% of the final pool, by loan count, was reviewed. For loans that were reviewed, the diligence scope consisted of a review of credit, regulatory compliance, property valuation and data integrity. Both the sample size and review scope are consistent with Fitch criteria for diligence sampling. All the loans in the review sample received a final diligence grade of 'A' or 'B', and the results did not indicate material defects. The sample exhibited strong adherence to underwriting guidelines as approximately 79% of loans received a final credit grade of 'A'. The sample had a low concentration of compliance 'B' exceptions (18%) compared with the average prime jumbo non-agency transactions (46%). Approximately 8% of loans in the sample had initial TRID exceptions graded 'C' that were ultimately cured to a 'B' by Flagstar through the re-issuance of post-closing documentation. While Fitch does not typically adjust its loss expectations for compliance 'B' exceptions, due diligence was only performed on 44% of the initial pool, which led Fitch to extrapolate the findings to the remainder of the pool. Since more than half of the pool did not receive due diligence, Fitch assumed that 8% of the non-reviewed loans have potential TRID exceptions that would be identified as material and not cured with post-closing documentation. Fitch applies a standard loss adjustment of $15,500 to loss amount for material TRID exceptions as these loans can carry an increased risk of statutory damages. However, the aggregate loss severity adjustment was negligible at the 'AAAsf' level and Fitch did not make any further adjustments to the model output. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on approximately 44% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria" and Clayton was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. FLAGSTAR MORTGAGE 2021-2: Moody's Gives (P)B2 Rating to B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to forty-five classes of residential mortgage-backed securities (RMBS) issued by Flagstar Mortgage Trust 2021-2 (FSMT 2021-2). The ratings range from (P)Aaa (sf) to (P)B2 (sf). FSMT 2021-2 is a securitization of first-lien prime jumbo and agency eligible mortgage loans. The transaction is backed by 445 (92.3% by unpaid principal balance) and 53 (7.7% by unpaid principal balance) 30-year fixed rate prime jumbo and agency eligible mortgage loans, respectively, with an aggregate stated principal balance of $447,767,017. The average stated principal balance is $899,131. All the loans are designated as Qualified Mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to-Repay (ATR) rules. 100% of the loans are originated by Flagstar Bank, FSB (Flagstar). Flagstar Bank, FSB (Long Term Issuer Baa3) will service the mortgage loans. Servicing compensation is subject to a step-up incentive fee structure. Wells Fargo Bank, N.A. (Long Term Issuer Aa2) will be the master servicer. Flagstar will be responsible for principal and interest advances as well as other servicing advances. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. One third-party review (TPR) firm verified the accuracy of the loan level information that Moody's received from the sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on approximately 43.6% of the mortgage loans in the collateral pool. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. However, Moody's took into account the sample size that was reviewed and applied an adjustment to Moody's losses. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. Overall, this pool has average credit risk profile as compared to that of recent prime jumbo transactions. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. The complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2021-2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aa1 (sf) Cl. A-4, Assigned (P)Aa1 (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-11X*, 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)Aa1 (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-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aa1 (sf) Cl. A-X-4*, Assigned (P)Aa1 (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aa1 (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2-X*, Assigned (P)A2 (sf) Cl. B-2-A, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-3-X*, Assigned (P)Baa2 (sf) Cl. B-3-A, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) Cl. B, Assigned (P)A3 (sf) Cl. B-X*, Assigned (P)A3 (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 0.24% at the mean, 0.11% at the median, and reaches 2.72% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (6.17% 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 FSMT 2021-2 is the second issue from Flagstar Mortgage Trust in 2021. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-2 is a securitization of first-lien prime jumbo and agency eligible mortgage loans. The transaction is backed by 445 (92.3% by unpaid principal balance) and 53 (7.7% by unpaid principal balance) 30-year fixed rate prime jumbo and agency eligible mortgage loans, respectively, with an aggregate stated principal balance of $447,767,017. The average stated principal balance is $899,131 and the weighted average (WA) current mortgage rate is 2.9%. Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores and low loan-to-value (LTV) ratios. The weighted average primary borrower original FICO score and original LTV ratio of the pool is 776 and 63.0%, respectively. The WA original debt-to-income (DTI) ratio is 31.4%. Approximately, 38.7% (by loan balance) of the borrowers in the pool have more than one mortgage. However, there are only two borrowers who have two mortgages each in this pool. All of the loans are designated as Qualified Mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to-Repay (ATR) rules. Overall, the credit quality of the mortgage loans backing the transaction is comparable to those of other recently issued prime jumbo transactions rated by Moody's. Approximately, half of the mortgages (50.0% by loan balance) are backed by properties located in California. The next largest geographic concentration is Texas (6.3% by loan balance), Washington (6.0% by loan balance), Florida (5.7% by loan balance), Colorado (5.6% by loan balance) and New York (5.5% by loan balance). All other states each represent 2% or less by loan balance of the mortgage pool. Approximately, 65.2%, 29.3%, 3.8%, and 1.6% of the pool, by loan balance, is backed by properties that are single family, PUD/DPUD, condominium, and 2-to-4 unit residential properties, respectively. Approximately 26.5% of the loans (by loan balance) were originated through the correspondent channel. Additionally, 16.3% (by loan balance) of the loans were originated through the broker channel and the remaining 57.2% (by loan balance) were originated through the retail channel. Origination Quality and Underwriting Guidelines 100% of the loans in the pool are originated by Flagstar. The prime jumbo loans in the pool are underwritten per Flagstar's Jumbo (83.4% by unpaid principal balance) and Jumbo Express (8.7% by unpaid principal balance) underwriting guidelines. Both programs offer 30-yr fixed rate loans. However, loans originated under the Jumbo program require manual underwriting and loans originated under the Jumbo Express program require a valid Desktop Underwriter (DU) response. The maximum loan amount under the Jumbo Express program is limited to that of high balance conforming loan limit of $822,375. Moody's consider Flagstar an adequate originator of prime jumbo and conforming mortgages. As a result, Moody's did not make any adjustments (positive or negative) to losses based on Moody's assessment of origination quality. Servicing arrangement Moody's consider the overall servicing arrangement for this pool to be adequate. Flagstar will service the mortgage loans. Flagstar will be responsible for principal and interest advances as well as other servicing advances. Wells Fargo Bank, N.A., the master servicer, will be required to make principal and interest advances if Flagstar is unable to do so. Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on this servicing arrangement. Covid-19 Impacted Borrowers As of the cut-off date, no borrower in the pool has entered into a COVID-19 related forbearance plan with the servicer. Also, if any borrower enters or requests a COVID-19 related forbearance plan from the cut-off date to the closing date, then the associated mortgage loan will be removed from the pool. In the event a borrower enters or requests a COVID-19 related forbearance plan after the closing date, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.5 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less labor intensive. The fee-for-service compensation is reasonable and adequate for this transaction. Third-party review The credit, compliance, property valuation, and data integrity portion of the third-party review (TPR) was conducted on a total of approximately 43.6% (217 loans) of the pool (by loan count). 100% of the loans reviewed received a grade B or higher with 79.3% of loans receiving an A grade. The TPR results indicated compliance with the originators' underwriting guidelines for most of the loans without any material compliance issues or appraisal defects. However, Moody's took into account the sample size that was reviewed and applied an adjustment to Moody's losses. Representations and Warranties Framework Flagstar Bank, FSB the originator as well as an investment-grade rated entity, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when (1) the loan becomes 120 days delinquent, (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 119 days delinquent and is modified by the servicer. Similar to J.P. Morgan Mortgage Trust (JPMMT) transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider is rated investment grade, the breach reviewer is independent, and the breach review process is thorough, transparent and objective. Moody's did not make any additional adjustment to Moody's base case and Aaa loss expectations for R&Ws. Transaction structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. In this transaction, the Class A-11 notes are indexed to SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate bonds, starting with most junior, and senior support certificates and on a pro-rata basis among the super senior certificates. Tail risk & subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to eroding credit enhancement over time and increased performance volatility, known as tail risk. To mitigate this risk, the transaction provides for a senior subordination floor of 1.10% which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.00% of the closing pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor of 1.10% and the subordinate floor of 1.00% are consistent with the credit neutral floors for the assigned ratings. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. GOLDENTREE LOAN 1: S&P Assigns B (sf) Rating on Class F-R-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 are being issued via a supplemental indenture. On the April 7, 2021 refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original notes. Therefore, S&P withdrew the ratings on the original notes and are assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the 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. 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." 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. "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 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) (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. Ratings Withdrawn Goldentree Loan Management US CLO 1 Ltd./Goldentree Loan Management US CLO 1 LLC Class A-R: to not rated from AAA (sf) Class B-1-R: to not rated from AA (sf) Class B-2-R: to not rated from AA (sf) Class C-R: to not rated from A (sf) Class D-R: to not rated from BBB- (sf) Class E: to not rated from BB- (sf) Class F: to not rated from CCC+ (sf) GOLDENTREE LOAN 7: S&P Assigns Prelim B-(sf) Rating on F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R, A-R, A-1 loans, A-1B, B-R, C-R, D-R, E-R, and F-R notes from GoldenTree Loan Management US CLO 7 Ltd./GoldenTree Loan Management US CLO 7 LLC, a CLO originally issued in May 2020 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 April 14, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 20, 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 outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, and C-R notes are expected to be issued at a lower spread over three-month LIBOR than the original notes. The class D-R and E-R notes are expected to be issued at a higher spread over three-month LIBOR than the original notes. -- The stated maturity will be extended by three years, the reinvestment period will be extended by five years, the non-call period will be extended by two years, and the weighted average life test date will be extended by two and a half years. -- The class F-R and X-R notes are being issued in connection with this refinancing. The X-R notes are expected to be paid down using interest proceeds during the first seven payment dates beginning with the payment date in July 2021. -- 100% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 96.37% of the identified underlying collateral obligations have recovery ratings assigned by S&P Global Ratings. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) X-R 5.00 0.50 A-R 163.50 1.07 A-1 loans 163.75 1.07 A-1B 0.00 1.07 B-R 60.25 1.70 C-R 25.25 2.05 D-R 30.25 3.15 E-R 20.00 6.50 F-R 10.25 7.75 Original Notes Class Amount Interest (mil. $) rate (%) A 297.50 1.90 B 77.50 2.54 C 26.75 3.55 D 32.00 2.75 E 16.50 5.50 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 GoldenTree Loan Management US CLO 7 Ltd./GoldenTree Loan Management US CLO 7 LLC (Refinancing And Extension) Replacement class Rating Amount (mil $) X-R AAA (sf) 5.00 A-R AAA (sf) 163.50 A-1 loan AAA (sf) 163.75 A-1B(i) AAA (sf) 0.00 B-R AA (sf) 60.25 C-R (deferrable) A (sf) 25.25 D-R (deferrable) BBB- (sf) 30.25 E-R (deferrable) BB- (sf) 20.00 F-R (deferrable) B- (sf) 10.25 Subordinated notes NR 53.05 (i)The class A-1B notes will be issued with a zero balance at closing. After the closing date on any business day all or a portion of the class A-1 loans can be converted to A-1B notes at a maximum value of $163.75 million with corresponding decrease in the balance of the A-1 loans. The aggregate outstanding amount of the class 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. NR--Not rated. GREAT LAKES V: S&P Assigns BB (sf) Rating on $21MM Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Great Lakes CLO V Ltd./Great Lakes CLO V LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by middle market 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 Great Lakes CLO V Ltd./Great Lakes CLO V LLC Class A-X, $3.50 million: AAA (sf) Class A, $166.50 million: AAA (sf) Class B, $28.50 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $22.50 million: BBB (sf) Class E (deferrable), $21.00 million: BB (sf) Subordinated notes, $35.63 million: Not rated GREAT LAKES V: S&P Assigns BB (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Great Lakes CLO V Ltd./Great Lakes CLO V LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by middle market 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 April 7, 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 Great Lakes CLO V Ltd./Great Lakes CLO V LLC Class A-X, $3.50 million: AAA (sf) Class A, $166.50 million: AAA (sf) Class B, $28.50 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $22.50 million: BBB (sf) Class E (deferrable), $21.00 million: BB (sf) Subordinated notes, $35.63 million: Not rated GREYWOLF CLO II: S&P Assigns Prelim BB- (sf) on Class D Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A, A-1S, A-2J, A2-a, A2-b, B-1, B-2, C-1, C-2, and D from Greywolf CLO II Ltd./Greywolf CLO II LLC, a CLO originally issued in October 2017 that is managed by Greywolf Loan Management LP. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of April 13, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 15, 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 outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-1S notes are expected to be issued at a lower spread over three-month LIBOR than the original notes, and the replacement class D notes are expected to be issued at a higher spread over three-month LIBOR than the original notes. -- The replacement class A2-a, A-2b, B-1, and B-2 notes are expected to be issued at a floating spread and fixed coupon in respective pro rata pairs, replacing the current floating spread and the class A-2-R and B-R notes, and the replacement class C-1 and C-2 sequentially are expected to be issued at floating spread replacing the class C-R notes. -- The stated maturity and reinvestment period will be extended 4.5 years. -- The workout loan provisions were modified. -- The portfolio is being upsized to $500.00 million target par. -- The new class X notes issued in connection with this refinancing are expected to be paid down using interest proceeds during the first seven payment dates beginning with the payment date in July 2021. Preliminary Ratings Assigned Greywolf CLO II Ltd./Greywolf CLO II LLC Class X, $3.00 million: AAA (sf) Class A-1S, $300.00 million: AAA (sf) Class A-2J, $15.00 million: AAA (sf) Class A2-a, $43.00 million: AA (sf) Class A2-b, $22.00 million: AA (sf) Class B-1 (deferrable), $20.00 million: A (sf) Class B-2 (deferrable), $10.00 million: A (sf) Class C-1 (deferrable), $17.50 million: BBB+ (sf) Class C-2 (deferrable), $12.50 million: BBB- (sf) Class D (deferrable), $16.25 million: BB- (sf) Subordinated notes, $82.78 million: not rated GS MORTGAGE 2011-GC3: Moody's Lowers Class X Certs to Caa1 ---------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and downgraded the ratings on four classes in GS Mortgage Securities Trust 2011-GC3, Commercial Mortgage Pass-Through Certificates, Series 2011-GC3 as follows: Cl. C, Affirmed Aa2 (sf); previously on Nov 23, 2020 Affirmed Aa2 (sf) Cl. D, Downgraded to Baa1 (sf); previously on Nov 23, 2020 Affirmed A3 (sf) Cl. E, Downgraded to Ba2 (sf); previously on Nov 23, 2020 Affirmed Baa3 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Nov 23, 2020 Downgraded to B3 (sf) Cl. X*, Downgraded to Caa1 (sf); previously on Nov 23, 2020 Downgraded to B2 (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on one P&I class was affirmed because of its credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), are within acceptable ranges. The ratings on three P&I classes, Cl. D, Cl. E and Cl. F, were downgraded due to the pool's significant share of specially serviced loans secured by regional malls and other non-essential retail properties. Specially serviced loans now represent 100% of the pool balance, and two regional malls make up 59% of the pooled balance. The regional mall exposure includes Cape Cod Mall (43.0%) and Oxford Valley Mall (16.2%), both of which exhibited declines in performance through year-end 2019 and were further negatively impacted by the coronavirus pandemic. Furthermore, both malls are now past their original maturity dates. The rating on the IO class was downgraded due to a decline in the credit quality of its referenced classes. The IO class references P&I classes, Cl. C through Cl. G (Cl. G is not rated by Moody's). 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 21.6% of the current pooled balance, compared to 8.0% at Moody's last review. Moody's base expected loss plus realized losses is now 3.0% of the original pooled balance, compared to 2.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, 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 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 classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the March 12, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 86% to $195.9 million from $1.4 billion at securitization. The certificates are collateralized by three mortgage loans ranging in size from 16% to 43% of the pool. 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 three, compared to five at Moody's last review. As of the March 2021 remittance report, loans representing 100% were non-performing and past maturity. There are currently no loans 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. No loans have been liquidated from the pool. Three loans, constituting 100% of the pool, are currently in special servicing. All of the specially serviced loans, representing 100% of the pool, have transferred to special servicing since October 2020. The largest specially serviced loan is the Cape Cod Mall Loan ($84.2 million -- 43.0% of the pool), which is secured by 521,881 square feet (SF) portion of a 722,000 SF Simon sponsored regional mall located in Hyannis, Massachusetts. The mall is anchored by Macy's, Macy's Home, Target and a Regal Cinema. The improvements and land for Macy's and Macy's Home are not part of the collateral. A former anchor Sears (135,000 SF), vacated in 2018, but was partially backfilled by new tenants. As of September 2020, the property was 93% leased compared to 89% in June 2020 and 66% in September 2019. Occupancy has rebounded due to new leases executed with Target (79,615 SF), Dick's Sporting Goods (45,264 SF) and Planet Fitness (20,000 SF). Regal Cinemas had renewed their lease with plans to make major upgrades to their theater seating, movie screens, and stereo systems, however, the theater is now temporarily closed as a result of the coronavirus pandemic. Marshalls also renewed their lease and has agreed to remodel the store at their own expense. The mall was closed from mid-March until mid-June in 2020 as a result of the pandemic. The loan has amortized almost 16% since securitization and is currently paid through its January 2021 payment date. While property performance has been generally stable since securitization, the 2019 NOI declined year over year and was below expectations at securitization. The loan transferred to special servicing in February 2021 due to imminent balloon/maturity default ahead of its scheduled maturity date in March 2021. Negotiations are currently ongoing, and the borrower is seeking a short-term extension. The second largest specially serviced loan is the Whalers Village Loan ($80.0 million -- 40.8% of the pool), which is secured by a 110,521 SF open-air lifestyle center located on Maui's Ka'anapali Beach in Lahaina, Hawaii. The property was 92% leased as of September 2020 compared to 97% in September 2019 and 94% in September 2018. The loan transferred to special servicing in October 2020 due to imminent balloon/maturity default as the loan had an original maturity date in January 2021. The loan has remained mostly current on its debt service payments throughout 2020 and is last paid through its February 2021 payment date. Through year-end 2019, the property's performance had improved significantly from securitization due to higher rental revenue. The loan is interest only for its entire term and the actual 2019 NOI DSCR was 4.24X. However, the coronavirus pandemic has significantly impacted the property's operations and the borrower reported 30% of rents were collected as of October 2020. The borrower executed a 12 month maturity extension during December 2020, extending the maturity date to January 2022. A recent appraisal values the property at an amount which materially exceeds the loan balance. Due to the loan's historical performance, and a Moody's LTV of 60%, Moody's does not expect a loss on this loan. The third largest specially serviced loan is the Oxford Valley Mall Loan ($31.7 million -- 16.2% of the pool), which is secured by a super-regional mall and an office building located in Middletown Township, Pennsylvania. The office building is freely releasable under the terms of the loan and Moody's has not attributed any value to the office component of the collateral since securitization. The collateral originally included an adjacent retail center, known as Lincoln Plaza, which was recently sold and released from the collateral in September 2020 in conjunction with a $25.3 million paydown. As of September 2020, the remaining mall collateral space was 60% leased and inline occupancy was 60%, compared to 81% and 69%, respectively, in September 2018. Occupancy declined after the departure of collateral tenant Sears in January 2019 as well as a declining inline occupancy. There is also a vacant non-collateral anchor space, previously occupied by Boscov's. There have been proposals to develop a portion of the land around the mall into two, four-story apartment buildings with over 600 residential units. The loan transferred to special servicing in October 2020 due to imminent balloon/maturity default and the special servicer is negotiating a possible loan extension and forbearance. The loan is paid through its November 2020 payment date and had an original maturity in December 2020. The loan has paid down approximately 55% since securitization as a result of amortization and paydown resulting from the partial release of Lincoln Plaza. However, the Oxford Valley Mall has suffered from declining occupancy and rental revenue. The special servicer and borrower are negotiating terms for a maturity date extension. GS MORTGAGE 2021-PJ4: Moody's Gives (P)B2 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust (GSMBS) 2021-PJ4. The ratings range from (P)Aaa (sf) to (P)B2 (sf). GS Mortgage-Backed Securities Trust 2021-PJ4 (GSMBS 2021-PJ4) is the fourth prime jumbo transaction in 2021 issued by Goldman Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage loan seller. The certificates are backed by 630 prime jumbo (non-conforming), primarily 30-year, fully-amortizing fixed-rate mortgage loans with an aggregate stated principal balance $622,078,115 as of the April 1, 2021 cut-off date. Overall, pool strengths include the high credit quality of the underlying borrowers, indicated by high FICO scores, strong reserves for prime jumbo borrowers, mortgage loans with fixed interest rates and no interest-only loans. As of the cut-off date, all of the mortgage loans are current and no borrower has entered into a COVID-19 related forbearance plan with the servicer. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (99.6% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (0.4% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (which aggregated 6.22% of the mortgage loans by UPB). NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the pool. Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long term debt Aa2) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties (R&W) breach reviewer. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. In addition, Moody's adjusted its losses based on qualitative attributes, including origination quality, the strength of the R&W framework and third party review (TPR) results. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In this transaction, the Class A-15 certificates' coupon is indexed to SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. Issuer: GS Mortgage-Backed Securities Trust 2021-PJ4 Class A-1, Assigned (P)Aaa (sf) Class A-2, Assigned (P)Aaa (sf) Class A-3, Assigned (P)Aa1 (sf) Class A-4, Assigned (P)Aa1 (sf) Class A-5, Assigned (P)Aaa (sf) Class A-6, Assigned (P)Aaa (sf) Class A-7, Assigned (P)Aaa (sf) Class A-7-X*, Assigned (P)Aaa (sf) Class A-8, Assigned (P)Aaa (sf) Class A-9, Assigned (P)Aaa (sf) Class A-10, Assigned (P)Aaa (sf) Class A-11, Assigned (P)Aaa (sf) Class A-11-X*, Assigned (P)Aaa (sf) Class A-12, Assigned (P)Aaa (sf) Class A-13, Assigned (P)Aaa (sf) Class A-14, Assigned (P)Aaa (sf) Class A-15, Assigned (P)Aaa (sf) Class A-15-X*, Assigned (P)Aaa (sf) Class A-16, Assigned (P)Aaa (sf) Class A-17, Assigned (P)Aaa (sf) Class A-17-X*, Assigned (P)Aaa (sf) Class A-18, Assigned (P)Aaa (sf) Class A-18-X*, Assigned (P)Aaa (sf) Class A-19, Assigned (P)Aaa (sf) Class A-20, Assigned (P)Aaa (sf) Class A-21, Assigned (P)Aa1 (sf) Class A-X-1*, Assigned (P)Aa1 (sf) Class A-X-2*, Assigned (P)Aaa (sf) Class A-X-3*, Assigned (P)Aa1 (sf) Class A-X-4*, Assigned (P)Aa1 (sf) Class A-X-5*, Assigned (P)Aaa (sf) Class A-X-9*, Assigned (P)Aaa (sf) Class A-X-13*, Assigned (P)Aaa (sf) Class B-1, Assigned (P)Aa3 Class B-2 , Assigned (P)A2(sf) Class B-3, Assigned (P)Baa2(sf) Class B-4 , Assigned (P)Ba2(sf) Class B-5 , Assigned (P)B2(sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.16%, and reaches 3.44% at stress level consistent with Moody's Aaa rating. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (6.5% 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 mortgage 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 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, strength of the TPR and the R&W framework of the transaction. Collateral Description Moody's assessed the collateral pool as of April 1, 2021, the cut-off date. The mortgage loans consist of conventional, fully amortizing, first lien residential mortgage loans, none of which have the benefit of primary mortgage guaranty insurance. The aggregate collateral pool as of the cut-off date consists of 630 prime jumbo mortgage loans with an aggregate unpaid principal balance (UPB) of $622,078,115 and a weighted average (WA) mortgage rate of 2.9%. The WA current FICO score of the borrowers in the pool is 776. The WA Original LTV ratio of the mortgage pool is 68.9%, which is in line with GSMBS 2020-PJ4 and also with other prime jumbo transactions. All the loans are subject to the Qualified Mortgage (QM) rule. The other characteristics of the mortgage loans in the pool are generally comparable to that of GSMBS 2020-PJ4 and recent prime jumbo transactions. The mortgage loans in the pool were originated mostly in California (48.8%) and in high cost metropolitan statistical areas (MSAs) of San Francisco (16.2%), Los Angeles (13.7%), San Jose (6.2%), Chicago (6.1%) and others (21.8%), by UPB, respectively. The high geographic concentration in high cost MSAs is reflected in the high average balance of the pool ($987,426). Moody's made adjustments to its losses to account for this geographic concentration risk. Top 10 MSAs comprise 64.1% of the pool, by UPB. Origination Quality GSMC is the loan aggregator and the primary mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure. The mortgage loans for this transaction were acquired by GSMC, the sponsor and a mortgage loan seller (99.6% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (0.4% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (6.22% by UPB, in total). The mortgage loan sellers do not originate any mortgage loans, including the mortgage loans included in the mortgage pool. Instead, the mortgage loan sellers acquired the mortgage loans pursuant to contracts with the originators or the aggregator. Overall, Moody's consider GSMC's aggregation platform to be comparable to that of peer aggregators and therefore did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing GSMC as an aggregator, Moody's have also reviewed each of the originators which contributed at least 10% of the mortgage loans (by UPB) to the transaction. For these originators, Moody's reviewed their underwriting guidelines, performance history, and quality control and audit processes and procedures (to the extent available, respectively). As such, approximately 18.5% and 10.5% of the mortgage loans, by UPB as of the cut-off date, were originated by CrossCountry Mortgage, LLC (CrossCountry) and Movement Mortgage, LLC (Movement), respectively. In addition, approximately 37.5%, 6.6% and 0.8% of the mortgage loans, by UPB as of the cut-off date (44.9% by UPB, in total), were originated by Guaranteed Rate, Inc. (GRI), Guaranteed Rate Affinity, LLC (GRA) and Proper Rate, LLC (collectively, the Guaranteed Rate Parties), respectively. The Guaranteed Rate Parties are affiliates. No other originator or group of affiliated originators originated more than 10% of the mortgage loans in the aggregate. Because Moody's consider CrossCountry and Guaranteed Rate Parties to have adequate residential prime jumbo loan origination practices and to be in line with peers due to: (1) adequate underwriting policies and procedures, (2) consistent performance with low delinquency and repurchase and (3) adequate quality control, Moody's did not make any adjustments to its loss levels for mortgage loans originated by these parties. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to its base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint will be the named primary servicer for this transaction and will service 100% of the pool. Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. Shellpoint's primary servicing location is in Greenville, South Carolina. Shellpoint services residential mortgage assets for investors that include banks, financial services companies, GSEs and government agencies. Wells Fargo will act as master. Wells Fargo is a national banking association and a wholly-owned subsidiary of Wells Fargo & Company. Moody's consider the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Wells Fargo is committed to act as successor servicer if no other successor servicer can be engaged. Third-party Review The transaction benefits from TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The due diligence results confirm compliance with the originators' underwriting guidelines for the vast majority of mortgage loans, no material compliance issues, and no material valuation defects. The mortgage loans that had exceptions to the originators' underwriting guidelines had significant compensating factors that were documented. Representations & Warranties GSMBS 2021-PJ4's R&W framework is in line with that of prior GSMBS transactions Moody's have rated 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 takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and the R&W enforcement mechanism. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of mortgage loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. There is a provision for binding arbitration in the event of a dispute between the trust and the R&W provider concerning R&W breaches. 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. Here, because most of the R&W providers are unrated and/or exhibit limited financial flexibility, Moody's applied an adjustment to the mortgage loans for which these entities provided R&Ws. Tail Risk and Locked Out Percentage 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 0.95% of the cut-off date pool balance, and as subordination lock-out amount of 0.95% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. COVID-19 Impacted Borrowers As of the cut-off date, mortgagors with respect to approximately 0.17% of the mortgage loans by UPB had previously been, but no longer were, subject to a COVID-19 related forbearance plan. In addition, as of the cut-off date, each such mortgage loan had become current. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, then such principal forbearance amount will be recognized as a realized loss. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Shellpoint will recover advances made during the period of COVID-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. GUGGENHEIM CLO 2020-1: S&P Assigns Prelim 'BB-' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, and D-R replacement notes, and class E notes, from Guggenheim CLO 2020-1 Ltd. This is a proposed refinancing of Guggenheim's May 2020 transaction. The replacement notes will be issued via a proposed supplemental indenture. The original class A, B, C, and D notes are expected to be fully redeemed with the proceeds from the replacement note issuance on the April 15, 2021, refinancing date. S&P said, "On such date, we anticipate withdrawing the ratings on the original notes and assigning ratings to the new 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 preliminary ratings are based on information as of April 6, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. 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 lower weighted average cost of debt than the existing notes. -- The stated maturity and the reinvestment period will both remain unchanged. -- LIBOR replacement, workout, and restructured loan-related concepts were added. -- The class E notes are being issued in connection with this refinancing and are not a part of the existing structure. -- Of the identified underlying collateral obligations, 100% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 90.64% have recovery ratings assigned by S&P Global Ratings. 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. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned Guggenheim CLO 2020-1 Ltd./Guggenheim CLO 2020-1 Class A-R, $180.18 mil.: AAA (sf) Class B-R, $37.70 mil.: AA (sf) Class C-R (deferrable), $17.00 mil.: A (sf) Class D-R (deferrable), $14.50 mil.: BBB- (sf) Class E (deferrable), $12.80 mil.: BB- (sf) HALCYON LOAN 2015-3: Moody's Lowers Rating on Class D Notes to Caa1 ------------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following note issued by Halcyon Loan Advisors Funding 2015-3 Ltd.: US$27,300,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due October 18, 2027 (the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on August 1, 2019 Upgraded to Aa2 (sf) Moody's also downgraded the rating on the following notes: US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes Due October 18, 2027 (current outstanding balance of $29,307,277.84) (the "Class D Notes"), Downgraded to Caa1 (sf); previously on September 3, 2015 Assigned Ba3 (sf) Halcyon Loan Advisors Funding 2015-3 Ltd., originally issued in September 2015 and partially refinanced in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2019. RATINGS RATIONALE The upgrade action on the Class B-R notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since March 2020. The Class A-1-R notes have been paid down by approximately 46% or $128.6 million since March 2020. Based on the trustee's March 2021 report[1], the OC ratios for the Class A-2-R, Class B-R, Class C and Class D notes are reported at 143.65%, 126.46%, 110.06% and 99.00%, respectively, versus March 2020[2] levels of 133.35%, 123.15%, 112.43% and 105.04%, respectively. The downgrade action on the Class D notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's March 2021 report[3], the OC ratio for the Class D notes is reported at 99.00% versus March 2020[4] level of 105.04%. Furthermore, the trustee-reported[5] weighted average rating factor (WARF) has been deteriorating and is currently 3487, compared to 3192 in March 2020[6] and is failing the trigger of 2691. 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: $293,281,173 Defaulted par: $7,875,998 Diversity Score: 56 Weighted Average Rating Factor (WARF): 3129 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.64% Weighted Average Recovery Rate (WARR): 46.7% Weighted Average Life (WAL): 3.6 years Par haircut in OC tests and interest diversion test: 2.16% In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in the US economic activity. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. HERTZ VEHICLE II: Fitch Affirms CCC Rating on 11 Note Classes ------------------------------------------------------------- Fitch Ratings has affirmed and removed the Rating Watch Negative (RWN) on the outstanding ratings of the rental car (RC) asset-backed securities (ABS) issued by Hertz Vehicle Financing II LP (HVF II). The class A note ratings have been assigned a Stable Rating Outlook, and the class B and C note ratings assigned a Negative Rating Outlook. The class D notes currently rated 'CCCsf', do not have an outlook. These actions are driven by The Hertz Corporation's (Hertz) ongoing management of its business and fleet through Chapter 11 bankruptcy and continued HVF II ABS fleet performance metrics which remain in line with Fitch's expectations, and encompass the current challenging coronavirus environment and unprecedented impact on the travel sector including rental car demand, which remains a risk for the ABS notes. DEBT RATING PRIOR ---- ------ ----- Hertz Vehicle Financing II LP, Series 2017-2 A 42806DBG3 LT Asf Affirmed Asf B 42806DBH1 LT BB-sf Affirmed BB-sf C 42806DBJ7 LT B-sf Affirmed B-sf D 42806DBK4 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2016-4 A 42806DBC2 LT Asf Affirmed Asf B 42806DBD0 LT BB-sf Affirmed BB-sf C 42806DBE8 LT B-sf Affirmed B-sf D 42806DBF5 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2018-1 A 42806DBQ1 LT Asf Affirmed Asf B 42806DBR9 LT BB-sf Affirmed BB-sf C 42806DBS7 LT B-sf Affirmed B-sf D 42806DBT5 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2018-2 A 42806DBV0 LT Asf Affirmed Asf B 42806DBW8 LT BB-sf Affirmed BB-sf C 42806DBX6 LT B-sf Affirmed B-sf D 42806DBY4 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2019-3 A 42806DCN7 LT Asf Affirmed Asf B 42806DCP2 LT BB-sf Affirmed BB-sf C 42806DCQ0 LT B-sf Affirmed B-sf D 42806DCR8 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2018-3 A 42806DBZ1 LT Asf Affirmed Asf B 42806DCA5 LT BB-sf Affirmed BB-sf C 42806DCB3 LT B-sf Affirmed B-sf D 42806DCC1 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2019-1 A 42806DCD9 LT Asf Affirmed Asf B 42806DCE7 LT BB-sf Affirmed BB-sf C 42806DCF4 LT B-sf Affirmed B-sf D 42806DCG2 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2017-1 A 428040CU1 LT Asf Affirmed Asf B 428040CV9 LT BB-sf Affirmed BB-sf C 428040CW7 LT B-sf Affirmed B-sf D 428040CX5 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2019-2 A 42806DCH0 LT Asf Affirmed Asf B 42806DCJ6 LT BB-sf Affirmed BB-sf C 42806DCK3 LT B-sf Affirmed B-sf D 42806DCL1 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2015-3 A 42806DAH2 LT Asf Affirmed Asf B 42806DAJ8 LT BB-sf Affirmed BB-sf C 42806DAK5 LT B-sf Affirmed B-sf D 42806DAL3 LT CCCsf Affirmed CCCsf Hertz Vehicle Financing II LP, Series 2016-2 Class A 42806DAU3 LT Asf Affirmed Asf Class B 42806DAV1 LT BB-sf Affirmed BB-sf Class C 42806DAW9 LT B-sf Affirmed B-sf Class D 42806DAX7 LT CCCsf Affirmed CCCsf TRANSACTION SUMMARY The pandemic continues to negatively impact the travel/RC sectors, and Hertz's operating business and revenues as the company continues to manage through bankruptcy with a plan to emerge in coming months during the summer (as stated by Hertz). Notably, vehicle disposition proceeds, mark-to-market (MTM) ratios and depreciation metrics remain within Fitch's HVF II ABS note Expected Loss (EL) assumptions to date through February 2021, having improved and/or remaining stable in the past 4-6 months. The ratings cover $2.47 billion of outstanding ABS notes issued from 11 HVF II series, which have amortized down in the past 10 months from the $6.04 billion original balance, since the company declared bankruptcy in May 2020. Hertz, and its ultimate parent, Hertz Global Holding, Inc., are not rated (NR) by Fitch. Hertz is the HVF II servicer, administrator, lessee and guarantor. The resolution of the RWN and assigning Rating Outlooks on the notes now reflects expected additional pressure in line with Fitch's current U.S. economic outlook for the coronavirus and pressure on the travel and RC sectors, but does acknowledge the improved HVF II performance metrics as mentioned prior. Fitch's ABS criteria de-links the credit profile of HVF II and Hertz and assumes an immediate Chapter 7 Hertz bankruptcy, and subsequent liquidation of the fleet over several months under stressed wholesale market conditions and values. Importantly, the likelihood of such fleet liquidation has declined contributing to resolving the RWN and placing the notes on Rating Outlooks. The class A notes have thus far received all principal paydown and now stand at less than 25% of their original balance, thus benefitting from notably higher credit enhancement (CE) as a percent of total assets versus in 2020 and initially at close. All series class A notes have 60%-65% CE today, in some cases nearly double or more enhancement versus closing levels. The class B, C and D notes remain at 100% of their original balance, and are assigned Negative Outlooks given their subordinated structural position and exposure in the waterfall with lower relative enhancement levels which have not increased materially, when compared to Fitch's base rating case scenario. Fitch believes the company still faces execution risks due to the challenging pandemic environment, specifically as it relates to business and leisure travel and demand for rental cars. While yet to be approved by the court and shareholders, Hertz announced its intent to emerge from bankruptcy by June of this year supported by a capital infusion from a group of equity investors, which is now expected to occur earlier than the previously planned Sept. 30, 2021 date implied by the ongoing settlement agreement made with debtors previously. Volatility in used vehicle values and ongoing functioning of the wholesale vehicle markets have markedly improved since the lows of March through June of 2020, and wholesale vehicle auctions are now operating normally. Currently, used vehicle values are strong and have supported solid HVF II performance metrics across lower vehicle depreciation and disposition proceeds utilized to pay the notes down. Given the marked improvement in the wholesale markets in the past eight months operating efficiently along with positive vehicle supply and demand dynamics, current used vehicle values are mostly at or near record levels across all vehicle segments in the U.S. today. These positive market factors provide support to ABS EL elements specifically across MTM ratios, low vehicle depreciation and any disposition proceeds, all performing well within Fitch's assumptions. Hertz's road to potentially emerge from bankruptcy has been quicker than expected by the company. De-fleeting the existing HVF II vehicles in the past year has yielded solid disposition vehicle proceeds in excess of the net book values (NBV) to date as the company defleeted to address current RC demand, volumes and market conditions. KEY RATING DRIVERS Accelerated Bankruptcy Emergence Plan: Hertz recently announced in April its intent to emerge from bankruptcy in June of this year, sooner than the previously announced Sept. 30 target. While their emergence plan has yet to receive approval by the court and shareholders, the accelerated timeline is viewed positively by Fitch. Centerbridge Partners, Warburg Pincus, and Dundon Capital Partners are leading a proposal to invest as much as $2.5 billion into Hertz, supporting coming out of bankruptcy sooner than expected. This proposal outbids a previously elected similar proposal from Knighthead Capital and Certares Opportunities LLC. According to Hertz, 85% of the unsecured bondholder group are currently supportive of the Centerbridge plan. Used Vehicle Market Strength: The used vehicle market has recovered precipitously since early troughs at the onset of the pandemic as mentioned previously, and is supporting HVF II ABS performance metrics including lower vehicle depreciation and solid disposition proceeds paying the notes down. Rental Car Business Recovery: As of now, over one third of the U.S. population has received at least one dose of a COVID-19 vaccine, and the Center for Disease Control (CDC) has issued additional guidelines in terms of traveling. While social distancing and mask-wearing are still recommended, vaccinated individuals no longer need to be tested before or after domestic travel unless their destination requires it, and they also do not need to self-quarantine. Due to this and expected further vaccine rollout, travel is expected to continue its slow, extended recovery in 2021 with consumers eager to travel. These conditions and factors will support Hertz overall rental car business and liquidity profile, along with financings executed in the past 6 months by the company. This will all serve to continue to pay the ABS note liabilities down. Liquidity Risk: Should the HVF II ABS notes remain outstanding through Sept. 30, 2021, there is risk that the existing letters of credit (LoC) for each series may experience a shortfall. Currently, for the outstanding series, there is approximately $31 million of remaining balance in the liquidity facilities. For the individual series, this remainder varies from 10% to 25% of each LoC's original balance. Should there be a liquidity shortfall after the LoC's are fully drawn on, Hertz must provide the liquidity themselves. The recent issuance of a Debtor-in-Possession facility of $1.65 billion is available to be drawn on in the event of these shortfalls, which are not estimated to exceed $25 million in the worst case. Higher Class A Note Credit Enhancement, but Overall levels Can Fluctuate: As Hertz has liquidated a large portion of its fleet over the past nine months and paid down the outstanding class A notes with those disposition proceeds, CE increased for each series' senior class A notes. However, as sales have slowed down in recent months as the fleet reached a more optimal size for current business along with vehicles depreciating, CE has peaked and begun to turn downward again. While CE currently stands in excess of expected loss levels for the higher rated notes namely class A and B notes, enhancement can be volatile. Despite this, with the class A notes having built significant CE from class B-D subordination growing while paying down substantially, they are insulated from potential near-term fleet EL with much less potential for rating volatility. Fitch's Conservative HVF II ABS Expected Loss (EL) Analysis: Hertz is operating under a Chapter 11 bankruptcy liquidating their fleet down. Fitch expects Hertz will operate and maintain a notably smaller fleet versus pre-bankruptcy, hovering around 270,000 vehicles. The paydown of the notes continues to be contingent on the liquidation of the remaining HVF II fleet and its eventual replacement with a new fleet of vehicles in a new funding facility. While this facility is yet to emerge, it is a component of Hertz's filed bankruptcy emergence plan that the paydown of the existing HVF II notes must be completed prior to emergence, and may in part be paid down by additional debt issued from the new facility. Fitch's current EL scenario analysis compares the vehicle liquidation disposition losses that can be sustained as a percentage of fleet NBV to the EL at each rating level. While the paydown of the notes (class A notes only to date) resulted in higher overall CE for the more senior class A and B notes, coverage remains below closing levels for the subordinate notes. February 2021 ABS Performance Metrics As of the February servicer report, the total principal of the outstanding ABS series and VFN (NR) notes was $4.2 billion (excluding the class RR notes not rated by Fitch). The HVF II ABS series principal invested percentage outstanding was $2.47 billion or 58.4%, and VFNs totaled 41.6% or $1.76 billion outstanding, including retained class RR notes. NPV comprised 95.9% while PV is 4.1%; as Hertz has returned PV to OEMs, this mix continues to shift towards NPV. The notes continue to receive payments pro rata from collections, with individual series' notes paying down sequentially. Hertz disposed of just over 202,000 NPV from May 2020-February 2021, and sales pace drastically slowed starting in November as Hertz reached its fleet size goals, per the settlement agreement. The February MTM ratio improved to 118.2% up from 99.5% in May, coinciding with stronger used vehicle values as the wholesale vehicle market strengthened along with higher selling volumes. One-month MTM ratios averaged 113% from May through February, showing that early drops in vehicle values in the market rebounded while fleet NBVs remained low. Disposition proceeds ratios (vehicle sales proceeds divided by the NBV of those vehicles) are determined, at the current HVF II fleet size, once cumulative vehicle sales over a number of months have surpassed 10,000 vehicles. Vehicle sales slowed notably starting in November 2020, with a total of 28k vehicles being sold in these four months. The disposition proceeds ratio (vs. book value) was 118.0% in October (the last month the threshold was crossed), and has averaged 114.3% per month since May, comfortably above the 100% threshold, and up from a low of 102% in May 2020. RATING SENSITIVITIES The pandemic's impact on the economy and bankruptcy of Hertz and ongoing uncertainty and resulting implications on the Issuer and its assets, and ultimately the rated notes, are key rating drivers. This includes Hertz's ability to adhere to the settlement agreement, progress with further negotiations with debtors, obtain additional financing to continue operations and the continued sale of vehicles through various disposition channels. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Additional negative rating actions could occur in the immediate term were current rental and wholesale vehicle market conditions to deteriorate even further, and drive Fitch's initial base case assumptions and stresses beyond current assumptions. This includes additional higher levels of depreciation and disposition losses assumed, which drive Fitch's series derived EL rates higher and any future resulting impairment to CE. -- As it relates to wholesale market conditions, the ability to de-fleet vehicles is key for Hertz in raising cash; accessing the auction houses for vehicle dispositions is a crucial factor in coming months. This is a critical factor for Hertz to meet and pay down the ABS notes' liabilities, whether in or out of a bankruptcy. -- Due to the uncertainty of the vehicle market, Fitch assumed a consistent liquidation timeline by rating level as at the time of issuance for the expected loss level to determine rating actions, with an additional sensitivity of an eight-month liquidation timeline at the 'AAAsf' level. This additional stress contributes to two more months of depreciation, interest and other fees, driving the EL rate higher by between 3%-5%, versus a six-month base scenario period assumed. Movements of this magnitude in the EL rates for each series would likely result in note downgrades of two or three categories lower. For example, the 'Asf' rated class A notes could migrate to the 'BBsf' level or lower. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- These include overall improvement in the wholesale vehicle market and values, and lower depreciation rates. There is limited upgrade potential for rated rental fleet ABS notes at this time given the revolving nature of the structure, where collateral changes on a daily basis through fleet purchases and dispositions, as well as issuer concentration limits in place. Therefore, upgrades are very limited if at all, as the composition of the fleet changes daily, which includes PV versus NPV, and OEM brand, segment and model concentrations. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JP MORGAN 2014-C21: Fitch Lowers Class F Tranche to 'CC' -------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 11 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, series 2014-C21 (JPMBB 2014-C21). DEBT RATING PRIOR ---- ------ ----- JPMBB 2014-C21 A-4 46642EAX4 LT AAAsf Affirmed AAAsf A-5 46642EAY2 LT AAAsf Affirmed AAAsf A-S 46642EBC9 LT AAAsf Affirmed AAAsf A-SB 46642EAZ9 LT AAAsf Affirmed AAAsf B 46642EBD7 LT AA-sf Affirmed AA-sf C 46642EBE5 LT A-sf Affirmed A-sf D 46642EAJ5 LT BBsf Downgrade BBB-sf E 46642EAL0 LT CCCsf Affirmed CCCsf EC 46642EBF2 LT A-sf Affirmed A-sf F 46642EAN6 LT CCsf Downgrade CCCsf X-A 46642EBA3 LT AAAsf Affirmed AAAsf X-B 46642EBB1 LT AA-sf Affirmed AA-sf X-C 46642EAE6 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased primarily as a result of additional stresses on the Fitch Loans of Concern (FLOCs). Fitch has designated nine loans (18.1% of the pool) as FLOCs, including four specially serviced loans (3.73% of the pool), two of which (0.8% of the pool) transferred since Fitch's last rating action. Fitch's current ratings incorporate a base case loss of 8.10%. The Negative Rating Outlooks on classes A-S through D assumes losses could reach 11.02% and reflect additional coronavirus related stresses as well as an outsized loss on the Westminster Mall loan. The largest FLOC, the Westminster Mall (4.5%), is secured by a 771,844-sf portion of a 1.4 million-sf regional mall located in Westminster, CA. The loan is sponsored by Washington Prime Group. Collateral occupancy as of September 2020 was 88%, down from 95% at YE 2019 and total mall occupancy fell to 79.6% at YE 2019 from 95.5% at YE 2018 after the non-collateral Sears vacated in April 2018. Property-level NOI for the annualized YTD September 2020 period declined 25% from YE 2019, 31% from YE 2018, and 33% from YE 2017. The servicer-reported NOI debt service coverage ratio (DSCR) decreased to 1.00x as of September 2020 from 1.34x as of YE 2019, 1.45x at YE 2018, and 1.49x at YE 2017. Fitch's analysis included a 20% stress to the YE 2019 NOI to reflect concerns with the impact of the pandemic on performance and the decline in occupancy The second largest FLOC, Residence Inn San Mateo (4.4%), is secured by a 160-key extended stay hotel located in San Mateo, CA. Performance metrics declined as a result of declining occupancy and were further exacerbated by the impact of reduced travel due to the coronavirus pandemic. While there were ongoing renovations at the property in 2018, the servicer reported that all rooms were back online for the duration of 2019. Occupancy fell to 61% as of September 2020 compared with 69% at YE 2019, 79% at YE 2018, and 84% at YE 2017. The servicer-reported NOI DSCR decreased to 0.64x as of September 2020 from 1.49x at YE 2019, 2.12x at YE 2018, and 2.32x at YE 2017. Fitch's analysis included a 26% stress to the YE 2019 NOI to reflect the impact of the pandemic on performance. The third largest FLOC, The Shops at Wiregrass (2.9%), is secured by a 456,637-sf portion of a 759,880-sf outdoor shopping center located in Wesley Chapel, FL. Collateral occupancy decreased to 87% as of December 2019 from 93.7% at YE 2018 due to the departures of several inline tenants, including Forever 21 (4.3% of NRA), Charming Charlie (1.8%), Express (1.7%) and PrimeBar (1.6%). Occupancy remains at 87% as of June 2020. Property-level NOI for the YE 2019 period declined 25% from YE 2018 and 27% from YE 2017. The servicer-reported NOI DSCR decreased to 0.42x as of June 2020 from 1.15x as of YE 2019, 1.54x at YE 2018 and 1.57x at YE 2016. Fitch's analysis includes a 25% stress to the YE 2019 NOI to reflect the impact of the pandemic, the decline in occupancy, and the upcoming lease rollover. The fourth largest FLOC, Charlottesville Fashion Square (2.4%), is secured by a 362,332-sf portion of a 576,749-sf regional mall located in Charlottesville, VA. The loan, which is sponsored by Washington Prime Group, transferred to special servicing in October 2019 due to imminent default following the closure of the collateral Sears in March 2019. Collateral occupancy increased to 79% as of September 2020 from 58.9% as of YE 2019 but remains down from 93.4% at YE 2018. The loan has been delinquent since the March 2020 remittance and is currently in foreclosure. The servicer-reported NOI DSCR decreased to 0.77x as of September 2020 from 1.12x as of YTD September 2019 and 1.60x at YE 2018. Fitch's analysis used a discount to the updated appraisal value. Coronavirus Exposure: Four loans (11.59%) are secured by hotel properties, including two in the top 15 (10.1%). Fifteen loans (32.59%) are secured by retail properties, including five regional mall loans in the top 15: Showcase Mall (9.5%; Las Vegas, NV), Miami International Mall (5.5%; Miami, FL), Westminster Mall (4.5%; Westminster, CA), The Shops at Wiregrass (2.9%; Wesley Chapel, FL) and Charlottesville Fashion Square (2.4%; Charlottesville, VA). Additional coronavirus specific stresses were applied to four hotel loans (11.6% of the pool), nine retail loans (13.4% of the pool) and one multifamily loan (0.42% of the pool). Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed potential outsized losses of 50% on the current balance of the Westminster Mall to reflect the declining cash flow, weak sponsorship, vacant Sears spaces and co-tenancy trigger concerns, while also factoring in the expected paydown of the transaction from defeased loans. This scenario contributed to the Negative Rating Outlooks on classes A-S through D. Fitch also performed an additional sensitivity which applies paydown of loans that pass both term and maturity default stresses ($281.9 million); applies paydown of defeased collateral ($114 million); and applies a 50% sensitivity loss on Westminister Mall given performance related concerns. Thissensitivity scenario did not apply additional coronavirus related stresses; however, contributed to the affirmation of class B by indicating sufficient credit enhancement. Minimal Changes to Credit Enhancement: As of the March 2021 distribution date, the pool's aggregate principal balance was paid down by 14.22% to $1.084 billion from $1.265 billion at issuance. Eleven loans (10.54% of the pool) are fully defeased. Since the last rating action, one loan (issuance balance of $11.25 million) was repaid in full prior to maturity. There have been no realized losses since issuance. Interest shortfalls of approximately $883,752 are currently contained to the unrated class NR certificate. Four loans (29.0%) are full term interest-only and five loans (23.9%) originally structured with a partial interest-only period have not yet begun to amortize. Of the non-defeased loans, one loan (3.89% of the pool) matures in 2021, one loan (5.8% of the pool) matures in 2022, one loan (3.8% of the pool) matures in 2025, and the remainder of the pool matures in or after 2026. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that could lead to upgrades include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B and C would only occur with significant improvement in credit enhancement and/or defeasance and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- An upgrade of class D is not likely until the later years in the transaction and only if performance of the FLOCs have stabilized and the performance of the remaining pool is stable. Classes E and F are unlikely to be upgraded absent significant performance improvement for the FLOCs and higher recoveries than expected on the specially serviced loans. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes rated 'AAAsf' and 'AA-sf' may occur should interest shortfalls affect these classes, additional loans become FLOCs or if the loans impacted by the coronavirus pandemic fail to recover. -- Downgrades to classes B and C are possible should the specially serviced loans 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 and F may occur should additional loans transfer to special servicing or performance of the FLOCs fail to return to pre-pandemic levels. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021. Should this scenario play out, classes with Negative Outlooks may be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS JPMBB 2014-C21 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to poor mall performance following changing consumer preference to shopping. The largest loan in the pool is Showcase Mall (9.54%), a regional mall located in Las Vegas, NV with stable performance. There are four additional regional malls (18.3%) in the pool, one of which (2.43%) has transferred to special servicing. There are also seven neighborhood centers (5.0%), two community shopping centers (3.0%), and two convenience centers (0.6%) in the pool). 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. JPMBB COMMERCIAL 2014-C25: Fitch Lowers 2 Tranches to 'CC' ---------------------------------------------------------- Fitch Ratings has downgraded six and affirmed 10 classes of JPMBB Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, series 2014-C25 (JPMBB 2014-C25). DEBT RATING PRIOR ---- ------ ----- JPMBB 2014-C25 A-4A1 46643PBD1 LT AAAsf Affirmed AAAsf A-4A2 46643PAA8 LT AAAsf Affirmed AAAsf A-5 46643PBE9 LT AAAsf Affirmed AAAsf A-S 46643PBJ8 LT AAAsf Affirmed AAAsf A-SB 46643PBF6 LT AAAsf Affirmed AAAsf B 46643PBK5 LT AA-sf Affirmed AA-sf C 46643PBL3 LT A-sf Affirmed A-sf D 46643PAN0 LT B-sf Downgrade BBB-sf E 46643PAQ3 LT CCCsf Downgrade BB-sf EC 46643PBM1 LT A-sf Affirmed A-sf F 46643PAS9 LT CCsf Downgrade CCCsf X-A 46643PBG4 LT AAAsf Affirmed AAAsf X-B 46643PBH2 LT AA-sf Affirmed AA-sf X-D 46643PAE0 LT B-sf Downgrade BBB-sf X-E 46643PAG5 LT CCCsf Downgrade BB-sf X-F 46643PAJ9 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations for the pool since Fitch's last rating action, primarily on the specially serviced Mall at Barnes Crossing and Market Center Tupelo loan (6.6%). There are 18 Fitch Loans of Concern (26.0% of pool), including nine loans/assets (17.5%) in special servicing. Fitch's current ratings incorporate a base case loss of 9.10%. The Negative Rating Outlooks reflect losses that could reach 10.10% when factoring in additional pandemic-related stresses. Fitch Loans of Concern: The largest contributor to loss expectations and largest increase since the last rating action is the specially serviced Mall at Barnes Crossing and Market Center Tupelo loan (6.6%), which is secured by a 629,757-sf portion of a 732,386-sf regional mall and strip shopping center in Tupelo, MS. The loan transferred to special servicing in December 2020 due to payment default as a result of the pandemic and is currently 60 days delinquent. Per the servicer, the sponsor, Brookfield Property Partners L.P, is seeking debt relief, but has not provided any proposals to date. Collateral occupancy fell to 79% as of the December 2020 rent roll from 83.3% at YE 2019 and 96.1% at YE 2018; total mall occupancy was 82% as of December 2020. The collateral Sears (13.1% of NRA) vacated in February 2019. Lease rollover within the next year is significant, including Belk Home and Men's (14.2%) in December 2021 and both Dick's Sporting Goods (8.2%) and Barnes & Noble (4.8%) in January 2022. The collateral JCPenney (14.2%) renewed its lease through March 2025. Inline sales for tenants occupying less than 10,000 sf declined to $353 psf as of TTM March 2020 from $398 psf as of TTM June 2019 and $379 psf at issuance. The servicer-reported NOI DSCR fell to 1.72x as of YTD September 2020 from 1.84x as of YE 2019. Fitch's base case loss expectation of approximately 55% is based on 20% cap rate and 20% haircut to the YE 2019 NOI due to concerns about the sponsor's commitment to the portfolio, tertiary regional mall location, declining occupancy and sales and significant upcoming lease rollover. The second largest contributor to loss expectation is the specially serviced Hilton Houston Post Oak (4.4%), which is secured by the leasehold interest in a 15-story, 448-key full-service hotel in downtown Houston, TX. The loan transferred to special servicing in May 2020 at the borrower's request due to economic hardship sustained from the pandemic and has been 60+ days delinquent since June 2020. Property performance had already struggled pre-pandemic as a result of the declining energy sector and softening of the lodging market. As of YTD March 2020, the servicer-reported occupancy, ADR and RevPAR were 64.2%, $148 and $95, respectively, compared with 73.5%, $147 and $108 as of YE 2019 and 83.5%, $157 and $131 at issuance. Fitch's loss expectation of approximately 33% is based on a discount to a recent valuation from the special servicer. Increased Credit Enhancement: As of the March 2021 distribution date, the pool's aggregate principal balance has been reduced by 18.7% to $962.3 million from $1.18 billion at issuance, and by 5.2% since the last rating action. Six loans (9.6%) are fully defeased. Realized losses to date total $8.9 million (0.7% of original pool) from the disposition of the REO Holiday Inn Express Kirksville and Hampton Inn Houston - Northwest assets in December 2019 and September 2020, respectively. Five loans (19.2%) are full-term, interest-only and all loans that had partial interest-only periods at issuance are currently amortizing. Loan maturities are concentrated in 2024 (95.9% of current pool) and 2025 (4.1%). Coronavirus Exposure: Nine loans (10.5%) are secured by hotel properties. The weighted average (WA) NOI DSCR for the hotel loans is 1.35x; these hotel loans could sustain a decline in NOI of 35.3% before NOI DSCR falls below 1.0x. Seventeen loans (30.0%) are secured by retail properties. The WA NOI DSCR for the retail loans is 2.24x; these retail loans could sustain a decline in NOI of 61.0% before DSCR falls below 1.0x. Four loans (3.5%) are secured by multifamily properties. The WA NOI DSCR for the multifamily loans is 1.73x; these multifamily loans could sustain a decline in NOI of 40.4% before DSCR falls below 1.0x. Fitch applied additional stresses to six hotel loans and seven retail loans to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Rating Outlooks. RATING SENSITIVITIES The Negative Rating Outlooks reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and performance concerns associated with the FLOCs, primarily the Mall at Barnes Crossing and Market Center Tupelo loan. The Stable Rating Outlooks reflect the increasing CE and expected continued amortization. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs, particularly the Mall at Barnes Crossing and Market Center Tupelo. -- An upgrade to the 'Bsf' category is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- Upgrades to the 'CCsf' and 'CCCsf' categories are unlikely absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans. Factors that could, individually or collectively, lead to a negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades of classes A-4A1, A-4A2, A-5, A-SB, A-S and X-A are not considered likely due to their position in the capital structure but may occur should interest shortfalls affect these classes. -- Downgrades of the 'Asf' and 'AAsf' categories would occur should expected losses for the pool increase substantially, all of the loans susceptible to the coronavirus pandemic suffer losses, the Mall at Barnes Crossing and Market Center Tupelo incur outsized losses and/or if interest shortfalls occur. -- A downgrade of the 'Bsf' category would occur should loss expectations increase and if performance of the FLOCs or loans vulnerable to the coronavirus pandemic fail to stabilize or additional loans default and/or transfer to the special servicer. -- Further downgrades of the 'CCsf' and 'CCCsf' rated classes would occur with increased certainty of losses or as losses are realized. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects further negative rating actions, including additional downgrades and/or Negative Rating Outlook revisions. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS This transaction has an ESG Relevance Score of 4 for Exposure to Social Impacts due to a regional mall that is underperforming as a result of changing consumer preferences to shopping, which has a negative impact on the credit profile, contributing to the Negative Rating Outlooks. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JPMMC COMMERCIAL 2017-JP6: Fitch Affirms B- Rating on G-RR Debt --------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of JPMCC Commercial Mortgage Securities Trust 2017-JP6 as follows: DEBT RATING PRIOR ---- ------ ----- JPMCC 2017-JP6 A-2 48128KAR2 LT AAAsf Affirmed AAAsf A-3 48128KAS0 LT AAAsf Affirmed AAAsf A-4 48128KAT8 LT AAAsf Affirmed AAAsf A-5 48128KAU5 LT AAAsf Affirmed AAAsf A-S 48128KAX9 LT AAAsf Affirmed AAAsf A-SB 48128KBA8 LT AAAsf Affirmed AAAsf B 48128KAY7 LT AA-sf Affirmed AA-sf C 48128KAZ4 LT A-sf Affirmed A-sf D 48128KAA9 LT BBB+sf Affirmed BBB+sf E-RR 48128KAC5 LT BBB-sf Affirmed BBB-sf F-RR 48128KAE1 LT BB-sf Affirmed BB-sf G-RR 48128KAG6 LT B-sf Affirmed B-sf X-A 48128KAV3 LT AAAsf Affirmed AAAsf X-B 48128KAW1 LT A-sf Affirmed A-sf KEY RATING DRIVERS Stable Loss Expectations: The majority of the pool continues exhibiting relatively stable performance and pool loss expectations have remained stable. Eight loans (17.3% of the current pool balance) have been designated as Fitch Loans of Concern (FLOCs), including three loans (10.3%) in the top 15 and two specially serviced loans (5.0%). Fitch's current ratings are based on a base case loss expectation of 4.0%. The Negative Outlooks reflect losses that could reach 4.6% when factoring additional pandemic-related stresses. Specially Serviced Loans: Marriott Colorado Springs (3.6%) is a 309-key, full-service hotel located in Colorado Springs, CO. The loan transferred to special servicing in January 2020 for non-monetary default, due to the borrower completing a non-permitted equity transfer. The servicer has executed a forbearance agreement with the borrower and is working to address the non-permitted transfer. Occupancy declined to 48% at YE 2020 from 75% at YE 2019 and 64% at YE 2018. YE 2020 RevPAR declined to $53 from $103 at YE 2019, $84 at YE 2018, $90 at YE 2017 and $85 at issuance; however, is in line with its competitive set. YE 2019 DSCR was 2.10x compared to 1.59x at YE 2018 and 2.34x at YE 2017. Fitch's expected losses of 19% are based on a discount to the updated October 2020 appraisal. 106th South Office Building (1.4%) is an office building in the Salt Lake City metro that transferred to special servicing in March 2020 after one of the largest tenants, which occupied 35% of the NRA, indicated they planned to vacate at their May 2020 lease expiration. Another tenant's lease, comprising 17.5% of the NRA, expired in October 2020, and an additional 25.6% expires in 2021. An update on the status of the leases was requested but not received. Fitch's analysis included an additional 50% stress to YE 2019 NOI to reflect the potential decline in occupancy. Fitch Loans of Concern: The largest non-specially serviced FLOC is the Diamond Hill Denver (4.6%), a 374,137-sf office property built in 1969, renovated in 2016, and located in Denver, CO. Tenants accounting for approximately 36% of the NRA have lease expirations prior to YE 2022. Occupancy has remained stable since issuance. YE 2020 NOI is 9% lower than YE 2019 and 10.9% lower than Fitch's expectations at issuance. YE 2020 DSCR was 1.39x compared to 1.53x at YE 2019, 1.98x at YE 2018 and 1.54x at YE 2017. Fitch's analysis included a 20% stress to the YE 2020 NOI to account for the upcoming rollover risk. Modesto Springhill Suites (2.1%) is a 111-key extended stay hotel built in 2007, renovated in 2015, and located in Modesto, CA that is also experiencing performance declines due to the pandemic. Occupancy declined to 59% by YE 2020 compared to 78% at YE 2019 and is below Fitch's expectations of 74.4% at issuance. YE 2020 NCF is 44% lower than YE 2019 and is 29.5% below Fitch's NCF expectations at issuance. YE 2020 DSCR was 1.09x compared to 2.34x at YE 2019, 2.52x at YE 2018 and 2.61x at YE 2017. The loan began amortizing in February 2020 which will contribute to a decline in DSCR over the next year. Per the servicer-reported OSAR, the borrower reported RevPAR of $71.25 at YE 2020 compared to $109.92 at YE 2019, $110.53 at YE 2018, and $113.88 at YE 2017 and Fitch's expectations of $95 at issuance. Fitch's analysis included a 26% stress to YE 2019 NOI to account for the pandemic's impact on performance. Courtyard Marriott Clemson (1.8%) is a 110-key Courtyard by Marriott located in Clemson, SC. YE 2020 DSCR is 0.59x compared to 1.65x at YE 2019 due to the pandemic-related shutdown and the effects it has had on the lodging industry. YE 2020 occupancy decreased to 45% from 67.5% at YE 2019. RevPAR decreased 44.8% from $86.62 at YE 2019 to $47.83 at YE 2020. Fitch's analysis included a 26% stress to the YE 2019 NOI to account for the pandemic's impact on performance. Increased Credit Enhancement: As of the March 2021 distribution date, the pool's aggregate principal balance has been reduced by 14.3% to $673.5 million from $786.6 million at issuance primarily the result of four loans totalling $95.3 million prepaying with yield maintenance in 2018 and 2019. Eight loans (39.9% of the current pool balance) are full-term interest only and 18 loans (39.6%) are partial-term interest only, twelve of which (29.2%) have begun amortizing. There are no defeased loans or realized losses and interest shortfalls are currently impacting class NR-RR. RATING SENSITIVITIES The Negative Outlooks reflects the potential for a near-term rating change should the performance of specially serviced or FLOCs deteriorate. The Stable Outlooks reflect the overall stable performance of the pool, increased credit enhancement and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes A-2 through C may occur with significant improvement in credit enhancement or defeasance, but are limited if the deal becomes susceptible to a concentration whereby the underperformance of FLOCs cause this trend to reverse. An upgrade to classes D and E-RR would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. -- Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. An upgrade to classes F-RR and G-RR is not likely until the later years in a transaction, and only if the performance of the remaining pool is stable, and if there is sufficient credit enhancement, which would likely occur when the non-rated class is not eroded and the senior classes payoff. Upgrades are not likely while uncertainty surrounding the pandemic continues. 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 senior classes, A 2 through C, are not likely due to the position in the capital structure and the high credit enhancement, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. Downgrades to classes D and E-RR would occur should overall pool losses increase, or one or more large loans have an outsized loss, which would erode credit enhancement. -- Downgrades to classes F-RR and G-RR with a Negative Outlook would occur should loss expectations increase due to an increase in specially serviced loans, or a decline in the FLOCs' performance. The Negative Outlooks may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the pandemic stabilize once the health crisis subsides. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Outlook, or those with Negative Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MELLO WAREHOUSE 2021-2: Moody's Gives (P)B2 Rating to 2 Tranches ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes issued by Mello Warehouse Securitization Trust 2021-2 (the transaction). The ratings range from (P)Aaa (sf) to (P)B2 (sf). The securities in this transaction are backed by a revolving pool of newly originated first-lien, fixed rate and adjustable rate, residential mortgage loans which are eligible for purchase by Fannie Mae, Freddie Mac or in accordance with the criteria of Ginnie Mae for the guarantee of securities backed by mortgage loans to be pooled in connection with the issuance of Ginnie Mae securities. The pool may also include FHA Streamline mortgage loans or VA-IRRR mortgage Loans, which may have limited valuation and documentation. The revolving pool has a total size of $300,000,000. Issuer: Mello Warehouse Securitization Trust 2021-2 Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa2 (sf) Cl. C, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa2 (sf) Cl. E, Assigned (P)B2 (sf) Cl. F, Assigned (P)B2 (sf) RATINGS RATIONALE The transaction is based on a repurchase agreement between loanDepot.com LLC ("loanDepot"), as repo seller, and Mello Warehouse Securitization Trust 2021-2 as buyer. LD Holdings Group LLC ("LD Holdings", senior unsecured rating B2) guarantees loanDepot's payment obligations under the securitization's repurchase agreement. Moody's base its Aaa expected losses of 31.66% and expected losses of 5.26% on the mean, and 4.33% on the median, on a scenario in which loanDepot and the guarantor LD Holdings does not pay the aggregate repurchase price to pay off the notes at the end of the facility's three-year revolving term, and the repayment of the notes will depend on the credit performance of the remaining static pool of mortgage loans. To assess the credit quality of the static pool, Moody's created a hypothetical adverse pool based on the facility's eligibility criteria, which includes no more than 25% (by unpaid balance) adjustable-rate mortgage (ARM) loans. Loans which are subject to payment forbearance, a trial modification, or delinquency are ineligible to enter the facility. Moody's analyzed the pool using Moody's US MILAN model and made additional pool level adjustments to account for risks related to (i) a weak representation and warranty enforcement framework (ii) existence of compliance findings related to the TILA-RESPA Integrated Disclosure (TRID) Rule in third-party diligence reports from prior Mello Warehouse Securitization Trust transactions, which have raised concerns about potential losses owing to TRID for the loans in this transaction. The final rating levels are based on Moody's evaluation of the credit quality of the collateral as well as the transaction's structural and legal framework. The ratings on the notes are the higher of (i) the repo guarantor's (LD Holdings Group LLC) rating and (ii) the rating of the notes based on the credit quality of the mortgage loans backing the notes (i.e., absent consideration of the repo guarantor). If the repo guarantor does not satisfy its obligations under the guaranty, then the ratings on the notes will only reflect the credit quality of the mortgage loans backing the notes. Collateral Description: The mortgage loans will be newly originated, first-lien, fixed-rate and adjustable rate mortgage loans that also comply with the eligibility criteria set forth in the master repurchase agreement. The aggregate principal balance of the purchased loans at closing will be $300,000,000. Per the transaction documents, the mortgage pool will have a minimum weighted average FICO of 725 and a maximum weighted average LTV of 80%. The ultimate composition of the pool of mortgage loans remaining in the facility at the end of the three-year term upon default of loanDepot is unknown. Moody's modeled this risk through evaluating the credit risk of an adverse pool constructed using the eligibility criteria. In generating the adverse pool: 1) Moody's assumed the worst numerical value from the criteria range for each loan characteristic. For example, the credit score of the loans is not less than 640 and the weighted average credit score of the purchased mortgage loans is not less than 725; the maximum debt-to-income ratio is 50% in the adverse pool (per eligibility criteria); 2) Moody's assumed risk layering for the loans in the pool within the eligibility criteria. For example, loans with the highest LTV also had the lowest FICO to the extent permitted by the eligibility criteria; 3) Moody's took into account the specified restrictions in the eligibility criteria such as the weighted average LTV and FICO; 4) Since these loans are eligible for purchase by the agencies, Moody's also took into account the specified restrictions in the underwriting criteria. For example, no more than 97% LTV for fixed rate purchased loans and 95% for adjustable rate purchase loans. The transaction allows the warehouse facility to include up to 50% (consistent with the prior deal) of mortgage loans (by outstanding principal balance) whose collateral documents have not yet been delivered to the custodian (wet loans). This transaction is more vulnerable to the risk of losses owing to fraud from wet loans during the time it does not hold the collateral documents. There are risks that a settlement agent will fail to deliver the mortgage loan files after receipt of funds, or the sponsor of the securitization, either by committing fraud or by mistake, will pledge the same mortgage loan to multiple warehouse lenders. However, Moody's analysis has considered several operational mitigants to reduce such risks, including (i) collateral documents must be delivered to the custodian within 10 business days following a wet loan's funding or it becomes ineligible, (ii) the transaction will only fund a wet loan if the closing of the mortgage loan is handled by a settlement agent (covered by errors and omissions insurance policy) who will provide a closing protection letter to the repo seller (except for attorney closings in the State of New York), (iii) the repo seller maintains a fidelity bond in place, naming the issuer as an additional insured party, in the event of fraud in connection with the closing of the wet loans, (iv) the repo seller has acquired services of an independent third party fraud detection and verification vendor, PitchPoint Solutions Inc. (settlement agent vendor), to verify credentials of settlement agents and the bank accounts for wires in connection with the funding of such wet loans, and (v) Deutsche Bank National Trust Company (Baa1), a highly rated independent counterparty, act as the mortgage loan custodian. Moody's view these mitigants as adequate measures to prevent the likelihood of fraud by the settlement agent or the sponsor. The loans will be originated and serviced by loanDepot.com, LLC (loanDepot). U.S. Bank National Association will be the standby servicer. Moody's consider the overall servicing arrangement for this pool to be adequate. At the transaction closing date, the servicer acknowledges that it is servicing the purchased loans for the joint benefit of the issuer and the indenture trustee. Transaction Structure: Moody's analysis of the securitization structure includes reviewing bankruptcy remoteness, assessing the ability of the indenture trustee to take possession of the collateral in an event of default, conformity of the collateral with the eligibility criteria as well as allocation of funds to the notes. The transaction is structured as a master repurchase agreement between loanDepot (the repo seller) and the Mello Warehouse Securitization Trust 2021-2 (the trust or issuer). The U.S. Bankruptcy Code provides repurchase agreements, security contracts and master netting agreements a "safe harbor" from the Bankruptcy Code automatic stay. Due to this safe harbor, in the event of a bankruptcy of loanDepot or the guarantor, the issuer will be exempt from the automatic stay and thus, the issuer will be able to exercise remedies under the master repurchase agreement, which includes seizing the collateral. During the revolving period, the repo seller's obligations will include making timely payments of interest accrued on the notes as well as the aggregate monthly fees. Failure to make such payments will constitute a repo trigger event whereby the indenture trustee will seize the collateral and terminate the repo agreement. It is expected that the notes will not receive payments of principal until the expected maturity date or after the occurrence and continuance of an event of default under the indenture unless the repo seller makes an optional prepayment. In an event of default, principal will be distributed sequentially amongst the classes. Realized losses will be allocated in a reverse sequential order. In addition, since the pool may consist of both fixed rate and adjustable rate mortgages, the transaction may be exposed to potential risk from interest rate mismatch. To account for the mismatch, Moody's assumed a stressed LIBOR curve by increasing the one-month LIBOR rate incrementally for a certain period until it reaches the maximum allowable interest rate as described in the transaction documents. Ongoing Due Diligence During the revolving period, Clayton Services LLC (or a qualified successor diligence provider appointed by the repo seller) will conduct ongoing due diligence every 180 days on 100 randomly selected loans (other than wet loans). The first review will be performed 30 days following the closing date. The scope of the review will include credit underwriting, regulatory compliance, valuation and data integrity. Because Moody's analysis is based on a scenario in which the facility terms out, due diligence reviews provide some control on the credit quality of the collateral. The due diligence framework in this transaction combined with the collateral eligibility controls help mitigate the risks of adverse selection in this transaction. While the due diligence review will provide some validation on the quality of the loans, it may not be fully representative of the collateral quality of the facility at all times. This is mainly due to the frequency of the due diligence review, the revolving nature of the collateral pool, and that the review will be conducted on a sample basis. Also, by the time the due diligence review is completed, some of the sampled loans may no longer be in the pool. Representation and Warranties For a mortgage loan to qualify as an eligible mortgage loan, the loan must meet representations and warranties described in the repurchase agreement. The substance of the representations and warranties are consistent with those in Moody's published criteria for representations and warranties for U.S. RMBS transactions. After a repo event of default, which includes the repo seller or buyer's failure to purchase or repurchase mortgage loans from the facility, the repo seller or buyer's failure to perform its obligations or comply with stipulations in the master repurchase agreement, bankruptcy or insolvency of the buyer or the repo seller, any breach of covenant or agreement that is not cured within the required period of time, as well as the repo seller's failure to pay price differential when due and payable pursuant to the master repurchase agreement, a delinquent loan reviewer will conduct a review of loans that are more than 120 days delinquent to identify any breaches of the representations and warranties provided by the underlying sellers. Loans that breach the representations and warranties will be put back to the repo seller for repurchase. While the transaction has the above described representation and warranties enforcement mechanism, in the amortization period, after an event of default where the repo seller did not pay the notes in full, it is unlikely that the repo seller will repurchase the loans. In addition, the noteholders (holding 100% of the aggregate principal amount of all notes) may waive the requirement to appoint such delinquent loan reviewer. Elevated social risks associated with the coronavirus The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's have not made any adjustments related to coronavirus for this transaction because (i) loans that are subject to payment forbearance or a trial modification are ineligible to enter the facility, and the repo seller must repurchase loans in the facility that become subject to forbearance, (ii) delinquent loans are ineligible to enter the facility, and (iii) loans are unlikely to be modified while in the facility due to the seasoning constraint specified in the eligibility criteria. The repo seller will be required to repurchase any loans that do not meet the "eligible loan" criteria. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and the state of the housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a weaker collateral composition than that in the adverse pool, financial distress of any of the counterparties. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The methodologies used in these ratings were "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. MFA 2021-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs ----------------------------------------------------------- S&P Global Ratings assigned its ratings to MFA 2021-NQM1 Trust's mortgage pass-through certificates series 2021-NQM1. The certificate 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, condotels, two- to four-family homes, mixed-use, 5-10 unit multifamily, 11-20 unit multifamily, and manufactured housing to both prime and nonprime borrowers. The pool has 910 loans, which are primarily nonqualified mortgage loans. 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 and mortgage originator, -- The geographic concentration, and -- The impact that the economic stress brought on by 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) MFA 2021-NQM1 Trust Class A-1, $278,881,000: AAA (sf) Class A-2, $22,271,000: AA (sf) Class A-3, $34,294,000: A (sf) Class M-1, $19,906,000: BBB (sf) Class B-1, $15,964,000: BB (sf) Class B-2, $10,052,000: B (sf) Class B-3, $12,811,283: 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 April 12, 2021. The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MFA 2021-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to MFA 2021-NQM1 Trust's mortgage pass-through certificates series 2021-NQM1. The certificate 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, condotels, two- to four-family homes, mixed-use, 5-10 unit multifamily, 11-20 unit multifamily, and manufactured housing to both prime and nonprime borrowers. The pool has 910 loans, which are primarily nonqualified mortgage loans. The preliminary ratings are based on information as of April 9, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition, -- The transaction's credit enhancement, -- The transaction's associated structural mechanics, -- The transaction's representation and warranty framework, -- The mortgage aggregator and mortgage originator, -- The geographic concentration, and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned(i) MFA 2021-NQM1 Trust Class A-1, $278,881,000: AAA (sf) Class A-2, $22,271,000: AA (sf) Class A-3, $34,294,000: A (sf) Class M-1, $19,906,000: BBB (sf) Class B-1, $15,964,000: BB (sf) Class B-2, $10,052,000: B (sf) Class B-3, $12,811,283: 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 preliminary private placement memorandum dated April 1, 2021. The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MORGAN STANLEY 2016-UBS11: Fitch Affirms CCC Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings affirms 15 classes of Morgan Stanley Capital I Trust 2016-UBS11 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- MSC 2016-UBS11 A-2 61767FAX9 LT AAAsf Affirmed AAAsf A-3 61767FAZ4 LT AAAsf Affirmed AAAsf A-4 61767FBA8 LT AAAsf Affirmed AAAsf A-S 61767FBD2 LT AAAsf Affirmed AAAsf A-SB 61767FAY7 LT AAAsf Affirmed AAAsf B 61767FBE0 LT AA-sf Affirmed AA-sf C 61767FBF7 LT A-sf Affirmed A-sf D 61767FAJ0 LT BBB-sf Affirmed BBB-sf E 61767FAL5 LT Bsf Affirmed Bsf F 61767FAN1 LT CCCsf Affirmed CCCsf X-A 61767FBB6 LT AAAsf Affirmed AAAsf X-B 61767FBC4 LT A-sf Affirmed A-sf X-D 61767FAA9 LT BBB-sf Affirmed BBB-sf X-E 61767FAC5 LT Bsf Affirmed Bsf X-F 61767FAE1 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Decline in Loss Expectations Drives Outlook Revisions: The Outlook revisions to Stable from Negative reflect a decline in loss expectations due to the resolution of two specially serviced loans and a decline in expected losses on two loans in the top 15 which exhibited stable performance in 2020, despite the pandemic. Fitch's current ratings are based on a base case loss expectation of 2.60%. The Negative Outlooks and distressed ratings reflect losses that could reach 2.90% when factoring additional pandemic-related stresses. Fitch's current lower expected losses reflect better-than-expected 2020 performance of 132 West 27th Street (9.8%) and Irish Hills Plaza & Broadway Plaza (8.1%). At the last rating action, both assets were considered at risk for a decline in performance due the pandemic, but both assets have continued to perform and additional pandemic-related stresses were removed (132 West 27th Street) or actual 2020 financial reporting was used in Fitch's analysis (Irish Hills Plaza & Broadway Plaza). Deterioration of Credit Enhancement: Credit enhancement (CE) has deteriorated significantly since the prior rating action due to the liquidation of three loans (5.9% of prior pool balance) at a loss. Class G now has $19.8 million in realized losses and is experiencing interest shortfalls. As of the March 2021 remittance report, the pool has been paid down by 11.3% to $638.6 billion from $719.8 billion at issuance which includes the realized losses. Of the 38 loans in the transaction at issuance, 35 loans remain. One loan (0.7%) has been defeased. Four loans (26.8%) are full-term interest-only and six loans (17.8%) are partial-term interest-only, five (6.9%) of which have begun amortizing. Two loans (6.6%) mature in April and July 2021 and the remainder of the pool matures in 2026. Specially Serviced Loans: The largest Fitch Loan of Concern (FLOC) and specially serviced loan is Plaza Mexico - Los Angeles (6.3%), a 403,232-sf shopping center in Los Angeles, CA anchored by Food 4 Less. The loan transferred to special servicing in October 2020 for payment default and the mezzanine lender cured the default shortly thereafter. The special servicer expects that the loan will pay in full at its July 2021 maturity date. As the loan is expected in pay in full at maturity, Fitch modeled a minimal loss of approximately 4% to account for fees. The other specially serviced loan is Sixty Soho (1.9%), a 97-key hotel in Soho in New York City. The loan transferred to special servicing in October 2020 after the borrower requested relief due to the coronavirus pandemic. Per the special servicer, a forbearance is in process. As of the December 2020 STR report, the property reported a TTM occupancy rate of 61.9%, TTM ADR of $225, and TTM RevPAR of $139. Fitch modeled a loss of approximately 6% to account for fees. Minimal losses are expected based on the property's strong asset quality, ability of the asset to continue to perform through 2020 and an updated 2020 appraisal that indicates value above the outstanding debt amount. Fitch Loans of Concern: The largest non-specially serviced FLOC is Gateway Plaza (2.5%), a power center located in Visalia, CA where major tenants include Dick's Sporting Goods, Home Goods, and Staples. As of 3Q20, the property is 100% occupied and performing at a 1.22x NOI debt service coverage ratio (DSCR) compared to 1.69x at YE 2019. As a part of Fitch's coronavirus stress testing, additional stress was applied to the loan's cash flow. Smaller FLOCs include Residence Inn - Downtown Clearwater (2.4%), a 115-key extended stay hotel in Clearwater, FL and Martin Resorts - Pismo Lighthouse (1.6%), a 70-key limited service hotel in Pismo Beach, CA, both of which are being stress tested due to the coronavirus pandemic. Coronavirus Exposure: Fitch's base case analysis applied an additional NOI stress to seven hotel loans and one retail loan. Twelve non-defeased loans collateralized by hotel properties account for 36.9% of the pool, including six loans (28.1%) in the top 15. Two of these hotel properties include a net leased hotel (9.8%) and the leased fee interest of a ground leased hotel property (7.7%). Excluding these loans, hotel concentration is 19.4%. Retail properties and mixed-use properties with a retail component comprise 25.2% of the pool, including five loans (22.1%) in the top 15. RATING SENSITIVITIES The Negative Outlooks reflect the potential for a near term rating change should the performance of specially serviced or FLOCs deteriorate. They also reflect concerns with hotel and retail properties due to decline in travel and commerce as a result of the coronavirus pandemic. The Stable Outlooks on senior classes reflect the overall stable performance of the pool, lower loss expectations and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B, X-B, and C may occur with significant improvement in CE or defeasance but would be limited due to the transaction's concentration whereby the deterioration in performance of a larger asset would have a large impact on loss expectations. -- An upgrade 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 concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. -- An upgrade to classes E, X-E, F, and X-F is not likely until the later years in a transaction, and only if there are better than expected recoveries on specially serviced loans and the performance of the remaining pool is stable, and if there is sufficient credit enhancement, which would likely occur when the non-rated class is not eroded and the senior classes payoff. While coronavirus related stresses continue to impact the pool, upgrades are extremely unlikely. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Increase in expected losses from underperforming or specially serviced loans. Downgrades to the super-senior classes, A-1 through A-4 and X-A, are not likely due to high CE but could occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to classes A-S, B, C, D, X-B and X-D may occur should overall pool losses increase or if several large loans have an outsized loss, properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and/or losses on the specially serviced loans are higher than expected. -- Further downgrades to classes E and X-E would occur should loss expectations increase due to an increase in specially serviced loans, the disposition of a specially serviced loan/asset at a high loss, or a decline in the FLOCs' performance. Further downgrades to the 'CCCsf' rated classes F and X-F will occur if losses are considered probable or inevitable or if additional losses are realized. -- The Negative Rating Outlooks on classes D, X-D, E and X-E may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize; however, given these classes' low CE, this is unlikely. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Outlook, or those with Negative Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OAKTOWN RE VI: Moody's Assigns (P)B3 Rating to Cl. B-1 Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of mortgage insurance credit risk transfer notes issued by Oaktown Re VI Ltd. Oaktown Re VI Ltd. is the first transaction issued under the Oaktown Re program in 2021, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by National Mortgage Insurance Corporation (NMI, 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, Oaktown Re VI 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: Oaktown Re VI Ltd. Cl. M-1A, Assigned (P)Baa2 (sf) Cl. M-1B, Assigned (P)Baa3 (sf) Cl. M-1C, Assigned (P)Ba2 (sf) Cl. M-2, Assigned (P)B2 (sf) Cl. B-1, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expect this insured pool's aggregate exposed principal balance to incur a baseline scenario-mean loss of 1.65%, a baseline scenario-median loss of 1.35%, and a loss of 15.24% at a stress level consistent with Moody's Aaa ratings. The aggregate exposed principal balance is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) the reinsurance coverage percentage. Reinsurance coverage percentage is 100% minus existing quota share reinsurance through unaffiliated insurer, if any. The existing quota share reinsurance applies to about 77.5% to 80% of unpaid principal balance of the reference pool, covering approximately 20% to 22.5% of risk in force. The ceding insurer has purchased quota share reinsurance from unaffiliated third parties, which provides proportional reinsurance protection to the ceding insurer for certain 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 its 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 regard 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 mortgage loans in the reference pool have an insurance coverage reporting date from July 1, 2019 through March 31, 2021. The reference pool consists of 141,760 prime, fixed- and adjustable-rate, one-to four-unit, first-lien fully-amortizing, predominantly conforming mortgage loans with a total insured loan balance of approximately $46 billion. There are 5,324 loans (4.26% of total unpaid principal balance) which were not underwritten through GSE guidelines. Moody's analyzed non-GSE eligible loans using Moody's private-label model to assess the loan default probability, which will result in a more conservative outcome than the GSE model. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 75% with a weighted average of 91.0%. The borrowers in the pool have a weighted average FICO score of 757, a weighted average debt-to-income ratio of 33.5% and a weighted average mortgage rate of 2.9%. The weighted average risk in force (MI coverage percentage net of existing reinsurance coverage) is approximately 19.4% of the reference pool unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing quota share reinsurance through unaffiliated parties. The weighted average LTV of 91.0% 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 STACR high LTV CRT transactions and slightly lower than recent comparable Mortgage Insurance CRT transactions. 100% of insured loans were covered by mortgage insurance at origination with 98.8% covered by BPMI and 1.2% covered by LPMI based on risk in force. Underwriting Quality Moody's took into account several key qualitative factors during the ratings process, including qualities of NMI's insurance underwriting, risk management and claims payment process, as well as the scope and results of the independent third-party due diligence review. Mortgage insurance underwriting Lenders submit mortgage loans to NMI for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without NMI re-underwriting the loan file. NMI issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Lenders eligible under this program must be pre-approved by NMI's risk management group and are subject to targeted internal quality assurance reviews. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. NMI performs independent validation of the entire loan file (underwriting file and closing package) on most of the mortgage loans underwritten through delegated program. As of June 2020, approximately 67% of the loans in NMI's overall portfolio are insured through delegated underwriting, of which 59% were subject to post-close validation and 33% through non-delegated underwriting. NMI broadly follows the GSE underwriting guidelines via DU/LP, subject to certain additional limitations and requirements. NMI performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans. NMI utilizes third party vendors in the quality assurance reviews as well as re-verifications and investigations. Vendors must meet stringent approval requirements. 10% of all third party reviewed loans deemed as having no findings, are evaluated by NMI's staff to ensure accuracy. Third-Party Review NMI engaged Wipro Opus Risk Solutions (Opus) 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 scope of the third-party review is weaker because the sample size was small (only 350 of the total loans, or 0.25% of the transaction population). The representative sample of 350 files was determined using the methodology below. Once the sample size was determined, the files were selected randomly to meet the final sample count of 350 files out of a total of 40,895 loan files available for sampling. In spite of the small sample size and a limited TPR scope for Oaktown Re VI Ltd., Moody's did not make an additional adjustment to the loss levels because, (1) approximately 25.4% of the insured loans were re-underwritten by the ceding insurer through the non-delegated underwriting channel, 74.6% of the insured loans were underwritten through delegated channels (the majority of which are subject to post-close validation by approved underwriting vendors), (2) the underwriting quality of the insured loans is monitored under the ceding insurer's stringent quality control system that satisfies GSE PMIER's requirements, and (3) MI policies will not cover any costs related to compliance violations. In addition, the TPR available sample does not cover a subset of pool that have MI coverage reporting date after February 2021, representing 22.4% of the pool by loan count. Moody's did not make any adjustment because Moody's found no material difference in credit characteristics between the post-February 2021 subset and the pre-February 2021 subset, including the percentage of loans with MI policies underwritten through non-delegated underwriting program, which ceding insurer requires full loan file and performs independent re-underwriting and quality assurance. Moody's took this into consideration in Moody's TPR review. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider also reviewed property valuation on 350 loans in the sample pool. The third-party review concluded a property grade of A for all loans. In the diligence sample of 350 files, an AVM was first ordered on all loans, in which 32 AVMs returned no results due to insufficient property information, and 6 AVMs indicate a variance greater than 10%. The AVM variance is calculated as difference between AVM value and the lesser of original appraisal or sales price. If the resulting negative variance of the AVM was greater than 10%, or if no results were returned, a 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 a field review was ordered on the property. If the field review was not able to be completed prior to the cutoff, the order was switched to collateral data analysis (CDA). If the resulting value of the AVM was greater than 90% and the forecast standard deviation was greater than 20%, then a CDA was ordered. Credit: The third-party diligence provider reviewed credit on 350 loans in the sample pool. The third-party diligence provider reviewed each mortgage loan file to determine the adherence to stated underwriting or credit extension guidelines, standards, criteria or other requirements provided by NMI. For GSE eligible mortgage loan files, the review of the Automated Underwriting System (AUS) output was also performed. Per the TPR report, 348 loans have credit grade A and 2 loans have a grade C. These grade C exceptions were due to DTI exceeding guideline or missing appraisal. Moody's did not make adjustment to Moody's losses for these exceptions because these were all GSE eligible loans underwritten to full documentation. Such exceptions will likely to be cured after transaction closing. 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. A total of 16 data fields were reviewed against the loan files to confirm the integrity of data tape information. As the TPR report suggests, there is one discrepancy finding under DTI. 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 GSE CRT transactions that Moody's have rated. The ceding insurer will retain the coverage level A and coverage level B-2. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 12.5-year bullet maturity and a sequential pay structure for the non-senior notes, resulting in a shorter expected weighted average life on the 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. Credit enhancement in this transaction is comprised of subordination provided by junior notes. The rated M-1A, M-1B, M-1C, M-2 and B-1 offered notes have credit enhancement levels of 5.00%, 3.65%, 2.85%, 2.10% and 1.85% respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. MI losses are allocated in a reverse sequential order starting with the coverage level B-3. Investment deficiency amount losses are allocated in a reverse sequential order starting with the class B-2 notes. 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 Class 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: 6.75%). 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, when combined with the income earned on the eligible investments, of approximately 70 days while the reinsurance trust account and eligible investments 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 (1) with respect to any class of notes, if the rating of that class of notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or (2) with respect to all classes of notes, if 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 and maintain in the premium deposit account the required PDA amount (see next paragraph) only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it will be obligated to deposit the required PDA amount for all classes of notes. 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 (but not yet distributed) on the eligible investments. Moody's believe the requirement that the PDA be funded only upon a rating trigger event 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 only 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 Consolidated Analytics, Inc., as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-3 has 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. As noted, 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. SOFR benchmark rate In this transaction, the notes' coupon is indexed to SOFR. Based on the transaction's synthetic structure, the particular choice of benchmark has no credit impact. Interest payments to the notes are made from income earned on the eligible investments in the reinsurance trust account and the coverage premium from the ceding insurer, which prevents the notes from incurring interest shortfalls as a result of increases in the benchmark index. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. OCEANVIEW MORTGAGE 2021-1: Moody's Gives (P)B3 Rating to B-5 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to fifty-six classes of residential mortgage-backed securities (RMBS) issued by Oceanview Mortgage Trust (OCMT) 2021-1. The ratings range from (P)Aaa (sf) to (P)B3 (sf). Oceanview Asset Selector, LLC is the sponsor of OCMT 2021-1, an inaugural securitization of performing prime jumbo mortgage loans backed by 447 first lien, fully amortizing, fixed-rate qualified mortgage (QM) loans, with an aggregate unpaid principal balance (UPB) of $385,853,144. The transaction benefits from a collateral pool that is of high credit quality, and is further supported by an unambiguous R&W framework, 100% third-party review (TPR) and a shifting interest structure that incorporates a subordination floor. As of the cut-off date, no borrower under any mortgage loan has entered into a COVID-19 related forbearance plan with the servicer. The seller, Oceanview Acquisitions I, LLC, indirectly acquired the mortgage loans from various third-party sellers through one or more affiliates of the seller. Both the seller and the sponsor are wholly-owned subsidiaries of Oceanview U.S. Holdings Corp. Community Loan Servicing, LLC (CLS) (f/k/a Bayview Loan Servicing, LLC) will service 100% of the mortgage loans. There is no master servicer in this transaction. The servicer will generally be required to fund principal and interest (P&I) advances and servicing advances unless such advances are deemed non-recoverable. A TPR firm verified the accuracy of the loan level information. The firm conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. Transaction credit strengths include the high credit quality of the collateral pool, the strong TPR results for credit, compliance and valuations, and the unambiguous R&W framework. Transaction credit weaknesses include having no master servicer to oversee the primary servicer, unlike typical prime jumbo transactions we have rated. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations and adjusted Moody's expected losses based on qualitative attributes, including the financial strength of the R&W provider and TPR results. The complete rating action are as follows. Issuer: Oceanview Mortgage Trust 2021-1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)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-25, 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. A-IO26*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary credit analysis and rating rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.15%, and reaches 2.87% at stress level consistent with Moody's Aaa rating. 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 increased its model-derived median expected losses by 10% (6.75% 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 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 regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the TPR and the R&W framework of the transaction. Collateral Description The pool characteristics are based on the April 1, 2021 cut-off tape. This transaction consists of 447 first lien, fully amortizing, fixed-rate QM loans, all of which have original terms to maturity of 20, 25 or 30 years, with an aggregate unpaid principal balance of $385,853,144. All of the mortgage loans are secured by first liens on one- to four-family residential properties, planned unit developments and condominiums. The mortgage loans are approximately 3 months seasoned and are backed by full documentation. Geographic concentration is relatively low where the three largest states in the transaction, California, Virginia and Texas account for 16.15%, 10.96%, and 8.51%, by UPB, respectively. Overall, the credit quality of the mortgage loans backing this transaction is similar to that of transactions issued by other prime issuers. The WA original FICO for the pool is 777 and the WA CLTV is 67.3%. None of the mortgage loans as of the cut-off date have an original principal balance that conformed to the guidelines of Fannie Mae and Freddie Mac at the time of origination, including mortgage loans with original loan amounts meeting the high-cost area loan limits established by the Federal Housing Finance Agency and were eligible to be purchased by Fannie Mae or Freddie Mac. As of the cut-off date, all of the mortgage loans were contractually current under the MBA method with respect to payments of P&I. As of the cut-off date, none of the borrowers of the mortgage loans are currently subject to a forbearance plan or are in the process of being subject to a forbearance plan, including as a result of COVID-19. In the event a borrower enters into a forbearance plan, including as a result of COVID-19, after the cut-off date, but prior to the closing date, such mortgage loan will be removed from the pool. Overall, the credit quality of the mortgage loans backing this transaction is similar to transactions issued by other prime issuers. Origination Quality Oceanview Acquisitions I, LLC is the seller and R&W provider for this securitization and is a wholly owned subsidiary of Oceanview Holdings Ltd. (together with its affiliates and subsidiaries Oceanview). Oceanview is a wholly owned subsidiary of Bayview Opportunity V Oceanview L.P., a pooled investment vehicle managed by Bayview Asset Management (Bayview or BAM). The seller does not originate residential mortgage loans or fund the origination of residential mortgage loans. Instead, the seller acquired the mortgage loans directly from Bayview Acquisitions LLC, an affiliate of the seller (affiliated loan purchaser), which in turn acquired the mortgage loans directly from third parties. The affiliated loan purchaser maintains eligibility criteria for use in the process of acquiring third-party originated loans and provides these criteria to third parties that sell mortgage loans to the affiliated loan purchaser to enable those third parties to determine whether mortgage loans they consider selling to the affiliated loan purchaser will meet such criteria. For this transaction, the acquisition criteria includes the affiliated loan purchaser's standard prime jumbo program. The mortgage loans acquired under this program do not meet the eligibility standards for purchase by Fannie Mae or Freddie Mac primarily due to loan size. This program is designed to target mortgagors with outstanding credit and reserves that are seeking a mortgage loan with flexible underwriting guidelines. All mortgage loans originated under this program are eligible for safe harbor protection under the ATR rules and a QM designation is in the loan file. Oceanview is managed by a seasoned group of mortgage veterans with industry tenure that averages over two decades. BAM is a fully integrated investment platform focused on investments in mortgage and consumer- related credit. Overall, Oceanview's non-agency originations team benefits from a connection to other parts of the Bayview organization. For example, along with CLS, Bayview has a full suite of originations capabilities including sales, processing, underwriting, closing and post-closing, capital markets, and outsourcing. Overall, the same functional teams that drive BAM's investment processes are resources for Oceanview. Oceanview utilizes its full time employees (FTEs) in concert with dedicated FTEs from affiliated BAM entities. This operating leverage is achieved vis-a-vis a fulfillment services agreement. However, because the non-agency program offered by Oceanview has been established only recently, there is no available performance information and more time is needed to assess Oceanview's ability to consistently produce high-quality mortgage loans. Servicing Arrangement Moody's assess the overall servicing arrangement for this pool as adequate, given the ability, scale and experience of CLS as a servicer. However, compared to other prime jumbo transactions which typically have a master servicer, servicer oversight for this transaction is relatively weaker. While third-party reviews of CLS' servicing operations will be conducted periodically by the GSEs, the Consumer Financial Protection Bureau (CFPB) and state regulators, such oversight may lack the depth and frequency that a master servicer would ordinarily provide. However, Moody's did not adjust Moody's expected losses for the weaker servicing arrangement due to the following: (1) CLS was established in 1999 and is an experienced primary and special servicer of residential mortgage loans, (2) CLS is an approved servicer for both Fannie Mae and Freddie Mac, (3) CLS had no instances of non-compliance for its 2019 Regulation AB or Uniformed Single Audit Program (USAP) independent servicer reviews, (4) CLS has an experienced management team and uses Black Knight's MSP servicing platform, the largest and most highly utilized mortgage servicing system, and (5) the R&W framework mandates reviews of poorly performing mortgage loans by a third-party if a threshold event occurs. Third-Party Review The transaction benefits from a TPR on 100% of the loans for regulatory compliance, credit and property valuation. 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. The loans that had exceptions to the originator's underwriting guidelines had significant compensating factors that were documented. Representations & Warranties Moody's assessed the R&W framework based on three factors: (a) the financial strength of the remedy 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 independent due diligence, custodial receipt, and property valuations, as well as any sponsor alignment of interest, to evaluate the overall exposure to loan defects and inaccurate information. The seller makes the loan level R&Ws for the mortgage loans. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. However, Moody's applied an adjustment in Moody's model analysis to account for the risk that the R&W provider (unrated) may be unable to repurchase defective loans in a stressed economic environment (similar to the economic experience in 2008-2009 when a steep decline in house prices triggered a financial crisis), given that it is a non-bank entity whose monoline business of mortgage origination and servicing is highly correlated with the economy. Transaction Structure OCMT 2021-1 has one pool with a shifting interest structure that benefits from a subordination floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. 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 1.00% of the cut-off date pool balance, and as subordination lock-out amount of 1.00% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. OHA CREDIT X-R: S&P Assigns Prelim BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement notes from OHA Credit Partners X-R Ltd., a CLO originally issued in December 2018 that is managed by Oak Hill Advisors 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 April 7, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 20, 2021 refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Issue the replacement class B-R and C-R notes at a lower spread than the original notes. -- Issue the replacement class E-R notes at a higher spread than the original notes. -- Combine the original class A-1, A-2a and A-2b notes into one class, the class A-R notes. -- Separate the original class D notes into class D-1R and D-2R notes, which are paid sequentially. -- Extend the reinvestment period and non-call period by approximately 2.35 years. -- Extend the stated maturity by approximately 3.35 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 OHA Credit Partners X-R Ltd./OHA Credit Partners X-R LLC Class A-R, $372.00 million: AAA (sf) Class B-R, $84.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-1R (deferrable), $30.00 million: BBB (sf) Class D-2R (deferrable), $10.50 million: BBB- (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Subordinated notes, $101.50 million: Not rated PRESTIGE AUTO 2019-1: S&P Affirms BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on nine classes and affirmed its ratings on five classes from Prestige Auto Receivables Trust 2016-2, 2017-1, 2018-1, and 2019-1. S&P said, "The rating actions reflect the transactions' collateral performance to date and our expectations regarding future collateral performance, including an upward adjustment in remaining expected cumulative net losses (CNLs) to account for the economic downturn related to COVID-19 pandemic. The actions also account for our view of each transaction's structure and the respective credit enhancement levels. Additionally, we incorporated other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the notes' creditworthiness is consistent with the raised and affirmed ratings." Table 1 Collateral Performance (%) (As of the March 2021 distribution date) Pool Current 60-plus days Monthly Series Mo. factor CNL delinquent Extension rate 2016-2 53 13.08 15.76 5.29 2.21 2017-1 43 20.39 12.00 4.47 2.33 2018-1 30 37.00 9.34 4.19 2.41 2019-1 20 54.99 6.40 4.09 2.88 Mo.--Month. CNL--Cumulative net loss. S&P said, "For all transactions, we factored in an upward adjustment to remaining losses that could result from elevated unemployment levels associated with current economy. The series under review have been performing better than our prior revised loss expectations. As a result, even with the upward adjustment, our revised lifetime loss expectations decreased for all series versus the previous times the transactions were reviewed." Table 2 CNL Expectations (%) Original Prior Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2016-2 13.00-13.75 16.70-17.00 up to 16.25 2017-1 13.00-13.75 13.75-14.25 13.25-13.75 2018-1 13.00-13.75 15.25-16.00 14.25-14.75 2019-1 13.25-14.00 18.75-19.75 17.00-18.00 (i)Series 2016-2, 2017-1, and 2018-1 as of February 2020, while series 2019-1 as of September 2020. (ii)As of April 2021. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. The transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all of the classes except the lowest-rated subordinate class. The transaction also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, and excess spread. As of the March 2021 distribution date, the overcollateralization levels for series 2017-1, 2018-1, and 2019-1 were at their targets of 12.90%, 14.50%, and 15.60% of current receivables, respectively. Series 2016-2 is at its target floor of 2.00% of the original pool balance. The reserve account is at its floor of 1.00% of initial receivables, which increases as a percentage of the pool as the pool amortizes. S&P believes the total credit support as a percentage of the outstanding pool's balance, compared with our current loss expectations, is adequate for the raised and affirmed ratings. Table 3 Hard Credit Support (%)(i) As of the March 2020 distribution date Total hard Current total hard credit support credit support Series Class at issuance (% of current) 2016-2 D 10.25 40.15 2016-2 E 8.00 22.93 2017-1 C 19.30 75.71 2017-1 D 10.65 33.26 2017-1 E 7.50 17.81 2018-1 B 34.50 89.50 2018-1 C 21.75 55.04 2018-1 D 12.00 28.69 2018-1 E 7.75 17.20 2019-1 A-3 42.70 80.98 2019-1 B 32.25 61.97 2019-1 C 20.25 40.15 2019-1 D 10.40 22.24 2019-1 E 7.75 17.42 (i)Consists of overcollateralization and a reserve account, as well as subordination for the higher tranches, and excludes excess spread that can also provide additional enhancement. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNLs for those classes for which hard credit enhancement alone without credit to the stressed excess spread was sufficient, in our opinion, to upgrade or affirm the notes. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted a sensitivity analysis for the series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectations." "In our view, the results demonstrated that all of the classes have adequate credit enhancement at the upgraded or affirmed rating levels. We will continue to monitor the transactions' performance to ensure that the credit enhancement remains sufficient to cover our CNL expectations under our stress scenarios for each of the rated classes." 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 RAISED Prestige Auto Receivables Trust Rating Series Class To From 2016-2 D AAA (sf) A+ (sf) 2016-2 E AAA (sf) BBB+ (sf) 2017-1 D AAA (sf) A (sf) 2017-1 E AA- (sf) BBB (sf) 2018-1 C AAA (sf) A+ (sf) 2018-1 D A (sf) BBB (sf) 2018-1 E BBB- (sf) BB (sf) 2019-1 B AA+ (sf) AA (sf) 2019-1 C A+ (sf) A (sf) RATINGS AFFIRMED Prestige Auto Receivables Trust Series Class Rating 2017-1 C AAA (sf) 2018-1 B AAA (sf) 2019-1 A-3 AAA (sf) 2019-1 D BBB (sf) 2019-1 E BB (sf) PSMC 2021-1: S&P Assigns 'B (sf)' Rating on Class B-5 Certs ----------------------------------------------------------- S&P Global Ratings assigned its ratings to PSMC 2021-1 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed-rate, fully amortizing mortgage loans secured by single-family residential properties (including townhouses), condominiums, and planned-unit developments to prime borrowers. S&P said, "After we assigned preliminary ratings on April 5, 2021, the collateral pool was updated to reflect the April cut-off date loan balances, as well as the six loans that were paid off and removed from the pool. The bond sizes were subsequently reduced to reflect the lower pool balance, with the credit enhancement and coupon unchanged for each class. The loss coverage estimates and final ratings assigned are unchanged from the preliminary ratings we assigned for all classes." 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 PSMC 2021-1 Trust Class A-1, $357,160,000: AAA (sf) Class A-2, $357,160,000: AAA (sf) Class A-3, $267,870,000: AAA (sf) Class A-4, $267,870,000: AAA (sf) Class A-5, $17,858,000: AAA (sf) Class A-6, $17,858,000: AAA (sf) Class A-7, $71,432,000: AAA (sf) Class A-8, $71,432,000: AAA (sf) Class A-9, $43,911,000: AAA (sf) Class A-10, $43,911,000: AAA (sf) Class A-11, $285,728,000: AAA (sf) Class A-12, $89,290,000: AAA (sf) Class A-13, $285,728,000: AAA (sf) Class A-14, $89,290,000: AAA (sf) Class A-15, $401,071,000: AAA (sf) Class A-16, $401,071,000: AAA (sf) Class A-17, $53,574,000: AAA (sf) Class A-18, $17,858,000: AAA (sf) Class A-19, $53,574,000: AAA (sf) Class A-20, $17,858,000: AAA (sf) Class A-21, $232,154,000: AAA (sf) Class A-22, $35,716,000: AAA (sf) Class A-23, $232,154,000: AAA (sf) Class A-24, $35,716,000: AAA (sf) Class A-25, $125,006,000: AAA (sf) Class A-26, $125,006,000: AAA (sf) Class A-X1, $401,071,000(i)(ii)(iii): AAA (sf) Class A-X2, $357,160,000(i)(ii)(iv): AAA (sf) Class A-X3, $267,870,000(i)(ii)(v): AAA (sf) Class A-X4, $17,858,000(i)(ii)(vi): AAA (sf) Class A-X5, $71,432,000(i)(ii)(vii): AAA (sf) Class A-X6, $43,911,000(i)(ii)(viii): AAA (sf) Class A-X7, $401,071,000(i)(ii)(iii): AAA (sf) Class A-X8, $53,574,000(i)(ii)(ix): AAA (sf) Class A-X9, $17,858,000(i)(ii)(x): AAA (sf) Class A-X10, $232,154,000(i)(ii)(xi): AAA (sf) Class A-X11, $35,716,000(i)(ii)(xii): AAA (sf) Class B-1, $7,143,000: AA (sf) Class B-2, $4,412,000: A- (sf) Class B-3, $3,361,000: BBB- (sf) Class B-4, $1,471,000: BB- (sf) Class B-5, $1,261,000: B (sf) Class B-6, $1,470,852: not rated Class R, N/A: not rated (i)Notional balance. (ii)The class A-X1, A-X2, A-X3, A-X4, A-X5, A-X6, A-X7, A-X8, A-X9, A-X10, and A-X11 certificates are interest-only certificates. (iii)The class A-X1 and A-X7 certificates will each accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5, A-9, A-19, A-20, A-21 and A-22 certificates. (iv)The class A-X2 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5, A-19, A-20, A-21 and A-22 certificates. (v)The class A-X3 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-21 and A-22 certificates. (vi)The class A-X4 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5 certificates. (vii)The class A-X5 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the classes A-19 and A-20 certificates. (viii)The class A-X6 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-9 certificates. (ix)The class A-X8 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-19 certificates. (x)The class A-X9 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-20 certificates. (xi)The class A-X10 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-21 certificates. (xii)The class A-X11 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-22 certificates. N/A--Not applicable. RIN IV: Moody's Assigns (P)Ba3 Rating to $11M Class E Notes ----------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by RIN IV Ltd. (the "Issuer" or "RIN IV"). Moody's rating action is as follows: US$248,000,000 Class A Floating Rate Senior Notes due 2033 (the "Class A Notes"), Assigned (P)Aaa (sf) US$56,000,000 Class B Floating Rate Senior Notes due 2033 (the "Class B Notes"), Assigned (P)Aa3 (sf) US$24,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2033 (the "Class C Notes"), Assigned (P)A3 (sf) US$20,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2033 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$11,000,000 Class E Deferrable Floating Rate Mezzanine Notes due 2033 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the project finance collateralized loan obligations' (PF CLO) portfolio and structure. RIN IV is a managed cash flow PF CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 43% of the portfolio to be in project finance loans in the electricity (gas) contracted or merchant sectors. At least 95.0% of the portfolio must consist of senior secured loans and eligible investments, up to 5% of the portfolio may consist of second lien loans or permitted debt securities (i.e., senior secured bonds, senior secured notes and high-yield bonds), and up to 4% of the portfolio may consist of senior unsecured loans. Moody's expect the portfolio to be approximately 95% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the "Portfolio Advisor") 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 four year reinvestment period. Thereafter, the Portfolio Advisor is not permitted to purchase additional assets, and unscheduled principal payments and proceeds from the sale of assets will be used to amortized the Rated Notes in sequential order. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's ratings of the Rated Notes also took into account the concentrated nature of the portfolio. The PF CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 43% of the portfolio's assets may be in the Electricity (Gas) Contracted or Merchant sectors. The four largest sub-sectors could constitute up to 55% of the portfolio, with the largest sub-sector potentially being up to 25% of the portfolio. Additionally, the portfolio may only have 38 obligors with the largest obligor potentially comprising up to 4.50% of the portfolio. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the PF CLO portfolio's overall credit quality. In Moody's analysis, Moody's considered several stress scenarios assuming higher asset correlation. Moody's modeled the transaction by applying the Monte Carlo simulation framework in Moody's CDOROM(TM), as described in the "Project Finance and Infrastructure Asset CDOs Methodology" rating methodology published in April 2020 and by using a cash flow model which estimates expected loss on a CLO's tranche, 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. In Moody's analysis, Moody's assumed a 1.5 year lag on recoveries for defaulted securities. To account for the recovery lag, Moody's also conducted additional analysis in which the certainty equivalent recovery rate for each tranche was determined using the base case portfolio and the recovery rate was then applied with the default distribution in the cash flow model. This scenario was an importation consideration in the assigned ratings. Moody's also applied a default probability stress on the WARF covenant listed for the project finance pool in accordance with Footnote 12 in " Project Finance and Infrastructure Asset CDOs Methodology ". For project finance loans with a WARR of 75%, the default probability stress is 120% and for project finance loans with a WARR of 65%, the default probability stress is approximately 57.1%. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 2002 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2608 Weighted Average Spread (WAS): 3.38% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 69.9% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 42% Weighted Average Life (WAL): 8 years Second Lien Loans, Permitted Debt Securities, Senior Unsecured Loans: 4.5% Total Obligors: 38 Largest Obligor: 4.50% Largest 5 Obligors: 21.5% B2 Default Probability Rating Obligations: 17.0% B3 Default Probability Rating Obligations: 10.0% PF Infrastructure Obligors: 50.0% Corporate Power Infrastructure Obligors: 8.0% Power Infrastructure Obligors: 50.5% 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 methodologies used in these ratings were "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 Portfolio Advisor's investment decisions and management of the transaction will also affect the performance of the Rated Notes. RR 2: S&P Assigns BB- (sf) Rating on $30MM Class D-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1L, A-1R, A-2L, A-2R, B-R, C-R, and D-R replacement notes and A-1L and A-2L loans from RR 2 Ltd./RR 2 LM LLC, a CLO originally issued in October 2017 that is managed by Redding Ridge Asset Management LLC. S&P withdrew its ratings on the original class A-1a, A-1b, A-2, B, C, and D notes following payment in full on the April 12, 2021 refinancing date. The replacement notes and loans will be issued via a supplemental indenture. On the April 12, 2021 refinancing date, the proceeds from the class A-1L, A-1R, A-2L, A-2R, B-R, C-R, and D-R replacement notes and A-1L and A-2L loans issuances were used to redeem the original class A-1a, A-1b, 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 outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-1L, A-1R, A-2L, A-2R, B-R, C-R, and D-R notes and A-1L and A-2L loans will be issued at a lower spread than the originally issued classes, respectively. -- The class A-1b notes are being removed from the transaction. -- The stated maturity will be extended seven years, and the reinvestment period will be extended four years. -- Workout loan-related concepts were added. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Assigned RR 2 Ltd./RR 2 LM LLC Class A-1L loans(i), $512.00 million: AAA (sf) Class A-1L(i), $0.00: AAA (sf) Class A-1R, $0.00: AAA (sf) Class A-2L loans(i), $88.00 million: AA (sf) Class A-2L(i), $0.00: AA (sf) Class A-2R, $0.00: AA (sf) Class B-R (deferrable), $56.00 million: A (sf) Class C-R (deferrable), $48.00 million: BBB- (sf) Class D-R (deferrable), $30.00 million: BB- (sf) Subordinated notes, $86.26 million: NR (i)The class A-1L loans can be converted into a maximum of $512 million in A-1L notes, and the class A-2L loans can be converted into a maximum of $88 million in A-2L notes. NR--Not rated. Ratings Withdrawn RR 2 Ltd./RR 2 LM LLC Class A-1a: to NR from 'AAA (sf)' Class A-1b: to NR from NR Class A-2: to NR from 'AA (sf)' Class B: to NR from 'A (sf)' Class C: to NR from 'BBB- (sf)' Class D: to NR from 'BB- (sf)' NR--Not rated. SEQUOIA MORTGAGE 2021-3: Fitch to Rate B-4 Certs 'BB-(EXP)' ----------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2021-3 (SEMT 2021-3). DEBT RATING ---- ------ Sequoia Mortgage Trust 2021-3 A-1 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-2 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-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-IO1 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-IO2 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 A-IO26 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 B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 392 loans with a total balance of approximately $355.92 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 392 full documentation loans, totaling $355.92 million and seasoned approximately one month in aggregate. The borrowers have a strong credit profile (776 model FICO and 29% DTI) and moderate leverage (76.1% sLTV). The pool consists of 96.3% of loans where the borrower maintains a primary residence, while 3.7% is a second home. Additionally, 90.9% of the loans were originated through a retail channel, and 100% are designated as QM loan. 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. Macro or Sector Risks (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario, or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of COVID-19 vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." ESG Relevance Score (Positive): The transaction has an ESG Relevance Score of '4[+]' for Exposure to Governance as a result of the strong counterparties and well controlled operational considerations. Operational risk is well controlled for in this transaction. Redwood is assessed as an 'Above Average' aggregator and primary servicing functions will be majority performed by Select Portfolio Servicing, which Fitch rates 'RPS1-'. 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. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative 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 41.3% 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. 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 positive home price growth of 10% with no assumed overvaluation. 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. 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. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% reduction to the loan's probability of default. This/These adjustment(s) resulted in a less than 25bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY The data was considered to be adequate in support of the rating. ESG CONSIDERATIONS Sequoia Mortgage Trust 2021-3 has an ESG Relevance Score of '4[+]' for Exposure to Governance as a result of the strong counterparties and well controlled operational considerations. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. SIGNAL PEAK CLO 1: S&P Assigns Prelim B- (sf) Rating on F-R3 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Signal Peak CLO 1 Ltd./Signal Peak CLO 1 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 April 13, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Signal Peak CLO 1 Ltd./Signal Peak CLO 1 LLC Class X, $5.340 million: AAA (sf) Class A-R3, $286.650 million: AAA (sf) Class B-R3, $59.140 million: AA (sf) Class C-R3, $22.750 million: A (sf) Class D-R3, $27.320 million: BBB (sf) Class E-R3, $20.475 million: BB- (sf) Class F-R3, $5.970 million: B- (sf) Subordinated notes, 44.500 million: Not rated SLM STUDENT 2007-7: Fitch Affirms B Rating on 2 Tranches -------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding classes of SLM Student Loan Trust 2007-7 and revised their Rating Outlooks to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- SLM Student Loan Trust 2007-7 A-4 78444EAD1 LT Bsf Affirmed Bsf B 78444EAE9 LT Bsf Affirmed Bsf The class A-4 notes are not paid in full prior to legal final maturity under Fitch's maturity base case stresses, which did not change since Fitch's last review. All the notes for this transaction are rated 'Bsf', one category higher than their current model-implied ratings of 'CCCsf', supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreement established by Navient, which allows the servicer to purchase loans from the trust. Navient has the option but not the obligation to lend to the trust; thus, Fitch does not give quantitative credit to this agreement. However, this agreement provides qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. Navient Corporation is currently rated 'BB-' with a Stable Outlook by Fitch. Although the class B notes have a legal final maturity date beyond 2035, in an event of default (EOD) caused by the senior class that is not paid in full by maturity, the subordinate class will not receive principal or interest payments. The legal final maturity date of the class A-4 notes is Jan. 25, 2022. Given that the legal final maturity date of the class A-4 notes is less than 10 months away, its bond factor is at 48.95% and the pool factor is at 16.51%, Fitch has revised the Outlook of all outstanding classes to Negative from Stable to reflect the direction the ratings are likely to move should no remedy be implemented with regard to the legal final maturity date of the class A-4 notes. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 29.25% under the base case scenario and an 87.75% default rate under the 'AAAsf' credit stress scenario. Fitch is maintaining a sustainable constant default rate (sCDR) of 4.5% and a sustainable constant prepayment rate (voluntary & involuntary prepayments; sCPR) of 11.5% in cash flow modeling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The trailing 12-month (TTM) levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 7.03%, 20.63% and 28.51%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines and increases to the above assumptions are modeled as per criteria. The borrower benefit is assumed to be approximately 0.03%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of December 2020, approximately 92.76% of the student loans are indexed to LIBOR, and 7.24% are indexed to the 91-day T-Bill rate. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread and, for the class A notes, subordination. As of December 2020, senior and total parity ratios (including the reserve) are 123.64% (19.12% CE) and 100.61% (0.60% CE). Liquidity support is provided by a reserve account initially sized at 0.25% of the outstanding pool balance and is currently sized at its floor of $1,951,617. The trust will continue to release cash as long as 100.0% total parity is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Fitch also confirmed with the servicer the availability of a business continuity plan to minimize disruptions in the collection process during the coronavirus pandemic. Coronavirus Impact: Fitch assessed the sCDR and sCPR under Fitch's coronavirus baseline (rating) scenario by assuming a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transaction. Fitch maintained the sCDR and sCPR, reflecting the conservative levels of these assumptions. Fitch's downside coronavirus scenario, as a rating sensitivity, was not run for this transaction, since the current ratings are at 'Bsf'. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Current Ratings: class A-4 'Bsf', class B 'Bsf' (Model-Implied Ratings: class A-4 'CCCsf', class B 'CCCsf') Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B '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 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. THOMPSON PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Thompson Park CLO Ltd./Thompson Park CLO LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of April 14, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Thompson Park CLO Ltd./Thompson Park CLO LLC Class A-1, $286.000 million: AAA (sf) Class A-2, $30.000 million: AAA (sf) Class B-1, $46.250 million: AA (sf) Class B-2, $17.750 million: AA (sf) Class C (deferrable), $30.000 million: A (sf) Class D (deferrable), $30.000 million: BBB- (sf) Class E (deferrable), $19.500 million: BB- (sf) Subordinated notes, $48.525 million: Not rated VENTURE 42: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Venture 42 CLO Ltd./Venture 42 CLO LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of April 12, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Venture 42 CLO Ltd./Venture 42 CLO LLC Class X, $2.00 million: AAA (sf) Class A-1A, $295.00 million: AAA (sf) Class A-1B, $10.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $51.50 million: Not rated VERUS 2021-2: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2021-2's mortgage-backed notes. The note issuance is an RMBS securitization back by primarily first-lien, fixed-, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods and/or balloon terms. 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 738 loans backed by 818 properties, which are primarily non-qualified mortgage (non-QM/ATR compliant) and ATR-exempt loans. The preliminary ratings are based on information as of April 9, 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, Invictus Capital Partners; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned Verus Securitization Trust 2021-2(i) Class A-1, $243,760,000: AAA (sf) Class A-2, $21,167,000: AA (sf) Class A-3, $32,945,000: A (sf) Class M-1, $16,217,000: BBB (sf) Class B-1, $14,851,000: BB- (sf) Class B-2, $7,681,000: B- (sf) Class B-3, $4,780,529: NR Class A-IO-S, notional amount(iv): NR Class XS, notional amount(iv): NR Class DA, amount not applicable: NR Class R, amount not applicable: NR (i)The collateral and structural information reflect the private placement memorandum dated April 8, 2021; the preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the loans' stated principal balance. NR--Not rated. WELLS FARGO 2017-C38: Fitch Lowers Class F Certs to 'CCC' --------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 13 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2017-C38 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 A-2 95001MAB6 LT AAAsf Affirmed AAAsf A-3 95001MAC4 LT AAAsf Affirmed AAAsf A-4 95001MAE0 LT AAAsf Affirmed AAAsf A-5 95001MAF7 LT AAAsf Affirmed AAAsf A-S 95001MAG5 LT AAAsf Affirmed AAAsf A-SB 95001MAD2 LT AAAsf Affirmed AAAsf B 95001MAK6 LT AA-sf Affirmed AA-sf C 95001MAL4 LT A-sf Affirmed A-sf D 95001MAP5 LT BBB-sf Affirmed BBB-sf E 95001MAR1 LT BB-sf Affirmed BB-sf F 95001MAT7 LT CCCsf Downgrade B-sf X-A 95001MAH3 LT AAAsf Affirmed AAAsf X-B 95001MAJ9 LT A-sf Affirmed A-sf X-D 95001MAM2 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrade to class F and Negative Outlooks for classes D and E reflect loss expectations that have increased primarily due to the increased number of specially serviced loans and Fitch Loans of Concern (FLOCs). Fitch has designated 18 FLOCs (20.8%), including three specially serviced loans (4.3%); of which two (7.1%) are in the top 15. Fitch's current ratings are based on a base case loss expectation of 4.7%. The Negative Outlooks reflect losses that could reach 6.5% when factoring additional pandemic-related stresses. The largest loan in special servicing is the Highland Park Mixed Use loan (1.7%). The loan transferred to special servicing in June 2020 due to imminent default. The largest tenant at issuance (Equinox, 40.2% of net rentable area) vacated in 2020 and current property occupancy was reported at 41.3%. A receiver has been appointed and the servicer is pursuing foreclosure. Fitch's loss expectations are based on a haircut to the most recent appraisal. The largest FLOC and contributor to expected losses is the Starwood Capital Group Hotel Portfolio (4.5%), which is secured by a portfolio of 65 hotels totaling 6,370-keys located across 21 separate states. The properties are primarily located in California, Texas, and Indiana. The portfolio includes 14 different franchises including Marriott, Hilton, Larkspur Landing (Starwood), IHG and Choice Hotels. The hotel portfolio has experienced a decline in performance due to the ongoing pandemic. Occupancy has dropped to 53.4% as of September 2020 from 73.1% at YE 2019 and the DSCR has dropped to 0.93x as of September 2020 from 2.73x in 2019. A loan modification granting relief was approved for the portfolio. The terms include: three months of deferred non-tax, non-insurance, and non-ground rent reserves, and ability to utilize non-tax, non-insurance, and non-ground rent reserve funds towards three months of debt service payments. Repayment is to occur over a 12-month period, currently scheduled to commence with the February 2021 payment. Fitch's analysis includes a 26% stress to the YE 2019 NOI due to continued expected declines in performance. The second largest FLOC is the Raleigh Marriott City Center (2.6%). It is secured by a 400-room full-service hotel proximate to the Raleigh, NC CBD. The subject's occupancy, ADR and RevPAR were reported at 22.9%, $154 and $35, respectively, at YE 2020. This compares to 75.5%, $161 and $121, respectively at issuance. Given the nature of the subject property, 2021 performance is expected to continue facing challenges due to the pandemic. The lender has approved COVID-19 relief for the loan, allowing the use of FF&E balances to make three monthly debt service payments and defer six months of FF&E contributions. The other FLOCs are all outside of the Top 15 and include two specially serviced hotel loans (Townplace Suites - VA and Hilton Garden Inn - Ames; combined 2.5%); one specially serviced mixed use property (Highland Park Mixed Use: 1.7%); 10 performing hotel loans (7.2%); two retail loans (Cooper Street Retail and 35 North Raymond Avenue: 1.3%); and two multifamily loans (Oakbridge Apartments and Stonefield place apartments: 0.9%), that have had performance declines as a result of reduced rent collections due to the pandemic. Limited Change to Credit Enhancement: As of the March 2021 remittance, the pool's aggregate principal balance has been reduced by 3.6% to $1.113 billion from $1.154 billion at issuance. Twenty two loans (57.2% of the pool) are interest only for the full loan term, including 12 loans (52.1% of the pool) within the top 15. Twelve loans (16.0% of the pool) have partial interest only payments then balloon, including two loans (5.7% of the pool) within the top 15. Of the loans with partial interest only payments, nine (7.6% of the pool) have entered their respective amortization periods. The remainder of the loans (61.3% of the pool) in the pool are balloon. Additional Stresses Applied due to Coronavirus Exposure: Loans secured by retail, hotel and multifamily properties represent 24.5% of the pool (23 loans), 16.9% (14 loans) and 1.4% (three loans), respectively. The retail loans have a weighted average (WA) NOI DSCR of 2.52x and can withstand an average 53.9% decline to NOI before DSCR falls below 1.00x. The hotel loans have a WA NOI DSCR of 2.12x and can withstand an average 47.7% decline to NOI before DSCR falls below 1.00x. The multifamily loans have a WA NOI DSCR of 1.48x and can withstand an average 32.4% decline to NOI before DSCR falls below 1.00x. Fitch's base case analysis applied additional coronavirus-related stresses on nine retail loans (7.8%), fourteen hotel loans (16.9%) and two multifamily loan (0.9%) to account for potential cash flow disruptions due to the coronavirus pandemic. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-2 through C reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Rating Outlook on classes D and E reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs, which include three specially serviced loans. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. -- Upgrade of the 'BBB-sf' class is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'BB-sf' class F is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or if there is sufficient CE, which would likely occur when the senior classes pay off and if the non-rated classes are not eroded. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-2 through A-S and the interest-only classes X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. -- Downgrades to classes B, C, D, E, X-B and X-D are possible should performance of the FLOCs continue to decline; should loans susceptible to the coronavirus pandemic not stabilize; and/or should further loans transfer to special servicing. The Rating Outlooks on class D and E may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. A further downgrade to class F may occur as losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks 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. WFRBS COMMERCIAL 2011-C3: Moody's Cuts Rating on 2 Tranches to Ca ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and downgraded the ratings on two classes in WFRBS Commercial Mortgage Trust 2011-C3, Commercial Mortgage Pass-Through Certificates, Series 2011-C3 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Jun 9, 2020 Affirmed Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Jun 9, 2020 Affirmed Aa1 (sf) Cl. C, Affirmed A1 (sf); previously on Jun 9, 2020 Affirmed A1 (sf) Cl. D, Downgraded to Ca (sf); previously on Jun 9, 2020 Downgraded to Caa1 (sf) Cl. E, Affirmed C (sf); previously on Jun 9, 2020 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jun 9, 2020 Affirmed C (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jun 9, 2020 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Jun 9, 2020 Downgraded to Caa3 (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on three P&I classes (Cl. A-4, Cl. B, and Cl. C) were affirmed due to the share of defeasance (21.5% of the pool) and the transactions 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), being within acceptable ranges. The ratings on classes E and F were affirmed because the ratings are consistent with Moody's expected loss. The rating on one P&I class, Cl. D, was downgraded due to higher anticipated losses and increased interest shortfall risk driven by the significant exposure to delinquent loans secured by regional mall loans. Specially serviced loans represent 50.4% of the pool, all of which are secured by regional malls. The three delinquent mall loans include Park Plaza (26.6% of the pool), Oakdale Mall (17.0% of the pool) and Hampshire Mall (6.9% of the pool) and are all more than 90 days delinquent. All three properties were already experiencing declining performance prior to 2020. Furthermore, significant appraisal reductions have been recognized of between 27% to 97% of the respective loan balance on these three loans. As a result of the significant appraisal reductions, interest shortfalls have significantly increased and Moody's anticipates these shortfalls will continue and may increase from their current levels due the performance of these loans. The rating on IO class, Cl. X-A, was affirmed based on the credit quality of the referenced classes. The rating on the IO class, Cl. X-B, was downgraded based on the credit quality of the 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 37.9% of the current pooled balance, compared to 14.5% at Moody's last review. Moody's base expected loss plus realized losses is now 7.4% of the original pooled balance, compared to 7.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at https://bit.ly/2OLbnPV. 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, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 50% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled 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 classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the March 15, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 80.6% to $280.3 million from $1.45 billion at securitization. The certificates are collateralized by 20 mortgage loans ranging in size from less than 1% to 26.6% of the pool, with the top ten loans (excluding defeasance) constituting 76.5% of the pool. Eight loans, constituting 21.5% 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 5, compared to 9 at Moody's last review. As of the March 2021 remittance report, loans representing 50% were current or within their grace period on their debt service payments. Nine loans, constituting 28% 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. Three loans have been liquidated from the pool, resulting in a minimal aggregate realized loss of $527,405. Three loans, constituting 50.4% of the pool, are currently in special servicing. Only one of the specially serviced loans, representing 6.9% of the pool, transferred to special servicing since March 2020. The largest specially serviced loan is the Park Plaza Loan ($74.4 million -- 26.6% of the pool), which is secured by a three-story, 283,000 square foot (SF), enclosed regional mall located in Little Rock, Arkansas. Dillard's anchors the mall, occupying two boxes on the east and west wings of the property, and is not included as part of the collateral. The largest collateral tenants include H&M (10.4% of the net rentable area (NRA); lease expiration in 2028) and Forever 21 (8.8% of the NRA; lease expiration in 2023). As of June 2020, the collateral was 82% leased, compared to 98% in September 2019. The loan transferred to special servicing in June 2019 for imminent monetary default. The property's net operating income (NOI) has declined since 2012 and the year-end 2019 NOI was approximately 28% lower than in 2012. The decline in NOI is due to lower rental revenue driven by tenant departures, including Aeropostale, The Limited, Wet Seal, Payless Shoe Store, Abercrombie & Fitch, Foot Locker, and Lane Bryant. Additionally, Gap stores and Banana Republic, representing an aggregate 9% of the collateral NRA, vacated in January 2020. Furthermore 2019 mall store sales, as reported by the Sponsor, declined to $314 per square foot (PSF) from $319 in 2018 and $330 in 2017. The loan matures in April 2021 and the Sponsor, CBL & Associates Limited Partnership ("CBL" ), disclosed they have discontinued potential modification discussions and anticipate cooperating with the lender in foreclosure. The loan is last paid through its March 2020 payment date. The loan has amortized 25% since securitization, however, the servicer has recognized an appraisal reduction of over $48 million. Due to the property's continued decline in performance, Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Oakdale Mall Loan ($47.6 million -- 17.0% of the pool), which is secured by a 709,000 SF enclosed regional mall located in Johnson City, New York. The mall is anchored by a JC Penney (13% of NRA; lease expiration July 2025) and Burlington Coat Factory (12% of NRA; lease expiration August 2023). Three anchor tenants have vacated since securitization; non-collateral Sears (vacated in September 2017), a ground leased Macy's (April 2018) and Bon Ton (Summer 2018) and all three spaces remain vacant. As of August 2019, the property was only 43% leased, compared to 76% leased in December 2018, 85% leased in December 2017 and 93% leased at securitization. Furthermore the 2019 comparable inline sales were less than $300 per square foot. The loan was transferred to special servicing in July 2018 due to imminent monetary default and the servicer has recognized an appraisal reduction of $45.9 million. The special servicer obtained title to the property via deed in lieu in September 2020. Moody's anticipates a significant loss on this loan. The third largest specially serviced loan is the Hampshire Mall Loan ($19.3 million -- 6.9% of the pool), which is secured by an approximately 342,500 SF portion of a 462,000 SF regional mall located in Hadley, Massachusetts, three miles south of the UMASS-Amherst campus. Major tenants at the property include J.C. Penney, Cinemark Theaters, Dick's Sporting Goods, Trader Joe's, PetSmart, JoAnn Fabrics, PiNZ, and Target (which is not a part of the collateral). The site was developed with two single story buildings, the main mall building constructed in 1978, and a freestanding pad (10,000 SF) constructed for Trader Joe's in 2003. The Target parcel (126,000 SF), which is attached to the mall was also constructed in 2003. The collateral was 85% leased as of March 2020, compared to 80% in December 2017 and 72% in December 2016. The property was between 72% and 80% leased from 2012-2016. In addition to the long standing movie theater and roller skating rink, the property has attracted more entertainment tenants since 2016 including a bowling alley and axe throwing tenant. The loan is sponsored by Pyramid Management Group. While the property's performance has improved in recent years with the 2019 NOI up over 30% since 2016, the loan transferred for monetary default at the borrower's request as a result of the coronavirus pandemic. The loan has amortized 22% since securitization and matures in April 2021. The loan is last paid through its April 2020 payment date. As of the March 2021 remittance statement cumulative interest shortfalls were $5.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. 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 92% of the pool, and full or partial year 2020 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 80%, compared to 78% 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 15.7% 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 1.43X and 1.43X, respectively, compared to 1.57X and 1.47X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans not in special servicing represent 17.1% of the pool balance. The largest loan is the White Flint Plaza Loan ($30.7 million -- 10.9% of the pool), which is secured by a grocery-anchored retail center located in Kensington, Maryland, approximately 12 miles northwest of the Washington, DC central-business district (CBD). The property was anchored by Shoppers Foodwarehouse (31% of the NRA) until February 2020 when United Natural Foods (UNFI), the parent company of Shoppers, closed twelve stores across Maryland, including this location. As of December 2020, the property was 57% leased, compared to 68% leased in March 2020. Furthermore, the property faces significant near term rollover risk with two of the next three largest tenants totaling 18% of the NRA having lease expiration dates prior to April 2022. These tenants include HomeGoods and Advance Auto Parts. In February 2021, grocery chain Aldi signed a lease for a 21,600 SF of the Shoppers space. The loan has a scheduled maturity date in June 2021. The second largest loan is the Walnut Creek Retail Loan ($9.7 million -- 3.5% of the pool), which is secured by a strip retail center located in Walnut Creek, California, 17 miles northeast of the Oakland CBD. The property is fully leased to four tenants, including OfficeMax and Goodwill. Excluded from the collateral is Public Storage's 156,000 SF self storage facility, which occupies the lower three levels of the center. This loan is scheduled to mature in May 2021. Moody's LTV and stressed DSCR are 124% and 0.94X, respectively, compared to 111% and 1.05X at the last review. The third largest loan is the Rockvale MHC Loan ($7.6 million -- 2.7% of the pool), which is secured by a manufactured housing community located in Janesville, Wisconsin, 50 miles southeast of Madison and eight miles north of the Illinois border. The property was 85% leased in September 2020, compared to 88% in December 2019 and 92% in December 2018. This loan is scheduled to mature in May 2021. Moody's LTV and stressed DSCR are 60% and 1.62X, respectively, compared to 62% and 1.58X at the last review. [*] Fitch Affirms 39 Classes From Six CREL CDOs ----------------------------------------------- Fitch Ratings, on April 7, 2021, upgraded one, downgraded two and affirmed 39 classes from six commercial real estate loan (CREL) collateralized debt obligations (CDOs). These six transactions represent Fitch's entire portfolio of CREL CDO transactions. DEBT RATING PRIOR ---- ------ ----- RAIT CRE CDO I Ltd/LLC C 751020AD0 LT CCCsf Affirmed CCCsf D 751020AE8 LT Csf Affirmed Csf E 751020AF5 LT Csf Affirmed Csf F 751020AG3 LT Csf Affirmed Csf G 751020AH1 LT Csf Affirmed Csf H 751020AJ7 LT Csf Affirmed Csf J 751020AL2 LT Csf Affirmed Csf Nomura CRE CDO 2007-2, Ltd./LLC D Fltg Notes Due 2042 65537HAF4 LT Dsf Affirmed Dsf E Fltg Notes Due 2042 65537HAG2 LT Csf Affirmed Csf F Fltg Notes Due 2042 65537HAH0 LT Csf Affirmed Csf G Fltg Notes Due 2042 65537HAJ6 LT Csf Affirmed Csf H Fltg Notes Due 2042 65537HAK3 LT Csf Affirmed Csf J Fltg Notes Due 2042 65537HAL1 LT Csf Affirmed Csf K Fltg Notes Due 2042 65537HAM9 LT Csf Affirmed Csf L Fltg Notes Due 2042 65537GAA7 LT Csf Affirmed Csf M Fltg Notes Due 2042 65537GAB5 LT Csf Affirmed Csf N Fltg Notes Due 2042 65537GAC3 LT Csf Affirmed Csf O Fltg Notes Due 2042 65537GAD1 LT Csf Affirmed Csf CapitalSource Real Estate Loan Trust 2006-A B 140560AC7 LT BBBsf Upgrade BBsf C 140560AD5 LT Bsf Affirmed Bsf D 140560AE3 LT CCCsf Affirmed CCCsf E 140560AF0 LT CCCsf Affirmed CCCsf F 140560AG8 LT Csf Affirmed Csf G 140560AH6 LT Csf Affirmed Csf H 140560AJ2 LT Csf Affirmed Csf J 140560AK9 LT Csf Affirmed Csf Gramercy Real Estate CDO 2005-1, Ltd./LLC J 385000AK0 LT Dsf Affirmed Dsf K 385000AL8 LT Csf Affirmed Csf N-Star REL CDO VI, Ltd./LLC J LT Csf Affirmed Csf K LT Csf Affirmed Csf N-Star REL CDO VIII, Ltd./LLC B 62940FAD1 LT CCCsf Affirmed CCCsf C 62940FAE9 LT Csf Downgrade CCsf D 62940FAF6 LT Csf Downgrade CCsf E 62940FAG4 LT Csf Affirmed Csf F 62940FAH2 LT Csf Affirmed Csf G 62940FAJ8 LT Csf Affirmed Csf H 62940FAK5 LT Csf Affirmed Csf J 62940BAA6 LT Csf Affirmed Csf K 62940BAB4 LT Csf Affirmed Csf L 62940BAC2 LT Csf Affirmed Csf M 62940BAE8 LT Csf Affirmed Csf N 62940BAF5 LT Csf Affirmed Csf KEY RATING DRIVERS High Loss Expectations; Concentration and Adverse Selection: The affirmations reflect the continued high loss expectations and increased concentration and adverse selection of the remaining collateral. Due to the concentrated nature of the remaining collateral pools, a look-through analysis was performed for each CREL CDO transaction. The six transactions have two to 14 assets remaining in their collateral pools; these assets include CREL interests (whole loans/A-notes, B-notes, mezzanine loans and preferred equity positions) and rated securities (CMBS, RMBS, CREL CDO and CRE CDO bonds). The downgrades of classes C and D in N-Star REL CDO VIII to 'Csf' from 'CCsf' reflect a greater certainty of loss; default of these classes is considered inevitable as they are reliant on 'Csf' rated collateral for repayment. The remaining five assets consist of three preferred equity positions (88.6%), one mezzanine loan (2.8%) and one CREL CDO bond (8.6%) rated 'Csf' by Fitch. Fitch modeled significant to full losses on these CRE loans as they are either highly leveraged, subordinate debt positions and/or non-cash flowing property types with minimal to no recoveries expected. Rating Cap: The upgrade of class B in CapitalSource Real Estate Loan Trust 2006-A to 'BBBsf' from 'BBsf' reflects increased credit enhancement since Fitch's last rating action and expected continued amortization; the class' CE is substantial at 99%. The ratings of classes C, D and E were capped to reflect the high concentration of healthcare loans, comprising 64.9% of the remaining pool, and their reliance on the Miller Portfolio loan (62.5%) for repayment. The Miller Portfolio is comprised of 22 cross-collateralized and cross-defaulted loans secured by a portfolio of 28 healthcare properties totaling 2,070 beds, which include nine assisted living facilities and 19 skilled nursing facilities, located primarily in secondary markets solely within the state of Indiana. Portfolio occupancy in 2020 fell to 63% from 71% in 2018. Revenue sources for the portfolio include Medicaid, Medicare, private pay and an intergovernmental transfer (IGT) program available in Indiana. The asset manager indicated a one-year loan extension has been approved to September 2022. Undercollateralization: Many of the classes in these CREL CDOs are undercollateralized as realized losses have been substantial in the individual transactions; these include all remaining classes of Gramercy Real Estate CDO 2005-1 and Nomura CRE CDO 2007-2 transactions. Classes affirmed at 'Csf' indicate they are either undercollateralized or reliant on 'Csf' rated collateral to repay. The classes affirmed at 'Dsf' were due to the declaration of an Event of Default as they are non-deferrable classes that experienced interest payment shortfalls. Coronavirus Impact: Most CREL loans/assets are considered Fitch Loans of Concern (FLOCs) as they are not performing at a stabilized level. Fitch expects the ongoing coronavirus pandemic will impact refinanceability and may further stall progress of the asset manager achieving stabilization, any leasing activities and/or pending property sales. RATING SENSITIVITIES In CapitalSource Real Estate Loan Trust 2006-A, the Stable Outlook on class B reflects the high credit enhancement and expected continued amortization; the Negative Outlook on class C reflects possible downgrade should performance of the Miller Portfolio loan decline significantly. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- An upgrade to class B in CapitalSource Real Estate Loan Trust 2006-A is not expected as the rating is capped at 'BBBsf' due to the high healthcare loan concentration in the pool. -- Upgrades to the 'Bsf', 'CCCsf' and 'CCsf' rated classes in these six CREL CDOs may occur with substantially improved performance of the underlying assets and/or significantly higher recoveries than expected on disposed assets. -- Upgrades to the 'Csf' rated classes are not expected as these classes are either undercollateralized and/or rely on 'Csf' rated collateral, where minimal to no recoveries are expected, for repayment. Upgrades to the classes rated 'Dsf' in Gramercy 2005-1 and Nomura CRE CDO 2007-2 are not possible as they are non-deferrable classes that have already experienced an interest payment shortfall. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A downgrade to class B in CapitalSource Real Estate Loan Trust 2006-A is not expected due to the high class credit enhancement at 99%, with interest received by the CDO sufficient enough to cover future interest obligations to the class. -- Downgrade to the 'Bsf', 'CCCsf' and 'CCsf' rated classes in these six CREL CDOs would occur should the performance of the remaining collateral continue to decline, should any of the class become the senior-most class in the transaction and miss an interest payment and/or further losses be realized. -- Classes already rated 'Csf' have limited sensitivity to further negative migration given their highly distressed rating level. However, there is potential for classes to be downgraded to 'Dsf' at or prior to legal final maturity if they are non-deferrable classes that experience any interest payment shortfalls or should an Event of Default, as set forth in the transaction documents, occur. 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. [*] Moody's Puts 53 RMBS Issued 1998-2007 on Review for Downgrade ----------------------------------------------------------------- Moody's Investors Service places the ratings of 43 bonds from 23 RMBS transactions and 10 bonds from a resecuritization transaction on review for downgrade. The collateral backing these deals consists of alt-A, option ARM, subprime, and second-lien mortgage loans. A List of Affected Credit Ratings is available at https://bit.ly/3mzLuyQ Complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2005-13 Cl. AF-4, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 30, 2019 Upgraded to Caa2 (sf) Cl. AF-5, Currently Rated Caa1 (sf); previously on Oct 26, 2016 Confirmed at Caa1 (sf) Underlying Rating: Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 30, 2019 Upgraded to Caa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Negative on Dec 17, 2020) Cl. MV-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2020 Downgraded to B1 (sf) Cl. MV-2, B3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 30, 2019 Upgraded to B3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-11 Cl. 2-AV, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Dec 19, 2018 Upgraded to Aa3 (sf) Cl. 3-AV-2, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2019 Upgraded to B2 (sf) Cl. 3-AV-3, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2019 Upgraded to Caa1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-13 Cl. 2-AV, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 30, 2019 Upgraded to Aa2 (sf) Cl. 3-AV-3, A2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 30, 2019 Upgraded to A2 (sf) Cl. MV-1, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 30, 2019 Upgraded to Caa3 (sf) Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-L Cl. 1-A, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 5, 2019 Upgraded to Baa1 (sf) Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-M Cl. 1-A, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 21, 2018 Upgraded to Baa1 (sf) Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R Cl. 1-A, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 5, 2019 Upgraded to Ba2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-34CB Cl. 1-A-8, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 29, 2016 Confirmed at Caa2 (sf) Cl. 1-A-9, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 29, 2016 Confirmed at Caa2 (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-G Cl. 1-A, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 3, 2019 Upgraded to Ba1 (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-H Cl. 1-A, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 5, 2019 Upgraded to Ba1 (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR2 Cl. 2-A1A, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 28, 2017 Upgraded to Ba1 (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR6 Cl. 2A-1A, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2019 Upgraded to Baa1 (sf) Issuer: DSLA Mortgage Loan Trust 2007-AR1 Cl. 1A-1A, B3 (sf) Placed Under Review for Possible Downgrade; previously on Dec 10, 2018 Upgraded to B3 (sf) Cl. 2A-1A, B3 (sf) Placed Under Review for Possible Downgrade; previously on Dec 10, 2018 Upgraded to B3 (sf) Issuer: HarborView Mortgage Loan Trust 2006-10 Cl. 1A-1A, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on May 31, 2017 Upgraded to Caa2 (sf) Cl. 2A-1A, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 31, 2017 Upgraded to Baa3 (sf) Issuer: HarborView Mortgage Loan Trust 2006-BU1 Cl. 2A-1A, B3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 22, 2017 Upgraded to B3 (sf) Issuer: Impac CMB Trust Series 2004-10 Cl. 1-A-1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2016 Upgraded to Ba3 (sf) Underlying Rating: Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2016 Upgraded to Ba3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Impac CMB Trust Series 2004-8 Collateralized Asset-Backed Bonds, Series 2004-8 Cl. 2-A-1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jan 11, 2018 Upgraded to Ba1 (sf) Underlying Rating: Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jan 11, 2018 Upgraded to Ba1 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 2-A-2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jan 11, 2018 Upgraded to Ba3 (sf) Underlying Rating: Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jan 11, 2018 Upgraded to Ba3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-3 Cl. A-6, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 8, 2016 Upgraded to Caa3 (sf) Cl. A-7, Ca (sf) Placed Under Review for Possible Downgrade; previously on Mar 5, 2013 Confirmed at Ca (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-17XS Cl. A-2-A, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-2-W, Currently Rated Caa1 (sf); previously on May 20, 2016 Downgraded to Caa1 (sf) Underlying Rating: Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Negative on Dec 17, 2020) Cl. A-3-A, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-4, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf) Cl. A-5-W, Currently Rated Caa1 (sf); previously on May 20, 2016 Downgraded to Caa1 (sf) Underlying Rating: Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Negative on Dec 17, 2020) Cl. A-6, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf) Issuer: AMRESCO Residential Mortgage Loan Trust 1998-3 A-7, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 28, 2018 Upgraded to Aa2 (sf) M-1A, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 23, 2018 Upgraded to Baa3 (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR4 Cl. A-1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jul 19, 2018 Upgraded to Baa3 (sf) Issuer: Lehman XS Trust Series 2005-7N Cl. 1-A1A, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 25, 2016 Upgraded to Baa3 (sf) Issuer: Lehman XS Trust Series 2005-8 Cl. 1-A3, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 3, 2010 Downgraded to Caa3 (sf) Issuer: RASC Series 2003-KS4 Trust Cl. A-I-5, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 26, 2018 Upgraded to Aa1 (sf) Cl. A-I-6, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Feb 26, 2018 Upgraded to Aaa (sf) Cl. M-I-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 25, 2015 Upgraded to B1 (sf) Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES Cl. 04L-1a, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 9, 2019 Upgraded to Baa1 (sf) Cl. 04L-1b, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 9, 2019 Upgraded to Baa1 (sf) Cl. 04M-1a, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 4, 2019 Affirmed Baa1 (sf) Cl. 04M-1b, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 4, 2019 Affirmed Baa1 (sf) Cl. 04R-1a, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 9, 2019 Upgraded to Ba2 (sf) Cl. 04R-1b, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 9, 2019 Upgraded to Ba2 (sf) Cl. 05G-1a, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 4, 2019 Affirmed Ba1 (sf) Cl. 05G-1b, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 4, 2019 Affirmed Ba1 (sf) Cl. 05H-1a, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 9, 2019 Upgraded to Ba1 (sf) Cl. 05H-1b, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 9, 2019 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating actions result from the discovery of an error. In Moody's prior analysis of these ratings, Moody's did not appropriately account for the amounts owed to the financial guarantors of these transactions, for reimbursement of previously paid out claims. According to the distribution waterfalls of the impacted transactions, collection proceeds will be used to pay financial guarantors the respective outstanding reimbursement amounts either before making payments to the impacted bonds or before the excess cashflow which can be utilized to cover losses or build enhancement. Accounting for these reimbursement amounts appropriately will diminish the cash flows available to the impacted bonds, potentially impacting their ratings. Certain bonds in the actions were pledged to a resecuritization deal, so the ratings of related bonds in this resecuritization deal have also been placed on review. During the review period Moody's will examine and quantify the expected deterioration in cash flows to the impacted bonds following the payment of reimbursement amounts owed to the financial guarantors as well as the amount of credit enhancement expected to be available to the impacted bonds to cover projected losses on the related pool. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in rating all deals except CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 101 Classes from 13 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 101 ratings from 13 U.S. RMBS transactions issued between 2002 and 2005. The review yielded 33 downgrades, 49 affirmations, and 19 withdrawals. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Factors related to the COVID-19 pandemic, -- Collateral performance or delinquency trends, -- Available subordination and/or overcollateralization, -- Expected short duration, -- Small loan count, -- Historical interest shortfalls or missed interest payments, and -- Reduced interest payments due to loan modifications. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. Please see the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The ratings affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. 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