/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210530.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 30, 2021, Vol. 25, No. 149 Headlines ACRES COMMERCIAL 2021-FL1: DBRS Finalizes B(low) Rating on G Notes APEX CREDIT 2016: Moody's Hikes Rating on Class E-R Notes to B1 ARBOR REALTY 2018-FL1: DBRS Confirms B(low) Rating on Class F Notes AVIS BUDGET 2021-1: Moody's Assigns Ba2 Rating to Class D Notes BAIN CAPITAL 2017-1: S&P Assigns B- (sf) Rating on Class F Notes BANCORP COMMERCIAL 2018-CRE4: DBRS Confirms B(sf) Rating on F Certs BARINGS CLO 2019-III: Moody's Assigns Ba3 Rating to Cl. E-R Notes BBCMS MORTGAGE 2020-C7: DBRS Confirms B(sf) Rating on Class F Certs BDS 2021-FL7: DBRS Gives Prov. B(low) Rating on Class G Notes BENCHMARK 2020-IG3: DBRS Confirms B(low) Rating on 825S-D Certs BLUEMOUNTAIN XXXI: S&P Assigns Prelim BB-(sf) Rating on E Notes BPR TRUST 2021-WILL: Moody's Gives (P)Ba3 Rating to Cl. HRR Certs CANYON CLO 2020-1: S&P Assigns BB- (sf) Rating on Class E-R Notes CITIGROUP COMMERCIAL 2012-GC8: Fitch Lowers Class F Certs to 'Csf' CITIGROUP COMMERCIAL 2016-C2: DBRS Cuts Rating of 11 Classes to CCC CREDIT ACCEPTANCE 2021-3: S&P Assigns BB- (sf) Rating on ERR Notes CSMC 2021-NQM3: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes DBGS 2019-1735: DBRS Confirms B(sf) Rating on Class F Certs ENCINA EQUIPMENT 2021-1: DBRS Gives Prov. BB(sf) Rating on E Notes EXETER AUTOMOBILE 2021-2: S&P Assigns (P) BB(sf) Rating on E Notes FLAGSHIP CREDIT 2021-2: S&P Assigns BB- (sf) Rating on E Notes GALAXY XXII: S&P Assigns B- (sf) Rating on Class F-RR Notes GPMT 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes GS MORTGAGE 2021-ROSS: DBRS Gives Prov. B(low) Rating on G Notes HALCYON LOAN 2015-1: Moody's Lowers Rating on Class E Notes to Caa3 ICG US 2016-1: S&P Assigns Prelim BB-(sf) Rating on DR-R Notes INVESCO CLO 2021-2: Moody's Gives (P)Ba3 Rating to Class E Notes JP MORGAN 2021-7: Fitch Gives 'B+(EXP)' Rating to Class B-5 Debt JUNIPER RECEIVABLES 2019-1: Moody's Ups A Notes Rating From Ba2 KKR CLO 33: S&P Assigns Prelim BB- (sf) Rating on Class E Notes LOANCORE 2019-CRE3: DBRS Confirms B(low) Rating on Class F Notes MARBLE POINT XX: S&P Assigns BB-(sf) Rating on $14MM Class E Notes MVW 2021-1W: S&P Assigns BB (sf) Rating on $31.225MM Class D Notes NLT 2021-INV1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs OPORTUN ISSUANCE 2021-B: DBRS Finalizes BB(high) Rating on D Notes PALMER SQUARE 2018-3: S&P Affirms B-(sf) Rating on Class E-R2 Notes PIKES PEAK 6: Moody's Assigns B3 Rating to Class F-R Notes READY CAPITAL 2019-FL3: DBRS Confirms B(low) Rating on F Notes REAL ESTATE 2019-1: DBRS Confirms B(sf) Rating on Class G Certs SCMT 2021-SBC10: DBRS Finalizes B(low) Rating on Class F Certs SEQUOIA MORTGAGE 2021-4: Fitch Assigns BB- Rating on B-4 Certs SFO COMMERCIAL 2021-555: DBRS Finalizes BB Rating on Class F Notes SFO COMMERCIAL 2021-555: DBRS Gives Prov. BB Rating on F Certs STARWOOD MORTGAGE 2021-2: S&P Assigns B (sf) Rating on B-2 Certs STARWOOD RESIDENTIAL 2021-2: DBRS Gives (P) B Rating on B2 Notes UBS-CITIGROUP 2011-C1: DBRS Lowers Class F Certs Rating to C(sf) VELOCITY COMMERCIAL 2021-1: DBRS Gives Prov. B Rating on 3 Classes VERUS SECURITIZATION 2021-R3: DBRS Gives (P)B Rating on B-2 Notes VISIO 2021-1R: DBRS Finalizes B(low) Rating on Class B-2 Notes VMC FINANCE 2021-FL4: DBRS Gives Prov. B(low) Rating on G Notes VOYA CLO 2017-1: Moody's Raises Class C Notes Rating From Ba1 WELLFLEET CLO X: S&P Assigns B- Rating on $5.550MM Class E Notes WELLS FARGO 2019-1: S&P Affirms 'BB-(sf)' Class B-4 Certs Rating WORLDWIDE PLAZA 2017-WWP: DBRS Confirms BB Rating on Class F Certs [*] S&P Takes Various Actions on 127 Classes from 20 US RMBS Deals ********* ACRES COMMERCIAL 2021-FL1: DBRS Finalizes B(low) Rating on G Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of notes issued/co-issued by ACRES Commercial Realty 2021-FL1 Issuer, Ltd. and ACRES Commercial Realty 2021-FL1 Co-Issuer, LLC: -- 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. APEX CREDIT 2016: Moody's Hikes Rating on Class E-R Notes to B1 --------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes issued by Apex Credit CLO 2016 Ltd. (the "Issuer"). Moody's rating action is as follows: US$188,289,994 Class A-RR Senior Secured Floating Rate Notes Due 2028 (the "Class A-RR Notes"), Assigned Aaa (sf) US$50,000,000 Class B-RR Senior Secured Floating Rate Notes Due 2028 (the "Class B-RR Notes"), Assigned Aaa (sf) Additionally, Moody's has taken rating actions on the following outstanding notes originally issued by the Issuer on November 27, 2018 (the "First Refinancing Date"): US$27,000,000 Class C-R Secured Deferrable Floating Rate Notes Due 2028 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on November 27, 2018 Assigned A2 (sf) US$24,000,000 Class D-R Secured Deferrable Floating Rate Notes Due 2028 (the "Class D-R Notes"), Upgraded to Baa2 (sf); previously on August 13, 2020 Downgraded to Ba1 (sf) US$20,000,000 Class E-R Secured Deferrable Floating Rate Notes Due 2028 (the "Class E-R Notes"), Upgraded to B1 (sf); previously on August 13, 2020 Downgraded to B2 (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 cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Apex Credit Partners LLC (the "Manager") will continue to direct the selection and disposition of the assets on behalf of the Issuer. The Issuer previously issued three other classes of secured notes and two classes 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 definition of "Adjusted Weighted Average Moody's Rating Factor"; updates to LIBOR replacement provisions for the refinancing notes; and restriction on reinvestment of principal proceeds. Moody's rating actions on the Class C-R Notes, Class D-R Notes and Class E-R Notes are primarily a result of the refinancing, which increased excess spread available as credit enhancement to the rated notes, and deleveraging of the senior notes, which increased the transaction's over-collateralization (OC) ratios since July 2020. The senior notes were paid down by approximately 23.05% or $56.4 million since July 2020. Based on the trustee's April 2021 report [1], the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 130.97%, 119.88%, 111.49% and 105.34%, respectively, versus July 2020 reported [2] levels of 126.09%, 115.51%, 107.39% and 101.37%, respectively. Moody's notes the reported OC ratios in April do not factor the $53.5 million payment to the senior notes on the April 27th payment date[3]. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, weighted average spread, 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: $332,551,809 Defaulted par: $5,923,680 Diversity Score: 78 Weighted Average Rating Factor (WARF): 3069 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.66% Weighted Average Coupon (WAC): 10.51% Weighted Average Recovery Rate (WARR): 47.23% Weighted Average Life (WAL): 4.22 years Par haircut in OC tests and interest diversion test: 1.64% In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in the US economic activity. Moody's 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. ARBOR REALTY 2018-FL1: DBRS Confirms B(low) Rating on Class F Notes ------------------------------------------------------------------- DBRS Limited confirmed the ratings of the Floating-Rate Notes (the Notes) issued by Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. (the Issuer) as follows: -- Class A Senior Secured Floating Rate Notes at AAA (sf) -- Class A-S Senior Secured Floating Rate Notes at AAA (sf) -- Class B Secured Floating Rate Notes at AA (low) (sf) -- Class C Secured Floating Rate Notes at A (low) (sf) -- Class D Secured Floating Rate Notes at BBB (low) (sf) -- Class E Floating Rate Notes at BB (low) (sf) -- Class F Floating Rate Notes at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains generally in line with DBRS Morningstar's expectations. The pool currently consists of 44 floating-rate loans totaling $529.5 million, secured by multifamily and commercial properties. At issuance, the pool consisted of 28 loans totaling $494.4 million. The transaction is structured with an initial 36-month replacement period whereby the Issuer can substitute collateral in the pool, subject to certain Eligibility Criteria, including the rating agency condition by DBRS Morningstar. As of the April 2021 remittance, there remains $30.5 million in equity that the Issuer can deploy to originate additional loans. The transaction pays sequentially after the replacement period ends. As of the April 2021 remittance, the pool composition consists of loans secured by 39 multifamily properties, two office properties, and three healthcare properties. Most loans have a maximum initial term of two or three years, with extension options generally available to borrowers, subject to criteria. Most of the collateral properties are currently cash-flowing assets in a period of transition with viable plans and loan structures in place to facilitate stabilization and value growth. All of the loans are structured with cash management in place at origination and are also structured with reserves, including several loans that were structured with an initial operating, interest and renovation reserve. The Issuer, Servicer, Mortgage Loan Seller, and Advancing Agent are related parties and nonrated entities. Arbor Realty SR, Inc. (Arbor) holds the unrated 11.8% equity piece as Preferred Shares in the transaction. Given the potential for disruptions to business plan executions amid the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar is monitoring the impact on loans in the subject transaction and has requested information on any developments from Arbor as part of this review. As of the April 2021 remittance, four loans are less than 30 days delinquent and no loans are in special servicing. Arbor has advised that no extended periods of delinquency are expected at this time. One loan, 331 Park Avenue South, represents 6.7% of the current trust balance and is secured by a 12-story, mixed-use property located in the Midtown South submarket of Manhattan. The collateral consists of both traditional office and retail space, and the sponsor's original business plan included converting the office portion of the property into a shared workspace format. However, that plan has since shifted and the leasing efforts have since targeted traditional office users. In addition, the retail portion's slated restaurant tenant, which was initially anticipated to open in early 2020, has since delayed the opening until late 2021 due to the ongoing coronavirus pandemic. The overall occupancy rate was 40.0% as of January 2020 and had increased to 50.0% as of December 2020. Although the lease-up of the property has been delayed amid the pandemic, the sponsor expects traction to improve as the social distancing measures continue to ease and New York and the country overall move toward a quasi-normal state of affairs later in 2021. The second-largest loan in the pool, Preston Hollow II, represents 6.9% of the current trust balance and is secured by a 526-unit Class A multifamily complex and 24,000 square feet (sf) of retail space located in Dallas, Texas. The subject consists of three buildings: The Preston, an ultra-luxury building; The Royal, aimed at a young professional demographic; and The Royalton, which is generally intended for a younger demographic and has a lower-quality finish. The collateral is part of a larger development, Preston Hollow Village, which will consist of the subject as well as office, townhomes, multifamily properties, and retail space, with the overall development expected to be completed in 2022. The subject property is fully finished and received its final certificates of occupancy. At closing, the loan had a $40.0 million renovation reserve, a $1.9 million operating reserve, and a $5.7 million interest reserve. As of the Q4 2020 update, the borrower has drawn the bulk of the renovation and operating reserves, and the interest reserve remains fully intact. As of February 2021, the collateral was 91.0% occupied at an average rental rate of $2,321 per unit, which is below the appraiser's stabilized estimate of $2,771 per unit; however, the borrower does believe that once the larger development is complete, stabilized rents should increase to appraiser's estimate. The retail portion of the collateral is 62.0% occupied at an average rental rate of $42.26 psf with a tenant mix focused on restaurants to serve the surrounding residential area. Notes: All figures are in U.S. dollars unless otherwise noted. AVIS BUDGET 2021-1: Moody's Assigns Ba2 Rating to Class D Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings of Aaa (sf) to the Series 2021-1 Class A fixed rate Rental Car Asset Backed Notes, A2 (sf) to the Series 2021-1 Class B fixed rate Rental Car Asset Backed Notes, Baa3 (sf) to the Series 2021-1 Class C fixed rate Rental Car Asset Backed Notes, and Ba2 (sf) to the Series 2021-1 Class D fixed rate Rental Car Asset Backed Notes (together with the Class A Notes, the Class B Notes and the Class C Notes, the Series 2021-1 Notes) issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The Series 2021-1 Notes have an expected final maturity of approximately 62 months. The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, B2 negative). ABCR is a subsidiary of Avis Budget Group, Inc. ABCR is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC (Budget Truck). Moody's also announced that the issuance of the Series 2021-1 Notes, along with the implementation of a minimum depreciation schedule that will be based on a vehicle's aging for vehicles aged 24+ months, in and of themselves and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2021-1 Series 2021-1 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2021-1 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2021-1 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2021-1 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings on the Series 2021-1 Notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) the available credit enhancement, which consists of subordination and over- collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, and (6) the transaction's legal structure. The ratings also reflect (1) a decrease in Moody's mean non-program haircut assumption upon sponsor default, to 19% from 25%, supported by the strength in used vehicle prices, and (2) consideration of the vastly improved rental car market conditions. The total credit enhancement requirement for the Series 2021-1 Notes is dynamic, and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by Moody's, (2) 8.5% for all other program vehicles, and (3) 12.60% for non-program (risk) vehicles, in each case, as a percentage of the outstanding note balance. Dynamic enhancement buckets are lower compared to other series due to the addition of Class D, but overall blended credit enhancement is comparable to prior series. Consequently, the actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement includes a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The Class A Notes also benefit from subordination provided by the Class B, C and D Notes and represent approximately 27.0% of the outstanding balance of the Series 2021-1 Notes. The Class B Notes benefit from subordination provided by the Class C and D Notes and represent approximately 18.0% of the outstanding balance of the Series 2021-1 Notes. The Class C Notes benefit from subordination provided by the Class D Notes and represent approximately 12.0% of the outstanding Balance of the Series 2021-1 Notes. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. The assumptions Moody's applied in the analysis of this transaction: Risk of sponsor default: Moody's assumed a 60% decrease in the probability of default (from Moody's idealized default probability tables) implied by the B2 rating of the sponsor. Moody's continues to assume a 75% probability that ABCR would affirm its lease payment obligations in the event of a Chapter 11 bankruptcy, informed by pandemic-driven events that affected the rental car market (such as the drastic and sudden decline in rental car demand and the resulting high lease payments for a vastly underutilized fleet). The assumed high likelihood of lease acceptance recognizes the strategic importance of the ABS financing platform to ABCR's operation. In the event of a bankruptcy, ABCR would be more likely to reorganize under a Chapter 11 bankruptcy filing, as it would likely realize more value as an ongoing business concern than it would if it were to liquidate its assets under a Chapter 7 filing. Furthermore, given the sponsor's competitive position within the industry and the size of its securitized fleet relative to its overall fleet, the sponsor is likely to affirm its lease payment obligations in order to retain the use of the fleet and stay in business. Moody's arrives at the 60% decrease assuming an 80% probability Avis would reorganize under a Chapter 11 bankruptcy and a 75% probability (90% assumed previously) Avis would affirm its lease payment obligations in the event of Chapter 11. Disposal value of the fleet: Moody's assumed the following haircuts to the net book value (NBV) of the vehicle fleet: Non-Program Haircut upon Sponsor Default -- Mean: 19% Non-Program Haircut upon Sponsor Default -- Standard Deviation: 6% Fixed Program Haircut upon Sponsor Default: 10% Additional Fixed Non-Program Haircut upon Manufacturer Default: 20% Fleet composition -- Moody's assumed the following fleet composition (based on NBV of vehicle fleet): Non-program Vehicles: 90% Program Vehicles: 10% Non-program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 20%, 2, A3 Baa Profile: 60%, 3, Baa3 Ba/B Profile: 20%, 1, B1 Program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 0%, 0, A3 Baa Profile: 80%, 2, Baa3 Ba/B Profile: 20%, 1, B1 Manufacturer Receivables: 0%; receivables distributed in the same proportion as the program fleet (Program Manufacturer Concentration and Manufacturer Receivables together should add up to 100%) Correlation: Moody's applied the following correlation assumptions: Correlation among the sponsor and the vehicle manufacturers: 10% Correlation among all vehicle manufacturers: 25% Default risk horizon -- Moody's assumed the following default risk horizon: Sponsor: 5 years Manufacturers: 1 year A fixed set of time horizon assumptions, regardless of the remaining term of the transaction, is used when considering sponsor and manufacturer default probabilities and the expected loss of the related liabilities, which simplifies Moody's modeling approach using a standard set of benchmark horizons. Detailed application of the assumptions are provided in the methodology. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Rental Fleet Securitizations" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the Series 2021-1 Notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the Series 2021-1 Notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BAIN CAPITAL 2017-1: S&P Assigns B- (sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, and C-1-R replacement notes from Bain Capital Credit CLO 2017-1 Ltd., a CLO originally issued in July 2017 managed by Bain Capital Credit CLO Advisers L.P., a subsidiary of Bain Capital. The replacement notes were issued via a supplemental indenture. S&P withdrew its ratings on the original class A-1, B, and C-1 notes following their full redemption. S&P did not rate the original class A-2 notes and now rate the replacement class A-2-R notes. S&P also affirmed its ratings on the outstanding class C-2, D, E, and F notes, which were not subject to this refinancing. 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 Bain Capital Credit CLO 2017-1 Ltd. Class A-1-R, $298.00 million: AAA (sf) Class A-2-R, $19.50 million: AAA (sf) Class B-R, $65.50 million: AA (sf) Class C-1-R, $18.73 million: A (sf) Ratings Affirmed Bain Capital Credit CLO 2017-1 Ltd. Class C-2, $9.48 million: A (sf) Class D, $28.00 million: BBB- (sf) Class E, $20.60 million: B+ (sf) Class F, $7.00 million: B- (sf) Ratings Withdrawn Bain Capital Credit CLO 2017-1 Ltd. Class A-1: to NR from AAA (sf) Class B: to NR from AA (sf) Class C-1: to NR from A (sf) NR--Not rated. BANCORP COMMERCIAL 2018-CRE4: DBRS Confirms B(sf) Rating on F Certs ------------------------------------------------------------------- DBRS Limited upgraded its ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2018-CRE4 issued by The Bancorp Commercial Mortgage 2018-CRE4 Trust as follows: -- Class B to AAA (sf) from AA (low) (sf) -- Class C to AA (sf) from A (low) (sf) -- Class D to A (sf) from BBB (low) (sf) In addition, DBRS Morningstar confirmed its ratings on the three remaining classes as follows: -- Class A-S at AAA (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) All trends are Stable. The rating upgrades generally reflect the significant paydowns to the transaction since issuance as well as the stable outlook for the remaining loans in the pool. In additional, there is a $30.7 million nonrated class in the first-loss position that further enhances credit support throughout the stack. At issuance, the collateral consisted of 45 floating-rate mortgages secured by 50 transitional properties totaling $341.0 million based on the trust cut-off balances ($515.2 million including funded pari passu participation interests) and $568.8 million based on fully funded loan amounts. As of the April 2021 remittance, 20 loans remain in the pool and there has been a collateral reduction of 54.0% since issuance. As of April 2021, the servicer reported all future funding has been funded with the exception of $366,000 for Butterfield Office Plaza (Prospectus ID#17). The loans were structured with three-year initial terms that are scheduled to mature by September 2021, and all loans feature two one-year extension options that are subject to performance hurdles. As of the April 2021 remittance, four loans, representing 3.2% of the pool, are in special servicing and another 12 loans, representing 73.3% of the pool, are on the servicer’s watchlist, primarily being monitored for upcoming maturities and low cash flow. In general, probability of default (POD) penalties were applied to increase the expected loss for these loans in the analysis for this review. Although some of these loans have characteristics suggesting increased risks from issuance, no significant losses are expected, based on information known as of this review. The Staybridge Suites Conversion loan (Prospectus ID#36; 1.6% of the pool) is the largest loan in special servicing. It is secured by a 224-key limited-service hotel in Kissimmee, Florida, and was transferred to special servicing in April 2020 because of payment default. The borrower submitted a relief request, citing hardship amid the Coronavirus Disease (COVID-19) pandemic. The loan was originally scheduled to mature in October 2020 and, as part of the loan modification approved by the special servicer, a one-year extension was granted along with a short-term forbearance. The special servicer obtained an updated appraisal dated July 2020 that showed an as-is value of $21.3 million, up from $13.3 million at issuance and well in excess of the fully funded loan balance of $15.5 million. As of the April 2021 remittance, the loan was reported current and the special servicer's commentary notes the loan remains in special servicing for monitoring to ensure the terms of the loan modification are being met. As of January and February 2021, the collateral reported an occupancy rate of 43.6% and 45.3%, respectively. Although the challenges in depressed occupancy rates are expected to persist through the near to medium term, DBRS Morningstar notes the value improvement from issuance and the sponsor's apparent commitment to the property as factors for consideration as well. Two other loans, Hotel Indigo Detroit (Prospectus ID#5, 9.5% of the pool) and DoubleTree Columbia (Prospectus ID#16, 5.9% of the pool), were granted forbearances and loan modifications as a result of challenges arising from the coronavirus pandemic. Hotel Indigo Detroit, secured by a 241-key lodging property in the Detroit central business district, was added to the servicer’s watchlist for low debt service coverage ratio (DSCR) and coronavirus relief. The loan was modified in July 2020 with the special servicer approving a forbearance of six months from June 2020 through November 2020, in addition to a maturity extension to May 2022. The borrower requested a second forbearance in December 2020, which was approved through March 2021. Post-forbearance debt service payments commenced in April 2021. The borrower remains optimistic that performance will improve following a wider distribution of vaccines and the reopening of restaurants and sporting venues. DoubleTree Columbia, secured by a 152-key, full-service hotel in Columbia, Maryland, was added to the servicer’s watchlist for low DSCR and coronavirus relief. The loan previously performed well with a DSCR of 1.78 times (x) in 2019 but struggled in 2020 due to the pandemic. The special servicer approved a loan modification that deferred various reserve payments from April 2020 to September 2020. Reserve payments were to be repaid by December 2020 and the servicer's commentary states that all loan payments are current and all deferred payments have been repaid. DBRS Morningstar increased the POD for these loans as part of the review to reflect the increased default risk for each of these stressed loans. DBRS Morningstar materially deviated from its North American CMBS Insight Model when determining the ratings assigned to Classes E and F, as the quantitative results suggested a higher rating on the classes. The material deviations are warranted given the uncertain loan-level event risk with the loans in special servicing and the potential for adverse selection as loans continue to pay off. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS CLO 2019-III: Moody's Assigns Ba3 Rating to Cl. E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes issued by Barings CLO Ltd. 2019-III (the "Issuer"). Moody's rating action is as follows: US$231,000,000 Class A-1-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$25,000,000 Class A-2-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-2-R Notes"), Assigned Aaa (sf) US$17,750,000 Class E-R Secured Deferrable Mezzanine Floating Rate Notes Due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Barings 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 remaining reinvestment period. The Issuer previously issued three other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: changes to weighted average life (WAL) test; the inclusion of alternative benchmark replacement provisions; amendment to the Minimum Diversity Score/Maximum Rating/Minimum Spread Matrix; changes to concentration limitations to include senior secured bonds, and changes to the definition of Adjusted Weighted Average Rating Factor. Moody's rating actions on the Class A-1-R Notes, Class A-2-R Notes, and Class E-R Notes are 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: $398,062,186 Defaulted par: $0 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3300 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.34% Weighted Average Recovery Rate (WARR): 48.15% Weighted Average Life (WAL): 8.01 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in the US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BBCMS MORTGAGE 2020-C7: DBRS Confirms B(sf) Rating on Class F Certs ------------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-C7 issued by BBCMS Mortgage Trust 2020-C7 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-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at B (high) (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the transaction consisted of 49 fixed-rates loans secured by 153 commercial and multifamily properties with a trust balance of $807.8 million. According to the April 2021 remittance, all loans remain in the pool and there has been negligible amortization to date. The transaction is concentrated by property type as 10 loans, representing 26.1% of the current trust balance, are secured by office collateral, while the second-largest concentration comprises nine loans, representing 25.3% of the current trust balance, secured by multifamily collateral. The transaction does not include any loans secured by lodging properties and only six loans, representing 6.1% of the pool, are secured by retail properties. Five loans, representing 13.5% of the pool, are on the servicer's watchlist. These loans are being monitored primarily for low debt service coverage ratios (DSCR). At issuance, DBRS Morningstar shadow rated six loans investment grade, including Parkmerced (Prospectus ID#1, 7.4% of the pool), 525 Market Street (Prospectus ID#2, 7.4% of the pool), The Cove at Tiburon (Prospectus ID#3, 6.2% of the pool), Acuity Portfolio (Prospectus ID#8, 5.0% of the pool), F5 Tower (Prospectus ID#8, 4.9% of the pool), and 650 Madison Avenue (Prospectus ID#13, 2.7% of the pool). DBRS Morningstar maintained the shadow ratings on all six loans with this review. The Parkmerced loan, secured by a 3,165-unit apartment complex in San Francisco was added to the watchlist in March 2021 for declines in occupancy and cash flow. As of the Q3 2020 financials, the loan reported a DSCR of 0.85 times and an occupancy rate of 75%. The property was 94.3% occupied at issuance and is well located near San Francisco State University, with downtown San Francisco to the northeast and Silicon Valley to the south. According to Reis, the West San Francisco submarket reported a Q1 2021 vacancy rate of 1.7% and is expected to increase marginally over the next five years. At issuance, management was beginning a strategic shift from a rental residence to a modern, higher-rent property that can tap into the affluent demographic of the city as leases roll. DBRS Morningstar views the occupancy decline as a temporary event given the gradual shift to a higher-rent property and the submarket's tight vacancy rates. DBRS Morningstar maintained the investment-grade shadow rating as part of this review. Notes: All figures are in U.S. dollars unless otherwise noted. BDS 2021-FL7: 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 BDS 2021-FL7 Ltd.: -- Class A 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 22 floating-rate mortgages secured by 22 mostly transitional properties with a cut-off balance of $536.5 million, excluding approximately $59.3 million of future funding commitments. In addition, the transaction has a Ramp-Up Acquisition Period from the sixth payment date during which the Issuer may use $63.5 million of funds deposited into the unused proceeds account to acquire additional eligible multifamily loans, subject to the Eligibility Criteria, resulting in a target pool balance of $600.0 million. As of May 11, 2021, of the 22 loans, there are two unclosed or delayed-close loans, representing 14.4% of the trust balance: Retreat at Waterside (Prospectus ID#2), representing 7.9% of the trust balance, and Nottingham Village (Prospectus ID#6), representing 6.4% of the trust balance. If a delayed-close loan is not expected to close or fund prior to the purchase termination date, the expected purchase price will be credited to the unused proceeds amount to be used by the Issuer to acquire ramp-up mortgage assets during the Ramp-Up Acquisition Period. The Eligibility Criteria indicates that all loans acquired within the Ramp-Up Acquisition 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 $1.0 million threshold on companion participation interest acquisitions before a rating agency confirmation is required if there is already a participation or note of the underlying loan in the trust. The loans are mostly secured by currently cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, 19 loans, representing 86.6% of the pool, have remaining future funding participation totaling $59.3 million, which the Issuer may acquire in the future. 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), 15 loans, comprising 63.1% of the initial pool, had a DBRS Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00 times (x), a threshold indicative of default risk. However, the DBRS Morningstar Stabilized DSCRs for only three loans, representing 9.6% 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 pool consists almost entirely of multifamily assets (95.4% of the mortgage asset cut-off date balance consists of apartments and 3.5% consists of one manufactured housing community property). Historically, multifamily properties have defaulted at much lower rates than the overall commercial mortgage-backed securities universe. The one industrial asset in the pool represents 1.1% of the mortgage asset cut-off date balance. As no loans in the pool were originated prior to the onset of the coronavirus pandemic, the weighted-average (WA) remaining fully extended term is 57 months, which gives the sponsor enough time to execute its business plans without risk of imminent maturity. Based on the initial pool balances, the overall WA DBRS Morningstar As-Is DSCR of 0.90x and WA As-Is Loan-to-Value (LTV) of 84.8% generally reflect high-leverage financing. When measured against the DBRS Morningstar Stabilized NCF, the WA DBRS Morningstar DSCR is estimated to improve to 1.22x, suggesting that the properties are likely to have improved NCFs once the sponsor’s business plan has been implemented. 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, minimum multifamily property type requirement for 80% of the pool, and loan size limitations for ramp and reinvestment assets. Furthermore, multifamily assets are the only property type allowed to be acquired during the ramp-up period. DBRS Morningstar accounted for the uncertainty introduced by the six-month 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 sponsor will not successfully execute its 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 81.1% of the pool cut-off date balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes loss given default based on the as-is credit metrics, assuming the loan is fully funded with no NCF or value upside. One of the sampled loans, comprising 6.3% of the pool balance, was analyzed with Weak sponsorship strengths. The Nottingham Village loan is among the pool's 10 largest loans. DBRS Morningstar applied a probability of default penalty to the loan analyzed with Weak sponsorship strength. All 22 loans have floating interest rates, are interest only during the original term and through all extension options, and have original terms of 36 months to 60 months, creating interest rate risk. All loans are short term and, even with extension options, they have a fully extended maximum loan term of five 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. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2020-IG3: DBRS Confirms B(low) Rating on 825S-D Certs --------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-IG3 issued by Benchmark 2020-IG3 Mortgage Trust as follows: -- Class A2 at AAA (sf) -- Class A3 at AAA (sf) -- Class A4 at AAA (sf) -- Class ASB at AAA (sf) -- Class AS at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class XA at AAA (sf) -- Class 825S-A at A (low) (sf) -- Class 825S-B at BBB (low) (sf) -- Class 825S-C at BB (low) (sf) -- Class 825S-D at B (low) (sf) -- Class T333-A at AA (low) (sf) -- Class T333-B at A (low) (sf) -- Class T333-C at BBB (low) (sf) -- Class T333-D at BB (high) (sf) -- Class BX-A at A (low) (sf) -- Class BX-B at BBB (low) (sf) -- Class BX-C at BB (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. The transaction is a pooled securitization of 21 fixed-rate, noncontrolling (with the exception of 1501 Broadway) pari passu senior notes with an aggregate cut-off pooled balance of $608.5 million. The collateral consists of nine mortgage loans (considering the Chase Center Tower I/II loans are crossed) across 144 properties, with significant concentrations in California (seven properties; 48.1% of the pool by loan balance), New York (four properties; 17.7% of the pool), and Washington (one property; 13.0% of the pool). Classes 825S-A, 825S-B, 825S-C, and 825S-D are loan-specific certificates associated with the 825 South Hill loan. Classes T333-A, T333-B, T333-C, and T333-D are loan-specific certificates associated with the Tower 333 loan. Classes BX-A, BX-B, and BX-C are loan-specific certificates associated with the BX Industrial Portfolio loan. The pool benefits from a high concentration of investment-grade assets. All nine of the loans that serve as the collateral for the pooled component of the transaction are shadow-rated investment grade and exhibit investment-grade credit characteristics on a stand-alone basis. The weighted-average credit profile of the underlying collateral is approximately A (sf)/A (low) (sf). The deal is very young in its lifecycle and most loans have not yet reported meaningful financials. As of the April 2021 remittance report, the servicer is monitoring four loans totaling 34.2% of the pool balance on its watchlist. The Moffett Towers Buildings A, B, and C loan is the largest loan on the watchlist and represents 13.2% of the pool balance. This 951,498-square-foot Class A office property is in Sunnyvale, California, and is 86% leased to Google through 2030. Comcast is the second-largest tenant, representing 12% of the gross leasable area on a lease through 2027. While awaiting full-year financials, the servicer projected a drop in the 2020 debt service coverage ratio (DSCR) to 1.28 times (x) based on the year-to-date September 2020 financials compared with the issuer's underwritten level of 2.09x; however, this is not unexpected as Google had staggered lease commencement dates throughout 2020. The 825 South Hill loan, which represents 9.9% of the pool balance, is backed by a 498-unit newly constructed multifamily building in Los Angeles. As of December 2020, the DSCR was 0.80x compared with the issuer’s underwritten level of 1.27x. However, the building opened in 2019 and has not had sufficient time to reach stabilization as the Coronavirus Disease (COVID-19) pandemic began in early 2020. In spite of this, occupancy reached 93% as of December 2020, which is above the issuer's expectation of 88% and speaks to the desirability of the building. Finally, the Chase Center Towers I/II loans are being monitored for a nonperformance matter as the borrower is working to complete required property repairs that were outlined in the loan agreement and funded in reserve accounts when the loan closed. Notes: All figures are in U.S. dollars unless otherwise noted. BLUEMOUNTAIN XXXI: S&P Assigns Prelim BB-(sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BlueMountain CLO XXXI Ltd.'s floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Assured Investment Management LLC, a subsidiary of Assured Guaranty. The preliminary ratings are based on information as of May 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned BlueMountain CLO XXXI Ltd./BlueMountain CLO XXXI LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $8.00 million: Not rated Class B, $48.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D, $22.00 million: BBB- (sf) Class E, $16.80 million: BB- (sf) Subordinated notes, $40.50 million: Not rated BPR TRUST 2021-WILL: Moody's Gives (P)Ba3 Rating to Cl. HRR Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, issued by BPR Trust 2021-WILL, Commercial Mortgage Pass-Through Certificates, Series 2021-WILL: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) Cl. HRR, Assigned (P)Ba3 (sf) RATINGS RATIONALE The certificates are collateralized by a single, $155.0 million floating-rate, amortizing loan secured by the borrower's fee interests in Willowbrook Mall, a super-regional mall located in Houston, TX. The collateral for the loan consists of a 536,186 square foot portion of the 1.52 million SF single-story, enclosed mall. 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 Moody's Large Loan and Single Asset/Single Borrower CMBS 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. Willowbrook Mall is situated on an approximately 123.1-acre site located 20 miles northwest of downtown Houston. The property's non-collateral anchors, which comprise 809,709 SF, include Macy's, Macy's Men's, JC Penney, and Dillard's, and the collateral anchors include Dick's Sporting Goods (73,250 SF, 13.7% of collateral NRA) and Nordstrom Rack (38,111 SF, 7.1% of collateral NRA). As of March 31, 2021, the property was occupied with over 90 in-line tenants, with a physical occupancy of 86.5% and an economic vacancy (excluding bankrupt tenants) of 83.8%. Physical occupancy at the property is higher due to tenants that are bankrupt, but are still occupying space and paying rent at the Property. The property has a five-year average historical occupancy of 98.0%. Large tenants at the property (greater than 10,000 SF) include H&M, Zara, Old Navy, Victoria's Secret, and Wave. Other noteworthy retailers at the property include Express, Abercrombie & Fitch, House of Hoops, Sephora, Kay Jewelers, and Bath & Body Works. The subject's most notable omnichannel retailers including Apple and Lego. The subject's food venues include a 13-bay food court. Some of the noteworthy food venues include Chick-fil-A, Cinnabon, Subway, Taco Bell, and Starbucks. The property was originally constructed in 1981; however, it has been expanded and renovated numerous times since development. In 2016, Dick's Sporting Goods was added to the Property for a cost of approximately $10 million. Between 2016 and 2020, approximately $36.0 million of capital expenditures were spent on the Willowbrook Mall property including developments to the Zara and Nordstrom Rack spaces, updates to the energy systems, charging stations, lighting and more. Future capital expenditures are estimated at approximately $5.3 million which include roof replacement, security upgrades, and parking lot pavements. 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 1.93 and Moody's first-mortgage stressed DSCR at a 9.25% constant is 1.16x. Moody's DSCR is based on Moody's stabilized net cash flow. The Moody's LTV ratio for the first-mortgage balance is 91.2%. The Moody's LTV ratio is based on Moody's value. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's quality grade is 3.00. Notable strengths of the transaction include: strong in-line sales, strong location, amortizing loan profile, and experienced sponsorship. Notable concerns of the transaction include: the effects of the coronavirus pandemic, tenant rollover, lack of asset diversification, recent decline in operating performance, floating-rate mortgage loan profile and certain credit negative legal features. The principal methodology used in these ratings 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 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. 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 Moody's ESG framework, given the substantial implications for public health and safety. CANYON CLO 2020-1: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, A-L1, A-L2, A-L, B-R, C-R, D-R, and E-R replacement notes and loans from Canyon CLO 2020-1 Ltd./Canyon CLO 2020-1 LLC, a CLO originally issued in May 2020 that is managed by Canyon CLO Advisors LLC. The replacement notes and loans were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-R, A-L1, A-L2, A-L, B-R, C-R, D-R, and E-R notes and loans were issued at a lower spread over three-month LIBOR than the original notes. -- The stated maturity and the reinvestment period were extended by six years from the original dates. -- There is a two-year non-call period. -- Of the identified underlying collateral obligations, 100.00% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.77% 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." -- S&P's analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Assigned Canyon CLO 2020-1 Ltd./Canyon CLO 2020-1 LLC Class A-R, $88.20 million: AAA (sf) Class A-L1(i), $195.80 million: AAA (sf) A-L2, $100.00 million: AAA (sf) Class A-L, $0.00 million: AAA (sf) Class B-R, $72.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-R (deferrable), $36.00 million: BBB- (sf) Class E-R (deferrable), $24.00 million: BB- (sf) Subordinated notes, $50.00 million: NR Ratings Withdrawn Canyon CLO 2020-1 Ltd./Canyon CLO 2020-1 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' (i)The outstanding principal amount of the class A-L notes will be $0.00 on the closing date, but it may increase up to $195,800,000 upon the exercise of the conversion option, which will affect the conversion of the class A-L1 loans into the class A-L notes. NR--Not rated. CITIGROUP COMMERCIAL 2012-GC8: Fitch Lowers Class F Certs to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded five classes and affirmed four classes of Citigroup Commercial Mortgage Trust 2012-GC8 (CGCMT 2012-GC8) commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- CGCMT 2012-GC8 A-4 17318UAD6 LT AAAsf Affirmed AAAsf A-AB 17318UAE4 LT AAAsf Affirmed AAAsf A-S 17318UAF1 LT AAAsf Affirmed AAAsf B 17318UAG9 LT Asf Downgrade AA-sf C 17318UAH7 LT BBBsf Downgrade A-sf D 17318UAJ3 LT B-sf Downgrade BBsf E 17318UAS3 LT CCsf Downgrade CCCsf F 17318UAT1 LT Csf Downgrade CCsf X-A 17318UAK0 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Decline to Credit Support; Upcoming Maturities: The downgrades are primarily driven by credit deterioration to junior bonds since the last rating action. Two loans have been disposed from the pool since the last rating action, including one which was liquidated with a higher than expected loss severity. The resulting $10.8 million in realized losses reduced the balance of the unrated class G by 31.9% and eroded credit support to the non-senior bonds. As of the May 2021 distribution, the pool's aggregate balance has been reduced by 35.7% to $669 million from $1.0 billion at issuance. All of the outstanding loans are scheduled to mature in 2022. Fitch expects that a number of loans will face refinance challenges and may ultimately default at maturity, leaving the junior bonds particularly exposed to under or non-performing loans. Risk to the senior bonds is largely offset by the expected principal paydown from defeased loans, which represent 23.3% of the pool, and performing loans with healthy credit metrics. Loss Expectations Unchanged: Fitch's loss projections are in line with the last rating action. There are two loans (10.8% of the pool) in special servicing, including one that transferred in the last year. Eight loans (42.1% of the pool) are Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 10.8%. The Negative Outlooks reflect losses that could reach 12.8% when factoring in additional coronavirus-related stresses and a potential outsized loss on the largest loan in special servicing. The largest contributors to expected losses continue to be two FLOCs in the top 15. Pinnacle at Westchase (10.1% of the pool) is secured by a mid-rise office property located in Houston's Energy Corridor. The property experienced a significant decline in occupancy prior to the onset of the pandemic. All three of the previous largest tenants vacated in 2019 ahead of their lease expiration dates. As a result, occupancy has declined to 25% from 98% at issuance. The social and market disruption caused by the pandemic have exacerbated leasing challenges. Office properties in Houston's Westchase submarket reported an average vacancy rate of 26.1% as of Q1 2021. The loan transferred to special servicing for imminent default in February 2020 due to the borrower's inability to fund shortfalls. The special servicer has been pursuing foreclosure for nearly a year, but the ongoing pandemic has caused delays. Fitch's modeled loss of 66% is based off the asset's recent appraised value. Fitch's analysis also includes a sensitivity, which assumes a 75% loss to reflect the potential for a delayed foreclosure and disposition timeline given the property's high vacancy and soft submarket fundamentals. Fitch's second largest modeled loss is attributable to Gansevoort Park Avenue (10.0% of the pool). The loan is collateralized by a 249-key full-service boutique hotel located in Manhattan. EGI has declined significantly over the past few years due to decreases in Rooms, F&B and Other Revenues. Competing properties have impacted property performance. At issuance, the property featured a full-service restaurant, champagne bar and retail outlet. Those leases expired between 2018 and 2020 and the spaces are now vacant. At issuance, F&B income generated across the restaurants and clubs accounted for more than 40% of total revenue. The hotel's website notes that the property is temporarily closed again until July 2021. The borrower requested payment relief related to the pandemic in June 2020, and was granted a forbearance in August 2020 through YE2020. The duration of the repayment period is unclear, but the loan payment status is Current as of the May 2021 distribution. Fitch's modeled loss of 28.6% is based on pre-pandemic performance, which had already been in year-over-year decline, and reflects a recoverable value of approximately $357,000 per key. Alternative Loss Consideration: In addition to Fitch's base case analysis, Fitch performed a sensitivity analysis which assumed a 75% loss on the maturity balance of the Pinnacle at Westchase loan to reflect the potential for outsized losses. The sensitivity also factored in various paydown scenarios, including paydown from defeased loans and paydown from loans expected to refinance. This contributed to the downgrades as well as the continuing Negative Outlooks. Exposure to Coronavirus: There are six hotel loans (17.2% of the pool), five of which are flagged as FLOCs, and six retail loans (12.9% of the pool). Fitch applied additional stresses to three hotel and two retail loans totaling 12.2% of the pool to account for potential cash flow disruptions due to the coronavirus pandemic. These additional stresses contributed to the maintaining of Negative Outlooks on classes B, C and D. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. An upgrade to classes B and C could occur with increased paydown and/or defeasance combined with performance stabilization but is unlikely given the pool's increasing concentration. Class D is not likely to be upgraded unless performance of the FLOCs stabilizes. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure and expected repayment from maturing loans, but are possible should interest shortfalls occur. -- Downgrades to classes B and C are possible should a larger than expected number of maturity defaults occur. Class D may be downgraded if loss expectations increase or FLOCs fail to stabilize. Distressed ratings will be downgraded as losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Outlook or those with Negative Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CITIGROUP COMMERCIAL 2016-C2: DBRS Cuts Rating of 11 Classes to CCC ------------------------------------------------------------------- DBRS Limited downgraded its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C2 issued by Citigroup Commercial Mortgage Trust 2016-C2 (CGCMT 2016-C2) as follows: -- Class E-1 to CCC (sf) from BB (high) (sf) -- Class E-2 to CCC (sf) from BB (sf) -- Class F-1 to CCC (sf) from BB (low) (sf) -- Class F-2 to CCC (sf) from B (high) (sf) -- Class G-1 to CCC (sf) from B (sf) -- Class G-2 to CCC (sf) from B (low) (sf) -- Class E to CCC (sf) from BB (sf) -- Class EF to CCC (sf) from B (high) (sf) -- Class F to CCC (sf) from B (high) (sf) -- Class EFG to CCC (sf) from B (low) (sf) -- Class G to CCC (sf) from B (low) (sf) All of the classes that were downgraded have ratings that do not carry trends. DBRS Morningstar maintained the Interest in Arrears designation for all of the downgraded classes. In addition, DBRS Morningstar confirmed the following ratings: -- 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-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class X-D at BBB (sf) All trends for the confirmed classes are Stable. The rating downgrades reflect the extended period of time during which the interest shortfalls will remain outstanding to the classes in question. The shorted interest is a result of the decision by the master servicer, Midland Loan Services (Midland), to limit advancing for one of the underlying loans, Crocker Park Phase I and II (Prospectus ID#3; 10.2% of the pool) (Crocker Park), which was modified in 2020. The loan modification, which closed in July 2020, allowed for a 12-month forbearance of debt service payments, which would be deferred until loan maturity in August 2026. The loan modification was granted in response to the borrower's request to use available cash flow to fund the $7.0 million of estimated leasing costs necessary to back-fill current and projected future vacancy across the collateral property. Initially, Midland declined to advance any of the forborne debt service amount for the subject loan, but with the February 2021 remittance, the servicer switched to advancing only partial payments, containing the interest shortfalls to the below-investment-grade rated classes. Based on the estimates provided by Midland, the interest shortfalls will remain outstanding for at least 12 months, beyond DBRS Morningstar's interest shortfall tolerance of six months for the below-investment-grade classes, prompting the downgrades to the ratings of 11 classes, as previously detailed. DBRS Morningstar reached out the servicer regarding the provisions in the Pooling and Servicing Agreement (PSA) that Midland relied upon when deciding to recover the advances that were made on the Crocker Park loan. According to the servicer, it was determined that the advances issued on the Crocker Park loan no longer technically qualified as an advance under the PSA based on the structure of the loan modification agreement structured by Greystone, as the special servicer. Furthermore, Midland noted that deferring recovery of the deferred amounts (and therefore the advances) to the maturity date as allowed for under the terms of the loan modification would risk the accumulation of substantial interest on advances. It is unclear why Midland agreed to the terms of the loan modification if there were reservations about the accumulation of interest on advances. DBRS Morningstar will continue to monitor the interest shortfall mechanics of the pool and will track the recovery of advances and any updates on the Crocker Park loan, as information is made available. As of the April 2021 remittance, all 44 of the original loans remain in the pool, with a total collateral reduction of 3.3% since issuance as a result of loan amortization. There are 10 loans, representing 23.0% of the current trust balance, on the servicer's watchlist, and five loans, representing 14.2% of the current pool balance, in special servicing. The loans on the watchlist are being monitored for a variety of reasons, including low debt service coverage ratios and occupancy issues. Four of the five loans in special servicing are secured by either hotel or retail properties, including Hyatt Regency Huntington Beach Resort & Spa (Prospectus ID#7; 4.4% of the pool) and Welcome Hospitality Portfolio (Prospectus ID#8; 4.0% of the pool). Additionally, three loans, representing 6.2% of the pool, have defeased. At issuance, DBRS Morningstar assigned an investment-grade shadow rating on the Vertex Pharmaceuticals HQ loan (Prospectus ID#1; 10.2% of the pool). With this review, DBRS Morningstar confirmed that the performance of this loan remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. CREDIT ACCEPTANCE 2021-3: S&P Assigns BB- (sf) Rating on ERR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A1RR, A2RR, BRR, CRR, DRR, and ERR replacement notes and the new class XRR notes from TCW CLO 2020-1 Ltd./TCW CLO 2020-1 LLC, a CLO originally issued in April 2020 that is managed by TCW Group Inc. At the same time, S&P withdrew its ratings on the original class AR, BR, CR, DR, and ER notes following payment in full on the May 20, 2021, refinancing date. Based on provisions in the transaction documents and portfolio characteristics: -- The replacement class A1RR, A2RR, and BRR notes were issued at a higher spread over three-month LIBOR than the original notes. -- The class A1RR and A2RR notes replaced the original AR notes, with the A1RR notes being senior to the A2RR notes. -- The replacement class CRR, DRR, and ERR notes were issued at a lower spread over three-month LIBOR than the original notes. -- The stated maturity was extended 2.5 years. -- A reinvestment period of 4.9 years was added to the previously static transaction. -- The non-call period was extended until April 2023. -- A weighted average life test beginning at 8.9 years was added. -- The class XRR notes were issued in connection with this refinancing. These notes will be paid down using interest proceeds during the first 14 payment dates beginning with the payment date in October 2021. -- Of the identified underlying collateral obligations, 100.00% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 95.76% 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 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: NR Ratings Withdrawn TCW CLO 2020-1 Ltd. Class AR to NR from 'AAA (sf)' Class BR to NR from 'AA (sf)' Class CR to NR from 'A (sf)' Class DR to NR from 'BBB- (sf)' Class ER to NR from 'BB- (sf)' NR--Not rated. CSMC 2021-NQM3: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CSMC 2021-NQM3's mortgage pass-through notes. The note issuance is an RMBS transaction backed by seasoned and unseasoned first-lien fixed-rate, adjustable-rate, and adjustable-rate interest-only fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest-only periods). The loans are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties. The preliminary ratings are based on information as of May 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings assigned to CSMC 2021-NQM3's mortgage pass-through notes reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty (R&W) framework; -- The transaction's geographic concentration; -- The mortgage aggregator, DLJ Mortgage Capital Inc. (DLJ); and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned CSMC 2021-NQM3 Trust Class A-1, $210,355,000: AAA (sf) Class A-2, $20,757,000: AA (sf) Class A-3, $33,476,000: A (sf) Class M-1, $13,010,000: BBB (sf) Class B-1, $7,602,000: BB (sf) Class B-2, $4,970,000: B (sf) Class B-3, $2,193,027: NR Class A-IO-S, Notional(i): NR Class XS, Notional(ii): NR Class PT(iii), $292,363,027: NR Class R: NR (1)The notional amount will equal the aggregate interest-bearing principal balance of the mortgage loans as of the first day of the related due period and is initially $292,136,423. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period and is initially $292,363,027. (iii)Certain initial exchangeable notes are exchangeable for the exchangeable notes and vice versa. DBGS 2019-1735: DBRS Confirms B(sf) Rating on Class F Certs ----------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates issued by DBGS 2019-1735 Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at A (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 (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 $311.4 million first-lien mortgage loan is secured by the fee-simple interest in a 53-story Class A office building totaling 1.3 million square feet (sf) in the Philadelphia central business district (CBD). The 10-year loan matures in April 2029. The sponsor, Silverstein Properties, Inc., used loan proceeds along with $164.2 million of cash equity to acquire the asset for $451.6 million. Built in 1990, 1735 Market Street is located on 18th Street between Market Street and JFK Boulevard with direct concourse access to SEPTA's Suburban Station and a 176-space parking garage. The subject property is in the Market Street West submarket, which is the largest office submarket in Philadelphia with approximately 39 million sf of office space. According to Reis, the submarket reported a vacancy of 8.5% and average rental rate of $32.88 per sf gross as of Q1 2021. The collateral achieves higher rental rates as it is considered one of the top two multitenant office buildings in the Philadelphia CBD, along with One Liberty Place. The tenant mix primarily consists of law firms and financial companies. The largest tenant at the property is Ballard Spahr LLP, which leases 15.4% of the gross leasable area through January 2031. The remaining tenant roster is relatively granular, as no other tenant occupies more than 8% of net rentable area (NRA). The second-largest tenant, Willis Towers Watson (7.6% of NRA), is leased through February 2031, while the third-largest tenant, Montgomery McCracken Walker (5.9% of NRA), is leased through 2034. Three of the four largest tenants (Ballard Spahr LLP, Montgomery McCracken Walker, and Brandywine Global Investment) have their headquarters at the collateral property. The property also benefits from minimal rollover concerns as the five largest tenants, representing 38.8% of NRA, have lease expiration that expire beyond the loan term. The property has benefited from positive leasing momentum in recent years as Willis Towers Watson relocated from 1500 Market Street and signed a lease for 97,448 sf in 2020. Furthermore, international law firm Akin Gump signed a 16-year lease totaling 30,000 sf in 2020, while national law firm BakerHostetler signed a 16-year lease for 45,121 sf that is scheduled to commence in late 2021. This leasing momentum led to an increase in net cash flow (NCF) in 2020 relative to the Issuer's NCF. The sponsor is launching a $20 million capital improvement program that will redesign the building's lobby, front entrance, amenity spaces, and common areas as well as the concourse. Construction is expected to commence in Q2 2021. The property was 84% occupied as of YE2020 with a debt service coverage ratio of 2.42 times. Notes: All figures are in U.S. dollars unless otherwise noted. ENCINA EQUIPMENT 2021-1: DBRS Gives Prov. BB(sf) Rating on E Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of asset-backed notes to be issued by Encina Equipment Finance 2021-1, LLC: -- $108,700,000 Class A-1 Notes at AAA (sf) -- $88,940,000 Class A-2 Notes at AAA (sf) -- $13,242,000 Class B Notes at AA (sf) -- $13,812,000 Class C Notes at A (sf) -- $21,643,000 Class D Notes at BBB (sf) -- $12,103,000 Class E Notes at BB (sf) The ratings are based on the review by DBRS Morningstar of the following analytical considerations: (1) In its analytical review, DBRS Morningstar considered the 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. 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. (2) DBRS Morningstar's respective stressed cumulative net loss (CNL) hurdle rates of 32.94%, 27.99%, 22.74%, 15.87%, and 11.37% in the cash flow scenarios commensurate with the AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) ratings did not assign any credit to seasoning of the collateral of approximately 11 months as of the Cut-Off Date. In addition, DBRS Morningstar assigned no credit to any expected build-up in collateral coverage over the life of the transaction. (3) DBRS Morningstar assessed the stressed CNL hurdle rates at each rating level by blending the stressed net loss assumptions for the concentrated (including 22 obligors) and more granular portions of the collateral pool based on their share of the Aggregate Securitization Value. (4) The transaction's capital structure and form and sufficiency of available credit enhancement. The subordination, overcollateralization, cash held in the reserve account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the respective ratings for each class of Notes. (5) The weighted-average (WA) yield for the collateral pool is approximately 8.43%. The securitization value of the collateral pool is determined by discounting all leases and loans at either implied or actual applicable contract rate, thus, creating excess spread that may be available to the Notes. (6) The transaction does not have a prefunding period. (7) The transaction is the first 144A term securitization to be sponsored by Encina Equipment Finance, LLC (Encina EF), which has been operating since 2017. Nevertheless, the company's senior management team has extensive experience in equipment industry, originating, underwriting, and managing credit to small- and middle-market companies in the United States through multiple market cycles. Funds managed by Oaktree Capital Management hold a minority equity interest in Encina EF and also participate in the investment committee. (8) Since inception, Encina EF has experienced a limited number of obligor defaults and low and intermittent amount of charge-offs. (9) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Encina EF, that the trustee has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. EXETER AUTOMOBILE 2021-2: S&P Assigns (P) BB(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2021-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of May 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 59.9%, 53.3%, 44.4%, 34.8%, and 29.7% (for the base and upsized pools) credit support for the class A-1, A-2, and A-3 notes (collectively, class A), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 2.78x, 2.44x, 1.99x, 1.52x, and 1.27x S&P's 21.00%-22.00% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses of approximately 92.2%, 82.0%, 71.1%, 55.7%, and 47.6%, (for the base and upsized pools), respectively. -- S&P's expectation for timely interest and principal payments on the notes, based on stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned preliminary ratings. -- S&P said, "Our expectation that under a moderate ('BBB') stress scenario (1.52x our expected loss level), all else being equal, our preliminary ratings will be within the credit stability limits specified by section A.4 of the Appendix in "S&P Global Ratings Definitions," published Jan. 5, 2021." -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2021-2 Class A-1, $79.20 million ($105.79 million, if upsized): A-1+ (sf) Class A-2, $250.00 million ($330.00 million, if upsized): AAA (sf) Class A-3, $100.86 million ($137.62 million, if upsized): AAA (sf) Class B, $129.89 million ($173.20 million, if upsized): AA (sf) Class C, $140.11 million ($186.81 million, if upsized): A (sf) Class D, $147.53 million ($196.71 million, if upsized): BBB (sf) Class E, $52.42 million ($69.90 million, if upsized): BB (sf) FLAGSHIP CREDIT 2021-2: S&P Assigns BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Flagship Credit Auto Trust 2021-2's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 43.70%, 37.78%, 29.79%, 24.28%, and 20.42% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.60x, 3.07x, 2.35x, 1.85x, and 1.52x of S&P's 11.50%-12.00% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40.00%) of approximately 72.83%, 62.96%, 49.66%, 40.46%, and 34.03%, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and a reserve account in addition to excess spread. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits specified by section A.4 of the Appendix contained in "S&P Global Ratings Definitions," published Jan. 5, 2021. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the assigned ratings. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Flagship Credit Auto Trust 2021-2 Class A, $248.33 million: AAA (sf) Class B, $32.89 million: AA (sf) Class C, $41.76 million: A (sf) Class D, $24.95 million: BBB (sf) Class E, $14.78 million: BB- (sf) GALAXY XXII: S&P Assigns B- (sf) Rating on Class F-RR Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, C-RR, D-RR, E-RR, and F-RR notes, along with the new class X-RR notes, from Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC, a CLO originally issued July 14, 2016, managed by PineBridge Investments LLC. The notes were previously refinanced in July 2018. On the May 21, 2021, second refinancing date, proceeds from the replacement notes were used to redeem the previously existing notes. As such, ratings on the previously existing notes were withdrawn. In addition, before the refinancing date, the combination notes were unwound to their respective underlying components in advance of the secured note redemption. Therefore, we are withdrawing ratings on the combination notes as they no longer exist. The replacement notes will be issued via a second supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The stated maturity (of the replacement notes and the existing subordinated notes) and reinvestment period was extended 5.75 years to April 2034 and April 2026, respectively. -- The non-call period was extended 3.75 years to April 2023. -- The weighted average life test was extended to nine years from the second refinancing date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- The class F-RR notes were added to the capital stack and issued at a lower rating level than the redeemed class E-R notes. In line with this addition, the reinvestment test was amended to be tested at the lower class F-RR note level. -- The class X-RR notes were issued in connection with the May 21, 2021, second refinancing date. These notes are expected to be paid down using interest proceeds during the first 19 payment dates, in equal installments of $210,526.32, beginning with the payment date in October 2021. -- A portion of the proceeds remaining from the replacement note issuance (after the simultaneous existing class redemption) will be used to purchase additional collateral. However, there will not be an additional effective date or ramp-up period, and the first payment date following the May 21, 2021, second refinancing date will be July 16, 2021. -- There were no additional subordinated notes issued on the second refinancing date. -- The transaction has added the ability to purchase workout-related assets and a small concentration in senior secured bonds. In addition, the transaction has adopted benchmark replacement language and made updates to conform to current rating agency methodology. Replacement And Existing Note Issuances Replacement notes Class X-RR, $4.00 million: Three-month LIBOR + 0.90% Class A-RR, $243.80 million: Three-month LIBOR + 1.20% Class B-RR, $45.70 million: Three-month LIBOR + 1.70% Class C-RR (deferrable), $22.90 million: Three-month LIBOR + 2.15% Class D-RR (deferrable), $22.90 million: Three-month LIBOR + 3.35% Class E-RR (deferrable), $13.80 million: Three-month LIBOR + 6.50% Class F-RR (deferrable), $6.30 million: Three-month LIBOR + 8.80% Class A subordinated notes, $27.56 million: Not applicable Class B subordinated notes, $0.44 million: Not applicable Existing notes Class A-1-R, $240.10 million(i): Three-month LIBOR + 1.00% Class A-2-R, $23.50 million(i): Three-month LIBOR + 0.85% Class B-1-R, $40.80 million: Three-month LIBOR + 1.68% Class B-2-R, $3.00 million: Three-month LIBOR + 2.10% Class C-1-R (deferrable), $11.00 million: Three-month LIBOR + 2.05% Class C-2-R (deferrable), $13.00 million: Three-month LIBOR + 2.90% Class D-R (deferrable), $20.00 million: Three-month LIBOR + 3.10% Class E-R (deferrable), $20.00 million: Three-month LIBOR + 5.75% Class combination notes, $20.00 million: Not applicable Class A subordinated notes, $27.56 million: Not applicable Class B subordinated notes, $0.44 million: Not applicable (i)Following the April 2021 distribution date, the class A-1-R and A-2-R notes had approximately $200.37 million and $19.61 million outstanding, respectively. 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 on the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Assigned Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Class X-RR, $4.00 million: AAA (sf) Class A-RR, $243.80 million: AAA (sf) Class B-RR, $45.70 million: AA (sf) Class C-RR (deferrable), $22.90 million: A (sf) Class D-RR (deferrable), $22.90 million: BBB- (sf) Class E-RR (deferrable), $13.80 million: BB- (sf) Class F-RR (deferrable), $6.30 million: B- (sf) Subordinated notes, $28.00 million: Not rated Ratings Withdrawn Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Class A-1-R, to not rated, from AAA (sf) Class A-2-R, to not rated, from AAA (sf) Class B-1-R, to not rated, from AA (sf) Class B-2-R, to not rated, from AA (sf) Class C-1-R (deferrable), to not rated, from A (sf) Class C-2-R (deferrable), to not rated, from A (sf) Class D-R (deferrable), to not rated, from BBB (sf) Class E-R (deferrable), to not rated, from B+ (sf) Combination notes, to not rated, from A-p (sf) GPMT 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. confirmed the provisional ratings on 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. The Issuer elected to make certain updates to the structure of the transaction after DBRS Morningstar assigned provisional ratings on April 26, 2021. The Issuer made the following updates: changed the deal type to static from managed, removed the $101.3 million ramp component, and removed the DBRS Morningstar $5.0 million threshold rating agency confirmation (RAC) requirement for the acquisition of companion participations with principal repayment proceeds. DBRS Morningstar analyzed the updated structure in the model, which resulted in increased pool losses for the AAA (sf) and AA (low) (sf) rating levels and lower pool losses for the A (low) (sf), BBB (sf), and B (low) (sf) rating levels. These changes reflect the updated pool having a lower expected loss than the initial modeled pool but also a lower level of diversity. The Issuer has updated the class balances across the capital stack to reflect both the change in pool size and the change in credit enhancement levels. The provisional ratings DBRS Morningstar assigned to all classes remains unchanged. The Issuer has reannounced the transaction with the updated class balances and corresponding credit enhancement levels. 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. Most loans are in a period of transition with plans to stabilize and improve the asset value. During the Companion Participation Acquisition Period, the Issuer may acquire future funding commitments subject to the Acquisition Criteria. The transaction does not include RAC for the acquisition of companion participations 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. 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 2021-ROSS: DBRS Gives Prov. B(low) Rating on G Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of GS Mortgage Securities Corporation Trust 2021-ROSS, Series 2021-ROSS, as follows: -- Class A at AAA (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. Class X and Class H are not rated by DBRS Morningstar. Class X is an interest-only (IO) class whose balance is notional. The Class A, A-Y, A-Z, and A-IO certificates (the CAST certificates) can be exchanged for other classes of CAST certificates and vice versa, as described in the offering memorandum. The notional amount of the Class A-IO certificates will be equal to the sum of (1) 50% of the certificate balance of the Class A-Y certificates and (2) 100% of the certificate balance of the Class A-Z certificates. The GS Mortgage Securities Corporation Trust 2021-ROSS portfolio, consisting of the fee-simple interests in seven properties totaling approximately 2.13 million sf of Class A/B, cross-collateralized office space, is well-positioned to take advantage of improving market fundamentals as the Rosslyn market continues transform into a modern, mixed-use, live-work-play environment. Having been heavily affected by the Department of Defense Base Realignment and Closure Act (BRAC) and the federal budget sequestration as well as historically dominated by government tenants and contractors, the submarket continues to diversify with private sector tenants committing to the market at the portfolio and at other properties in Rosslyn. Overall vacancy rates in the submarket spiked to a peak of 28.2% in 2014 and according to the appraisals, the vacancy rate at the end of 2020 (including sublet availabilities) was 18.1%, up from year-end 2019 due to pandemic-related dynamics, but down from the 2018 level of 21.7%. Following Amazon's November 2018 announcement that it will construct its new "HQ2" Pen Place campus in nearby Arlington, demand by private office tenants has further increased in the Rosslyn market as users find themselves priced out of the Arlington office market where rents have already started to increase. Demand by office tenants and residential tenants alike is expected to continue to rise in Rosslyn as workers move to the area for Amazon's assumed 25,000 new high-paying jobs and Amazon suppliers seek a presence close to their customer. Construction review of the second phase of the HQ2 project commenced early March 2021 and is expected to deliver by 2025. As of December 2020, Amazon had already relocated 1,600 employees to the Arlington area. In addition, approximately 1.5 million sf of noncompetitive, low price-point office product in Rosslyn (approximately 44% of lesser quality supply) is approved or proposed for mixed-use development to create an additional 2,200 residential units, 350 hotel rooms, and 135,000 sf of retail. Previously identified as an office dominant submarket with considerable exposure to government tenants, further development borne out of obsolete office product will continue to reduce the stock of noncompetitive, low price-point office supply in Rosslyn. Five of the properties were previously securitized in 2017 in the RPT 2017-ROSS transaction, which was financed by GSCRE and BXMT. 1400 Key Boulevard and 1401 Wilson Boulevard, which were part of the 2017 securitization, have been replaced by 1200 Wilson Boulevard and 1701 North Fort Myer Drive. Strong and experienced sponsorship has invested approximately $168.7 million toward renovating and re-leasing the Rosslyn portfolio's seven buildings since 2017, which has included the creation of spacious upgraded lobbies, renovated common areas, and the addition of modern tenant amenities such as club-quality fitness centers and airy open common areas demanded by today's workforce. 1100 Wilson Boulevard has seen the addition of a finished roof deck, which allows tenants to enjoy the views of neighboring Washington, D. C., just across the Potomac River. Behind the scenes, the building systems have been upgraded and modernized as needed to meet today's high-tech needs. The Sponsor's continued investment in the properties has resulted in new and renewal leases totaling approximately 982,000 sf (46.2% of the total NRA) since the beginning of 2017. As of February 28, 2021, the portfolio was 78.2% leased across the seven properties to a diverse mix of over 60 individual public and private sector tenants. The portfolio's largest tenant is the U.S. Department of State (342,967 sf, 16.1% of the NRA), which recently executed a 15-year renewal at 1701 North Fort Myer Drive, expanded into 1200 Wilson Boulevard in 2019, and does not roll until June 2034. Other than the Department of State, no single tenant occupies more than 6.0% of the portfolio's NRA or produces more than 8.0% of the gross rents. Approximately 671,000 sf (31.6% of the NRA) of the portfolio's rent roll and 36.1% of total rent carries an investment grade rating. Since 2009, the portfolio has averaged an occupancy level of 81.5%, with a peak occupancy of 98.5% in 2009 and a trough occupancy of 67.0% in 2015. The portfolio is owned by a joint venture between US Real Estate Opportunities I, L.P. (approximately 89% ownership) (USREO) and an affiliate of Monday Properties (approximately 11% ownership). USREO is a $1.3 billion fund formed by The Goldman Sachs Group, Inc., which controls the fund, and two sovereign wealth funds. Monday Properties has managed the properties since 2005 and, together with its partner, has owned the properties since 2011. As of December 2020, the Sponsor had a total cost basis in the portfolio of approximately $1.35 billion and will have $329 million of implied equity remaining in the portfolio post transaction. The Sponsor also contributed approximately $106 million of equity in June 2020 to pay down the existing debt in order to qualify for an extension. DBRS Morningstar believes that the substantial amount of Sponsor equity, combined with sponsorship's combined strength and experience as reflected by proactive repositioning of the properties, adds to the strength of this transaction. 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 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 with year-to-date rent collections as of April 2021 at 99.2%. GS Commercial Real Estate LLC and Goldman Sachs Bank USA intend to originate the $841 million whole loan, which consists of a $691 million mortgage loan and $150 million of mezzanine debt. The mortgage loan has a two-year initial term (with three one-year extension options). The mortgage loan pays floating-rate interest of Libor plus assumed spread of 2.92000% on an interest-only (IO) basis through the initial maturity of the loan. The spread will increase by 0.15% from and after the commencement of the second extension term; Libor is subject to a floor of 0%. The mezzanine loan has a two-year initial term (with three one-year extension options). The mezzanine loan pays floating-rate interest of Libor plus 9.50000% on an IO basis through the final initial of the loan. On or about May 28, 2021, a portion of the mezzanine loan evidenced by the $112.5 million Note A-1 is expected to be securitized in a stand-alone, mezzanine securitization, the certificates of which are expected to be purchased by Lord Abbett, and the remaining portion of the Mezzanine Loan evidenced by the $37.5 million Note A-2 is expected to be purchased by a sovereign wealth fund that has an ownership interest in USREO. The Sponsor is partially using proceeds from the whole loan and mezzanine debt to repatriate approximately $63.3 million of equity. DBRS Morningstar views cash-out refinancing transactions as less favorable than acquisition financings as sponsors typically have less incentive to support a property through times of economic stress if less of their own cash equity is at risk. Based on the appraiser's as-is valuation of $1.17 billion, the Sponsor will have approximately $329 million of unencumbered market equity remaining in the transaction. The DBRS Morningstar loan-to-value ratio (LTV) is high at 112.4% based on the $691 million mortgage loan and increases substantially to an all-in DBRS Morningstar LTV of 136.7% when factoring in the mezzanine debt. In order to account for the high leverage, DBRS Morningstar programmatically reduced its LTV benchmark targets for the transaction by 2.75% across the capital structure. The nonrecourse carveout guarantor is US Real Estate Opportunities I, L.P., which is required to maintain a domestic net worth of only at least $225 million or more, inclusive of the property, and aggregate liquid assets of at least $25 million, effectively limiting the recourse back to the Sponsor for bad act carveouts. "Bad boy" guarantees and consequent access to the guarantor help mitigate the risk and increased loss severity of bankruptcy, additional encumbrances, unapproved transfers, fraud, misappropriation of rents, physical waste, and other potential bad acts of the borrower or its sponsor. Individual properties are permitted to be released with customary requirements. However, the prepayment premium for the release of individual assets is 105% of the ALA for the applicable property up to 25% of the original principal balance and thereafter 115% of the ALA for the applicable property. DBRS Morningstar considers the release premium to be weaker than those of other previously rated single-borrower, multiproperty transactions and, as a result, applied a penalty to the transaction's capital structure to account for the weak deleveraging premium. Notes: All figures are in U.S. dollars unless otherwise noted. HALCYON LOAN 2015-1: Moody's Lowers Rating on Class E Notes to Caa3 ------------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Halcyon Loan Advisors Funding 2015-1 Ltd.: US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2027 (current outstanding balance of $27,081,923.38) (the "Class E Notes"), Downgraded to Caa3 (sf); previously on July 31, 2020 Downgraded to Caa1 (sf) Moody's also upgraded the rating on the following notes: US$35,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class C-R Notes"), Upgraded to Aa1 (sf); previously on February 24, 2020 Upgraded to Aa2 (sf) Halcyon Loan Advisors Funding 2015-1 Ltd., originally issued in April 2015 and partially refinanced in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2019. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2021 report, the OC ratio for the Class E notes is reported [1] at 95.85% versus trustee's July 2020 report [2] at 97.85%. The upgrade rating action on the Class C-R Notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2020. The Class A-R notes have been paid down by approximately 73% or $105.4 million since then. Based on the trustee's April 2021 report [3], the OC ratio for the Class C-R is reported at 126.41% versus 119.77% in the trustee's July 2020 report [4]. 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: $186,288,330 Defaulted par: $8,607,194 Diversity Score: 46 Weighted Average Rating Factor (WARF): 3169 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.60% Weighted Average Recovery Rate (WARR): 46.8% Weighted Average Life (WAL): 3.2 years Par haircut in OC tests and interest diversion test: 4.9% In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in the US economic activity. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. ICG US 2016-1: S&P Assigns Prelim BB-(sf) Rating on DR-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2016-1 Ltd./ICG US CLO 2016-1 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+' and lower) senior secured term loans that are governed by collateral quality tests. The transaction is managed by ICG Debt Advisors LLC. The preliminary ratings are based on information as of May 24, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ICG US CLO 2016-1 Ltd. /ICG US CLO 2016-1 LLC Class X, $4.00 million: AAA (sf) Class A1R-R, $246.00 million: AAA (sf) Class A2R-R, $58.00 million: AA (sf) Class BR-R (deferrable), $24.00 million: A (sf) Class CR-R (deferrable), $24.00 million: BBB- (sf) Class DR-R (deferrable), $16.00 million: BB- (sf) Subordinated notes, $44.75 million: not rated INVESCO CLO 2021-2: Moody's Gives (P)Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Invesco CLO 2021-2, Ltd. (the "Issuer" or "Invesco 2021-2"). Moody's rating action is as follows: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2034 (the "Class A Notes"), Assigned (P)Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$27,500,000 Class C Deferrable Mezzanine Secured Floating Rate Notes due 2034 (the "Class C Notes"), Assigned (P)A2 (sf) US$30,000,000 Class D Deferrable Mezzanine Secured Floating Rate Notes due 2034 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$22,500,000 Class E Deferrable Junior Secured Floating Rate Notes due 2034 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Invesco 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 senior unsecured loans, second lien loans, first-lien-last-out loans and up to 5% of permitted debt obligations (senior secured bonds, senior secured floating rate notes and high-yield bonds). Moody's expect the portfolio to be approximately 90% ramped as of the closing date. Invesco CLO Equity Fund 3 L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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: 75 Weighted Average Rating Factor (WARF): 2889 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 9.08 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. JP MORGAN 2021-7: Fitch Gives 'B+(EXP)' Rating to Class B-5 Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected rating to JP Morgan Mortgage Trust 2021-7 (JPMMT 2021-7). DEBT RATING ---- ------ JPMMT 2021-7 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-A LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-B LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-B LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-A LT AAA(EXP)sf Expected Rating A-10-X LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-11-A LT AAA(EXP)sf Expected Rating A-11-AI LT AAA(EXP)sf Expected Rating A-11-B LT AAA(EXP)sf Expected Rating A-11-BI LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AAA(EXP)sf Expected Rating A-X-4 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B+(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 991 loans with a total balance of approximately $957.10 million as of the cutoff date. The pool consists of prime quality fixed-rate mortgages (FRMs) from various mortgage originators. The servicers in the transactions consist of JP Morgan Chase Bank and various other servicers. Nationstar Mortgage LLC (Nationstar) will be the master servicer. All of the loans qualify as either Safe Harbor Qualified Mortgages (SHQM) or Agency Safe Harbor QM loans. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate based off of the net weighted average coupon (WAC), or floating/inverse floating rate based off of the SOFR index, and capped at the net WAC. This is the sixth Fitch-rated JPMMT transaction to use SOFR as the index rate for floating/inverse floating-rate certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality fixed-rate fully amortizing loans with maturities up to 30 years. All of the loans qualify as SHQM or Agency Safe Harbor QM loans. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months according to Fitch (two months per the transaction documents). The pool has a weighted average (WA) original FICO score of 780 (as determined by Fitch), which is indicative of very high credit quality borrowers. Approximately 88.8% (as determined by Fitch) of the loans have a borrower with an original FICO score above 750. In addition, the original WA combined loan-to-value ratio (CLTV) of 65.6%, translating to a sustainable loan-to-value ratio (sLTV) of 71.0%, represents substantial borrower equity in the property and reduced default risk. 96.1% of the pool comprises nonconforming loans, while the remaining 3.9% represents conforming loans. 100% of the loans are designated as QM loans, with roughly 75.3% of the pool being originated by a retail channel. The pool consists of 90.6% of loans where the borrower maintains a primary residence, while 6.4% comprises second homes and 3.0% represents nonpermanent residences that were treated as investor properties. Single-family homes comprise 93.8% of the pool, and condominiums make up 4.9%. Cashout refinances comprise 11.3% of the pool, purchases comprise 32.0% of the pool and rate-term refinances comprise 56.7% of the pool. A total of 347 loans in the pool are over $1.0 million, and the largest loan is $2.92 million. Fitch determined that 3.0% of the loans were made to foreign nationals/nonpermanent residents. These loans were treated as investor-occupied to reflect the additional risk they may pose. Geographic Concentration (Negative): Approximately 49.9% of the pool is concentrated in California. The largest MSA concentration is in the San Francisco-Oakland-Fremont, CA MSA (16.6), followed by Los Angeles-Long Beach-Santa Ana, CA MSA (12.8%), and the San Jose-Sunnyvale-Santa Clara, CA MSA (9.0%). The top three MSAs account for 38.4% of the pool. As a result, there was a 1.01x probability of default (PD) penalty for geographic concentration. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): A CE or senior subordination floor of 0.55% has been considered to mitigate potential tail end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.45% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Updated Economic Risk Factor (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the Coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool 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 40.0% 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. 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, Clayton, Digital Risk, Covius, Inglet Blair, and Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review, and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Digital Risk, Covius, Inglet Blair, and Opus 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 provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. JUNIPER RECEIVABLES 2019-1: Moody's Ups A Notes Rating From Ba2 --------------------------------------------------------------- Moody's Investors Service has upgraded ten securities from seven prime transactions issued in 2017, 2019 and 2020. The notes are backed by a pool of retail automobile loan contracts originated by Ally Bank, who is also the servicer for these transactions. Ally Bank is a wholly owned indirect subsidiary of Ally Financial Inc. (Ba1, Stable). The complete rating actions are as follows: Issuer: Ally Auto Receivables Trust 2019-1 Class D Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020 Upgraded to Aa2 (sf) Issuer: Ally Auto Receivables Trust 2019-3 Class C Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020 Upgraded to Aa3 (sf) Issuer: Ally Auto Receivables Trust 2019-4 Class B Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020 Upgraded to Aa3 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Dec 11, 2019 Definitive Rating Assigned Baa1 (sf) Issuer: Juniper Receivables 2019-1 DAC Class A Asset Backed Notes, Upgraded to Baa3 (sf); previously on Sep 11, 2020 Downgraded to Ba2 (sf) Issuer: Juniper Receivables 2019-2 DAC Class A Asset Backed Notes, Upgraded to Baa3 (sf); previously on Sep 11, 2020 Downgraded to Ba2 (sf) Issuer: Juniper Receivables 2020-1 DAC Class A Asset Backed Notes, Upgraded to Baa3 (sf); previously on Sep 11, 2020 Downgraded to Ba2 (sf) Issuer: Juniper Receivables DAC Class A Asset Backed Notes, Upgraded to Baa1 (sf); previously on Sep 11, 2020 Downgraded to Baa2 (sf) RATINGS RATIONALE For the deals issued by Ally Auto Receivables Trust (AART), the actions resulted from the buildup of credit enhancement due to non-declining reserve accounts, overcollateralization, and the sequential pay structure of the transactions. For the deals issued by Juniper Receivables DAC (Juniper), the actions primarily resulted from Moody's updated loss expectations on the underlying pools. Moody's lifetime cumulative net loss expectation range between 0.85% to 1.00% for AART deals and 3.00% - 3.50% for the Juniper transactions The loss expectations reflect updated performance trends on the underlying pools. Although borrowers have been affected by a slowdown in the US economic activity due to the coronavirus outbreak, more recently US consumers have shown a high degree of resilience owing to the government stimulus and the relief options offered by servicers. 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 auto loan ABS, loan performance will continue to benefit from government support and the improving unemployment rate that will support the borrower's income and their ability to service debt. However, any softening of used vehicle prices will reduce recoveries on defaulted auto loans. Furthermore, any elevated use of borrower assistance programs, such as extensions, may adversely impact scheduled cash flows to bondholders. Moody's regard the COVID-19 outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. KKR CLO 33: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to KKR CLO 33 Ltd./KKR CLO 33 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+' and lower) senior secured term loans that are governed by collateral quality tests The transaction is managed by KKR Financial Advisors II LLC. The preliminary ratings are based on information as of May 21, 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 rated notes' performance through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned KKR CLO 33 Ltd./KKR CLO 33 LLC Class A, $240.00 million: AAA (sf) Class B, $64.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $39.05 million: Not rated LOANCORE 2019-CRE3: DBRS Confirms B(low) Rating on Class F Notes ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of floating-rate notes issued by LoanCore 2019-CRE3 Issuer Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 22 floating rate mortgages secured by 38 mostly transitional properties with a cumulative balance of $415.9 million, excluding $60.7 million of future funding commitments and $52.2 million of funded companion participations held outside the Trust. The transaction is structured with a Funded Companion Acquisition Period, where the Issuer may acquire funded Future Funding Participations and Funded Companion Participations with principal repayment proceeds. This period is scheduled to end with the May 2021 Payment Date. As of the April 2021 remittance, the trust consists of 15 loans with an aggregate principal balance of $364.3 million, representing a collateral reduction of 12.4% since issuance, with approximately $25.3 million in unfunded future funding commitments outstanding. All loans in the pool represent pari passu notes securitized in the LoanCore 2019-CRE2 transaction, also rated by DBRS Morningstar. According to the April 2021 remittance, there are no loans in special servicing and one loan (2.9% of the pool) on the servicer's watchlist. The loan on the servicer's watchlist, The Cigar Factory (Prospectus ID#17, 2.9% of the pool) was flagged for upcoming maturity in June 2021; however, the loan contains two additional 12-month extension options available to the borrower. Five loans, representing 30.5% of the pool, were modified in 2020 due to complications arising from the Coronavirus Disease (COVID-19) pandemic. The largest modified loan, Florida Retail Portfolio (Prospectus ID#3, 13.0% of the pool), secured by seven cross-collateralized and cross-defaulted shopping centers throughout Orlando and South Florida, was modified in August 2020. The loan modification permitted the borrower to provide rent relief to small and medium-sized tenants without lender consent, reallocated $683,000 from a tax reserve into a cash collateral account, and extended the borrower's obligation to fund approved renovation expenses totaling $525,000 from April 2020 to September 2020. The loan continues to perform well despite the impact from the pandemic and all tenants at each collateral property are open with collections stabilizing to prepandemic levels. As of November 2020, the loan reported a trailing-11-month (T-11) debt service coverage ratio (DSCR) of 1.72 times (x) with an occupancy rate of 78%. The 183 Madison Avenue loan (Prospectus ID#2, 16.5% of the pool) is secured by a 265,367 square foot (sf) office property in Midtown Manhattan. The borrower initially requested a three-month forbearance at the onset of the pandemic in May 2020; however, the year-end (YE) 2020 business plan update provided by the collateral manager noted that no loan modification, forbearance, or other debt service relief was ultimately provided. The property has exposure to WeWork, Inc. (11.7% of the net rentable area (NRA); lease expires May 2035) and its ground-floor retail tenant, DomUS Design Center (Domus; 7.9% of NRA), vacated at lease expiry in June 2020. Domus had been paying well-below market rent and the sponsor's business plan contemplated repurposing the retail space into smaller units to achieve higher rents. The office portion of the collateral was 90% occupied as of YE2020; however, the pandemic has delayed the lease-up of the vacant retail space and has impacted cash flow. As of November 2020, the loan reported a T-11 DSCR of 0.93x with an occupancy rate of 80.3%. DBRS Morningstar analyzed this loan with an elevated probability of default to reflect the loan's current risk profile. Notes: All figures are in U.S. dollars unless otherwise noted. MARBLE POINT XX: S&P Assigns BB-(sf) Rating on $14MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned 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 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 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 MVW 2021-1W: S&P Assigns BB (sf) Rating on $31.225MM Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to MVW 2021-1W LLC's timeshare loan-backed notes. The note issuance is an ABS transaction backed by vacation ownership interval (timeshare) loans. S&P said, "To reflect the uncertain and weakened U.S. economic and sector outlook, in early 2020 we increased our base-case default assumption by 1.25x to stress defaults from 'B' to 'BB' rating scenarios. In addition to our base rating stress, to reflect additional liquidity stress from deferrals and potential increase in delinquencies, we also considered incremental liquidity and sensitivity stress in all rating categories. "The ratings reflect our opinion of the credit enhancement that is available in the form of overcollateralization, the subordination for the class A, B, C, and D notes, the reserve account, and the available excess spread. The ratings are also based on our opinion of Marriott Ownership Resorts Inc.'s servicing ability and experience in the timeshare market." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned MVW 2021-1W LLC Class A, $206.863 million: AAA (sf) Class B, $106.900 million: A (sf) Class C, $80.012 million: BBB (sf) Class D, $31.225 million: BB (sf) NLT 2021-INV1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to NLT 2021-INV1's mortgage pass-through certificates series 2021-INV1. The certificate issuance is an RMBS transaction backed by an aggregate pool comprised of 937 predominantly newly originated, fixed-rate and adjustable-rate (some with interest-only feature), business purpose, investor, fully-amortizing residential mortgage loans that are secured by first liens on primarily one- to four-family residential properties, planned unit developments, condominiums, and townhouses with 30-year original terms to maturity to non-conforming (both prime and nonprime) borrowers. All the loans are exempt from the qualified mortgage/ability-to-repay rules. The preliminary ratings are based on information as of May 24, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty 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 NLT 2021-INV1(i) Class A-1, $130,003,000: AAA (sf) Class A-2, $11,819,000: AA (sf) Class A-3, $21,811,000: A (sf) Class M-1, $10,762,000: BBB (sf) Class B-1, $8,455,000: BB (sf) Class B-2, $5,477,000: B (sf) Class B-3, $3,844,129: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The collateral and structural information in this report reflects the term sheet dated May 19, 2021. The preliminary ratings address the ultimate payment of interest and principal. (ii)Notional amount certificates that do not have class principal balances. The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. OPORTUN ISSUANCE 2021-B: DBRS Finalizes BB(high) Rating on D Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following notes issued by Oportun Issuance Trust 2021-B (Oportun 2021-B or the Issuer): -- $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 ratings on the Notes are 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. (8) The legal structure and legal opinions address the true sale of the unsecured consumer loans, the nonconsolidation of the trust, and that the trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. PALMER SQUARE 2018-3: S&P Affirms B-(sf) Rating on Class E-R2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1a-3, A2-R3, B-R3, and C-R3 replacement notes from Palmer Square CLO 2018-3 Ltd. At the same time, S&P withdrew its ratings on the previously refinanced class A-1a-2, A2-R2, B-R2, and C-R2 notes and affirmed the ratings on the class D-R2 and E-R2 notes. S&P did not rate the class A-1b-2 notes and are not rating the class A-1b-3 notes. Palmer Square CLO 2018-3 Ltd. is a CLO that is managed by Palmer Square Capital Management. It was originally issued in 2013 as Palmer Square CLO 2013-3 Ltd. This transaction was previously refinanced in 2017 and 2018. The replacement notes were issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Include LIBOR replacement terms; and -- Extend the non-call period until April 2022. Replacement And Original Note Issuances Replacement notes Class A-1a-3, $280.1 million: LIBOR+1.00% Class A-1b-3, $10.2 million: LIBOR+1.30% Class A2-R3, $51.4 million: LIBOR+1.50% Class B-R3, $27.2 million: LIBOR+1.85% Class C-R3, $22.5 million: LIBOR+2.70% Original notes Class A-1a-2, $280.1 million: LIBOR+1.20% Class A-1b-2, $10.2 million: LIBOR+1.45% Class A2-R2, $51.4 million: LIBOR+1.75% Class B-R2, $27.2 million: LIBOR+2.20% Class C-R2, $22.5 million: LIBOR+3.20% 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 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 Palmer Square CLO 2018-3 Ltd. Replacement class A-1a-3, $280.1 million: AAA (sf) Replacement class A-1b-3, $10.2 million: NR Replacement class A2-R3, $51.4 million: AA (sf) Replacement class B-R3, $27.2 million: A (sf) Replacement class C-R3, $22.5 million: BBB- (sf) Ratings Affirmed Palmer Square CLO 2018-3 Ltd. Class D-R2: BB- (sf) Class E-R2: B- (sf) Ratings Withdrawn Palmer Square CLO 2018-3 Ltd. Class A-1a-2: to NR from AAA (sf) Class A2-R2: to NR from AA (sf) Class B-R2: to NR from A (sf) Class C-R2: to NR from BBB- (sf) NR--Not rated. PIKES PEAK 6: Moody's Assigns B3 Rating to Class F-R Notes ---------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Pikes Peak CLO 6 (the "Issuer"). Moody's rating action is as follows: US$189,100,000 Class A-R Senior Secured Floating Rate Notes due 2034 (the "Class A-R Notes"), Assigned Aaa (sf) US$42,700,000 Class B-R Senior Secured Floating Rate Notes due 2034 (the "Class B-R Notes"), Assigned Aa2 (sf) US$15,250,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C-R Notes"), Assigned A2 (sf) US$18,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf) US$13,725,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf) US$4,575,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class F-R Notes"), Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second-lien loans, unsecured loans and permitted securities that are senior secured bonds, senior unsecured bonds and senior secured notes; provided that no more than 5% of the portfolio may consist of second-lien loans or permitted securities. Partners Group US Management CLO 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; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Moody's Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $305,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2808 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. READY CAPITAL 2019-FL3: DBRS Confirms B(low) Rating on F Notes -------------------------------------------------------------- DBRS Limited upgraded its ratings on the Commercial Mortgage-Backed Notes, Series 2019-FL3 issued by Ready Capital Mortgage Financing 2019-FL3 as follows: -- Class B to AA (sf) from AA (low) (sf) -- Class C to A (sf) from A (low) (sf) -- Class D to BBB (sf) from BBB (low) (sf) In addition, DBRS Morningstar confirmed its ratings on the remaining classes as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The upgrades generally reflect the significantly improved credit support for the rated bonds as a result of collateral reduction for the pool overall, as well as DBRS Morningstar's generally positive outlook for the transaction's performance over the remaining term. At issuance, the collateral consisted of 43 floating-rate mortgages secured by 44 transitional properties totaling approximately $320.8 million, excluding approximately $101.3 million of future funding commitments held outside the trust. As of the April 2021 remittance, 25 loans remain in the pool with a trust balance of $255.9 million, representing a collateral reduction of 20.2% since issuance. There are seven loans, representing 20.6% of the current trust balance, on the servicer's watchlist as of the April 2021 remittance. The service is monitoring these loans for reporting a low debt service coverage ratio (DSCR). Additionally, the pool has three loans, representing 11.4% of the pool, in special servicing: StarCity 229 Ellis (Prospectus ID#11, 5.7% of the pool), Tapestry by Hilton Daytona Beach (Prospectus ID#22, 3.5%), and 2850 Greene Street (Prospectus ID#18, 2.2%). Tapestry by Hilton Daytona Beach is the only loan in the pool secured by a lodging property and was transferred to special servicing in April 2020. The loan collateral is a 110-key limited-service hotel in Daytona Beach, Florida. The property, which was previously flagged as a Lexington Inn & Suites, is in the midst of a $4.3 million ($39,000 per key) property improvement plan (PIP) to convert the property's flag to a Tapestry by Hilton. A 20-year franchise agreement with Hilton was executed in June 2017, and renovations were expected to take approximately 18 months from issuance. However, in April 2020, the borrower reached out to the servicer about a forbearance and requested the authorization to pause bookings for all the rooms at the property to speed up the remaining renovations and reduce expenses. At that time, renovations were roughly 42% complete. An updated as-is value of $15.9 million was provided in August 2020, up from the $8.3 million as-is value at issuance. According to the servicer's April 2021 site inspection, the renovations for the guest rooms appeared largely complete, with only common area improvements outstanding. According to an online search as of May 2021, the property remains closed and is set to open at the end of July 2021. DBRS Morningstar analyzed this loan with an elevated probability of default (PoD) to reflect the ongoing concerns in the delayed stabilization for the collateral property. However, the overall risks for this loan are moderate given the significant investment in the property since issuance and the property's location in Florida, which should enable it to capture travel demand as the vaccination rate continues to climb and the effects of the Coronavirus Disease (COVID-19) pandemic continue to ease. DBRS Morningstar is also closely monitoring the 2850 Greene Street loan. The loan is secured by a 61,587-sf Class B industrial flex property in Hollywood, Florida. The loan transferred to special servicing in May 2020 for delinquency, but was later brought current in 2021. The initial delinquency was attributed to struggles of the property's sole tenant, Silver Airways (48.1% of the net rentable area (NRA) through September 2027), which was reportedly unable to meet rental obligations amid the pandemic. The borrower signed another tenant, United Hardware Supply (45.0% of the NRA through September 2025), in September 2020, successfully leasing up the majority of the building. According to updates provided by the servicer, both tenants were fully operating at the property and paying rent as of October 2020. As of the April 2021 reporting, the loan is showing as current but remains with the special servicer as a nonperforming matured balloon as the loan did not repay at the initial maturity date of October 2020. An updated as-is value of $8.7 million was provided in November 2020, up 13.0% from the issuance as-is value of $7.7 million. According to servicer commentary, the borrower brought the loan current in order to discuss workout strategies, and, although a maturity extension was fully negotiated, the servicer confirmed that the modification failed to close and foreclosure was filed in March 2021. Given the breakdown in maturity negotiations and the uncertainty surrounding the failure to execute the loan modification, this loan was also analyzed with an elevated PoD to increase the expected loss. However, DBRS Morningstar also notes that the updated value as of November 2020 is well above the loan's total exposure, suggesting the likelihood of a loss to the subject trust is generally low. DBRS Morningstar materially deviated from its North American CMBS Insight Model when determining the rating assigned to Class E and F as the quantitative results suggested a higher rating. The material deviation is warranted given the uncertain loan-level event risk with the loans in special servicing and on the servicer's watchlist. Notes: All figures are in U.S. dollars unless otherwise noted. REAL ESTATE 2019-1: DBRS Confirms B(sf) Rating on Class G Certs --------------------------------------------------------------- DBRS Limited confirmed all ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-1 issued by Real Estate Asset Liquidity Trust, Series 2019-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class X at A (high) (sf) -- Class C at A (sf) (sf) -- Class D-1 at BBB (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G 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. As of the April 2021 remittance, 47 of the original 48 loans remain in the pool, with an aggregate trust balance of $413.6 million, representing a collateral reduction of 7.3% since issuance as a result of scheduled loan amortization and the repayment of a single loan. The transaction displays a heavy property type concentration as 21 loans, representing 51.3% of the current trust balance, are secured by retail assets, while five loans, representing 20.9% of the current trust balance, are secured by office properties. All loans in the pool are amortizing through their respective loan terms, while 27 loans, representing 58.9% of the current trust balance, benefit from some level of meaningful recourse to the loan's sponsor. According to the April 2021 remittance report, no loans are in special servicing nor delinquent but six loans are on the servicer's watchlist, representing 24.0% of the current trust balance. All six of these loans have been affected by the ongoing difficulties caused by the Coronavirus Disease (COVID-19) pandemic. Four of these loans, representing 11.7% of the current trust balance, received various forms of short-term forbearances and are making payments based on the terms of their respective forbearances. The remaining two loans, representing 12.3% of the current trust balance, were permitted to utilize leasing reserves to cover shortfalls and it does not appear these funds will be required to be replenished. The largest loan in the pool, WSP Place (Prospectus ID#1; 8.5% of the current trust) is secured by a 184,707-square foot office property in downtown Edmonton. The loan was added to the servicer's watchlist in May 2020, as the borrower, who serves as the full recourse entity, requested coronavirus-related payment relief. In lieu of a short-term forbearance, the borrower was permitted to utilize leasing reserves to cover payments through July 2020. While the servicer indicated these funds were to be replenished between January 2021 and April 2021, no collections were made during this period as the leasing reserves balance has remained at $263,651. The borrower also fell delinquent on the payment of property taxes, although all outstanding amounts from 2020 were paid as of January 2021 and only the assessed late fees remain. Finally, the servicer has noted that there are two liens for work done on the building that were being disputed by the borrower that will likely be settled in court. The property lost its third-largest tenant at issuance, AIMCo (8.5% of the net rentable area (NRA)), which vacated upon its lease expiration in December 2019, leaving the property 82.0% occupied. With a high vacancy rate within the subject's submarket and the ongoing effects of the pandemic, DBRS Morningstar is monitoring the two largest tenants, WSP Canada Inc. (WSP) (36.4% of the NRA, expiring July 2026) and Alberta Health Servicers (23.6% of the NRA, expiring September 2021). While the servicer has given no indication of either tenant's plans to vacate, WSP retains the right to terminate its lease with 12 months' notice at the end of the 2021 or 2023, subject to $3.0 million and $2.0 million termination fees, respectively. Alberta Health Services, meanwhile, has no renewal options but has been a tenant at the subject since October 2004. In 2015, the borrower completed a $40.0 million renovation aimed at elevating the property's status to Class A in order to be more competitive in a potentially oversupplied market. DBRS Morningstar has requested a number of updates from the servicer, including updates on the leasing reserve, delinquent taxes, disputed liens, and tenant information. Notes: The principal methodology is the North American CMBS Surveillance Methodology (March 26, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation. SCMT 2021-SBC10: DBRS Finalizes B(low) Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates 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. SEQUOIA MORTGAGE 2021-4: Fitch Assigns BB- Rating on B-4 Certs -------------------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2021-4 (SEMT 2021-4). DEBT RATING PRIOR ---- ------ ----- SEMT 2021-4 A-1 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-IO1 LT AAAsf New Rating AAA(EXP)sf A-IO10 LT AAAsf New Rating AAA(EXP)sf A-IO11 LT AAAsf New Rating AAA(EXP)sf A-IO12 LT AAAsf New Rating AAA(EXP)sf A-IO13 LT AAAsf New Rating AAA(EXP)sf A-IO14 LT AAAsf New Rating AAA(EXP)sf A-IO15 LT AAAsf New Rating AAA(EXP)sf A-IO16 LT AAAsf New Rating AAA(EXP)sf A-IO17 LT AAAsf New Rating AAA(EXP)sf A-IO18 LT AAAsf New Rating AAA(EXP)sf A-IO19 LT AAAsf New Rating AAA(EXP)sf A-IO2 LT AAAsf New Rating AAA(EXP)sf A-IO20 LT AAAsf New Rating AAA(EXP)sf A-IO21 LT AAAsf New Rating AAA(EXP)sf A-IO22 LT AAAsf New Rating AAA(EXP)sf A-IO23 LT AAAsf New Rating AAA(EXP)sf A-IO24 LT AAAsf New Rating AAA(EXP)sf A-IO25 LT AAAsf New Rating AAA(EXP)sf A-IO26 LT AAAsf New Rating AAA(EXP)sf A-IO3 LT AAAsf New Rating AAA(EXP)sf A-IO4 LT AAAsf New Rating AAA(EXP)sf A-IO5 LT AAAsf New Rating AAA(EXP)sf A-IO6 LT AAAsf New Rating AAA(EXP)sf A-IO7 LT AAAsf New Rating AAA(EXP)sf A-IO8 LT AAAsf New Rating AAA(EXP)sf A-IO9 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates issued by SEMT 2021-4 as indicated above. The certificates are supported by 812 loans with a total balance of approximately $723.27 million as of the cutoff date. The pool consists of prime fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 812 full documentation loans, totaling $723.27 million and seasoned approximately three months in aggregate. The borrowers have a strong credit profile (777 model FICO, 29.5% debt-to-income ratio [DTI]) and moderate leverage (75.6% sustainable loan-to-value ratio [sLTV]). Of the pool, 96.3% consist of loans for primary residences, while 3.7% are for second homes. Additionally, 92.6% of the loans were originated through a retail channel, and 100% are designated as a qualified mortgage (QM) loan. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high-stress scenarios. 120-Day Stop Advance (Mixed): The deal is structured to four months of servicer advances for delinquent P&I. The limited advancing reduces loss severities as a lower amount is repaid to the servicer when a loan liquidates. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.75% of the original balance will be maintained for the certificates. 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 its 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 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 the negative 3.5% GDP rate 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 its "U.S. RMBS Loan Loss Model Criteria." ESG Relevance Score (Positive): The transaction has an ESG Relevance Score of '4[+]' for Exposure to Governance as a result of the strong counterparties and well controlled operational considerations and is relevant to the ratings in conjunction with other factors. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factor that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION The analysis includes one variation to Fitch's "U.S. RMBS Rating Criteria". Fitch expects to conduct an originator review every 12-18 months for any underlying originator that contributed 15% or more to a transaction. The originator review for Prime Lending (19.3%) has expired. The loans in the pool are of very high quality, a third-party due diligence review was conducted on approximately 71% of the loans in the pool (with 100% A and B grades), and the concentration is just slightly above the concentration noted in Fitch's criteria. Additionally, Fitch has reviewed Redwood as an above-average aggregator. Loans that do not have an originator assessment are treated as the aggregator in Fitch's analysis and, therefore, no adjustment was made. This variation did not result in a rating impact. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton and EdgeMac. The third-party due diligence described in Form 15E focused on credit, compliance and property valuations. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% reduction to the loan's probability of default. This adjustment(s) resulted in a less than 25bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on about 70% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton and EdgeMac, were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for further details. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Sequoia Mortgage Trust 2021-4 has an ESG Relevance Score of '4[+]' for Exposure to Governance as a result of the strong counterparties and well controlled operational considerations. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. SFO COMMERCIAL 2021-555: DBRS Finalizes BB Rating on Class F Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by SFO Commercial Mortgage Trust 2021-555. -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. SFO 2021-555 is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interest in the 555 California Street Campus (the Campus), a 1.8 million-sf Class A office complex in the North Financial District of San Francisco. J.P. Morgan will fund the total debt of $1.2 billion for the refinancing of the Campus. The IO floating-rate $1.2 billion loan has an initial term of two years with five one-year extension options. The total capitalization of $2.0 billion includes $850.0 million of sponsor equity, which will be used to refinance $532.7 million of existing debt, return $616.0 million of sponsor equity, fund $19.8 million of outstanding TI/LC reserves and $12.5 million of free rent, fund capital improvement reserves for Bank of America for $6.9 million, and pay $12.0 million of closing costs. The transaction has a slightly elevated DBRS Morningstar Issuance LTV of 90.21%, based on the trust debt. The loan-to-value ratio (LTV) based on the appraised value of $2.1 billion is 58.5%. The sponsor is a 70/30 joint venture between Vornado Realty L.P. and Donald J. Trump. The loan is 100% controlled by Vornado Realty Trust, a publicly traded real estate investment trust and a member of the S&P 500 Index. Vornado's portfolio is concentrated in New York City, Chicago, and San Francisco. Vornado acquired the Campus in 2007 and has invested $164.8 million ($90.63 per square foot (psf)) into the Campus since 2016. DBRS Morningstar has a positive view on the near- to midterm sustainability of the Campus' net cash flow (NCF), based on its location, tenancy, and historical performance. The Campus is in the North Financial District in the San Francisco central business district (CBD) market. According to the Q4 2020 appraisal information, the North Financial District has 26.3 million sf of inventory with an overall occupancy rate of 82.4% and a direct weighted-average (WA) Class A rent of $85.96 psf, compared with the South Financial District's total inventory of 27.9 million sf, occupancy rate of 87.7%, and direct WA Class A rent of $85.44 psf. The North Financial District has no office space under construction at this time. Although the North Financial District has a high overall vacancy rate, the Campus significantly outperforms the submarket. As of the February 1, 2021, rent roll, the Campus was 92.7% occupied, including the vacant property, 345 Montgomery, which has completed its renovation. The Campus has a WA occupancy rate of 95.3% since 2010 and benefits from a granular rent roll with only one tenant, Bank of America at 18.1% of net rentable area (NRA), accounting for more than 10.0% of NRA. Additionally, Bank of America is the only investment-grade-rated tenant receiving any DBRS Morningstar Long Term Credit Tenant (LTCT) treatment. The second-largest tenant is Kirkland & Ellis LLP, which accounts for 8.4% of NRA. The rent roll is well diversified, consisting of 41 unique tenants with 19 investment-grade tenants, accounting for 34.4% of NRA. Such diversification is credit positive as the cash flow will be less susceptible to revenue swings, making it more resilient during economic downturns such as during the Coronavirus Disease (COVID-19) pandemic. Although the ongoing pandemic continues to pose challenges and risks to virtually all major commercial real estate property types, the property has shown strong performance during these unprecedented times with approximately 2.1% of the tenants based on total NRA requesting rent relief and a current vacancy rate of 7.3%. The Campus has demonstrated very strong performance with an 11-year historical occupancy rate of 95.3%, greater than the Reis submarket's 91.7%. Tenants plan to bring employees back to the office around May or June for those who want to come into the office. Currently, the Campus is averaging 200 people per day at 555 California and approximately 15 per day at 315 Montgomery; pre-pandemic, 555 California averaged approximately 4,500-5,200 people per day. The Campus has great exposure with a full block frontage on California Street, a primary two-way, four-lane major arterial that runs east to west in downtown San Francisco with the San Francisco Streetcar line, along with full frontage on Pine Street, Montgomery Street, and Kearny Street. Additionally, the location affords excellent access to public transportation, with four BART subway lines that stop twice in the Financial District and transport commuters to and from San Francisco to the East Bay. Although 315 Montgomery was built in 1921 and 555 California Street and 345 Montgomery were built in 1971, the Campus has received approximately $164.8 million or $90.63 psf of capital improvements. 555 California received $64.3 million ($42.72 psf) in capital improvements for concourse renovation and retail enhancements, the opening of the Vault restaurant, roof replacement, new lobby furnishings, HVAC upgrades, and modernizations to the restrooms. 315 Montgomery received $39.7 million ($168.74 psf), and 345 Montgomery received $60.8 million ($779.56 psf) to complete a full renovation and restoration transforming the building into a new creative office building with a five-story atrium. Additionally, 555 California has 30,000-sf office plates with 700,000 sf of protected, unobstructed views, twice as much as its direct competitors. The highly granular rent roll is well diversified, consisting of 41 unique tenants with 19 investment-grade tenants and AM Law rated tenants, accounting for 68.7% of NRA. Bank of America, at 18.1% of NRA, is the only tenant at the property accounting for more than 10.0% of NRA. Bank of America recently executed a lease extension commencing in October 2025 for 10 years. Additionally, only 1.4% of NRA (25,701 sf) of leases are subleased for a WA rent of $90.12 psf to FTV Management Company (962 sf), KKR Credit Advisors (4,673 sf), and Lending Home Corporation (20,066 sf), greater than the in-place WA rent of $79.85 psf. Five tenants, accounting for 2.1% of NRA (37,544 sf), have requested rent relief between May 2020 and July 2020 and are scheduled to repay in 2021. Since 2019, the Campus has renewed or signed approximately 512,825 sf with a WA rent psf of $101.56 equal to $27.0 million of total net. Most recently, the Goldman Sachs Group (Goldman Sachs) executed a five-year lease renewal for 90,000 sf at 555 California, increasing its rent to $110 psf from a base rent of $59-$75 psf. Additionally, Kohlberg Kravis Roberts & Co. L.P. recently executed a four-year renewal for 50,515 sf at a base rent of $110 psf. The ongoing coronavirus pandemic has created an element of uncertainty around future demand for office space, even in gateway markets that have historically been highly liquid. While some tenant spaces are not completely occupied as employees have continued to work from home during the pandemic, all tenants are now open and operating. Approximately 2.1% of the tenants based on total NRA have requested rent relief, most of which are retail tenants. Between December 2020 and March 2021, collections equated to approximately 98.0% with deferrals and abatements combined equating to less than 1% of total revenue. According to management, daily headcount at the property is still much lower than average. The Campus has three years during the loan term with tenant rollover exceeding 10% of NRA: 2023, 2025, and 2026 with 10.4%, 22.6%, and 18.8% rollover, respectively. Leases representing approximately 64.3% of the NRA at the property will roll over through 2028. The loan's cash management provisions are based on a simple 5.5% debt yield trigger in order to sweep excess cash flow or collect reserves for re-tenanting expenses. Furthermore, the tenant rollover reserve is capped at $3,637,800 in aggregate, and the replacement reserve is capped at $1,000,000 in the aggregate. Also, the borrower is allowed to replace any actual cash reserves with a letter of credit or guaranty from an affiliate as further detailed in the loan document. 345 California is currently 100% vacant after undergoing a $60.8 million renovation. The space is not easily subdivided and is best suited for a single tenant. Management indicates there are no tenant letters of intents (LOI) issued. However, during the site inspection on-site management stated there has been interest by prospective tenants. The aggregate probable maximum loss (PML) for 555 California and 345 Montgomery according to the seismic consultant is 14%, and the 315 California building PML is 19% due to its much older construction. The borrower carries an all-risk blanket insurance policy that includes earthquake coverage. The loan is IO for the entire term. The lack of principal amortization during the loan term can increase the refinance risk at maturity. The loan leverage is considered moderate at a 58.5% LTV based upon the market appraised value and a DBRS Morningstar Issuance LTV of 90.21%. Furthermore there is no additional debt allowed other than trade payables capped at 4% of the initial loan amount. Additionally, the sponsor is cashing out approximately $616.0 million of equity, equal to 30.1% of the cost basis. Although the sponsor is extracting an exceptional amount of capital out of the assets, it has also invested substantially in the properties since 2016, spending an estimated $164.8 million on the campus to improve it. Three of the top five tenants, Bank of America, Kirkland & Ellis LLP, and UBS Financial Services (collectively 32.0% of NRA and 33.1% of UW base rent) have the options to terminate their leases. DBRS Morningstar did not give LTCT credit for the Bank of America spaces on floors 11 and 44 that carry the early termination options. All of the tenants have spent considerable amounts of their own capital to improve their spaces, and Bank of America is currently undertaking a full renovation of its space. There is no recourse carve-out guarantor for the loan, and certificate holders must look solely to the net revenues from the operation of the property and any net proceeds from the refinancing or sale of the property for payment of amounts due on the loan. The borrower "Bad Boy"guarantees and consequent access to a guarantor help mitigate the risk and increased loss severity of bankruptcy, additional encumbrances, unapproved transfers, fraud, misappropriation of rents, physical waste, and other potential bad acts of the borrower or its sponsor. The borrower is a recycled special purpose entity (SPE) indirectly owned and controlled by a joint venture between Vornado Realty L.P. (VRLP or Vornado) (70.0% of the equity interest) and Donald J. Trump or one or more trusts for such individual or any affiliate (30.0% of the equity interest). Transfer of the indirect beneficial interests in the borrower owned by Trump may occur, provided that Vornado and/or eligible qualified owners will still control the borrower and directly or indirectly own at least 20% of the direct or indirect beneficial interests in borrower in the aggregate. If any transfer results in any person (together with its affiliates and family members) acquiring more than 49% of the direct or indirect equity interest in borrower, an additional insolvency opinion must be delivered that in the lender's (servicer's) reasonable judgment satisfies the then-current rating agency criteria. The transfer must meet all legal requirements including OFAC, the Patriot Act, and ERISA. Any person that acquires, directly or indirectly, 50% or more of the equity interests in borrower must be an institutional investor. The eligible qualified owner and institutional investor definitions generally require real estate assets owned to be in excess of $2 billion and net worth in excess of $1 billion. The borrower may not permit any transfer of any Vornado direct or indirect interest in the borrower to Trump without the express written consent of the lender, which can granted or withheld in the lender's sole and absolute discretion, and any such transfer of any direct or indirect interest in the Borrower held by Vornado to Trump will not be considered a permitted transfer. The underlying mortgage loan for the transaction will pay floating rate, which presents potential benchmark transition risk as the deadline approaches for the elimination of Libor. The transaction documents provide for the transition to an alternative benchmark rate, which is primarily contemplated to be either Term Secured Overnight Financing Rate (SOFR) 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 for the transaction will have sole discretion over various aspects of a benchmark transition. Any uncertainty or delay in transitioning to an alternative to Libor could lead to unforeseen issues for both the mortgage loan borrower and certificate holders. 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 any proposal and impose its own hedging solution, if any. Notes: All figures are in U.S. dollars unless otherwise noted. SFO COMMERCIAL 2021-555: DBRS Gives Prov. BB Rating on F Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-555 to be issued by SFO Commercial Mortgage Trust 2021-555. -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. SFO 2021-555 is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interest in the 555 California Street Campus (the Campus), a 1.8 million-sf Class A office complex in the North Financial District of San Francisco. J.P. Morgan will fund the total debt of $1.2 billion for the refinancing of the Campus. The IO floating-rate $1.2 billion loan has an initial term of two years with five one-year extension options. The total capitalization of $2.0 billion includes $850.0 million of sponsor equity, which will be used to refinance $532.7 million of existing debt, return $616.0 million of sponsor equity, fund $19.8 million of outstanding TI/LC reserves and $12.5 million of free rent, fund capital improvement reserves for Bank of America for $6.9 million, and pay $12.0 million of closing costs. The transaction has a slightly elevated DBRS Morningstar Issuance LTV of 90.21%, based on the trust debt. The loan-to-value ratio (LTV) based on the appraised value of $2.1 billion is 58.5%. The sponsor is a 70/30 joint venture between Vornado Realty L.P. and Donald J. Trump. The loan is 100% controlled by Vornado Realty Trust, a publicly traded real estate investment trust and a member of the S&P 500 Index. Vornado's portfolio is concentrated in New York City, Chicago, and San Francisco. Vornado acquired the Campus in 2007 and has invested $164.8 million ($90.63 per square foot (psf)) into the Campus since 2016. DBRS Morningstar has a positive view on the near- to midterm sustainability of the Campus' net cash flow (NCF), based on its location, tenancy, and historical performance. The Campus is in the North Financial District in the San Francisco central business district (CBD) market. According to the Q4 2020 appraisal information, the North Financial District has 26.3 million sf of inventory with an overall occupancy rate of 82.4% and a direct weighted-average (WA) Class A rent of $85.96 psf, compared with the South Financial District's total inventory of 27.9 million sf, occupancy rate of 87.7%, and direct WA Class A rent of $85.44 psf. The North Financial District has no office space under construction at this time. Although the North Financial District has a high overall vacancy rate, the Campus significantly outperforms the submarket. As of the February 1, 2021, rent roll, the Campus was 92.7% occupied, including the vacant property, 345 Montgomery, which has completed its renovation. The Campus has a WA occupancy rate of 95.3% since 2010 and benefits from a granular rent roll with only one tenant, Bank of America at 18.1% of net rentable area (NRA), accounting for more than 10.0% of NRA. Additionally, Bank of America is the only investment-grade-rated tenant receiving any DBRS Morningstar Long Term Credit Tenant (LTCT) treatment. The second-largest tenant is Kirkland & Ellis LLP, which accounts for 8.4% of NRA. The rent roll is well diversified, consisting of 41 unique tenants with 19 investment-grade tenants, accounting for 34.4% of NRA. Such diversification is credit positive as the cash flow will be less susceptible to revenue swings, making it more resilient during economic downturns such as during the Coronavirus Disease (COVID-19) pandemic. Although the ongoing pandemic continues to pose challenges and risks to virtually all major commercial real estate property types, the property has shown strong performance during these unprecedented times with approximately 2.1% of the tenants based on total NRA requesting rent relief and a current vacancy rate of 7.3%. The Campus has demonstrated very strong performance with an 11-year historical occupancy rate of 95.3%, greater than the Reis submarket's 91.7%. Tenants plan to bring employees back to the office around May or June for those who want to come into the office. Currently, the Campus is averaging 200 people per day at 555 California and approximately 15 per day at 315 Montgomery; pre-pandemic, 555 California averaged approximately 4,500-5,200 people per day. The Campus has great exposure with a full block frontage on California Street, a primary two-way, four-lane major arterial that runs east to west in downtown San Francisco with the San Francisco Streetcar line, along with full frontage on Pine Street, Montgomery Street, and Kearny Street. Additionally, the location affords excellent access to public transportation, with four BART subway lines that stop twice in the Financial District and transport commuters to and from San Francisco to the East Bay. Although 315 Montgomery was built in 1921 and 555 California Street and 345 Montgomery were built in 1971, the Campus has received approximately $164.8 million or $90.63 psf of capital improvements. 555 California received $64.3 million ($42.72 psf) in capital improvements for concourse renovation and retail enhancements, the opening of the Vault restaurant, roof replacement, new lobby furnishings, HVAC upgrades, and modernizations to the restrooms. 315 Montgomery received $39.7 million ($168.74 psf), and 345 Montgomery received $60.8 million ($779.56 psf) to complete a full renovation and restoration transforming the building into a new creative office building with a five-story atrium. Additionally, 555 California has 30,000-sf office plates with 700,000 sf of protected, unobstructed views, twice as much as its direct competitors. The highly granular rent roll is well diversified, consisting of 41 unique tenants with 19 investment-grade tenants and AM Law rated tenants, accounting for 68.7% of NRA. Bank of America, at 18.1% of NRA, is the only tenant at the property accounting for more than 10.0% of NRA. Bank of America recently executed a lease extension commencing in October 2025 for 10 years. Additionally, only 1.4% of NRA (25,701 sf) of leases are subleased for a WA rent of $90.12 psf to FTV Management Company (962 sf), KKR Credit Advisors (4,673 sf), and LendingHome Corporation (20,066 sf), greater than the in-place WA rent of $79.85 psf. Five tenants, accounting for 2.1% of NRA (37,544 sf), have requested rent relief between May 2020 and July 2020 and are scheduled to repay in 2021. Since 2019, the Campus has renewed or signed approximately 512,825 sf with a WA rent psf of $101.56 equal to $27.0 million of total net. Most recently, the Goldman Sachs Group (Goldman Sachs) executed a five-year lease renewal for 90,000 sf at 555 California, increasing its rent to $110 psf from a base rent of $59-$75 psf. Additionally, Kohlberg Kravis Roberts & Co. L.P. recently executed a four-year renewal for 50,515 sf at a base rent of $110 psf. The ongoing coronavirus pandemic has created an element of uncertainty around future demand for office space, even in gateway markets that have historically been highly liquid. While some tenant spaces are not completely occupied as employees have continued to work from home during the pandemic, all tenants are now open and operating. Approximately 2.1% of the tenants based on total NRA have requested rent relief, most of which are retail tenants. Between December 2020 and March 2021, collections equated to approximately 98.0% with deferrals and abatements combined equating to less than 1% of total revenue. According to management, daily headcount at the property is still much lower than average. The Campus has three years during the loan term with tenant rollover exceeding 10% of NRA: 2023, 2025, and 2026 with 10.4%, 22.6%, and 18.8% rollover, respectively. Leases representing approximately 64.3% of the NRA at the property will roll over through 2028. The loan's cash management provisions are based on a simple 5.5% debt yield trigger in order to sweep excess cash flow or collect reserves for re-tenanting expenses. Furthermore, the tenant rollover reserve is capped at $3,637,800 in aggregate, and the replacement reserve is capped at $1,000,000 in the aggregate. Also, the borrower is allowed to replace any actual cash reserves with a letter of credit or guaranty from an affiliate as further detailed in the loan document. 345 California is currently 100% vacant after undergoing a $60.8 million renovation. The space is not easily subdivided and is best suited for a single tenant. Management indicates there are no tenant letters of intents (LOI) issued. However, during the site inspection on-site management stated there has been interest by prospective tenants. The aggregate probable maximum loss (PML) for 555 California and 345 Montgomery according to the seismic consultant is 14%, and the 315 California building PML is 19% due to its much older construction. The borrower carries an all-risk blanket insurance policy that includes earthquake coverage. The loan is IO for the entire term. The lack of principal amortization during the loan term can increase the refinance risk at maturity. The loan leverage is considered moderate at a 58.5% LTV based upon the market appraised value and a DBRS Morningstar Issuance LTV of 90.21%. Furthermore there is no additional debt allowed other than trade payables capped at 4% of the initial loan amount. Additionally, the sponsor is cashing out approximately $616.0 million of equity, equal to 30.1% of the cost basis. Although the sponsor is extracting an exceptional amount of capital out of the assets, it has also invested substantially in the properties since 2016, spending an estimated $164.8 million on the campus to improve it. Three of the top five tenants, Bank of America, Kirkland & Ellis LLP, and UBS Financial Services (collectively 32.0% of NRA and 33.1% of UW base rent) have the options to terminate their leases. DBRS Morningstar did not give LTCT credit for the Bank of America spaces on floors 11 and 44 that carry the early termination options. All of the tenants have spent considerable amounts of their own capital to improve their spaces, and Bank of America is currently undertaking a full renovation of its space. There is no recourse carve-out guarantor for the loan, and certificateholders must look solely to the net revenues from the operation of the property and any net proceeds from the refinancing or sale of the property for payment of amounts due on the loan. The borrower "Bad Boy"” guarantees and consequent access to a guarantor help mitigate the risk and increased loss severity of bankruptcy, additional encumbrances, unapproved transfers, fraud, misappropriation of rents, physical waste, and other potential bad acts of the borrower or its sponsor. The borrower is a recycled special purpose entity (SPE) indirectly owned and controlled by a joint venture between Vornado Realty L.P. (VRLP or Vornado) (70.0% of the equity interest) and Donald J. Trump or one or more trusts for such individual or any affiliate (30.0% of the equity interest). Transfer of the indirect beneficial interests in the borrower owned by Trump may occur, provided that Vornado and/or eligible qualified owners will still control the borrower and directly or indirectly own at least 20% of the direct or indirect beneficial interests in borrower in the aggregate. If any transfer results in any person (together with its affiliates and family members) acquiring more than 49% of the direct or indirect equity interest in borrower, an additional insolvency opinion must be delivered that in the lender's (servicer's) reasonable judgment satisfies the then-current rating agency criteria. The transfer must meet all legal requirements including OFAC, the Patriot Act, and ERISA. Any person that acquires, directly or indirectly, 50% or more of the equity interests in borrower must be an institutional investor. The eligible qualified owner and institutional investor definitions generally require real estate assets owned to be in excess of $2 billion and net worth in excess of $1 billion. The borrower may not permit any transfer of any Vornado direct or indirect interest in the borrower to Trump without the express written consent of the lender, which can granted or withheld in the lender's sole and absolute discretion, and any such transfer of any direct or indirect interest in the Borrower held by Vornado to Trump will not be considered a permitted transfer. The underlying mortgage loan for the transaction will pay floating rate, which presents potential benchmark transition risk as the deadline approaches for the elimination of Libor. The transaction documents provide for the transition to an alternative benchmark rate, which is primarily contemplated to be either Term Secured Overnight Financing Rate (SOFR) 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 for the transaction will have sole discretion over various aspects of a benchmark transition. Any uncertainty or delay in transitioning to an alternative to Libor could lead to unforeseen issues for both the mortgage loan borrower and certificate holders. 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 any proposal and impose its own hedging solution, if any. Notes: All figures are in U.S. dollars unless otherwise noted. STARWOOD MORTGAGE 2021-2: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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. 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 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 RESIDENTIAL 2021-2: DBRS Gives (P) B Rating on B2 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgaged-Backed Notes, Series 2021-2 to be issued by Starwood Residential Mortgage Trust 2021-2 (STAR 2021-2 or the Trust): -- $172.9 million Class A-1 at AAA (sf) -- $16.3 million Class A-2 at AA (sf) -- $25.8 million Class A-3 at A (sf) -- $16.4 million Class M-1 at BBB (low) (sf) -- $10.5 million Class B-1 at BB (low) (sf) -- $7.1 million Class B-2 at B (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 31.90% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 25.50%, 15.35%, 8.90%, 4.75%, and 1.95% of credit enhancement, respectively. This securitization consists of a portfolio of fixed- and adjustable-rate, expanded prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2021-2 (the Certificates). The Certificates are backed by 904 mortgage loans with a total principal balance of $253,917,040 as of the Cut-Off Date (April 1, 2021). The originators for the mortgage pool are Impac Mortgage Corp. (Impac; 56.1%), CIVIC Financial Services (Civic; 20.0%), HomeBridge Financial Services, Inc. (HomeBridge; 11.5%); and other originators, each comprising less than 10% of the mortgage pool. The Servicer of the loans is Select Portfolio Servicing, Inc. (SPS). Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) QM and Ability-to-Repay (ATR) rules where applicable, they were made to borrowers who generally do not qualify for agency, government or private-label non-agency prime jumbo products for various reasons. In accordance with the QM/ATR rules, approximately 30.7% of the loans are designated as non-QM. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS certificates, representing at least 5% of the Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Also, it is expected that on the Closing Date, an affiliate of the Depositor will purchase at least a significant portion of the Class B-1, Class B-2, and Class B-3 certificates. On or after the earlier of (1) the distribution date in May 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, Starwood Non-Agency Securities Holdings, LLC (SNASH) as Optional Redemption Holder may redeem all outstanding certificates (Optional Redemption) at a price equal to the greater of a) unpaid balances of the mortgage loans plus accrued, unpaid interest and the fair market value of all real estate-owned (REO) properties, and deferred amounts (excluding the forbearance Amounts as of the Cut-off Date) and b) the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses and indemnity payments due and unpaid to the transaction parties, including any unreimbursed servicing advances (Optional Redemption Price). The Optional Redemption Holder is an entity designated by the Depositor and a 50% affiliate of the Depositor. The Seller (SMRF TRS LLC) will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Bankers Association (MBA) method (or in the case of any mortgage loan that has been subject to a forbearance plan related to the impact of the Coronavirus Disease (COVID-19) pandemic, on any date from and after the date on which such loan becomes more than 90 days delinquent under the MBA Method from the end of the forbearance period) at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date (excluding any loan repurchased by the Seller related to a breach of a representation and warranty). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 certificates (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated certificates. For more subordinate certificates, including Class A-3 certificates after a Trigger Event, principal proceeds can be used to cover interest shortfalls as the more senior certificates are paid in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-3. This portfolio contains 61.2% investor loans, which were originated to investors under debt service coverage ratio (DSCR) programs, which use property cash flow or the DSCR to qualify borrowers for income. DSCR is typically calculated as market rental value (validated by an appraisal report) divided by the principal, interest, taxes, insurance, and association dues (PITIA). 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 arise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. 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 debt-to-income (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, amongst 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 expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario, (see "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021), for the non-QM asset class DBRS Morningstar assumes a combination of higher unemployment rates, lower voluntary prepayment rates, and more conservative home price assumptions than what DBRS Morningstar previously used. 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, 21.8% of the borrowers were on forbearance plans at some point because the borrowers reported financial hardship related to coronavirus. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. SPS, in collaboration with Starwood Non-Agency Lending, LLC (SNAL), is 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 to go on a repayment plan to catch up on missed payments for several, typically six months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. DBRS Morningstar had a conference call with SPS and SNAL regarding their approach to the forbearance loans and understood that SPS would attempt to contact the borrowers before the expiration of the forbearance period and evaluate the borrowers' capacity to repay the missed amounts. As a result, SPS, in collaboration with SNAL, may offer a repayment plan or other forms of payment relief, such as deferral of the unpaid principal and interest amounts or a loan modification, in addition to pursuing other loss mitigation options. Notes: All figures are in U.S. dollars unless otherwise noted. UBS-CITIGROUP 2011-C1: DBRS Lowers Class F Certs Rating to C(sf) ---------------------------------------------------------------- DBRS Morningstar downgraded its ratings on four classes of the Commercial Mortgage Pass-Through Certificates, Series 2011-C1 issued by UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, as follows: -- Class C to A (low) (sf) from AA (sf) -- Class D to BB (high) (sf) from A (sf) -- Class E to CCC (sf) from BBB (low) (sf) -- Class F to C (sf) from CCC (sf) Classes E, F, and G were removed from Under Review with Negative Implications, where they were placed on August 6, 2020. The trends for Classes C and D have been changed to Negative from Stable. Classes E and F have been assigned ratings that do not carry trends. DBRS Morningstar also confirmed the ratings on the following classes as follows: -- Class A-3 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class G at C (sf) The trends for the confirmed classes remain Stable, with the exception of Class G, which has a rating that does not carry a trend. DBRS Morningstar placed Interest in Arrears designations for Classes E, F, and G. The rating downgrades and trend changes generally reflect DBRS Morningstar's loss expectations for two top-10 loans in special servicing: Poughkeepsie Galleria (Prospectus ID#2, 15.8% of the pool) and Marriott Buffalo Niagara (Prospectus ID#9, 5.5% of the pool). Both loans have been on the DBRS Morningstar Hotlist because of cash flow declines and both were transferred to special servicing in April 2020 because of imminent monetary default. According to the servicer, the respective sponsors each cited the Coronavirus Disease (COVID-19) pandemic as the primary contributor to the defaults. In addition to these two loans, there are another four loans in special servicing as of the April 2021 remittance, three of which are backed by hospitality property types. In total, the specially serviced loans represent 37.8% of the pool balance. A relatively small number of loans are on the servicer's watchlist, with just three loans representing 5.2% of the pool, all of which are being monitored for low debt service coverage ratios (DSCRs) and were analyzed with elevated probability of default (PoD) figures to increase the expected loss for this review. The Poughkeepsie Galleria loan is split pari passu across the subject and the UBS 2012-C1 transaction, not rated by DBRS Morningstar. The loan is secured by a regional mall in Poughkeepsie, New York. As of the April 2021 remittance, the loan was over 121 days delinquent, with the servicer noting that a resolution strategy has yet to be determined. According to the November 2020 appraisal, the property was valued at $68.6 million, a drastic decline compared with the issuance appraised value of $237.0 million and well below the outstanding principal balance on the whole loan of just over $137.0 million. The value decline is largely the result of sustained cash flow declines from issuance, as well as the presence of two dark anchor boxes and a significantly higher cap rate assumed by the appraiser for the 2020 valuation as compared with cap rate assumed in the issuance appraisal. As of year-end (YE) 2020, the subject loan reported a DSCR of 0.42 times (x), down from the YE2019 DSCR of 0.89x, and the YE2018 DSCR of 1.06x. Collateral anchors at issuance included Sears and JCPenney, but both retailers closed their locations at the subject mall in 2020 and both spaces remain vacant. Remaining anchors include a collateral Regal Cinemas, which remains temporarily closed, and a non-collateral Target and Macy's. The loan sponsor is The Pyramid Companies (Pyramid), a privately held company that owns 16 regional malls totaling 17.8 million square feet (sf) located in the Northeast United States. Pyramid has several commercial mortgage-backed securities (CMBS) loans backed by malls within its portfolio and most are in special servicing. The firm has been widely reported to be in financial distress, brought on by the pandemic, but DBRS Morningstar believes the problems were likely brewing well before 2020 given the firm's portfolio, which is largely composed of regional mall properties in tertiary markets that have been particularly vulnerable amid the changes in shopper habits that have driven traffic away from mall property types. Given the sharp decline in appraisal value for Poughkeepsie Galleria and the other factors contributing to significantly increased risks for this loan including the low occupancy rate with two dark anchor boxes, the sponsor's relatively limited access to capital as a private company with a regionally concentrated portfolio and the generally poor outlook for the mall's prospects going forward in the face of the changing retail landscape, DBRS Morningstar liquidated the loan in the analysis for this review, with a loss severity in excess of 75.0%. The Marriott Buffalo loan is secured by a full-service hotel in Amherst, New York, located within the Buffalo metropolitan statistical area and approximately 20 miles southeast of Niagara Falls. According to the March 2021 appraisal obtained by the special servicer, the property was valued at $14.0 million, another drastic decline compared with the issuance appraised value of $57.2 million. Like the Poughkeepsie Galleria, the subject loan was also showing significant performance declines prior to the onset of the coronavirus pandemic, with these trends contributing to the sharp drop off in property value. The servicer reported a DSCR of 1.32x as of September 2019, which was below the already declined DSCR figures in previous years that hovered near 1.50x. At issuance, the DBRS Morningstar DSCR was 2.26x. Hotel revenues were initially above the issuance figures for the first few years of the life of the loan, but began falling in 2014 and have continued to show year-over-year declines for every year since. Although the loan was above water, the coronavirus pandemic delivered an insurmountable challenge in the lack of bookings and the sponsor has advised the servicer that additional equity will no longer be contributed to the property or the loan and the servicer appears to be working to initiate foreclosure proceedings. The challenges for the hotel are significant and DBRS Morningstar does not expect there to be any meaningful recovery in the property's as-is value through the workout and disposition process. Based on a haircut to the March 2021 valuation, the loan was liquidated in the analysis for this review, with a loss severity in excess of 54.0%. As previously mentioned, there are three additional loans in special servicing backed by hospitality property types, including the DoubleTree Chattanooga loan (Prospectus ID #10, 4.5% of the pool), which is secured by a full-service hotel in Chattanooga, Tennessee, and is listed as current as of the April 2021 remittance. The special servicer is processing a maturity extension request for the June 2021 maturity date and the sponsor appears to be cooperating with the special servicer. This loan was generally performing in line with expectations prior to 2019, when cash flows dipped slightly because of a combination of slightly lower revenues and increased expenses as compared with prior years. Given the stable performance prior to the pandemic and the lack of significant delinquency since the onset of the coronavirus pandemic, DBRS Morningstar expects an agreement for a maturity extension will be reached. There has been no updated appraisal obtained by the special servicer to date, but the amortization since issuance has reduced the trust's exposure to $17.9 million, suggesting the issuance valuation of $33.0 million would have to be reduced by nearly half to suggest the a loan-to-value ratio (LTV) in excess of 100.0%. The other two hotel loans in special servicing, Hospitality Specialists Portfolio – Pool 1 (Prospectus ID #12, 4.3% of the pool) and Hospitality Specialists Portfolio – Pool 2 (Prospectus ID #11, 4.5% of the pool), are each backed by portfolios of three limited-service hotel properties, all six of which are located in tertiary markets in Michigan and Illinois. The loans transferred to special servicing in February 2021 and the special servicer’s commentary suggests negotiations are in the initial stages for both. The performance for the Pool 1 loan has generally been in line with issuance expectations but the Pool 2 loan began reporting cash flow declines in 2017, when the YE2017 DSCR was reported at 1.16x, where it remained in 2018 before falling to 0.87x at YE2019. Given the performance declines for Pool 2, and the outstanding delinquency and transfer to special servicing for both loans, both were analyzed with an elevated PoD to increase the expected losses for this review . As of the April 2021 remittance, 24 of the original 32 loans remained in the subject pool, representing a collateral reduction of 41.8% since issuance. 12 of the remaining loans are fully defeased, representing 50.2% of the pool balance. All of the remaining loans are scheduled to mature by the end of 2021 and there has been one loan resolved with a loss to date in the Holiday Inn Express Cooperstown loan, which was disposed with a nominal loss of approximately $81,000 in 2016. The remaining pool is concentrated in retail and hotel properties, which represent 32.8% and 20.0% of the pool, respectively. The defeasance insulates top two remaining classes but the likelihood of significant losses for the two largest loans in special servicing as previously outlined, as well as the increased risks for the remaining loans in special servicing and those on the servicer's watchlist support the rating downgrades and trend changes with this review. Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2021-1: DBRS Gives Prov. B Rating on 3 Classes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the Mortgage-Backed Certificates, Series 2021-1 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2021-1 (VCC 2021-1) as follows: -- $190.5 million Class A at AAA (sf) -- $190.5 million Class A-S at AAA (sf) -- $190.5 million Class A-IO at AAA (sf) -- $24.1 million Class M-1 at AA (low) (sf) -- $24.1 million Class M1-A at AA (low) (sf) -- $24.1 million Class M1-IO at AA (low) (sf) -- $9.7 million Class M-2 at A (low) (sf) -- $9.7 million Class M2-A at A (low) (sf) -- $9.7 million Class M2-IO at A (low) (sf) -- $5.0 million Class M-3 at BBB (sf) -- $5.0 million Class M3-A at BBB (sf) -- $5.0 million Class M3-IO at BBB (sf) -- $7.0 million Class M-4 at BB (sf) -- $7.0 million Class M4-A at BB (sf) -- $7.0 million Class M4-IO at BB (sf) -- $4.1 million Class M-5 at B (sf) -- $4.1 million Class M5-A at B (sf) -- $4.1 million Class M5-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are interest-only certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 28.00% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 18.90%, 15.25%, 13.35%, 10.70%, and 9.15% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. VCC 2021-1 is a securitization of a portfolio of newly originated fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. The securitization is funded by the issuance of the Certificates, which are backed by 672 mortgage loans with a total principal balance of $264,527,798 as of the Cut-Off Date (April 1, 2021). Approximately 49.0% of the pool comprises residential investor loans and about 51.0% of SBC loans. All of the loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity). The loans were underwritten by Velocity to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (No Ratio). The lender reviews the mortgagor's credit profile, though the lender does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with a balance over $500,000. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA-RESPA Integrated Disclosure rule. The proposed pool is about one month seasoned on a weighted-average (WA) basis, although seasoning may span from zero up to six months. Except for 11 loans (1.8% of the pool) that have missed one payment, the loans have been performing since origination. Of the 11 loans that were 30 days delinquent as of the Cut-Off Date, eight have cured the delinquency and become current. PHH Mortgage Corporation will service all loans within the pool for a servicing fee of 0.30% per annum. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under the Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will act as the Trustee, Paying Agent, and Custodian. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class P and Class XS Certificates, representing at least 5% of the of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor is also expected to retain the Class M-7 Certificates. On or after the later of the (1) three-year anniversary of the Closing Date or (2) date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the outstanding subordinate certificates with the lowest priority of principal distributions. The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each Class's target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each Class's target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over a life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net WA coupon shortfalls. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY Of the 303 loans, 294 loans, representing 97.8% of the SBC portion of the pool, have a fixed interest rate with a straight average of 8.1%. The nine floating-rate loans have interest rate floors (excluding rate margins) ranging from 2.49% to 5.49% with a straight average of 3.96% and interest rate margins ranging from 4.00% to 5.00% with a straight average of 4.56%. To determine the probability of default (POD) and loss given default 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 WA modeled coupon rate was 7.83%. The loans have original term lengths of 30 years and fully amortize over 30-year schedules. 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 232 loans, representing 78.9% of the SBC pool, with term DSCRs below 1.15 times (x), a threshold indicative of a higher likelihood of term default. All SBC loans were originated between September 2020 and March 2021, resulting in minimal seasoning of 2.1 months on average. The SBC pool has a WA original term length of 360 months, or 30 years, with a WA remaining term of 358 months, or 29.8 years. Based on the current loan amount, which reflects approximately five basis points of amortization, and the current appraised values, the SBC pool has an average loan-to-value (LTV) ratio of 62.3%. However, DBRS Morningstar made LTV adjustments to 57 loans that had an implied capitalization rate more than 200 basis points lower than a set of minimal capitalization rates established by the DBRS Morningstar Market Rank. The DBRS Morningstar minimal capitalization rates range from 5.0% for properties in DBRS Morningstar Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher DBRS Morningstar LTV of 69.6%. Lastly, all loans fully amortize over their respective remaining terms, resulting in a 100.0% expected amortization. This amount of amortization is greater than typical of CMBS conduit pools as 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 medial rate 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 IO certificates by notching 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 SBC pool of loans. STRENGTHS – SBC LOANS -- The CMBS pool has a WA expected loss of 3.79%, which is lower than recently analyzed comparable small balance transactions. Contributing factors to the low expected loss include pool diversity, moderate leverage, and fully amortizing loans. -- The SBC pool is quite diverse based on loan size, with an average balance of $445,327, a concentration profile equivalent to that of a transaction with 190 equal-size loans, and a top-10 loan concentration of 12.7%. Increased pool diversity helps to insulate the higher-rated classes from event risk. -- The loans are mostly secured by traditional property types (i.e., retail, multifamily, office, and industrial) with no exposure to higher-volatility property types, such as hotels, self-storage, or manufactured housing communities. -- All 303 loans in the SBC pool fully amortize over their respective remaining loan terms between 354 and 360 months, reducing refinance risk. CHALLENGES AND STABILIZING FACTORS – SBC LOANS -- As classified by DBRS Morningstar for modeling purposes, the SBC pool contains a significant exposure to retail (22.4% of the SBC pool) and a smaller exposure to office (11.7% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condo. Combined, they represent more than one-third of the pool balance. Retail, which has struggled because of the) pandemic, comprises the second-largest asset type in the transaction. -- DBRS Morningstar applied a 20.0% reduction to the NCF for retail properties and a 30.0% reduction for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS-analyzed deals. -- Multifamily comprises the third-largest property type concentration in the SBC pool (18.4%); 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 loans 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 50 loans DBRS Morningstar sampled, 24.9% were Average quality and 75.1% were Average – (38.0%), Below Average (34.2%), or Poor (2.9%) 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 loans and is consistent with other SBC transactions. -- Limited property-level information was available for DBRS Morningstar to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical financial cash flows were generally not available for review in conjunction with this securitization. -- DBRS Morningstar received and reviewed appraisals for the top 30 loans, which represent 28.0% of the SBC pool balance. These appraisals were issued between August 2020 and March 2021 when the respective loans were originated. DBRS Morningstar was able to perform loan-level cash flow analysis on the top 30 loans in the pool. The haircuts ranged from -4.1% to -37.0%, with an average of -18.1%; however, DBRS Morningstar applied more conservative haircuts on the unsampled loans. -- No ESA reports were provided and are not required by the Issuer; however, all of the loans are placed onto an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. -- 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 12-month pay history on each loan as of March 31, 2021. If any loan had more than two late pays within this period or was currently 30 days past due, DBRS Morningstar applied an additional stress to the default rate. This occurred for only nine loans, representing 3.4% of the SBC pool balance. -- Finally, DBRS Morningstar received a borrower FICO score as of March 31, 2021, for all 303 loans, with an average FICO score of 725. While the CMBS Methodology does not contemplate FICO scores, the Residential Mortgage-Backed Securities (RMBS) Methodology does and would characterize a FICO score of 725 as near-prime, whereas prime is considered greater than 750. Borrowers with a FICO score of 725 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. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 369 mortgage loans with a total balance of approximately $129.6 million collateralized by one- to four-unit investment properties. The mortgage loans were underwritten by Velocity to No Ratio program guidelines for business-purpose loans. The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many RMBS asset classes, some meaningfully. The non-Qualified Mortgage (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 Consumer Financial Protection Bureau's Ability-to-Repay 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 IO or higher debt-to-income 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. Of note, all residential investor loans in the pool are exempt from the QM Rules. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: Implications for Credit Ratings," published on April 16, 2020) for the non-QM asset class and residential investor loans DBRS Morningstar assumes a combination of higher unemployment rates, lower voluntary prepayment rates, and more conservative home price assumptions than what DBRS Morningstar previously used. 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 and residential investor loans, 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 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 less 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 Act, signed into law on March 27, 2020, no borrowers are on forbearance plans because the borrowers reported financial hardship related to coronavirus. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. In 2020, Velocity, in collaboration with its servicers, generally offered borrowers a three-month payment forbearance plan. Beginning in month four, the borrower could repay all of the missed mortgage payments at once or opt to go on a repayment plan to catch up on missed payments for several, typically six months. During the repayment period, the borrower needed to make regular payments and additional amounts to catch up on the missed payments. DBRS Morningstar had conference calls with PHH and Velocity regarding their approach to the forbearance loans and understood that if Velocity begins offering forbearance plans again in the future, PHH or Velocity will attempt to contact the borrowers before the expiration of the forbearance period and evaluate the borrowers' capacity to repay the missed amounts. As a result, PHH, in collaboration with Velocity, may offer a repayment plan or other forms of payment relief, such as deferral of the unpaid principal and interest amounts or a loan modification, in addition to pursuing other loss mitigation options. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2021-R3: DBRS Gives (P)B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2021-R3 to be issued by Verus Securitization Trust 2021-R3: -- $329.7 million Class A-1 at AAA (sf) -- $28.7 million Class A-2 at AA (sf) -- $42.2 million Class A-3 at A (sf) -- $26.0 million Class M-1 at BBB (low) (sf) -- $14.4 million Class B-1 at BB (sf) -- $12.3 million Class B-2 at B (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 27.75% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (low) (sf), BB (sf), and B (sf) ratings reflect 21.45%, 12.20%, 6.50%, 3.35%, and 0.65% of credit enhancement, respectively. This securitization is a portfolio of seasoned fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,187 mortgage loans with a total principal balance of $456,322,141 as of the Cut-Off Date (May 1, 2021). The mortgage pool consists primarily of loans from collapsed previously issued Verus transactions. The loans are on average more seasoned than a typical new origination non-Qualified Mortgage (non-QM) securitization. The DBRS Morningstar calculated weighted-average loan age is 29 months, and all of the loans are seasoned 24 months or more. Within the pool, 97.0% of the loans are current, 2.2% are 30 days delinquent, and 0.8% are 60 days or more delinquent. All loans that remain 60 days or more delinquent on the closing date will be removed from the pool. The Coronavirus Disease (COVID-19)-affected loans account for 34.8% of the pool and are described in further detail below. The originators for the mortgage pool are Sprout Mortgage (21.2%) and other originators, each comprising less than 10.0% of the mortgage loans. The Servicers of the loans are Shellpoint Mortgage Servicing (79.1%) and Specialized Loan Servicing LLC (SLS; 20.9%). 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, 46.7% of the loans are designated as non-QM and one loan is designated as QM rebuttable presumption. Approximately 53.3% 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 consisting of not less than 5% of each Note, 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 Distribution Date occurring in May 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 Paying Agent, at the Controlling Holder'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 (Optional Redemption Price). After such purchase, the Paying Agent 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. If the Sponsor (or an affiliate) is not the Controlling Holder and there is more than one Class XS Noteholder, a Third-Party Auction may be requested. The Third-Party Auction Bid must equal or exceed the Optional Redemption Price for the qualified liquidation to take place. The P&I Advancing Party or servicer in the case of loans serviced by SLS 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 pandemic. As 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 Notes sequentially 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 first before being allocated to unpaid cap carryover amounts to Class A-1 down to Class B-2. 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, some meaningfully. 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 or higher debt-to-income 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 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 (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 pandemic 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, 34.8% (as of May 1, 2021) of the borrowers had been granted forbearance or deferral plans because of financial hardship related to the coronavirus pandemic. 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. Notes: All figures are in U.S. dollars unless otherwise noted. VISIO 2021-1R: DBRS Finalizes B(low) Rating on Class B-2 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2021-1R issued by Visio 2021-1R Trust (Visio 2021-1R): -- $120.9 million Class A-1 at AAA (sf) -- $12.6 million Class A-2 at AA (sf) -- $19.1 million Class A-3 at A (low) (sf) -- $7.2 million Class M-1 at BBB (low) (sf) -- $8.6 million Class B-1 at BB (low) (sf) -- $4.6 million Class B-2 at B (low) (sf) The AAA (sf) rating on the Class A-1 Notes reflects 31.65% of credit enhancement provided by subordinated Notes. The AA (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 24.50%, 13.70%, 9.65%, 4.80%, and 2.20% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of fixed- and adjustable-rate, expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Notes. This transaction marks the eighth securitization from Residential Credit Opportunities II, LLC (the Sponsor) backed entirely by loans originated to investors under debt service coverage ratio (DSCR) programs. The Notes are backed by 936 mortgage loans with a total principal balance of $176,826,267 as of the Cut-Off Date (March 31, 2021). Of the 936 loans, 626 loans (65.3% of the pool) are from collapsed previously issued Visio transactions and the remaining loans (34.7%) are recently originated mortgages not previously securitized. Visio Financial Services Inc. and Lima One Capital, LLC are the originators for the mortgage pool. The servicer of the loans is Servis One, Inc. doing business as BSI Financial Services. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Since the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB's) Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. Residential Credit Opportunities II, LLC (the Sponsor), directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of the Class B-1, B-2, B-3, and XS Notes, representing at least 5% of the Notes, to satisfy the risk-retention requirement in the European Union Securitization Regulation and United Kingdom Securitization Regulation, and subsequently, 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 24th payment date 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 Depositor may redeem all outstanding Notes at a price equal to the sum of outstanding Note amounts plus accrued and unpaid interest as well as unreimbursed advances, fees, and indemnification amounts of the transaction parties. The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association (MBA) method at par plus interest, provided that such purchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Servicer will not fund advances of delinquent principal and interest (P&I) on any mortgage. The Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. Similar to some nonqualified mortgage (non-QM) deals issued during the Coronavirus Disease pandemic, the transaction employs a sequential-pay cash flow structure. However, Visio 2021-1R contains certain distinct aspects. Unique Transaction Features Within the priority of payments, when the credit event is in effect, interest payments or principal payments will not be made to Class B-1, B-2, and B-3 Notes until the Class A-1, A-2, A-3, and M-1 Notes' balances are reduced to zero. This structure redistributes the cash flow from junior bonds and provides further protection to the more senior bonds. In addition, unlike most non-QM securitizations where the servicers fund advances of delinquent P&I on loans up to 180 days delinquent, for this transaction, the Servicer will not fund any P&I advances. The Servicer, however, is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. The no advancing mechanism may increase the probability of periodic interest shortfalls in the current economic environment affected by the pandemic. As a large number of borrowers seek forbearance on their mortgages in the coming months, P&I collections may be reduced meaningfully. 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 or higher debt-to-income 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 Act, signed into law on March 27, 2020, the borrower of one mortgage loan (0.7% of the pool) is under a forbearance program because their financial situation may be adversely affected by the coronavirus; additionally, the borrowers of 21 mortgage loans (3.8% of the pool) have gone through their forbearance periods and have begun their repayment plans. These forbearance plans allow partial payment relief for an initial period, followed by repayment once the relief period ends. In order to qualify for a forbearance plan as a result of the pandemic, the Servicer will require the related mortgagor for the related Mortgage Loan to complete a hardship affidavit to certify the hardship is related to the coronavirus. The Servicer, in collaboration with the Depositor, is offering borrowers (who are contractually current prior to applying) a nine-month forbearance plan where the mortgagor pays 50% of its contractual monthly payment for each of the first three months during the plan and 125% of its contractual monthly payment for each of the last six months during the plan. In order to qualify for such forbearance plan, the borrowers must provide documents to show coronavirus-related financial hardship and must be contractually current prior to applying. Further, the Servicer 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 this deal, 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: (1) Increasing delinquencies for the AAA (sf) and AA (sf) rating levels for the first 12 months. (2) Increasing delinquencies for the A (low) (sf) and below rating levels for the first nine months. (3) Applying no voluntary prepayments for the AAA (sf) and AA (sf) rating levels for the first 12 months. (4) Delaying the receipt of liquidation proceeds for the AAA (sf) and AA (sf) rating levels for the first 12 months. Notes: All figures are in U.S. dollars unless otherwise noted. VMC FINANCE 2021-FL4: DBRS Gives Prov. B(low) Rating on G Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by VMC Finance 2021-FL4 LLC: -- 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 collateral consists of 23 floating-rate mortgage loans secured by 29 mostly transitional real estate properties with a cut-off date pool balance of approximately $927.9 million, excluding nearly $92.3 million of future funding commitments that remained outstanding as of the mortgage loan cut-off date. Most loans are in a period of transition with plans to stabilize and improve asset value. During the Permitted Funded Companion Participation Acquisition Period, the Issuer may acquire Related Funded Companion Participations subject to, among other criteria, receipt of a no-downgrade confirmation from DBRS Morningstar (commonly referred to as a rating agency confirmation (RAC)), except that such confirmation will not be required with respect to the acquisition of a participation if the principal balance of the participation being acquired is less than $1.0 million. The transaction does not permit the ability to reinvest or add unidentified assets to the pool postclosing, except that principal proceeds can be used to acquire the aforementioned Related Funded Companion Participations. The loans are generally secured by traditional property types (i.e., retail, multifamily, and office) with only three loans, representing 11.1% of the cut-off date pool balance, secured by nontraditional property types such as hospitality and self-storage. Additionally, no loans are secured by student-housing properties, which often exhibit higher cash flow volatility than traditional multifamily properties. Five loans, representing 27.6% of the cut-off date pool balance, exhibited either Average + or Above Average property quality. Additionally, no loans exhibited Average – or Below Average property quality. Based on the initial pool balances, the overall weighted-average (WA) DBRS Morningstar As-Is debt service coverage ratio (DSCR) of 0.74x and WA As-Is loan-to-value ratio (LTV) of 80.1% generally reflect high-leverage financing. Most of the assets are generally well positioned to stabilize, and any realized cash flow growth would help to offset a rise in interest rates and improve the overall debt yield of the loans. DBRS Morningstar associates its loss given default (LGD) based on the assets' as-is LTV, which does not assume that the stabilization plan and cash flow growth will ever materialize. The DBRS Morningstar As-Is DSCR at issuance does not consider the sponsor's business plan, as the DBRS Morningstar As-Is net cash flow (NCF) was generally based on the most recent annualized period. The sponsor's business plan could have an immediate impact on the underlying asset performance that the DBRS Morningstar As-Is NCF is not accounting for. When measured against the DBRS Morningstar Stabilized NCF, the WA DBRS Morningstar DSCR is estimated to improve to 1.05x, suggesting that the properties are likely to have improved NCFs once the sponsor's business plan has been implemented. Eleven loans, comprising 54.5% of the cut-off date pool balance, represent refinancings. The refinancings within this securitization generally do not require the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, resulting in a lower sponsor equity basis in the underlying collateral. Generally speaking, the refinance loans are performing at a higher level and have less stabilization to do. Of the 11 refinance loans, five loans, comprising 42.2% of the refinancings, reported occupancy rates higher than 80.0%. Additionally, the 11 refinance loans exhibited a WA growth between as-is and stabilized appraised value estimates of 11.6% compared with the overall WA appraised value growth of 17.2% of the pool and the WA appraised value growth of 23.9% exhibited by the pool's acquisition loans. Twenty-three loans, comprising 100.0% of the cut-off date pool balance, have floating interest rates. All of the aforementioned loans are IO through the full duration of the initial loan term (and eight loans comprising 33.4% of the cut-off date pool balance are IO through the fully extended loan period) with original terms ranging from 24 to 48 months, creating interest rate risk. All identified floating-rate loans are short-term loans with maximum fully extended loan terms of 60 months or less. Additionally, for all 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 with 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. DBRS Morningstar did not conduct interior or exterior tours of the properties because of health and safety constraints associated with the ongoing Coronavirus Disease (COVID-19) pandemic. 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 to each loan. Recent third-party reports were provided for all loans and contained property quality commentary and photos. With regard to the pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis, for example by front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in U.S. dollars unless otherwise noted. VOYA CLO 2017-1: Moody's Raises Class C Notes Rating From Ba1 ------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes issued by Voya CLO 2017-1, LTD. (the "Issuer"). Moody's rating action is as follows: US$320,000,000 Class A-1-R Floating Rate Notes Due 2030 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$60,000,000 Class A-2-R Floating Rate Notes Due 2030 (the "Class A-2-R Notes"), Assigned Aa1 (sf) US$32,500,000 Class B-R Deferrable Floating Rate Notes Due 2030 (the "Class B-R Notes"), Assigned A2 (sf) Additionally, Moody's has taken rating action on the following outstanding notes originally issued by the Issuer on April 12, 2017 (the "Original Closing Date"): US$27,500,000 Class C Deferrable Floating Rate Notes Due 2030 (the "Class C Notes"), Upgraded to Baa3 (sf); previously on September 15, 2020 Downgraded to Ba1 (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. Voya Alternative Asset 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 reinvestment period. The Issuer previously issued two other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period; the inclusion of alternative benchmark replacement provisions; changes to the definition of "Moody's Adjusted Weighted Average Rating Factor". Moody's rating actions on the Class C 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: $488,522,823 Defaulted par: $1,160,512 Diversity Score: 92 Weighted Average Rating Factor (WARF): 2862 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.23% Weighted Average Recovery Rate (WARR): 48.3% Weighted Average Life (WAL): 4.7 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: additional near-term defaults of companies facing liquidity pressure; 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 Moody's ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. WELLFLEET CLO X: S&P Assigns B- Rating on $5.550MM Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 2019-1: S&P Affirms 'BB-(sf)' Class B-4 Certs Rating ---------------------------------------------------------------- S&P Global Ratings reviewed its rating on the class B-4 certificates issued from Wells Fargo Mortgage Backed Securities 2019-1 (WFMBS 2019-1) due to reported interest shortfalls. S&P affirmed its 'BB- (sf)' rating on the class B-4 certificates after receiving a revised April 2021 distribution report from the securities administrator, Wells Fargo Bank N.A. The revised April 2021 distribution report showed a decrease to the remaining unpaid interest shortfall amount on the class B-4 certificates. Rating Actions The class B-4 certificates issued from WFMBS 2019-1 had its first reported interest shortfall during the August 2020 remittance report and continued to report interest shortfalls through the April 2021 remittance period (nine periods). Based on S&P's "S&P Global Ratings Definitions," published Jan. 5, 2021, an outstanding interest shortfall for a duration of nine periods is consistent with a maximum potential rating of 'BBB- (sf)'. On May 14, 2021, Wells Fargo Bank N.A., as servicer to the transaction, revised and restated certain modification reporting occurring between the August 2020 and April 2021 distribution dates. As a result, Wells Fargo Bank N.A., in its capacity as securities administrator, has restated the distributions in accordance with Depository Trust & Clearing Corp.'s policy and intends to make future adjustments to incorporate the historic impact of those affected distributions. The restatement and redistribution of funds caused the outstanding interest shortfall on the class B-4 certificates to decrease from $72,067 to $271, which we believe to be a de minimis amount. S&P said, "We believe that the remaining interest shortfall amount on the class B-4 certificates will be fully reimbursed next month and are unlikely to occur going forward as Wells Fargo Bank N.A. has updated their modification reporting to conform to the related transaction documents. "As part of our surveillance review process, we will continue to monitor the speed at which the interest shortfall amounts are being reimbursed, as well as the transaction's overall credit quality." 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." WORLDWIDE PLAZA 2017-WWP: DBRS Confirms BB Rating on Class F Certs ------------------------------------------------------------------ DBRS, Inc. confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-WWP issued by Worldwide Plaza Trust 2017-WWP: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (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 transaction consists of a $705.0 million participation in a $940.0 million first-lien, whole mortgage loan secured by a Class A office property in Manhattan. In addition to the first-lien mortgage, there is $260.0 million of mezzanine debt held outside the trust. The 10-year trust loan matures in November 2027 and is sponsored by a joint venture between SL Green and RXR Realty LLC. The property totals 1.8 million square feet (sf) and occupies an entire block between 49th Street and 50th Street at 825 Eighth Avenue in New York City's Time Square/West Side submarket. The property also includes 10,592 sf of ground-level retail, and the C and E subway lines are accessible via a station beneath the building. The two largest tenants, Nomura Holding America, Inc. (Nomura) and Cravath, Swaine & Moore LLP (Cravath), collectively account for 68.9% of net rentable area (NRA). Nomura, representing 38% of NRA, uses the space at the property as its North American headquarters. Nomura is an investment-grade tenant and has a lease expiry in September 2033, but the leases also contain a contraction option for up to 10.0% of its total NRA for the five-year period commencing in February 2022 and a one-time termination right for all of its space in January 2027, following an 18-month notice period. Cravath, representing 26.8% of NRA, also uses the space for its headquarters and leases the highest floors at the property. Cravath's current lease expires in August 2024, and the tenant confirmed in October 2019 that it plans to relocate its headquarters to Two Manhattan West in 2024. Furthermore, Cravath's contractual rental rate of $95.00 per square foot (psf) is significantly higher than the Midtown West submarket's asking rents of $72.52 psf according to Reis, which will likely have an adverse effect on cash flow. Mitigating these concerns is the amount of space that Cravath is subleasing to notable tenants including McCarter & English, LLP, Heritage Realty LLC, and AMA Consulting Engineers, P.C. In addition, the loan has a Cravath rollover reserve account, which will begin sweeping cash on August 31, 2023, until the aggregate amount deposited equals $42.4 million, equal to $76.96 psf. As of the most recent financial reporting ending YE2020, the property was 97% occupied with a debt service coverage ratio of 2.09x Notes: All figures are in U.S. dollars unless otherwise noted. [*] S&P Takes Various Actions on 127 Classes from 20 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 127 ratings from 20 U.S. RMBS transactions issued between 2003 and 2013. The review yielded 22 downgrades, 30 affirmations, 69 withdrawals, and six discontinuances. A list of Affected Ratings can be viewed at: https://bit.ly/2Sh69MU Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Factors related to the COVID-19 pandemic, -- Collateral performance or delinquency trends, -- Erosion of credit support, -- A small loan count, and -- Historical interest shortfalls. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Rating Actions S&P said, "The rating changes reflect our view of the associated transaction-specific collateral performance or structural characteristics and/or reflect the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The ratings affirmations reflect our view that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections." ********* 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. 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