/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210425.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 25, 2021, Vol. 25, No. 114 Headlines 1211 AVENUE OF AMERICAS 2015-1211: Fitch Affirms BB on Cl. E Certs AIMCO CLO 2017-A: S&P Assigns B- (sf) Rating on Class F-R Notes AMERICAN CREDIT 2021-2: S&P Assigns Prelim B(sf) Rating on F Notes ARES LIX CLO: S&P Assigns BB- (sf) Rating $21MM Class E Notes ARES XLIV CLO: Moody's Assigns (P)Ba3 Rating to Class D-R Notes BAIN CAPITAL 2019-1: Moody's Rates $25MM Class E-R Notes 'Ba3' BAIN CAPITAL 2021-1: Moody's Rates $20MM Class E Notes 'Ba3' BALLYROCK CLO 15: S&P Assigns Prelim BB-(sf) Rating on D Notes BANK 2017-BNK5: Fitch Affirms B- Rating on Class F Certs BARINGS CLO 2021-I: S&P Assigns BB- (sf) Rating on Class E Notes BATTALION CLO XIX: S&P Assigns Prelim BB-(sf) on Class E Notes CATHEDRAL LAKE II: S&P Affirms B- (sf) Rating on Class E-2-R Notes CEDAR FUNDING II: S&P Assigns Prelim B- (sf) Rating on F Notes CEDAR FUNDING VI: S&P Withdraws 'B+(sf)' Rating on Class E-R Notes CIFC FUNDING 2013-II: S&P Assigns CCC+ (sf) rating on B-3L-R Notes CIFC FUNDING 2021-II: S&P Assigns BB- (sf) Rating on Class E Notes DIAMOND RESORTS 2021-1: S&P Assigns BB (sf) Rating on Class D Notes DRYDEN 43: S&P Assigns BB- (sf) Rating on $26MM Class E-R3 Notes ELMWOOD CLO II: S&P Assigns B- (sf) Rating on Class F-R Notes FREDDIE MAC 2021-DNA3: S&P Assigns Prelim BB- Rating on B-1B Notes GOLDENTREE LOAN 7: S&P Assigns B- (sf) Rating on Class F-R Notes GOLUB CAPITAL 19(B)-R2: S&P Assigns BB- (sf) Rating on E-R2 Notes GREYWOLF CLO II: S&P Assigns BB- (sf) Rating on Class D Notes GS MORTGAGE-BACKED 2021-PJ4: Fitch Rates B-5 Certs 'B(EXP)' GUGGENHEIM CLO 2020-1: S&P Assigns BB-(sf) Rating on E-R Notes IVY HILL XVIII: S&P Assigns Prelim BB-(sf) Rating on Class E Notes KAYNE CLO 11: S&P Assigns Prelim BB- (sf) Rating on Class E Notes LONGFELLOW PLACE: S&P Raises Class D-RR Notes Rating BB+ (sf) MADISON PARK XXXV: S&P Assigns BB- (sf) Rating on Class E-R Notes MAGNETITE XIX: S&P Assigns B- (sf) Rating on Class F-R Notes MAGNETITE XIX: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes MIDOCEAN CREDIT VI: S&P Assigns B- (sf) Rating on Class F Notes MIDOCEAN CREDIT VI: S&P Assigns Prelim B- (sf) Rating on F Notes NEUBERGER BERMAN 31: S&P Assigns BB- (sf) Rating on Class E-R Notes OAKTREE CLO 2019-2: S&P Affirms B (sf) Rating on Class D Notes OCTAGON 53: S&P Assigns Prelim BB- (sf) Rating on Class E Notes OHA CREDIT 2: S&P Assigns BB- (sf) Rating on $22.5MM E-R Notes OHA CREDIT X-R: S&P Assigns BB- (sf) Rating on Class F-R Notes OZLM LTD XXIII: Moody's Rates $26.25MM Class E-R Notes 'Ba3' PARK AVENUE 2018-1: S&P Affirms BB- (sf) Rating on Class D Notes PRMI 2021-1: S&P Assigns Prelim B (sf) Rating on Class B-5 Certs PSMC 2021-1 TRUST: Fitch Assigns B+ Rating on Class B-5 Debt RESIDENTIAL 2021-I: S&P Assigns Prelim 'BB-' on Class 14 Notes ROCKFORD TOWER 2017-1: Moody's Rates $17MM Class E-R2 Notes 'Ba3' SIGNAL PEAK 1: S&P Assigns B- (sf) Rating on Class F-R3 Notes SYMPHONY CLO XXV: Moody's Assigns Ba3 Rating to Class E Notes TRIANGLE RE 2021-2: Moody's Assigns B2 Rating to Cl. M-2 Notes TRINITAS CLO XV: S&P Assigns Prelim B-(sf) Rating on Class F Notes VERDE CLO: Moody's Assigns Ba3 Rating to $23.7MM Class E-R Notes VERUS SECURITIZATION 2021-2: S&P Assigns 'B-' Rating on B-2 Notes VOYA CLO 2017-2: S&P Affirms B+ (sf) Rating on Class D Notes WELLS FARGO 2021-C59: Fitch Assigns BB- Rating on 2 Tranches [*] S&P Places Ratings on 54 Classes from 31 US Deals on Watch Neg. ********* 1211 AVENUE OF AMERICAS 2015-1211: Fitch Affirms BB on Cl. E Certs ------------------------------------------------------------------ Fitch Ratings has affirmed eight classes of 1211 Avenue of the Americas Trust 2015-1211 commercial mortgage pass-through certificates. The certificates represent the beneficial interests in the mortgage loan securing the borrower's fee simple interest in a 45-story, office building totaling approximately two million sf of office and retail space located at 1211 Avenue of the Americas in New York, NY. The 10-year, fixed-rate, interest-only loan matures in August 2025. DEBT RATING PRIOR ---- ------ ----- 1211 Avenue of the Americas Trust 2015-1211 A-1A1 90117PAA3 LT AAAsf Affirmed AAAsf A-1A2 90117PAC9 LT AAAsf Affirmed AAAsf B 90117PAJ4 LT AA-sf Affirmed AA-sf C 90117PAL9 LT A-sf Affirmed A-sf D 90117PAN5 LT BBB-sf Affirmed BBB-sf E 90117PAQ8 LT BBsf Affirmed BBsf X-A 90117PAE5 LT AAAsf Affirmed AAAsf X-B 90117PAG0 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Stable Performance and Cash Flow Since Issuance: The property continues to maintain a high occupancy, at 97.8% as of December 2020, up from 95.7% at YE 2019, 94.6% at YE 2018 and 91.5% at issuance. Occupancy has historically remained above 90% since 2012. The servicer-reported YE 2020 net cash flow (NCF) debt service coverage ratio (DSCR) was 2.38x, compared with 2.53x at YE 2019 and 2.43x at YE 2018. Fitch's current NCF is within 3% of the Fitch NCF at issuance, down slightly to $92.6 million from $95.5 million at issuance, largely due to increased vacancy and tenant improvement assumptions which are in-line with comparable office properties in the submarket. Above Average Property Quality in Strong Location: 1211 Avenue of the Americas consists of a 45-story, class A office building located in Midtown Manhattan. The property is adjacent to Rockefeller Center and in close proximity to subway lines and major transportation hubs. High-Quality Tenancy: Tenants with investment-grade credit ratings account for 75.3% of the NRA. The top five tenants (92% of NRA) include Twenty-First Century Fox, Inc (63.7% of NRA; A-; lease expiry in November 2025), Ropes & Gray (16.7% of NRA; lease expiry in March 2027), Axis Reinsurance (6.2% of NRA; A+; lease expiry in August 2023), RBC (3.2% of NRA; AA; lease expiry in December 2026) and Nordea (2.2% of NRA; AA-; lease expiry in April 2031). Fitch Leverage: The $1.035 billion mortgage loan has a Fitch DSCR and loan-to-value (LTV) ratio of 1.08x and 81.1%, respectively, and debt of $514 psf. Sponsorship and Property Manager: The loan sponsor is Ivanhoé Cambridge Inc. As of March 2020, the property is being sub-managed by Ivanhoe Cambridge and Hines. Coronavirus Exposure: Fitch reviewed the sponsor and tenant profile of the subject property and viewed the collateral to have a limited impact from the coronavirus pandemic due to the high concentration of investment-grade tenancy, longer-term nature of the leases and limited tenant rollover during the loan term. Lease rollover is limited to 9.3% of the NRA before loan maturity. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades to classes B through E are possible with stable to improved occupancy, sustained cash flow improvement and further clarity on the reason behind the volatility with respect to certain expense line items and other income. Fitch rates classes A-1A1 and A-1A2 at 'AAAsf'; therefore, upgrades are not possible. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- A significant and sustained decline in occupancy and/or property cash flow. 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. AIMCO CLO 2017-A: S&P Assigns B- (sf) Rating on Class F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The 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 AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC Class X, $4.0 million: AAA (sf) Class A-R, $252.0 million: AAA (sf) Class B-R, $52.0 million: AA (sf) Class C-R (deferrable), $26.0 million: A (sf) Class D-R (deferrable), $22.0 million: BBB- (sf) Class E-R (deferrable), $13.4 million: BB- (sf) Class F-R (deferrable), $5.7 million: B- (sf) Subordinated notes, $36.0 million: Not rated AMERICAN CREDIT 2021-2: S&P Assigns Prelim B(sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2021-2's asset-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 15, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 63.00%, 57.53%, 48.33%, 41.33%, 36.76%, and 35.19% credit support, including excess spread, for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios. These credit support levels provide more than 2.17x, 1.98x, 1.62x, 1.35x, 1.19x, and 1.10x coverage of S&P's expected net loss range of 27.75%-28.75% for the class A, B, C, D, E, and F notes, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and a reserve account in addition to excess spread. -- The expectation that under a moderate ('BBB') stress scenario (1.35x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB- (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and F notes, respectively, will be within the credit stability limits specified by section A.4 of the Appendix of "S&P Global Ratings Definitions," published Jan. 5, 2021. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The backup servicing arrangement with Wells Fargo Bank N.A. -- The transaction's payment and legal structure. Preliminary Ratings Assigned American Credit Acceptance Receivables Trust 2021-2 Class A, $215.27 million(i): AAA (sf) Class B, $39.14 million(i): AA (sf) Class C, $88.06 million(i): A (sf) Class D, $58.71 million(i): BBB (sf) Class E, $39.14 million(i): BB- (sf) Class F, $14.68 million(i): B (sf) (i)The actual size of these tranches will be determined on the pricing date. ARES LIX CLO: S&P Assigns BB- (sf) Rating $21MM Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ares LIX CLO Ltd./Ares LIX CLO LLC's floating- and fixed-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The 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 Ares LIX CLO Ltd./Ares LIX CLO LLC Class A, $384 million: AAA (sf) Class B-1, $57 million: AA (sf) Class B-2, $15 million: AA (sf) Class C-1 (deferrable), $33 million: A (sf) Class C-2 (deferrable), $3 million: A (sf) Class D (deferrable), $36 million: BBB- (sf) Class E (deferrable), $21 million: BB- (sf) Subordinated notes, $61 million: Not rated ARES XLIV CLO: Moody's Assigns (P)Ba3 Rating to Class D-R Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to three classes of CLO refinancing notes to be issued by Ares XLIV CLO Ltd. (the "Issuer"). Moody's rating action is as follows: US$661,125,000 Class A-1-R Senior Floating Rate Notes Due 2034 (the "Class A-1-R Notes"), Assigned (P)Aaa (sf) US$26,875,000 Class A-2-R Senior Floating Rate Notes Due 2034 (the "Class A-2-R Notes"), Assigned (P)Aaa (sf) US$56,975,000 Class D-R Mezzanine Deferrable Floating Rate Notes Due 2034 (the "Class D-R Notes"), Assigned (P)Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of assets that are not senior secured loans. Ares CLO Management II LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of ""Moody's Default Probability Rating"" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $1,075,000,000 Defaulted par: $0 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3220 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 4.50% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BAIN CAPITAL 2019-1: Moody's Rates $25MM Class E-R Notes 'Ba3' -------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes issued by Bain Capital Credit CLO 2019-1, Limited (the "Issuer"). Moody's rating action is as follows: US$6,000,000 Class X Senior Secured Floating Rate Notes due 2034 (the "Class X Notes"), Assigned Aaa (sf) US$310,000,000 Class A-R Senior Secured Floating Rate Notes due 2034 (the "Class A-R Notes"), Assigned Aaa (sf) US$25,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and permitted non-loan assets (senior secured bonds, senior unsecured bonds and high-yield bonds), provided that no more than 5% may consist of permitted non-loan assets. Bain Capital Credit U.S. CLO Manager, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and three other classes of secured notes , a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Moody's Default Probability Rating" in connection with the calculation of the Maximum Moody's Rating Factor Test and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2983 Weighted Average Spread (WAS): 3.4% Weighted Average Coupon (WAC): 5.5% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BAIN CAPITAL 2021-1: Moody's Rates $20MM Class E Notes 'Ba3' ------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued by Bain Capital Credit CLO 2021-1, Limited (the "Issuer" or "Bain Capital 2021-1"). Moody's rating action is as follows: US$5,000,000 Class X Senior Secured Floating Rate Notes due 2034 (the "Class X Notes"), Assigned Aaa (sf) US$315,000,000 Class A Senior Secured Floating Rate Notes due 2034 (the "Class A Notes"), Assigned Aaa (sf) US$20,000,000 Class E Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A 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. Bain 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% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans or permitted non-loan assets, provided that, no more than 5% may consist of permitted non-loan assets. The portfolio is 100% ramped as of the closing date. Bain Capital Credit U.S. CLO Manager, 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 three other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3048 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 46.50% 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 regard 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. BALLYROCK CLO 15: S&P Assigns Prelim BB-(sf) Rating on D Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 15 Ltd./Ballyrock CLO 15 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 preliminary ratings are based on information as of April 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral 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 Ballyrock CLO 15 Ltd./Ballyrock CLO 15 LLC Class A-1, $256.00 million: AAA (sf) Class A-2, $48.00 million: AA (sf) Class B (deferrable), $24.00 million: A (sf) Class C (deferrable), $24.00 million: BBB- (sf) Class D (deferrable), $16.00 million: BB- (sf) Subordinated notes, $41.25 million: Not rated BANK 2017-BNK5: Fitch Affirms B- Rating on Class F Certs -------------------------------------------------------- Fitch Ratings has affirmed 15 classes of BANK 2017-BNK5 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- BANK 2017-BNK5 A-1 06541WAS1 LT AAAsf Affirmed AAAsf A-2 06541WAT9 LT AAAsf Affirmed AAAsf A-3 06541WAV4 LT AAAsf Affirmed AAAsf A-4 06541WAW2 LT AAAsf Affirmed AAAsf A-5 06541WAX0 LT AAAsf Affirmed AAAsf A-S 06541WBA9 LT AAAsf Affirmed AAAsf A-SB 06541WAU6 LT AAAsf Affirmed AAAsf B 06541WBB7 LT AA-sf Affirmed AA-sf C 06541WBC5 LT A-sf Affirmed A-sf D 06541WAC6 LT BBB-sf Affirmed BBB-sf E 06541WAE2 LT BB-sf Affirmed BB-sf F 06541WAG7 LT B-sf Affirmed B-sf X-A 06541WAY8 LT AAAsf Affirmed AAAsf X-B 06541WAZ5 LT AA-sf Affirmed AA-sf X-D 06541WAA0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance Despite Increased Loss Expectations: While the majority of the pool continues to exhibit relatively stable performance, loss expectations have increased since Fitch's last rating action primarily driven by a greater number of Fitch Loans of Concern (FLOCs) that have been affected by the slowdown in economic activity related to the coronavirus pandemic. There are 10 FLOCs representing 19.1% of the pool; no loans are currently in specially servicing, but one loan is reported as 30 days delinquent. Fitch's current ratings incorporate a base case loss of 3.50%. The Negative Outlooks on classes E and F reflect losses that could reach 5.50% when factoring additional pandemic-related stresses and a potential outsized loss on the Crossgate Commons and Brenden Theatres loans. The largest contributor to overall losses and largest increase in loss since the last rating action is the Starwood Capital Group Hotel Portfolio loan (6% of the pool), which is secured by a portfolio of 65 hotel properties totaling 6,370 keys and located across 21 states with 14 different franchises. The most recent servicer-reported YTD September 2020 NOI debt service coverage ratio (DSCR) was 0.93x, down from 2.73x at YE 2019. The pandemic has negatively affected portfolio occupancy, ADR and RevPAR, with TTM June 2020 ADR and RevPAR declining to $96.40 and 48.84, respectively, from $115.52 and $85.96 at YE 2019. The borrower was granted debt relief, with terms that included the deferral and redistribution of various existing reserves for debt service, with the 12-month repayment period beginning in February 2021. Fitch applied a 26% haircut to the YE 2019 NOI to reflect coronavirus performance concerns. Minimal Change to Credit Enhancement: Credit enhancement (CE) has increased slightly since the prior rating action from continued amortization and an early repayment of one small loan ahead of its scheduled loan maturity. As of the March 2021 distribution date, the pool's aggregate principal balance has paid down by 2.5% to $1.2 billion from $1.23 billion at issuance. Eighty-six of the original 87 loans remain outstanding. Seventeen loans (43% of the pool) are interest-only for the full term and eight additional loans (8.9%) were structured with a partial interest-only component and have not yet begun to amortize. Two loans (0.5%) have been fully defeased. Alternative Loss Considerations: Fitch ran an additional sensitivity scenario, which assumed a potential outsized loss of 25% on the Crossgates Commons loan and a 100% loss on the Brendan Theatres loan. The Crossgates Commons loan, which is sponsored by mall operator Pyramid, is secured by an anchored retail center in Albany, NY, located across the street from Crossgates Mall. Fitch has refinance concerns due to the upcoming scheduled maturity in May 2022, weaker sponsorship and concentrated upcoming scheduled roll consisting of 12.9% of the NRA in 2021 and 10.0% in 2022. The Brenden Theatres loan is secured by a single-tenant property located in Vacaville, CA, with a movie theater as the sole tenant, which is highly vulnerable to the social and market disruption of the pandemic. This sensitivity contributed to maintaining the Negative Outlooks. Exposure to Coronavirus: Six loans (14.2% of the pool) are secured by hotel properties, all of which are flagged as FLOCs. Twenty-one loans (34.4%) are secured by retail properties, including one superregional mall. Fitch applied additional stresses to all hotel loans and seven retail loans totaling 9.5% of the pool to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to maintaining the Negative Outlooks. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved performance coupled with pay down and/or defeasance. An upgrade to classes B, X-B and C would occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. An upgrade of classes D and X-D would also take into account those factors, but be limited based on sensitivity to concentrations or the potential for future concentration. -- Classes would not be upgraded above 'Asf' if there is\ likelihood for interest shortfalls. Upgrades to classes E and F are 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. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C, D and X-D are possible if the larger FLOCs realize outsized losses. Downgrades to classes E and F are possible with additional loan defaults, should the performance of FLOCs decline further and/or the loans vulnerable to the coronavirus pandemic fail to stabilize. 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. BARINGS CLO 2021-I: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 BATTALION CLO XIX: S&P Assigns Prelim BB-(sf) on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Battalion CLO XIX 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 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Battalion CLO XIX Ltd./Battalion CLO XIX LLC Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C, $24.0 million: A (sf) Class D, $24.0 million: BBB- (sf) Class E, $16.0 million: BB- (sf) Subordinated notes, $49.5 million: Not rated CATHEDRAL LAKE II: S&P Affirms B- (sf) Rating on Class E-2-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-RR, B-RR, and C-RR replacement notes from Cathedral Lake II Ltd./Cathedral Lake II LLC, a CLO originally issued in July 2015 that is managed by Carlson CLO Advisers LLC. At the same time, S&P withdrew its ratings on the class A-1-R, B-R, and C-R notes, and affirmed the ratings on the class D-R, E-1-R, and E-2-R notes. On the April 15, 2021 refinancing date, the proceeds from the class A-1-RR, B-RR, and C-RR replacement note issuances were used to redeem the class A-1-R, B-R, and C-R notes, as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on these notes in line with their full redemption and assigned ratings to the replacement notes. The replacement notes are being issued via a proposed supplemental indenture. The affirmed ratings on the class D-R, E-1-R, and E-2-R notes were unaffected by the amendment. The class E-1-R and E-2-R notes do not pass our cash flow stresses at their current ratings. The affirmations reflect the notes' subordination levels and the transaction's stable performance since the downgrade in August 2020. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches, as well as qualitative factors. "The ratings reflect our view of the credit support available to the refinanced notes after examining the new and lower spreads, which reduce the transaction's overall cost of funding. "We will continue to review whether the ratings on the notes remain consistent, in our view, with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Affirmed Cathedral Lake II Ltd./Cathedral Lake II LLC Class D-R: BBB- (sf) Class E-1-R: B- (sf) Class E-2-R: B- (sf) Ratings Withdrawn Cathedral Lake II Ltd./Cathedral Lake II LLC Class A-1-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Other Outstanding Notes Cathedral Lake II Ltd./Cathedral Lake II LLC Subordinated notes: NR NR--Not rated. CEDAR FUNDING II: S&P Assigns Prelim B- (sf) Rating on F Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-RR, B-RR, C-RR, D-1RR, D-2RR, and ERR replacement notes and the new class A-X and F notes from Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC, a CLO originally issued in March 2013 and refinanced in June 2017 that is managed by AEGON USA Investment Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The replacement class B-RR, C-RR, and E-RR notes are expected to be issued at a lower spread over three-month LIBOR than the original notes. The replacement class A-RR notes are expected to be issued at a floating spread replacing the class A-1R floating and A-FR fixed rate notes. The replacement class D-1RR and D-2RR notes are expected to be issued at a floating spread and fixed coupon notes, respectively, are replacing the class D-R floating rate notes. The preliminary ratings are based on information as of April 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 22, 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." Based on provisions in the transaction documents and portfolio characteristics: -- The class F notes are being added to the transaction. -- The stated maturity will be extended 3.9 years and the reinvestment period will be extended 4.9 years. -- The class A-X notes will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first fourteen payment dates. -- 100.0% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 97.9% of the identified underlying collateral obligations have recovery ratings assigned by S&P Global Ratings. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. Preliminary Ratings Assigned Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC Class A-X, $5.38 million: AAA (sf) Class A-RR, $224.50 million: AAA (sf) Class B-RR, $38.00 million: AA (sf) Class C-RR (deferrable), $20.75 million: A (sf) Class D-1RR (deferrable), $17.50 million: BBB- (sf) Class D-2RR (deferrable), $5.25 million: BBB- (sf) Class E-RR (deferrable), $10.00 million: BB- (sf) Class F (deferrable), $4.25 million: B- (sf) Subordinated notes, $34.75 million: Not rated CEDAR FUNDING VI: S&P Withdraws 'B+(sf)' Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement notes from Cedar Funding VI CLO Ltd., a CLO previously refinanced in October 2018 that is managed by Aegon USA Investment Management LLC (Aegon). S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, and E-R notes following payment in full on the April 20, 2021 refinancing date. On the April 20, 2021 refinancing date, the proceeds from the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement notes issuances were used to redeem the class A-R, B-R, C-R, D-R, and E-R notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the prior notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also 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. "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 further rating actions as we deem necessary." Ratings Withdrawn Cedar Funding VI CLO Ltd./Cedar Funding VI CLO LLC Class A-R: to Not rated from 'AAA (sf)' Class B-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-R: to Not rated from 'B+ (sf)' CIFC FUNDING 2013-II: S&P Assigns CCC+ (sf) rating on B-3L-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1L-2 and A-2L-2 replacement notes from CIFC Funding 2013-II Ltd., a collateralized loan obligation (CLO) originally issued in 2013 and later reset in 2017 that is managed by CIFC Asset Management LLC., and withdrew its ratings on the original class A-1L-R and A-2L-R notes. At the same time, S&P affirmed its ratings on the class A-3L-R, B-1L-R, B-2L-R, and B-3L-R notes. On the April 19, 2021 refinancing date, the proceeds from the class A-1L-2 and A-2L-2 replacement note issuances were used to redeem the original class A-1L-R and A-2L-R notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned CIFC Funding 2013-II Ltd. Replacement class A-1L-2, $386.00 million: AAA (sf) Replacement class A-2L-2, $76.00 million: AA (sf) Ratings Affirmed CIFC Funding 2013-II Ltd. Class A-3L-R: A (sf) Class B-1L-R: BBB- (sf) Class B-2L-R: B+ (sf) Class B-3L-R: CCC+ (sf) Ratings Withdrawn CIFC Funding 2013-II Ltd. Class A-1L-R: to 'NR' from 'AAA (sf)' Class A-2L-R: to 'NR' from 'AA (sf)' NR--Not rated. CIFC FUNDING 2021-II: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to CIFC Funding 2021-II Ltd.'s floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned CIFC Funding 2021-II Ltd. Class A, $310 million: AAA (sf) Class B, $70 million: AA (sf) Class C, $30 million: A (sf) Class D, $30 million: BBB- (sf) Class E, $20 million: BB- (sf) Subordinated notes, $48 million: Not rated DIAMOND RESORTS 2021-1: S&P Assigns BB (sf) Rating on Class D Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to Diamond Resorts Owner Trust 2021-1's timeshare loan-backed fixed-rate notes. The note issuance is an ABS transaction backed by vacation ownership interest (timeshare) loans. S&P said, "Given that we are in a recessionary period since the pandemic started in 2020 and to reflect the uncertain and weakened U.S. economic and sector outlook, we increased our base-case default assumption by 1.25x to stress defaults from 'B' to 'BB' rating scenarios. In addition to our base rating stress, to reflect additional liquidity stress from deferrals and potential increase in delinquencies, we also considered incremental liquidity and sensitivity stress in all rating categories. "The ratings reflect our opinion of the credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. The ratings also reflect our view of Diamond Resorts Financial Services Inc.'s servicing ability and experience in the timeshare market." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned 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) DRYDEN 43: S&P Assigns BB- (sf) Rating on $26MM Class E-R3 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 43 Senior Loan Fund/Dryden 43 Senior Loan Fund LLC's floating- and fixed-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by PGIM Inc. This is a reset of a 2016 transaction that S&P Global Ratings did not previously rate. 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 Dryden 43 Senior Loan Fund/Dryden 43 Senior Loan Fund LLC Class A-R2, $416.70 million: AAA (sf) Class B-1-R2, $58.10 million: AA (sf) Class B-2-R2, $20.00 million: AA (sf) Class C-R2 (deferrable), $39.10 million: A (sf) Class D-R3 (deferrable), $39.00 million: BBB- (sf) Class E-R3 (deferrable), $26.00 million: BB- (sf) Subordinated notes, $79.20 million: Not rated ELMWOOD CLO II: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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, which S&P Global Ratings did not rate. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The 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 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 FREDDIE MAC 2021-DNA3: S&P Assigns Prelim BB- Rating on B-1B Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR REMIC Trust 2021-DNA3's notes. The note issuance is an RMBS transaction backed by 100% conforming residential mortgage loans. The preliminary ratings are based on information as of April 15, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments but also pledges the Freddie Mac support (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which enhances the notes' strength, in S&P's view; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework; and -- The impact that the COVID-19 pandemic is likely to have on the U.S. economy and housing market, and the additional structural provisions included to address corresponding forbearance and subsequent defaults. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned Freddie Mac STACR REMIC Trust 2021-DNA3 Class A-H(i), $43,470,051,557: NR Class M-1, $211,000,000: A- (sf) Class M-1H(i), $11,923,341: NR Class M-2, $317,000,000: BBB- (sf) Class M-2A, $158,500,000: BBB+ (sf) Class M-2AH(i), $8,692,505: NR Class M-2B, $158,500,000: BBB- (sf) Class M-2BH(i), $8,692,505: NR Class M-2R, $317,000,000: BBB- (sf) Class M-2S, $317,000,000: BBB- (sf) Class M-2T, $317,000,000: BBB- (sf) Class M-2U, $317,000,000: BBB- (sf) Class M-2I, $317,000,000: BBB- (sf) Class M-2AR, $158,500,000: BBB+ (sf) Class M-2AS, $158,500,000: BBB+ (sf) Class M-2AT, $158,500,000: BBB+ (sf) Class M-2AU, $158,500,000: BBB+ (sf) Class M-2AI, $158,500,000: BBB+ (sf) Class M-2BR, $158,500,000: BBB- (sf) Class M-2BS, $158,500,000: BBB- (sf) Class M-2BT, $158,500,000: BBB- (sf) Class M-2BU, $158,500,000: BBB- (sf) Class M-2BI, $158,500,000: BBB- (sf) Class M-2RB, $158,500,000: BBB- (sf) Class M-2SB, $158,500,000: BBB- (sf) Class M-2TB, $158,500,000: BBB- (sf) Class M-2UB, $158,500,000: BBB- (sf) Class B-1, $211,000,000: BB- (sf) Class B-1A, $105,500,000: BB+ (sf) Class B-1AR, $105,500,000: BB+ (sf) Class B-1AI, $105,500,000: BB+ (sf) Class B-1AH(i), $5,961,671: NR Class B-1B, $105,500,000: BB- (sf) Class B-1BH(i), 5,961,671: NR Class B-2, $211,000,000: NR Class B-2A, $105,500,000: NR Class B-2AR, $105,500,000: NR Class B-2AI, $105,500,000: NR Class B-2AH(i), $5,961,671: NR Class B-2B, $105,500,000: NR Class B-2BH(i), $5,961,671: NR Class B-3H(i), $111,461,671: NR (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. NR--Not rated. GOLDENTREE LOAN 7: S&P Assigns B- (sf) Rating on Class F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned 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 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 were issued via a proposed supplemental indenture. On the April 20, 2021, refinancing date, proceeds from the issuance of the replacement notes redeemed the original notes. As such, we withdrew the ratings on the original notes. The replacement notes were issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the indenture: -- The replacement class A-R, B-R, and C-R notes were issued at a lower spread over three-month LIBOR than the original notes. The class D-R and E-R notes were issued at a higher spread over three-month LIBOR than the original notes. -- The stated maturity was extended by three years, the reinvestment period by five years, the non-call period by two years, and the weighted average life test date by two and a half years. -- The class F-R and X-R notes were 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. -- Of the identified underlying collateral obligations, 100% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 96.37% 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 rating actions as we deem necessary." RATINGS ASSIGNED GoldenTree Loan Management US CLO 7 Ltd./GoldenTree Loan Management US CLO 7 LLC (Refinancing And Extension) 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 were 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. RATINGS WITHDRAWN Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB- (sf) E NR BB- (sf) NR--Not rated. GOLUB CAPITAL 19(B)-R2: S&P Assigns BB- (sf) Rating on E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Golub Capital Partners CLO 19(B)-R2 Ltd./Golub Capital Partners CLO 19(B)-R2 LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Golub Capital Partners CLO 19(B)-R2 Ltd. Class A-R2, $325.00 million: AAA (sf) Class B-1-R2, $32.00 million: AA (sf) Class B-2-R2, $48.28 million: AA (sf) Class C-R2, $29.40 million: A (sf) Class D-R2, $32.10 million: BBB- (sf) Class E-R2, $18.75 million: BB- (sf) Subordinated notes, $54.12 million: Not rated GREYWOLF CLO II: S&P Assigns BB- (sf) Rating on Class D Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A, A-1S, A-2J, A2-a, A2-b, B-1, B-2, C-1, C-2, and D notes from Greywolf CLO II Ltd./Greywolf CLO II LLC, a CLO originally issued in October 2017 that is managed by Greywolf Loan Management L.P. The replacement notes were issued via a supplemental indenture. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the April 15, 2021 refinancing date, the proceeds from the issuance of the replacement notes redeemed the original notes. At that time, S&P withdrew the ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-1S notes were issued at a lower spread over three-month LIBOR than the original notes, and the replacement class D notes were 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 were 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 were issued at floating spread, replacing the class C-R notes. -- The stated maturity and reinvestment period were extended 4.5 years. -- The workout loan provisions were modified. -- The portfolio was 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. 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-BACKED 2021-PJ4: Fitch Rates B-5 Certs 'B(EXP)' ----------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ4 (GSMBS 2021-PJ4) as indicated. The transaction is expected to close on April 30, 2021. The certificates are supported by 630 nonconforming mortgage loans with a total balance of approximately $622.1 million as of the cutoff date. DEBT RATING ---- ------ GSMBS 2021-PJ4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AA+(EXP)sf Expected Rating A-4 LT AA+(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-7-X 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-11-X 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-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-18-X LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AA+(EXP)sf Expected Rating A-X-1 LT AA+(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AA+(EXP)sf Expected Rating A-X-4 LT AA+(EXP)sf Expected Rating A-X-5 LT AAA(EXP)sf Expected Rating A-X-9 LT AAA(EXP)sf Expected Rating A-X-13 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists almost entirely of 30-year and one 20-year fixed-rate mortgage (FRM) fully amortizing loans seasoned approximately four months in aggregate. The borrowers in this pool have strong credit profiles (770 model FICO) and relatively low leverage (a 74.7% sustainable loan to value ratio [sLTV]). The 100% full documentation collateral comprises of 100% nonconforming prime-jumbo loans, while 100% of the loans are safe harbor qualified mortgages (SHQM). Of the pool, 98.4% are of loans for which the borrower maintains a primary residence, while 1.6% are for second homes. Additionally, 87.0% of the loans were originated through a retail channel. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared with a sequential or modified sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.90% of the original balance will be maintained for the senior certificates, and a subordination floor of 0.60% of the original balance will be maintained for the subordinate certificates. Shellpoint Servicing will provide full advancing for the life of the transaction. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Low Operational Risk: Operational risk is well controlled for in this transaction. Goldman Sachs is assessed as an 'Above Average' aggregator by Fitch due to its robust sourcing strategy and seller oversight, experienced senior management and staff, and strong risk management and corporate governance controls. Fitch conducted reviews on more than 95% of the originators in this transaction, all of which are considered at least an 'Average' Originator by industry standards. Primary servicing responsibilities are performed by Shellpoint Mortgage Servicing (Shellpoint), rated 'RPS2' by Fitch. Fitch did not adjust its expected losses based on these operational assessments. Updated Economic Risk Factor (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 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 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 and lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to 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. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 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. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E). Third-party due diligence was performed on 100% of the loans in the transaction. Due diligence was performed by AMC, Opus, Consolidated Analytics, and Digital Risk, which Fitch assesses as Acceptable - Tier 1, Acceptable - Tier 2, Acceptable - Tier 3, and Acceptable - Tier 2 respectively. The review scope is consistent with Fitch criteria, and the results are generally similar to prior prime RMBS transactions. Credit exceptions were supported by strong mitigating factors, and compliance exceptions were primarily cured with subsequent documentation. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Opus, Consolidated Analytics, and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of 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. GUGGENHEIM CLO 2020-1: S&P Assigns BB-(sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, and D-R replacement notes, from Guggenheim CLO 2020-1 Ltd., a CLO originally issued in May 2020 that is managed by Guggenheim Partners Investment Management LLC. S&P also assigned its ratings to the class E-R notes, which are not part of the existing structure. At the same time, S&P withdrew its ratings on the original class A, B, C, and D notes following payment in full on the April 15, 2021 refinancing date. On the April 15, 2021 refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A, 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 we are assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- 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-R notes are being issued in connection with this refinancing and are not a part of the existing structure; -- Of the identified underlying collateral obligations, 98.97% have credit ratings assigned by S&P Global Ratings; and -- 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. "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." 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 Guggenheim CLO 2020-1 Ltd./Guggenheim CLO 2020-1 LLC 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-R (deferrable), $12.80 mil.: BB- (sf) Other Outstanding Notes Guggenheim CLO 2020-1 Ltd./Guggenheim CLO 2020-1 LLC Subordinated notes, $55.00 mil.: Not rated Ratings Withdrawn Guggenheim CLO 2020-1 Ltd./Guggenheim CLO 2020-1 LLC Class A: to Not rated from 'AAA (sf)' Class B: to Not rated from 'AA (sf)' Class C (deferrable): to Not rated from 'A (sf)' Class D (deferrable): to Not rated from 'BBB- (sf)' IVY HILL XVIII: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Ivy Hill Middle Market Credit Fund XVIII Ltd./Ivy Hill Middle Market Credit Fund XVIII LLC's floating- and fixed-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 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral 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 Ivy Hill Middle Market Credit Fund XVIII Ltd./ Ivy Hill Middle Market Credit Fund XVIII LLC Class A, $282.50 million: AAA (sf) Class B-1, $45.00 million: AA (sf) Class B-2, $20.00 million: AA (sf) Class C, $37.50 million: A (sf) Class D, $22.50 million: BBB- (sf) Class E, $30.00 million: BB- (sf) Subordinated notes, $35.63 million: not rated KAYNE CLO 11: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Kayne CLO 11 Ltd./Kayne CLO 11 LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of April 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral 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 Kayne CLO 11 Ltd./Kayne CLO 11 LLC Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $14.0 million: BB- (sf) Subordinated notes, $44.7 million: Not rated LONGFELLOW PLACE: S&P Raises Class D-RR Notes Rating BB+ (sf) ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R3, B-R3, and C-R3 replacement notes from Longfellow Place CLO Ltd., a CLO originally issued in 2013 that is managed by First Eagle Alternative Credit LLC, and withdrew its ratings on the original class A-RR, B-RR, and C-RR notes. At the same time, S&P affirmed its ratings on the class D-RR and E-RR notes. On the April 15, 2021 refinancing date, the proceeds from the class A-R3, B-R3, and C-R3 replacement note issuances were used to redeem the original class A-RR, B-RR, and C-RR 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 assigned ratings to the replacement notes. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." 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. 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 Longfellow Place CLO Ltd. Replacement class A-R3, $291.76 million: AAA (sf) Replacement class B-R3, $87.70 million: AA (sf) Replacement class C-R3, $28.80 million: A- (sf) Ratings Affirmed Longfellow Place CLO Ltd. Class D-RR: BB+ (sf) Class E-RR: CCC+ (sf) Ratings Withdrawn Longfellow Place CLO Ltd. Class A-RR to not rated from 'AAA (sf)' Class B-RR to not rated from 'AA (sf)' Class C-RR to not rated from 'A- (sf)' MADISON PARK XXXV: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, B-R, C-R, D-R, and E-R replacement notes from Madison Park Funding XXXV Ltd./Madison Park Funding XXXV LLC, a CLO originally issued in May 2019 that is managed by Credit Suisse Asset Management LLC. At the same time, we withdrew our ratings on the original class A-1, B, C, D, and E notes following their full redemption. S&P did not rate the class A-2A and A-2B notes and it will not rate the class A-2A-R and A-2B-R notes. The replacement notes are being issued via a proposed supplemental indenture. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches, as well as qualitative factors. "The ratings reflect our view of the credit support available to the refinanced notes after examining the new and lower spreads, which reduce the transaction's overall cost of funding. "We will continue to review whether the ratings on the notes remain consistent, in our view, with the credit enhancement available to support them, and take rating actions as we deem necessary." Ratings Assigned Madison Park Funding XXXV Ltd./Madison Park Funding XXXV LLC Replacement class A-1-R, $480.00 million: AAA (sf) Replacement class B-R, $80.00 million: AA (sf) Replacement class C-R, $56.00 million: A (sf) Replacement class D-R, $44.00 million: BBB- (sf) Replacement class E-R, $30.25 million: BB- (sf) Ratings Withdrawn Madison Park Funding XXXV Ltd./Madison Park Funding XXXV LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' NR--Not rated. MAGNETITE XIX: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Magnetite XIX Ltd./Magnetite XIX 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 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 bankruptcy remote. Ratings Assigned Magnetite XIX Ltd./Magnetite XIX LLC Class X-R, $5.00 million: AAA (sf) Class A-R, $320.00 million: AAA (sf) Class B-1R, $45.00 million: AA (sf) Class B-2R, $15.00 million: AA (sf) Class C-R, $30.00 million: A (sf) Class D-R, $30.00 million: BBB- (sf) Class E-R, $18.75 million: BB- (sf) Class F-R, $10.50 million: B- (sf) Subordinated notes, $44.00 million: Not rated MAGNETITE XIX: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Magnetite XIX Ltd.'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 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Magnetite XIX Ltd. Class X-R, $5.00 million: AAA (sf) Class A-R, $320.00 million: AAA (sf) Class B-1R, $45.00 million: AA (sf) Class B-2R, $15.00 million: AA (sf) Class C-R, $30.00 million: A (sf) Class D-R, $30.00 million: BBB- (sf) Class E-R, $18.75 million: BB- (sf) Class F-R, $10.50 million: B- (sf) Subordinated notes, $44.00 million: Not rated MIDOCEAN CREDIT VI: S&P Assigns B- (sf) Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned ratings to Midocean Credit CLO VI Ltd.'s floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Midocean Credit CLO VI Ltd./Midocean Credit CLO VI LLC Class X, $2.25 million: AAA (sf) Class A-RR, $256.00 million: AAA (sf) Class B-RR, $48.00 million: AA (sf) Class C-1R, $12.00 million: A (sf) Class C-2AR, $6.00 million: AA- (sf) Class C-2BR, $6.00 million: A (sf) Class D-1R, $15.00 million: BBB- (sf) Class D-2AR, $6.75 million: BBB (sf) Class D-2BR, $2.25 million: BBB- (sf) Class E-RR, $15.00 million: BB- (sf) Class F, $4.00 million: B- (sf) Subordinated notes, $34.70 million: Not rated MIDOCEAN CREDIT VI: S&P Assigns Prelim B- (sf) Rating on F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Midocean Credit CLO VI 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 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Midocean Credit CLO VI Ltd./Midocean Credit CLO VI LLC Class X, $2.25 million: AAA (sf) Class A-RR, $256.00 million: AAA (sf) Class B-RR, $48.00 million: AA (sf) Class C-1R, $12.00 million: A (sf) Class C-2AR, $6.00 million: A (sf) Class C-2BR, $6.00 million: A (sf) Class D-1R, $15.00 million: BBB- (sf) Class D-2AR, $6.75 million: BBB (sf) Class D-2BR, $2.25 million: BBB- (sf) Class E-RR, $15.00 million: BB- (sf) Class F, $4.00 million: B- (sf) Subordinated notes, $34.70 million: Not rated NEUBERGER BERMAN 31: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Neuberger Berman Loan Advisers CLO 31 Ltd., a collateralized loan obligation (CLO) originally issued in 2019 that is managed by Neuberger Berman Loan Advisers LLC. On the April 20, 2021 refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A-1, A-2A, A-2B, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes following their full redemption. 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 rating actions as we deem necessary." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Neuberger Berman Loan Advisors CLO 31 Ltd. Replacement class A-R, AAA (sf): $320.00 million Replacement class B-R, AA (sf): $60.00 million Replacement class C-R, A (sf): $30.00 million Replacement class D-R, BBB- (sf): $30.00 million Replacement class E-R, BB- (sf): $20.00 million Ratings Withdrawn Neuberger Berman Loan Advisors CLO 31 Ltd. Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' NR--Not rated. OAKTREE CLO 2019-2: S&P Affirms B (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1aR, A-1bR, A-2R, and BR replacement notes from Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC, a CLO originally issued in May 2019 that is managed by Oaktree Capital Management L.P. At the same time, S&P withdrew its ratings on the original class A-1a, A-2, B-1, and B-2, and affirmed its ratings on the class C and D notes. On the April 15, 2021, refinancing date, the proceeds from the class A-1aR, A-1bR, A-2R, and BR replacement note issuances were used to redeem the original class A-1a, A-1b, A-2, B-1, and B-2 notes, as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our ratings on the original class A-1a, A-2, B-1, and B-2 notes in line with their full redemption and assigned ratings to the replacement notes. We did not rate the class A-1b notes, and the floating-rate class B-1 and fixed-rate class B-2 notes were replaced with the new floating-rate class BR notes." The replacement notes are being issued via a proposed supplemental indenture. The affirmed ratings on the class C and D notes were unaffected by the amendment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches, as well as qualitative factors. "The ratings reflect our view of the credit support available to the refinanced notes after examining the new and lower spreads, which reduce the transaction's overall cost of funding. "We will continue to review whether the ratings on the notes remain consistent, in our view, with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Affirmed Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC Class C: BB+ (sf) Class D: B (sf) Ratings Withdrawn Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC Class A-1a to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B-1 to NR from 'A (sf)' Class B-2 to NR from 'A (sf)' Other Outstanding Notes Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC Subordinated notes: NR NR--Not rated. OCTAGON 53: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Octagon 53 Ltd./Octagon 53 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 preliminary ratings are based on information as of April 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Octagon 53 Ltd./Octagon 53 LLC Class A, $310.00 million: AAA (sf) Class B, $70.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $48.05 million: NR OHA CREDIT 2: S&P Assigns BB- (sf) Rating on $22.5MM E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R, A-R, A-L loans, A-L notes, B-R, B-L loans, B-L notes, C-R, D-R, and E-R notes from OHA Credit Funding 2 Ltd./OHA Credit Funding 2 LLC, a collateralized loan obligation (CLO) originally issued in April 2019 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 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 21, 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 X-R, A-R, A-L loans, A-L notes, B-R, B-L loans, B-L notes, C-R, D-R, and E-R notes are expected to be issued at a lower spread over three-month LIBOR than the original notes. -- The reinvestment period will be extended two years. -- There will be a two-year non-call period. -- The stated maturity will be extended three years. -- The class X-R notes issued in connection with this refinancing are expected to be paid down using interest proceeds during the first eight 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. -- 97.51% of the identified 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 OHA Credit Funding 2 Ltd./OHA Credit Funding 2 LLC Class X-R, $3.00 million: AAA (sf) Class A-R, $111.60 million: AAA (sf) Class A-L loans, $260.40 million: AAA (sf) Class A-L notes(i) $0.00million: AAA (sf) Class B-R, $42.00 million: AA (sf) Class B-L loans, $42.00 million: AA (sf) Class B-L notes(ii), $0.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-R (deferrable): $36.00 million: BBB- (sf) Class E-R (deferrable), $22.50 million: BB- (sf) Subordinated notes, $50.90 million: not rated (i)The class A-L notes will not have an outstanding principal amount on the closing date. It may be increased to up to U.S.$260,400,000 in aggregate upon the exercise of the conversion option, which will convert the class A-L loans into the class A-L notes pursuant to Section 2.6(o) of the indenture, and the outstanding principal amount of the class A-L loans may be reduced accordingly. The class A-L loans are not being issued pursuant to this Indenture. At the election of a class A-L lender, all or a portion of the outstanding principal amount of the class A-L loans held by such class A-L lender may be converted into class A-L notes, in which case the aggregate outstanding amount of the class A-L notes will be increased by the amount of the class A-L Loans so converted. (ii)The class B-L notes will not have an outstanding principal amount on the closing date. It may be increased to up to U.S.$42,000,000 in aggregate upon the exercise of the conversion option, which will convert the class B-L loans into the class B-L notes pursuant to Section 2.6(o) of the indenture, and the outstanding principal amount of the class B-L loans may be reduced accordingly. The class B-L loans are not being issued pursuant to this indenture. At the election of a class B-L lender, all or a portion of the outstanding principal amount of the class B-L loans held by such class B-L lender may be converted into class B-L notes, in which case the aggregate outstanding amount of the class B-L notes will be increased by the amount of the class B-L loans so converted. OHA CREDIT X-R: S&P Assigns BB- (sf) Rating on Class F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, 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 were issued via a supplemental indenture. On the April 20, 2021 refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original notes. As a result, S&P has withdrawn 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 outlined the following: -- Issued the replacement class B-R and C-R notes at a lower spread than the original notes. -- Issued the replacement class E-R notes at a higher spread than the original notes. -- Combined the original class A-1, A-2a, and A-2b notes into one class, the class A-R notes. -- Separated the original class D notes into class D-1-R and D-2-R notes, which are paid sequentially. -- Extended the reinvestment period and non-call period by approximately 2.35 years. -- Extended 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 rating actions as we deem necessary." 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-1-R (deferrable), $30.00 million: BBB (sf) Class D-2-R (deferrable), $10.50 million: BBB- (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Subordinated notes, $101.50 million: NR Ratings Withdrawn OHA Credit Partners X-R Ltd./OHA Credit Partners X-R LLC Class A-1: to NR from 'AAA (sf)' Class B: to NR from 'AA (sf)' Class C: to NR from 'A (sf)' Class D: to NR from 'BBB- (sf)' Class E: to NR from 'BB- (sf)' Class F: to NR from 'B- (sf)' NR--Not rated. OZLM LTD XXIII: Moody's Rates $26.25MM Class E-R Notes 'Ba3' ------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by OZLM XXIII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$3,000,000 Class X Senior Secured Floating Rate Notes Due 2034 (the "Class X Notes"), Assigned Aaa (sf) US$320,000,000 Class A-R Senior Secured Floating Rate Notes Due 2034 (the "Class A-R Notes"), Assigned Aaa (sf) US$37,650,000 Class B-1-R Senior Secured Floating Rate Notes Due 2034 (the "Class B-1-R Notes"), Assigned Aa2 (sf) US$22,350,000 Class B-2-R Senior Secured Fixed Rate Notes Due 2034 (the "Class B-2-R Notes"), Assigned Aa2 (sf) US$23,750,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2034 (the "Class C-R Notes"), Assigned A2 (sf) US$30,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes Due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf) US$26,250,000 Class E-R Secured Deferrable Floating Rate Notes Due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and senior secured bonds. Sculptor Loan Management LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Moody's Default Probability Rating " and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2795 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around 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 regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. PARK AVENUE 2018-1: S&P Affirms BB- (sf) Rating on Class D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1A-R, A-1B-R, A-2-R, and B-R replacement notes from Park Avenue Institutional Advisers CLO Ltd. 2018-1/Park Avenue Institutional Advisers CLO LLC 2018-1, a CLO originally issued in November 2018 that is managed by Park Avenue Institutional Advisers LLC. At the same time, S&P withdrew its ratings on the original class A-1A, A-2, and B notes in line with their full redemption, and affirmed its ratings on the class C and D notes. S&P did not rate the original class A-1B notes. The replacement notes are being issued via a proposed supplemental indenture. The affirmed ratings on the class C and D notes were unaffected by the amendment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches, as well as qualitative factors. "The ratings reflect our view of the credit support available to the refinanced notes after examining the new and lower spreads, which reduce the transaction's overall cost of funding. "We will continue to review whether the ratings on the notes remain consistent, in our view, with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Park Avenue Institutional Advisers CLO Ltd. 2018-1/Park Avenue Institutional Advisers CLO LLC 2018-1 Replacement class A-1A-R, $238.00 million: AAA (sf) Replacement class A-1B-R, $10.00 million: AAA (sf) Replacement class A-2-R, $57.00 million: AA (sf) Replacement class B-R, $22.00 million: A (sf) Ratings Withdrawn Park Avenue Institutional Advisers CLO Ltd. 2018-1/ Park Avenue Institutional Advisers CLO LLC 2018-1 Class A-1A to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' NR--Not rated. Ratings Affirmed Park Avenue Institutional Advisers CLO Ltd. 2018-1/ Park Avenue Institutional Advisers CLO LLC 2018-1 Class C: BBB- (sf) Class D: BB- (sf) Other Outstanding Notes Park Avenue Institutional Advisers CLO Ltd. 2018-1/ Park Avenue Institutional Advisers CLO LLC 2018-1 Sub notes: Not rated. PRMI 2021-1: S&P Assigns Prelim B (sf) Rating on Class B-5 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to PRMI Securitization Trust 2021-1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by residential mortgage loans. The preliminary ratings are based on information as of April 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- 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 in California; -- The mortgage aggregator, PR Mortgage Investment LP, and the mortgage originator, Owning Corp. in our transaction-specific review; -- 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. Preliminary Ratings Assigned PRMI Securitization Trust 2021-1(i) Class A-1, $227,675,000: AAA (sf) Class A-1A, $455,350,000: AAA (sf) Class A-1B, $455,350,000: AAA (sf) Class A-1C, $455,350,000: AAA (sf) Class A-2, $203,710,000: AAA (sf) Class A-2A, $407,420,000: AAA (sf) Class A-2B, $407,420,000: AAA (sf) Class A-2C, $407,420,000: AAA (sf) Class A-3, $152,785,000: AAA (sf) Class A-3A, $305,570,000: AAA (sf) Class A-3B, $305,570,000: AAA (sf) Class A-3C, $305,570,000: AAA (sf) Class A-4, $50,925,000: AAA (sf) Class A-4A, $101,850,000: AAA (sf) Class A-4B, $101,850,000: AAA (sf) Class A-4C, $101,850,000: AAA (sf) Class A-5, $23,965,000: AAA (sf) Class A-5A, $47,930,000: AAA (sf) Class A-5B, $47,930,000: AAA (sf) Class A-5C, $47,930,000: AAA (sf) Class A-6, $8,050,000: AAA (sf) Class A-6A, $16,100,000: AAA (sf) Class A-6B, $16,100,000: AAA (sf) Class A-6C, $16,100,000: AAA (sf) Class A-7, $42,875,000: AAA (sf) Class A-7A, $85,750,000: AAA (sf) Class A-7B, $85,750,000: AAA (sf) Class A-7C, $85,750,000: AAA (sf) Class A-1XA, $455,350,000(ii): AAA (sf) Class A-1XB, $455,350,000(ii): AAA (sf) Class A-2XA, $407,420,000(ii): AAA (sf) Class A-2XB, $407,420,000(ii): AAA (sf) Class A-3XA, $305,570,000(ii): AAA (sf) Class A-3XB, $305,570,000(ii): AAA (sf) Class A-4XA, $101,850,000(ii): AAA (sf) Class A-4XB, $101,850,000(ii): AAA (sf) Class A-5XA, $47,930,000(ii): AAA (sf) Class A-5XB, $47,930,000(ii): AAA (sf) Class A-6XA, $16,100,000(ii): AAA (sf) Class A-6XB, $16,100,000(ii): AAA (sf) Class A-7XA, $85,750,000(ii): AAA (sf) Class A-7XB, $85,750,000(ii): AAA (sf) Class A-X, $455,350,000(ii): AAA (sf) Class B-1, $8,635,000: AA (sf) Class B-2, $5,512,000: A (sf) Class B-3, $4,314,000: BBB (sf) Class B-4, $1,678,000: BB (sf) Class B-5, $1,438,000: B (sf) Class B-6, $2,396,601: not rated Class A-IO-S, $479,323,601: not rated Class R, not applicable: not rated (i)The preliminary ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional balance. PSMC 2021-1 TRUST: Fitch Assigns B+ Rating on Class B-5 Debt ------------------------------------------------------------ Fitch Ratings assigns ratings to American International Group, Inc.'s (AIG) PSMC 2021-1 Trust (PSMC 2021-1). DEBT RATING PRIOR ---- ------ ----- PSMC 2021-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-26 LT AAAsf New Rating AAA(EXP)sf A-X1 LT AAAsf New Rating AAA(EXP)sf A-X2 LT AAAsf New Rating AAA(EXP)sf A-X3 LT AAAsf New Rating AAA(EXP)sf A-X4 LT AAAsf New Rating AAA(EXP)sf A-X5 LT AAAsf New Rating AAA(EXP)sf A-X6 LT AAAsf New Rating AAA(EXP)sf A-X7 LT AAAsf New Rating AAA(EXP)sf A-X8 LT AAAsf New Rating AAA(EXP)sf A-X9 LT AAAsf New Rating AAA(EXP)sf A-X10 LT AAAsf New Rating AAA(EXP)sf A-X11 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT A+sf New Rating A+(EXP)sf B-3 LT BBB+sf New Rating BBB+(EXP)sf B-4 LT BB+sf New Rating BB+(EXP)sf B-5 LT B+sf New Rating B+(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 514 loans with a total balance of approximately $426.41 million as of the cutoff date. Since the expected ratings were issued, six loans were dropped from the collateral pool so as of the closing date, the certificated are supported by 508 loans totaling approximately $420.19 million. The pool consists of prime fixed-rate mortgages (FRMs) acquired by subsidiaries of American International Group, Inc. (AIG) from various mortgage originators. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality, 30-year fixed-rate, fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of six months. The pool has a weighted average (WA) original FICO score of 781, which is indicative of very high credit-quality borrowers. Approximately 90.3% of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value ratio of 67.0% represents substantial borrower equity in the property and reduced default risk. Geographic Concentration (Neutral): The pool is geographically diverse and, as a result, no geographic concentration penalty was applied. Approximately 38% of the pool is located in California, which is in line with other recent Fitch-rated transactions. The top three MSAs account for 29.9% of the pool. The largest MSA concentration is in the San Francisco MSA (14.1%), followed by the Los Angeles MSA (8.9%) and the Washington DC MSA (6.8%). Straightforward Deal Structure (Neutral): 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. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.95% of the original balance will be maintained for the certificates. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five years following deal closing. Servicer Advancing (Mixed): The servicer is required to make monthly advances of delinquent P&I payments to the bondholders to the extent that it is deemed recoverable. While this feature provides liquidity to the bonds, it results in higher loss severities as these amounts need to be recouped out of liquidation proceeds. In the event the servicer is unable to make the advances, they will be funded by Wells Fargo as Master Servicer. 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 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. 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 8.9% in the base case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by 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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Recovco and EdgeMac. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation for each loan and is consistent with Fitch criteria. The due diligence companies performed a review on 100% of the loans. The results indicate high quality loan origination practices that are consistent with non-agency prime RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: loans with due diligence received a credit in the loss model. This adjustment reduced the 'AAAsf' expected losses by 15 bps. ESG CONSIDERATIONS PSMC 2021-1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to well-controlled operational risk that includes strong R&W framework, transaction due diligence results, an 'Above Average' aggregator, and an 'Above Average' master servicer, all of which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. RESIDENTIAL 2021-I: S&P Assigns Prelim 'BB-' on Class 14 Notes -------------------------------------------------------------- S&P Global Ratings assigned a preliminary 'BB- (sf)' rating to the Series 2021-I Class 14 notes to be issued by Residential Reinsurance 2021 Ltd. (Res Re 2021). The notes cover losses in all 50 states in the U.S. and the District of Columbia from tropical cyclone (including flood coverage for renters policies), earthquake (including fire following and flood coverage for renters policies), severe thunderstorm, winter storm, wildfire, volcanic eruption, meteorite impact, and other perils (including, in each case, flood losses arising from automobile policies and renters policies) on an annual aggregate indemnity basis. The rating reflects the lowest of: the natural-catastrophe (nat-cat) risk factor ('bb-'); the rating on the assets in the Regulation 114 trust account ('AAAm'); and the rating on the ceding insurer, various operating companies in the USAA group. (all rated AA+/Stable/--). The initial base-case, one-year probability of attachment, expected loss, and probability of exhaustion figures are 0.97%, 0.61%, and 0.39%, respectively--using WSST sensitivity results, these percentages are 1.17%, 0.75%, and 0.48%, respectively. This issuance has a variable reset. Beginning with the first annual reset in June 2022, the attachment probability and expected loss can be reset to maximum of 1.47% and 0.86%, respectively. S&P used the maximum attachment probability as the baseline to determine the nat-cat risk factor for the remaining risk periods. Based on AIR's analysis, on a historical basis, there have not been any years when the modelled losses exceeded the initial attachment level of the notes. ROCKFORD TOWER 2017-1: Moody's Rates $17MM Class E-R2 Notes 'Ba3' ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of CLO refinancing notes issued by Rockford Tower CLO 2017-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$3,000,000 Class X Senior Secured Floating Rate Notes due 2034 (the "Class X Notes"), Assigned Aaa (sf) US$320,000,000 Class A-R2 Senior Secured Floating Rate Notes due 2034 (the "Class A-R2 Notes"), Assigned Aaa (sf) US$40,250,000 Class B-R2a Senior Secured Floating Rate Notes due 2034 (the "Class B-R2a Notes"), Assigned Aa2 (sf) US$19,750,000 Class B-R2b Senior Secured Fixed Rate Notes due 2034 (the "Class B-R2b Notes"), Assigned Aa2 (sf) US$25,000,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C-R2 Notes"), Assigned A2 (sf) US$20,000,000 Class D-R2a Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D-R2a Notes"), Assigned Baa2 (sf) US$12,500,000 Class D-R2b Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D-R2b Notes"), Assigned Baa3 (sf) US$17,500,000 Class E-R2 Junior Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R2 Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets, provided that no more than 5.0% of the portfolio consists of permitted non-loan assets and no more than 2.5% of the portfolio consists of unsecured bonds. Rockford Tower Capital Management, L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Moody's Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2887 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 8.51 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 regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. SIGNAL PEAK 1: S&P Assigns B- (sf) Rating on Class F-R3 Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 SYMPHONY CLO XXV: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to thirty-eight classes of notes issued by Symphony CLO XXV, Ltd. (the "Issuer" or "Symphony XXV"). Moody's rating action is as follows: US$1,250,000 Class X Amortizing Senior Secured Floating Rate Notes due 2034 (the "Class X Notes"), Assigned Aaa (sf) US$315,000,000 Class A Senior Secured Floating Rate Notes due 2034 (the "Class A Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-1 Floating Rate MASCOT Notes due 2034 (the "Class A-1 Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-1X Interest Only Notes* due 2034 (the "Class A-1X Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-2 Floating Rate MASCOT Notes due 2034 (the "Class A-2 Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-2X Interest Only Notes* due 2034 (the "Class A-2X Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-3 Floating Rate MASCOT Notes due 2034 (the "Class A-3 Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-3X Interest Only Notes* due 2034 (the "Class A-3X Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-4 Floating Rate MASCOT Notes due 2034 (the "Class A-4 Notes"), Assigned Aaa (sf) Up to US$315,000,000 Class A-4X Interest Only Notes* due 2034 (the "Class A-4X Notes"), Assigned Aaa (sf) US$65,000,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-1 Floating Rate MASCOT Notes due 2034 (the "Class B-1 Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-1X Interest Only Notes* due 2034 (the "Class B-1X Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-2 Floating Rate MASCOT Notes due 2034 (the "Class B-2 Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-2X Interest Only Notes* due 2034 (the "Class B-2X Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-3 Floating Rate MASCOT Notes due 2034 (the "Class B-3 Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-3X Interest Only Notes* due 2034 (the "Class B-3X Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-4 Floating Rate MASCOT Notes due 2034 (the "Class B-4 Notes"), Assigned Aa2 (sf) Up to US$65,000,000 Class B-4X Interest Only Notes* due 2034 (the "Class B-4X Notes"), Assigned Aa2 (sf) US$31,250,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-1 Floating Rate MASCOT Notes due 2034 (the "Class C-1 Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-1X Interest Only Notes* due 2034 (the "Class C-1X Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-2 Floating Rate MASCOT Notes due 2034 (the "Class C-2 Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-2X Interest Only Notes* due 2034 (the "Class C-2X Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-3 Floating Rate MASCOT Notes due 2034 (the "Class C-3 Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-3X Interest Only Notes* due 2034 (the "Class C-3X Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-4 Floating Rate MASCOT Notes due 2034 (the "Class C-4 Notes"), Assigned A2 (sf) Up to US$31,250,000 Class C-4X Interest Only Notes* due 2034 (the "Class C-4X Notes"), Assigned A2 (sf) US$28,750,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-1 Floating Rate MASCOT Notes due 2034 (the "Class D-1 Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-1X Interest Only Notes* due 2034 (the "Class D-1X Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-2 Floating Rate MASCOT Notes due 2034 (the "Class D-2 Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-2X Interest Only Notes* due 2034 (the "Class D-2X Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-3 Floating Rate MASCOT Notes due 2034 (the "Class D-3 Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-3X Interest Only Notes* due 2034 (the "Class D-3X Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-4 Floating Rate MASCOT Notes due 2034 (the "Class D-4 Notes"), Assigned Baa3 (sf) Up to US$28,750,000 Class D-4X Interest Only Notes* due 2034 (the "Class D-4X Notes"), Assigned Baa3 (sf) US$18,800,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Assigned Ba3 (sf) * Reflects interest-only classes The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, the Class A-1 Notes, the Class A-1X Notes, the Class A-2 Notes, the Class A-2X Notes, the Class A-3 Notes, the Class A-3X Notes, the Class A-4 Notes, the Class A-4X Notes, the Class B-1 Notes, the Class B-1X Notes, the Class B-2 Notes, the Class B-2X Notes, the Class B-3 Notes, the Class B-3X Notes, the Class B-4 Notes, the Class B-4X Notes, the Class C-1 Notes, the Class C-1X Notes, the Class C-2 Notes, the Class C-2X Notes, the Class C-3 Notes, the Class C-3X Notes, the Class C-4 Notes, the Class C-4X Notes, the Class D-1 Notes, the Class D-1X Notes, the Class D-2 Notes, the Class D-2X Notes, the Class D-3 Notes, the Class D-3X Notes, the Class D-4 Notes, and the Class D-4X Notes are referred to herein, collectively, as the "Rated Notes." The Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes are exchangeable in part or in full for one of various combinations specified in the indenture consisting of (1) a corresponding MASCOT principal and interest note (the "MASCOT P&I Notes") with the same principal balance as the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes surrendered, but with a reduced interest rate and (2) interest only notes with a notional balance equal to the principal balance of the MASCOT P&I Notes received and with a fixed interest rate equal to the reduction in the note interest rate of the related MASCOT P&I Notes (the "MASCOT Notes"). The MASCOT Notes may be subsequently exchanged for Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes. The MASCOT Notes combinations with respect to the Class A Notes are the Class A-1 Notes and the Class A-1X Notes, the Class A-2 Notes and the Class A-2X Notes, the Class A-3 Notes and the Class A-3X Notes, and the Class A-4 Notes and the Class A-4X Notes. At closing, the Class A-1 Notes, the Class A-2 Notes, the Class A-3 Notes, and the Class A-4 Notes have a principal balance of zero. The aggregate outstanding amount of the Class A-1 Notes, the Class A-2 Notes, the Class A-3 Notes, and the Class A-4 Notes will never exceed $315,000,000 less any principal repayments on the Rated Notes. The Class A-1X Notes, the Class A-2X Notes, the Class A-3X Notes, and the Class A-4X Notes are interest only notes, collectively, as "Class A-X Notes", have an aggregate notional amount of zero on the closing date and will not be entitled to any payments of principal. The MASCOT Notes combinations with respect to the Class B Notes are the Class B-1 Notes and the Class B-1X Notes, the Class B-2 Notes and the Class B-2X Notes, the Class B-3 Notes and the Class B-3X Notes, and the Class B-4 Notes and the Class B-4X Notes. At closing, the Class B-1 Notes, the Class B-2 Notes, the Class B-3 Notes, and the Class B-4 Notes have a principal balance of zero. The aggregate outstanding amount of the Class B-1 Notes, the Class B-2 Notes, the Class B-3 Notes, and the Class B-4 Notes will never exceed $65,000,000 less any principal repayments on the Rated Notes. The Class B-1X Notes, the Class B-2X Notes, the Class B-3X Notes, and the Class B-4X Notes are interest only notes, collectively, as "Class B-X Notes", have an aggregate notional amount of zero on the closing date and will not be entitled to any payments of principal. The MASCOT Notes combinations with respect to the Class C Notes are the Class C-1 Notes and the Class C-1X Notes, the Class C-2 Notes and the Class C-2X Notes, the Class C-3 Notes and the Class C-3X Notes, and the Class C-4 Notes and the Class C-4X Notes. At closing, the Class C-1 Notes, the Class C-2 Notes, the Class C-3 Notes, and the Class C-4 Notes have a principal balance of zero. The aggregate outstanding amount of the Class C-1 Notes, the Class C-2 Notes, the Class C-3 Notes, and the Class C-4 Notes will never exceed $31,250,000 less any principal repayments on the Rated Notes. The Class C-1X Notes, the Class C-2X Notes, the Class C-3X Notes, and the Class C-4X Notes are interest only notes, collectively, as "Class C-X Notes", have an aggregate notional amount of zero on the closing date and will not be entitled to any payments of principal. The MASCOT Notes combinations with respect to the Class D Notes are the Class D-1 Notes and the Class D-1X Notes, the Class D-2 Notes and the Class D-2X Notes, the Class D-3 Notes and the Class D-3X Notes, and the Class D-4 Notes and the Class D-4X Notes. At closing, the Class D-1 Notes, the Class D-2 Notes, the Class D-3 Notes, and the Class D-4 Notes have a principal balance of zero. The aggregate outstanding amount of the Class D-1 Notes, the Class D-2 Notes, the Class D-3 Notes, and the Class D-4 Notes will never exceed $28,750,000 less any principal repayments on the Rated Notes. The Class D-1X Notes, the Class D-2X Notes, the Class D-3X Notes, and the Class D-4X Notes are interest only notes, collectively, as "Class D-X Notes", have an aggregate notional amount of zero on the closing date and will not be entitled to any payments of principal. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. The factors that Moody's considers in rating interest only notes depend on the referenced securities to which the notes are linked. Symphony XXV 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 senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second-lien loans, unsecured loans and non-loan assets. The portfolio is approximately 80% ramped as of the closing date. Symphony Alternative Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2860 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% 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 regard 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 rating all classes except interest-only classes 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. TRIANGLE RE 2021-2: Moody's Assigns B2 Rating to Cl. M-2 Notes -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to four classes of mortgage insurance credit risk transfer notes issued by Triangle Re 2021-2 Ltd. Triangle Re 2021-2 Ltd. is the fourth transaction issued under the Triangle Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Genworth Mortgage Insurance Corporation (Genworth, 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, Triangle Re 2021-2 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 Class B-2 coverage level 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: Triangle Re 2021-2 Ltd. Cl. M-1A, Assigned Baa2 (sf) Cl. M-1B, Assigned Baa3 (sf) Cl. M-1C, Assigned Ba2 (sf) Cl. M-2, Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expect this insured pool's aggregate exposed principal balance to incur 2.15% losses in a base case scenario-mean, and 17.94% losses under a Aaa stress scenario. The aggregate exposed principal balance is the product, for all the mortgage loans covered by MI policies, of the unpaid principal balance of each mortgage loan and the MI coverage percentage. 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 7.5% (approximately 6.6% 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 regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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 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 Each mortgage loan has an insurance coverage effective date on or after September 1, 2020, but on or before December 31, 2020. The reference pool consists of 124,119 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 $34 billion. Most of the loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 91.3%. The borrowers in the pool have a weighted average FICO score of 743, a weighted average debt-to-income ratio of 36.4% and a weighted average mortgage rate of 3.0%. The weighted average LTV of 91.3% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent MI CRT and STACR high-LTV transactions. Most of these insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 97.7% covered by BPMI and 2.3% covered by LPMI based on unpaid principal balance. Underwriting Quality Moody's took into account the quality of Genworth's insurance underwriting, risk management and claims payment process in Moody's analysis Lenders submit mortgage loans to Genworth for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without Genworth re-underwriting the loan file. Genworth issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Genworth does not allow exceptions for loans approved through its delegated underwriting program. Lenders eligible under this program must be pre-approved by Genworth. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. For Genworth's overall portfolio, approximately 66% of the loans by unpaid principal balance are insured through delegated underwriting and 34% through non-delegated. Genworth generally aligns with the GSE underwriting guidelines via DU/LP. Genworth restricts its coverage to mortgage loans that meet or exceed its thresholds with respect to borrower Credit Scores, maximum DTI levels, maximum loan-to-value levels and documentation requirements. Genworth's underwriting guidelines also seek to limit the coverage it provides for certain higher-risk mortgage loans, including those for cash-out refinancings, second homes or investment properties, although certain Mortgage Loans covered by the Reinsurance Agreement will contain such higher-risk characteristics. Servicers file a claim within 60 days of taking title or sale of the property. Claims are submitted by uploading or entering on Genworth's website, electronic transfer or paper. Claims documentation include: F/C chronology, servicing notes, invoices, BPOs, closing docs, and modification agreement. All claims are validated and audited by Genworth. Within 90 days after the claim settlement, a supplemental claim may be filed for trailing advances not included on the initial claim for loss. Claims not perfected within 120 days of receipt will be denied. Genworth performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans to ensure that (i) the reported risk exposure of insured mortgage loans is accurately represented; (ii) lenders are submitting loans under delegated authority are adhering to contractual requirements and (iii) internal underwriters are following guidelines and maintaining consistent underwriting standards and processes. Genworth has a solid quality control process to ensure claims are paid timely and accurately. Similar to the above procedure, Genworth's claims management reviews a sample of paid claims each month. Findings are used for performance management as well as identified trends. In addition, there is strong oversight and review from internal and external parties such as GSE audits, Department of Insurance audits, audits from an independent account firm, and Genworth's internal audits and compliance. Genworth is also SOX compliant. Third-Party Review Genworth engaged Opus CMC. 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 than most other MI CRT transactions Moody's rated because the sample size was small (only 325 of the total loans in the initial reference pool). Once the sample size was determined, the files were selected randomly to meet the final sample count of 325 files out of a total of the original 125,389 loan files. Out of the 325 mortgage loans included within the diligence sample, two mortgage loans experienced a Coverage Termination and one mortgage loan went into forbearance (as reported to the Ceding Insurer) during the period from January 1, 2021 to the Cut-off Date of February 28, 2021 (both days inclusive) and, consequently, were removed from the pool of mortgage loans to be reinsured under the Reinsurance Agreement. In spite of the small sample size and a limited TPR scope for Triangle Re 2021-2 Ltd., Moody's did not make an additional adjustment to the loss levels because, (1) approximately 34% of the loans in the reference pool were submitted through non-delegated underwriting, which have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider also reviewed property valuation on 100% of the loans in the sample pool. Credit: The third-party diligence provider reviewed credit on 100% of the 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 Genworth. 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. Reps & Warranties Framework The ceding insurer does not make any representations and warranties to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to other MI CRT transactions. The ceding insurer will retain the senior coverage level A and the B-2 coverage level at closing. 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 tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated Class M-1A, Class M-1B, Class M-1C, Class M-2 and Class B-1 offered notes have credit enhancement levels of 6.25%, 4.80%, 3.75%, 2.50% and 2.25%, 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-2. Investment deficiency amount losses are allocated in a reverse sequential order starting with the class B-1 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: 8.25%). 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), and the deposit amount will be made to the account by the ceding insurance because 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 Baa3. 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 Baa3, 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 Opus Capital Markets Consultants LLC, as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-2 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. 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. TRINITAS CLO XV: S&P Assigns Prelim B-(sf) Rating on Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trinitas CLO XV Ltd./Trinitas CLO XV LLC's floating-rate 100. 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 Trinitas Capital Management LLC. The preliminary ratings are based on information as of April 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Trinitas CLO XV Ltd./Trinitas CLO XV LLC Class A-1, $297.00 million: AAA (sf) Class A-2, $23.00 million: AAA (sf) Class B-1, $50.00 million: AA (sf) Class B-2, $10.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $25.00 million: BBB- (sf) Class E (deferrable), $22.50 million: BB- (sf) Class F (deferrable), $ 5.00 million: B- (sf) Subordinated notes, $48.50 million: Not rated VERDE CLO: Moody's Assigns Ba3 Rating to $23.7MM Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Verde CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$1,700,000 Class X-R Senior Secured Floating Rate Notes Due 2032 (the "X-R Notes"), Assigned Aaa (sf) US$320,000,000 Class A-R Senior Secured Floating Rate Notes Due 2032 (the "A-R Notes"), Assigned Aaa (sf) US$56,400,000 Class B-R Senior Secured Floating Rate Notes Due 2032 (the "B-R Notes"), Assigned Aa2 (sf) US$26,000,000 Class C-R Deferrable Mezzanine Secured Floating Rate Notes Due 2032 (the "C-R Notes"), Assigned A2 (sf) US$29,400,000 Class D-R Deferrable Mezzanine Secured Floating Rate Notes Due 2032 (the "D-R Notes"), Assigned Baa3 (sf) US$23,700,000 Class E-R Deferrable Junior Secured Floating Rate Notes Due 2032 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Invesco RR Fund L.P. (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 remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period related to the Refinancing Notes; changes to certain collateral quality tests; changes to the overcollateralization test levels; the inclusion of alternative benchmark replacement provisions; additions to the CLO's ability to hold workout and restructured assets; and changes to "Moody's Outlook/Review Rules". 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: $493,418,502 Defaulted par: $5,249,381 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3020 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.60% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8 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 the US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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. VERUS SECURITIZATION 2021-2: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2021-2's mortgage-backed notes. Since S&P assigned its preliminary ratings on April 9, 2021, the aggregate notes' balance as of the cut-off date, and the balance of the class B-3 notes, was reduced by approximately $2,514 to adjust for a partial prepayment received. 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 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." 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, $4,778,015: NR Class A-IO-S, notional amount(ii): NR Class XS, notional amount(ii): 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 16, 2021; the ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the loans' stated principal balance. NR--Not rated. VOYA CLO 2017-2: S&P Affirms B+ (sf) Rating on Class D Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, A-2a-R, A-2b-R, B-R, and C-R replacement notes from Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC, a CLO originally issued in June 2017 that is managed by Voya Alternative Asset Management LLC. At the same time, S&P withdrew the ratings on the original class A-1, A-2a, A-2b, B, and C notes, and affirmed its ratings on the class D note. On the April 15, 2021 refinancing date, the proceeds from the class A-1-R, A-2a-R, A-2b-R, B-R, and C-R replacement note issuances were used to redeem the original class A-1, A-2a, A-2b, B, and C notes, as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption and assigned ratings to the replacement notes. The replacement notes are being issued via a proposed supplemental indenture. The affirmed rating on the class D notes was unaffected by the amendment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches, as well as qualitative factors. "The ratings reflect our view of the credit support available to the refinanced notes after examining the new and lower spreads, which reduce the transaction's overall cost of funding. "We will continue to review whether the ratings on the notes remain consistent, in our view, with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC Replacement class A-1-R, $369.00 million: AAA (sf) Replacement class A-2a-R, $77.00 million: AA (sf) Replacement class A-2b-R, $10.00 million: AA (sf) Replacement class B-R, $39.00 million: A (sf) Replacement class C-R, $33.00 million: BBB (sf) Rating Affirmed Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC Class D: B+ (sf) Ratings Withdrawn Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC Class A-1 to NR from 'AAA (sf)' Class A-2a to NR from 'AA (sf)' Class A-2b to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB- (sf)' Other Outstanding Notes Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC Subordinated notes: NR NR--Not rated. WELLS FARGO 2021-C59: Fitch Assigns BB- Rating on 2 Tranches ------------------------------------------------------------ Fitch Ratings has issued a presale report on WFCM 2021-C59, commercial mortgage pass-through certificates series 2021-C59. TRANSACTION SUMMARY Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $21,533,000 Class A-1 'AAAsf'; Outlook Stable; -- $17,221,000 Class A-2 'AAAsf'; Outlook Stable; -- $24,500,000 Class A-3 'AAAsf'; Outlook Stable; -- $25,376,000 Class A-SB 'AAAsf'; Outlook Stable; -- $240,000,000a Class A-4 'AAAsf'; Outlook Stable; -- $0b Class A-4-1 'AAAsf'; Outlook Stable; -- $0bc Class A-4-X1 'AAAsf'; Outlook Stable; -- $0b Class A-4-2 'AAAsf'; Outlook Stable; -- $0bc Class A-4-X2 'AAAsf'; Outlook Stable; -- $249,607,000a Class A-5 'AAAsf'; Outlook Stable; -- $0b Class A-5-1 'AAAsf'; Outlook Stable; -- $0bc Class A-5-X1 'AAAsf'; Outlook Stable; -- $0b Class A-5-2 'AAAsf'; Outlook Stable; -- $0bc Class A-5-X2 'AAAsf'; Outlook Stable; -- $578,237,000c Class X-A 'AAAsf'; Outlook Stable; -- $137,331,000c Class X-B 'A-sf'; Outlook Stable; -- $56,791,000 Class A-S 'AAAsf'; Outlook Stable; -- $0b Class A-S-1 'AAAsf'; Outlook Stable; -- $0bc Class A-S-X1 'AAAsf'; Outlook Stable; -- $0b Class A-S-2 'AAAsf'; Outlook Stable; -- $0bc Class A-S-X2 'AAAsf'; Outlook Stable; -- $41,302,000 Class B 'AA-sf'; Outlook Stable; -- $0b Class B-1 'AA-sf'; Outlook Stable; -- $0bc Class B-X1 'AA-sf'; Outlook Stable; -- $0b Class B-2 'AA-sf'; Outlook Stable; -- $0bc Class B-X2 'AA-sf'; Outlook Stable; -- $39,238,000 Class C 'A-sf'; Outlook Stable; -- $0b Class C-1 'A-sf'; Outlook Stable; -- $0bc Class C-X1 'A-sf'; Outlook Stable; -- $0b Class C-2 'A-sf'; Outlook Stable; -- $0bc Class C-X2 'A-sf'; Outlook Stable; -- $45,433,000cd Class X-D 'BBB-sf'; Outlook Stable; -- $21,684,000cd Class X-F 'BB-sf'; Outlook Stable; -- $25,814,000d Class D 'BBBsf'; Outlook Stable; -- $19,619,000d Class E 'BBB-sf'; Outlook Stable; -- $21,684,000d Class F 'BB-sf'; Outlook Stable; -- $9,293,000de Class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $34,075,065de Class H-RR; (a) The initial certificate balances of class A-4 and class A-5 are not yet known but expected to be $489,607,000 in 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 $50,000,000 - $489,607,000, and the expected class A-5 balance range is $249,607,000-$439,607,000. The balances of classes A-4 and A-5 shown above are the hypothetical balance for A-4 if A-5 were sized at the minimum of its range. In the event that the class A-4 certificates are issued with an initial certificate balance of $489,607,000, the class A-5 certificates will not be issued. (b) Exchangeable Certificates. The class A-4, A-5, A-S, B and C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the corresponding classes of exchangeable certificates. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-2 and A-4-X2. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1 and A-5-X1. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-2 and A-5-X2. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-2 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) classes B-1 and B-X1. Class B may be surrendered (or received) for the received (or surrendered) classes B-2 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) classes C-1 and C-X1. Class C may be surrendered (or received) for the received (or surrendered) classes C-2 and C-X2. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A (e) Horizontal Risk Retention The expected ratings are based on information provided by the issuer as of April 15, 2021. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 63 loans secured by 99 commercial properties having an aggregate principal balance of $826,053,066 as of the cut-off date. The loans were contributed to the trust by Argentic Real Estate Finance LLC, LMF Commercial, LLC, Wells Fargo Bank, National Association, UBS AG, BSPRT CMBS Finance, LLC and Barclays Capital Real Estate Inc. The Master Servicer is expected to be Wells Fargo Bank, National Association and the Special Servicer is expected to be Argentic Services Company LP. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 32.4% of the properties by balance, cash flow analyses of 79.2% of the pool, and asset summary reviews on 100% of the pool. Coronavirus Impact: The ongoing containment effort related to the coronavirus pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense, rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the U.S. federal government can mitigate the impact on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests. KEY RATING DRIVERS Fitch Leverage: This transaction's leverage is slightly higher than other multiborrower transactions recently rated by Fitch. Overall, the pool's Fitch DSCR of 1.29x is lower than the 2020 and 2021 YTD averages of 1.32x and 1.41x, respectively. The pool's trust Fitch LTV of 106.9% is higher than the 2020 and 2021 YTD averages of 99.6% and 101.2%, respectively. Excluding the credit opinion loan (4.4%), Fitch trust DSCR and LTV are 1.25x and 108.9%, respectively. Investment-Grade Credit Opinion Loans: MGM Grand & Mandalay, representing 4.4% of the pool, is the only loan in the pool which received an investment-grade credit opinion. This is down from 24.5% in 2020 and 14.7% in 2021 YTD. MGM Grand & Mandalay Bay received a standalone credit rating of 'BBB+sf'. Above Average Pool Diversification: The top 10 loans comprise 45.0% of the pool by balance. This is a lower concentration than in 2020 or 2021 YTD, with averages of 56.8% and 55.5%, respectively. The Loan Concentration Index (LCI) of 305 is lower than the 2020 and 2021 YTD averages of 440 and 427, respectively. The Sponsor Concentration Index (SCI) of 324 is also lower than the 2020 and 2021 YTD averages of 474 and 468, respectively. Above Average Amortization: Twenty-eight loans (59.2%) are full interest-only loans, which is below the 2020 and 2021 YTD averages of 67.7% and 70.7%, respectively. Fourteen loans (13.0%) are partial interest-only loans which is below with the 2020 and 2021 YTD, both 20.0%. Based on the scheduled balances at maturity, the pool will pay down by 6.8%, which is above the 2020 and 2021 YTD averages of 5.3% and 4.9%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'. 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'. 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: 'AAAsf'/'A+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'Bsf'/'CCCsf'/ 'CCCsf' 20% NCF Decline: 'A+sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf '/'CCCsf'/'CCCsf' 30% NCF Decline: 'BBB+sf'/'BBB-sf'/'BB-sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf' BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. [*] S&P Places Ratings on 54 Classes from 31 US Deals on Watch Neg. ------------------------------------------------------------------- S&P Global Ratings placed its ratings on 54 classes from 31 U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. At the same time, three tranches currently rated in the 'CCC' category were also placed on CreditWatch with negative implications. The CLOs affected by these CreditWatch placements are in their amortization phase, and the CreditWatch positive placements are primarily due to an increase in credit support following paydowns of the senior tranches as the transactions amortize following the end of their reinvestment periods. Most of these CLOs have paid down a significant portion--and, in some cases, all--of their senior-most note balances. The reduced balances of the notes at the top of the capital structure increased the credit support the senior and mezzanine notes, as evidenced by the increase in the overcollateralization (O/C) ratios for these tranches in the trustee reports. While paydowns are generally a positive for tranche credit enhancement, an offsetting factor is that CLOs in their amortization phase can see their portfolios becoming more concentrated. This can lead to instances of CLO mezzanine and junior notes being more exposed to the potential default of lower-rated assets in the portfolio. As a result, most of the notes placed on CreditWatch positive are from the senior part of the capital structure. S&P said, "Under our criteria for analyzing CLOs, we may make qualitative adjustments to our analysis when rating CLO tranches to reflect the likelihood that changes to the credit profile of the underlying assets may affect a portfolio's credit quality (or for other reasons). In our analysis, we considered the sustainability of potential upgrades through various means, including considering factors such as minimum overcollateralization thresholds, lower level of exposure to assets in the 'CCC' category, quality of assets backing the notes, and the existing number of obligors (to ensure diversity). "One of the notes in the rating actions is a combo note; its principal balance declined significantly following the full paydown of one of its components, and the remaining other component's rating is part of the CreditWatch positive placements. We also placed three junior note ratings (all in the 'CCC' category) from three CLOs on CreditWatch with negative implications given that their overcollateralization (O/C) has decreased and they now fail their O/C tests by a significantly wide margin. "We typically resolve CreditWatch placements within 90 days after we complete cash flow analysis and committee review for each of the affected transactions. 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