/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210523.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, May 23, 2021, Vol. 25, No. 142 Headlines AB BSL CLO 2: S&P Assigns BB- (sf) Rating on $17MM Class E Notes ABPCI DIRECT I: S&P Assigns BB- (sf) Rating on Class E-2 Notes ACRES COMMERCIAL 2021-FL1: DBRS Gives Provisional B(low) on G Notes AMSR 2021-SFR1: DBRS Gives Prov. B(low) Rating on Class G Certs ANGEL OAK 2021-2: Fitch Assigns Final B Rating on B-2 Debt APIDOS CLO XXXI: Moody's Rates $27.4MM Class E-R Notes 'Ba3' APRES STATIC CLO 1: Fitch Raises Class E-R Debt Rating to B+ BANK 2019-BNK18: Fitch Affirms B Rating on 2 Debt Tranches BENCHMARK 2021-B25: DBRS Finalizes B(high) Rating on 2 Classes BENCHMARK 2021-B26 MORTGAGE: Fitch Assigns B- Rating on 2 Tranches BRAVO RESIDENTIAL 2021-HE2: Fitch Gives 'B(EXP)' Rating to B-2 Debt BX COMMERCIAL 2021-MC: S&P Assigns B- (sf) Rating on Class F Certs BX TRUST 2019-RP: Fiitch Affirms B- Rating on Class F Certificates CARLYLE GLOBAL 2016-1: S&P Assigns Prelim B- Rating on E-R22 Notes CARLYLE US 2021-4: S&P Assigns BB- (sf) Rating on Class E Notes CD 2019-CD8: DBRS Confirms BB Rating on Class G-RR Certs CENTERBRIDGE CREDIT 1: Moody's Rates $24.5MM Class E Notes 'Ba3' COMM 2013-CCRE12: Fitch Lowers Rating on Class E Debt to Csf COMM 2015-3BP: DBRS Confirms BB(low) Rating on Class F Certs CPS AUTO 2021-B: DBRS Finalizes BB Rating on Class E Notes DROP MORTGAGE 2021-FILE: DBRS Finalizes BB(sf) Rating on 2 Classes DRYDEN 72: S&P Assigns BB- (sf) Rating on Class E-R Notes EATON VANCE 2019-1: Moody's Assigns Ba3 Rating to Class E-R Notes FLAGSHIP CREDIT 2021-2: DBRS Gives Prov. BB Rating on Class E Notes FLAGSTAR MORTGAGE 2021-3INV: Moody's Gives (P)B3 Rating to B-5 Debt GOLD KEY 2014-A: DBRS Confirms BB(high) Rating on Class C Tranche GOLDENTREE LOAN 4: S&P Affirms B- (sf) Rating on Class F Notes GPMT 2021-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes GS MORTGAGE 2014-GC20: Moody's Lowers Cl. C Certificates to Ba3 GS MORTGAGE 2021-PJ5: Moody's Gives (P)B2 Rating to Cl. B-5 Certs GS MORTGAGE-BACKED 2021-PJ5: Fitch Rates Class B5 Certs 'B+(EXP)' GULF STREAM 4: S&P Assigns Prelim BB- (sf) Rating on Class D Notes HALCYON LOAN 2013-1: S&P Lowers Class C Notes Rating to 'CCC+' HGI CRE 2021-FL1: DBRS Gives Prov. B(low) Rating on Class G Notes JPMCC COMMERCIAL 2019-COR5: Fitch Affirms B- Rating on G-RR Certs LCM 32: S&P Assigns Prelim BB- (sf) Rating on Class E Notes LENDMARK FUNDING 2021-1: S&P Assign Prelim 'BB-' Rating on D Notes MARANON LOAN 2019-1: S&P Assigns Prelim BB- (sf) Rating on E Notes MARBLE POINT XX: S&P Assigns Prelim BB- (sf) Rating on E Notes MORGAN STANLEY 2015-XLF2: DBRS Lowers Rating on 3 Classes to C MORGAN STANLEY 2017-CLS: DBRS Confirms B Rating on Class HRR Certs MORGAN STANLEY 2021-2: Fitch Gives B-(EXP) Rating to Class B-5 Debt MULTI SECURITY 2005-RR4: DBRS Lowers CMBS Certs Rating to CCC NATIXIS COMMERCIAL 2018-TECH: DBRS Confirms BB (low) on 2 Classes OCP CLO 2021-21: S&P Assigns Prelim BB- (sf) Rating on E Notes ONDECK ASSET III: DBRS Finalizes BB Rating on Class D Notes OPORTUN ISSUANCE 2021-B: DBRS Gives Prov. BB (high) on D Notes PFP 2019-5: DBRS Confirms B(low) Rating on Class G Notes PROGRESS RESIDENTIAL 2021-SFR4: DBRS Finalizes B (low) on G Certs REGATTA VI FUNDING: Moody's Rates $22MM Class E-R2 Notes 'Ba3' RESIDENTIAL 2021-I: S&P Assigns 'BB- (sf)' Rating on Class 14 Notes RLGH TRUST 2021-TROT: DBRS Gives Prov. B(low) Rating on G Certs ROMARK CLO-IV: S&P Assigns Prelim BB- (sf) Rating on Class D Notes SCMT 2021-SBC10: DBRS Gives Prov. B(low) Rating on Class F Certs SDART 2018-5: Fitch Affirms BB Rating on Class E1 Debt SDART 2021-2: Moody's Assigns (P)B1 Rating to Cl E Notes SLC STUDENT 2008-2: Fitch Lowers Rating on 2 Debt Tranches to 'Csf' SLM STUDENT 2008-4: Moody's Lowers Rating on Cl. A-4 Notes to Ba3 SOUND POINT XXIX: Moody's Assigns Ba3 Rating to $22.5M Cl. E Notes STARWOOD MORTGAGE 2021-2: S&P Assigns Prelim B Rating on B-2 Certs STARWOOD RETAIL 2014-STAR: DBRS Confirms C Rating on 5 Classes TALLMAN PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes TCW CLO 2020-1: S&P Assigns Prelim BB- (sf) Rating on ERR Notes TRINITAS CLO IV: S&P Affirms CCC+ (sf) Rating on Class F-R Notes TTAN 2021-MHC: Moody's Assigns B3 Rating to Cl. F Certificates US CAPITAL VI: Moody's Hikes Rating on Class A-2 Notes to Ba1 VERUS 2021-R3: S&P Assigns Prelim B- (sf) Rating on B-2 Notes VERUS SECURITIZATION 2021-2: DBRS Finalizes B Rating on B-2 Notes VIBRANT CLO XIII: Moody's Assigns (P)Ba3 Rating to $18.75M D Notes VISIO 2021-1R: S&P Assigns B (sf) Rating on Class B-2 Notes VNDO TRUST 2016-350P: DBRS Confirms BB(low) Rating on E Certs WELLFLEET CLO X: S&P Assigns Prelim B-(sf) Rating on Class E Notes WELLS FARGO 2005-2: S&P Affirms 'BB+ (sf)' Rating on M-1 Certs WELLS FARGO 2021-FCMT: Fitch Assigns B- Rating on Class F Certs WESTLAKE AUTOMOBILE 2020-1: S&P Affirms B+ (sf) Rating on F Notes WFRBS COMMERCIAL 2013-C16: Fitch Affirms CCC Rating on Cl. F Certs WIND RIVER 2021-2: Moody's Gives (P)Ba3 Rating to $16M Cl. E Notes [*] DBRS Reviews 79 Classes from 26 US RMBS Transactions ********* AB BSL CLO 2: S&P Assigns BB- (sf) Rating on $17MM Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC's floating- and fixed-rate notes and loans. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC Class A loans, $100 million: AAA (sf) Class A, $148 million: AAA (sf) Class B-1, $28 million: AA (sf) Class B-2, $28 million: AA (sf) Class C (deferrable), $24 million: A (sf) Class D (deferrable), $22 million: BBB- (sf) Class E (deferrable), $17 million: BB- (sf) Subordinated notes, $36 million: Not rated ABPCI DIRECT I: S&P Assigns BB- (sf) Rating on Class E-2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1A-2, A-1B-2, A-2A-2, A-2B-2, B-1-2, B-2-2, and C-2 replacement notes and the new class D-2 and E-2 notes from ABPCI Direct Lending Fund CLO I Ltd./ABPCI Direct Lending Fund CLO I LLC, a CLO originally issued in December 2016 and refinanced in May 2019 that is managed by AB Private Credit Investors LLC. 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-2A-2 and C-2 notes were issued at a lower spread than the existing notes; -- The replacement class A-1B-2 and A-2B-2 notes were issued at a lower coupon than the existing notes; -- The replacement class A-1A-2 notes were issued at a higher spread than the existing notes; -- The replacement class B-1-2 and B-2-2 floating- and fixed-rate notes, respectively, were issued as replacements to the existing floating-rate class B-R notes; -- The class D-2 and E-2 notes are new additions to the capital structure. Both classes were issued at a floating-rate spread; -- The notes' reinvestment period was extended four years until July 2025 and the first static and second static dates were extended by three years to December 2022 and December 2023, respectively; -- The notes' stated maturity was extended four years, from 2029 to 2033; -- The non-call period was extended three years, from July 2020 to July 2023; -- Of the identified underlying collateral obligations, 90.36% have credit ratings assigned by S&P Global Ratings; and -- Of the identified underlying collateral obligations, 5.61% 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 data 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. "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 take rating actions as we deem necessary." Ratings Assigned ABPCI Direct Lending Fund CLO I Ltd./ABPCI Direct Lending Fund CLO I LLC Class A-1A-2, $201.00 million: AAA (sf) Class A-1B-2, $23.00 million: AAA (sf) Class A-2A-2, $5.50 million: AAA (sf) Class A-2B-2, $14.50 million: AAA (sf) Class B-1-2, $24.00 million: AA (sf) Class B-2-2, $4.00 million: AA (sf) Class C-2 (deferrable), $32.00 million: A (sf) Class D-2 (deferrable), $20.00 million: BBB- (sf) Class E-2 (deferrable), $12.00 million: BB- (sf) Subordinated notes, $59.40 million: NR Ratings Withdrawn ABPCI Direct Lending Fund CLO I Ltd./ABPCI Direct Lending Fund CLO I LLC Class A-1A-R: to NR from AAA (sf) Class A-1B-R: to NR from AAA (sf) Class A-2A-R: to NR from AA (sf) Class A-2B-R: to NR from AA (sf) Class B-R: to NR from A- (sf) Class C-R: to NR from BBB- (sf) NR--Not rated. ACRES COMMERCIAL 2021-FL1: DBRS Gives Provisional B(low) on G Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued/co-issued by ACRES Commercial Realty 2021-FL1 Issuer, Ltd. (Issuer) and ACRES Commercial Realty 2021-FL1 Co-Issuer, LLC. (Co-Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable CORONAVIRUS OVERVIEW With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis. For example, DBRS Morningstar may front-load default expectations and/or assess the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. DBRS Morningstar analyzed the pool to determine the provisional ratings, reflecting the long-term risk that the Issuer will default and fail to satisfy its financial obligations in accordance with the terms of the transaction. The initial collateral consists of 33 floating-rate mortgage loans secured by 37 mostly transitional real estate properties, with a cut-off pool balance totaling approximately $802.6 million, excluding approximately $50.1 million of future funding commitments. The initial pool is composed of 19 whole loans and 14 participations. Most loans are in a period of transition with plans to stabilize and improve the asset value. The transaction is a managed vehicle with a 24-month reinvestment period. During the reinvestment period, so long as the note protection tests are satisfied and no EOD has occurred and is continuing, the Issuer may acquire future funding commitments and additional eligible loans subject to the eligibility criteria, which among other things, has a minimum debt service coverage ratio (DSCR) and loan-to-value ratio (LTV), a 16.0 Herfindahl score, and loan size limitations. The eligibility criteria stipulate rating agency confirmation (RAC) on reinvestment loans (except in the case of acquisitions of up to a $5.0 million pari passu participation interest if a portion of the underlying loan is already included in the pool) thereby allowing DBRS Morningstar the ability to review the new collateral interest and any potential impacts to the overall ratings. There is no ramp period; however, there is one delayed close asset, representing 4.3% of the cut-off balance, which is expected to close prior to or within 90 days of the closing date. The transaction will have a sequential-pay structure. For so long as any class of notes with a higher priority is outstanding, any interest due on the Class F Notes or the Class G Notes can be deferred and interest deferral will not result in an EOD. All the loans in the pool have floating interest rates initially indexed to Libor and are interest only (IO) (except for one loan) through their initial terms. As such, to determine a stressed interest rate over the loan term, DBRS Morningstar used the one-month Libor rate, which was the lower of DBRS Morningstar's stressed rates that corresponded to the remaining fully extended term of the loans and the strike price of the interest rate cap with the respective contractual loan spread added. The pool exhibited a relatively high WA DBRS Morningstar Issuance LTV of 77.6%, though it is estimated to improve to 69.1% through stabilization. When the cut-off date balances were measured against the DBRS Morningstar As-Is NCF, 26 loans, representing 78.9% of the cut-off date pool balance, had a DBRS Morningstar As-Is DSCR below 1.00x, a threshold indicative of high default risk. Additionally, the DBRS Morningstar Stabilized DSCR for 18 loans, representing 56.6% of the initial pool balance, was below 1.00x, a threshold indicative of elevated refinance risk. The properties are often transitioned with potential upside in cash flow. However, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks of if other loan structural features are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The Sponsor is ACRES Commercial Realty Corp. (NYSE:ACR). In July 2020, ACRES Capital Corp. (ACRES) through its subsidiary, ACRES Capital, LLC, acquired the management agreement of ACRES Commercial Realty Corp (formerly known as ExantasCapital Corp). ACRES is a publicly traded commercial mortgage REIT focused on self-originated commercial mortgage loans and other commercial real estate (CRE) debt investments. It provides nationwide, middle-market commercial real estate lending with a focus on multifamily, student-housing, hospitality, office, and independent senior living properties in the U.S.. The Sponsor has been an Issuer on 11 securitized CRE financings totaling approximately $4.6 billion. An affiliate of the sponsor, Retention Holder, will be acquiring and holding 100% the first-loss position (including Class F Notes, Class G Notes, and the Preferred Shares) on this transaction as an eligible horizontal residual interest (EHRI). The Retention Holder will retain the EHRI in accordance with the U.S. Credit Risk Retention Rules. The Sponsor and the Retention Holder will both agree and undertake in the EU/UK Risk Retention Letter to comply with the EU/UK Risk Retention Requirements in accordance with the terms of the EU/UK Risk Retention Letter. Collectively, the retained notes and membership interests represent 15.9% of the trust balance. Twenty-three loans, representing 75.2% of the initial pool, are backed by multifamily properties (65.7%), excluding student housing, and self-storage properties (9.4%). These property types have historically shown lower defaults and losses. Multifamily properties benefit from staggered lease rollover and generally low expense ratios compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. Furthermore, the pool has limited office, retail, mixed-used, and hospitality exposure with only eight loans, representing 17.7% of the pool, backed by such property types. These property types have experienced considerable disruption as a result of the coronavirus pandemic with mandatory closures, stay-at-home orders, travel restrictions, retail bankruptcies, and consumer shifts to online purchasing. The DBRS Morningstar Business Plan Scores (BPS) for loans DBRS Morningstar analyzed ranged from 1.15 to 2.53, with an average of 1.90. On a scale of 1 to 5, a higher DBRS Morningstar BPS is indicative of more risk in the sponsor's business plan. Consideration is given to the anticipated lift at the property from current performance, planned property improvements, sponsor experience, projected time horizon, and overall complexity. Compared with similar transactions, the subject has a relatively low average BPS, which is indicative of lower risk. In addition, the WA remaining fully extended term for the pool is 44 months, which allows the sponsors time to execute their business plans without risk of imminent maturity. Twenty-two loans, comprising 73.7% of the initial trust balance, represent acquisition financing wherein sponsors contributed cash equity as a source of funding in conjunction with the mortgage loan. The cash equity in the deal will incentivize the sponsors to perform on the loan and protect their equity. The majority of the floating-rate loans have purchased Libor rate caps that range from 0.25% to 4.0% to protect against rising interest rates through the duration of the loan term. In addition to the fulfillment of certain minimum performance requirements, exercise of any extension options would also require the repurchase of interest rate cap protection through the duration of the respectively exercised option. The ongoing coronavirus pandemic continues to pose challenges and risks to the CRE sector. While DBRS Morningstar expects multifamily (65.7% of the pool) to fare better than most other property types, the long-term effects on the general economy and consumer sentiment are still unclear. DBRS Morningstar received coronavirus and business plan updates for all loans in the pool, confirming that all debt service payments have been received in full for the months of January 2021, February 2021, March 2021, and April 2021. Furthermore, no loans are in forbearance or other debt service relief except for 16 Penn property and Cypress Crossing property, which, combined, represent 4.08% of the initial trust balance. More than half of the loans in the pool were originated after December 2020. Loans originated during the pandemic have, in general, taken into consideration the risks associated with the pandemic into their cash flow analyses. In addition, the majority of the loans in this pool have recently completed appraisal reports reflecting the appropriate values of properties during the pandemic. The transaction is a managed collateralized loan obligation (CLO) and includes one delayed-close loan and a 24-month reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The risk of negative migration is partially offset by the eligibility criteria that outlines the DSCR, LTV, 16.0 Herfindahl score minimum, property type, and loan size limitations for the reinvestment assets. DBRS Morningstar has the ability to provide a no-downgrade confirmation for new reinvestment loans and for participation interests in loans the Issuer already owns a participation interest if the interest to be acquired exceeds $5.0 million. DBRS Morningstar will analyze these loans before they come into the pool and review them for potential ratings impact. Sixteen loans, representing 46.8% of the pool, were originated in 2018 and 2019. In some cases, the original business plans have not materialized as expected, significantly increasing the loans' risk profile. Given the nature of the assets, DBRS Morningstar sampled a large portion of the pool at 79.4% of the cut-off date balance, or 21 of the 34 loans. This sample size is higher than the typical sample for traditional conduit CMBS transactions. In addition, DBRS Morningstar also sampled 11 of the 16 seasoned loans, representing 36.4% of the pool balance, to evaluate the current performance on these properties. Five of the seasoned loans sampled have yet to reach stability but are maturing over the next 12 months and are at risk of not being able to meet the extension requirements. For these loans, DBRS Morningstar applied minimal upside credit and treated the as-stabilized NCF the same as the as-is NCF to these loans (Westwood & Audobon, Goodfriend NY Self Storage, Advenir at Park Boulevard, West Eleven Apartments, and Stonelake 1-5). Some of these loans may receive short-term loan extensions from the Issuer to facilitate the sale or refinance of the properties. All seasoned loans were provided with updated business plans and appraisal reports. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the current in-place cash flow. There is a possibility that the sponsors will not execute their business plans as expected and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing coronavirus pandemic and its impact on the overall economy. Failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the future funding amounts to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes loss given default (LGD) based on the DBRS Morningstar As-Is LTV assuming the loan is fully funded. The overall WA DBRS Morningstar As-Is DSCR of 0.76x and WA As-Is LTV of 77.6% are generally reflective of high-leverage financing. The DBRS Morningstar As-Is DSCR is based on the DBRS Morningstar In-Place NCF and debt service calculated using a stressed interest rate. The WA stressed rate used is 4.75%, which is greater than the current WA interest rate of 3.61% (based on WA mortgage spread and an assumed 0.11% one-month Libor index). When measured against the DBRS Morningstar Stabilized NCF, the WA DBRS Morningstar As-Stabilized DSCR is estimated to improve to 1.00x, suggesting the properties are likely to have improved NCFs assuming completion of the sponsor's business plan. DBRS Morningstar associates its LGD based on the assets' as-is LTV and does not assume that the stabilization plan and cash flow growth will ever materialize but does account for the loan having been fully funded. DBRS Morningstar's As-Stabilized LTV is expected to decrease to 69.1%. All loans have floating interest rates and all but one loans are IO during the initial loan term, creating interest rate risk should interest rates increase. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. Most loans have extension options, and, in order to qualify for these options, the loans must meet minimum DSCR and LTV requirements. All loans are short-term and, even with extension options, have a fully extended loan term of five years maximum. The majority of the floating-rate loans have purchased Libor rate caps that range from 0.25% to 4.0% to protect against rising interest rates through the duration of the loan term. Because of the ongoing coronavirus pandemic, DBRS Morningstar was unable to perform site inspections on any of the properties in the pool. As a result, DBRS Morningstar relied more heavily on third-party reports, online data sources, and information provided by the Issuer to determine the overall DBRS Morningstar property quality assigned for each loan. Recent appraisal reports were provided for all loans and contained property quality commentary and photos. DBRS Morningstar made relatively conservative property quality adjustments with only four loans (Skygarden, Advenir at Park Boulevard, Chapel Hill Apartments, and 16 Penn), representing a combined 14.3% of the pool balance, being modeled with Average + property quality. These properties were recently built or renovated. No loans received a property quality distinction of Excellent. Notes: All figures are in U.S dollars unless otherwise noted. AMSR 2021-SFR1: DBRS Gives Prov. B(low) Rating on Class G Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Single-Family Rental Pass-Through Certificates to be issued by AMSR 2021-SFR1 Trust (AMSR 2021-SFR1): -- $118.6 million Class A at AAA (sf) -- $60.0 million Class B at AA (sf) -- $16.7 million Class C at A (high) (sf) -- $21.6 million Class D at A (low) (sf) -- $18.6 million Class E-1 at BBB (high) (sf) -- $25.5 million Class E-2 at BBB (low) (sf) -- $50.0 million Class F at BB (low) (sf) -- $33.3 million Class G at B (low) (sf) The AAA (sf) rating on the Class A Certificates reflects 67.6% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (high) (sf), A (low) (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 53.7%, 49.2%, 43.3%, 38.2%, 31.3%, 17.6%, and 8.6% credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. AMSR 2021-SFR1's 1,706 properties are in 12 states, with the largest concentration by broker price opinion value in Florida (42.4%). The largest metropolitan statistical area (MSA) by value is Atlanta (12.6%), followed by Orlando (12.0%). The geographic concentration dictates the home-price stresses applied to the portfolio and the resulting market value decline (MVD). The MVD at the AAA (sf) rating level for this deal is 61.2%. AMSR 2021-SFR1 has properties from 36 MSAs, most of which did not experience home price index declines as dramatic as those in the recent housing downturn. DBRS Morningstar assigned the provisional ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar assigned the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 time. Notes: All figures are in U.S. dollars unless otherwise noted. ANGEL OAK 2021-2: Fitch Assigns Final B Rating on B-2 Debt ---------------------------------------------------------- Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2021-2 (AOMT 2021-2). DEBT RATING PRIOR ---- ------ ----- AOMT 2021-2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates to be issued by Angel Oak Mortgage Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2 (AOMT 2021-2) as indicated above. The certificates are supported by 466 loans with a balance of $231.48 million as of the cutoff date. This will be the 14th Fitch-rated AOMT transaction. The certificates are secured by mortgage loans that were originated by Angel Oak Home Loans LLC, Angel Oak Mortgage Solutions LLC and Angel Oak Prime Bridge LLC (referred to as Angel Oak originators). Of the loans in the pool, 91.5% are designated as nonqualified mortgage (Non-QM), and 8.5% are investment properties not subject to Ability to Repay (ATR) Rule. No loans are designated as QM in the pool. There is no LIBOR exposure in this transaction. All of the loans in the collateral pool comprise fixed-rate mortgages, and the offered certificates are fixed rate and capped at the net weighted average coupon (WAC). KEY RATING DRIVERS Non-Prime Credit Quality (Mixed): The collateral consists mainly of 30-year fixed rate fully amortizing loans (98.4%), 40-year fully amortizing fixed rate with 10-year I/O (1.0%), and 30-year fully amortizing fixed rate with 10-year I/O (0.5%). The pool is seasoned approximately seven months in aggregate, as determined by Fitch. The borrowers in this pool have strong credit profiles with a 740 weighted average (WA) FICO score and 33.6% debt-to-income (DTI), as determined by Fitch, and relatively high leverage with an original combined loan-to-value ratio (CLTV) of 76.8% that translates to a Fitch calculated sLTV of 83%. Of the pool, 89.6% consists of loans where the borrower maintains a primary residence, while 10.4% comprises an investor property or second home; 9.3% of the loans were originated through a retail channel. Additionally, 91.5% are designated as Non-QM, while the remaining 8.5% are exempt from QM since they are investor loans. The pool contains 49 loans over $1 million, with the largest at $2.8 million. Self-employed non-debt service coverage ratio (DSCR) borrowers make up 93.4% of the pool, salaried non-DSCR borrowers make up 2.2% of the pool, and 4.4% of the loans in the pool are investor cash flow DSCR loans. Approximately 8.5% of the pool comprises loans on investor properties (4.4% underwritten to the borrowers' credit profile and 4.1% comprising investor cash flow loans). None of the borrowers have subordinate financing, there are no second lien loans, and 4.3% of borrowers were viewed by Fitch as having a prior credit event in the past seven years. One loan in the pool had a deferred balance, which was treated by Fitch as a second lien and the CLTV for that loan was increased to account for the amount still being owed on the loan. Although the credit quality of the borrowers is higher than prior AOMT transactions, the pool characteristics resemble non-prime collateral, and therefore, the pool was analyzed using Fitch's non-prime model. Geographic Concentration (Negative): Approximately 29.4% of the pool is concentrated in Florida. The largest MSA concentrations are in Miami-Fort Lauderdale-Miami Beach, FL (19.6%), followed by Los Angeles-Long Beach-Santa Ana, CA (13.0%) and Atlanta-Sandy Springs-Marietta, GA (7.9%). The top three MSAs account for 40.4% of the pool. As a result, there was a 1.02x payment default penalty for geographic concentration. Loan Documentation (Negative): Approximately 97.5% of the pool was underwritten to borrowers with less than full documentation. Of this amount, 92.8% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default by 1.5x on the bank statement loans. Besides loans underwritten to a bank statement program, 0.2% is an asset depletion product, and 4.4% is DSCR product. The pool does not have any loans underwritten to a CPA or PnL product, which Fitch viewed as a positive. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. 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 coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related economic risk factor (ERF) floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related 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 positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Infinity, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.52%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Consolidated Analytics, and Infinity were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files that were made available by the issuer on its Securities and Exchange Commission (SEC) Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS AOMT 2021-2 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled in AOMT 2021-2, including strong transaction due diligence and a 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. For this transaction, Angel Oak Capital Advisors (AOCAS) received a second-party opinion of its Social Bond framework linked to its sustainability strategy. Fitch reviewed the second-party opinion and concluded that the report's assessment has no additional impact to the relevance or materiality factors considered in assigning Fitch's ESG Relevance Scores (ESG.RS). In addition, it had no impact on Fitch's rating analysis. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. APIDOS CLO XXXI: Moody's Rates $27.4MM Class E-R Notes 'Ba3' ------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes issued by Apidos CLO XXXI (the "Issuer"). Moody's rating action is as follows: US$18,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$27,400,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2031, 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. CVC Credit Partners U.S. CLO Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining three year reinvestment period. The Issuer previously issued five other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period, changes to certain collateral quality tests, adoption of a provision permitting maturity amendments which could extend the stated maturity date of a collateral obligation beyond the stated maturity, incorporation of alternative benchmark replacement provisions, and changes in the definition of Adjusted Weighted Average Moody's Rating Factor. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $621,295,956 Defaulted par: $279,018 Diversity Score: 83 Weighted Average Rating Factor (WARF): 3118 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 6.9 years In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: an additional cashflow analysis assuming a lower WAS to test the sensitivity to LIBOR floors; sensitivity analysis on deteriorating credit quality due to a material exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in the US economic activity. Moody's 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. APRES STATIC CLO 1: Fitch Raises Class E-R Debt Rating to B+ ------------------------------------------------------------ Fitch Ratings has upgraded five and affirmed two tranches from Apres Static CLO 1, Ltd. (Apres Static CLO 1). The rating actions are based on updated cash flow analyses due to the deleveraging of the transaction's capital structure. DEBT RATING PRIOR ---- ------ ----- Apres Static CLO 1, Ltd. A-1-R 03835JBA0 LT AAAsf Affirmed AAAsf A-2-R 03835JBC6 LT AAAsf Upgrade AAsf B-R 03835JBE2 LT A+sf Upgrade Asf C-R 03835JBG7 LT BBB+sf Upgrade BBB-sf D-R 03835KAL4 LT BB+sf Upgrade BB-sf E-R 03835KAN0 LT B+sf Upgrade B-sf X 03835JAY9 LT AAAsf Affirmed AAAsf TRANSACTION SUMMARY Apres Static CLO 1 is an arbitrage CLO that is serviced by ArrowMark Colorado Holdings, LLC. The CLO was issued in March 2019 and reset in October 2020. The transaction is securitized by a static pool of primarily first-lien, senior secured leveraged loans. KEY RATING DRIVERS CASH FLOW ANALYSIS The upgrades are due to the deleveraging of the capital structure. This amortization was driven primarily by loan prepayments and resulted in higher credit enhancement (CE) levels for all rated tranches. As of the April 2021 trustee report, the class X and A-1-R notes have amortized by approximately 61% and 18%, respectively, since the CLO was reset in October. All overcollateralization and interest coverage test cushions have increased since closing and are currently passing. The rating actions are supported by the overall results of Fitch's cash flow model analysis. The transaction was modeled under stable, down and rising interest rate scenarios, as well as front-, mid- and back-loaded default timing scenarios as outlined in Fitch's CLOs and Corporate CDOs Rating Criteria. The resulting rating actions were all in line with the model-implied ratings under standard assumptions. CREDIT QUALITY, ASSET SECURITY AND PORTFOLIO COMPOSITION The portfolio's credit quality is rated 'B'/'B-' and there is currently only one reported defaulted issuer, representing 0.1% of the portfolio. The Fitch weighted average recovery rate (WARR) of the portfolio averaged 77.7%. The current pool of assets, excluding principal cash amounts, consists of 99% first-lien senior secured loans. Issuers on Negative Outlook comprise 24.7% of the portfolio, compared with 39.1% at the closing of the reset. Due to the static nature of the transaction, portfolio management is largely limited to credit risk sales and is not considered a key rating driver. NEGATIVE OUTLOOK AND SPREAD COMPRESSION SENSITIVITIES SCENARIOS Fitch performed two additional sensitivity scenarios to determine the notes' resilience to rating volatility and reduction in spreads of the underlying collateral. In the negative outlook sensitivity, the ratings for half of the current issuers on Negative Outlook were lowered one notch with a floor of 'CCC-'. For the spread compression sensitivity, the portfolio weighted average spread (WAS) was reduced by 10% of the current portfolio WAS over the next four quarters and then applied for the life of the transaction. The outcome of the near-term and spread compression sensitivities are consistent with the recommended ratings. The Stable Rating Outlooks on each rated note in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with such class's rating. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels, would lead to upgrades (based on model-implied ratings) of six notches for the class E-R notes, three notches for the class C-R and D-R notes and two notches for the class B-R notes. The upgrade scenario is not applicable to the class X, A-1-R and class A-2-R notes, as their ratings are at the highest level on Fitch's scale and cannot be upgraded. -- Upgrades may occur in the event of a better-than-expected portfolio credit quality and deal performance, leading to higher CE note levels and excess spread available to cover for losses on the remaining portfolio. For more information on the initial model-implied rating sensitivities, see the new issue report for this transaction. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A 25% increase in the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels, would lead to downgrades (based on model-implied ratings) of at least two rating categories for class D-E and E-R notes and three notches for the class A-2-R, B-R and C-R notes. The class X and A-1-R notes would incur no rating impact. -- Downgrades may occur if realized and projected losses of the portfolio are higher than currently expected and the notes' CE does not compensate for the worse loss expectation. 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. DATA ADEQUACY SOURCES OF INFORMATION The information used to assess these ratings was sourced from periodic servicer reports, note valuation reports and the public domain. BANK 2019-BNK18: Fitch Affirms B Rating on 2 Debt Tranches ---------------------------------------------------------- Fitch Ratings has affirmed 17 classes of BANK 2019-BNK18 commercial mortgage pass-through certificates, series 2019-BNK18. DEBT RATING PRIOR ---- ------ ----- BANK 2019-BNK18 A-1 065402AY5 LT AAAsf Affirmed AAAsf A-2 065402AZ2 LT AAAsf Affirmed AAAsf A-3 065402BB4 LT AAAsf Affirmed AAAsf A-4 065402BC2 LT AAAsf Affirmed AAAsf A-S 065402BF5 LT AAAsf Affirmed AAAsf A-SB 065402BA6 LT AAAsf Affirmed AAAsf B 065402BG3 LT AA-sf Affirmed AA-sf C 065402BH1 LT A-sf Affirmed A-sf D 065402AJ8 LT BBBsf Affirmed BBBsf E 065402AL3 LT BBB-sf Affirmed BBB-sf F 065402AN9 LT BBsf Affirmed BBsf G 065402AQ2 LT Bsf Affirmed Bsf X-A 065402BD0 LT AAAsf Affirmed AAAsf X-B 065402BE8 LT A-sf Affirmed A-sf X-D 065402AA7 LT BBB-sf Affirmed BBB-sf X-F 065402AC3 LT BBsf Affirmed BBsf X-G 065402AE9 LT Bsf Affirmed Bsf KEY RATING DRIVERS Generally Stable Performance and Loss Expectations: Overall performance and loss expectations for the pool have remained relatively stable since issuance. There are eight Fitch Loans of Concern (FLOCs; 18.5% of pool), including two (9.7%) specially serviced loans. Fitch's current ratings incorporate a base case loss of 3.25%. The Negative Outlooks reflect losses that could reach 4.80% when factoring additional coronavirus-related stresses and a potential outsized loss of 20% to the Great Wolf Lodge Southern California loan. The largest contributor to overall loss expectations is the specially serviced Marriott Hanover loan (5.8%), which is secured by a 353-room hotel located in Whippany, NJ. The loan transferred to special servicing in April 2021 for payment default. Property performance was affected by the pandemic as occupancy in 2020 declined to 23% from 74% at YE 2019. RevPAR as of YTD June 2020 declined to $102 from $156 in 2019. At issuance, it was noted corporate accounts contributed to approximately 29% of the total rooms booked in 2018. The appraiser also indicated approximately 35% of the subject demand comes from the commercial segment, while 30% is from groups. Fitch's base case loss expectation for the loan of 11% is based on a 10% haircut to the YE 2019 NOI. Fitch also ran an additional sensitivity utilizing a 26% haircut to the YE 2019 NOI which brought the loss to approximately 25%. The next largest contributor to losses is the Hilton Garden Inn Las Colinas loan (1.8%), which is secured by a 173-room hotel located in Irving, TX. Due to the pandemic, occupancy, ADR and RevPAR in 2020 declined to 26%, $116 and $30, respectively, from 66.7%, $137 and $92 in 2019. Both the borrowers for the Marriott Hanover and Hilton Garden Inn Las Colinas loans received coronavirus debt relief, whereby existing FF&E reserves were used to pay the September, October and November 2020 debt service payments. The amount funded will be repaid in six installments commencing December 2020. Over the same three months, FF&E deposits were also deferred. Reserve funds drawn will be re-paid from December 2020 through May 2021. The deferred reserve funds will be replenished in the February through May 2021 payments. The third largest contributor to losses is the FLOC, Westin Atlanta Airport (4.3%), which is secured by a 500-room located in College Park, GA. Performance was affected by the pandemic as the property is located immediately adjacent to the Hartsfield International Airport. In 2020, occupancy, ADR and RevPAR declined to 34.2%, $107 and $37, respectively, from 83.6%, $120 and $100 in 2019. The loan remains current and the borrower has not requested debt relief. Additional Stresses Applied due to Coronavirus Pandemic: Loans secured by hotel and retail properties represent 16.5% of the pool (five loans) and 9.1% (10 loans), respectively. Fitch's analysis applied additional pandemic-related stresses on all five hotel loans and three of the retail loans (2.0%) to account for potential cash flow disruptions due to the pandemic; these additional stresses contribute to the Negative Rating Outlooks. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario which assumed a potential outsized loss of 20% on the current balance of the Great Wolf Lodge Southern California loan (3.8%) to reflect the unique asset type, operational risk and high vulnerability of the property to the ongoing pandemic; this analysis drove the Negative Rating Outlooks. The loan is secured by a 603-key waterpark resort hotel located in Garden Grove, CA, approximately three miles from Disneyland. The loan recently returned to the master servicer after originally transferring to the special servicer in June 2020 due to imminent monetary default. Property performance has been significantly impacted by the coronavirus pandemic with the servicer-reported TTM September 2020 NOI down 99% from YE 2019. The property remains closed due to the ongoing pandemic, but is currently accepting reservations from California residents only from May 22, 2021 onward, according to its website. Per the servicer, forbearance was granted to the borrower in July 2020 with terms allowing for the use of existing reserves to pay debt service and operating expenses, deferral of FF&E payments through 2020, and exclusion of 2020 financials from debt yield test calculations. In March 2021, the borrower was granted additional relief through a second modification, providing for further deferral of the seasonality reserve, the recovery of utilized reserves/escrows to be further deferred, exclusion of 2021 financials when calculating the debt yield tests, and moving the April 1, 2022 debt yield test to April 1, 2023. Minimal Change to Credit Enhancement: As of the April 2021 distribution date, the pool's aggregate principal balance has paid down by 0.5% to $1.031 billion from $1.037 billion at issuance. Twenty loans (67.3%) are full-term, interest- only (IO), 11 loans (16.1%) remain in their partial IO period and 25 loans (16.6%) are amortizing. From securitization to maturity, the pool is projected to pay down by 5%. Credit Opinion Loans: Three loans, representing 20.7% of the pool, had investment-grade credit opinions at issuance. These include 350 Bush Street (9.7% of the pool; 'A-sf*' on a stand-alone basis), Newport Corporate Center (7.2%; 'BBB- sf*') and ILPT Hawaii Portfolio (3.9%; 'BBBsf*'). RATING SENSITIVITIES The Rating Outlooks on classes G and X-G were revised to Negative from Stable to reflect concerns surrounding the ultimate impact of the pandemic and the performance concerns associated with the FLOCs. The Stable Rating Outlooks reflect the increasing credit enhancement, relatively stable performance of the majority of the pool, and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. -- Upgrades to classes B, C, and X-B may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic, including the Great Wolf Lodge Southern California. -- Upgrades to classes D, E and X-D would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. -- Upgrades to classes F, G, X-F and X-G are not likely unless resolution of the specially serviced loans is better than expected and performance of the remaining pool is stable, and/or properties vulnerable to the coronavirus pandemic 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 or specially serviced loans. -- Downgrades to classes A-1, A-2, A-3, A-4, A-SB, A-S, X-A and B are not considered likely due to their position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes C, D, X-B and X-D may occur should expected losses for the pool increase substantially, all of the loans susceptible to the coronavirus pandemic suffer losses and the Great Wolf Lodge Southern California loan incurs an outsized loss, which would erode credit enhancement. -- Downgrades to classes E, F, X-F and X-G would occur should overall pool loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default or transfer to special servicing, higher losses incur on the specially serviced loans than expected and/or the Great Wolf Lodge Southern California loan experience an outsized loss. In addition to its baseline scenario, Fitch also envisions a downside scenario in which the health crisis is prolonged beyond 2021. Should this scenario play out, additional classes may be assigned Negative Outlooks and/or classes with Negative Rating Outlooks may be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2021-B25: DBRS Finalizes B(high) Rating on 2 Classes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Amazon Seattle Loan-Specific Certificates issued by Benchmark 2021-B25 Mortgage Trust: -- Class 300P-A at AA (low) (sf) -- Class 300P-B at A (low) (sf) -- Class 300P-C at BBB (low) (sf) -- Class 300P-D at BB (low) (sf) -- Class 300P-E at B (high) (sf) -- Class 300P-RR at B (high) (sf) All trends are Stable. The Amazon Seattle Loan-Specific Certificates are secured by the fee-simple interest in Amazon Seattle as well as its leasehold interest under a parking lease covering certain spaces at an adjacent parking garage. Amazon Seattle is a newly redeveloped, 774,412-sf, Class A office building in the heart of the Seattle, Washington CBD and is composed of approximately 680,215 sf of office space and 94,197 sf of retail space. The property was originally constructed in 1929 as the flagship location of prominent Seattle-based department store the Bon Marché and has since been granted landmark status by the city of Seattle. The building continued to function in the same capacity as the Macy's building until 2017 when the property's seller performed a three-phase, comprehensive transformation to convert it into office space for Amazon. The property is currently undergoing a retail repositioning that will include retail, entertainment, and food options that will enhance Amazon's amenity offerings. Amazon intends to fully occupy the property in 2021 with 4,000-5,000 employees, solidifying its commitment to the location. The seller recently completed a transformative repositioning of the property that focused on re-imagining the interior office, retail, common areas, amenities, and building infrastructure. In connection with the redevelopment, $160 million was invested into the property as part of Phase I and II to complete (i) a rebranding of the project from a Macy's department store, (ii) an enhanced, integrated lobby with collaborative meeting and work spaces, (iii) a full seismic retrofit, (iv) high-end, first generation, creative build-outs, (v) new elevator cabs, (vi) new building infrastructure including HVAC and electrical, (vii) new skylights creating more natural light, (viii) a cutting-edge conference center, (ix) secured bicycle storage, (x) new men's and women's locker rooms with showers, (xi) new restrooms throughout the entire project, and (xii) a rooftop deck with views of Elliott Bay and the Cascade Mountains. Following the completion of Phase III encompassing Amazon's final expansion and conversion, the entire project will have received a total renovation in excess of $225.0 million by the seller with Amazon reportedly contributing an additional $250 psf on its overall space. Approximately 95.4% of the property's base rent is derived from Amazon, which is investment grade rated by Moody's (A2), Fitch (A+), and S&P (AA-). The property is 87.8% occupied by Amazon (95.4% of base rent), which leases 100% of the office space subject to a NNN lease through May 2033 with three five-year renewal options. As of April 2021, the property is 92.2% leased to three tenants, Amazon, Knot Springs, and Victrola Coffee, with a WA remaining lease term of 12.3 years. During the initial nine-year term of the loan, the property's rollover profile is exposed only to Victrola Coffee, which represents only 0.3% of the NRA and 0.3% of base rent. The WA remaining lease term at the property is 12.3 years, which results in a stable, long-term cash flow stream with contractual rent increases built into Amazon's lease. The property is in one of the most desirable submarkets in Seattle, the Seattle CBD office submarket, which is the metro's largest office submarket in terms of inventory. The greater Seattle office market has approximately 214 million sf of rentable building area, while the Seattle CBD has approximately 36 million sf. The average market rent for Class A office properties in the Seattle CBD is $45.61 psf. The Westlake Village Transit Center, which is directly below the property, offers access to the Seattle retail district from key mixed-use and residential zones such as Belltown, South Lake Union, and Capitol Hill. The ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges and risks to virtually all major commercial real estate (CRE) property types and has created uncertainty about future demand for office space, even in gateway markets that have historically been highly liquid. Despite the disruptions and uncertainty, the collateral has been largely unaffected and Amazon is current on all lease obligations. Approximately 99.6% of the occupied sf and 99.6% of the base rent was paid in February and March 2021. One tenant, Victrola Coffee, representing approximately 0.3% of the total NRA, requested and was granted rent relief for the months of April through July 2020, and the abated period was extended for a total of 12 months through March 31, 2021. The Amazon lease includes a clause that permits Amazon to terminate the lease for certain Phase III expansion premises known as Level 1 (17,649 sf, 2.3% of NRA), and New Lobby (5,929 sf, 0.8% of NRA) the if the respective space is not completed by January 31, 2021 for Level I, either not delivered or not completed by February 28, 2022, for the New Lobby. DBRS Morningstar has determined that this risk is negligible, but not nonexistent, given the current status of construction at the property. Approximately 90% of the expansion space has a nearly 12-month cushion before Amazon would have any right to terminate any individual phase. The $455 million whole loan is composed of six promissory notes: five senior A notes totaling $234.9 million, one junior B note of $155.1 million (the Amazon Seattle Trust Subordinate Companion Loan), and a mezzanine loan of $65 million. One senior A note totaling $90 million will be contributed to the BMARK 2021-B25 mortgage trust. The Amazon Loan-Specific Certificates will total $155.1 million and will be collateralized by only the Amazon Seattle Trust Subordinate Companion Loan. The remaining senior A notes will be held by the originator and may be included in future securitizations. The senior notes are pari passu in right of payment with respect to each other. The senior notes are generally senior in right of payment to the junior note. The Amazon Seattle loan is structured with an ARD in April 2030 and a final maturity date in May 2033. In addition to penalty interest due on the mortgage and mezzanine loans after this date, all property cash flow after current debt service will be diverted away from the sponsor and toward amortizing the mortgage and mezzanine loan balance. This feature strongly incentivizes the sponsor to arrange takeout financing before the ARD date and therefore reduces maturity risk for the certificate holders. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2021-B26 MORTGAGE: Fitch Assigns B- Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2021-B26 Mortgage Trust commercial mortgage pass-through certificates, series B26 as follows: -- $3,919,000 class A-1 'AAAsf'; Outlook Stable; -- $41,799,000 class A-2 'AAAsf'; Outlook Stable; -- $5,941,000 class A-SB 'AAAsf'; Outlook Stable; -- $145,456,000 class A-3 'AAAsf'; Outlook Stable; -- $182,000,000a class A-4 'AAAsf'; Outlook Stable; -- $274,795,000a class A-5 'AAAsf'; Outlook Stable; -- $84,074,000 class A-M 'AAAsf'; Outlook Stable; -- $737,984,000b class X-A 'AAAsf'; Outlook Stable; -- $39,702,000 class B 'AA-sf'; Outlook Stable; -- $42,037,000 class C 'A-sf'; Outlook Stable; -- $81,739,000bc class X-B 'A-sf'; Outlook Stable; -- $29,193,000c class D 'BBBsf'; Outlook Stable; -- $23,353,000c class E 'BBB-sf'; Outlook Stable; -- $52,546,000bc class X-D 'BBB-sf'; Outlook Stable; -- $19,851,000c class F 'BB-sf'; Outlook Stable; -- $19,851,000bc class X-F 'BB-sf'; Outlook Stable; -- $9,342,000c class G 'B-sf'; Outlook Stable; -- $9,342,000bc class X-G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $9,342,000c class H; -- $23,353,961c class J; -- $32,695,961bc class X-H; -- $49,166,209cd VRR Interest. (a) The initial certificate balances of classes A-4 and A-5 are unknown and expected to be $456,795,000 in the aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 to $182,000,000, and the expected class A-5 balance range is $274,795,000 to $456,795,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint of the range for each class. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Non-offered vertical credit risk retention interest. The expected ratings are based on information provided by the issuer as of May 10, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 39 loans secured by 127 commercial properties having an aggregate principal balance of $983,324,171 as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Goldman Sachs Mortgage Company, German American Capital Corporation and Citi Real Estate Funding Inc. KeyBank, National Association is expected to serve as both the Master Servicer and Special Servicer for this transaction (other than the Equus Industrial Portfolio whole loan). Situs Holdings, LLC is expected to act as the special servicer for the Equus Industrial Portfolio mortgage loan and the related companion loans. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 10.7% of the properties by balance, cash flow analyses of 87.6% of the pool, and asset summary reviews on 100% of the pool. Coronavirus-Related Effects: The ongoing containment effort related to the coronavirus pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense, rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate effects on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the U.S. federal government can mitigate the outcomes on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests; however, the sponsor for one loan, JW Marriott Nashville (2.0% of the pool) has negotiated loan amendments/modifications. KEY RATING DRIVERS Fitch Leverage: The transaction's Fitch leverage is slightly higher than other recent U.S. multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 101.7% is slightly higher than the 2020 average of 99.6% and slightly below the YTD 2021 average of 102.0%. Additionally, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.27x is lower than the 2020 and YTD 2021 averages of 1.32x and 1.38x, respectively. Excluding credit opinion loans, the pool's weighted average (WA) Fitch trust DSCR and LTV are 1.29x and 113.4%, respectively. Investment-Grade Credit Opinion Loans: The pool includes three loans, representing 28.9% of the pool, that received investment-grade credit opinions. This is higher than the 2020 and YTD 2021 averages of 24.5% and 14.3%, respectively. Burlingame Point (9.8% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis, Equus Industrial Portfolio (9.7% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis, and Amazon Seattle (9.5%) received a credit opinion of 'BBB-sf' on a standalone basis. Highly Concentrated Pool: The largest 10 loans in the pool represent 58.8% of the pool by balance. This is higher than the 2020 and YTD 2021 averages of 56.8% and 53.9%, respectively. This results in a loan concentration index (LCI) score of 484 for the transaction, which is higher than the 2020 and YTD 2021 average LCI scores of 440 and 410, respectively. Very Limited Amortization: The pool has a scheduled principal paydown of only 1.2% by maturity. The expected paydown is significantly lower than the 2020 and YTD 2021 averages of 5.3% and 5.1%, respectively. Thirty-two loans, representing 90.3% of the pool's cutoff balance, are interest only for the entirety of their respective loan terms. This concentration of full-term IO loans is greater than the 2020 and YTD 2021 averages of 67.7% and 69.2%, respectively. RATING SENSITIVITIES This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The result below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'. 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BBB-sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'. 10% NCF Decline: 'A+sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'B+sf' / 'CCCsf' / 'CCCsf'. 20% NCF Decline: 'A-sf' / 'BBBsf' / 'BB+sf' / 'B+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. 30% NCF Decline: 'BBBsf' / 'BBB-sf' / 'Bsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY Fitch received information in accordance with its published criteria. Sufficient data, including asset summaries, three years of property financials, when available, and third-party reports on the properties were received from the issuer. Ongoing performance monitoring, including the data provided, is described in the Surveillance section of the presale report. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BRAVO RESIDENTIAL 2021-HE2: Fitch Gives 'B(EXP)' Rating to B-2 Debt ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Bravo Residential Funding Trust 2021-HE2 (BRAVO 2021-HE2). DEBT RATING ---- ------ BRAVO 2021-HE2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes backed by seasoned first and second lien, open and closed home equity line of credit (HELOC) and home equity loans on residential properties to be issued by BRAVO Residential Funding Trust 2021-HE2 (BRAVO 2021-HE2) as indicated above. This is the second transaction that includes HELOCs with open draws on the BRAVO shelf. The collateral pool consists of 5,126 seasoned performing loans (SPL) and re-performing loans (RPL) totaling $294.46 million. As of the cutoff date, approximately $168.52 million of the collateral consists of second liens, while the remaining $125.94 million comprises first liens. The maximum available draw amount as of the cutoff date is expected to be $156.64 million, as determined by Fitch. The loans were originated or acquired by affiliates of Capital One, National Association, which exited the mortgage originations business in 2018, and were subsequently purchased by an affiliate of a PIMCO-managed private fund in a bulk sale and are serviced by Rushmore Loan Management Services (Rushmore). Distributions of principal are based on a modified sequential structure subject to the transaction's performance triggers. Interest payments are made sequentially, while losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the variable funding account (VFA). The VFA will be funded up front, and the holder of the trust certificates will be obligated, in certain circumstances (only if the draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws made with respect to the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Rushmore, will not be advancing delinquent monthly payments of principal and interest (P&I). KEY RATING DRIVERS Seasoned Prime Credit Quality (Positive): The pool in aggregate is seasoned almost nine years with the first lien portion seasoned roughly nine years and the second lien portion seasoned roughly 10 years. Of the loans, Fitch determined that 99.8% are current and 0.2% are currently 30 days delinquent (based on the transaction documents, 99.7% are current and 0.3% are 30 days delinquent). Nearly 91% of the loans have been performing for at least the previous 24 months (88.7% have been performing for 36 months according to Fitch) and, therefore, received a credit in Fitch's model. Approximately 1.5% of loans have received a prior modification based on Fitch's analysis (2.0% per the transaction documents). The pool exhibits a relatively strong credit profile as shown by the Fitch determined 755 weighted average (WA) FICO (746 per the transaction documents) as well as the 61.7% sustainable loan-to-value ratio (sLTV). Geographic Concentration (Negative): Approximately 23.9% of the pool is concentrated in Maryland per the transaction documents. The largest MSA concentration is in the Washington-Arlington-Alexandria, DC-VA-MD MSA (33.4%), followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (24.2%) and the New Orleans-Metairie-Kenner, LA MSA (8.0%). The top three MSAs account for 65.6% of the pool. As a result, there was a 1.21x probability of default (PD) penalty for geographic concentration. Modified Sequential Structure (Positive): The transaction has a modified sequential structure in which principal is distributed pro-rata to the senior classes to the extent that the performance triggers are passing. To the extent they are failing, it is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses and cap carryover amounts. Excess spread is not being used to turbo down the bonds, and as a result, more credit enhancement compared to expected loss is needed. If the triggers are passing, the trust certificates will receive their pro-rata share of principal and the residual principal balance will receive its pro-rata share of losses up to the trust certificates' writedown amount for such payment date. If triggers are failing, the trust certificates will be paid principal after all other classes have been paid in full and the trust certificates will take losses first, followed by the subordinate, mezzanine and senior notes. No Servicer Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. 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 indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of Covid-19 vaccines, Fitch reconsidered the application of the coronavirus-related Economic Risk Factor (ERF) floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's "Global Economic Outlook - March 2021" and related baseline economic scenario forecasts have been revised to a 6.2% U.S. GDP growth rate for 2021 and 3.3% for 2022 following -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 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 39.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. 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 Digital Risk and Solidifi. The third-party due diligence described in Form 15E focused on compliance (Digital Risk) and tax and title search (Solidifi). Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: increased the loss severity due to HUD-1 issues and extrapolated the results to the loans that did not receive diligence grades and for all loans where the first-lien status could not be confirmed, Fitch assumed the loan was a second lien. These adjustment(s) resulted in an increase in the expected loss of approximately 0.75%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on approximately 16.3% of the pool by loan count (based on Fitch's analysis of the pool, the due diligence percent is 15.9% by loan count). The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Digital Risk was engaged to perform the review. Loans reviewed under this engagement were given compliance, grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Refer to the Third-Party Due Diligence section for more detail. Fitch also used data les that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BX COMMERCIAL 2021-MC: S&P Assigns B- (sf) Rating on Class F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BX Commercial Mortgage Trust 2021-MC's commercial mortgage pass-through certificates. The note issuance is a CMBS securitization backed by a two-year interest-only floating-rate commercial mortgage loan totaling $159.1 million, subject to three one-year extension options. The loan is secured by the first-mortgage lien on the borrowers' fee-simple interests in 2 & 3 MiamiCentral--two class A office buildings totaling 329,260 sq. ft. located in downtown Miami. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and the manager's experience, the trustee-provided liquidity, the loan terms, and the transaction's structure. 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 BX Commercial Mortgage Trust 2021-MC Pass-through certificates(i) Class A, $50,350,000: AAA (sf) Class B , $12,749,000: AA- (sf) Class C, $9,566,500: A- (sf) Class D, $11,732,500: BBB- (sf) Class E, $15,931,500: BB- (sf) Class F, $15,428,000: B- (sf) Class G, $35,387,500: NR V interest(ii), $7,955,000: NR (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933, to institutional accredited investors under Regulation D, and to non-U.S. persons under Regulation S. (ii)Non-offered vertical risk retention interest, which will be retained by Natixis Real Estate Capital LLC. NR--Not rated. BX TRUST 2019-RP: Fiitch Affirms B- Rating on Class F Certificates ------------------------------------------------------------------ Fitch Ratings has affirmed its ratings and Rating Outlooks on six classes of the BX Trust 2019-RP, Commercial Mortgage Pass-Through Certificates, Series 2019-RP (BX Trust 2019-RP). The affirmations of classes A through E reflect the overall stable performance of the collateral. The Negative Outlook for class F reflects the retail nature of the collateral and potential for continued impact from the coronavirus pandemic. The loan was placed on the servicer's watchlist in March 2021 due to the loan's upcoming maturity date in June 2021. The borrower has given notice to exercise its first of three, one-year extension options. DEBT RATING PRIOR ---- ------ ----- BX 2019-RP A 05607VAA5 LT AAAsf Affirmed AAAsf B 05607VAC1 LT AA-sf Affirmed AA-sf C 05607VAE7 LT A-sf Affirmed A-sf D 05607VAG2 LT BBB-sf Affirmed BBB-sf E 05607VAJ6 LT BB-sf Affirmed BB-sf F 05607VAL1 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance and Cash Flow. As of YE 2020, the servicer-reported NCF debt service coverage ratio (DSCR) for the interest-only loan was 3.41x. According to the December 2020 rent rolls, the portfolio occupancy has remained stable at 86.3%, compared with 85.0% at 2019 and 86.9% at issuance. Prior to securitization in this transaction, the portfolio's occupancy was 88.1% at 2018, 89.0% at 2017, and 88.8% at 2016. The Fitch NCF is down to $21.4 million from $23.1 million at issuance primarily due to increased expenses and a slight decline in rental revenue due to tenants that received rent relief due to the pandemic. Coronavirus Impact. The ongoing containment efforts related to the coronavirus pandemic are having an adverse impact on the performance of retail properties. The 24-Hour Fitness tenant, occupying 20.5% of NRA at the Cornerstar property and 4.0% of portfolio NRA, received a six-month rent abatement April to September 2020 and a minimum rent reduction by 50% for the remainder of the lease term, now through Aug. 31, 2030. TJX Companies (9.8% of portfolio NRA; Marshalls [3.9%]; HomeGoods [3.4%]; TJ Maxx [3.5%]) deferred payment of base rent due in June, July, and August 2020. The TJX Companies tenants will repay the deferred amounts in nine equal monthly installments. This also reduced tenant's co-tenancy rights. In addition, Urban Air trampoline, occupying 11.6% of NRA at the Cornerstar property and 2.3% of portfolio NRA, an indoor trampoline and entertainment center, agreed to pay 10% of gross sales in lieu of rent for the period Oct. 24, 2020-Feb. 28, 2021. Fitch will continue to monitor the property performance going forward. Diverse and Granular Portfolio. The loan is secured by 12 retail properties located in seven states. The three states with the largest concentrations are Colorado (one property; 32.6% of the allocated loan amount), Georgia (two properties; 18.7%) and Florida (two properties; 17.8%). The portfolio consists of almost 150 unique tenants with approximately 200 leases in place. No tenant leases more than 7.5% of the NRA or accounts for more than 7.1% of base rent. Experienced Sponsorship and Property Management. The loan is sponsored by Blackstone Real Estate Partners VII L.P. (Blackstone) and SITE Centers Corp. (SITE; fka DDR Corp.). SITE (BBB/Stable) owns and manages 138 shopping centers in the U.S. which are reportedly 91.4% leased as of March 2021. Blackstone reported over $648.8 billion in assets under management as of March 2021. RATING SENSITIVITIES The Stable Rating Outlooks on classes A through E reflect the portfolio's overall stable performance and occupancy. The Negative Rating Outlook on class F reflects the potential for downgrade due to concerns surrounding the retail nature of the collateral and the impact on portfolio cash flow from rent relief and other rent deferrals related to the coronavirus. Factor that could, individually or collectively, lead to positive rating action/upgrades for classes B, C, D E, and F would include: -- Improved asset performance over a sustained period. Due to the interest only nature of the loan, early pay down is not expected. Factor that could, individually or collectively, lead to negative rating action/downgrade of one category or more include: -- A decline in asset occupancy and/or a significant deterioration in property cash flow. The Rating Outlook for class E may be revised back to Stable with a sustained improvement in cash flow as tenants return to paying the full base rent stipulated in their leases. In addition to its baseline coronavirus scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out and the portfolio does not recover from the pandemic, Fitch expects that classes lower in the capital structure could 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. CARLYLE GLOBAL 2016-1: S&P Assigns Prelim B- Rating on E-R22 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X-R2, A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 replacement notes from Carlyle Global Market Strategies CLO 2016-1 Ltd./Carlyle Global Market Strategies CLO 2016-1 LLC, a CLO originally issued in April 2016 that is managed by Carlyle CLO Management LLC. The preliminary ratings are based on information as of May 11, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 13, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-1R2, A-2-R2, B-R2, C-R2, and D-R2 notes are expected to be issued at a higher spread over three-month LIBOR than the original notes. -- The new class X-R2 and E-R2 notes are expected to be issued at a floating spread. -- The stated maturity will be extended by seven years. -- The reinvestment period will be extended by 5.5 years. -- The weighted average life test date will be extended by five years. -- The non-call period will be extended to April 2023. -- The loss mitigation asset language has been updated. -- The class X-R2 notes issued in connection with this refinancing are expected to be paid down using interest proceeds during across 19 payment dates beginning with the payment date in October 2021. -- Of the identified underlying collateral obligations, 100.0% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.7% 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 data 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. "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 take rating actions as we deem necessary." Preliminary Ratings Assigned Carlyle Global Market Strategies CLO 2016-1 Ltd./Carlyle Global Market Strategies CLO 2016-1 LLC Class X-R2, $3.65 million: AAA (sf) Class A-1-R2, $226.30 million: AAA (sf) Class A-2-R2, $48.70 million: AA (sf) Class B-R2 (deferrable), $22.20 million: A (sf) Class C-R2 (deferrable), $20.90 million: BBB- (sf) Class D-R2 (deferrable), $12.10 million: BB- (sf) Class E-R2 (deferrable), $6.25 million: B- (sf) Subordinated notes, $36.75 million: Not rated CARLYLE US 2021-4: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Carlyle US CLO 2021-4 Ltd./Carlyle US CLO 2021-4 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 Carlyle US CLO 2021-4 Ltd./Carlyle US CLO 2021-4 LLC Class A-1, $276.000 million: AAA (sf) Class A-2, $18.400 million: Not rated Class B-1, $40.550 million: AA (sf) Class B-2, $14.650 million: AA (sf) Class C (deferrable), $27.600 million: A (sf) Class D (deferrable), $27.600 million: BBB- (sf) Class E (deferrable), $18.400 million: BB- (sf) Subordinated notes, $43.622 million: Not rated CD 2019-CD8: DBRS Confirms BB Rating on Class G-RR Certs -------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-CD8 issued by CD 2019-CD8 Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AAA (sf) -- Class X-B at AA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class X-D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class X-F at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (low) (sf) All trends are Stable. With this review, DBRS Morningstar removed Classes E, F, X-D, X-F, G-RR, and H-RR from Under Review with Negative Implications, where they were placed on August 6, 2020. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. As of the April 2021 remittance, all 33 of the original loans remain in the pool. There are 10 loans, representing 30.7% of the current trust balance, on the servicer's watchlist. The servicer is monitoring these loans for a variety of reasons, including low debt service coverage ratios (DSCRs) and occupancy issues; however, the primary reason for the high concentration of loans on the watchlist is the Coronavirus Disease (COVID-19) pandemic-driven stress for mixed-use with retail and lodging properties. Watchlisted loans backed by those property types generally have been reporting a low DSCR or upcoming rollover. Two loans backed by these property types are in special servicing, as further detailed below. DBRS Morningstar also notes that the transaction has a higher concentration of loans secured by retail properties, representing 29.8% of the pool. As loans backed by this property type have been among the most significantly affected by the pandemic, those borrowers are more likely to request relief from the servicers. At issuance, DBRS Morningstar assigned investment-grade shadow ratings to three loans, representing a combined 16.3% of the pool, including Woodlands Mall (Prospectus ID#2, 8.7% of the pool), Moffett Towers II Buildings 3 & 4 (Prospectus ID#10, 4.3% of the pool), and Crescent Club (Prospectus ID#12, 3.4% of the pool). With this review, DBRS Morningstar confirms that the performance of these loans remain consistent with investment-grade loan characteristics. As of the April 2021 remittance, the pool has two loans, representing 10.9% of the pool, in special servicing: Hilton Penn's Landing (Prospectus ID#3, 8.7% of the pool) and 63 Spring Street (Prospectus ID#17, 2.3% of the pool). Hilton Penn's Landing is secured by a 350-key, full-service hotel situated along the Delaware River waterfront in Philadelphia. The property was originally constructed as a Hyatt in 2000 and was later reflagged as Hilton in February 2015. The loan displayed strong performance prior to the pandemic, with a YE2019 DSCR of 2.27 times (x), compared with 2.12x at issuance. Additionally, the most recent Smith Travel Research report on file from May 2019 shows the subject was outperforming the competitive set. The loan received a three-month forbearance back in May 2020 and the 12-month repayment period commenced with the September 2020 payment. However, the loan was eventually transferred to special servicing in December 2020 for delinquency, with payments after October 2020 outstanding. According to the April 2021 reporting, the borrower has requested another short-term forbearance and negotiations are ongoing. The loan was analyzed with an elevated probability of default to account for delinquency and ongoing performance concerns amid the pandemic. The 63 Spring Street loan is secured by a 5,540-square-foot (sf) mixed-use building containing four free market residential units and 1,100 sf of ground-level retail space. The property, located in the desirable SoHo neighborhood in Manhattan, was built in 1910 and underwent a $6.0 million renovation between 2014 and 2015. At YE2019, the retail portion of the property was fully leased to three retail tenants: L'Occitane, Brodo Bone Broth Company, and Baked by Melissa. Additionally, the residential portion was also 100% leased as high-end residential units with average in-place rent of $6,825 per unit. At issuance, DBRS Morningstar noted that the retail portion of the property represented approximately 76% of the base rent. The loan transferred to special servicing in June 2020 for delinquency, with payments after April 2020 outstanding. According to the January 2021 rent roll, the property was nearly fully vacant, with Baked by Melissa (representing 0.9% of the overall net rentable area through January 2029) the sole tenant remaining at the property. With the loss in tenancy, the property's annual rents appear to total approximately $311,000 with income from the remaining retail tenant, a cell tower lease, and a billboard lease. That figure is insufficient to cover the annual debt service requirement of approximately $780,000. According to the servicer, the borrower requested a modification but has yet to submit financial information requested by the servicer to support the relief request. The collateral was reappraised in August 2020 for a value of $17.8 million, down 40.3% from the $29.8 million value at issuance. Given the extended delinquency and the significant stress for New York retail that will limit recovery options for the near to medium term, DBRS Morningstar liquidated the loan from the trust as part of the analysis for this review, resulting in a loss severity of approximately 24.0%. With this scenario, losses are contained to the unrated certificate. Notes: All figures are in U.S. dollars unless otherwise noted. CENTERBRIDGE CREDIT 1: Moody's Rates $24.5MM Class E Notes 'Ba3' ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Centerbridge Credit Funding 1, Ltd. (the "Issuer" or "Centerbridge Credit Funding 1"). Moody's rating action is as follows: US$175,000,000 Class A Senior Secured Fixed Rate Notes due 2039 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$42,000,000 Class B Senior Secured Fixed Rate Notes due 2039 (the "Class B Notes"), Definitive Rating Assigned Aa3 (sf) US$22,750,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class C Notes"), Definitive Rating Assigned A3 (sf) US$15,750,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$24,500,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2039 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. Centerbridge Credit Funding 1 is a managed cash flow CDO. The issued notes will be collateralized primarily by corporate bonds and loans. At least 30% of the portfolio must consist of senior secured loans (or participation interests therein), senior secured notes, and eligible investments, and up to 15% of the portfolio may consist of second lien loans. The portfolio is approximately 90% ramped as of the closing date. Centerbridge Credit Funding Advisors, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest up to 50% of unscheduled principal payments and proceeds from sales of credit risk assets. This is the Manager's first CDO. 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: $350,000,000 Diversity Score: 41 Weighted Average Rating Factor (WARF): 3124 Weighted Average Coupon (WAC): 4.75% Weighted Average Recovery Rate (WARR): 39.8% Weighted Average Life (WAL): 11 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. COMM 2013-CCRE12: Fitch Lowers Rating on Class E Debt to Csf ------------------------------------------------------------ Fitch Ratings has downgraded one distressed class and affirmed 11 classes of Deutsche Bank Securities, Inc.'s COMM 2013-CCRE12 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- COMM 2013-CCRE12 A-3 12591KAD7 LT AAAsf Affirmed AAAsf A-4 12591KAE5 LT AAAsf Affirmed AAAsf A-M 12591KAG0 LT AAAsf Affirmed AAAsf A-SB 12591KAC9 LT AAAsf Affirmed AAAsf B 12591KAH8 LT Asf Affirmed Asf C 12591KAK1 LT BBBsf Affirmed BBBsf D 12624SAE9 LT CCCsf Affirmed CCCsf E 12624SAG4 LT Csf Downgrade CCsf F 12624SAJ8 LT Csf Affirmed Csf PEZ 12591KAJ4 LT BBBsf Affirmed BBBsf X-A 12591KAF2 LT AAAsf Affirmed AAAsf X-B 12624SAA7 LT Asf Affirmed Asf Classes X-A and X-B are interest only. Class A-M, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-M, B and C certificates. KEY RATING DRIVERS Increased Loss Expectations; High Concentration of Fitch Loans of Concern (FLOCs): Loss Expectations on the pool have increased since the last rating action. Fitch has designated 19 loans (54.2% of pool) as FLOCs, including five specially serviced loans/real estate owned (REO) assets (10.6%). The increased loss also reflects concern over the long-term impact of the ongoing coronavirus pandemic. Fitch's current ratings incorporate a base case loss of 13.3%. The Negative Rating Outlooks on classes A-M through C reflect losses that could reach 14.1% when factoring in additional stresses related to the coronavirus pandemic. Largest Contributors to Loss: The largest contributor to loss is the REO Harbourside North (3.7% of the pool). The loan transferred to the special servicer in July 2018 due to payment default. The special servicer moved forward with foreclosure and the property became REO around April 2019. The property consists of a leasehold interest in a 121,983-sf five-story, office property located in the Georgetown submarket of Washington, D.C. The property was built in 2006. There is a sixth floor of the building, which houses luxury residential condominium units, that is not part of the REO property. As of March 2021, the property was approximately 83% occupied. However, the servicer anticipates that the Norwegian Embassy (12% of NRA) will be vacating at its lease expiration in September 2021. The largest tenant is Kattan Muchin Rosenman LLP (59.1% of NRA through May 2023). The servicer is considering marketing the property for sale. Fitch's base case loss of 92% reflects a discount to a recent appraised value. The next largest contributor to loss is the Oglethorpe Mall loan (5.9%), which is secured by a 626,966-sf portion of a 942,726-sf regional mall located in Savannah, GA. The property is anchored by JCPenney (13.7% of NRA, through July 2022), Macy's (21.5%, through Feb. 2023), Belk (non-collateral) and a dark former Sears (non-collateral). Other large tenants include Overstock Furniture and Mattress (5.9% of NRA, through December 2021), DSW (2.7%, through January 2027), Barnes & Noble (4.3%, through January 2022) and H&M (3.2% through January 2028). The servicer reported 2020 NOI DSCR was 1.47x. Per the Dec. 31, 2020 rent roll, the collateral was 91.4% occupied compared to 96% in March 2020; total mall occupancy was 77.7%. Approximately 18% of the collateral NRA rolls over the next 12 months. Stein Mart (5.9% of NRA) vacated in 2020 at or prior to its lease expiry after the company's bankruptcy. The space was released on a one-year term to Overstock Furniture and Mattress. In line tenant sales have been trending downward over the past few years. YE20 comparable in line sales were $340 psf; however, they reflect performance during the pandemic. YE19 comparable inline sales were reported at $385 psf compared with $397 at YE18. JCPenney reported YE20 sales at $80 psf compared to $114 psf at YE19 and $122 psf at YE18. Macy's sales were stable at $92 for YE20 compared to $87 psf at YE19 and $90 psf at YE18. Fitch's base case loss of 47% reflects an implied cap rate of 20% to YE19 NOI. The next largest contributor to loss is the REO Monarch 544 at Coastal Carolina (2.2%). The loan transferred to special servicing for monetary default in June 2019 and became REO in November 2020. Property performance seemed to have been affected in 2018 by the addition of two new properties (994 beds) to the submarket. YE19 NOI DSCR was 0.23x compared to 0.60x at YE18. The university went fully online, as of March 2020, and the campus reportedly re-opened for the fall 2020 semester. Per the March 2021 rent roll, the property was 53.4% leased compared to 69.3%, as of April 2020, 70%, as of August 2019, and 82% at YE16. The servicer is working on leasing up and stabilizing the property. There are currently no immediate disposition plans. Fitch's base case loss of 71% reflects a discount to a recent appraised value. The next largest contributor to loss is the REO Hilton Garden Inn - Morgantown (1.4%), which is a 118-room select service hotel located in Morgantown, WV. The loan transferred to special servicing in April 2017 due to a loan default caused by a failure to comply with the terms of the franchise agreement. The borrower was delinquent on its franchise fees and entered into a payment plan with the franchisor without obtaining lender consent, which is considered a default under the loan documents. The borrower also reportedly failed to pay state taxes. The borrower filed for bankruptcy protection on two separate occasions in 2017/2018; however, both actions were dismissed. The loan became REO on June 14, 2018. The property underwent a refresh with lobby renovations, mattress replacements and other miscellaneous work. The property was under contract for sale prior to the pandemic, but the sale never closed. Per the servicer, hotel demand is beginning to return, however, the property is not currently listed for sale. Fitch's base case loss of 95% reflects a discount to a recent appraised value. The fifth largest contributor to loss is the specially serviced The Crossings loan (1.3%), which is secured by a retail center located in Elkview, WV. The loan transferred to special servicing in August 2016 due to imminent monetary default. The Crossings closed in June 2016 when the main bridge accessing the property collapsed after severe storms and flooding hit the area. In October 2016, the property was placed into receivership. The borrower subsequently filed for bankruptcy protection at the time of the foreclosure sale in January 2017. The borrower filed a bankruptcy plan in June 2017. Several tenants, including Kmart, filed proofs of claim and several individuals filed class action claims. Litigation remains ongoing. The bridge was restored in August 2017, and the property reportedly re-opened with several tenants returning, including anchors Kroger and Kmart. However, Kmart is now reportedly dark. No rent roll or property financials have been provided since 2016, per the servicer. Fitch's base case loss of 91% reflects a discount to a recent appraised value. Minimal Improvement to Credit Enhancement Since Last Rating Action: As of the April 2021 distribution date, the pool's aggregate principal balance has been reduced by 19.1% to $969 million from $1.2 billion at issuance. Since the last rating action, no loans have prepaid or resolved. All performing loans in the pool are now amortizing. Ten loans (9.5% of pool) have been defeased. No loans mature prior to July 2023. Coronavirus impact: Significant economic impact to certain hotels, retail and multifamily properties has resulted from the pandemic with the long-term impact remaining uncertain. Loans secured by hotels comprise 4.8% of the pool while retail and multifamily are at 34.5% (including mixed-use with retail component) and 10.8% of the pool, respectively. Fitch applied additional coronavirus-related stresses to eight retail loans (8%) and two hotel loans (1.4%); these additional stresses contributed to the Negative Rating Outlooks on classes A-M through C. RATING SENSITIVITIES The Negative Rating Outlooks on classes A-M through C and interest only X-A and X-B reflect concerns over the FLOCS including five specially serviced loans/assets. The Stable Outlook on classes A-SB, A-3 and A-4 reflect the substantial credit enhancement to the classes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' category would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. -- Upgrades to 'BBBsf' categories are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. The distressed classes (D through F) are unlikely to be upgraded absent significant performance improvement and substantially higher recoveries than expected on the specially serviced loans/assets. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-SB, A-3 and A-4 are not expected given the position in the capital structure but may occur should interest shortfalls occur. -- Downgrades to the classes with Negative Rating Outlooks are possible should performance of the FLOCs continue to decline and should additional loans transfer to special servicing and/or should further losses be realized. Downgrades to the distressed classes will occur should losses occur or become more certain. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS COMM 2013-CCRE12 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to the sustained structural shift in secular preferences affecting consumer trends, occupancy trends, etc. which, in combination with other factors, impacts the rating. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM 2015-3BP: DBRS Confirms BB(low) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on the following Commercial Mortgage Pass-Through Certificates, Series 2015-3BP issued by COMM 2015-3BP Mortgage Trust: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The 10-year interest-only (IO) loan provided whole-loan proceeds of $1.1 billion to facilitate the $2.2 billion acquisition of the property known as Three Bryant Park, a 1.2 million-square-foot (sf), 41-story, Class A office building in Midtown Manhattan. A $215.0 million mezzanine loan with a coterminous maturity date and $878.7 million of sponsor equity also supported the acquisition. The loan is sponsored by SITQ US Investments Inc., which is the United States subsidiary of Ivanhoe Cambridge Inc., a Canadian real estate company with assets around the world. The 41-story collateral building, which was originally built in 1974 and redeveloped from 2007 to 2008, is located across 6th Avenue from Bryant Park at the corner of West 42nd Street and Avenue of the Americas (6th Avenue). The property comprises multiple condominium units, of which the borrower owns all of the retail space and most of the office space, excluding floors seven through 12. The building is a high-quality asset that has received more than $400 million in capital improvements between 2007 and 2014. As of the December 2020 rent roll, the property was 95.0% occupied, with an average annual lease rate of $105.75 per square foot (psf) for the office tenants. According to the Reis Q4 2020 Midtown West submarket report, the average vacancy rate for the submarket was 7.5%, with average annual asking rents for Class A office space of $78.55 psf. The property's largest tenant, MetLife, Inc., leases 35.4% of the net rentable area (NRA) through April 2029 with no termination options; however, in late 2015, MetLife vacated and subleased the space to various tenants including the building's new namesake, Salesforce.com, Inc., which houses its regional headquarters at the subject property. Dechert LLP, the second-largest tenant with 20.1% of the NRA, has a lease expiration date in July 2023, two years prior to loan maturity. The Dechert lease renewal option requires an 18-month notice period, giving the borrower time to market the space if Dechert chooses not to renew its lease. Failure to renew during this time period will trigger a cash flow sweep. Other large tenants include Standard Chartered Bank, accounting for 9.3% of the NRA through March 2026, and Stifel, Nicolaus & Company, Incorporated, accounting for 6.2% of the NRA on a lease that commenced in September 2020 to back-fill a portion of the space vacated by Instinet Group LLC, which had occupied 8.8% of the NRA at issuance. The Steifel lease runs through April 2031. The retail space is anchored by a 42,818-sf Whole Foods, which has a lease expiry in 2037 and provides an attractive amenity to the property and drives pedestrian traffic to the building. As of year-end (YE) 2020, the servicer reported a net cash flow (NCF) figure of $84.9 million, with a debt service coverage ratio (DSCR) of 2.29 times (x). This remains in line with the YE2019 NCF of $83.7 and DSCR of 2.26x, but cash flow has remained below the Issuer's expectations of $93.9 million and 2.54x respectively since issuance, with the driver the last three years being increased expenses as compared with the Issuer's estimates. The in-place DSCR remains generally healthy, and the overall desirability of the location and building, even amid the challenges of the Coronavirus Disease (COVID-19) pandemic, as well as the strong sponsorship and significant equity contribution at issuance, all should continue to support the stable performance of the loan through the remaining term. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2021-B: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by CPS Auto Receivables Trust 2021-B: -- $125,640,000 Class A Notes at AAA (sf) -- $30,000,000 Class B Notes at AA (sf) -- $36,360,000 Class C Notes at A (sf) -- $18,000,000 Class D Notes at BBB (sf) -- $30,000,000 Class E Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- DBRS Morningstar's projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19). While considerable uncertainty remains with respect to the intensity and duration of the shock, the DBRS Morningstar-projected CNL includes an assessment of the expected impact on consumer behavior. The DBRS Morningstar CNL assumption is 18.00%, based on the expected cut-off date pool composition. -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. The assumptions also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The consistent operational history of Consumer Portfolio Services, Inc. (CPS or the Company) and the strength of the overall Company and its management team. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry. (4) The capabilities of CPS with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (5) DBRS Morningstar exclusively used the static pool approach because CPS has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis performed on the static pool data. (6) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against CPS could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 48.65% of initial hard credit enhancement provided by subordinated notes in the pool (47.65%) and the reserve account (1.00%). The ratings on Class B, Class C, Class D, and Class E Notes reflect 36.15%, 21.00%, 13.50%, and 1.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. DROP MORTGAGE 2021-FILE: DBRS Finalizes BB(sf) Rating on 2 Classes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by DROP Mortgage Trust 2021-FILE: -- Class A at AAA (sf) -- Class X-CP at BBB (sf) -- Class X-NCP at BBB (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class HRR at BB (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) All trends are Stable. The Class A, Class A-Y, Class A-Z, and Class A-IO Certificates (the CAST Certificates) can be exchanged for other CAST Certificates and vice versa. Proportions are constant proportions of the original Certificate Balance or Notional Amount of the CAST Certificates being exchanged. Following the Closing Date, the Class A certificates will be exchangeable for the CAST Certificates in the Exchanged Proportions indicated in the applicable combinations indicated above (each a Combination) and vice versa (each such completed exchange, an Exchange). The CAST Certificates required under the applicable Combination to result in the issuance of the other CAST Certificates in amounts at least equal to the applicable minimum denomination for such other Class(es) are referred to as the Required Exchangeable Proportion, and the proportion so exchanged, the Exchanged Proportion. The DROP Mortgage Trust 2021-File (DROP 2021-FILE) single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in The Exchange, a 750,370-square foot (sf) office building with components in the Mission Bay submarket of San Francisco. DBRS Morningstar has a favorable view of the asset, given its desirable location, property quality, and institutional level sponsorship. KKR Real Estate (KKR) purchased the property from its developer, Kilroy Realty Corporation, for $1.08 billion. Built in 2018, the subject is in excellent condition and is Leadership in Energy and Environmental Design Platinum certified. The office property consists of 12 stories with ground floor retail space and boasts design elements, including building systems and floorplates, that can accommodate life sciences tenants. The property benefits from its dense urban location near many of the area demand drivers such as the University of California San Francisco's (UCSF) Mission Bay campus, the Golden State Warriors' Chase Center, the Kaiser Permanente hub, and new residential units. The subject is 99.6% leased as of March 2021 to two tenants: Dropbox (98.4% of net rentable area (NRA)) and Kings & Convicts BP, LLC, doing business as Ballast Point (1.2% of the NRA). Dropbox recently subleased approximately 25.3% of its space at the building to two life sciences tenants: 133,896 sf (17.8% of the collateral's NRA) to VIR Biotechnology, Inc. (VIR) and 52,604 sf (7.0% of the collateral's NRA) to BridgeBio Pharma, Inc. Dropbox occupies the subject on a long-term lease through November 2033 and is responsible for all lease obligations, including subleased space, with no termination options during its lease term. Additionally, Dropbox's performance under its lease is backed by a letter of credit of approximately $34 million. The ongoing coronavirus pandemic continues to pose challenges and risks to virtually all major commercial real estate property types and has created an element of uncertainty around future demand for office space, even in gateway markets that have historically been highly liquid. Despite the disruptions and uncertainty, the collateral has largely been unaffected. Dropbox has been paying rent despite the pandemic and no cash flow disruptions are expected. Kings & Convicts has taken possession but is currently in a 50% rent and common area maintenance abatement until June 2021 so that it can finish the build-out it had not completed when the pandemic and local lockdown mandates began. The Kings & Convicts lease is guaranteed by Constellation Brands, Inc., which is investment-grade rated and is getting long-term credit tenant treatment. Since the beginning of the lockdown, Dropbox employees have been primarily working from home. VIR's and BridgeBio's leases have commenced; however, both subtenants need to complete their build-outs. VIR is expected to take occupancy in Q3 2021. In the case of both subtenants, Dropbox is fully responsible for paying direct rent, regardless of whether subtenants are paying sublease rent. The property is predominantly leased to a single tenant, Dropbox, comprising 98.4% of the NRA, for the entirety of the loan term. This creates binary risk where the entire stream of cash flow is dependent on the performance of one tenant. As of YE2020, Dropbox reported revenue of $1.9 billion, a 15% increase over YE2019. Dropbox boasts more than $1.8 billion of liquidity with $1.12 billion of cash, cash equivalents, and short-term investments in addition to $680 million of available borrowing capacity under a revolving credit facility as of December 31, 2020. In February 2021, Dropbox issued a $1.3 billion convertible bond with the intent to use the proceeds for stock repurchases and other general corporate purposes. In March 2021, Dropbox announced its plans to acquire DocSend for $165 million. Dropbox is privately rated by DBRS Morningstar and exhibits characteristics consistent with a high below investment-grade credit rating. In addition, the appraiser concluded a dark value of $798 million ($1,063 per sf), which assumes the property is vacant and available for sale/lease. The appraiser's dark-value conclusion implies a conservative 75.2% loan-to-dark-value on the whole loan. Additionally, the borrower has a Lease Recapture Right (defined in the Loan-Level Legal and Structural Features section of this report) to take back up to 250,000 sf of Dropbox space, and lease it to a Creditworthy Tenant (also defined in the Loan-Level Legal and Structural Features section), subject to pro forma debt yield following such an amendment being equal to or greater than the debt yield as of the origination date. This gives the sponsor the opportunity to find a replacement tenant with a better rent, a better credit profile, and an economically advantageous leasing package. Moreover, the loan is structured with a cash trap trigger that will sweep all cash flow into a lender-controlled account in the event of a material default under the lease to Dropbox or any other major lease. The transaction is structured with an anticipated repayment date (ARD) beginning in April 2026 and a final maturity date in October 2033, one month before Dropbox's lease expiration. In addition to penalty interest due on the mortgage after this date, all property cash flow after current debt service will be diverted away from the sponsor and toward amortizing the mortgage loan. This feature strongly incentivizes the sponsor to arrange takeout financing before the ARD and therefore reduces maturity risk for the certificateholders. DBRS Morningstar provided an explicit benefit for this structure; for more information please refer to the Ratings Rationale section of this report. The property benefits from the experienced institutional sponsorship of KKR. As of December 2020, KKR had approximately $15.9 billion of assets under management (including proprietary investments) with a dedicated real estate team of more than 90 investment and asset management professionals across eight countries. Additionally, the sponsor contributed $499.3 million, which represents 45.4% of the cost basis, as part of the acquisition. The property benefits from its dense infill location within San Francisco's Mission Bay neighborhood, which is near area demand drivers such as UCSF's Mission Bay campus, the Golden State Warriors' Chase Center, and the Kaiser Permanente hub. Additionally, the supply of buildings that can accommodate life sciences tenants in the submarket is low because of zoning limitations, limited available land, and high construction costs, which is reflected by the low availability rate of 2.4% for life sciences facilities in the San Francisco submarket as of Q4 2020, as reported by Newmark Knight Frank. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 72: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R, C-R, D-R, and E-R replacement notes from Dryden 72 CLO Ltd./Dryden 72 CLO LLC, a CLO that is managed by PGIM Inc. At the same time, S&P withdrew its ratings on the class X, B, C, D, and E notes following payment in full on the May 17, 2021, refinancing date (S&P did not rate the original class A notes). S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data 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. "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 take rating actions as we deem necessary." Ratings Assigned Dryden 72 CLO Ltd./Dryden 72 CLO, LLC Class X-R, $1.20 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-R, $22.80 million: BBB- (sf) Class E-R, $13.20 million: BB- (sf) Ratings Withdrawn Dryden 72 CLO Ltd./Dryden 72 CLO LLC Class X: to NR from 'AAA (sf)' Class B: to NR from 'AA (sf)' Class C: to NR from 'A (sf)' Class D: to NR from 'BBB- (sf)' Class E: to NR from 'BB- (sf)' Other Outstanding Notes Dryden 72 CLO Ltd./Dryden 72 CLO LLC Subordinated notes: NR NR--Not rated. EATON VANCE 2019-1: Moody's Assigns Ba3 Rating to Class E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Eaton Vance CLO 2019-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$260,000,000 Class A-R Senior Secured Floating Rate Notes due 2031 (the "Class A-R Notes"), Assigned Aaa (sf) US$44,000,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned Aa1 (sf) US$24,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf) US$24,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf) US$12,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf) Additionally, Moody's has taken rating action on the following outstanding notes originally issued by the Issuer on May 15, 2019 (the "Original Closing Date"): US$8,000,000 Class F Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Upgraded to B2 (sf); previously on May 15, 2019 Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Eaton Vance Management (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the non-call period for the Refinancing Notes; changes to the overcollateralization test levels; the inclusion of alternative benchmark replacement provisions; and changes to the definition of "Adjusted Weighted Average Moody's Rating Factor". Moody's rating action on the Class F Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. 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: $398,489,712 Defaulted par: $3,320,576 Diversity Score: 76 Weighted Average Rating Factor (WARF): 2909 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.33% Weighted Average Recovery Rate (WARR): 48.4% Weighted Average Life (WAL): 5.6 years In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: an additional cashflow analysis assuming a lower WAS to test the sensitivity to LIBOR floors; and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in the US economic activity. Moody's 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. FLAGSHIP CREDIT 2021-2: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Flagship Credit Auto Trust 2021-2 (the Issuer): -- $248,330,000 Class A Notes at AAA (sf) -- $32,890,000 Class B Notes at AA (sf) -- $41,760,000 Class C Notes at A (sf) -- $24,950,000 Class D Notes at BBB (sf) -- $14,780,000 Class E Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) DBRS Morningstar's projected losses include the assessment of the possible impact on consumer behavior as a result of the Coronavirus Disease (COVID-19). The DBRS Morningstar CNL assumption is 11.65% based on the expected Cut-Off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. The assumptions also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. (4) The consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Flagship with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Flagship and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) DBRS Morningstar exclusively used the static pool approach because Flagship has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis performed on the static pool data. (7) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Flagship could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (8) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Flagship is an independent, full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms to purchase late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 33.80% of initial hard credit enhancement provided by subordinated notes in the pool (30.95%), the reserve account (1.00%), and OC (1.85%). The ratings on the Class B, C, D, and E Notes reflect 24.90%, 13.60%, 6.85%, and 2.85% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. FLAGSTAR MORTGAGE 2021-3INV: Moody's Gives (P)B3 Rating to B-5 Debt ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to fourty-eight classes of residential mortgage-backed securities (RMBS) issued by Flagstar Mortgage Trust 2021-3INV ("FSMT 2021-3INV"). The ratings range from (P)Aaa (sf) to (P)B3 (sf). Flagstar Mortgage Trust 2021-3INV (FSMT 2021-3INV) is the third issue from Flagstar Mortgage Trust in 2021 and the first issue with investor-property loans in 2021. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-3INV is a securitization of GSE eligible first-lien investment property mortgage loans. 100.0% of the pool by loan balance were originated by Flagstar Bank, FSB. All the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower as well as loan-to-value (LTV). These loans were run through one of the government-sponsored enterprises' (GSE) automated underwriting systems (AUS) and received an "Approve" or "Accept" recommendation. All of the personal-use loans are "qualified mortgages" under Regulation Z as result of the temporary provision allowing qualified mortgage status for loans eligible for purchase, guaranty, or insurance by Fannie Mae and Freddie Mac (and certain other federal agencies). If the Sponsor or the Reviewer determines a Personal Use Loan is no longer a "qualified mortgage" under the ATR Rules, the Sponsor will be required to repurchase such Personal Use Loan. With the exception of personal-use loans, all other mortgage loans in the pool are not subject to TILA because each such mortgage loan is an extension of credit primarily for a business purpose and is not a "covered transaction" as defined in Section 1026.43(b)(1) of Regulation Z. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. Overall, this pool has average credit risk profile as compared to that of recent prime jumbo transactions. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. Issuer: Flagstar Mortgage Trust 2021-3INV Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aa1 (sf) Cl. A-17, Assigned (P)Aa1 (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-11X*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-X-16*, Assigned (P)Aa1 (sf) Cl. A-X-17*, Assigned (P)Aa1 (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2-A, Assigned (P)A2 (sf) Cl. B-2-X*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. RR-A, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.75% at the mean, 0.49% at the median, and reaches 6.09% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (7.4% for the mean) and Moody's Aaa losses by 2.5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral description Flagstar Mortgage Trust 2021-3INV (FSMT 2021-3INV) is the third issue from Flagstar Mortgage Trust in 2021 and the first in 2021 with investor-property loans. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-3INV is a securitization of GSE eligible first-lien investment property mortgage loans. 100.0% of the pool by loan balance were originated by Flagstar Bank, FSB. All the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower as well as loan-to-value (LTV). As of the cut-off date of May 1, 2021, the $515,789,220 pool consisted of 2,020 mortgage loans secured by first liens on residential investment properties. The average stated principal balance is $255,341 and the weighted average (WA) current mortgage rate is 3.36%. The majority of the loans have a 30-year term, with 21 loans with terms ranging from 20 to 25 years. All of the loans have a fixed rate. The WA original credit score is 774 for the primary borrower only and the WA combined original LTV (CLTV) is 63.2%. The WA original debt-to-income (DTI) ratio is 37.5%. Approximately, 21.6% by loan balance of the borrowers have more than one mortgage loan in the mortgage pool. All of the mortgage loans originated by Flagstar were either directly or indirectly originated through correspondents and brokers. Approximately half of the mortgage loans by loan balance (48.2%) are backed by properties located in California. The next largest geographic concentration of properties are Texas, which represents 5.8% by loan balance, New York which represents 4.4% by loan balance and Washington and Arizona, which represents 4.2% by loan balance each. All other states each represent less than 4% by loan balance. Approximately 20.4% (by loan balance) of the pool is backed by properties that are 2-4 unit residential properties whereas loans backed by single family residential properties represent 47.7% (by loan balance) of the pool. Origination Quality Flagstar Bank, FSB (Flagstar) originated 100% of the loans in the pool. The loans in the pool are underwritten in conformity with GSE guidelines. Moody's consider Flagstar conforming and non-conforming mortgage origination quality to be adequate. As a result, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on Moody's review of the underwriting, QC, audit and loan performance. Servicing arrangement Moody's consider the overall servicing arrangement for this pool to be adequate. Flagstar will service the mortgage loans. Servicing compensation is subject to a step-up incentive fee structure. Wells Fargo Bank, N.A. (Wells Fargo) will be the master servicer. Flagstar will be responsible for principal and interest advances as well as servicing advances. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.50 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The fee-for-service compensation is reasonable and adequate for this transaction. It also better aligns the servicer's costs with the deal's performance and structure. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Delinquency and incentive fees will be deducted from the Class B-6-C interest payment amount first and could result in interest shortfall to the certificates depending on the magnitude of the delinquency and incentive fees. Trustee and master servicer The transaction trustee is Wilmington Savings Fund Society, FSB. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as master servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. Third-party review Moody's applied an adjustment to Moody's Aaa and expected losses due to the sample size. The credit, compliance, property valuation, and data integrity portion of the third party review (TPR) was conducted on a total of approximately 15.7% of the pool (by loan count). Canopy Financial Technology Partners (Canopy) conducted due diligence for a total random sample of 321 (of which 318 are included in the final pool, out of 2,020 loans in total) loans. The TPR results indicated compliance with the originators' underwriting guidelines for most of the loans without any material compliance issues or appraisal defects. 100% of the loans reviewed received a grade B or higher with 73.2% of loans receiving an A grade. While the TPR results indicated compliance with the originators' underwriting guidelines for most of the loans, no material compliance issues and no material appraisal defects, the total sample size of 318 loans reviewed did not meet Moody's credit neutral criteria. Moody's, therefore made an adjustment to loss levels to account for this risk. Representations and Warranties Framework Flagstar Bank, FSB the originator as well as an investment-grade rated entity, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when (1) the loan becomes 120 days delinquent, (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 119 days delinquent and is modified by the servicer. Similar to other private-label transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider is rated investment grade, the breach reviewer is independent, and the breach review process is thorough, transparent and objective. Moody's did not make any additional adjustment to Moody's base case and Aaa loss expectations for R&Ws. Transaction structure The securitization has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments on pro rata basis up to the senior bonds principal distribution amount, and then interest and principal payments on sequential basis up to each subordinate bond principal distribution amount. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate, starting with most junior, and senior support certificates and on a pro-rata basis among the super senior certificates. Tail Risk and subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1% of the cut-off date pool balance, and as subordination lock-out amount of 1% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. COVID-19 Impacted Borrowers As of the cut-off date, no borrower in the pool has entered into a COVID-19 related forbearance plan with the servicer. Also, if any borrower enters or requests a COVID-19 related forbearance plan from the cut-off date to the closing date, then the associated mortgage loan will be removed from the pool. In the event a borrower enters or requests a COVID-19 related forbearance plan after the closing date, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. GOLD KEY 2014-A: DBRS Confirms BB(high) Rating on Class C Tranche ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on three classes of securities issued by Gold Key Resorts 2014-A, LLC as follows: -- Series 2014-A, Class A at A (sf) -- Series 2014-A, Class B at BBB (sf) -- Series 2014-A, Class C at BB (high) (sf) The rating actions are based on the following analytical considerations: -- The transaction analysis considers DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- The analysis accounts for the current state of the hospitality industry. While the industry has rebounded from the initial resort closures made at the onset of the pandemic, expectations for the timing of a full recovery of the industry, including fly-to destinations, remain unclear. -- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction's capital structure and form and sufficiency of available credit enhancement. -- The transaction's performance to date, with losses coming within DBRS Morningstar's initial expectations. Notes: The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. GOLDENTREE LOAN 4: S&P Affirms B- (sf) Rating on Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement A-R, A-1B, B-R, C-R, and D-R notes and the class A-1 loans from GoldenTree Loan Management U.S. CLO 4 Ltd., a collateralized loan obligation (CLO) originally issued in 2019 that is managed by GoldenTree Loan Management L.P. At the same time, S&P withdrew its ratings on the original class A, B, C and D notes. S&P also affirmed its ratings on the class E and F notes, which are not being refinanced. The class A-J-R notes is not rated by S&P Global Ratings. On the May 14, 2021, refinancing date, the proceeds from the class A-R, A-J-R, A-1B, B-R, C-R, and D-R notes and the class A-1 loans issuances were used to redeem the original class A, A-J, B, C, and D notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original A, B, C, and D notes in line with their full redemption, and it is assigning ratings to the replacement A-R, A-1B, B-R, C-R, and D-R notes and the class A-1 loans. The replacement notes are being issued via a supplemental indenture, which outlines the terms of the replacement notes and loans. According to the proposed supplemental indenture: -- The stated maturity and the reinvestment period are unchanged. -- The non-call period is set to April 2022 for the class A-1 loans and the refinanced notes. -- LIBOR replacement language is added. -- 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 $242.00 million, with a corresponding decrease in the balance of the A-1 loans. -- The related definition and sections are updated. 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 GoldenTree Loan Management U.S. CLO 4 Ltd./GoldenTree Loan Management U.S. CLO 4 LLC Class A-1 loans(i), $242.00 million: AAA (sf) Class A-R, $234.00 million: AAA (sf) Class A-1B(i), $0: AAA (sf) Class A-J-R, $40.00 million: NR Class B-R, $69.75 million: AA (sf) Class C-R (deferrable), $68.00 million: A (sf) Class D-R (deferrable), $46.25 million: BBB- (sf) Ratings Affirmed GoldenTree Loan Management U.S. CLO 4 Ltd./GoldenTree Loan Management U.S. CLO 4 LLC Class E (deferrable): BB- (sf) Class F (deferrable): B- (sf) Ratings Withdrawn GoldenTree Loan Management U.S. CLO 4 Ltd./GoldenTree Loan Management U.S. CLO 4 LLC Class A: to NR from AAA (sf) Class B: to NR from AA (sf) Class C: to NR from A (sf) Class D: to NR from BBB- (sf) Other Outstanding Notes GoldenTree Loan Management U.S. CLO 4 Ltd./GoldenTree Loan Management U.S. CLO 4 LLC Subordinates notes: NR (i)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 $242.00 million, with a corresponding decrease in the balance of the A-1 loans. NR--Not rated. GPMT 2021-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by GPMT 2021-FL3, Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. Coronavirus Overview With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remains highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis. For example, DBRS Morningstar may front-load default expectations and/or assess the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. The initial collateral consists of 27 floating-rate mortgages secured by 32 mostly transitional properties, with a cut-off balance totaling $823.7 million, excluding approximately $143.3 million of future funding commitments. The collateral comprises one combined loan, 23 participations in mortgage loans, two participations in combined loans, and one senior participation in a mortgage loan. Combined loans include a mortgage loan and related mezzanine loan and are treated as a single loan. In addition, there is a 180-day Ramp-Up Period during which the Issuer may use $101.3 million of funds deposited into the unused proceeds account to acquire additional eligible loans subject to the Eligibility Criteria, resulting in a target pool balance of $925.0 million. The Eligibility Criteria indicate that all loans acquired within the Ramp-Up Period must be secured by multifamily properties. Most loans are in a period of transition with plans to stabilize and improve the asset value. During the Reinvestment Period, the Issuer may acquire future funding commitments and additional eligible loans subject to the Eligibility Criteria. The transaction stipulates a $5.0 million threshold on companion participation acquisitions before a rating agency confirmation (RAC) is required if there is already a participation of the underlying loan in the trust. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is net cash flow (NCF), 20 loans, comprising 73.1% of the initial pool, had a DBRS Morningstar As-Is debt service credit ratio (DSCR) below 1.00 times (x), a threshold indicative of default risk. However, the DBRS Morningstar Stabilized DSCRs for only four loans, comprising 17.1% of the initial pool balance, are below 1.00x. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets to stabilize above market levels. The transaction will have a sequential-pay structure. The transaction benefits from strong DBRS Morningstar Market Ranks with 66.5% of the properties in the pool are located in a DBRS Morningstar Market Rank 6, 7, or 8, which is considerably higher than recent commercial real estate collateralized loan obligation (CRE CLO) transactions rated by DBRS Morningstar. The DBRS Morningstar Market Rank range is 1 to 8, with 8 representing the highest-density markets with the greatest amount of liquidity and most origination activity. DBRS Morningstar recognizes market liquidity by giving credit to loans secured by properties in dense urban locations and penalizing loans in less populated areas and areas with lower economic activity. Also, the historical commercial mortgage-backed securities (CMBS) conduit loan data shows that probability of default (POD) increases in middle markets (Market Rank 3 or 4); moderates in tertiary and rural markets (Market Rank 1 or 2); and greatly improves in primary urban markets (Market Rank 6, 7, or 8). Historical loan data further supports the idea that loss given default (LGD) increases in tertiary and rural markets, and the lowest LGDs were noted in Market Rank 8. The initial pool consists of 28.8% of the cut-off date loan balance in Market Rank 6, 19.9% in Market Rank 7, and 17.8% in Market Rank 8. The weighted-average (WA) DBRS Morningstar Stabilized loan-to-value ratio (LTV) and DSCR are 65.0% and 1.35x, respectively. These credit metrics compare favorably with recent CRE CLO transactions rated by DBRS Morningstar and, by comparison, result in lower loan level PODs and LGDs. Approximately 16 collateral interests (56.4% of the pool) have an As-Is DSCR below 1.00x (excluding loan debt service reserve/deal structure). The Sponsor for the transaction, Granite Point Mortgage Trust (GPMT), is an experienced CRE CLO issuer and collateral manager. As of December 31, 2020, GPMT had an equity capitalization of more than $930 million and managed a commercial mortgage debt portfolio of approximately $4.4 billion. GPMT has completed two CRE CLO securitizations: GPMT 2018-FL1 and GPMT 2019-FL2. Additionally, GPMT CLO Holdings LLC, a wholly owned indirect subsidiary of GPMT will purchase and retain 100.0% of the Class F Notes, the Class G Notes, the Class H Notes, and the Preferred Shares, which total 16.75% of the transaction total. The loans are generally secured by traditional property types (i.e., office, multifamily, and mixed-use), with only 4.2% of the pool secured by hotels. Additionally, only one of the multifamily loans (The Rowan, representing 0.8% of initial pool balance) in the pool is currently secured by student housing properties, which often exhibit higher cash flow volatility than traditional multifamily properties. The initial loan pool exhibits a Herfindahl score of 20.9 (27 collateral interests), which is favorable for a CRE CLO transaction and higher than most recent CRE CLO transactions rated by DBRS Morningstar. All of the loans in the pool were originated before April 2020 and 16 collateral interest (56.4% of the pool) have an As-Is DSCR below 1.00x (without considering loan debt service reserves/deal structure). Low cash flows have directly affected many of the loans in the pool, with 12 loans receiving some form of loan modification since origination, and, as of the date of this report, four loans were in the process of being modified. The loan modifications vary, depending on the needs of the borrower but may include an increase in the loan amount, extension of the maturity date, reset of the forced funding date, and/or reduction in the Libor floor. DBRS Morningstar received coronavirus and business plan updates for all loans in the pool and incorporated these findings into the DBRS Morningstar NCF analysis and Business Plan Scores. Furthermore, all debt service payments have been received in full through March 2021. All of the properties were re-appraised in 2021 and the latest appraisals took into account recent property performance, market trends since the onset of the pandemic, and general property condition observations. The issuer provided DBRS Morningstar recent property financial statements and rent rolls, which are preferred for a more accurate view into underlying property cash flow performance. This information will continue to be shared with DBRS Morningstar throughout the transaction and be subject to periodic reviews. The transaction is managed and includes a ramp-up component and reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The risk of negative migration is partially offset by eligibility criteria (detailed in transaction documents) that outline DSCR, LTV, Herfindahl score minimum, property type, and loan size limitations for ramp and reinvestment assets. DBRS Morningstar has RAC for ramp loans, new reinvestment loans, and companion participations over $5.0 million. DBRS Morningstar will analyze these loans for potential ratings impacts. Deal reporting includes standard monthly CREFC reporting and quarterly updates. This transaction will be monitored by DBRS Morningstar on a regular basis. DBRS Morningstar accounted for the uncertainty introduced by the 180-day Ramp-Up period by running a ramp scenario that simulates the potential negative credit migration in the transaction based on the eligibility criteria. As a result, the ramp component has a higher expected loss than the WA pre-ramp pool expected loss. Furthermore, the ramp loans may only be collateralized by multifamily properties, which is a more favorable property type. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the in-place cash flow. It is possible that the sponsors will not successfully execute their business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing coronavirus pandemic and its impact on the overall economy. A sponsor's failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar sampled a large portion of the loans, representing 73.4% of the pool cut-off date balance. Physical site inspections were also performed, including management meetings. Most site inspections were completed in early 2020, prior to the onset of the pandemic and closer to loan origination. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes LGD based on the as-is credit metrics, assuming the loan is fully funded with no NCF or value upside. Future Funding companion participations will be held by affiliates of GPMT and have the obligation to make future advances. GPMT agrees to indemnify the Issuer against losses arising out of the failure to make future advances when required under the related participated loan. Furthermore, GPMT will be required to meet certain liquidity requirements on a quarterly basis. Four of the sampled loans, comprising 22.9% of the pool balance, were analyzed with Weak sponsorship strengths. Three of the loans—Times Square West, Mid Main, and SunTrust Center—are among the pool's 10 largest loans. DBRS Morningstar applied a POD penalty to loans analyzed with Weak sponsorship strength. All 27 loans have floating interest rates, and all loans are interest only during the original term and have original terms of 24 months to 37 months, creating interest rate risk. All loans are short-term loans, and, even with extension options, they have a fully extended maximum loan term of five to six years. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. The property condition assessments for all mortgaged properties are dated more than 12 months prior to the cut-off date. GPMT's third-party asset manager coordinates site visits to each of the properties in the pool annually and has conducted site visits on all of the assets in the pool within the past 12 months (with the exception of Indico Nashville and Cornerstone Corporate, which were originated in 2020). In most cases, the business plan includes capital improvements to the property, which are expected to improve the overall property condition. Active construction sites are monitored by consultants that visit properties and evaluate the progress of renovation work. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2014-GC20: Moody's Lowers Cl. C Certificates to Ba3 --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on four classes in GS Mortgage Securities Trust 2014-GC20, Commercial Mortgage Pass-Through Certificates, as follows: Cl. A-4, Affirmed Aaa (sf); previously on Dec 22, 2020 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Dec 22, 2020 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Dec 22, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Dec 22, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Dec 22, 2020 Affirmed Aa3 (sf) Cl. C, Downgraded to Ba3 (sf); previously on Dec 22, 2020 Downgraded to Ba1 (sf) Cl. PEZ**, Downgraded to Baa3 (sf); previously on Dec 22, 2020 Downgraded to Baa1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Dec 22, 2020 Affirmed Aaa (sf) Cl. X-B*, Downgraded to A2 (sf); previously on Dec 22, 2020 Affirmed Aa3 (sf) * Reflects interest-only classes ** Reflects exchangeable classes RATINGS RATIONALE The ratings on four P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes, Cl. B and Cl. C were downgraded due to higher anticipated losses and potential risk of interest shortfalls primarily due to the two largest specially serviced loans that are already real estate owned (REO). Specially serviced loans represent 18.5% of the pool and the two largest are Three Westlake Park (10% of the pool) and Sheraton Suites Houston (5%). Appraisal reductions of approximately 87% and 25% have already been recognized on Three Westlake Park and Sheraton Suite Houston, respectively, which have contributed to cumulative interest shortfall of $5.2 million as of the April 2021 remittance statement. Moody's anticipates interest shortfalls will continue and may increase from their current levels due the performance of these loans. The rating on the IO class X-A was affirmed based on the credit quality of its referenced classes. The rating on the IO class X-B was downgraded due to a decline in the credit quality of its referenced class. The rating on class PEZ was downgraded due to the decline in the credit quality of its reference exchangeable classes. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in US economic activity. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 18.2% of the current pooled balance, compared to 16.7% at Moody's last review. Moody's base expected loss plus realized losses is now 11.5% of the original pooled balance, compared to 11.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. DEAL PERFORMANCE As of the April 12, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $745.3 million from $1.18 billion at securitization. The certificates are collateralized by 54 mortgage loans ranging in size from less than 1% to 10.8% of the pool, with the top ten loans (excluding defeasance) constituting 50% of the pool. Twelve loans, constituting 16.5% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 18, compared to 20 at Moody's last review. As of the April 2021 remittance report, loans representing 82% were current or within their grace period on their debt service payments, 3% were beyond their grace period but less than 30 days delinquent and 15% were REO. Eleven loans, constituting 20% of the pool, are on the master servicer's watchlist, of which three loans, representing 3% of the pool, indicate the borrower has received loan modifications in relation to the coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Three loans, constituting 18.5% of the pool, are currently in special servicing. One of the specially serviced loans, representing 4.8% of the pool, has transferred to special servicing since May 2020. No loans have been liquidated from the pool. The largest specially serviced loan is the Three Westlake Park Loan ($77.3 million -- 10.4% of the pool), which is secured by a 19-story, Class-A office building containing 420,000 square feet (SF) and an adjacent 7-level parking structure containing approximately 1,100 spaces located in the "Energy Corridor" of Houston, Texas. The property is part of a larger complex known as WestLake Park, which contains approximately 2.3 million SF of Class A office space. BP Amoco Corporation, the property's second largest tenant, vacated the property at their lease expiration in November 2016. The property was also affected by flooding in the Houston area in August 2017. The loan was transferred to the special servicer in October 2018 for imminent default due to tenancy issues. In February 2019 the largest tenant Conoco vacated their space and the property is currently vacant. The special servicer is working to execute new leases and increase occupancy. The collateral is REO and a December 2020 updated appraisal values the collateral at an amount which is significantly below the remaining loan balance. Due to the continued underperformance of this property and significant appraisal reduction, Moody's expects a significant loss from this loan. The second largest specially serviced loan is the Sheraton Suites Houston Loan ($36.0 million -- 4.8% of the pool), which is secured by a 283-room hotel property that was built in 2000 and renovated in 2013, located in the Galleria submarket of Houston, Texas. The loan transferred to special servicing in May 2020 due to imminent default as a result of the coronavirus outbreak. The 2019 reported DSCR has declined from securitization due to a decrease in room revenue, telephone and other income. The third largest specially serviced loan is the Oklahoma Hotel Portfolio Loan ($24.2 million -- 3.2% of the pool), which is secured by a portfolio of two full-service hotels and one limited service hotel totaling 320 keys located in Stillwater, Durant and Norman, Oklahoma. The loan transferred to special servicing in October 2019 due to franchise defaults at both the Hampton Inn & Suites and Hilton Garden Inn. The Hampton Inn Durant lost its flag and was running as an independent. It is now being converted to a Marriott Branded Fairfield Inn & Suites. The loan has amortized by almost 17% and is paid through February 2021. Moody's has also assumed a high default probability for two poorly performing loans, constituting 2% of the pool, and has estimated an aggregate loss of $104.3 million (a 68% expected loss on average) from these specially serviced and troubled loans. The largest troubled loan is secured by an unanchored retail property located in Mooresville, North Carolina. The property lost a major tenant (41% net rentable area (NRA)) in 2017, and the borrower requested relief due to the coronavirus outbreak. The second troubled loan is secured by an unanchored retail center located in Richmond, Texas which has low DSCR as a result of a drop in occupancy. As of the April 2021 remittance statement cumulative interest shortfalls were $5.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2019 operating results for 96% of the pool, and full or partial year 2020 operating results for 96% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 106%, compared to 107% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 20% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.36X and 1.03X, respectively, compared to 1.35X and 1.01X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 19.1% of the pool balance. The largest loan is the Greene Town Center Loan ($80.8 million -- 10.8% of the pool), which represents a pari-passu portion of a $123.2 million senior mortgage loan. The loan is secured by a mixed-use property located in Beavercreek, Ohio, approximately ten miles southeast of the Dayton, Ohio CBD. The property is also encumbered by $37.4 million of mezzanine debt. The subject improvements primarily consist of a lifestyle center situated around a town square. In total, the property is comprised of 566,634 SF (80% NRA) of retail, 143,343 SF (20% NRA) of office, and 206 Class A multifamily units. Retail anchors include Von Maur (not part of the collateral), LA Fitness, Forever 21, Old Navy, Nordstrom Rack, and a 14-screen Cinemark Cinema (not part of the collateral). Parking is provided via three parking garages and four surface lots with 4,401 total spaces. The property was 88% leased as of June 2020 compared to 90% in March 2020, 91% in December 2018 and 87% in September 2017. The borrower requested relief due to the coronavirus outbreak, and a forbearance is currently under review. The loan has amortized by 10% and was last paid through March 2021. Moody's LTV and stressed DSCR are 109% and 0.94X, respectively, compared to 110% and 0.93X at Moody's last review. The second largest loan is the Greenville Center Loan ($35.2 million -- 4.7% of the pool). The loan is secured by a 134,033 SF mixed use property that was built in 1974 and renovated in 2012, located in Greenville, Delaware. The property is comprised of 11 buildings containing 71,128 SF (52% NRA) of office space and 65,503 SF (48% NRA) of retail space. The collateral also includes 564 parking spaces, which equates to a ratio of 4.13 spaces per 1,000 SF of office and retail space. The property was 93% leased as of September 2020 compared to 100% in June 2020, 96% at year-end 2019, 97% in 2018 and 91% at securitization. The loan has amortized by 6% and is current on debt service payments. Moody's LTV and stressed DSCR are 112% and 0.89X, respectively, compared to 112% and 0.88X at Moody's last review. The third largest loan is the Prime Kurtell Medical Office Building Portfolio Loan ($26.3 million -- 3.5% of the pool). The loan is secured by a portfolio of five medical office properties located throughout Tennessee. The portfolio was collectively 83% leased as of June 2020 compared to 73% at year-end 2018 and down from 90% at securitization. The loan has amortized by 8% and is current on debt service payments. Moody's LTV and stressed DSCR are 138% and 0.79X, respectively, compared to 139% and 0.78X at Moody's last review. GS MORTGAGE 2021-PJ5: Moody's Gives (P)B2 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 27 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust (GSMBS) 2021-PJ5. The ratings range from (P)Aaa (sf) to (P)B2 (sf). GS Mortgage-Backed Securities Trust 2021-PJ5 (GSMBS 2021-PJ5) is the fifth prime jumbo transaction in 2021 issued by Goldman Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage loan seller. The certificates are backed by 590 prime jumbo (non-conforming), primarily 30-year, fully-amortizing fixed-rate mortgage loans with an aggregate stated principal balance $597,356,778.17 as of the May 1, 2021 cut-off date. Overall, pool strengths include the high credit quality of the underlying borrowers, indicated by high FICO scores, strong reserves for prime jumbo borrowers, mortgage loans with fixed interest rates and no interest-only loans. As of the cut-off date, all of the mortgage loans are current and no borrower has entered into a COVID-19 related forbearance plan with the servicer. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (97.93% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (2.07% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (which aggregated 11.86% of the mortgage loans by UPB). NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the pool. Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long term debt Aa2) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties (R&W) breach reviewer. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. In addition, Moody's adjusted Moody's losses based on qualitative attributes, including origination quality, the strength of the R&W framework and third-party review (TPR) results. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. Issuer: GS Mortgage-Backed Securities Trust 2021-PJ5 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aa1 (sf) Cl. A-4, Assigned (P)Aa1 (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aa1 (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A1 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.35%, in a baseline scenario-median is 0.18%, and reaches 3.87% at stress level consistent with Moody's Aaa rating. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (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 mortgage loans to borrowers who are not currently making payments. For newly originated mortgage loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned mortgage loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, strength of the TPR and the R&W framework of the transaction. Collateral Description Moody's assessed the collateral pool as of May 1, 2021, the cut-off date. The mortgage loans consist of conventional, fully amortizing, first lien residential mortgage loans, none of which have the benefit of primary mortgage guaranty insurance. The aggregate collateral pool as of the cut-off date consists of 590 prime jumbo mortgage loans with an aggregate unpaid principal balance (UPB) of $$597,356,778.17 and a weighted average (WA) mortgage rate of 2.9%. The WA current FICO score of the borrowers in the pool is 771. The WA Original LTV ratio of the mortgage pool is 69.3%, which is in line with GSMBS 2021-PJ4 and also with other prime jumbo transactions. All the loans are subject to the Qualified Mortgage (QM) rule. The other characteristics of the mortgage loans in the pool are generally comparable to that of GSMBS 2021-PJ4 and recent prime jumbo transactions. The mortgage loans in the pool were originated mostly in California (49.4%) and in high cost metropolitan statistical areas (MSAs) of Los Angeles (18.6%), San Francisco (13.5%), Chicago (7.3%), San Diego (5.9%) and others (27.5%), by UPB, respectively. The high geographic concentration in high cost MSAs is reflected in the high average balance of the pool ($$1,012,469). Moody's made adjustments to Moody's losses to account for this geographic concentration risk. Top 10 MSAs comprise 67.2% of the pool, by UPB. Aggregator/Origination Quality GSMC is the loan aggregator and the primary mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure. The mortgage loans for this transaction were acquired by GSMC, the sponsor and a mortgage loan seller (97.93% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (2.07% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (11.86% by UPB, in total). The mortgage loan sellers do not originate any mortgage loans, including the mortgage loans included in the mortgage pool. Instead, the mortgage loan sellers acquired the mortgage loans pursuant to contracts with the originators or the aggregator. Overall, Moody's consider GSMC's aggregation platform to be comparable to that of peer aggregators and therefore did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing GSMC as an aggregator, Moody's have also reviewed each of the originators which contributed at least 10% of the mortgage loans (by UPB) to the transaction. For these originators, Moody's reviewed their underwriting guidelines, performance history, and quality control and audit processes and procedures (to the extent available, respectively). As such, approximately 19.7% and 11.9% of the mortgage loans, by UPB as of the cut-off date, were originated by CrossCountry Mortgage, LLC (CrossCountry) and aggregated by Maxex Clearing, LLC, respectively. In addition, approximately 23%, 4.7% and 1.1% of the mortgage loans, by UPB as of the cut-off date (44.9% by UPB, in total), were originated by Guaranteed Rate, Inc. (GRI), Guaranteed Rate Affinity, LLC (GRA) and Proper Rate, LLC (collectively, the Guaranteed Rate Parties), respectively. The Guaranteed Rate Parties are affiliates. No other originator or group of affiliated originators originated more than 10% of the mortgage loans in the aggregate. Because Moody's consider CrossCountry and Guaranteed Rate Parties to have adequate residential prime jumbo loan origination practices and to be in line with peers due to: (1) adequate underwriting policies and procedures, (2) consistent performance with low delinquency and repurchase and (3) adequate quality control, Moody's did not make any adjustments to Moody's loss levels for mortgage loans originated by these parties. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to its base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint will be the named primary servicer for this transaction and will service 100% of the pool. Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. Shellpoint's primary servicing location is in Greenville, South Carolina. Shellpoint services residential mortgage assets for investors that include banks, financial services companies, GSEs and government agencies. Wells Fargo will act as master. Wells Fargo is a national banking association and a wholly-owned subsidiary of Wells Fargo & Company. Moody's consider the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Wells Fargo is committed to act as successor servicer if no other successor servicer can be engaged. Third-party Review The transaction benefits from TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The due diligence results confirm compliance with the originators' underwriting guidelines for the vast majority of mortgage loans, no material compliance issues, and no material valuation defects. The mortgage loans that had exceptions to the originators' underwriting guidelines had significant compensating factors that were documented. Representations & Warranties GSMBS 2021-PJ5's R&W framework is in line with that of prior GSMBS transactions Moody's have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Moody's review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and the R&W enforcement mechanism. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of mortgage loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. There is a provision for binding arbitration in the event of a dispute between the trust and the R&W provider concerning R&W breaches. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment-grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyze the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Here, because most of the R&W providers are unrated and/or exhibit limited financial flexibility, Moody's applied an adjustment to the mortgage loans for which these entities provided R&Ws. Tail Risk and Locked Out Percentage The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.10% of the cut-off date pool balance, and as subordination lock-out amount of 1.05% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. COVID-19 Impacted Borrowers As of the cut-off date, none of the mortgage loans had previously been, but no longer were, subject to a COVID-19 related forbearance plan. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, then such principal forbearance amount will be recognized as a realized loss. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Shellpoint will recover advances made during the period of COVID-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. GS MORTGAGE-BACKED 2021-PJ5: Fitch Rates Class B5 Certs 'B+(EXP)' ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ5 (GSMBS 2021-PJ5). DEBT RATING ---- ------ GSMBS 2021-PJ5 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AA+(EXP)sf Expected Rating A4 LT AA+(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7X LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating AX1 LT AA+(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 LT AA+(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B+(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AR LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is expected to close on May 28, 2021. The certificates are supported by 590 prime jumbo nonconforming loans with a total balance of approximately $597 million as of the cut-off date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 30-year fixed-rate mortgage (FRM) fully amortizing loans seasoned approximately three months in aggregate. The borrowers in this pool have strong credit profiles (766 model FICO) and relatively low leverage (a 75.1% sustainable loan to value ratio [sLTV]). The 100% full documentation collateral is comprised of 100% nonconforming prime-jumbo loans, while 100% of the loans are safe harbor qualified mortgages (SHQM). Of the pool, 99.3% are loans for which the borrower maintains a primary residence, while 0.7% are for second homes. Additionally, 78% of the loans were originated through a retail channel. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.10% of the original balance will be maintained for the senior certificates, and a subordination floor of 1.05% of the original balance will be maintained for the subordinate certificates. Shellpoint Mortgage Servicing (SMS) 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 (Neutral): 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. Additionally, Fitch has conducted reviews on over 85% 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 SMS, 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 indicate 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 "Global Economic Outlook - March 2021" and related baseline economic scenario forecasts have been revised to 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." The lower expected losses in the non-investment grade rating stresses led to higher ratings for the class B5 compared to prior transactions. 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, Evolve, 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, Evolve, 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 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. GULF STREAM 4: S&P Assigns Prelim BB- (sf) Rating on Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Gulf Stream Meridian 4 Ltd./Gulf Stream Meridian 4 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 May 11, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Gulf Stream Meridian 4 Ltd./Gulf Stream Meridian 4 LLC Class A-1, $307.50 million: AAA (sf) Class A-2, $62.50 million: AA (sf) Class B (deferrable), $40.00 million: A (sf) Class C (deferrable), $30.00 million: BBB- (sf) Class D (deferrable), $18.65 million: BB- (sf) Subordinated notes, $40.75 million: Not rated HALCYON LOAN 2013-1: S&P Lowers Class C Notes Rating to 'CCC+' -------------------------------------------------------------- S&P Global Ratings reviewed its ratings on six classes of notes from Halcyon Loan Advisors Funding 2012-1 Ltd. and Halcyon Loan Advisors Funding 2013-1 Ltd., U.S. CLO transactions managed by Bardin Hill Investment Partners. Two of these ratings were placed on CreditWatch negative on April 16, 2021. S&P downgraded both ratings that were on CreditWatch negative and removed them from CreditWatch. The review also yielded one additional rating lowered and one rating upgraded from both Halcyon Loan Advisors Funding 2012-1 Ltd. and Halcyon Loan Advisors Funding 2013-1 Ltd. The rating actions follow S&P's review of the transaction's performance using data from the April 2021 trustee reports for both transactions. Since S&P's September 2020 rating actions on Halcyon Loan Advisors Funding 2012-1 Ltd., paydowns to the transaction's class B notes totaled $14.4 million. These paydowns resulted in improved overcollateralization (O/C) ratios for the class B O/C ratio test. However, par losses have contributed to the decrease in the ratios for the class C and D notes according to the April 6, 2021, trustee report. The class C and D O/C ratios are below their trigger levels, so interest proceeds are being diverted to paydown the class B notes until these tests improve to passing their respective required thresholds. The changes to the Halcyon Loan Advisors Funding 2012-1 Ltd. O/C ratios include that: -- The class B O/C ratio improved to 931.41% from 208.80%. -- The class C O/C ratio declined to 99.38% from 108.30%. -- The class D O/C ratio declined to 50.21% from 71.70%. S&P said, "Given the low number of obligors remaining in the portfolio, no cash flow analysis was run for Halcyon Loan Advisors Funding 2012-1 Ltd. Since our last rating actions in September 2020, this portfolio has become significantly concentrated and experienced par loss, and overall credit quality has deteriorated. As of the April 2021 trustee report, 'CCC' rated and defaulted collateral obligations represent 26.7% and 44.6% of the total collateral, respectively. This is compared with 15.2% and 49.1% reported as of the July 2020 trustee report used at the time of our last rating actions. We also considered our largest-obligor test, which is failing at the 'CCC' category for both the class C and D notes, along with the failing interest coverage ratios for class C and D. We believe the class C notes are in line with 'CCC' credit risk, as they are currently deferring interest and dependent on favorable market conditions to pay interest and ultimate principal. Therefore, we lowered the rating on the class C notes to 'CCC+ (sf)'. Given the current credit enhancement levels on the class D notes, we lowered the rating to 'CC (sf)', as we believe there is a virtual certainty of non-payment. We raised our rating on the class B notes to 'AAA (sf)' after considering its increased credit support and the current cash balance which is higher than the remaining outstanding balance of the notes. "Since our September 2020 rating actions on Halcyon Loan Advisors Funding 2013-1 Ltd., paydowns to the transaction's class A-2A, A-2B, and B notes totaled $34.80 million. These paydowns resulted in improved O/C ratios for the class B O/C ratio test. However, due to par losses, the O/C ratios for the class C and D notes decreased according to the April 5, 2021, trustee report. The class D O/C ratio was below its trigger level on the April payment date, so interest proceeds are being diverted to paydown the class B notes until this test passes its respective required threshold." The changes to the Halcyon Loan Advisors Funding 2013-1 Ltd. O/C ratios include that: -- The class B O/C ratio improved to 297.04% from 175.95%. -- The class C O/C ratio declined to 111.25% from 112.49%. -- The class D O/C ratio declined to 71.42% from 85.86%. S&P said, "We raised our rating on the class B notes after considering its improved cash flow results and increase in the credit support. Although the results of our cash flow analysis indicated a higher rating on the class C notes, we lowered the rating after considering the increased concentration risk as shown in the results of our largest obligor test, which constrains the rating at 'B+ (sf)'. "Our cash flow results on the class D notes are failing and the largest obligor test does not pass at the CCC category. In addition, its O/C and interest coverage tests continue to fail, and the class is currently deferring interest. Although there are some equity-like securities in the portfolio that could provide extra cash when monetized, the total value of the assets are not sufficient to cover the principal and deferred interest balance of the class D notes. Therefore, we lowered the rating on class D notes to 'CC (sf)', as we believe there is a virtual certainty of non-payment. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction, as reflected in the aforementioned 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 and/or ultimate principal to each of the rated tranches. In our view, the results of the cash flow analysis, and other qualitative factors as applicable, demonstrated 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." Rating Lowered Halcyon Loan Advisors Funding 2012-1 Ltd. Class C to 'CCC+ (sf)' from 'B- (sf)' Halcyon Loan Advisors Funding 2013-1 Ltd. Class C to 'B+ (sf)' from 'BB+ (sf)' Rating Lowered And Removed From CreditWatch Negative Halcyon Loan Advisors Funding 2012-1 Ltd. Class D to 'CC (sf)' from 'CCC- (sf)/Watch Neg' Halcyon Loan Advisors Funding 2013-1 Ltd. Class D to 'CC (sf)' from 'CCC (sf)/Watch Neg' Ratings Upgraded Halcyon Loan Advisors Funding 2012-1 Ltd. Class B to 'AAA (sf)' from 'AA+ (sf)' Halcyon Loan Advisors Funding 2013-1 Ltd. Class B to 'AAA (sf)' from 'AA+ (sf)' HGI CRE 2021-FL1: DBRS Gives Prov. B(low) Rating on Class G Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by HGI CRE CLO 2021-FL1, Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) The initial collateral includes 23 mortgage loans or senior notes, consisting of 10 whole loans and 13 fully funded senior, senior pari passu, or pari passu participations secured by multifamily real estate properties with an initial cut-off date balance totaling $498.2 million. All 23 of the mortgages have floating interest rates tied to the Libor index. The transaction is a managed vehicle, which includes a ramp-up acquisition period and subsequent 18-month reinvestment period. The ramp-up acquisition period will be used to increase the trust balance by $60.0 million to an aggregate deal balance of $558.2 million. DBRS Morningstar assessed the $60.0 million ramp component using a conservative pool construct, and, as a result, the ramp loans have expected losses (E/Ls) above the weighted-average pool E/L. During the reinvestment period, so long as the note protection tests are satisfied and no event of default has occurred and is continuing, the collateral manager may direct the reinvestment of principal proceeds to acquire reinvestment collateral interest, including funded companion participations that meet the eligibility criteria. The eligibility criteria, among other things, has minimum debt service coverage ratio (DSCR), loan-to-value ratio (LTV), and loan size limitations. Lastly, the eligibility criteria stipulates Rating Agency Confirmations on ramp loans, reinvestment loans, and a $1.0 million threshold on pari passu participation acquisitions if a portion of the underlying loan is already included in the pool, thereby allowing DBRS Morningstar to review the new collateral interest and any potential impacts to the overall ratings. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is Net Cash Flow (NCF), 21 loans, representing 92.6% of the initial pool balance, had a DBRS Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold indicative of default risk. Additionally, 15 loans, representing 66.1% of the initial pool balance, had a DBRS Morningstar Stabilized DSCR of 1.00x or below, which is indicative of elevated refinance risk. Most properties are transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if the other loan structural features are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets to stabilize above current market levels. The transaction will have a sequential-pay structure. All loans in the total pool are secured by multifamily properties across 11 states including California, Texas, Florida, and New Jersey. Multifamily properties have historically seen lower probability of default (POD) and typically see lower E/Ls within the DBRS Morningstar model. Multifamily properties benefit from staggered lease rollover and generally low expense ratios compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. Additionally, most loans in the pool are secured by traditional multifamily properties, such as garden-style communities or midrise/high-rise buildings, with no independent living/assisted-living/memory care facilities included in this pool. Eighteen loans, composing of 73.4% of the initial trust balance, represent acquisition financing wherein sponsors contributed significant cash equity as a source of initial funding in conjunction with the mortgage loan, resulting in a moderately high sponsor cost basis in the underlying collateral. Lower Business Plan Execution Risk: The business plan score (BPS) for loans DBRS Morningstar analyzed was between 1.38 and 3.00, with an average of 2.26. On a scale of 1 to 5, a higher DBRS Morningstar BPS indicates more risk in the sponsor's business plan. DBRS Morningstar considers the anticipated lift at the property from current performance, planned property improvements, sponsor experience, projected time horizon, and overall complexity. Compared with similar transactions, this pool has a lower average BPS, which is indicative of lower risk. The ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges and risks to the commercial real estate (CRE) sector, and while DBRS Morningstar expects multifamily (100.0% of the pool) to fare better than most other property types, the long-term effects on the general economy and consumer sentiment are still unclear. DBRS Morningstar received coronavirus and business plan updates for all loans in the pool, confirming that the sponsors have made all debt service payments in full through March 2021. Furthermore, no loans are in forbearance or other debt service relief, and no borrowers requested loan modifications. All loans in the pool have been originated after March 2020, or the beginning of the pandemic in the U.S. Loans originated after the pandemic include timely property performance reports and recently completed third-party reports, including appraisals. The sponsor for the transaction, HGI CFI REIT, is a first-time CRE collateralized loan obligation issuer and collateral manager. HGI CFI REIT will purchase and retain 100.0% of the eligible horizontal residual interest in accordance with the U.S. Credit Risk Retention Rules. DBRS Morningstar met with the sponsor to better understand its investment strategy, organization structure, and origination practices. Based on this meeting, DBRS Morningstar found that HGI CFI REIT met its issuer standards. The transaction is managed and includes three delayed-close loans, a ramp-up component, a reinvestment period, and a replenishment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. Eligibility criteria for ramp and reinvestment assets partially offsets the risk of negative credit migration. The criteria outlines DSCR, LTV, Herfindahl, and property type limitations. DBRS Morningstar can provide a no-downgrade confirmation for new ramp loans, companion participations above $1.0 million, and new reinvestment loans. Before the loans come into the pool, DBRS Morningstar will analyze them for any potential ratings impact. DBRS Morningstar accounted for the uncertainty introduced by the ramp-up period by running a ramp scenario that simulates the potential negative credit migration in the transaction based on the eligibility criteria. Transitional Properties: DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the as-is cash flow. It is possible that the sponsors will not successfully execute their business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing coronavirus pandemic and its impact on the overall economy. A sponsor's failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzed loss severity given default based on the as-is credit metrics, assuming the loan was fully funded with no NCF or value upside. Because of the ongoing coronavirus pandemic, DBRS Morningstar was only able to perform site inspections on two loan in the pool, Transit Village and Park Terrace. As a result, DBRS Morningstar relied more heavily on third-party reports, online data sources, and information from the Issuer to determine the overall DBRS Morningstar property quality score for each loan. DBRS Morningstar made relatively conservative property quality adjustments with only three loans, Cobalt Apartments (2.9% of the pool), Avery Pompano Beach (5.9% of pool), and Harper Place ( 5.6% of pool), having Average + property quality. Furthermore, no loans received an Excellent or Above Average property quality distinction, and three loans, representing 14.1% of the pool, had Average - property quality. All 23 loans in the pool, have floating interest rates and are interest only during the initial loan term, creating interest rate risk should interest rates increase. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. Additionally, all loans have extension options, and, to qualify for these options, the loans must meet minimum DSCR and LTV requirements. All loans are short term and, even with extension options, have a fully extended loan term of five years maximum, which based on historical data DBRS Morningstar model treats more punitively. The borrowers for eight loans, totaling 24.5% of the trust balance, have purchased Libor rate caps that range between 0.50% and 2.00% to protect against rising interest rates over the term of the loan. Three loans, representing 22.1% of the initial cut-off pool balance, have a sponsor with negative credit history and/or limited financial wherewithal, including Transit Village (Prospectus ID#2), Riverdale Portfolio 2 (Prospectus ID#3), and Harper Place (Prospectus ID#7). For more information about these loans, see the individual write-ups on pages 20, 25, and 31, respectively. DBRS Morningstar deemed these loans to have Weak sponsorship strength, effectively increasing the POD for each loan. Notes: All figures are in U.S dollars unless otherwise noted. JPMCC COMMERCIAL 2019-COR5: Fitch Affirms B- Rating on G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes and revised the Rating Outlooks to Negative from Stable on two classes of JPMCC Commercial Mortgage Securities Trust 2019-COR5 commercial mortgage pass-through certificates, series 2019-COR5 (JPMCC 2019-COR5). DEBT RATING PRIOR ---- ------ ----- JPMCC 2019-COR5 A-1 46591EAQ0 LT AAAsf Affirmed AAAsf A-2 46591EAR8 LT AAAsf Affirmed AAAsf A-3 46591EAS6 LT AAAsf Affirmed AAAsf A-4 46591EAT4 LT AAAsf Affirmed AAAsf A-S 46591EAV9 LT AAAsf Affirmed AAAsf A-SB 46591EAU1 LT AAAsf Affirmed AAAsf B 46591EAW7 LT AA-sf Affirmed AA-sf C 46591EAX5 LT A-sf Affirmed A-sf D 46591EAC1 LT BBBsf Affirmed BBBsf E-RR 46591EAE7 LT BBB-sf Affirmed BBB-sf F-RR 46591EAG2 LT BB-sf Affirmed BB-sf G-RR 46591EAJ6 LT B-sf Affirmed B-sf X-A 46591EAY3 LT AAAsf Affirmed AAAsf X-B 46591EAZ0 LT A-sf Affirmed A-sf X-D 46591EAA5 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Increased Loss Expectations Related to Coronavirus Pandemic: Loss expectations have increased since issuance, primarily driven by a greater number of Fitch Loans of Concern (FLOCs) with performance affected by the slowdown in economic activity related to the coronavirus pandemic. Six loans are FLOCs (12.4% of pool), including three loans (3.9% of the pool) which have transferred to special servicing in the last year. Fitch's current ratings incorporate a base case loss of 5.3%. The Negative Outlook reflects losses that could reach 6.2% when factoring in additional coronavirus-related stresses. The largest contributor to Fitch's modeled loss is the sixth largest loan in the pool, SWVP Portfolio (5.0%). The collateral consists of four full-service hotels in four distinct markets: InterContinental New Orleans, DoubleTree Sunrise in Sunrise, FL, DoubleTree Charlotte and DoubleTree RTP in Durham, NC. Performance at each of the properties has been significantly impacted by the coronavirus pandemic. The portfolio's occupancy, ADR and RevPAR have declined 56.3%, 12.5% and 62.0%, respectively from issuance. Despite this, the loan has remained current and the sponsor has not requested any type of relief to date. Fitch's analysis includes a 26% haircut to the YE2019 NOI resulting in a modeled loss of 20.1%. Exposure to Coronavirus: There is one hotel loan in the pool (5.0%) and it is also the largest FLOC. Six loans (17.3%) are secured by retail properties. Fitch applied additional stresses to the hotel loans and two retail loans totaling 10.7% of the pool to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Outlooks on classes F-RR and G-RR. Minimal Changes to Credit Enhancement: As of the April 2021 distribution, the pool's aggregate balance has been reduced by 0.6% to $694.5 million from $698.6 million at issuance. No loans have paid off or defeased. Thirty loans representing 57.5% of the pool are interest only for the full term. An additional eight loans representing 19.6% of the pool were scheduled with partial interest-only periods and haven't yet begun to amortize. The pool is expected to pay down by only 6.4% prior to maturity. Credit Opinion Loans: Twenty loans received an investment-grade credit opinion at issuance. 3 Columbus Circle (7.2%) and ICON Upper East Side Portfolio (3.6%) each received standalone credit opinions of 'BBB-sf'. The ICON 18 loans (4.3%) received credit opinions ranging from 'BBB+sf' to 'BBB-sf' on a stand-alone basis. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to classes B and C could occur with significant improvement in Credit Enhancement (CE) and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. Upgrades to classes D and E-RR would be limited based on the sensitivity to concentrations or the potential for future concentrations. -- Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to classes F-RR and G-RR is not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the bonds. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital stack, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C and D are possible should any of the larger FLOCs default and transfer to special servicing. Classes E-RR, F-RR and G-RR could be downgraded should the specially serviced loans not resolve in or the other FLOCs fail to restabilize to pre-pandemic levels. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects additional negative rating actions, including downgrades and/or additional Negative Outlook revisions. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. LCM 32: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to LCM 32 Ltd./LCM 32 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 May 11, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned LCM 32 Ltd./LCM 32 LLC Class A-1, $304.4 million: AAA (sf) Class A-2, $15.0 million: Not rated Class B, $59.8 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $29.9 million: BBB- (sf) Class E (deferrable), $17.5 million: BB- (sf) Subordinated notes, $53.0 million: Not rated LENDMARK FUNDING 2021-1: S&P Assign Prelim 'BB-' Rating on D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Lendmark Funding Trust 2021-1's personal consumer loan-backed notes. The note issuance is an ABS securitization backed by personal consumer loan receivables. The preliminary ratings are based on information as of May 17, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of: -- The availability of approximately 55.4%, 48.4%, 42.1%, and 34.7% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the notes' preliminary ratings, based on our stressed cash flow scenarios. -- S&P said, "The results of our liquidity analyses to assess the impact of a temporary disruption in loan principal and interest payments over the next 12 months as a result of the COVID-19 pandemic. These included elevated deferment levels and a reduction of voluntary prepayments to 0.0%. Based on our analyses, the note interest payments and transaction expenses are a small component of the total collections from the pool of receivables, and accordingly, we believe the transaction could withstand temporary, material declines in collections and still make full and timely liability payments." -- Lendmark Financial Services LLC's (Lendmark) tightening of underwriting and enhancing of servicing procedures for its portfolio in response to the COVID-19 pandemic. Lendmark selectively eliminated loans to lower-credit grade new borrowers, and reduced advances to lower-credit grade existing borrowers. Since the third quarter of 2020, Lendmark has gradually been reversing these policies. -- The implementation of new payment deferral options to borrowers negatively affected by the COVID-19 pandemic. While deferment levels rose through March and peaked in April 2020, they have since decreased to historic trend levels. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Jan. 5, 2021. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- The characteristics of the pool being securitized and the receivables expected to be purchased during the revolving period. -- The operational risks associated with Lendmark's decentralized business model. To date, Lendmark's central facilities and branch network remain open and operational. Lendmark has the capacity to shift branch employees to other branches as needed, and the company's technology infrastructure allows employees at any location to service loans across the entire branch network. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Lendmark Funding Trust 2021-1(i) Class A, $287.650 million: AA (sf) Class B, $38.020 million: A- (sf) Class C, $32.200 million: BBB- (sf) Class D, $42.130 million: BB- (sf) (i)The actual size of these tranches will be determined on the pricing date. MARANON LOAN 2019-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-L-R Loans and replacement class A-R-1, A-R-2, B-R-1, B-R-2, and C-R notes from Maranon Loan Funding 2019-1 Ltd./Maranon Loan Funding 2019-1 LLC, a CLO originally issued April 15, 2019 that is managed by Maranon Capital L.P. The class D-R and E-R replacement notes will not be rated by S&P Global Ratings. The preliminary ratings are based on information as of May 13, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 19, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, S&P expects to withdraw our ratings on the original notes and assign ratings to select replacement notes. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original notes and withdraw our preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The stated maturity will be extended three years to April 15, 2034. -- The reinvestment period and non-call period will each be extended two years to April 15, 2025, and April 15, 2023, respectively. -- The weighted average life test will be extended to eight years from the first refinancing date. -- The overcollateralization ratio tests and interest coverage tests will be amended. The transaction is adding the ability to purchase workout related assets, perform bankruptcy exchanges, and accept contributions to be used for permitted uses. In addition, the transaction has adopted benchmark replacement language and made updates to conform to current rating agency methodology. Deferred interest on the class D-R and E-R notes will not accrue interest. In addition, the class D-R and E-R notes can be paid down prior to more senior classes of notes due to a turbo feature that allows the recapture of excess spread that would otherwise flow out to the variable dividend notes. The recapture excess spread used to de-lever the class D-R and E-R notes is made available below the transaction's coverage tests, as well as uncapped subordinated expenses, in the payment waterfall. As such, these notes are being paid down with monies that our cash flow analysis would otherwise not consider to be available to any of the debt. In addition, the transaction can use certain funds provided by contributions to de-lever the class D-R and E-R notes. It is not expected that any paydowns to these notes would negatively affect the available credit support available to the rated debt, as the reinvestment target par balance and coverage tests calculations would not account for any such lowered principal balances. The subordinated notes will be renamed variable dividend notes on the refinancing date. Replacement And Original Note Issuances Replacement notes Class A-R-1, $101.0 million: Three-month LIBOR + 1.700% Class A-L-R loans, $105.0 million: Three-month LIBOR + 1.700% Class A-R-2, $22.0 million: 2.720% Class B-R-1, $19.2 million: Three-month LIBOR + 2.000% Class B-R-2, $24.8 million: 3.330% Class C-R (deferrable), $36.0 million: Three-month LIBOR + 3.200% Class D-R (deferrable), $62.0 million: 4.500% Class E-R (deferrable), $14.0 million: 8.500% Variable dividend notes, $60.0 million: Not applicable Original notes Class A-1a, $135.0 million: Three-month LIBOR + 1.850% Class A-1b, $32.5 million: 4.037% Class A-1L loans, $30.0 million: Three-month LIBOR + 1.850% Class A-2a1, $15.0 million: Three-month LIBOR + 1.700% Class A-2a2, $5.0 million: 3.883% Class A-2b, $7.5 million: 4.460% Class B, $39.0 million: Three-month LIBOR + 2.800% Class C (deferrable), $ 30.0 million: Three-month LIBOR + 3.650% Class D (deferrable), $ 28.0 million: Three-month LIBOR + 4.650% Class E (deferrable), $ 28.0 million: Three-month LIBOR + 8.650% Subordinated notes, $60.0 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data 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. "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 take rating actions as we deem necessary." Preliminary Ratings Assigned Maranon Loan Funding 2019-1 Ltd./Maranon Loan Funding 2019-1 LLC Class A-R-1, $101.0 million: AAA (sf) Class A-L-R loans, $105.0 million: AAA (sf) Class A-R-2, $22.0 million: AAA (sf) Class B-R-1, $19.2 million: AA (sf) Class B-R-2, $24.8 million: AA (sf) Class C-R (deferrable), $36.0 million: A (sf) Class D-R (deferrable), $62.0 million: Not rated Class E-R (deferrable), $14.0 million: Not rated Variable Dividend Notes, $60.0 million: Not rated Other Outstanding Ratings Maranon Loan Funding 2019-1 Ltd./Maranon Loan Funding 2019-1 LLC Class A-1a, $135.0 million: AAA (sf) Class A-1b, $32.5 million: AAA (sf) Class A-1L loans, $30.0 million: AAA (sf) Class A-2a1, $15.0 million: AAA (sf) Class A-2a2, $5.0 million: AAA (sf) Class A-2b, $7.5 million: AAA (sf) Class B, $39.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $28.0 million: BBB- (sf) Class E (deferrable), $28.0 million: BB- (sf) Subordinated notes, $60.00 million: Not rated MARBLE POINT XX: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Marble Point CLO XX Ltd./Marble Point CLO XX LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Marble Point CLO Management LLC. The preliminary ratings are based on information as of May 14, 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 Marble Point CLO XX Ltd./Marble Point CLO XX LLC Class A, $248.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $16.00 million: BBB+ (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $42.60 million: Not rated MORGAN STANLEY 2015-XLF2: DBRS Lowers Rating on 3 Classes to C -------------------------------------------------------------- DBRS Limited downgraded the ratings of the following Commercial Mortgage Pass-Through Certificates, Series 2015-XLF2 issued by Morgan Stanley Capital I Trust 2015-XLF2 as follows: -- Class SNMA to CCC (sf) from AA (high) (sf) -- Class SNMB to C (sf) from A (sf) -- Class SNMC to C (sf) from BB (sf) -- Class SNMD to C (sf) from B (low) (sf) These ratings do not carry a trend. DBRS Morningstar placed interest in arrears designations to Classes SNMA and SNMB and maintained designations on Classes SNMC and SNMD. The rating downgrades reflect DBRS Morningstar's increased loss projections for the underlying collateral since assigning the ratings in July 2020. At the time of the July 2020 rating action, the special servicer was in the process of finalizing February 2020 appraisals for the collateral retail portfolio that showed a total as-is value of $165.8 million, down from $345.0 million at issuance. At the time of the July 2020 rating actions, DBRS Morningstar was in possession of drafts of those appraisals, which showed a combined stabilized value of $210.9 million, with the largest contributor of the value difference in the Shops at Willow Bend property, which was valued at $70.0 million on an as-is basis, with a stabilized value of $110.0 million estimated by the appraiser. The Stony Point Fashion Park property's value was static at $15.0 million on an as-is basis, and the Fairlane Town Center property's as-is value was estimated at $80.8 million, with a stabilized figure of $85.9 million provided. More recently, the February 2021 reporting showed new appraisals, dated August 2020, valuing the portfolio at $89.0 million on an as-is basis, with a relatively moderate improvement to $112.8 million on a stabilized basis. All three properties have seen sharp declines in the estimated values compared with the February 2020 appraisals. As of the April 2021 remittance, the trust balance of $135.7 million included the remaining $77.7 million senior note balance, which has paid down from the issuance balance of $103.0 million, and $58.0 million of the $123.0 million junior note. The August 2020 appraisal figures suggest a near 100% loss is likely for the certificates tied to the subordinate junior note (Classes SNMB, SNMC, and SNMD) and there is potential for losses to bleed into the senior note that funds the Class SNMA certificate, supporting the rating downgrades. At issuance, the transaction was secured by two floating-rate, interest-only loans. One of the loans was secured by a hotel portfolio of seven full-service hotels (Ashford Full Service II Portfolio), and the second loan was secured by a retail portfolio (Starwood National Mall Portfolio) composed of three super-regional malls. The Ashford Full Service II Portfolio loan was repaid in June 2018, and the associated bonds, Classes AFSA, AFSB, AFSC, and AFSD, were retired. The Starwood National Mall portfolio loan had an initial maturity date in November 2017, with two one-year extension options available, both of which the sponsor exercised. The extension options were subject to principal paydowns and debt yield hurdles, which were successfully met. In January 2020, the servicer granted a forbearance to allow additional time for securing a replacement loan and also continue discussions regarding a potential loan modification if takeout financing could not be secured. The loan ultimately transferred to special servicing in March 2020, where it has remained since. The special servicer reports a receiver is in place at all three properties and a workout strategy is being evaluated, with the servicer's commentary suggesting a sale of the portfolio through individual property sales has been considered, but nothing firm has been provided to date. The Shops at Willow Bend represents 48.4% of the allocated loan amount (ALA). The property is in the Dallas suburb of Plano, Texas, and the loan collateral is a 772,000-square-foot (sf) portion of the 1.2 million-sf enclosed super-regional mall. The February 2020 appraisal the special servicer obtained estimated an as-is value of $70.0 million, and that value dropped to $38.0 million with the August 2020 appraisal reported in February 2021. The August 2020 appraisal showed a stabilized value of $50.0 million, still well below the as-is value derived in February 2020, and the value difference between the as-is and stabilized values has shrunk considerably with the August 2020 appraisal. As of the November 2020 rent roll, the collateral was only 65.7% occupied, down from 93.0% in November 2019 and 94.0% in November 2018. At issuance, the property was anchored by noncollateral Dillard's, Neiman Marcus, and Macy's, and there was also a dark anchor space formerly occupied by Saks Fifth Avenue that was part of the collateral. After the loan closed, the Saks Fifth Avenue space was redeveloped at a cost of $125.0 million into additional in-line space and a theatre space that was to be taken by Cinepolis, but that project was ultimately stopped in early 2020 because the sponsor made the decision to cease funding the construction and the tenant pulled out of the agreement to take the space, paying a $1.0 million termination fee. After construction stopped, liens were placed on the property. The largest collateral tenants include Crayola Experience (7.8% of the net rentable area (NRA) with a lease expiry in January 2029), Equinox (4.5% of the NRA; lease expiry in April 2035), and North Texas Performing Arts (3.1% of the NRA; lease expiry in October 2027). The Fairlane Town Center represents 29.2% of the ALA. The February 2020 appraisal's as-is value was $80.8 million for this property, which fell to $42.8 million with the August 2020 appraisals reported in February 2021.While the February 2020 valuation suggested minor upside in a stabilized value, the as-is and stabilized values are the same for the property in the August 2020 appraisal. The collateral is a 681,000-sf portion of the 1.4 million-sf enclosed super-regional mall in Dearborn, Michigan. At issuance, the noncollateral anchors included Macy's, JCPenney, Sears, and a dark Lord & Taylor space. The Sears store was closed in 2018 and has remained closed since. The former Lord & Taylor space was converted to office use, with half of the 240,000-sf development, known as Ford Town Center offices (Ford), serving as collateral for the loan. As of the November 2020 rent roll, the collateral was 88.2% occupied, up from 78.0% at November 2019 and 75.0% at December 2018. The largest collateral tenants include half of the Ford space (17.3% of the NRA through December 2026), AMC Theatres (14.9% of the NRA through December 2023), and Forever 21 (4.1% of the NRA through January 2023). The third property, Stony Point Fashion Park, represents 22.4% of the ALA. The loan collateral includes a 385,000-sf portion of a 675,000-sf open-air regional mall in Richmond, Virginia. At issuance, the property was anchored by noncollateral Saks Fifth Avenue and Dillard's, with a collateral Dick's Sporting Goods that closed in 2018 and has since remained vacant outside of seasonal tenants signed for short-term leases. As of the December 2020 rent roll, the collateral is only 44.0% occupied, down from 81.0% in November 2019 and 93.0% in December 2018. This property had an as-is and stabilized value of $15.0 million with the February 2020 appraisal, and the August 2020 appraisal reported in February 2021 showed an as-is value decline to $8.3 million. The August 2020 appraisal projected a stabilized value of $20.0 million for this property. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-CLS: DBRS Confirms B Rating on Class HRR Certs ------------------------------------------------------------------ DBRS Limited confirmed its ratings on the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-CLS issued by Morgan Stanley Capital I Trust 2017-CLS as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The loan is secured by the Center for Life Science, an office and laboratory building in Boston's Longwood Medical Area. The property was constructed in 2008 by BioMed Realty Trust, Inc. (BioMed Realty), and the property was acquired by The Blackstone Group (Blackstone) in January 2016 through Blackstone's $8.0 billion acquisition of BioMed Realty. The trust amount of $700 million, along with $70.0 million of junior mezzanine debt and $70.0 million of senior mezzanine debt, refinanced existing debt, covered closing costs, and returned over $104.6 million of equity to the sponsor. The loan is interest only and has an initial term of two years and three one-year extension options. The property has been 100% occupied since issuance, with the tenant roster composed of eight tenants as of April 2021, five of which are investment grade, including Beth Israel Deaconess Medical Center (Beth Israel) and Boston Children's Hospital, representing 51.5% of the net rentable area (NRA) and 22.4% of NRA, respectively. Beth Israel and Boston Children's Hospital have lease expirations of June 2023 and April 2023, respectively, both beyond the fully extended loan term. Both have extension options remaining and are required to provide notice of the intent to renew or vacate to the borrower at least 18 months prior to the respective initial lease expiration dates. The loan is structured with a cash trap to be triggered in the event the tenants do not renew their leases. There is minimal near-term tenant rollover risk as only one tenant, Pfizer (2.4% of the NRA), has a lease scheduled to expire in 2021. The property is considered a research hub, and many of the tenants have demonstrated long-term commitment to the property by investing significant capital into their units. According to Reis, the office properties located in the Back Bay/Fenway submarket of Boston reported a YE2020 vacancy rate of 7.3%, compared with the YE2019 vacancy rate of 7.2%. The submarket asking rent was $61.91 per square foot (psf), compared with the subject's average rental rate of $81.39 psf. Based on the trailing 12 months ended September 30, 2020, financials, the loan reported a net cash flow (NCF) of $55.9 million, compared with the YE2019 NCF of $54.9 million and DBRS Morningstar NCF of $50.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2021-2: Fitch Gives B-(EXP) Rating to Class B-5 Debt ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2021-2 (MSRM 2021-2). DEBT RATING ---- ------ MSRM 2021-2 A-1 LT AAA(EXP)sf Expected Rating A-1-IO LT AAA(EXP)sf Expected Rating A-1A-IO LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-A LT AAA(EXP)sf Expected Rating A-3A-IO LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4A-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5A-IO LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-IO LT AAA(EXP)sf Expected Rating A-10 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 R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2021-2 (MSRM 2021-2) as indicated above. This is the fifth post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the third MSRM transaction that comprises loans from various sellers and acquired by Morgan Stanley in its prime jumbo aggregation process. The certificates are supported by 547 prime-quality loans with a total balance of approximately $500.18 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The servicer in this transaction is Specialized Loan Servicing LLC (SLS). Nationstar Mortgage LLC will be the master servicer. Of the loans,100.0% qualify as safe harbor qualified mortgage (SHQM) or agency-eligible temporary QM loans. There is no exposure to Libor in this transaction. The collateral comprise 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC), are floating or inverse floating rate bonds based off of the SOFR index and capped at the Net WAC or are based on the net WAC. Like other prime transactions, the transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 30-year fixed-rate fully amortizing loans, seasoned approximately five months in aggregate as determined by Fitch (three months per the transaction documents). Most of the loans were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles (774 FICO as determined by Fitch) and relatively low leverage (73.7% sustainable loan to value [sLTV] ratio as determined by Fitch). 159 loans are over $1 million, and the largest totals $2.61 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Geographic Concentration (Neutral): Approximately 37.4% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (11.6%), followed by the San Francisco MSA (9.3%) and the Miami MSA (5.1%). The top three MSAs account for 26.0% of the pool. As a result, there was no adjustment for geographic concentration. Shifting-Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): A CE or senior subordination floor of 1.10% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 0.70% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Macro or Sector Risk (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 were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. 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 SitusAMC and Digital Risk. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.21%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC 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. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MULTI SECURITY 2005-RR4: DBRS Lowers CMBS Certs Rating to CCC ------------------------------------------------------------- DBRS Limited (DBRS Morningstar) downgraded the Commercial Mortgage-Backed Securities Pass-Through Certificates, Series 2005-RR4, Class N issued by Multi Security Asset Trust LP, Series 2005-RR4 (MSAT 2005-RR4) to CCC (sf) from BB (high) (sf). The rating on Class N does not carry a trend, but it does carry an Interest in Arrears designation. The rating downgrade reflects DBRS Morningstar's negative outlook on the one remaining underlying commercial mortgage-backed security (CMBS) transaction contributing to the MSAT 2005-RR4 capital structure. The Regal Cinemas, Inc. loan (Regal Cinemas; 85.6% of the current underlying pool balance) is secured by a single-tenant movie theater in Fredericksburg, Virginia. The property is 100.0% occupied by Regal Cinemas on a lease through June 2023, which is coterminous with the loan's maturity. Performance has typically hovered around breakeven, but with restrictions imposed after the onset of the Coronavirus Disease (COVID-19) pandemic, the tenant is delinquent on rental payments and the loan has been 90+ days delinquent. Regal Cinemas' parent company, Cineworld, closed all 543 theaters in the U.S. in March 2020, reopening most in August 2020 for short period of time, before closing all of them again in October 2020 given the operational costs and lack of blockbuster films being released. In addition, since issuance, a new theater opened approximately one mile from the subject. While the property is scheduled to reopen in May 21, 2021, a November 2020 appraisal valued the property at $3.1 million, significantly below the issuance value of $8.2 million, representing a reduction of 62.2%. Credit support for the rated bond has decreased by 3.0% since the last ratings review about a year ago. The sole rated bond, Class N, of the ReREMIC structure now has a current credit support of 40.6%. However, because the PMAC 1999-C1 transaction is the only remaining underlying transaction currently contributing to the MSAT 2005-RR4 transaction, the ultimate repayment of the rated class in the ReREMIC transaction highly depends on the ultimate workout of the Regal Cinemas loan in the underlying deal. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2018-TECH: DBRS Confirms BB (low) on 2 Classes ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-TECH issued by Natixis Commercial Mortgage Securities Trust 2018-TECH as follows: -- Class A at AAA (sf) -- Class X-CP at AA (high) (sf) -- Class X-EXT at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class X-F at BB (low) (sf) -- Class G at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. Total loan proceeds of $195.0 million and sponsor equity of $58.5 million financed the acquisition of the collateral property at an acquisition price of $240.4 million. At origination, debt proceeds included $150.0 million in senior mortgage debt and $45.0 million in mezzanine debt, though only the senior note serves as collateral for the trust. The five-year $150.0 million floating-rate interest-only (IO) senior note has an initial maturity date in November 2022 and is subject to two one-year extension options. The loan is sponsored by Preylock Real Estate Holdings, a Los Angeles-based real estate acquisition and management firm, founded in 2016 and with over $2 billion of assets under management. The subject loan is secured by a 626,233-square foot (sf) complex comprising seven Class B office and research and development (R&D) buildings in Santa Clara, California, just outside the Golden Triangle, an area bounded by State Highway 237 to the north, U.S. Route 101 to the west, and Interstate 880 to the east. Built between 1970 and 1999, the collateral properties are all situated adjacent to one another, within the Scott Boulevard Corridor submarket, along the San Tomas Expressway. While a portion of the net rentable area (NRA) has been reconfigured since issuance from office to lab space, recent servicer commentary as of October 2020 indicates that of the 626,233 total sf, roughly 420,000 sf (67.0% of the property NRA) is configured as office space, while the remaining 206,000 sf (33% of the property NRA) is configured as lab space. As of the December 2020 rent roll, the property was 100% leased, with an average annual base rental rate of $29.11 per square foot (psf). According to Reis, the properties are all located in the Santa Clara/Sunnyvale submarket for office space and the Santa Clara submarket for Flex/R&D space, both within the larger San Jose market. According to the Q4 2020 Reis data, the average vacancy rate for the office submarket of Class B/C properties was 25.7% and the average asking rental rate was $34.22 psf, while the submarket for Flex/R&D space had a vacancy rate of 12.1% and average asking rental rate of $16.68 psf. The December 2020 rent roll showed that the property was 100% leased to two tenants: NVIDIA Corporation (NVIDIA), the largest tenant, which occupies 60.7% of the property NRA and contributes 57.7% of the total base rent, and Futurewei Technologies, Inc. (Futurewei), which occupies 39.3% of the property NRA and contributes 42.3% of the total base rent. The property provides conventional office space and R&D labs for both NVIDIA and Futurewei, which have used these specialized labs for research, design, and implementation purposes across several sectors of both companies' product lines. NVIDIA is a Santa Clara-based multinational technology company primarily recognized for its work designing and manufacturing graphics cards for computer gaming and professional markets. In 2017, NVIDIA completed construction of phase one of its new headquarters campus directly across the San Tomas Expressway from the subject collateral and construction is nearly complete on another 750,000 sf of office space for the company at the same site. Preliminary approvals have been provided for up to 1.95 million sf of space to be constructed on the site as part of plans that have been in place since 2008. At issuance, it was noted that most of the space that NVIDIA occupies at the subject properties is used for R&D and includes specialized lab space, while more corporate and administrative functions were expected to be transitioned into the new headquarters across the street. The tenant has been at the property since 1997, expanding its footprint twice to become the largest tenant, and at issuance invested $15.0 million to convert one of its office spaces to specialized lab space, indicating commitment to the property. In addition, the servicer recently confirmed NVIDIA signed a five-year renewal option for one portion of the leased space, representing 12.8% of the property NRA, with the lease for that space now expiring in September 2026. DBRS Morningstar noted on the site inspection at issuance that the 2770-2800 Scott Boulevard building was unique in that it housed a large server room on the first floor, which serves much of the NVIDIA facilities in the area. NVIDIA's three leases have various expiration dates with two (representing 44.7% of property NRA) occurring during the fully extended loan term. The second-largest tenant, Futurewei (which leases 39.3% of the property NRA), is a U.S. subsidiary of the Chinese multinational tech company, Huawei Technologies Co. Ltd. (Huawei), the world's largest telecommunications equipment manufacturer. According to documentation provided at issuance, Futurewei operates as Huawei's U.S.-based R&D unit and utilizes its space at the subject properties as Futurewei's headquarters. DBRS Morningstar has previously noted concerns with the Futurewei tenant following the U.S. Commerce Department's May 2019 decision to put the firm on its list of organizations that pose security risks, effectively excluding the company from the rollout of 5G telecommunications network equipment across the U.S. and encouraging its allies abroad to do the same. In addition, according to a U.S. Department of Justice (DOJ) press release, dated February 13, 2020, the DOJ announced indictments against both Futurewei and Huawei, with charges including racketeering conspiracy and conspiracy to steal trade secrets, among others. Additional information with respect to the statuses of these indictments and the related cases has not been provided by the DOJ to date. While the Futurewei leases were renewed for 10-year terms through 2027 shortly before issuance, the company reportedly cut 600 jobs at the subject properties in June 2019. The servicer has confirmed that at least one space consisting of 46,300 sf (7.4% of the property NRA) was dark and available for sublease, with Futurewei continuing to pay its contractual rent obligations. Additionally, recent LoopNet and CBRE postings indicate that an additional 62,500 sf (10.0% of the property NRA) was also available for sublease. The Futurewei leases include a one-time right to terminate option on July 31, 2024, which is four months before the fully extended maturity date of the loan. If Futurewei exercises its early-termination option, then it must pay an early-termination fee of the unamortized amount of leasing costs plus a termination penalty. In addition, Futurewei delivered the borrower letters of credit (LOCs) issued by Standard Chartered Bank to serve as protection for Futurewei's full and faithful performance of all its obligations under the leases. DBRS Morningstar did not incorporate value from Futurewei's termination penalty, any cash flow sweep, or LOCs in the DBRS Morningstar net cash flow (NCF) surveillance analysis or the hypothetical discounted cash flow analysis during its last review, and those considerations remain consistent with the information available at this time. As of the YE2020 financials, the servicer reported a NCF of $17.4 million, with a debt service coverage ratio (DSCR) of 3.35 times (x), representing an 18.8% increase from YE2019 when the NCF was reported at $14.7 million with a DSCR of 2.13x. While the NCF has increased noticeably year over year, much of the increase in the loan's DSCR can be attributed to a 24.5% decrease in the annual debt service, as the loan has a floating interest rate and has benefitted from historically low rates since the onset of the Coronavirus Disease (COVID-19) global pandemic. Additionally, revenues were up, with effective gross income increasing 14.9% year over year. The servicer's April 2021 CREFC Investor Reporting Package reported $9.0 million in total reserves, including $4.9 million in a LOC and $3.7 million in a tenant reserve. Notes: All figures are in U.S. dollars unless otherwise noted. OCP CLO 2021-21: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OCP CLO 2021-21 Ltd./OCP CLO 2021-21 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 May 14, 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 OCP CLO 2021-21 Ltd./OCP CLO 2021-21 LLC Class A-1, $300.0 million: AAA (sf) Class A-2, $20.0 million: Not rated Class B, $60.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $30.0 million: BBB- (sf) Class E (deferrable), $17.5 million: BB- (sf) Subordinated notes, $50.7 million: Not rated ONDECK ASSET III: DBRS Finalizes BB Rating on Class D Notes ----------------------------------------------------------- DBRS, Inc. finalized provisional ratings on the following classes of notes issued by OnDeck Asset Securitization Trust III, LLC: -- $200,842,000 Class A Notes at AAA (sf) -- $49,421,000 Class B Notes at A (sf) -- $29,210,000 Class C Notes at BBB (sf) -- $20,527,000 Class D Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: -- Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. Credit enhancement levels are sufficient to support DBRS Morningstar's assumptions of 46.79%, 32.88%, 24.63%, and 17.47%, respectively, with regard to the stressed cumulative net loss (CNL) for the Class A, Class B, Class C, and Class D notes. -- In its analytical review, DBRS Morningstar considered the set of macroeconomic scenarios for select economies related to COVID-19, available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on March 17, 2021 and are reflected in DBRS Morningstar's rating analysis. The assumptions consider the moderate macroeconomic scenario outlined in the commentary (the moderate scenario serving as the primary anchor for current ratings). The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- DBRS Morningstar's stressed CNL hurdle rates at each rating level incorporate additional stress with regard to gross default performance, to the extent it is reflected in performance of the more recent vintages included in data sample reviewed by DBRS Morningstar. In addition to the actual performance data which contains COVID-19 related stress, DBRS Morningstar applied an extra COVID-19 adjustment to its stressed CNL hurdle rate assumption. -- DBRS Morningstar also considered the performance of the then outstanding securitizations sponsored by OnDeck Capital, Inc. (OnDeck), which had been subjected to the significant stress from COVID-19 related shutdowns of and subsequent restrictions on the economic activity in 2020. All rated asset-backed securities (ABS) were able to withstand sudden negative shock to performance with support provided by available credit enhancement and robust collection effort by OnDeck. No classes of notes in both ABS series then rated by DBRS Morningstar experienced any downgrades, and all classes were fully repaid through their respective capital structures. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. DBRS Morningstar performed an operational review of OnDeck and considers it to be an acceptable originator and servicer of small business loans. Vervent Inc. is an experienced backup servicer in the commercial loan space (including obligations with more frequent than monthly repayment schedule). It has been backup servicer for OnDeck since 2010 in a variety of debt facilities. -- The transaction incorporates collateral performance triggers that are expected to protect the noteholders in a stressed environment. The collateral performance triggers include minimum three-month WA yield, minimum three-month WA excess spread, maximum three-month average delinquency level, and asset deficiency and required reserve account amount coverage. If these triggers are breached, an Amortization Event will occur without any action to be taken by the noteholders. -- The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with the estate of OnDeck, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 37.15% of initial hard credit enhancement provided by subordinated notes in the pool (31.40%), overcollateralization (5.00%) and the reserve account (0.75%). The ratings on the Class B, Class C and Class D Notes reflect 21.50%, 12.25%, and 5.75% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. OPORTUN ISSUANCE 2021-B: DBRS Gives Prov. BB (high) on D Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following notes to be issued by Oportun Issuance Trust 2021-B: -- $340,153,000 Class A Notes at AA (low) (sf) -- $71,611,000 Class B Notes at A (low) (sf) -- $52,430,000 Class C Notes at BBB (low) (sf) -- $35,806,000 Class D Notes at BB (high) (sf) The provisional rating on the Notes is based on DBRS Morningstar's review of the following considerations: (1) The transaction's assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. (2) The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for the current rating. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- DBRS Morningstar's projected losses include an additional stress due to the potential impact of the coronavirus. The DBRS Morningstar cumulative net loss assumption is 11.38% based on the worst-case loss pool constructed, giving consideration to the concentration limits present in the structure. -- DBRS Morningstar incorporated a hardship deferment stress into its analysis as a result of an increase in utilization related to the impact of the coronavirus pandemic on borrowers. DBRS Morningstar stressed hardship deferments to test liquidity risk early in the life of the transaction's cash flows. (3) The transaction's form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the Reserve Account, and excess spread. Credit enhancement levels are sufficient to support DBRS Morningstar's stressed assumptions under various stress scenarios. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final payment date. (5) Oportun's capabilities with regard to originations, underwriting, and servicing. (6) The experience, underwriting, and origination capabilities of MetaBank, N.A. (7) The ability of Systems & Services Technologies, Inc. (SST) to perform duties as a Back-Up Servicer. SST, as Back-Up Servicer, is required to take over as successor servicer of the collateral in the Oportun 2021-A transaction within 15 calendar days of notice of a servicing termination event. SST and Oportun have developed a detailed servicing transition plan to facilitate an orderly transfer of servicing. (8) On March 3, 2021, Oportun received a Civil Investigative Demand (CID) from the Consumer Financial Protection Bureau (CFPB). The stated purpose of the CID is to determine whether small-dollar lenders or associated persons, in connection with lending and debt-collection practices, have not been in compliance with certain federal consumer protection laws over which the CFPB has jurisdiction. -- Oportun and PF Servicing believe that their practices have been in full compliance with CFPB guidance and that they have followed all published authority with respect to their practices, and Oportun continues to cooperate with the CFPB with respect to this matter. At this time, the Seller is unable to predict the outcome of this CFPB investigation, including whether the investigation will result in any action or proceeding or in any changes to the Seller's or the Servicer's practices. (9) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the trust, and that the trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. PFP 2019-5: DBRS Confirms B(low) Rating on Class G Notes -------------------------------------------------------- DBRS, Inc. confirmed the ratings on the following classes of secured floating-rate notes issued by PFP 2019-5, Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the continued stable performance of the transaction. Per the April 2021 remittance report, 25 loans were secured by 29 commercial properties with a balance of $546.8 million remaining in the trust, representing a 28.5% collateral reduction since issuance. Seven loans were fully repaid over the previous 12 months. The collateral currently comprises mortgage assets with an aggregate principal balance of $541.5 million as well as $5.3 million in the Permitted Funded Companion Participation Acquisition Account. The trust is able to purchase the remaining companion notes until April 2021. The Q1 2021 portfolio update provided by the servicer noted that $4.7 million of funded companion notes were available for purchase. The analysis assumed that the trust purchases the remaining companion note balance and that $570,327 of cash remains in the trust. The depositor retained 100% of the Class F notes, Class G notes, and Preferred Shares, accounting for 12.6% of the trust balance. An Over-Collateralization Trigger tied to Class D is tested with each monthly remittance report, which is calculated by taking the cumulative balance of funded loans in the trust and outstanding cash in the deal less any defaulted or modified loans divided by the cumulative balance of the offered bonds. As of the April 2021 remittance report, the ratio was 126.5% compared with the threshold of 102.9%. Fourteen loans, totaling 51.2% of the trust balance, are secured by commercial properties with a DBRS Morningstar Market Rank of 3 or less. It should be noted that a large concentration (44.3% of the trust balance) is secured by multifamily properties, which have generally been more resilient during the Coronavirus Disease (COVID-19) pandemic than other property types. The trust is also relatively concentrated in loans secured by office properties, totaling 37.9% of the trust balance. Probability of default adjustments were made for office properties in weaker demand submarkets, which tended to exhibit higher vacancy rates compared with vacancy rates at issuance as a result of the pandemic. Per the April 2021 remittance report, 13 loans, totaling 55.9% of the trust balance, are on the servicer's watchlist, with 12 of those loans placed on the watchlist for either a low debt service coverage ratio (DSCR) or low occupancy rate. The underlying properties are in the process of stabilizing and tend to exhibit low occupancy rates and DSCRs until stabilized. DBRS Morningstar made appropriate probability of default adjustments to loans that have had business plans delayed. The largest loan in the trust, Ross Tower (Prospectus ID#1; 14.6% of the trust balance), is on the watchlist for a low DSCR. The subject loan is secured by a 45-story Class A/B office property located on the edge of the Arts District in the Dallas central business district. The sponsor plans to stabilize the property by continuing to lease up vacant space as common area capital improvement projects have been completed, with the goal of selling or securing permanent debt on the property upon stabilization. The February 2021 rent roll showed the property was 68.2% occupied compared with 63.3% occupied at issuance. The lease-up plan stalled in 2020 because of the pandemic and the submarket demand deteriorated. Reis data as of Q4 2020 noted that the submarket's average vacancy rate increased to 29.3% from 29.0% as of Q4 2019 and is projected to further increase to 31.2% as of Q4 2021. Similar vintage properties reported an even greater average vacancy rate of 32.2% as of February 2021. The probability of default was increased as it appears unlikely that the sponsor will achieve its business plan during the extended loan term. For illustrative purposes, DBRS Morningstar concluded a stabilized vacancy rate of 19.8% at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. PROGRESS RESIDENTIAL 2021-SFR4: DBRS Finalizes B (low) on G Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Single-Family Rental Pass-Through Certificates issued by Progress Residential 2021-SFR4 Trust (PROG 2021-SFR4): -- $190.0 million Class A at AAA (sf) -- $44.4 million Class B at AA (low) (sf) -- $27.2 million Class C at A (low) (sf) -- $29.6 million Class D at BBB (high) (sf) -- $19.7 million Class E-1 at BBB (sf) -- $17.3 million Class E-2 at BBB (low) (sf) -- $66.6 million Class F at BB (low) (sf) -- $29.6 million Class G at B (low) (sf) The AAA (sf) rating on the Class A Certificates reflects 59.5% of credit enhancement provided by subordinated notes in the pool. The AA (low) (sf), A (low) (sf), BBB (high) (sf), BBB (sf), BBB (low) (sf), BB (low) (sf), and B (low) ratings reflect 50.0%, 44.2%, 37.9%, 33.7%, 30.0%, 15.8%, and 9.5% credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. PROG 2021-SFR4 consists of 1,982 properties in nine states, with the largest concentration by broker price opinion (BPO) value in Arizona (28.0%). The largest metropolitan statistical area (MSA) by value is Phoenix (28.0%), followed by Atlanta (17.5%). The geographic concentration dictates the home-price stresses applied to the portfolio and the resulting market value decline (MVD). The MVD at the AAA (sf) rating level for this deal is 58.7%. PROG 2021-SFR4 has properties from 16 MSAs, most of which did not experience home-price index (HPI) declines as dramatic as those in the recent housing downturn. DBRS Morningstar finalized the provisional ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar's analysis includes estimated base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio higher than 1.0 times. Notes: All figures are in U.S. dollars unless otherwise noted. REGATTA VI FUNDING: Moody's Rates $22MM Class E-R2 Notes 'Ba3' -------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Regatta VI Funding Ltd. (the "Issuer"). Moody's rating action is as follows: US$4,500,000 Class X-R Senior Secured Floating Rate Notes Due 2034 (the "Class X-R Notes"), Assigned Aaa (sf) US$255,750,000 Class A-R2 Senior Secured Floating Rate Notes Due 2034 (the "Class A-R2 Notes"), Assigned Aaa (sf) US$42,000,000 Class B-R2 Senior Secured Floating Rate Notes Due 2034 (the "Class B-R2 Notes"), Assigned Aa2 (sf) US$20,000,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes Due 2034 (the "Class C-R2 Notes"), Assigned A2 (sf) US$25,500,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate Notes Due 2034 (the "Class D-R2 Notes"), Assigned Baa3 (sf) US$22,000,000 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 and eligible investments, and up to 10.0% of the portfolio may consist of first-lien last-out loans, second lien loans, unsecured loans and permitted non-loan assets (senior secured bonds and senior secured notes), provided that no more than 5.0% of the portfolio may consist of permitted non-loan assets. Regatta Loan Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, 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; 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 Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $399,756,863 Defaulted obligations: $243,137 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3000 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.5 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. RESIDENTIAL 2021-I: S&P Assigns 'BB- (sf)' Rating on Class 14 Notes ------------------------------------------------------------------- S&P Global Ratings said today it assigned its '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 U.S. states and the District of Columbia from tropical cyclone, earthquake (including fire following), 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. RLGH TRUST 2021-TROT: DBRS Gives Prov. B(low) Rating on G Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates to be issued by RLGH Trust 2021-TROT: -- Class A at AAA (sf) -- Class X-CP at A (high) (sf) -- Class X-FP at A (high) (sf) -- Class X-NCP at A (high) (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) All trends are Stable. The Class A, Class A-Y, Class A-Z, and Class A-IO Certificates (the CAST Certificates) can be exchanged for other CAST Certificates and vice versa. Proportions are constant proportions of the original Certificate Balance or Notional Amount of the CAST Certificates being exchanged. Following the Closing Date, the Class A certificates will be exchangeable for the CAST Certificates in the Exchanged Proportions indicated in the applicable combinations indicated above (each a Combination) and vice versa (each such completed exchange, an Exchange). The CAST Certificates required under the applicable Combination to result in the issuance of the other CAST Certificates in amounts at least equal to the applicable minimum denomination for such other Class(es) are referred to as the Required Exchangeable Proportion, and the proportion so exchanged, the Exchanged Proportion. DBRS Morningstar continues to take a favorable view on the long-term growth and stability of the industrial warehouse and logistics sector, despite the uncertainty and risk that the Coronavirus Disease (COVID-19) pandemic has created across all commercial real estate asset classes. The reliance on e-commerce and home delivery during the pandemic has only accelerated prepandemic consumer trends, and DBRS Morningstar continues to believe that retail's loss is largely industrial's gain. The subject transaction consists of a portfolio of 53 properties (48 flex industrial properties, three research and development industrial properties, one 7.06-acre parcel of land, and one unanchored retail property) located across six business parks in the Raleigh-Durham market in North Carolina. The sponsor on the transaction is a joint venture (JV) between Equus Capital Partners (Equus) and AIG Global Real Estate Investment Corp. (AIG). The loan is being used to fund AIG's acquisition of 95% of the pool from Equus, which will retain the remaining 5%. The borrower sponsors, a JV partnership between Equus and AIG, are contributing approximately $132.9 million in cash equity as a part of the transaction to acquire the portfolio for a purchase price of $422.3 million. DBRS Morningstar generally views acquisition loans with significant amounts of cash equity more favorably than cash-out financings, given the stronger alignment of economic incentives with certificateholders. The sponsor under the mortgage loan is a JV partnership between Equus and AIG. Equus is a private real estate investment firm focused on commercial real estate investments with assets under management of approximately $4.0 billion. AIG is the real estate investment arm of AIG Inc. and focuses real estate investments globally. The portfolio has a high in-place occupancy at 95.2% and long track record of stable occupancy. Since 2007, the portfolio has maintained a WA occupancy of 95.3% and performance has remained stable through the coronavirus pandemic. Month-end collections averaged 97.4% through the trailing 12 months ended March 31, 2021. The transaction benefits from additional cash flow stability attributable to multiple property pooling. The portfolio has a property Herfindahl score of 39.3 by allocated loan amount, which is above the average for recent DBRS Morningstar-rated industrial portfolios and provides favorable diversification of cash flow when compared with a single asset. Six of the portfolio's 53 properties are currently leased to single-tenant users which highlights the portfolio's tenant diversity and granularity. The properties collectively comprise approximately 12.1% of the DBRS Morningstar in-place base rent, which is significantly lower than other recently analyzed transactions. While several of the previously analyzed industrial portfolios are located in various markets throughout the country, the subject portfolio is fully concentrated in the Raleigh-Durham market. Although the portfolio lacks geographic diversification and diversified economies, the market has performed well historically. The subject market shows a tight vacancy rate of 3.8% as of Q4 2020 per the appraisal, which is improved over the total 2020 vacancy of 4.0%. Additionally, net absorption was 1.3% in Q4 2020 and 3.1% over the entire year and has averaged a stable rate of 1.5% over the past 10 years. The recent trend absorption points to a strengthening market. As of March 2021, the portfolio has seen 43 tenants granted rent deferrals, totaling approximately 11.7% of the net rentable area (NRA). The largest tenant in the portfolio by NRA, World Overcomers, has been granted a rent deferral on its entire space composition in the portfolio which totals 101,805 sf, or 3.9% of the NRA. Despite the rent deferrals, the tenant has paid back a portion of their deferred rent (3.6%) and more importantly is also paying below market rents, per the appraiser. The tenant pays $8.26 psf compared with the appraiser's market rent estimation of $9.50 psf. Given the strong occupancy in the market and at the property, the ability to re-lease the space appears feasible. Lease Rollover – Leases representing 81.9% of the portfolio NRA and cumulative total rent, respectively, expire over the next five years. The loan has a hard lockbox with springing cash management provisions for retenanting reserves subject to a 6% debt yield trigger test using property net operating income for the prior two consecutive quarters. The DBRS Morningstar LTV on the mortgage loan is significant at 103.4%. The high leverage point, combined with the lack of amortization, could potentially result in elevated refinance risk and/or loss severities in an event of default. PARTIAL PRO RATA STRUCTURE The mortgage loan has a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the unpaid principal balance. DBRS Morningstar considers this structure to be credit negative, particularly at the top of the capital stack. Under a partial pro rata paydown structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace compared with a sequential-pay structure. DBRS Morningstar applied a penalty to the transaction's capital structure to account for the pro rata nature of certain prepayments. The WA release premium associated with the paydowns is 116.67% and compares favorably to recent industrial transactions rated by DBRS Morningstar. The underlying mortgage loan for the transaction will pay floating-rate interest, which presents potential benchmark transition risk as the deadline approaches for the elimination of Libor. The transaction documents provide for the transition to an alternative benchmark rate, which is primarily contemplated to be either Term Secured Overnight Financing Rate (SOFR) or Compounded SOFR plus the applicable Alternative Rate Spread Adjustment. Term SOFR does not currently exist and there is no assurance it will fully develop or be widely adopted. Compounded SOFR, which is expected to be a backward-looking rate generally calculated using actual rates during the applicable interest accrual period, is considered by some servicers to be less practical to implement. The servicer will have sole discretion over various aspects of a benchmark transition. Any uncertainty or delay in transitioning to a Libor alternative could lead to unforeseen issues for both the mortgage loan borrower and certificates. Additionally, in order to extend the loan, the borrower must also obtain a replacement interest rate cap agreement. If a replacement agreement is not commercially available, the borrower can propose an alternative hedging instrument that would provide substantially equivalent protection from increases in the interest rate. However, the servicer can reject proposal and impose its own hedging solution, if any. Notes: All figures are in U.S. dollars unless otherwise noted. ROMARK CLO-IV: S&P Assigns Prelim BB- (sf) Rating on Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Romark CLO-IV Ltd./Romark CLO-IV LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Romark CLO Advisors LLC. The preliminary ratings are based on information as of May 14, 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 Romark CLO-IV Ltd./Romark CLO-IV LLC Class A-1, $240.00 million: AAA (sf) Class A-2a, $50.00 million: AA (sf) Class A-2b, $14.00 million: AA (sf) Class B (deferrable), $24.00 million: A (sf) Class C-1 (deferrable), $16.00 million: BBB+ (sf) Class C-2 (deferrable), $8.00 million: BBB- (sf) Class D (deferrable), $14.20 million: BB- (sf) Subordinated notes, $36.65 million: Not rated SCMT 2021-SBC10: DBRS Gives Prov. B(low) Rating on Class F Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of the Commercial Mortgage Pass-Through Certificates to be issued by SCMT 2021-SBC10: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. RATING DESCRIPTION The collateral consists of 297 individual loans and three crossed loan pools secured by 316 commercial and multifamily properties with an average loan balance of $775,329. DBRS Morningstar analyzed the transaction as a 300-loan pool because of cross-collateralization in the pool, and all metrics within this report reflect this pool size. The transaction is configured with a modified pro rata pay pass-through structure. Given the complexity of the structure and granularity of the pool, DBRS Morningstar applied its North American CMBS Multi-Borrower Rating Methodology (CMBS Methodology) and the RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (RMBS Methodology). CMBS Methodology Of the 300 loans, 172 loans, representing 71.3% of the pool, have a fixed interest rate with a straight average of 6.6%. The floating-rate loans have interest rate floors (excluding rate margins) ranging from 0.00% to 5.50% with a straight average of 1.45% and interest rate margins ranging from 0.75% to 5.20% with a straight average of 3.20%. To determine the probability of default (POD) and loss given default (LGD) inputs in the CMBS Insight Model, DBRS Morningstar applied a stress to the various indexes that corresponded with the remaining fully extended term of the loans and added the respective contractual loan spread to determine a stressed interest rate over the loan term. DBRS Morningstar looked to the greater of the interest rate floor or the DBRS Morningstar stressed index rate when calculating stressed debt service. The weighted-average (WA) modeled coupon rate was 6.50%. The loans have original term lengths of five to 386 months and amortize over periods of 120 to 429 months. When the cut-off loan balances were measured against the DBRS Morningstar Net Cash Flow (NCF) and their respective actual constants or stressed interest rates, there were 80 loans, representing 33.2% of the pool, with term DSCRs below 1.15x, a threshold indicative of a higher likelihood of term default. The pool has a WA original term length of 207 months, or 17.3 years, with a WA remaining term of 77 months, or 6.4 years. Based on the current loan amount, which reflects 47.4% amortization, and the current valuation, the pool has a WA loan-to-value ratio (LTV) of 39.1%. DBRS Morningstar applied a pool average LTV of 47.6%, which reflects a recent appraised value for four loans, a more recently obtained BOV for loans in more urban markets, and the lesser of the updated broker's opinion of value (BOV) or the original appraised value for loans in all other markets. Furthermore, DBRS Morningstar made LTV adjustments to 34 loans that had an implied capitalization rate more than 200 basis points lower than a set of minimal capitalization rates established by DBRS Morningstar Market Rank. The DBRS Morningstar minimal capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. Lastly, 196 loans fully amortize over their respective remaining loan terms, resulting in a 56.6% expected amortization; this amount of amortization is greater than typical of commercial mortgage-backed securities (CMBS) conduit pools. DBRS Morningstar's research indicates that, for CMBS conduit transactions securitized between 2000 and 2019, average amortization by year has ranged between 7.50% to 21.09%, with an overall median of 18.80%. As contemplated and explained in DBRS Morningstar's Rating North American CMBS Interest-Only Certificates methodology, the most significant risk to an interest-only (IO) cash flow stream is term default risk. As noted in that methodology, for a pool of approximately 63,000 CMBS loans that fully cycled through to their maturity dates, DBRS Morningstar noted that the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one third of the total rate), and the term default rate was approximately 11%. DBRS Morningstar recognizes the muted impact of refinance risk on IOs by adjusting the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a POD for a CMBS bond from its rating, DBRS Morningstar estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, following similar logic regarding term default risk supported the rationale for DBRS Morningstar to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this pool of loans. DBRS Morningstar reduced this one notch adjustment by 43.5%, reflecting the portion of the pool that does not fully amortize. RMBS Methodology The DBRS Morningstar CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. DBRS Morningstar calibrated the CMBS predictive model using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to 0 constant prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, DBRS Morningstar would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features. DBRS Morningstar expects that this pool will continue to have some prepayments over the remainder of the transaction. DBRS Morningstar applied the following to calculate a default rate prepayment haircut: using Intex Dealmaker, DBRS Morningstar calculated a lifetime constant default rate (CDR) that approximated the default rate for each rating category. While applying the same lifetime CDR, DBRS Morningstar applied a 2.0% CPR. When holding the CDR constant and applying 2.0% CPR, the cumulative default amount declined. The percentage change in the cumulative default before and after applying the prepayments was then applied to the cumulative default assumption to calculate a fully adjusted cumulative default assumption. The fully adjusted default assumption and model generated severity figures from the DBRS Morningstar CMBS Insight Model. DBRS Morningstar then applied these severity figures to the RMBS Cash Flow Model, which is adept at modeling pro rata structures. Historically, pools similar to this have had a CPR ranging from a low of approximately 5% to just above 25%, with a linear trend between 10% and 15%. As part of the RMBS Cash Flow Model, DBRS Morningstar incorporated three CPR stresses: 5.0%, 10.0%, and 15.0%. Additional assumptions in the RMBS Cash Flow Model include a six-month recovery lag period, 100% servicer advancing, and three default curves (uniform, front, and back). DBRS Morningstar based the shape and duration of the default curves on the RMBS seasoned loss curves; however, it adjusted the timing to consider the recovery lag period. Lastly, DBRS Morningstar stressed interest rates, both upward and downward, based on their respective loan indexes, including the one-, three-, five-, and seven-year Constant Maturity Treasury, one-month commercial paper, prime, five-year swap, and 10-year swap. Overall, the pool has a WA expected loss of 4.66%, which is lower than recently analyzed comparable small balance transactions. Contributing factors to the low expected loss include pool diversity, low leverage, and relatively strong markets. Furthermore, the pool is relatively diverse based on loan size, with an average balance of $775,329, a concentration profile equivalent to that of a pool with 132 equal-size loans, and a top-10 loan concentration of 18.0%. Increased pool diversity helps insulate the higher-rated classes from event risk. Additionally, the loans are mostly secured by traditional property types (i.e., retail, multifamily, office, and industrial) with only 7.0% exposure to higher-volatility property types, such as hotels, self-storage, or MHCs. There are also two individual marina properties, amounting to 1.7% of the pool, that were part of a portfolio that was analyzed as industrial. Also, the pool has a low cut-off WA LTV of 39.1% based on the appraisal and BOVs dated between May 2020 and March 2021. One hundred ninety-six loans in the pool (representing 48.1% of the pool balance) fully amortize over their respective remaining loan terms between eight and 213 months, reducing refinance risk. Finally, on average, the loans have a term of 17.3 years with 10.9 years of seasoning. Seasoned loans typically have a lower default rate because of market value appreciation. The pool contains a significant exposure to retail (31.3% of the pool) and a smaller exposure to hospitality (3.4% of the pool), which are two of the higher-volatility asset types. Combined, they represent over one third of the pool balance. Retail, which has struggled because of the Coronavirus Disease (COVID-19) pandemic, comprises the largest asset type in the transaction. DBRS Morningstar applied a 20.0% reduction to the NCF for retail properties and a 40.0% reduction for hospitality assets in the pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Multifamily comprises the second-largest property type concentration in the pool (19.3%); based on DBRS Morningstar's research, multifamily properties securitized in conduit transactions have had lower default rates than most other property types. DBRS Morningstar did not perform site inspections on properties within its sample for this transaction. Instead, DBRS Morningstar relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 39 loans DBRS Morningstar sampled, 10.7% were Average + quality, 58.6% were Average quality, and 30.7% were Average –, Below Average, or Poor quality. DBRS Morningstar applied a 20.0% reduction to the NCF for retail properties and a 40.0% reduction for hospitality assets in the pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Multifamily comprises the second-largest property type concentration in the pool (19.3%); based on DBRS Morningstar's research, multifamily properties securitized in conduit transactions have had lower default rates than most other property types. DBRS Morningstar performed site inspections on 23 loans that were initially securitized as part of the SCMT 2018-SBC7 transaction. DBRS Morningstar applied the property quality assessments from those site inspections, which ranged from Average + to Poor, with the majority having Average property quality. DBRS Morningstar assumed unsampled loans were Average – quality, which has a slightly increased POD level. This is more conservative than the assessments from sampled or previously sampled loans and is consistent with other small balance commercial transactions. Limited property-level information was available for DBRS Morningstar to review. Asset summary reports, property condition reports (PCRs), Phase I/II environmental site assessment (ESA) reports, appraisals, and historical financial cash flows were generally not available for review in conjunction with this securitization. DBRS Morningstar received a recent BOV or appraised value for all loans and the appraised value from origination for most loans. To calculate the LTV for the model, DBRS Morningstar relied on the BOV figure for assets in urban markets with a DBRS Morningstar Market Rank of 6, 7, or 8, which are more likely to experience value appreciation since loan origination. For all other loans, DBRS Morningstar assumed a value based on the lower of the original appraisal or BOV. For loans without an original appraised value, DBRS Morningstar assumed an original LTV of 65%. This hybrid assumption produced a WA LTV of 47.6% versus an LTV of 39.1% based solely on the most recent BOV or appraisal and the current loan amount. No ESA reports were provided; however, 58 properties (18.5% of the pool) had desktop environmental assessments, including all industrial properties and several other office or retail properties. None of these reports reflected subject site risks. Because of the lack of traditional PCRs and property condition assessments typically performed on CMBS loans, DBRS Morningstar applied a LGD penalty to mitigate any potential future risk. DBRS Morningstar was able to perform a loan-level cash flow analysis on only six loans in the DBRS Morningstar sample. Based on cash flow analysis from comparable small balance commercial loan pools, DBRS Morningstar applied an average 20.4% blended reduction to the BOV-estimated NCF for this transaction. This cash flow reduction is well above the median historical reduction of 8.0% and provides meaningful stress to the default levels. DBRS Morningstar received limited borrower information, net worth or liquidity information, and credit history. DBRS Morningstar generally initially assumed loans had Weak sponsor strength scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions. Furthermore, DBRS Morningstar received a 24-month pay history on each loan as of March 31, 2021. If any loan had more than two late pays within this period or two consecutive late pays, DBRS Morningstar applied an additional stress to the default rate. This occurred for 33 loans, representing 11.0% of the pool balance. Additionally, DBRS Morningstar identified 153 loans, or 59.8% of the pool, as non-full-recourse loans, which, for small balance commercial transactions, DBRS Morningstar views as credit negative. DBRS Morningstar assumed these loans had elevated default levels to mitigate this risk. Finally, DBRS Morningstar received a borrower FICO score as of March 22, 2021, for 269 of the 304 loans, with an average FICO score of 743. While the CMBS Methodology does not contemplate FICO scores, the RMBS Methodology does and would characterize a FICO score of 743 as near-prime, where prime is considered greater than 750. Borrowers with a FICO score of 743 could generally be described as potentially having had previous credit events (foreclosure, bankruptcy, etc.) but, if they did, it is likely that these credit events were cleared about two to five years ago. Notes: All figures are in U.S. dollars unless otherwise noted. SDART 2018-5: Fitch Affirms BB Rating on Class E1 Debt ------------------------------------------------------ Fitch Ratings has taken various actions on outstanding classes in Santander Drive Auto Receivables Trusts (SDART) 2017-2, 2017-3, 2018-1, 2018-2, 2018-5, 2019-1, 2019-2, 2020-2, 2020-3 and 2020-4 and revised the Rating Outlooks. The market disruption due to the coronavirus pandemic and related containment measures did not negatively affect the ratings, because there is sufficient credit enhancement (CE) to cover higher cumulative net losses (CNL) projected after more severe assumptions were applied. The sensitivity of the ratings to scenarios more severe than currently expected is provided in the Rating Sensitivities section. DEBT RATING PRIOR ---- ------ ----- Santander Drive Auto Receivables Trust 2017-2 D 80285LAF8 LT AAAsf Affirmed AAAsf E 80285LAG6 LT Asf Upgrade BBBsf Santander Drive Auto Receivables Trust 2017-3 D 80284YAG9 LT AAAsf Upgrade Asf E 80284YAH7 LT Asf Upgrade BBBsf Santander Drive Auto Receivables Trust 2018-1 C 80285TAF1 LT AAAsf Affirmed AAAsf D 80285TAG9 LT AAsf Upgrade Asf E 80285TAH7 LT BBBsf Upgrade BBsf Santander Drive Auto Receivables Trust 2018-2 C 80285FAF1 LT AAAsf Affirmed AAAsf D 80285FAG9 LT AAsf Upgrade Asf E 80285FAH7 LT BBBsf Upgrade BBsf Santander Drive Auto Receivables Trust 2018-5 C1 80286AAF1 LT AAAsf Affirmed AAAsf D1 80286AAG9 LT Asf Upgrade BBBsf E1 80286AAH7 LT BBsf Affirmed BBsf SDART 2019-1 C 80285HAF7 LT AAsf Affirmed AAsf D 80285HAG5 LT Asf Upgrade BBBsf E 80285HAH3 LT BBsf Affirmed BBsf Santander Drive Auto Receivables Trust 2019-2 B 80286GAE1 LT AAAsf Affirmed AAAsf C 80286GAF8 LT AAsf Upgrade Asf D 80286GAG6 LT BBBsf Affirmed BBBsf E 80286GAH4 LT BBsf Affirmed BBsf Santander Drive Auto Receivables Trust 2020-2 A-2-A 80285RAB4 LT AAAsf Affirmed AAAsf A-2-B 80285RAC2 LT AAAsf Affirmed AAAsf A-3 80285RAD0 LT AAAsf Affirmed AAAsf B 80285RAE8 LT AAsf Affirmed AAsf C 80285RAF5 LT Asf Affirmed Asf D 80285RAG3 LT BBBsf Affirmed BBBsf Santander Drive Auto Receivables Trust 2020-3 A-2 80285WAB3 LT AAAsf Affirmed AAAsf A-3 80285WAD9 LT AAAsf Affirmed AAAsf B 80285WAE7 LT AAsf Affirmed AAsf C 80285WAF4 LT Asf Affirmed Asf D 80285WAG2 LT BBBsf Affirmed BBBsf Santander Drive Auto Receivables Trust 2020-4 A-2 80286WAB2 LT AAAsf Affirmed AAAsf A-3 80286WAD8 LT AAAsf Affirmed AAAsf B 80286WAE6 LT AAsf Affirmed AAsf C 80286WAF3 LT Asf Affirmed Asf D 80286WAG1 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes reflect available CE and loss performance to date, while also considering the potential performance impact of the coronavirus pandemic on delinquencies and cumulative net losses (CNLs). CNLs are tracking inside the initial base case proxies and hard CE levels have grown for all classes in each transaction since close. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. During this review, an error was identified related to the impact testing for a recent model update whereby the assessment of timely interest for bonds rated 'AAAsf' and 'AAsf in the calculation of breakeven loss rates was corrected. In December 2020, Fitch's Auto Timeshare Model was updated to ensure notes rated in the 'AAAsf' and 'AAsf' rating categories receive timely interest, in accordance with Fitch's Global Structured Finance Rating Criteria; which was not addressed in the previous model version. The manual impact testing for a subset of SDART transactions from that model change was inaccurate, and if done correctly in December 2020, it would have been necessary to take the transactions to committee to determine if the ratings were still appropriate. In this review, the updated and corrected model was utilized on all outstanding SDART transactions. Based on the updated credit analysis incorporating current performance and updated cash flow modelling, there is no adverse rating impact to these transactions. As of the March 2021 collection period, 61+ day delinquencies ranged from 1.35% to 3.26% for the outstanding transactions. Cumulative net losses for 2017-2, 2017-3, 2018-1, 2018-2, 2018-5, 2019-1, 2019-2, 2020-2, 2020-3 and 2020-4 were 10.45%, 9.07%, 8.28%, 7.91%, 7.20%, 5.84%, 4.83%, 1.13%, 0.75% and 0.20%, tracking below Fitch's initial base cases of 17.00%, 17.05%, 16.50%, 16.60%, 17.00%, 17.00%, 17.00%, 18.00%, 18.00% and 18.00%. Fitch has made assumptions about the economic impact of the coronavirus and related containment measures. As a base case scenario, Fitch assumes the global recession that took hold in 1H20 and subsequent activity bounce in 2H20 are followed by a slower recovery in 2021. However, GDP is expected to reach pre-pandemic levels in 2021. To account for any potential increases in delinquencies and losses, using the base case coronavirus ratings scenario detailed above, Fitch applied conservative assumptions in deriving the updated base case proxies while also accounting for the strong transaction performance to date. For all transactions, the base case proxy was reduced from the prior review or new rating action. However, conservatism was maintained by utilizing recessionary (2006-2009) static managed portfolio performance in transactions rated since 2018, along with pool factor projections based on current performance in the CNL proxy derivation. The lifetime CNL proxies also consider the transactions' remaining pool factors and pool compositions. Furthermore, they consider current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. In determining each transaction's CNL proxy, Fitch also considered the losses necessary on the remaining pools to achieve the updated lifetime base case CNL proxies in conjunction with Fitch's stressed recovery assumption of 50% and requisite multiples, to effectively cap collateral defaults on the remaining pool at 100%. Incorporating the items detailed above, Fitch arrived at revised lifetime CNL proxies of 12.00%, 11.00%, 11.00%, 11.00%, 11.75%, 12.00%, 12.25%, 13.25%, 14.25% and 14.75% for 2017-2, 2017-3, 2018-1, 2018-2, 2018-5, 2019-1, 2019-2, 2020-2, 2020-3 and 2020-4, respectively; equating to Remaining pool proxies of 12.37%, 11.47%, 14.20%, 14.24%, 15.57%, 16.57%, 16.11%, 16.45%, 16.55% and 16.44%, respectively. For all outstanding transactions, loss coverage multiples for the rated notes are consistent with or in excess of 3.00x for 'AAAsf', 2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for 'BBBsf', and 1.25x for 'BBsf.' Some of the notes showed multiples slightly short of the current ratings, which Fitch considers to be immaterial. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected CNL proxy, the ratings could be maintained or upgraded. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Conversely, unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxies, and affect available loss coverage and multiples levels for the transactions. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Rating Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation for each transaction. The 2.0x scenario was updated and is considered Fitch's coronavirus downside rating sensitivity. For outstanding transactions, this scenario suggests consistent ratings for the senior notes, and a possible downgrade of one or two categories for the subordinate notes. To date, the transactions have strong performance with losses within Fitch's initial expectations with adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding ratings. Due to the uncertainty surrounding the coronavirus outbreak, Fitch ran additional sensitivities to account for potential increases in delinquencies. The transactions are able to withstand the added stresses with loss coverage consistent with or in excess of the ratings in their respective notes. Fitch acknowledges that lower prepayments and longer recovery lag times due to delayed ability to repossess and recover on vehicles may result from the pandemic. However, changes in these assumptions, all else equal, would not have an adverse impact on modeled loss coverage and Fitch has maintained its stressed assumptions. 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. SDART 2021-2: Moody's Assigns (P)B1 Rating to Cl E Notes -------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Santander Drive Auto Receivables Trust 2021-2 (SDART 2021-2). This is the second SDART auto loan transaction of the year for Santander Consumer USA Inc. (SC; unrated). The notes will be backed by a pool of retail automobile loan contracts originated by SC, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2021-2 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aaa (sf) Class C Notes, Assigned (P)Aa1 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)B1 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of SC as the servicer. Moody's median cumulative net loss expectation for SDART 2021-2 is 16.50% and loss at a Aaa stress is 42.0%. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of SC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing the Class A notes, Class B notes, Class C notes, Class D notes and Class E notes are expected to benefit from 51.55%, 42.55%, 28.30%, 14.50%, and 8.50% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination. The notes may also benefit from excess spread. 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. Specifically, for auto loan ABS, loan performance will weaken due to the continued high unemployment rate that may limit the borrower's income and their ability to service debt. The softening of used vehicle prices will reduce recoveries on defaulted auto loans, also a credit negative. Furthermore, any borrower assistance programs provided to affected borrowers, such as extensions, may adversely impact scheduled cash flows to bondholders. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinate notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high usage of borrower relief programs or a servicer disruption that impacts obligor's payments. SLC STUDENT 2008-2: Fitch Lowers Rating on 2 Debt Tranches to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded the outstanding notes of SLC Student Loan Trust (SLC) 2008-2. DEBT RATING PRIOR ---- ------ ----- SLC Student Loan Trust 2008-2 A-4 78444NAD1 LT Csf Downgrade CCCsf B 78444NAE9 LT Csf Downgrade CCCsf TRANSACTION SUMMARY Fitch downgraded the outstanding senior and junior classes of SLC 2008-2 to 'Csf' due to the legal final maturity date of the class A-4 notes being less than two months away in June 2021. Repayment of the notes in full, or a decrease in pool balance to below 10% to allow for a clean-up call of the transaction by the class A-4 legal final maturity date is unlikely under Fitch's base case cashflow analysis. An event of default stemming from not meeting the legal final maturity date may result in acceleration of the notes or a liquidation of the trust depending upon the remedies decided upon by the noteholders or indenture trustee in accordance with the terms of the trust indenture. In a situation in which there is an acceleration of the notes, the trust will switch to a post-event of default waterfall, directing all payments to the class A-4 notes until the balance is paid in full, which would result in interest payments being diverted away from the class B notes. An omnibus amendment has been proposed, and investor consent solicitation is outstanding, which would extend the class A-4 legal final maturity date to the June 2066 distribution date, among other proposed changes. Fitch will continue to monitor developments related to the investor consent request as an extension of the legal final maturity date would have positive rating implications. The A-4 notes miss their legal final maturity date under Fitch's base case maturity stresses; however, the notes are eventually paid in full under Fitch's base case cashflow analysis. KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 29.00% under the base case scenario and a default rate of 87.00% under the 'AAA' credit stress scenario. Fitch maintained the sustainable constant default rate (sCDR) and the sustainable constant prepayment rate (voluntary and involuntary prepayments; CPR) at 4.30% and 8.00%, respectively. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment (prior to adjustment) are 7.64%, 21.20% and 29.30%, respectively, which are used as the starting point in cash flow modelling. For the above assumptions, subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be 0.11% for Stafford and 0.46% PLUS/SLS based on information provided by the servicer. Fitch's student loan ABS cash flow model indicates that the class A-4 notes do not pay off before their maturity date in all of Fitch's modeling scenarios, including the base cases. The expected breach of the class A-4 maturity date will result in an event of default, under which, interest payments could be diverted away from the class B notes should there be an acceleration of the notes by consent of the super majority of noteholders. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of February 2021, at least 81% of student loan assets are indexed to one-month LIBOR, and the reset are indexed to 90 Day T-Bill, and notes are indexed to three-month LIBOR. Fitch applies its standard basis interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread, reserve account, and for the class A notes, subordination provided by the class B notes. As of February 2021, senior and total parity ratios (including the reserve) are 129.38% (22.71% CE) and 101.82% (1.79% CE). Liquidity support is provided by a reserve sized at 0.25% of the pool balance. The trust will continue to release cash as long as target parities are maintained. Operational Capabilities: SLC Trusts are the securitizations of The Student Loan Corporation, now a subsidiary of Discover Bank. Navient purchased the SLC Trust certificates and assumed servicing responsibilities in December 2010. Discover Bank serves as master servicer, while day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer due to its extensive track record as the largest servicer of FFELP loans. Fitch confirmed with the servicer the availability of a business continuity plan to minimize disruptions in the collection process during the coronavirus pandemic. Coronavirus Impact: Fitch assessed the sCDR and sCPR under Fitch's coronavirus baseline (rating) scenario by assuming a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transaction. Fitch maintained the sCDR and sCPR for this review, because they were deemed sufficiently conservative under this analysis. The risk of negative rating actions will increase under Fitch's coronavirus downside (sensitivity) scenario, which contemplates a more severe and prolonged period of stress. As a downside sensitivity reflecting this scenario, Fitch increased the default rate, IBR and remaining term assumptions by 50%. The results are provided in Rating Sensitivities. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- The current ratings are most sensitive to Fitch's maturity risk scenario; therefore, an extension of the legal final maturity date of the A-4 notes, which would effectively mitigate the maturity risk in Fitch's cash flow modeling, would result upward rating pressure. Additional secondary factors that may lead to a positive rating action are: material increases in the payment rate and/or a material reduction in the weighted average remaining loan term. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'Csf'; class B 'Csf'; -- Default increase 50%: class A 'Csf'; class B 'Csf'; -- Basis Spread increase 0.25%: class A 'Csf'; class B 'Csf'; -- Basis Spread increase 0.50%: class A 'Csf'; class B 'Csf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'Csf'; class B 'Csf'; -- CPR decrease 50%: class A 'Csf'; class B 'Csf'; -- IBR Usage increase 25%: class A 'Csf'; class B 'Csf'; -- IBR Usage increase 50%: class A 'Csf'; class B 'Csf'. -- Remaining Term increase 25%: class A 'Csf'; class B 'Csf'; -- Remaining Term increase 50%: class A 'Csf'; class B 'Csf'. 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. SLM STUDENT 2008-4: Moody's Lowers Rating on Cl. A-4 Notes to Ba3 ----------------------------------------------------------------- Moody's Investors Service has downgraded three tranches issued by three FFELP student loan securitizations. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. The complete rating actions are as follows: Issuer: SLM Student Loan Trust 2007-7 Cl. A-4, Downgraded to Ba3 (sf); previously on Jun 3, 2020 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2008-3 Cl. A-3, Downgraded to Ba3 (sf); previously on Jun 3, 2020 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2008-4 Cl. A-4, Downgraded to Ba3 (sf); previously on Nov 1, 2016 Downgraded to Ba2 (sf) RATINGS RATIONALE The downgrade actions are primarily due to uncertainty that the cash flow available to make payments on the notes will be sufficient to make all required payments to the noteholders by the final maturity dates. The maturities for these tranches are between October 2021 and July 2022. In the action, Moody's considered Navient's willingness and ability to support and prevent their securities from defaulting at their legal final maturity dates. Because the pool factors of these transactions will be likely above 10% at the tranches' legal final maturities, other than borrowing from a revolving credit facility, Navient will have limited options to support the full repayment of the affected tranches prior to their maturities. Navient has previously amended all of the transactions subject to this rating action to establish a revolving credit facility that enables the trust to borrow money from Navient Corporation on a subordinated basis in order to pay off the notes. Moody's ratings on the Class A notes of the affected transactions are lower than the ratings on the subordinated Class B notes. Although transaction structures stipulate that Class B interest is diverted to pay Class A principal upon default on the Class A notes, Moody's analysis indicates that the cash flow available to make payments on the Class B notes will be sufficient to make all required payments, including accrued interest, to Class B noteholders by the Class B final maturity dates, which occur much later than the final maturity dates of the downgraded Class A notes. The Class B maturities of the affected transactions range between October 2070 to April 2083. The actions also reflect the updated performance of the transactions and updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss for a tranche using 28 cash flow scenarios with weights accorded to each scenario. The COVID-19 pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Specifically, for FFELP student loan ABS, loan performance will continue to benefit from government support and the improving unemployment rate that will support the borrower's income and their ability to service debt. However, any elevated use of borrower assistance programs to affected borrowers, such as forbearance, deferment and income-based repayment (IBR), may adversely impact scheduled cash flows to bondholders. Moody's regard the COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Securities Backed by FFELP Student Loans" published in April 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. SOUND POINT XXIX: Moody's Assigns Ba3 Rating to $22.5M Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to nine classes of notes issued and one class of loans incurred by Sound Point CLO XXIX, Ltd. (the "Issuer" or "Sound Point XXIX"). Moody's rating action is as follows: US$2,700,000 Class X Senior Secured Floating Rate Notes due 2034 (the "Class X Notes"), Assigned Aaa (sf) US$151,900,000 Class A Senior Secured Floating Rate Notes due 2034 (the "Class A Notes"), Assigned Aaa (sf) US$158,100,000 Class A Loans due 2034 (the "Class A Loans"), Assigned Aaa (sf) Up to US$158,100,000 Class A-L Senior Secured Floating Rate Notes due 2034 (the "Class A-L Notes"), Assigned Aaa (sf) US$50,000,000 Class B-1 Senior Secured Floating Rate Notes due 2034 (the "Class B-1 Notes"), Assigned Aa2 (sf) US$20,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$23,500,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C-1 Notes"), Assigned A2 (sf) US$3,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes due 2034 (the "Class C-2 Notes"), Assigned A2 (sf) US$28,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Assigned Baa3 (sf) US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A Notes, the Class A Loans, the Class A-L Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C-1 Notes, the Class C-2 Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Debt." On the closing date, the Class A Loans and the Class A-L Notes have a principal balance of $158,100,000 and $0, respectively. At any time, the Class A Loans may be converted in whole or in part to Class A-L Notes, thereby decreasing the principal balance of the Class A Loans and increasing, by the corresponding amount, the principal balance of the Class A-L Notes. The aggregate principal balance of the Class A Loans and Class A-L Notes will not exceed $158,100,000, less the amount of any principal repayments. 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. Sound Point XXIX is a managed cash flow CLO. The Rated Debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and bonds. The portfolio is 100% ramped as of the closing date. Sound Point Capital Management, LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2813 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's 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 Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. STARWOOD MORTGAGE 2021-2: S&P Assigns Prelim B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Starwood Mortgage Residential Trust 2021-2's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by an aggregate pool comprised of 904 newly originated and seasoned fixed- and adjustable-rate residential mortgage loans, (some with interest-only features) secured by first liens on single-family residences, planned-unit developments, condominiums, two-four-family, mixed-use and five- to 10-unit residential properties. All of the loans are either non-QM or are exempt from the qualified mortgage/ability-to-repay rules. The preliminary ratings are based on information as of May 11, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty (R&W) framework for this transaction; -- The mortgage aggregator and mortgage originators; -- The geographic concentration; 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. Preliminary Ratings Assigned Starwood Mortgage Residential Trust 2021-2(i) Class A-1, $172,917,000: AAA (sf) Class A-2, $16,251,000: AA (sf) Class A-3, $25,772,000: A (sf) Class M-1, $16,378,000: BBB (sf) Class B-1, $10,537,000: BB (sf) Class B-2, $7,110,000: B (sf) Class B-3, $4,952,040: NR Class A-IO-S(ii), Notional(iii): NR Class XS(ii),Notional(iii): NR Class A-R, N/A: NR (i)The collateral and structural information in this report reflects the term sheet dated May 5, 2021. The preliminary ratings address the ultimate payment of interest and principal. (ii)Notional amount certificates that do not have class principal balances. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. NR--Not rated. STARWOOD RETAIL 2014-STAR: DBRS Confirms C Rating on 5 Classes -------------------------------------------------------------- DBRS, Inc. downgraded the rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2014-STAR issued by Starwood Retail Property Trust 2014-STAR as follows: -- Class A to C (sf) from B (sf) DBRS Morningstar also confirmed the ratings on the following classes: -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) The rating downgrade on Class A reflects the increase in expected losses since DBRS Morningstar assigned the rating in 2020. The assigned ratings were based, in part, on prepandemic appraisals. Throughout 2020, the financial impact of the Coronavirus Disease (COVID-19) pandemic has been particularly acute for retail properties, especially properties that struggled before the onset of the pandemic. As a result, the value for the collateral is now likely lower than the assumption used at the time ratings were assigned. DBRS Morningstar removed the Negative trend on Class A, and no classes now carry trends. Classes C, D, E, and F are designated as having Interest in Arrears. As of April 2021, interest shortfalls have reached Class C and there are outstanding servicer advances of $7.8 million. The transaction is collateralized by a $681.6 million floating-rate loan secured by three regional malls and one lifestyle center. The Mall at Wellington Green is a 1.3 million-square-foot (sf) indoor regional mall in Palm Beach County, Florida. At closing, it was anchored by City Furniture, Nordstrom on a ground lease, and noncollateral anchors Macy's, Dillard's, and JCPenney. The only anchor to vacate the property since issuance is Nordstrom, which closed in 2019. MacArthur Center is a 928,000-sf regional mall in downtown Norfolk, Virginia, anchored by Dillard's on a ground lease and Regal Cinemas, which has been temporarily closed because of pandemic-related restrictions. Northlake Mall is a 1.1 million-sf regional mall in Charlotte, North Carolina. The collateral includes 540,000 sf of retail space, with Dick's Sporting Goods and AMC Theatres as the original collateral anchor tenants, while other noncollateral anchors include Dillard's, Macy's, and Belk. Dick's Sporting Goods vacated the property in February 2021. The Mall at Partridge Creek is a 626,000-sf lifestyle center in Clinton Township, Michigan, about 30 miles north of downtown Detroit. The property's only remaining anchor is MJR Digital Cinemas, as Nordstrom vacated in September 2019 and Carson's vacated in 2018 following its bankruptcy filing. The loan was structured with debt yield hurdles attached to each of the two extension options. In 2017, after not meeting the debt yield hurdle, the sponsor was required to pay down principal by $25.0 million and make monthly principal payments of $800,000 to satisfy a loan modification, which ultimately extended the loan to November 2019. Upon final maturity, the loan transferred to special servicing for maturity default. Previous discussions regarding a potential loan restructuring have given way to the borrower cooperating with an orderly transition of the properties to a receiver. The sponsor's inability to refinance the loan was largely a result of a steady and precipitous decline in net cash flow (NCF) as occupancy fell over the years, reaching a low of 76% in 2020 from 96% at issuance. The servicer reported the aggregate NCF for the trailing 12-month period ended September 30, 2020, at $40.9 million, a -40.2% variance from the Issuer's figure of $68.4 million at issuance. DBRS Morningstar anticipates that this downward trend will continue, given the additional strain that the coronavirus pandemic has placed on retailers that were already affected by e-commerce. Notes: All figures are in U.S. dollars unless otherwise noted. TALLMAN PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Tallman Park CLO Ltd./Tallman Park CLO 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 May 12, 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 Tallman Park CLO Ltd./Tallman Park CLO LLC Class A, $248.0 million: AAA (sf) Class B, $56.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $14.8 million: BB- (sf) Subordinated notes, $42.7 million: Not rated TCW CLO 2020-1: S&P Assigns Prelim BB- (sf) Rating on ERR Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCW CLO 2020-1 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 May 14, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced 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 continue to remain bankruptcy remote. Preliminary Ratings Assigned TCW CLO 2020-1 Ltd. Class XRR, $4.00 million: AAA (sf) Class A1RR, $300.00 million: AAA (sf) Class A2RR, $25.00 million: AAA (sf) Class BRR, $55.00 million: AA (sf) Class CRR, $30.00 million: A (sf) Class DRR, $30.00 million: BBB- (sf) Class ERR, $20.00 million: BB- (sf) Subordinated notes, $55.50 million: Not rated TRINITAS CLO IV: S&P Affirms CCC+ (sf) Rating on Class F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1L-2, A-1F-2, A-2L-2, A-2F-2, and B-RR replacement notes from Trinitas CLO IV Ltd./Trinitas CLO IV LLC, a CLO originally issued in June 2016 and subsequently reset in August 2018, and is managed by Trinitas Capital Management LLC. At the same time, S&P withdrew its ratings on the original class A-1L-R, A-1F-R, and B-R notes following their full redemption. S&P did not rate the class A-2L-R and A-2F-R notes and now rate the replacement class A-2L-2 and A-2F-2 notes. The replacement notes were issued via a 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 Trinitas CLO IV Ltd./Trinitas CLO IV LLC Replacement class A-1L-2, $203.53 million: AAA (sf) Replacement class A-1F-2, $17.00 million: AAA (sf) Replacement class A-2L-2, $19.00 million: AAA (sf) Replacement class A-2F-2, $8.60 million: AAA (sf) Replacement class B-RR, $54.30 million: AA (sf) Ratings Affirmed Trinitas CLO IV Ltd./Trinitas CLO IV LLC Class C-R, $22.65 million: A (sf) Class D-R, $25.45 million: BB+ (sf) Class E-R, $14.60 million: B- (sf) Class F-R, $4.50 million: CCC+ (sf) Ratings Withdrawn Trinitas CLO IV Ltd./Trinitas CLO IV LLC Class A-1L-R: to NR from 'AAA (sf)' Class A-1F-R: to NR from 'AAA (sf)' Class B-R: to NR from 'AA (sf)' NR--Not rated. TTAN 2021-MHC: Moody's Assigns B3 Rating to Cl. F Certificates -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CMBS securities, issued by TTAN 2021-MHC, Commercial Mortgage Pass-Through Certificates Series 2021-MHC: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) Cl. X-CP*, Definitive Rating Assigned A2 (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by a single, floating-rate loan secured by the borrower's fee simple interest in a portfolio of 74 manufactured housing communities ("MHC"), and indirect equity interest in the entities that own 375 community owned homes (the "portfolio" or the "properties") located across 26 states. Initially the loan will be secured by 67 properties and an earnout reserve related to the acquisition of an additional seven properties. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower CMBS methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The mortgage loan is secured by the borrower's fee simple interests in 74 manufacturing housing communities, totaling 13,200 pads, and indirect equity interest in the entities that own 375 community owned homes. Six of the properties (12.0% of ALA) are age-restricted 55+ communities, with the remaining 68 (88.0% of ALA) operating all-age communities. The portfolio's pad count includes a total of 11,337 manufactured housing (MH) pads and 1,863 recreational vehicle (RV) pads. As of April 1, 2021, the portfolio was approximately 72.7% occupied. The MH and RV components were 75.0% and 58.8% occupied, respectively. Of note, the MH component occupancy rate includes the 375 community owned homes, which are only 39.7% occupied. Construction dates for properties in the portfolio range between 1950 and 1999. The weighted average year built is 1969, resulting in an average age of approximately 52 years. The portfolio is geographically diverse as the properties are located across 26 states and over 40 markets. The portfolio's largest property accounts for only 8.7% of ALA and the top 10 properties account for 45.0% of the ALA and 37.9% of NCF. The top five markets (Los Angeles, Colorado, San Bernardino, Dallas / Fort Worth, and Nashville) account for 35.5% of NCF and 38.3% of ALA. Collectively, these markets contain 1,916 pads (14.5% of the total portfolio pads). The largest market is Los Angeles (14.0% of ALA), consisting of 504 pads (3.8% of the total portfolio pads). The securitization consists of a single floating-rate, interest-only, first lien mortgage loan with an outstanding cut-off date principal balance of $352,190,000. The mortgage loan has an initial three-year term, with two, one-year extension options. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. The Moody's first-mortgage DSCR is 1.90x and Moody's first-mortgage stressed DSCR at a 9.25% constant is 0.70x. Moody's DSCR is based on Moody's stabilized net cash flow. The Moody's LTV ratio for the first-mortgage balance is 135.6%. The Moody's LTV ratio is based on Moody's Moody's value. Taking into consideration the additional mezzanine loan and preferred equity, the total debt Moody's LTV would increase to 175.0%. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.24. Notable strengths of the transaction include: a granular portfolio, high rent collections, acquisition financing, recent capital expenditures, strong MHC fundamentals, and multiple property pooling. Notable concerns of the transaction include: the effects of the coronavirus pandemic, high Moody's loan-to-value ratio (LTV), historical occupancy, age of the properties, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an Upgrade or Downgrade of the Ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in United States 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. US CAPITAL VI: Moody's Hikes Rating on Class A-2 Notes to Ba1 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by U.S. Capital Funding VI, Ltd.: US$375,000,000 Class A-1 Floating Rate Senior Notes Due 2043 (the "Class A-1 Notes") (current balance of $144,817,916), Upgraded to A3 (sf); previously on January 5, 2016 Affirmed Baa3 (sf) US$60,000,000 Class A-2 Floating Rate Senior Notes Due 2043 (the "Class A-2 Notes"), Upgraded to Ba1 (sf); previously on January 5, 2016 Upgraded to B1 (sf) US Capital Funding VI, Ltd., issued in June 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of improvement in the credit quality of the underlying portfolio, deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization (OC) ratios. According to Moody's calculations, the weighted average rating factor (WARF) improved to 660, a level similar to that of 669 in May 2020, from 787 in November 2020. The Class A-1 notes have paid down by approximately 1.4% or $2.1 million since May 2020, using the diversion of excess interest proceeds and principal proceeds from sales of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1 and Class A-2 notes have improved to 164.8% and 116.5%, respectively, from May 2020 levels of 161.2% and 114.7%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par (after treating deferring securities as performing if they meet certain criteria) of $238.7 million, defaulted par of $104.4 million, a weighted average default probability of 6.78% (implying a WARF of 660), and a weighted average recovery rate upon default of 10%. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in 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 Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in June 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. VERUS 2021-R3: S&P Assigns Prelim B- (sf) Rating on B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2021-R3's mortgage pass-through notes. The note issuance is an RMBS transaction backed by primarily seasoned, first-lien, fixed-rate, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods. The loans are secured primarily by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 1,187 loans, which are primarily non-QM (non-QM/ATR compliant) and ATR-exempt loans. The preliminary ratings are based on information as of May 13, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator, Invictus Capital Partners; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Preliminary Ratings Assigned(i) Verus Securitization Trust 2021-R3 Class A-1, $329,692,000: AAA (sf) Class A-2, $28,749,000: AA (sf) Class A-3, $42,209,000: A (sf) Class M-1, $26,011,000: BBB (sf) Class B-1, $14,374,000: BB (sf) Class B-2, $12,321,000: B- (sf) Class B-3, $2,966,140: Not rated Class A-IS-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class DA, not applicable: Not rated Class R, not applicable: Not rated (i)The collateral and structural information reflect the term sheet dated May 11, 2021, and the preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the loans' stated principal balance. VERUS SECURITIZATION 2021-2: DBRS Finalizes B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgaged-Backed Notes, Series 2021-2 (the Notes) issued by Verus Securitization Trust 2021-2: -- $243.8 million Class A-1 at AAA (sf) -- $21.2 million Class A-2 at AA (sf) -- $32.9 million Class A-3 at A (sf) -- $16.2 million Class M-1 at BBB (low) (sf) -- $14.9 million Class B-1 at BB (low) (sf) -- $7.7 million Class B-2 at B (low) (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Notes reflects 28.60% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 22.40%, 12.75%, 8.00%, 3.65%, and 1.40% of credit enhancement, respectively. This securitization is a portfolio of primarily fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2021-2 (the Notes). The Notes are backed by 738 mortgage loans with a total principal balance of $341,399,015 as of the Cut-Off Date (April 1, 2020). Subsequent to the issuance of the related Presale Report, one loan had a minimal balance update. The Notes are backed by 738 mortgage loans with a total principal balance of $341,401,529 in the Presale Report. Unless specified otherwise, all the statistics regarding the mortgage loans in the Rating Report are based on the Presale Report balance. The originators for the mortgage pool are National Mortgage Service (NMS, 22.2%) and other originators, each comprising less than 10.0% of the mortgage loans. The Servicers of the loans are Shellpoint Mortgage Servicing (SMS; 95.8%) and Lima One Capital, LLC (Lima; 4.2%). Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 59.4% of the loans are designated as non-QM, 1.5% are designated as QM safe harbor, and 0.1% are designated as QM rebuttable presumption. Approximately 39.0% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical residual interest, representing at least 5% of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) the Payment Date occurring in April 2023 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Issuer's option, may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate owned properties. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The P&I Advancing Party or Servicer (for loans serviced by Lima) will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent. The P&I Advancing Party or Servicer has no obligation to advance P&I on a mortgage approved for a forbearance plan during its related forbearance period. The Servicers, however, are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The three-month advancing mechanism may increase the probability of periodic interest shortfalls in the current economic environment affected by the Coronavirus Disease (COVID-19). As a large number of borrowers may seek forbearance on their mortgages in the coming months, P&I collections may be reduced meaningfully. This transaction incorporates a sequential-pay cash flow structure with a pro rata feature among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 Certificates sequentially (IIPP) after a Trigger Event. For more subordinated Notes, principal proceeds can be used to cover interest shortfalls as the more senior Notes are paid in full. Furthermore, excess spread can be used to cover realized losses and prior period bond writedown amounts before being allocated to unpaid cap carryover amounts to Class A-1 down to Class B-2. Approximately 25.0% of the loans were originated under a Property Focused Investor Loan Debt Service Coverage Ratio (DSCR) program and 6.9% were originated under a Property Focused Investor Loan program. Both programs allow for property cash flow/rental income to qualify borrowers for income. Coronavirus Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed securities (RMBS) asset classes. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only (IO) or higher DTI ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with W-2s or tax returns. Finally, foreign nationals and real estate investor programs, while not necessarily non-QM in nature, are often included in non-QM pools. As a result of the coronavirus, DBRS Morningstar has seen increased delinquencies and loans on forbearance plans and expects a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021), for the non-QM asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the non-QM asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes loans originated to (1) borrowers with recent credit events, (2) self-employed borrowers, or (3) higher loan-to-value ratio (LTV) borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with prior credit events have exhibited difficulties in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 2020, 5.5% of the borrowers have been granted forbearance or deferral plans because of financial hardship related to the coronavirus. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The Servicers, in collaboration with the Servicing Administrator, are generally offering borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all of the missed mortgage payments at once or opt for other loss mitigation options. Prior to the end of the applicable forbearance period, the Servicers will contact each related borrower to identify the options available to address related forborne payment amounts. As a result, the Servicers, in conjunction with or at the direction of the Servicing Administrator, may offer a repayment plan or other forms of payment relief, such as deferral of the unpaid P&I amounts or a loan modification, in addition to pursuing other loss mitigation options. For these loans, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) limited servicing advances on delinquent P&I. These assumptions include the following: (1) Increasing delinquencies on the AAA (sf) and AA (sf) rating levels for the first 12 months. (2) Increasing delinquencies on the A (sf) and below rating levels for the first nine months. (3) No voluntary prepayments for the first 12 months for the AAA (sf) and AA (sf) rating levels. (4) No liquidation recovery for the first 12 months for the AAA (sf) and AA (sf) rating levels. Notes: All figures are in U.S. dollars unless otherwise noted. VIBRANT CLO XIII: Moody's Assigns (P)Ba3 Rating to $18.75M D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to seven classes of notes to be issued by Vibrant CLO XIII, Ltd. (the "Issuer" or "Vibrant XIII). Moody's rating action is as follows: US$312,000,000 Class A-1A Senior Secured Floating Rate Notes due 2034 (the "Class A-1A Notes"), Assigned (P)Aaa (sf) US$8,000,000 Class A-1B Senior Secured Fixed Rate Notes due 2034 (the "Class A-1B Notes"), Assigned (P)Aaa (sf) US$10,000,000 Class A-1S Senior Secured Floating Rate Notes due 2034 (the "Class A-1S Notes"), Assigned (P)Aaa (sf) US$50,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$30,000,000 Class B Secured Deferrable Floating Rate Notes due 2034 (the "Class B Notes"), Assigned (P)A2 (sf) US$27,500,000 Class C Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$18,750,000 Class D Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Assigned (P)Ba3 (sf) The Class A-1A Notes, the Class A-1B Notes, the Class A-1S Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D 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. Vibrant XIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans and certain other permitted non-loan assets. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. Vibrant Capital Partners, Inc. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 74 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 3.33% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 46.25% 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 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. VISIO 2021-1R: S&P Assigns B (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Visio 2021-1R Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed-rate, and adjustable-rate fully amortizing investment property mortgage loans secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 936 business-purpose investor loans, and they are exempt from the qualified mortgage/ability-to-repay rules. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The mortgage originators, Visio Financial Services Inc. and Lima One Capital LLC; and -- The impact the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Visio 2021-1R Trust Class A-1, $120,860,000: AAA (sf) Class A-2, $12,643,000: AA (sf) Class A-3, $19,098,000: A (sf) Class M-1, $7,161,000: BBB+ (sf) Class B-1, $8,576,000: BB (sf) Class B-2, $4,598,000: B (sf) Class B-3, $3,890,267: Not rated Class XS, notional(i): Not rated (i)The notional amount equals the loans' unpaid principal balance. VNDO TRUST 2016-350P: DBRS Confirms BB(low) Rating on E Certs ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2016-350P issued by VNDO Trust 2016-350P as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The rating confirmations reflect the unchanged credit view of the transaction, despite the loss of the underlying property's largest tenant. Ziff Brothers Investments, LLC (Ziff; 50.3% of the net rentable area (NRA)) vacated upon its April 2021 lease expiration. At issuance, it was noted that Ziff was subletting about half of its space. Ziff's overall exposure was reduced to 39% of the NRA as of the January 2021 rent roll after Vornado executed direct leases with several of Ziff's subtenants including Citadel Securities and Square Mile Capital. Citadel Securities doubled it footprint at the property and now leases 120,000 square feet (sf) through December 2023, while Square Mile Capital signed a direct lease for 21,485 sf expiring in 2024. According to the most recent servicing commentary, the property had an economic occupancy of 98% with 31% of the property subleased. The loan was also structured with a springing cash flow sweep to mitigate Ziff's lease rollover. The cash sweep triggered 18 months prior to the tenant's April 2021 lease expiration and was subject to a cap of $25 million. In lieu of a re-leasing reserve, the sponsor posted a $25 million guaranty as contemplated in the loan documents. The collateral for the trust consists of a $233.3 million portion of a $400.0 million whole loan amount, represented by four pari passu A notes ($296.0 million) and two subordinate B notes ($104.0 million). The trust collateral consists of two senior A notes totaling $129.3 million and the two subordinate B notes. The two remaining A notes, totaling $166.7 million, were contributed to the GSMS 2017-GS5 ($100.0 million) and JPMDB 2017-C5 ($66.7 million) transactions; DBRS Morningstar rates GSMS 2017-GS5. The loan is secured by the first mortgage on 350 Park Avenue, a Class A office property in the Plaza District submarket of Midtown Manhattan, New York, between 51st and 52nd Streets. The 30-story property totals 570,784 sf, including four ground-floor retail spaces totaling 17,144 sf. Despite Ziff vacating its space, the property could potentially benefit from an upside in revenue as Reis reported asking rents of comparable office properties within the Plaza District submarket at $100 per sf (psf) as of Q4 2020, which is higher than Ziff's in-place weighted-average rent of $88 psf based on the January 2021 rent roll. Also, several news articles reported the sponsor is contemplating a redevelopment of the subject site with a 1,500-foot tower to be built once all existing leases expire. The plan would require the demolition of Vornado's existing building on Park Avenue as well as the neighboring 23-story tower owned by Rudin Management. Notes: All figures are in U.S. dollars unless otherwise noted. WELLFLEET CLO X: S&P Assigns Prelim B-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Wellfleet CLO X Ltd./Wellfleet CLO X LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Wellfleet Credit Partners LLC, a subsidiary of Littlejohn & Co. The preliminary ratings are based on information as of May 17, 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 Wellfleet CLO X Ltd./Wellfleet CLO X LLC Class X, $3.750 million: AAA (sf) Class A-1-R, $232.500 million: AAA (sf) Class A-2-R, $52.500 million: AA (sf) Class B-R (deferrable), $22.500 million: A (sf) Class C-R (deferrable), $20.625 million: BBB- (sf) Class D-R (deferrable), $14.063 million: BB- (sf) Class E (deferrable), $5.550 million: B- (sf) Subordinated notes, $28.120 million: Not rated WELLS FARGO 2005-2: S&P Affirms 'BB+ (sf)' Rating on M-1 Certs -------------------------------------------------------------- S&P Global Ratings affirmed its 'BB+ (sf)' rating on the class M-1 certificates from Wells Fargo Alternative Loan Trust 2005-2 (WFALT 2005-2), a U.S. RMBS transaction issued in 2005. At the same time, S&P removed the rating from CreditWatch, where S&P had placed it with negative implications on Feb. 17, 2021. Rating Action Rationale On Feb. 17, 2021, S&P lowered the rating on the class M-1 certificates from Wells Fargo Alternative Loan Trust 2005-2 to 'BB+ (sf)' from 'AAA (sf)' and placed the rating on CreditWatch negative. S&P said, "At that time, we lowered the rating due to interest shortfalls consistent with our "S&P Global Ratings Definitions," published Jan. 5, 2021 (see the Temporary Interest Deferrals And Shortfalls For Other Instruments subsection), which impose a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment (e.g., interest on interest), and whether or not the missed interest payments will be repaid by the maturity date. "In the instance of the WFALT 2005-2 class M-1 certificates, the class receives additional compensation for outstanding interest shortfalls, and as such, our analysis considers the likelihood that the missed interest payment, including the capitalized interest, would be reimbursed under our various rating scenarios. "Following the Feb. 17, 2021, rating action, we confirmed with the trustee, Wells Fargo Bank N.A., payment distributions (including reimbursement of prior interest shortfalls), once class M-1's balance has been reduced to zero, are permitted per the transaction documents. This feature provides additional time for the overcollateralization (O/C) target to be achieved and increases the likelihood of prior interest shortfalls to be reimbursed. As such, we do not believe a further downgrade to the rating on class M-1 is necessary at this time. However, if the reimbursement of missed interest payments becomes more unlikely under our analysis, we will adjust the rating as we consider appropriate pursuant to our criteria. "In addition, the rating action reflects our assessment that ultimate interest repayments are unlikely at higher rating levels. As of the April 2021 remittance period, the class M-1 certificates had an unpaid interest shortfall amount of $1,251 and an O/C amount of $566,000, which had decreased from $606,000 during the prior rating action." Analytical Considerations S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." WELLS FARGO 2021-FCMT: Fitch Assigns B- Rating on Class F Certs --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2021-FCMT, commercial mortgage pass-through certificates, series 2021-FCMT as follows: -- $221,300,000 class A 'AAAsf'; Outlook Stable; -- $38,700,000 class B 'AA-sf'; Outlook Stable; -- $26,500,000 class C 'A-sf'; Outlook Stable; -- $37,900,000 class D 'BBB-sf'; Outlook Stable; -- $61,600,000 class E 'BB-sf'; Outlook Stable; -- $46,200,000 class F 'B-sf'; Outlook Stable. Fitch does not rate $22,800,000 class HRR, which is a horizontal risk retention interest representing approximately 5.0% of the estimated fair value of all classes. All offered classes are privately placed and pursuant to Rule 144A. (a) Notional amount and interest only. The ratings are based on information provided by the issuer as of May 13, 2021. TRANSACTION SUMMARY Wells Fargo Commercial Mortgage Trust 2021-FCMT, commercial mortgage pass-through certificates, series 2021-FCMT, represents the beneficial ownership interest in a five-year fully extended, floating-rate, interest-only first lien mortgage loan with an original principal balance of $455.0 million. The mortgage loan is secured by the fee simple interests in a 648,340-sf portion of Fashion Centre at Pentagon City, a super-regional mall, and Metro Tower at Pentagon City, a 169,551-sf office property and the leased fee interest in the connected Ritz Carlton at Pentagon City hotel located in Arlington, VA. The loan has a three-year initial term with two one-year extension options. Loan proceeds, together with a $7.1 million borrower equity contribution, were used to refinance $450.0 million of debt, fund an upfront $3.7 million upfront reserve and pay $8.5 million of closing costs. The certificates follow a sequential-pay structure. Since Fitch published its expected ratings on April 26, 2021, the two proposed IO classes, class X-CP and class X-NCP, were removed from the final deal structure. Fitch withdrew the expected ratings for class X-CP and class NCP. KEY RATING DRIVERS High Fitch Leverage: The $455.0 million mortgage loan has high leverage metrics, with a Fitch stressed loan-to-value (LTV), debt service coverage ratio (DSCR) and debt yield of 106.6%, 0.83x and 7.0%, respectively, and debt of $556 psf. The issuer's LTV, DSCR and debt yield are 49.1%, 2.57x and 8.3%, respectively, based on an appraised value of $926.2 million. The borrower contributed $7.1 million of new equity as part of the refinance. Location: The property is located in the Pentagon City neighborhood of Arlington, VA and approximately four miles southwest of Washington, D.C. The Fashion Centre at Pentagon City is connected to an office (169,551-sf Metro Tower - collateral), a 366-key Ritz Carlton (ground lease is collateral; hotel improvements are not), and the Yellow and Blue Metro lines. Given the property's accessible urban location, it draws from a dense local trade area within five miles and has a diverse customer base that includes local shoppers, office workers, and domestic and international tourists. Competitive Retail Position and Property Quality: Fashion Centre is one of only 34 malls to receive the highest (A++) designation in GreenStreet's mall database, which tracks approximately 1,250 malls across the U.S. Fitch assigned Fashion Centre and Metro Tower property quality grades of 'A-' and 'B+', respectively. Strong Pre-Pandemic Sales Performance but High Occupancy Costs: Fitch considers Fashion Centre's reported 2019 in-line sales (over 10,000 sf) of $993 psf strong. The mall's reported in-line sales excluding Apple are $786 psf. The 2019 in-line occupancy cost, excluding Apple, was 22.2% prior to any occupancy cost adjustments. Fitch applied an occupancy cost adjustment to 10 tenants after excluding jewelry and watch retailers, restaurants and tenants with sales in excess of $500 psf. Given the strong sales at the property, Fitch applied an occupancy cost adjustment to 25.0% to those 10 tenants, resulting in an overall mark-to-market adjustment of $1.8 million. Coronavirus Pandemic - Declining Sales: The Fashion Centre at Pentagon City is a super-regional mall with over half of its foot-traffic driven by domestic and international visitors as well as office workers in the surrounding area and therefore, experienced sales declines as a result of the pandemic. Eighty-three tenants, representing 40.6% of the NRA, reported sales in 2018, 2019 and 2020. Total sales for those 83 tenants were $133.0 million, or $505 psf, in 2020, which represents declines relative to 2019 and 2018 of 44.0% ($902 psf) and 42.3% ($875 psf), respectively. The entire mall closed on March 19, 2020 with the majority of the stores closed for approximately three months. Even after accounting for the mall closure in 2020, adjusted 2020 sales of $673 psf are still 25.4% and 23.0% below 2019 and 2018 sales, respectively. Institutional Sponsorship: The borrowers are each indirect subsidiaries of joint ventures between affiliates of Simon Property Group, L.P. (SPG) and Institutional Mall Investors (IMI), a co-investment venture owned by an affiliate of Miller Capital Advisory, Inc. (MCA) and California Public Employees' Retirement System (CalPERS). Fitch simultaneously affirmed SPG's 'A-' rating and withdrew it due to commercial reasons in January 2021. SPG is a real estate investment trust with an interest in 234 properties comprising 191 million sf, located in North America, Asia and Europe as of December 2020. The sponsor's U.S. portfolio includes 99 malls, 83 outlet properties (including 14 properties within the company's Mills portfolio), four lifestyle centers and 17 other retail properties. As of YE 2020, SPG's total U.S. portfolio was over 91.3% leased (down from 95.1% at YE 2019). SPG's U.S. mall and outlet portfolio generated sales psf of $693 in 2019, but the company did not report sales psf in its 2020 annual report because the company does not believe the trends for the period are indicative of future operating trends. MCA is the investment manager for IMI. CalPERS is the largest public pension fund in the U.S. with $438 billion in assets under management including $45 billion in real estate as of January 2021. IMI's portfolio consists of 21.3 million sf of retail space and 1.2 million sf of office space as of December 2020. 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 to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf' 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB-sf' / 'BBsf' Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf' 10% NCF Decline: 'AAsf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'B-sf' / 'CCCsf' 20% NCF Decline: 'Asf' / 'BB+sf' / 'BBsf' / 'Bsf' / 'CCCsf' / 'CCCsf' 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'Bsf' / '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 KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan and related mortgaged property in the data file. 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. WESTLAKE AUTOMOBILE 2020-1: S&P Affirms B+ (sf) Rating on F Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on 10 classes from Westlake Automobile Receivables Trust 2018-1, 2019-1, and 2020-1. At the same time, S&P affirmed its ratings on four classes from these transactions. S&P said, "The rating actions reflect each series' collateral performance to date and our expectations regarding each transaction's future collateral performance, structure, and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. "Series 2018-1, 2019-1, and 2020-1 are performing better than our prior cumulative net loss (CNL) expectations, and we have revised our loss expectations accordingly. For each of these transactions, we factored in an upward adjustment to remaining losses that could result from elevated unemployment levels associated with the current COVID-19 pandemic-induced recession." Extensions spiked to 7.28%-14.59% during the March 2020 collection period for series 2018-1, 2019-1, and 2020-1, but have since returned to pre-COVID-19 levels. Table 1 Collateral Performance (%) As of April 2021 distribution date Pool Current 60-plus day Series Month factor CNL delinq. Extensions 2018-1 40 13.27 9.71 0.77 5.06 2019-1 26 34.91 7.28 0.69 4.71 2020-1 13 65.25 2.91 0.71 4.10 Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL Expectations (%) Original Prior Current lifetime lifetime lifetime Series CNL exp. CNL exp. CNL exp. 2018-1 13.25-13.75 12.00-12.50(i) Up to 10.00 2019-1 13.00-13.50 12.50-13.00(i) 10.50-11.00 2020-1 13.00-13.50 13.75-14.25(ii) 12.00-12.50 (i)Previously revised in March 2020. (ii)Previously revised in November 2020. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The credit enhancement is at the specified target or floor, and each class' credit support continues to increase as a percentage of the amortizing collateral balance. The raised and affirmed ratings reflect S&P's view that the total credit support, as a percentage of the amortizing pool balance and compared with our expected remaining losses, is commensurate with the respective ratings. Table 3 Hard Credit Support (%) As of April 2021 distribution date Total hard Current total hard credit support credit support Series Class at issuance(i) (% of current)(i) 2018-1 D 13.80 88.92 2018-1 E 9.50 56.52 2018-1 F 4.00 15.07 2019-1 B 34.65 97.59 2019-1 C 23.75 66.37 2019-1 D 13.55 37.15 2019-1 E 9.25 24.83 2019-1 F 3.50 8.36 2020-1 A-2 40.45 64.67 2020-1 B 31.95 51.64 2020-1 C 19.55 32.64 2020-1 D 10.05 18.08 2020-1 E 5.90 11.72 2020-1 F 1.60 5.13 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We compared the current hard credit enhancement with the remaining expected CNLs. There were certain classes for which hard credit enhancement alone, without giving credit to the excess spread, was sufficient to raise or affirm the ratings to or at 'AAA (sf)'. For the other classes, we incorporated cash flow analyses to assess the loss coverage level, giving credit to excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "We will continue to monitor the performance of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." RATINGS RAISED Westlake Automobile Receivables Trust Rating Series Class To From 2018-1 E AAA (sf) A (sf) 2018-1 F AAA (sf) B+ (sf) 2019-1 C AAA (sf) AA+ (sf) 2019-1 D AAA (sf) A (sf) 2019-1 E AA- (sf) BBB (sf) 2019-1 F BB (sf) B+ (sf) 2020-1 B AAA (sf) AA (sf) 2020-1 C AA (sf) A (sf) 2020-1 D A- (sf) BBB (sf) 2020-1 E BB+ (sf) BB (sf) RATINGS AFFIRMED Westlake Automobile Receivables Trust Series Class Rating 2018-1 D AAA (sf) 2019-1 B AAA (sf) 2020-1 A-2 AAA (sf) 2020-1 F B+ (sf) WFRBS COMMERCIAL 2013-C16: Fitch Affirms CCC Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 11 classes of WFRBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2013-C16. DEBT RATING PRIOR ---- ------ ----- WFRBS 2013-C16 A-4 92938EAM5 LT AAAsf Affirmed AAAsf A-5 92938EAQ6 LT AAAsf Affirmed AAAsf A-S 92938EAW3 LT AAAsf Affirmed AAAsf A-SB 92938EAT0 LT AAAsf Affirmed AAAsf B 92938EBF9 LT AA-sf Affirmed AA-sf C 92938EBJ1 LT A-sf Affirmed A-sf D 92938EBR3 LT BBB-sf Affirmed BBB-sf E 92938EBU6 LT Bsf Affirmed Bsf F 92938EBX0 LT CCCsf Affirmed CCCsf PEX 92938EBM4 LT A-sf Affirmed A-sf X-A 92938EAZ6 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Stable Loss Expectations: Overall performance and loss expectations for the majority of the pool remain stable. There are 14 Fitch Loans of Concern (FLOCs; 21.4% of pool), including six specially serviced loans (7.1%). Fitch's current ratings incorporate a base case loss of 5.4%. Losses could reach 6.6% when factoring in additional stresses related to the coronavirus pandemic. The Negative Outlooks primarily reflect these additional stresses as well as the concentration of FLOCs. Largest Contributors to Loss: The largest contributor to loss is the REO Wyoming Hotel Portfolio (2.2%). The loan originally was secured by two hotel properties totaling 241 rooms, both of which are located in Casper, WY. The loan transferred to the special servicer in January 2018 due to a borrower default on one of the franchise agreements. The portfolio became REO in September 2019. Per the servicer, La Quinta Inn sold for $3 million in January 2021 while the remaining Hilton Garden Inn, Casper is expected to sell by first quarter 2022. Fitch's base case loss of approximately 72% is based on a discount to the December 2019 appraisal value. The second largest contributor to loss is the Augusta Mall loan (8.8%), which is secured by a 500,222-sf portion of a 1,106,493-sf, two-story super-regional mall located in Augusta, GA. Non-collateral anchors are Dillard's, JCPenney and Macy's and a dark former Sears. Collateral tenants include Dick's Sporting Goods (12.4% of NRA; through January 2023), Barnes & Noble (5.8%; January 2024), H&M (4.6%; January 2025), Forever 21 (3.2%; January 2023), and Apple (2.6%, December 2021). Per the December 2020 rent roll, collateral occupancy at the mall was 89.7% compared to 92% at YE 2019. The servicer reported NOI DSCR was 3.62x, as of YE 2020 compared with 3.86x at YE 2019 and 4.11x at YE 2018 for this interest only loan. YE 2020 inline sales, which were impacted by the pandemic, declined to $341 psf ($318 psf, excluding Apple) compared with $514 psf ($434 psf) at YE 2019 and $482 psf ($421 psf) at YE 2018. Fitch's base case loss expectation for the loan is 13.2%, based on a 12% cap rate and 15% haircut to the YE 2020 NOI. Fitch ran an additional sensitivity utilizing a a 15% cap rate and a 15% haircut to YE 2020 NOI which brought the loss to 20%. The next largest contributor to loss is the Hilton Garden Inn-Issaquah loan (2.9%), which is secured by a 179-key, full-service hotel located in Issaquah, WA, approximately 15 miles from central Seattle. The servicer reported annualized 3Q20 NOI was negative, while the YE 2019 NOI DSCR was 1.40x. Per the TTM January 2020 STR report, occupancy, ADR and RevPAR were 66%, $162, and 108, respectively. An updated STR report was requested but has not been received. Fitch applied a 26% haircut to the YE 2019 cash flow in its analysis to account for the impact of the pandemic on the property. Continued Paydown and Increased Defeasance: As of the April 2021 distribution date, the pool's aggregate principal balance had been reduced by 34.5% to $685 million from $1.04 billion at issuance. Over the last year, defeased loans have increased to 16% (13 loans) from 7.1% (eight loans). Since the last rating action, two loans paid off in full ($44.6 million), including the former largest FLOC, the Hutton Hotel (issuance balance of $41.5 million), which paid off in full at its loan maturity in July 2020. One additional loan was resolved at an 82% realized loss ($9.1 million) to the non-rated class G. Interest shortfalls totaling $1.7 million are also currently affecting the non-rated class G. Four loans (32.8%) are full-term IO; while all other loans are now amortizing. The remaining 71 loans are scheduled to mature between July 2022 and September 2023. Coronavirus Impact: Significant continued economic impact to certain hotels, and retail and multifamily properties is expected due to the pandemic and the lack of clarity at this time on the potential length of the impact. 17 loans are collateralized by retail properties (43.2% of pool), 11 by hotels (15%), and seven by multifamily properties (9.8%). Fitch's Covid-19 stress scenario applied additional stresses to five retail loans (13.4%), including the Augusta Mall loan and five hotel loans (9.1%) due to their vulnerability to the coronavirus pandemic; this contributed to the Negative Outlooks. RATING SENSITIVITIES The Stable Outlooks reflect the class' sufficient credit enhancement (CE) relative to expected losses as well as the stable performance of the majority of the pool and expected continued amortization. The Negative Outlooks reflect concerns over the FLOCs as well as the unknown impact of the pandemic on the overall pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades to classes B and C would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of the FLOCs, could reverse this trend. An upgrade to class D is considered unlikely and would be limited based on sensitivity to concentrations or further adverse selection. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. -- An upgrade to classes E and F is not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and if there is sufficient CE to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to classes A-4 through A-S are not likely due to their position in the capital structure and the high CE; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to classes B, C, and D would occur if loss expectations increase significantly and/or should CE be eroded. -- Downgrades to classes E and F would occur if the performance of the FLOCs continues to decline and/or fail to stabilize, or should losses from specially serviced loans/assets be larger than expected or more certain. In addition to its baseline scenario, Fitch envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that classes assigned a Negative Outlook will be downgraded one or more categories and additional classes may be downgraded or have their Outlooks revised to Negative. 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. WIND RIVER 2021-2: Moody's Gives (P)Ba3 Rating to $16M Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued by Wind River 2021-2 CLO Ltd. (the "Issuer" or "Wind River 2021-2"). Moody's rating action is as follows: US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$16,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$16,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 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. Wind River 2021-2 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 non senior secured loans or eligible investments. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. First Eagle Alternative Credit, 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 will issue 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: $400,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2885 Weighted Average Spread (WAS): 3.57% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's 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. [*] DBRS Reviews 79 Classes from 26 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 79 classes from 26 U.S. residential mortgage-backed security (RMBS) transactions. Of the 79 classes reviewed, DBRS Morningstar confirmed 59 ratings, discontinued 15 ratings, and maintained an Under Review with Negative Implications status for five ratings. The Affected rating is Available at https://bit.ly/2PMoEZ0 The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinuations reflect the issuers' exercise of optional redemptions. The Under Review with Negative Implications status reflects the negative impact of the Coronavirus Disease (COVID-19) pandemic on the bonds. DBRS Morningstar maintained the Under Review with Negative Implications status amid the uncertainty in these transactions' performance with respect to forbearance and delinquency trends. DBRS Morningstar's rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30+ day delinquencies. -- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives. -- Elevated economic concerns and more conservative home price assumptions. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. The ratings that are confirmed and Under Review with Negative Implications relate to mortgage insurance-linked note (MILN) transactions. The ratings that were confirmed due to an issuer call relate to non-qualified mortgage transactions. In the MILN asset class, DBRS Morningstar generally believes that loans with layered risk (low FICO score with high loan-to-value ratio/high debt-to-income ratio) may be more sensitive to economic hardships resulting in higher unemployment rates and lower incomes. Additionally, higher delinquencies might cause a longer lockout period or a redirection of principal allocation away from outstanding rated classes because of the failure of performance triggers. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities may either reflect additional seasoning being warranted to substantiate a further upgrade or actual deal/tranche performance that is not fully reflected in the projected cash flows/model output. Generally for RMBS transactions, the reporting of recent forbearance-related delinquencies (as opposed to nonforbearance-related delinquencies) in remittance reports has not been consistent and standardized. DBRS Morningstar believes that recent increases in delinquencies mostly reflect forbearances being requested and granted as a result of the coronavirus pandemic. Additionally, DBRS Morningstar believes that forbearance-related delinquencies, especially during the coronavirus pandemic, should have a lower probability of default than nonforbearance-related delinquencies. Because of the lack of standardized reporting, DBRS Morningstar may not be able to appropriately identify delinquencies as a result of forbearance in its loss analysis; therefore, for certain transactions, DBRS Morningstar may have projected significantly higher expected losses using its quantitative model. After reviewing transaction-level performance trends and other analytical considerations outlined in this press release, however, DBRS Morningstar may assign ratings that differ from those implied by the quantitative model, thus resulting in a material deviation. -- Bellemeade Re 2018-2 Ltd., Series 2018-2 Mortgage Insurance-Linked Notes, Class M-1C -- Bellemeade Re 2018-2 Ltd., Series 2018-2 Mortgage Insurance-Linked Notes, Class B-1 -- Bellemeade Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1A -- Bellemeade Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-1B -- Eagle Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2 -- Eagle Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1 -- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2B -- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2C -- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2 -- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class B-1 -- Home Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1 -- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1 -- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2 -- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1A -- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1B -- Radnor Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2B Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2021. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***