/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210620.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, June 20, 2021, Vol. 25, No. 170 Headlines ACC TRUST 2021-1: Moody's Assigns (P)B3 Rating to Class D Notes ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes AGL CLO 12: Moody's Assigns Ba3 Rating to $28.5MM Class E Notes ALESCO PREFERRED XVII: Moody's Hikes Rating on 2 Tranches to B3 AVIS BUDGET 2020-1: Moody's Assigns (P)Ba2 Rating to Class D Notes AVIS BUDGET 2020-1: Moody's Puts Ba1 Rating on C Notes on Review BAIN CAPITAL 2021-2: Moody's Assigns Ba3 Rating to Class E Notes BANK 2021-BNK34: Fitch Assigns B- Rating on 2 Cert. Tranches BATTALION CLO XX: S&P Assigns BB- (sf) Rating on Class E Notes BCC FUNDING 2020-1: Moody's Hikes Class E Notes Rating to Ba3 BCP TRUST 2021-330N: Moody's Assigns (P)B3 Rating to Cl. F Certs BELLEMEADE RE 2021-2: Moody's Assigns (P)B3 Rating to B-1 Notes BENCHMARK 2018-B5 MORTGAGE: Fitch Affirms B- Rating on G-RR Certs BENCHMARK 2021-B27 MORTGAGE: Fitch Affirms B- Rating on J-RR Certs BRAVO RESIDENTIAL 2021-NQM1: DBRS Gives Prov. B Rating on B2 Notes BRAVO RESIDENTIAL 2021-NQM1: S&P Assigns B(sf) Rating on B-2 Notes BROAD RIVER 2020-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes BX TRUST 2021-VIEW: DBRS Assigns Prov. B(high) Rating on G Certs CARVANA AUTO 2019-4: Moody's Raises Cl. E Notes Rating to Ba2 CARVANA AUTO 2021-N2: DBRS Finalizes BB Rating on Class E Notes CARVANA AUTO 2021-P2: S&P Assigns Prelim BB (sf) Rating on N Notes CD MORTGAGE 2019-CD8: Fitch Affirms B- Rating on G-RR Debt CEDAR FUNDING XIV: S&P Assigns BB- (sf) Rating on Class E Notes CITIGROUP MORTGAGE 2021-RP2: DBRS Finalizes B Rating on B3 Notes CITIGROUP MORTGAGE 2021-RP3: DBRS Confirms B Rating on B-3 Notes COLT 2021-1 MORTGAGE: Fitch Assigns B(EXP) Rating on B2 Certs COLT 2021-1 MORTGAGE: Fitch Assigns Final B Rating on B2 Certs DEEPHAVEN RESIDENTIAL 2021-2: S&P Assigns B- (sf) Rating B-2 Notes DIAMOND INFRASTRUCTURE 2021-1: Fitch Rates Class C Tranche 'BB-sf' ELLINGTON FINANCIAL 2021-2: Fitch Affirms B Rating on B-2 Certs FFMLT 2007-FFB-SS: Moody's Hikes Rating on Class A Certs to Caa2 FLAGSTAR MORTGAGE 2021-5INV: Moody's Gives '(P)B3' to B-5 Certs FORTRESS CREDIT XIII: S&P Assigns BB- (sf) Rating on Class E Notes GALAXY XV CLO: S&P Affirms B+ (sf) Rating on Class E-R Notes GLS AUTO 2021-2: S&P Assigns BB- (sf) Rating on Class E Notes GOLUB CAPITAL 53(B): Moody's Assigns Ba3 Rating to $26MM E Notes GS MORTGAGE 2013-GCJ14: Moody's Cuts Rating on Cl. F Certs to Caa1 GS MORTGAGE 2021-PJ6: Moody's Assigns (P)B2 Rating to B-5 Certs GS MORTGAGE-BACKED 2021-PJ6: Fitch Gives BB(EXP) Rating to B4 Debt IMPERIAL FUND 2021-NQM1: DBRS Gives (P) B(low) Rating on B-2 Certs IMPERIAL FUND 2021-NQM1: S&P Assigns B(sf) Rating on Cl. B-2 Certs JP MORGAN 2016-JP2: Fitch Lowers Class E Certs to 'B-sf' JPMBB COMMERCIAL 2014-C23: Moody's Upgrades Cl. UH5 Notes From Ba1 JPMDB COMMERCIAL 2016-C4: Fitch Affirms B- Rating on Class F Certs KKR CLO 25: Moody's Assigns (P)Ba3 Rating to Class E-R Notes LCM 30: S&P Assigns BB- (sf) Rating on Class E-R Notes LOANCORE 2021-CRE5: DBRS Finalizes B Rating on Class G Notes MADISON PARK XXXVIII: S&P Assigns Prelim 'BB-' Rating on E Notes MFA TRUST 2021-RPL1: Fitch Assigns B(EXP) Rating on B-2 Notes MFA TRUST 2021-RPL1: Fitch Assigns Final B Rating on B-2 Notes ML-CFC COMMERCIAL 2007-6: Moody's Lowers Rating on Cl. X Certs to C MORGAN STANLEY 2006-4SL: Moody's Hikes Cl. A-1 Notes Rating to Caa3 MORGAN STANLEY 2014-150E: DBRS Confirms B Rating on Class F Certs MORGAN STANLEY 2016-C30: Fitch Lowers Rating on 2 Tranches to 'B-' MORGAN STANLEY 2018-BOP: DBRS Confirms BB Rating on Class F Certs MP CLO VIII: Moody's Assigns B3 Rating to $2.75MM Class F Notes NATIXIS COMMERCIAL 2017-75B: DBRS Confirms B(high) on 3 Tranches NEUBERGER BERMAN XX: Moody's Gives Ba3 Rating to $28.5M E-RR Notes NEW RESIDENTIAL 2019-2: Moody's Hikes Rating on 6 Tranches From Ba2 OCTAGON INVESTMENT 47: S&P Assigns BB-(sf) Rating on E-R Notes PARALLEL 2021-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes PROVIDENT FUNDING 2021-2: Moody's Assigns Ba3 Rating to B-5 Certs PSMC TRUST 2021-2: Fitch Assigns Final B+ Rating on B-5 Debt RADNOR RE 2021-1: Moody's Assigns (P)B3 Rating to Cl. M-2 Notes RCKT MORTGAGE 2021-2: Fitch Gives 'B(EXP)' Rating to B-5 Certs RCKT MORTGAGE 2021-2: Moody's Assigns (P)B3 Rating to B-5 Certs REALT 2014-1: Fitch Affirms B Rating on Class G Debt ROCKFORD TOWER 2021-1: Moody's Assigns Ba3 Rating to Class E Notes ROCKLAND PARK CLO: S&P Assigns BB- (sf) Rating on Class E Notes RR 16: S&P Assigns BB- (sf) Rating on $22.50MM Class D Notes SCULPTOR CLO XXVI: S&P Assigns BB- (sf) Rating on Class E Notes SEQUOIA MORTGAGE 2021-5: Fitch Gives 'BB-(EXP)' on Class B-4 Certs SG RESIDENTIAL 2021-1: Fitch Assigns B(EXP) Rating on B-2 Debt SLM STUDENT 2003-4: Fitch Affirms B Rating on 6 Tranches TABERNA PREFERRED IV: Fitch Affirms D Rating on 2 Debt Classes TOWD POINT 2015-1: Moody's Hikes Rating on Class B1 Certs to Ba2 TPGI TRUST 2021-DGWD: Moody's Assigns B3 Rating to Cl. F Certs UBS COMMERCIAL 2017-C2: Fitch Affirms CCC Rating on H-RR Certs WELLS FARGO 2016-LC24: Fitch Affirms BB- Rating on 2 Tranches WELLS FARGO 2017-C39: Fitch Affirms B- Rating on G-RR Certs WELLS FARGO 2021-RR1: Fitch Gives 'B+(EXP)' Rating to B5 Certs WELLS FARGO 2021-RR1: Moody's Assigns (P)Ba3 Rating to B-5 Certs WFRBS COMMERCIAL 2014-C23: Fitch Affirms CCC Rating on 2 Certs WIND RIVER 2013-1: S&P Affirms CCC+ (sf) Rating on Class D-R Notes WIND RIVER 2021-2: Moody's Rates $16MM Class E Notes 'Ba3' Z CAPITAL 2021-1: Moody's Assigns (P)Ba3 Rating to Class E Notes [*] DBRS Reviews 187 Classes from 27 U.S. RMBS Transactions ********* ACC TRUST 2021-1: Moody's Assigns (P)B3 Rating to Class D Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by ACC Trust 2021-1. This is the first auto lease transaction of the year and the fifth overall for RAC King, LLC (not rated). The notes will be backed by a pool of closed-end retail automobile leases originated by RAC King, LLC. RAC Servicer, LLC is the servicer and administrator for this transaction. The complete rating actions are as follows: Issuer: ACC Trust 2021-1 Class A Notes, Assigned (P)A3 (sf) Class B Notes, Assigned (P)Baa1 (sf) Class C Notes, Assigned (P)Ba2 (sf) Class D Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of RAC Servicer, LLC as the servicer and administrator, and the presence of Wells Fargo Bank, N.A. (long-term deposits Aa1 and long-term senior unsecured Aa2 negative) as the named backup servicer. Moody's median cumulative net credit loss expectation is 36%, up from 31% for the previous transaction due to weaker pool composition. Moody's based its cumulative net credit loss expectation on an analysis of the quality of the underlying collateral; managed portfolio performance; the historical credit loss of similar collateral; the ability of RAC Servicer, LLC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. Moody's also analyzed the residual risk of the pool based on the exposure to residual value risk; the historical turn-in rate; and the historical residual value performance. At closing, the Class A notes, the Class B notes, Class C notes and the Class D notes are expected to benefit from 59.45%, 45.60%, 33.15% and 21.45% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination, except for the Class D notes, which do not benefit from subordination. The notes may also benefit from excess spread. The COVID-19 pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Specifically, for US Auto lease deals, performance will continue to benefit from government support and the improving unemployment rate, which will support lessees' income and their ability to make lease payments. However, any softening of used vehicle prices will impact residual value performance on leases. Furthermore, any elevated level of lessee assistance programs, such as lease deferrals and extensions, may adversely impact scheduled cash flows to bondholders. Moody's regard the COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinate notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of secured Floating Rate Notes issued by ACRE Commercial Mortgage 2017-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 (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, which remains in line with DBRS Morningstar's expectations. At issuance, the collateral for the transaction consisted of 12 floating-rate mortgages secured by 16 transitional commercial real estate properties, with a total balance of $341.2 million. The transaction is structured with a reinvestment period that was recently extended from March 2021 to March 2024, during which Ares Management (Ares) can substitute collateral in the pool subject to certain reinvestment criteria, including rating agency confirmation by DBRS Morningstar. As of the May 2021 remittance, there were 12 floating-rate mortgages with a total loan balance of $465.1 million as all of the original collateral from the pool has been replaced with reinvestment assets, with the exception of Sheraton Ann Arbor (Prospectus ID#5, 7.1% of the pool). The majority of the loans were structured with three-year initial terms with two 12-month extension options that are subject to performance-based criteria. These assets are in various stages of stabilization and eight of these loans, representing 69.6% of the outstanding loan pool balance, have pari passu companion participations held by a subsidiary of the trust asset seller and sponsor, ACRC Lender LLC. Amid the pandemic, DBRS Morningstar has made inquiries to Ares about potential business plan stoppages or delays, as well as foreseeable debt service payment disruptions. Ares noted that no borrowers have open requests for any sort of relief or have forewarned of future cash flow problems, and all loans remain current as of the May 2021 remittance report. Although a previous forbearance request made by the borrower for Sheraton Ann Arbor was denied, the loan underwent a modification in August 2020, which extended the initial maturity to July 2022 from July 2020. As of May 2021, three loans, representing 28.6% of the current trust balance, are on the servicer's watchlist because of low occupancy and/or a low debt service coverage ratio (DSCR). However, these loans are secured by properties that are generally in the process of executing their respective stabilization plans. Two pivotal loans within the top 10 are highlighted below. The Old Orchard Towers loan (Prospectus ID#23, 12.3% of the trust balance) is secured by a 355,195-square-foot office building in the Chicago suburb of Skokie, Illinois. At issuance, the borrower's business plan was to re-tenant or secure a long-term renewal for the largest tenant at the property, National Louis University (NLU), which represents 24.7% of the net rentable area (NRA) on a lease that is scheduled to expire in July 2021. The borrower has confirmed that the space will be vacated and is actively marketing the space. As a result, all excess cash from project operations is being swept and any request for capital expenditures or leasing costs will be drawn from excess cash before future funding is released. According to the December 2020 rent roll, the property was 89.8% occupied with an average rental rate of $21.70 per square foot (psf). With NLU's departure in July 2021, the implied occupancy rate will drop to 65.1% with an average rental rate of $21.17 psf. The three largest tenants, excluding NLU, represent 44.1% of the NRA with leases that are scheduled to expire between May 2022 and October 2024. DBRS Morningstar will continue to monitor the loan for developments related to the leasing status of the upcoming vacancy. The Sheraton Ann Arbor loan is secured by a 197-key, six-story, full-service hotel in Ann Arbor, Michigan. The collateral manager previously noted that the borrower made a forbearance request, which was subsequently denied. The loan was eventually modified, which extended loan's maturity to July 2022 from July 2020. As of the May 2021 portfolio update provided by the collateral manager, the property's occupancy has continued to improve since the beginning of 2021. The servicer is working with the borrower to better understand future bookings and the recovery plan, with an expectation that the occupancy rate will remain soft until students return to the market for the fall semester. The borrower completed a mandated property improvement plan (PIP) renovation at a cost of $8.0 million ($40,000 per key), which began post-loan contribution and was funded out-of-pocket by the borrower. According to the servicer, the PIP was fully completed in May 2020. As of YE2020, the occupancy, average daily rate, and revenue per available room were reported at 20.6%, $119.97, $24.70, respectively, and the YE2020 DSCR was reported at -0.90 times. This loan was analyzed with an elevated risk profile to reflect DBRS Morningstar's concerns about the hospitality industry and the ultimate delay in property stabilization. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 12: Moody's Assigns Ba3 Rating to $28.5MM Class E Notes --------------------------------------------------------------- Moody's Investors Service, has assigned ratings to five classes of notes issued by AGL CLO 12 Ltd. (the "Issuer" or "AGL 12"). Moody's rating action is as follows: US$372,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$69,000,000 Class B Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$33,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$37,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$28,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes listed 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. AGL 12 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds and senior secured notes; provided that no more than 3% may consist of senior secured bonds and senior secured notes. The portfolio is at least 95% ramped as of the closing date. AGL CLO Credit Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued one other class of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2844 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.09 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ALESCO PREFERRED XVII: Moody's Hikes Rating on 2 Tranches to B3 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by ALESCO Preferred Funding XVII, Ltd.: US$236,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2038 (current balance of $137,909,175) (the "Class A-1 Notes"), Upgraded to Aa1 (sf); previously on Mar 17, 2017 Upgraded to Aa3 (sf) US$16,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2038 (the "Class A-2 Notes"), Upgraded to Aa3 (sf); previously on Mar 17, 2017 Upgraded to A1 (sf) US$44,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2038 (the "Class B Notes"), Upgraded to Baa2 (sf); previously on Mar 17, 2017 Upgraded to Baa3 (sf) US$42,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2038 (the "Class C-1 Notes"), Upgraded to B3 (sf); previously on Mar 17, 2017 Upgraded to Caa1 (sf) US$500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2038 (the "Class C-2 Notes"), Upgraded to B3 (sf); previously on Mar 17, 2017 Upgraded to Caa1 (sf) ALESCO Preferred Funding XVII, Ltd., issued in October 2007, is a collateralized debt obligation (CDO) backed by a portfolio of bank trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization (OC) ratios since June 2020. The Class A-1 notes have paid down by approximately 5.1% or $7.4 million since June 2020, using principal proceeds from the redemption of the underlying assets and defaulted assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B, and Class C notes have improved to 188.8%, 169.2%, 131.6%, and 108.3%, respectively, from June 2020 levels of 182.6%, 164.5%, 129.2%, and 107.1%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 628 from 690 in June 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $260.4 million, defaulted par of $20.0 million, a weighted average default probability of 6.5% (implying a WARF of 628), and a weighted average recovery rate upon default of 10.0%. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in the US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in June 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. AVIS BUDGET 2020-1: Moody's Assigns (P)Ba2 Rating to Class D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings of (P)Ba2 (sf) to the Series 2018-2 Class D fixed rate Rental Car Asset Backed Notes and (P)Ba2 (sf) to the Series 2019-2 and 2020-1 Class D Rental Car Asset Backed Notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). 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 and Payless Car Rental, Inc. (Payless). The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) Series 2019-2 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) Series 2020-1 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings on the Class D Notes for the Series 2018-2, 2019-2 and 2020-1 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 Class D notes benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for Class D notes fluctuates over time with changes in fleet composition and will be determined as the sum of (1) 5% 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) 12.6% for non-program (risk) vehicles, in each case, as a percentage of the aggregate outstanding balance of Class A, B, C and D notes net of the series allocated cash amount. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include 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 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. This decrease reflects Moody's view that, 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 2018-2, 2019-2 and 2020-1 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 2018-2, 2019-2 and 2020-1 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. AVIS BUDGET 2020-1: Moody's Puts Ba1 Rating on C Notes on Review ---------------------------------------------------------------- Moody's Investors Service has placed on review for possible upgrade the ratings on nine tranches of rental car asset-backed securities (ABS) issued by Avis Budget Rental Car Funding (AESOP) LLC (AESOP or the issuer). The issuer is an indirect subsidiary of the transaction sponsor and single lessee, Avis Budget Car Rental, LLC (ABCR, B2 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc. and Payless Car Rental, Inc. (Payless). AESOP is ABCR's rental car securitization platform in the U.S. The collateral backing the notes is a fleet of vehicles and a single lease of the fleet to ABCR for use in its rental car business. Moody's actions on the rental car ABS are prompted by the expected increase in credit enhancement that the affected notes would have if the new Class D notes were to be issued by Avis Budget Rental Car Funding (AESOP) LLC Series 2018-2, 2019-2 and 2020-1 as expected on or around June 17, 2021. COMPLETE RATING ACTIONS Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2018-2 Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class A, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Apr 28, 2021 Upgraded to Aa1 (sf) Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class B, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 10, 2020 Downgraded to Baa2 (sf) Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class C, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Apr 28, 2021 Upgraded to Ba1 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2019-2 Series 2019-2 Rental Car Asset Backed Notes, Class A, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Apr 28, 2021 Upgraded to Aa1 (sf) Series 2019-2 Rental Car Asset Backed Notes, Class B, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 10, 2020 Downgraded to Baa2 (sf) Series 2019-2 Rental Car Asset Backed Notes, Class C, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Apr 28, 2021 Upgraded to Ba1 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2020-1 Series 2020-1 Rental Car Asset Backed Notes, Class A, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Apr 28, 2021 Upgraded to Aa1 (sf) Series 2020-1 Rental Car Asset Backed Notes, Class B, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 10, 2020 Downgraded to Baa2 (sf) Series 2020-1 Rental Car Asset Backed Notes, Class C, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Apr 28, 2021 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating actions were prompted by the expected increase in credit enhancement that the affected notes would have if the new Class D notes were to be issued by Avis Budget Rental Car Funding (AESOP) LLC Series 2018-2, 2019-2 and 2020-1 as expected on or around June 17, 2021. The required credit enhancement with respect to the new Class D notes will be calculated separately from the required credit enhancement for the Class A, the Class B and the Class C notes and will be determined as the sum of (1) 5% 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) 12.6% for non-program (risk) vehicles. Because the enhancement with respect to the Class D Notes is calculated based on the aggregate outstanding balance of Class A, B, C and D notes, any additional credit enhancement as a result of the Class D issuance requirements will also be to the benefit of the Class A, Class B and Class C notes. After the issuance of the Class D notes, we expect an increase in total credit enhancement including subordination for the Class A, B and C notes of Series 2018-2, 2019-2 and 2020-1, to range from about 4.9 to 5.7 percentage points for Class A, from 5.5 to 6.4 percentage points for Class B and 6.0 to 7.0 percentage points for Class C. During the review period, Moody's will further assess the impact of the additional credit enhancement on a series by series basis based on a conclusive review of the final documentation related to the Class D note issuances and the final capital structure upon the Class D notes issuance transaction closing. 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 its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating 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 2018-2, 2019-2 and 2020-1 Notes, as applicable if, among other things, (1) if the issuance of new Class D notes closes, resulting in greater credit enhancement available for the affected notes, as described earlier, (2) the credit quality of the lessee improves, (3) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (4) 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 2018-2, 2019-2 and 2020-1 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 2021-2: Moody's Assigns Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Bain Capital Credit CLO 2021-2, Limited (the "Issuer" or "Bain Capital 2021-2"). Moody's rating action is as follows: US$246,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$12,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$45,600,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$19,200,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$24,600,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$20,600,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Bain Capital 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 up to 10% of the portfolio may consist of second lien loans or unsecured loans, of which up to 5% may consist of permitted debt securities (senior secured or high yield bonds). The portfolio is approximately 97% ramped as of the closing date. Bain Capital Credit U.S. CLO Manager, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2820 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9.0 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BANK 2021-BNK34: Fitch Assigns B- Rating on 2 Cert. Tranches ------------------------------------------------------------ Fitch Ratings has issued a presale report on BANK 2021-BNK34, commercial mortgage pass-through certificates, Series 2021-BNK34. Fitch expects to rate the transaction as follows: -- $4,820,000 class A-1 'AAAsf'; Outlook Stable; -- $66,608,000 class A-2 'AAAsf'; Outlook Stable; -- $8,695,000 class A-3 'AAAsf'; Outlook Stable; -- $7,221,000 class A-SB 'AAAsf'; Outlook Stable; -- $147,500,000ab class A-4 'AAAsf'; Outlook Stable; -- $0b class A-4-1 'AAAsf'; Outlook Stable; -- $0b class A-4-2 'AAAsf'; Outlook Stable; -- $0bc class A-4-X1 'AAAsf'; Outlook Stable; -- $0bc class A-4-X2 'AAAsf'; Outlook Stable; -- $452,330,000ab class A-5 'AAAsf'; Outlook Stable; -- $0b class A-5-1 'AAAsf'; Outlook Stable; -- $0b class A-5-2 'AAAsf'; Outlook Stable; -- $0bc class A-5-X1 'AAAsf'; Outlook Stable; -- $0bc class A-5-X2 'AAAsf'; Outlook Stable; -- $687,174,000c class X-A 'AAAsf'; Outlook Stable; -- $171,794,000c class X-B 'A-sf'; Outlook Stable; -- $68,718,000b class A-S 'AAAsf'; Outlook Stable; -- $0b class A-S-1 'AAAsf'; Outlook Stable; -- $0b class A-S-2 'AAAsf'; Outlook Stable; -- $0bc class A-S-X1 'AAAsf'; Outlook Stable; -- $0bc class A-S-X2 'AAAsf'; Outlook Stable; -- $65,036,000b class B 'AA-sf'; Outlook Stable; -- $0b class B-1 'AA-sf'; Outlook Stable; -- $0b class B-2 'AA-sf'; Outlook Stable; -- $0bc class B-X1 'AA-sf'; Outlook Stable; -- $0bc class B-X2 'AA-sf'; Outlook Stable; -- $38,040,000b class C 'A-sf'; Outlook Stable; -- $0b class C-1 'A-sf'; Outlook Stable; -- $0b class C-2 'A-sf'; Outlook Stable; -- $0bc class C-X1 'A-sf'; Outlook Stable; -- $0bc class C-X2 'A-sf'; Outlook Stable; -- $52,765,000cd class X-D 'BBB-sf'; Outlook Stable; -- $26,996,000cd class X-F 'BB-sf'; Outlook Stable; -- $11,044,000cd class X-G 'B-sf'; Outlook Stable; -- $28,223,000d class D 'BBBsf'; Outlook Stable; -- $24,542,000d class E 'BBB-sf'; Outlook Stable; -- $26,996,000d class F 'BB-sf'; Outlook Stable; -- $11,044,000d class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $31,905,362cd class X-H; -- $31,905,362d class H; -- $51,667,282.25de RR Interest. (a) A-4 and A-5 are unknown and expected to be $599,830,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 to $295,000,000, and the expected class A-5 balance range is $304,830,000 to $599,830,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint for each class (b) Exchangeable Certificates. The class A-4, class A-5, class A-S, class B, and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1, A-4-2, A-4-X1 and A-4-X2. The class A-5 may be surrendered (or received) for the received (or surrendered) class A-5-1, A-5-2, A-5-X1 and A-5-X2. The class A-S may be surrendered (or received) for the received (or surrendered) class A-S-1, A-S-2, A-S-X1 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) class B-1, B-2, B-X1 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) class C-1, C-2, C-X1 and C-X2. The ratings of the exchangeable classes would reference the ratings on the associated referenced or original classes. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A (e) Represents the "eligible vertical interest" comprising 5.0% of the pool. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 56 fixed-rate loans secured by 71 commercial properties having an aggregate principal balance of $1,033,345,645 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings, LLC, Wells Fargo Bank, National Association and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 50.2% of the properties by balance, cash flow analyses of 90.8% of the pool and asset summary reviews on 100% of the pool. Coronavirus Impact: The ongoing containment effort related to the coronavirus pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense; rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the U.S. federal government can mitigate the impact on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests. KEY RATING DRIVERS Fitch Leverage: The pool has slightly lower leverage relative to other multiborrower transactions recently rated by Fitch. The pool's trust Fitch DSCR of 1.50x is greater than the YTD 2021 and 2020 averages of 1.39x and 1.32x, respectively. The pool's trust LTV of 98.7% is slightly lower than the YTD 2021 and 2020 averages of 101.6% and 99.6%, respectively. Excluding the co-operative (co-op) loans and credit opinion loans, the pool's DSCR and LTV are 1.37 and 110.5%, respectively. Investment-Grade Credit Opinion Loans: The pool includes three loans, representing 19.5% of the pool, that received investment-grade credit opinions. This falls between the YTD 2021 and 2020 average credit opinion concentrations of 15.0% and 24.5%, respectively. On a standalone basis, Four Constitution Square (8.0% of pool) received a credit opinion of 'BBBsf', Burlingame Point (5.8%) received a credit opinion of 'BBB-sf' and Three Constitution Square (5.6%) received a credit opinion of 'BBB-sf'. Additionally, the pool contains 20 loans, representing 6.6% of the pool, that are secured by residential cooperatives that exhibit leverage characteristics significantly lower than typical conduit loans. The weighted average (WA) Fitch DSCR and LTV for the co-op loans are 3.59x and 51.4%, respectively. Highly Concentrated Pool: The pool exhibits an above-average loan concentration index (LCI) of 496, which is greater than the YTD 2021 and 2020 averages of 405 and 440, respectively. The 10 largest loans represent 64.6% of the pool by cutoff balance, which is greater than the YTD 2021 and 2020 averages of 53.5% and 56.8%, respectively. For this transaction, losses estimated by Fitch's deterministic test at 'AAAsf' exceeded the base model loss estimate. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: -- Original Rating: AAAsf/AA-sf/A-sf/BBBsf/BBB-sf/BB-sf/B-sf; -- 20% NCF Increase: AAAsf/AAAsf/AA+sf/AA-sf/A-sf/BBB-sf/BBB-sf. Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: AAAsf/AA-sf/A-sf/BBBsf/BBB-sf/BB-sf/B-sf; -- 10% NCF Decline: AA+sf/A-sf/BBBsf/BB+sf/BB-sf/CCCsf/CCCsf; -- 20% NCF Decline: Asf/BBBsf/BB+sf/B+sf/CCCsf/CCCsf/CCCsf; -- 30% NCF Decline: BBB+sf/BB+sf/Bsf/CCCsf/CCCsf/CCCsf/CCCsf. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BATTALION CLO XX: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Battalion CLO XX Ltd./Battalion CLO XX LLC's class A-L loan and floating- and fixed-rate notes. The issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Battalion CLO XX Ltd./Battalion CLO XX LLC Class A-L, $126.00 million: AAA (sf) Class A-N, $0: AAA (sf) Class A, $120.00 million: AAA (sf) Class A-J, $5.00 million: AAA (sf) Class B, $53.00 million: AA (sf) Class C-1 (deferrable), $16.50 million: A (sf) Class C-2 (deferrable), $7.50 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $40.80 million: Not rated BCC FUNDING 2020-1: Moody's Hikes Class E Notes Rating to Ba3 ------------------------------------------------------------- Moody's Investors Service has upgraded nine notes in BCC Funding XIV LLC, Series 2018-1 (BCC 2018-1), BCC Funding XVI LLC, Series 2019-1 (BCC 2019-1) and BCC Funding XVII LLC, Series 2020-1 (BCC 2020-1). The transactions are securitizations of small and mid-ticket equipment loans and leases serviced by Balboa Capital Corporation. The complete rating actions are as follows: Issuer: BCC Funding XIV LLC, Series 2018-1 Equipment Contract Backed Notes, Series 2018-1, Class D, Upgraded to Aaa (sf); previously on Mar 25, 2021 Upgraded to Aa1 (sf) Equipment Contract Backed Notes, Series 2018-1, Class E, Upgraded to A1 (sf); previously on Mar 25, 2021 Upgraded to A3 (sf) Issuer: BCC Funding XVI LLC, Series 2019-1 Equipment Contract Backed Notes, Series 2019-1, Class B, Upgraded to Aa1 (sf); previously on Oct 19, 2020 Upgraded to Aa2 (sf) Equipment Contract Backed Notes, Series 2019-1, Class C, Upgraded to Aa3 (sf); previously on Oct 19, 2020 Upgraded to A2 (sf) Equipment Contract Backed Notes, Series 2019-1, Class D, Upgraded to Baa2 (sf); previously on Oct 19, 2020 Upgraded to Ba1 (sf) Issuer: BCC Funding XVII LLC, Series 2020-1 Equipment Contract Backed Notes, Series 2020-1, Class B, Upgraded to Aa2 (sf); previously on Oct 30, 2020 Definitive Rating Assigned Aa3 (sf) Equipment Contract Backed Notes, Series 2020-1, Class C, Upgraded to A3 (sf); previously on Oct 30, 2020 Definitive Rating Assigned Baa2 (sf) Equipment Contract Backed Notes, Series 2020-1, Class D, Upgraded to Baa3 (sf); previously on Oct 30, 2020 Definitive Rating Assigned Ba1 (sf) Equipment Contract Backed Notes, Series 2020-1, Class E, Upgraded to Ba3 (sf); previously on Oct 30, 2020 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rating actions were prompted by the continuous build-up of credit enhancement due to the sequential-pay structure and non-declining overcollateralization and reserve accounts. 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 its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults. Portfolio losses also depend greatly on the US macroeconomy and changes in servicing practices. Down Moody's could downgrade the ratings of notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults. Portfolio losses also depend greatly on the US macroeconomy and poor servicer performance. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. BCP TRUST 2021-330N: Moody's Assigns (P)B3 Rating to Cl. F Certs ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of CMBS securities, issued by BCP Trust 2021-330N, Commercial Mortgage Pass-Through Certificates, Series 2021-330N as follows: Cl. A, Assigned (P)Aaa (sf) Cl. X-CP*, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) *Reflects Interest-Only Class RATINGS RATIONALE The certificates are collateralized by single floating-rate loan backed by the fee simple interest in floors 14-52 of a 52-story Class A office property located at 330 North Wabash Avenue, and the leasehold interest in a 904 space parking garage, located adjacent at 401 North State Street, in Chicago, IL. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower CMBS methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. The Moody's first-mortgage DSCR is 2.68x and Moody's first-mortgage stressed DSCR at a 9.25% constant is 0.73x. Moody's DSCR is based on Moody's stabilized net cash flow. The Moody's LTV ratio for the first-mortgage balance is 126%. The Moody's LTV ratio is based on Moody's 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 properties weighted average property quality grade is 1.0. Notable strengths of the transaction include: Mission critical location for four of the top eight tenants, stable occupancy and significant capital investment Notable concerns of the transaction include: High Moodys LTV, full-term interest only loan, floating rate and certain credit negative legal features The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from 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 its ESG framework, given the substantial implications for public health and safety. BELLEMEADE RE 2021-2: Moody's Assigns (P)B3 Rating to B-1 Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of mortgage insurance credit risk transfer notes issued by Bellemeade Re 2021-2 Ltd. Bellemeade Re 2021-2 Ltd. is the second transaction issued in 2021 under the Bellemeade Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Arch Mortgage Insurance Company (Arch) and United Guaranty Residential Insurance Company (UGRIC) (each, a subsidiary of Arch Capital Group Ltd., and collectively, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Bellemeade Re 2021-2 Ltd. (the issuer) and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the coverage level B-3 is written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. In this transaction, the notes' coupon is indexed to SOFR. Based on the transaction's synthetic structure, the particular choice of benchmark has no credit impact. Interest payments to the notes are made from income earned on the eligible investments in the reinsurance trust account and the coverage premium from the ceding insurer, which prevents the notes from incurring interest shortfalls as a result of increases in the benchmark index. The complete rating actions are as follows: Issuer: Bellemeade Re 2021-2 Ltd. Cl. M-1A, Assigned (P)A1 (sf) Cl. M-1B, Assigned (P)Baa1 (sf) Cl. M-1C, Assigned (P)Baa3 (sf) Cl. M-2, Assigned (P)B1 (sf) Cl. B-1, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expect this insured pool's aggregate exposed principal balance to incur 1.68% losses in a base case scenario, and 15.13% losses under loss a Aaa stress scenario. The aggregate exposed principal balance is the aggregate product of (i) loan unpaid balance, (ii) the MI coverage percentage of each loan, and (iii) one minus existing quota share reinsurance percentage. Nearly all of loans (except 31 loans) have 7.5% or 8.75% existing quota share reinsurance covered by unaffiliated third parties, hence 92.5% or 91.25%, respectively, pro rata share of MI losses of such loans will be taken by this transaction. For the rest of loans having zero existing quota share reinsurance, the transaction will bear 100% of their MI losses. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Moody's increased its model-derived median expected losses by 7.5% (6.6% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. In addition, Moody's considered that for this transaction, similar to other mortgage insurance credit risk transfer deals, payment deferrals are not claimable events and thus are not treated as losses; rather they would only result in a loss if the borrower ultimately defaults after receiving the payment deferral and a mortgage insurance claim is filed. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Moody's calculated losses on the pool using US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description The reference pool consists of 123,224 prime, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing conforming mortgage loans with a total insured loan balance of approximately $36 billion. Nearly all loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 91%. The borrowers in the pool have a weighted average FICO score of 753, a weighted average debt-to-income ratio of 35.6% and a weighted average mortgage rate of 2.8%. The weighted average risk in force (MI coverage percentage) is approximately 24.5% of the reference pool total unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing third-party reinsurance. Approximately 31.8% (by unpaid principal balance) of the mortgage loans have a MI coverage effective date on 2020, and there 68.2% of loans have a MI coverage effective date on 2021. The weighted average LTV of 91.1% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent MI CRT transactions. All but one insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 99.1% covered by BPMI and 0.9% covered by LPMI based on unpaid principal balance. Underwriting Quality Moody's took into account the quality of Arch's insurance underwriting, risk management and claims payment process in Moody's analysis. Arch's underwriting requirements address credit, capacity (income), capital (asset/equity) and collateral. It has a licensed in-house appraiser to review appraisals. Lenders submit mortgage loans to Arch for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without Arch re-underwriting the loan file. Arch issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Arch does not allow exceptions for loans approved through its delegated underwriting program. Lenders eligible under this program must be pre-approved by Arch. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. For Arch's overall portfolio, approximately 57% of the loans are insured through delegated underwriting and 43% through non-delegated. Arch follows the GSE underwriting guidelines via DU/LP but applies additional overlays. Servicers provide Arch monthly reports of insured loans that are 60-day delinquent prior to any submission of claims. Claims are typically submitted when servicers have taken possession of the title to the properties. Claims are submitted by uploading or entering on Arch's website, electronic transfer or paper. Arch performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans to ensure that (i) the risk exposure of insured mortgage loans is accurately represented, (ii) lenders submitting loans via delegated underwriting program are adhering to Arch's guidelines, and (iii) internal underwriters are following guidelines and maintaining consistent underwriting standards and processes. Arch has a solid quality control process to ensure claims are paid timely and accurately. Similar to the procedure, Arch's claims management reviews a sample of paid claims each month. Findings are used for performance management as well as identified trends. In addition, there is strong oversight and review from internal and external parties such as GSE audits, Department of Insurance audits, audits from an independent account firm, and Arch's internal audits and compliance. Arch is also SOX compliant. PwC, an independent account firm, performs a thorough audit of Arch's claim payment process. Third-Party Review Arch engaged Opus Capital Markets Consultants, LLC, to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The review sample size was small (only 0.26% of the total loans in the initial reference pool as of the cut-off date, or 325 by loan count). In spite of the small sample size and a limited TPR scope for Bellemeade Re 2021-2 Ltd., Moody's did not make an additional adjustment to the loss levels because, (1) approximately 36% of the loans in the reference pool have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider reviewed property valuation on 325 loans in the sample pool. A Freddie Mac Home Value Explorer ("HVE") was ordered on the entire population of 325 files. If the resulting value of the AVM was less than 90% of the value reflected on the original appraisal, or if no results were returned, a Broker Price Opinion ("BPO") was ordered on the property. If the resulting value of the BPO was less than 90% of the value reflected on the original appraisal, an Appraisal Review appraisal was ordered on the property. Among the 325 loans, two loans were not assigned any grade by the third-party review firm, and all other loans were graded A. The third-party diligence provider was not able to obtain property valuations these two mortgage loans due to the inability to complete the appraisal review assignment during the due diligence review period. Credit: The third-party diligence provider reviewed credit on 325 loans in the sample pool, all of which obtained credit A or B. Data integrity: The third-party review firm was provided a data file with loan level data, which was audited against origination documents to determine the accuracy of data found within the data tape. There are 13 discrepancies, in which three discrepancies are on the DTI data field, one on product type field, six discrepancies on the maturity date data field, and three discrepancies on first payment date. Reps & Warranties Framework The ceding insurer does not make any representations and warranties to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to other MI CRT transactions that Moody's have rated. The ceding insurer will retain the coverage levels A, B-3, B-2, and the unfunded percentage of coverage levels between M-1A and B-1. After closing, the ceding insurer will maintain the 50% minimal retained share of coverage of coverage level B-3 throughout the transaction. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated M-1A, M-1B, M1-C, M-2 and B-1notes have credit enhancement levels of 6.50%, 5.15%, 3.65%, 2.30% and 1.90% respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. The loss is allocated in a reverse sequential order. MI loss is allocated starting from coverage level B-3, while investment losses are allocated starting from class B-2 note. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to senior reference tranches when trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.00% of coverage level A subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 10.50%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders for 70 days while the assets of the reinsurance trust account are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered if the rating of the notes exceed the insurance financial strength (IFS) rating (the lower of IFS rating rated by Moody's and S&P) of the ceding insurer or the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into the premium deposit account the coverage premium only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it is obligated to deposit coverage premium for all reinsurance coverage levels. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i) the coupon rate of the note multiplied by (a) the applicable funded percentage, (b) the coverage level amount for the coverage level corresponding to such class of notes and (c) a fraction equal to 70/360, over (ii) two times the investment income collected on the eligible investments. Moody's believe the PDA arrangement does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period; which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Opus Capital Markets, as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-2 and B-3 have been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claims consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. For example, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believe the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. BENCHMARK 2018-B5 MORTGAGE: Fitch Affirms B- Rating on G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Benchmark 2018-B5 Mortgage Trust Commercial Mortgage Pass-Through Certificates. DEBT RATING PRIOR ---- ------ ----- Benchmark 2018-B5 A-1 08160BAA2 LT AAAsf Affirmed AAAsf A-2 08160BAD6 LT AAAsf Affirmed AAAsf A-3 08160BAC8 LT AAAsf Affirmed AAAsf A-4 08160BAB0 LT AAAsf Affirmed AAAsf A-S 08160BAH7 LT AAAsf Affirmed AAAsf A-SB 08160BAE4 LT AAAsf Affirmed AAAsf B 08160BAJ3 LT AA-sf Affirmed AA-sf C 08160BAK0 LT A-sf Affirmed A-sf D 08160BAL8 LT BBBsf Affirmed BBBsf E-RR 08160BAQ7 LT BBB-sf Affirmed BBB-sf F-RR 08160BAS3 LT BB-sf Affirmed BB-sf G-RR 08160BAU8 LT B-sf Affirmed B-sf X-A 08160BAF1 LT AAAsf Affirmed AAAsf X-B 08160BAG9 LT AA-sf Affirmed AA-sf X-D 08160BAN4 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations have remained stable since Fitch's prior rating action and the majority of the pool continues to exhibit relatively stable performance. Thirteen loans have been designated as Fitch Loans of Concern (FLOCs; 25.8%), which includes three specially serviced loans (7.3%). Fitch's current ratings incorporate a base case loss of 3.875%. The Negative Rating Outlooks reflect losses that could reach 5.20% when factoring additional pandemic-related stresses. The largest FLOC is the specially serviced NY & CT NNN Portfolio loan (5.6%), which is secured by a cross-collateralized and cross-defaulted portfolio of six single-tenant retail properties and three unanchored retail properties located in New York City and its surrounding suburbs. The loan transferred to special servicing in December 2019 for payment default and default on cash management provisions. Prior to its transfer to special servicing, the loan had been flagged on the master servicer's watchlist several times since issuance for delinquency and payment shortfalls. Approximately 83% of the total portfolio square footage is leased by creditworthy tenants, including three TD Bank, two Bank of America branches, two Chase bank branches, one Walgreens pharmacy and one CVS pharmacy. The lender filed for foreclosure in federal court in March 2020 and the servicer's counsel is in the process of assigning a receiver. Per the servicer, the borrower is attempting to secure refinancing but has not yet provided a term sheet. The servicer-reported NOI debt service coverage ratio (DSCR) was 1.21x as of YE 2020. Fitch modeled a loss of approximately 13% due to the specially serviced loan status and payment delinquency. The remaining three FLOCs in the top 15 are each secured by hotel properties that have experienced performance decline due to the pandemic. The Renaissance Tampa International Plaza Hotel (4.3%) loan reported YE 2020 NOI DSCR of 0.30x; the Embassy Suites Kennesaw (3.0%) reported YE 2020 NOI DSCR of 0.31x and the Elite Hotel Management Georgia Portfolio (2.8%) reported TTM June 2020 NOI DSCR of 0.61x. All three loans remain current. Fitch applied a haircut to the YE 2019 NOI for each loan as a coronavirus stress test. The remaining FLOCs outside of the top 15 include loans secured by a 334-key full-service hotel located in downtown Chicago, IL (1.9%), a 107-key extended-stay hotel located in Charlotte, NC (1.3%), a 100-key full-service hotel located in Sacramento, CA (1.3%), a 109-unit mid-rise multifamily property located in College Park, GA (1.3%); a 103-key limited-service hotel located in Wheat Ridge, CO (0.9%), a 101-key limited-service hotel located in Chesapeake, VA (0.7%), and a 30,719-sf neighborhood shopping center located in Atlanta, GA (0.4%). Two additional loans are specially serviced and more than 90 days delinquent. Valley Mack Plaza (1.3%) is secured by a community shopping center located in Sacramento, CA that has experienced a performance decline due to the pandemic. Per the servicer, the borrower is currently negotiating a loan modification with the special servicer. 1400 Washington Street (0.4%) is secured by a 8,049-sf retail property located in Hoboken, NJ that is majority occupied by gym tenant Soul Cycle. Per the servicer, the borrower has provided a discounted payoff offer that is currently under consideration. Minimal Change in Credit Enhancement (CE): As of the May 2021 distribution date, the pool's aggregate balance has paid down by 1.0% to $1.028 billion from $1.039 billion at issuance. No loans have been paid off or defeased. There have been no realized losses to date and interest shortfalls are affecting the non-rated class NR-RR. Twenty-four loans (63.5%), including 11 of the top 15 loans, are full-term interest-only and 12 loans (14.5%) remain in partial interest-only periods. Loan maturities are concentrated in 2028 (79.0%), with 19.0% in 2023 and 2.0% in 2027. Coronavirus Exposure: Eight loans (16.3%) are secured by hotel properties with a weighted average (WA) NOI DSCR of 2.27x. Sixteen loans (33.8%) are secured by retail properties with a WA NOI DSCR of 1.83x. Additional coronavirus specific stresses were applied to seven hotel loans and five retail loans; these additional stresses contributed to the Negative Rating Outlooks on classes F-RR and G-RR. Credit Opinion Loans: Five loans totaling 27.9% of the pool had investment-grade credit opinions on a stand-alone basis at issuance: Aventura Mall (10.0%) received a credit opinion 'Asf*' on a stand-alone basis, eBay North First Commons (5.0%) received a credit opinion of 'BBB-sf*' on a stand-alone basis, Workspace (4.9%) received a credit opinion of 'Asf*' on a stand-alone basis, Aon Center (4.2%) received a stand-alone credit opinion of 'BBB-sf*' and 181 Fremont Street (3.9%) received a stand-alone credit opinion of 'BBB-sf*'. RATING SENSITIVITIES The Negative Rating Outlooks on classes F-RR and G-RR reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and performance concerns associated with the FLOCs. The Stable Rating Outlooks reflect the stable CE and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with pay down and/or defeasance. Upgrades of classes B, X-B, and C would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs, particularly the NY & CT NNN Portfolio. -- Upgrades to classes D, X-D, and E would consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- Upgrades to classes E-RR, F-RR and G-RR are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels, and if there is sufficient CE, which would likely occur when class NR-RR is not eroded and the senior classes payoff. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or the transfer of loans to special servicing. Downgrades of classes A-1, A-2, A-3, A-4, A-SB, X-A, A-S, B, and X-B are not considered likely due to the position in the capital structure, but may occur if interest shortfalls occur. -- Downgrades of classes C, D, X-D, and E-RR would occur should expected losses for the pool increase substantially or if the NY & CT NNN Portfolio incurs an outsized loss. Downgrades to classes F-RR and G-RR would occur should loss expectations increase as a result of the performance of the FLOCs, loans vulnerable to the pandemic fail to stabilize or additional loans default and/or transfer to the special servicer. -- The Negative Rating Outlooks on classes F-RR and G-RR may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2021-B27 MORTGAGE: Fitch Affirms B- Rating on J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2021-B27 Mortgage Trust commercial mortgage pass-through certificates, series B27 as follows: -- $18,655,000 class A-1 'AAAsf'; Outlook Stable; -- $37,990,000 class A-2 'AAAsf'; Outlook Stable; -- $83,071,000 class A-3 'AAAsf'; Outlook Stable; -- $132,500,000a class A-4 'AAAsf'; Outlook Stable; -- $438,879,000a class A-5 'AAAsf'; Outlook Stable; -- $26,294,000 class A-AB 'AAAsf'; Outlook Stable; -- $808,494,000b class X-A 'AAAsf'; Outlook Stable; -- $71,105,000 class A-S 'AAAsf'; Outlook Stable; -- $42,136,000 class B 'AA-sf'; Outlook Stable; -- $48,721,000 class C 'A-sf'; Outlook Stable; -- $90,857,000bc class X-B 'A-sf'; Outlook Stable; -- $64,521,000bc class X-D 'BBB-sf'; Outlook Stable; -- $15,802,000bc class X-F 'BB+sf'; Outlook Stable; -- $14,484,000bc class X-G 'BB-sf'; Outlook Stable. -- $35,553,000c class D 'BBBsf'; Outlook Stable; -- $28,968,000c class E 'BBB-sf'; Outlook Stable; -- $15,802,000c class F 'BB+sf'; Outlook Stable; -- $14,484,000c class G 'BB-sf'; Outlook Stable; -- $11,851,000c class J-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $47,403,985c class K-RR; -- $40,500,000cd VRR Interest. (a) The initial certificate balances of classes A-4 and A-5 are unknown and expected to be $571,379,000 in the aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 to $265,000,000, and the expected class A-5 balance range is $306,379,000 to $571,379,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint of the range for each class. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Non-offered vertical credit risk retention interest. (e) Horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of June 14, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 47 fixed-rate loans secured by 170 commercial properties having an aggregate principal balance of $1,093,912,985 as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp, JPMorgan Chase Bank, National Association, Goldman Sachs Mortgage Company, German American Capital Corporation and Morgan Stanley Bank, National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 22.9% of the properties by balance, cash flow analyses of 85.3% of the pool, and asset summary reviews on 100% of the pool. Coronavirus-Related Effects: The ongoing containment effort related to the coronavirus pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense, rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate effects on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the U.S. federal government can mitigate the outcomes on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests; however, the sponsors for Alabama Hilton Portfolio (1.5% of the pool) have negotiated a loan amendment/modification. KEY RATING DRIVERS Higher Fitch Leverage: The transaction's Fitch leverage is higher than other recent U.S. multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 105.6% is higher than the 2020 average of 99.6% and the YTD 2021 average of 101.6%. Additionally, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.25x is lower than the 2020 and YTD 2021 averages of 1.32x and 1.39x, respectively. Excluding credit opinion loans, the pool's weighted average (WA) Fitch trust DSCR of 1.25x is below the YTD 2021 average of 1.29x and above the 2020 average of 1.24x. Excluding credit opinion loans, the pool's weighted average (WA) Fitch trust LTV of 113.2% is above the YTD 2021 and 2020 averages of 109.8% and 111.3%, respectively. Investment-Grade Credit Opinion Loans: The pool includes three loans, representing 18.6% of the pool, that received investment-grade credit opinions. This is lower than the 2020 average of 24.5% and above the YTD 2021 average of 15.0%. Burlingame Point (7.7% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis, Equus Industrial Portfolio (6.2% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis, and Amazon Seattle (4.7%) received a credit opinion of 'BBB-sf' on a standalone basis. Limited Amortization: The pool has a scheduled principal paydown of only 4.4% by maturity. The expected paydown is lower than the 2020 average of 5.3% and lower than the YTD 2021 average of 4.5%. Thirty loans, representing 75.0% of the pool's cutoff balance, are interest only for the entirety of their respective loan terms. This concentration of full-term IO loans is greater than the 2020 and YTD 2021 averages of 67.7% and 72.2%, respectively. High Single-Tenant Concentration: Seventeen loans, representing 42.4% of the pool by balance, are backed by single-tenant properties. This is higher than the 2020 and YTD 2021 averages of 21.5% and 26.4%, respectively. In most cases, the property serves as the tenant's headquarters or key strategic location for distribution. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'. 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'. 10% NCF Decline: 'A+sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf' / 'CCCsf' / 'CCCsf'. 20% NCF Decline: 'A-sf' / 'BBBsf' / 'BB+sf' / 'B+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. 30% NCF Decline: 'BBBsf' / 'BB+sf' / 'Bsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'/ 'CCCsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY Fitch received information in accordance with its published criteria, available at 'www.fitchratings.com'. Sufficient data, including asset summaries, three years of property financials, when available, and third-party reports on the properties were received from the issuer. Ongoing performance monitoring, including the data provided, is described in the Surveillance section of the presale report. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BRAVO RESIDENTIAL 2021-NQM1: DBRS Gives Prov. B Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2021-NQM1 to be issued by BRAVO Residential Funding Trust 2021-NQM1 (BRAVO 2021-NQM1): -- $231.8 million Class A-1 at AAA (sf) -- $20.1 million Class A-2 at AA (sf) -- $31.4 million Class A-3 at A (sf) -- $16.6 million Class M-1 at BBB (sf) -- $7.2 million Class B-1 at BB (sf) -- $6.1 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 Certificates reflects 27.25% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 20.95%, 11.10%, 5.90%, 3.65%, and 1.75% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,050 loans with a total principal balance of $318,667,480 as of the Cut-Off Date (April 30, 2021). The mortgage loans were originated by Citadel Servicing Corporation doing business as Acra Lending (CSC; 100.0%). CSC will also service all of the loans. The initial aggregate servicing fee for the BRAVO 2021-NQM1 portfolio will be 0.50% per year. DBRS Morningstar performed an operational risk review on CSC and deems it an acceptable originator of mortgage loans. DBRS Morningstar understands that as of March 31, 2021, 100% of residential mortgage loans in the CSC servicing portfolio, including all loans in BRAVO 2021-NQM1, are subserviced by ServiceMac, LLC (ServiceMac). DBRS Morningstar performed an operational risk review on ServiceMac and deems it an acceptable servicer of mortgage loans. Nationstar Mortgage LLC will act as a Master Servicer. Wilmington Savings Fund Society, FSB will act as the Indenture Trustee and Owner Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as the Custodian. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar), an affiliate of Citigroup Inc., will serve as the Paying Agent and Note Registrar. The proposed pool is about 44 months seasoned on a weighted-average basis, although seasoning may span from 28 to 79 months. Except for 29 loans (3.6% of the pool) that were 30 to 59 days delinquent as of the Cut-Off Date, the loans have been performing since origination. Of the 29 loans, 19 have cured the delinquency and become current as of May 24, 2021. In accordance with the Consumer Financial Protection Bureau Qualified Mortgage (QM) rules, 72.3% of the loans by balance are designated as non-QM. Ability-to-Repay (ATR) exempt loans consist of loans made to investors for business purposes (27.7%). There will be no advancing of delinquent principal or interest on any mortgage loan by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration and protection of mortgaged properties, and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible horizontal residual interest in the Issuer in the amount of not less than 5.0% of the aggregate fair value of the Notes (other than the Class SA, Class FB, and Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in May 2024 or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method (or in the case of any loan that has been subject to a Coronavirus Disease (COVID-19) pandemic-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The transaction's cash flow structure is similar to that of other non-QM securitizations. 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 (Credit Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off 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-2. The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes, shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forebear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. In connection with the economic stress assumed under its moderate scenario, DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2021-NQM1: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BRAVO Residential Funding Trust 2021-NQM1's mortgage-backed notes series 2021-NQM1. The note issuance is an RMBS securitization backed by first-lien fixed- and adjustable-rate fully amortizing and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, condominiums, condotels, two- to four-family homes, mixed-use, nonprime borrowers. The pool has 1,050 loans, which are primarily nonqualified mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition, -- The transaction's credit enhancement, -- The transaction's associated structural mechanics, -- The transaction's representation and warranty (R&W) framework, -- The mortgage originator, -- The geographic concentration, and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Ratings Assigned BRAVO Residential Funding Trust 2021-NQM1 Class A-1, $231,830,000: AAA (sf) Class A-2, $20,076,000: AA (sf) Class A-3, $31,389,000: A (sf) Class M-1, $16,571,000: BBB (sf) Class B-1, $7,170,000: BB (sf) Class B-2, $6,054,000: B (sf) Class B-3, $5,577,480: Not rated Class SA, $48,740: Not rated Class FB, $2,573,868: Not rated Class A-IO-S, notional amount(i): Not rated Class XS, notional amount(i): Not rated Class R, not applicable: Not rated (i)The notional amount equals the loans' aggregate unpaid principal balance. BROAD RIVER 2020-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, and D-R replacement notes and proposed new class E-R notes from Broad River BSL Funding CLO Ltd. 2020-1/Broad River BSL Funding CLO 2020-1 LLC, a CLO originally issued in 2020 that is managed by Jocassee Partners LLC. The preliminary ratings are based on information as of June 14, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 15, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, and D-R notes are expected to be issued at a lower spread over three-month LIBOR than the original notes. -- The stated maturity of the replacement notes and reinvestment period will each be extended by 5.25 years, to July 2034 and July 2026, respectively. -- The non-call period will be extended to July 2023, and the weighted average life test date will be extended by four years. -- The required minimum overcollateralization (O/C) and interest coverage ratios will be amended. -- The new class E-R floating-rate notes will be added to the capital structure and issued at a lower rating level than the redeemed class D notes. In line with this addition, the reinvestment test will be amended to be tested at the lower class E-R note level. -- 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 June 15, 2021, refinancing date will be July 20, 2021. -- There will be no additional subordinated notes issued on the refinancing date. -- The transaction is adding the ability to purchase workout related assets and a 5% concentration in senior secured bonds. Replacement And Original Note Issuances Replacement notes: Class A-R, $221.40 million: Three-month LIBOR + 1.17% Class B-R, $50.40 million: Three-month LIBOR + 1.70% Class C-R, $21.60 million: Three-month LIBOR + 2.00% Class D-R, $20.90 million: Three-month LIBOR + 3.10% Class E-R, $11.50 million: Three-month LIBOR + 6.50% Original notes: Class A, $212.50 million: Three-month LIBOR + 1.85% Class B, $53.75 million: Three-month LIBOR + 2.38% Class C, $18.00 million: Three-month LIBOR + 3.19% Class D, $21.50 million: Three-month LIBOR + 4.95% Subordinated notes, $29.775 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Broad River BSL Funding CLO Ltd. 2020-1/Broad River BSL Funding CLO 2020-1 LLC Class A-R, $221.40 million: 'AAA (sf)' Class B-R, $50.40 million: 'AA (sf)' Class C-R, $21.60 million: 'A (sf)' Class D-R, $20.90 million: 'BBB- (sf)' Class E-R, $11.50 million: 'BB- (sf)' Subordinated notes, $29.775 million: not rated BX TRUST 2021-VIEW: DBRS Assigns Prov. B(high) Rating on G Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of the Commercial Mortgage Pass-Through Certificates to be issued by BX Trust 2021-VIEW (BX Trust 2021-VIEW): -- Class A at AAA (sf) -- Class X-CP at AA (sf) -- Class X-NCP at AA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at AA (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (high) (sf) All trends are Stable. The BX Trust 2021-VIEW single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in The Shops at Skyview, a 509,500-square foot (sf) retail complex in Flushing in Queens, New York. The property is well located in a densely populated, high-traffic location. The subject benefits from strong anchors, including Target (noncollateral), BJ's Wholesale Club, and Skyfoods, with estimated 2020 sales of $344 per sf (psf), $678 psf, and $721 psf, respectively. The sponsor has invested more than $5.9 million in capital into the property since 2018 to cover in leasing allowances and landlord work. The property has been significantly affected by the mitigation strategies and the economic fallout attributable to the ongoing Coronavirus Disease (COVID-19) pandemic. Collections dropped to a low of 79.4% during Q2 2020 because a number of tenants were either bankrupt or had gone dark; however, collections improved to 97.3% as of March 2021. The property will likely continue to experience stress in the short and medium term until the pandemic abates and the economy recovers. Like most retail properties, the property will need to contend with the secular headwinds facing brick-and-mortar retailers in the long run. The sponsor's $44.8 million equity contribution to the transaction, along with the execution of a $26.7 million guaranty for potential future tenant improvement and leasing commission (TI/LC) obligations at the property, demonstrates a reassuring level of commitment to the property. The property is well located within the heart Flushing, Queens, which is one of the most densely populated neighborhoods in the country. According to Experian Marketing Solutions, the neighborhood's population was 772,048 and had 271,061 households within a three-mile radius in 2020,. The subject benefits from its high-traffic location in the second-highest DBRS Morningstar Market Rank of 7. The property has strong visibility and is easily accessible via public transportation or by vehicle. One of the draws of the center is its six-level parking garage with 2,256 parking spaces. Most of the municipal parking lots in Flushing are now privatized, and street parking is limited hourly meter parking. The property's competitive parking rates and ample parking spaces make it a desirable shopping destination for many locals. The borrower is primarily using whole loan proceeds to refinance existing debt on the property of $306.0 million and is contributing approximately $44.8 million of fresh cash equity. DBRS Morningstar views cash-in re-financings more favorably than when the sponsor is withdrawing significant equity, which can result in a reduced stake. The sponsor for the mortgage loan is an affiliate of The Blackstone Group, Inc. (Blackstone), whose real estate group was founded in 1991 and has approximately $196.3 billion in investor capital under management. Blackstone is also one of the world's largest industrial landlords, with a global real estate portfolio that is valued at approximately $329.0 billion. The loan is interest only (IO) for the entire fully extended 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 64.8% loan-to-value ratio (LTV) based upon the market appraised value and a DBRS Morningstar Issuance LTV of 89.5%. Furthermore, there is no additional debt allowed other than trade payables and other items outlined within loan documents, capped at 5% of the initial loan amount. Rollover during the fully extended loan term is concentrated in years 2024 and 2025, when approximately 14.8% and 13.8% of the net rentable area (NRA) expires, respectively, including a handful of major tenant leases such as Best Buy (expiring January 2024; 8.8% of the NRA), Marshall's (expiring October 2025; 8.8% of the NRA), Chuck E. Cheese (expiring December 2025; 3.5% of the NRA), and Old Navy (expiring January 2024; 3.2% of the NRA). The loan has also executed a reserve guaranty for approximately $26.67 million for potential future TI/LC obligations at the property. Notes: All figures are in U.S. dollars unless otherwise noted. CARVANA AUTO 2019-4: Moody's Raises Cl. E Notes Rating to Ba2 ------------------------------------------------------------- Moody's Investors Service has upgraded 13 outstanding tranches from five Carvana Auto Receivables Trust transactions issued in 2019 and 2020. The securitizations are sponsored by Carvana LLC, an indirect wholly owned subsidiary of Carvana Co. (B3, stable) and are serviced by Bridgecrest Credit Company, LLC, an indirect wholly owned subsidiary of DriveTime Auto Group. The notes are backed by a pool of retail automobile loan contracts originated by Carvana LLC. The complete rating actions are as follows: Issuer: Carvana Auto Receivables Trust 2019-1 Class D Asset-Backed Notes, Upgraded to Aaa (sf); previously on Mar 5, 2021 Upgraded to Aa2 (sf) Class E Asset-Backed Notes, Upgraded to Baa1 (sf); previously on Mar 5, 2021 Upgraded to Ba3 (sf) Issuer: Carvana Auto Receivables Trust 2019-2 Class D Notes, Upgraded to Aa1 (sf); previously on Mar 5, 2021 Upgraded to Aa3 (sf) Class E Notes, Upgraded to Baa2 (sf); previously on Mar 5, 2021 Upgraded to Ba3 (sf) Issuer: Carvana 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 Aa2 (sf); previously on Mar 5, 2021 Upgraded to A1 (sf) Class E Notes, Upgraded to Baa3 (sf); previously on Mar 5, 2021 Upgraded to B1 (sf) Issuer: Carvana Auto Receivables Trust 2019-4 Class C Notes, Upgraded to Aaa (sf); previously on Mar 5, 2021 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Mar 5, 2021 Upgraded to A3 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Dec 27, 2019 Definitive Rating Assigned B2 (sf) Issuer: Carvana Auto Receivables Trust 2020-NP1 Class B Notes, Upgraded to Aaa (sf); previously on Mar 5, 2021 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aaa (sf); previously on Mar 5, 2021 Upgraded to Aa2 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Mar 5, 2021 Upgraded to A3 (sf) RATINGS RATIONALE The upgrades are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, non-declining reserve account and overcollateralization as well as a reduction in Moody's cumulative net loss expectations for the underlying pools. Moody's lifetime cumulative net loss expectations are 9% for the Carvana 2019 vintage transactions and 18% for the Carvana 2020-NP1 transaction. 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 its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up 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. CARVANA AUTO 2021-N2: DBRS Finalizes BB Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Carvana Auto Receivables Trust 2021-N2 (CRVNA 2021-N2): -- $143,000,000 Class A1 Notes at AAA (sf) -- $42,400,000 Class A2 Notes at AAA (sf) -- $53,600,000 Class B Notes at AA (sf) -- $58,200,000 Class C Notes at A (sf) -- $40,800,000 Class D Notes at BBB (sf) -- $62,000,000 Class E Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, a fully funded reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Carvana, LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the entities to be an acceptable originator and servicer, respectively, of auto loans. (4) The operational history of Carvana and the strength of the overall company and its management team. -- Company management has considerable experience in the consumer lending business. -- Carvana's platform is a technology-driven platform that focuses on providing the customer with high-level experience, selection, and value. Its website and smartphone app provide the consumer with vehicle search and discovery (currently showing more than 30,000 vehicles online); the ability to trade or sell vehicles almost instantaneously; and real-time, personalized financing. Carvana has developed underwriting policies and procedures for use across the lending platform that leverages technology where appropriate to validate customer identity, income, employment, residency, creditworthiness, and proper insurance coverage. -- Carvana has developed multiple proprietary risk models to support various aspects of its vertically integrated automotive lending business. All proprietary risk models used in Carvana's lending business are regularly monitored and tested. The risk models are updated from time to time to adjust for new performance data, changes in customer and economic trends, and additional sources of third-party data. (5) The credit quality of the collateral, which includes Carvana-originated loans with Deal Scores of 49 or lower. -- As of the May 9, 2021, cut-off date, the collateral pool for the transaction is primarily composed of receivables due from nonprime obligors with a weighted-average (WA) FICO score of 569 and WA annual percentage rate of 19.19% and a WA loan-to-value ratio of 98.97%. Approximately 43.33%, 30.10%, and 26.57% of the pool include loans with Carvana Deal Scores greater than or equal to 30, between 10 and 29, and between 0 and 9, respectively. Additionally, 0.29% of the collateral balance is composed of obligors with FICO scores greater than 800, 30.38% consists of FICO scores between 601 to 800, and 69.32% is from obligors with FICO scores less than or equal to 600 or with no FICO score. -- DBRS Morningstar analyzed the performance of Carvana's auto loan and retail installment contract originations and static pool vintage loss data broken down by Deal Score to determine a projected CNL expectation for the CRVNA 2021-N2 pool. (6) The DBRS Morningstar CNL assumption is 16.40% based on the cut-off date pool composition. -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for the current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. (7) Carvana's financial condition as reported in its annual report on Form 10-K filed as of February 25, 2021, and 10-Q filed as of May 6, 2021. (8) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Carvana, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 54.90% of initial hard credit enhancement provided by subordinated notes in the pool (53.65%) and the reserve account (1.25%). The ratings on the Class B, C, D, and E Notes reflect 41.50%, 26.95%, 16.75%, and 1.25% of initial hard credit enhancement, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. CARVANA AUTO 2021-P2: S&P Assigns Prelim BB (sf) Rating on N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2021-P2's asset-backed notes series 2021-P2. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of June 10, 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 following: -- The availability of approximately 17.2%, 14.4%, 11.3%, 9.1%, and 6.6% credit support for the class A, B, C, D, and N notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 4.8x, 4.0x, 3.2x, 2.6x, and 1.9x coverage of S&P's expected net loss range of 3.35%-3.85% for the class A, B, C, D, and N notes, respectively. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, S&P's ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions. -- The collateral characteristics of the prime pool being securitized, including a weighted average nonzero FICO score of approximately 706 and a minimum nonzero FICO score of at least 590. -- The loss performance of Carvana LLC's origination static pools and managed portfolio, its deal-level collateral characteristics, and a comparison with its prime auto finance company peers. -- The transaction's credit enhancement in the form of subordinated notes; a nonamortizing reserve account; overcollateralization, which builds to a target level of 1.40% of the initial receivables balance; and excess spread. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. -- 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." Preliminary Ratings Assigned Carvana Auto Receivables Trust 2021-P2 Class A-1, $112.00 million: A-1+ (sf) Class A-2, $231.85 million: AAA (sf) Class A-3, $235.81 million: AAA (sf) Class A-4, $124.04 million: AAA (sf) Class B, $25.58 million: AA (sf) Class C, $29.06 million: A (sf) Class D, $16.66 million: BBB (sf) Class N, $27.43 million: BB (sf) CD MORTGAGE 2019-CD8: Fitch Affirms B- Rating on G-RR Debt ---------------------------------------------------------- Fitch Ratings has affirmed 16 classes of CD 2019-CD8 Mortgage Trust. DEBT RATING PRIOR ---- ------ ----- CD 2019-CD8 A-1 12515BAA6 LT AAAsf Affirmed AAAsf A-2 12515BAB4 LT AAAsf Affirmed AAAsf A-3 12515BAD0 LT AAAsf Affirmed AAAsf A-4 12515BAE8 LT AAAsf Affirmed AAAsf A-M 12515BAG3 LT AAAsf Affirmed AAAsf A-SB 12515BAC2 LT AAAsf Affirmed AAAsf B 12515BAH1 LT AA-sf Affirmed AA-sf C 12515BAJ7 LT A-sf Affirmed A-sf D 12515BAR9 LT BBBsf Affirmed BBBsf E 12515BAT5 LT BBB-sf Affirmed BBB-sf F 12515BAV0 LT BB-sf Affirmed BB-sf G-RR 12515BAX6 LT B-sf Affirmed B-sf X-A 12515BAF5 LT AAAsf Affirmed AAAsf X-B 12515BAK4 LT A-sf Affirmed A-sf X-D 12515BAM0 LT BBB-sf Affirmed BBB-sf X-F 12515BAP3 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased since issuance due to the underperformance of several large loans and the transfer of two loans to special servicing (10.9%). Fitch identified 12 (41.1%) Fitch Loans of Concern (FLOCs), including the two specially serviced loans. Fitch's current ratings incorporate a base case loss of 6.5%. Fitch's analysis also included additional coronavirus-related stresses that indicate losses could reach 6.9%. Fitch Loans of Concern: The largest specially serviced loan is Hilton Penn's Landing (8.7%). The loan is secured by the leasehold interest in a 350 key full-service hotel located in Philadelphia, PA. The franchise agreement with Hilton expires in February 2036. The improvements are subject to a ground lease with the Redevelopment Authority of Philadelphia, the City of Philadelphia and the Commonwealth of Pennsylvania. The ground lease expires in October 2029, with two options to extend the term for 55 years. The loan transferred to special servicing in December 2020 due to payment default. According to the special servicer, the borrower has requested relief and negotiations on a forbearance agreement remain ongoing. Fitch modeled losses of 2.5% on the loan to account for special servicing and related fees. The largest contributor to losses, Lakewood Square (5.1%), is secured by a retail property located in Lakewood, CA. The largest tenants at the property are Hobby Lobby (26.1%) and Michael's (11.1%). Both tenants have lease expiration dates in July 2022 and contribute approximately 24.5% of base rent. Fitch requested a leasing status update and is awaiting a response. At issuance it was noted Hobby Lobby had an ongoing termination option with a six-month notice. Occupancy as of the March 2021 rent roll was 90%, which is down from 96% in 2019 after several other smaller tenants vacated/closed. The YE 2020 NOI debt service coverage ratio (DSCR) was 1.97x compared to 2.31x at YE 2019. Fitch's analysis applied a 20% stress to YE 2020 cash flow to account for the tenant rollover, resulting in a nearly 16% loss severity. The second largest contributor to losses, Uline Arena (5.2%), is secured by a mixed-use office and retail property located in Washington, D.C. The property mix is roughly 73% office and 27% retail. The second largest tenant, RGN National Business Center (17.1%, lease expires October 2033) filed for Chapter 11 bankruptcy in August 2020; according to the servicer the tenant remains open and operating. Several tenants were receiving rent abatements, while others were also granted deferred rent as a form of pandemic relief. Fitch modeled a 14.5% loss. The third largest contributor to loss expectations, 171 N Aberdeen (5.1%), is secured by a mixed use multifamily and office property located in the Fulton Market neighborhood of Chicago, IL. The residential space (53% NRA, 50% rent) was originally master leased to Medici (Quarters), a co-living tenant. The office space (34.6% NRA) is master leased to Industrious, a co-working tenant. There are also a handful of smaller tenants in the ground floor commercial space. Medici filed Chapter 7 bankruptcy in January 2021 and ceased operations. At issuance, Medici had a $2 million letter of credit that was assigned to the lender at loan closing. It was also noted at issuance that the co-living units could be converted to traditional multifamily relatively easily. Fitch's request for an update on the status of the multifamily units remains outstanding; although units remain listed on various apartment search websites. Fitch's analysis included a 30% stress to YE 2020 NOI to account for Medici's departure, resulting in a 12% loss severity. Limited Improvement in Credit Enhancement (CE): As of the May 2021 distribution date, the transaction had been paid down 0.3% to $808.8 million from $811.1 million at issuance. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by just 3.5%. There are 23 loans (76.6%) that are full term interest only. Seven loans (13.1%) are structured with partial interest only periods; all of which remain in their initial IO periods. Currently, interest shortfalls are affecting the non-rated class J-RR. Exposure to Coronavirus: Eight loans (29.8%) are secured by retail properties and four non-specially serviced loans (18%) are secured by hotel properties. Fitch applied additional coronavirus related stresses to three of the hotel loans. The stresses did not have any impact on ratings and outlooks. Credit Opinion Loans: Three loans, totaling 16.3% of the pool, were given investment-grade credit opinions at issuance. Woodlands Mall (8.7%) and Moffett Towers II - Buildings 3 & 4 (4.3%) both received a credit opinion of 'BBB-sf' at issuance. Crescent Club (3.4%) received a 'BBBsf' on a stand-alone basis at issuance. Although occupancy remains stable for Woodlands Mall, sales are trending down; Fitch will continue to monitor the loan's performance. Pool Concentration: The pool is very concentrated with only 33 loans. The top 15 loans constitute 77.2% of the pool by balance. RATING SENSITIVITIES The Negative Rating Outlooks on classes G-RR and F reflect concerns surrounding the FLOCs and the ultimate impact of the pandemic. The Stable Outlooks reflect sufficient credit enhancement relative to expected losses and continuing scheduled amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to classes B and C could occur with large improvement in CE and/or defeasance and with the stabilization of performance amongst the FLOCs and specially serviced loans. -- Upgrades to classes D and E would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Upgrades to classes F and G-RR are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and there is sufficient CE. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to the senior classes (A-1 through A-M) and class B are less likely due to high CE but may occur if losses increase substantially or if there is a likelihood for interest shortfalls. -- A downgrade to classes C, D, and E would likely occur if multiple large loans transfer to special servicing and expected losses increase sizably. Downgrades to classes F and G-RR would occur with continued transfer of loans to special servicing or if performance of the FLOCs continue to decline, specifically those in the top 15. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CEDAR FUNDING XIV: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Cedar Funding XIV CLO Ltd./Cedar Funding XIV CLO LLC's floating-rate notes. The note issuance is a CLO transaction governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager, which can affect the performance of the rated notes through portfolio management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Cedar Funding XIV CLO Ltd./Cedar Funding XIV CLO LLC Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $14.60 million: BB- (sf) Subordinated notes, $42.79 million: Not rated CITIGROUP MORTGAGE 2021-RP2: DBRS Finalizes B Rating on B3 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its following provisional ratings on the Mortgage-Backed Notes, Series 2021-RP2 issued by Citigroup Mortgage Loan Trust 2021-RP2 (CMLTI 2021-RP2): -- $512.1 million Class A-1 at AAA (sf) -- $512.1 million Class A-1-IO at AAA (sf) -- $554.1 million Class A-2 at AA (high) (sf) -- $589.2 million Class A-3 at A (high) (sf) -- $621.8 million Class A-4 at A (sf) -- $554.1 million Class A-5 at AA (high) (sf) -- $589.2 million Class A-6 at A (high) (sf) -- $621.8 million Class A-7 at A (sf) -- $512.1 million Class A-8 at AAA (sf) -- $42.0 million Class M-1 at AA (high) (sf) -- $35.1 million Class M-2 at A (high) (sf) -- $32.6 million Class M-3 at A (sf) -- $25.8 million Class B-1 at BB (sf) -- $19.7 million Class B-2 at B (high) (sf) -- $16.9 million Class B-3 at B (sf) Class A-1-IO is an interest-only note. The class balance represents a notional amount. Classes A-2, A-3, A-4, A-5, A-6, A-7, and A-8 are exchangeable notes. These classes can be exchanged for combinations of exchange notes. The AAA (sf) rating on the Notes reflects 28.60% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), A (sf), BB (sf), B (high) (sf), and B (sf) ratings reflect 22.75%, 17.85%, 13.30%, 9.70%, 6.95%, and 4.60% of credit enhancement, respectively. Other than the specified class above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 3,821 loans with a total principal balance of $717,238,556 as of the Cut-Off Date (April 30, 2021). The mortgage loans, which were purchased from Fannie Mae, are approximately 166 months seasoned. As of the Cut-Off Date, 98.6% of the loans are current, including 1.3% bankruptcy-performing loans. Approximately 73.3% and 97.2% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the Mortgage Bankers Association (MBA) delinquency method. The portfolio contains 95.6% modified loans. The modifications happened more than two years ago for 91.4% of the modified loans. Within the pool, 2,124 mortgages have aggregate non-interest-bearing deferred amounts of $100,111,453, which comprise approximately 14.0% of the total principal balance. Approximately 2.7% of the loans in the pool are subject to the Consumer Financial Protection Bureau Ability-to-Repay and Qualified Mortgage rules. Approximately 2.6% of these loans are designated as either Temporary Safe Harbor or Safe Harbor and 0.1% as non-QM. The remainder of the pool is exempt due to seasoning. The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans from Fannie Mae following the award of a bid in connection with a competitive auction for the initial pool. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities. As of the Cut-Off Date, the loans are serviced by an interim servicer. Such servicing will be transferred to Select Portfolio Servicing, Inc (SPS) on June 14, 2021. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super lien states and in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. With respect to mortgage loans that are either subject to loss mitigation or at least 90 days delinquent, the Directing Noteholder may direct the Servicer to arrange for the subservicing of such mortgage loans with a particular subservicer for an agreed-upon subservicing fee. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-2 and more subordinate principal and interest (P&I) bonds will not be paid from principal proceeds until the more senior classes are retired. CORONAVIRUS IMPACT – REPERFROMING LOAN The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed securities (RMBS) asset classes. Reperforming loan (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential home loans. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for the past six to 24 months since issuance. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus, DBRS Morningstar has seen increased delinquencies and loans on forbearance plans. Such deteriorations may continue to adversely affect borrowers' ability to make monthly payments, or refinance 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 RPL asset class DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecasted unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. DBRS Morningstar generally believes that loans which were previously delinquent, recently modified, or have higher updated loan-to-value ratios (LTVs) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 2020, 10.8% of the borrowers are in or have completed coronavirus-related relief 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. The interim servicer generally offered 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 a maximum generally of six months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. The interim servicer or the Servicer, as applicable, 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, the interim servicer or Servicer may offer a repayment plan or other forms of payment relief, such as deferrals of the unpaid P&I amounts, forbearance extensions, or a loan modification, in addition to pursuing other loss mitigation options. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP MORTGAGE 2021-RP3: DBRS Confirms B Rating on B-3 Notes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2021-RP3 issued by Citigroup Mortgage Loan Trust 2021-RP3: -- $1.0 billion Class A-1 at AAA (sf) -- $73.3 million Class A-2 at AA (high) (sf) -- $1.1 billion Class A-3 at AA (high) (sf) -- $1.2 billion Class A-4 at A (sf) -- $1.2 billion Class A-5 at BBB (sf) -- $72.0 million Class M-1 at A (sf) -- $55.0 million Class M-2 at BBB (sf) -- $38.0 million Class B-1 at BB (sf) -- $31.9 million Class B-2 at B (high) (sf) -- $21.0 million Class B-3 at B (sf) Classes A-3, A-4, and A-5 are exchangeable notes. These classes can be exchanged for combinations of exchange notes. The AAA (sf) rating on the Notes reflects 24.55% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (sf), BBB (sf), BB (sf), B (high) (sf), and B (sf) ratings reflect 19.15%, 13.85%, 9.80%, 7.00%, 4.65%, and 3.10% of credit enhancement, respectively. Other than the specified class above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 10,137 loans with a total principal balance of $1,357,832,280 as of the Cut-Off Date (April 30, 2021). The mortgage loans, which were purchased from Fannie Mae, are approximately 172 months seasoned. As of the Cut-Off Date, 97.2% of the loans are current, including 140 bankruptcy-performing loans. Approximately 40.7% and 68.8% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the Mortgage Bankers Association delinquency method. The portfolio contains 88.8% modified loans. The modifications happened more than two years ago for 83.3% of the modified loans. Within the pool, 3,002 mortgages have aggregate noninterest-bearing deferred amounts of $130,016,711, which comprise approximately 9.6% of the total principal balance. Approximately 3.4% of the loans in the pool are subject to the Consumer Financial Protection Bureau Ability-to-Repay (ATR) and Qualified Mortgage (QM) rules. Approximately 3.4% of these loans are designated as either Safe Harbor or Temporary Safe Harbor and less than 0.1% as non-QM. The remainder of the pool is exempt due to seasoning or loan purpose. The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans from Fannie Mae following the award of a bid in connection with a competitive auction for the initial pool. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities. As of the Cut-Off Date, the loans are serviced by Shellpoint Mortgage Servicing. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super lien states and in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 25% of the balance as of the Cut-off Date, the directing noteholder may purchase all of the mortgage loans and real-estate-owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate principal and interest (P&I) bonds will not be paid from principal proceeds until the more senior classes are retired. CORONAVIRUS IMPACT – REPERFROMING LOAN The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed securities (RMBS) asset classes. Reperforming loan (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential home loans. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for the past six to 24 months since issuance. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus pandemic, DBRS Morningstar has seen increased delinquencies and loans on forbearance plans. Such deteriorations may continue to adversely affect borrowers' ability to make monthly payments, or refinance 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 RPL asset class DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecasted unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. DBRS Morningstar generally believes that loans which were previously delinquent, recently modified, or have higher updated loan-to-value ratios (LTVs) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, 11.2% of the borrowers are on or have completed coronavirus-related relief plans because the borrowers reported financial hardship related to the coronavirus pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The interim servicer generally offered 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 a maximum generally of six months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. The interim servicer or the Servicer, as applicable, 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, the interim servicer or Servicer may offer a repayment plan or other forms of payment relief, such as deferrals of the unpaid P&I amounts, forbearance extensions, or a loan modification, in addition to pursuing other loss mitigation options. Notes: All figures are in U.S. dollars unless otherwise noted. COLT 2021-1 MORTGAGE: Fitch Assigns B(EXP) Rating on B2 Certs ------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2021-1 Mortgage Loan Trust. DEBT RATING ---- ------ COLT 2021-1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Loans in the pool were originated by multiple originators and aggregated by Hudson Advisors. All loans are serviced by Select Portfolio Servicing, Inc. (SPS). The certificates are supported by 386 loans with a total balance of approximately $203 million as of the cutoff date. KEY RATING DRIVERS Non-QM Credit Quality (Mixed): The collateral consists of 386 loans, totaling $203 million and seasoned approximately three months in aggregate. The borrowers have a strong credit profile with a 735 model FICO and 42% debt-to-income ratio (DTI) and moderate leverage with a 77% sustainable loan-to-value ratio (sLTV). The pool consists of 66.9% of loans where the borrower maintains a primary residence, while 33.1% is an investor property (30.3%) or second home (2.9%). Additionally, 23.8% of the loans were originated through a retail channel, and 4.1% are designated as a qualified mortgage (QM) loan, while 65.7% are non-QM, and the remainder Ability to Repay Rule (ATR) does not apply. There are currently 10 loans that are 30 days delinquent. The issuer indicated that for all 10 loans, the payments were sent to the wrong servicer, as these loans transferred to SPS in June 2021. The payments were redirected to the correct servicer at the time of Fitch's analysis, and the loans were not treated as delinquent in the analysis. Loan Documentation (Positive): Approximately 87% of the pool was underwritten to less than full documentation, and 45% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR's mandates regarding the underwriting and documentation of the borrower's ability to repay. Additionally, 4% is an Asset Depletion product, 10% is a WVOE product, and 27% is DSCR product. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer (Wells Fargo) will be obligated to make such advance. The servicer or master servicer will not advance delinquent P&I during the forbearance period. Excess Cash Flow (Positive): The transaction benefits from a material amount of excess cash flow that provides benefit to the rated certificates before being paid out to class X certificates. The excess is available to pay timely interest and protect against realized losses, resulting in a CE amount that is less than Fitch's loss expectations for all classes except for A1. To the extent the collateral weighted average coupon (WAC) and corresponding excess are reduced through a rate modification, Fitch would view the impact as credit neutral, as the modification would reduce the borrower's probability of default, resulting in a lower loss expectation. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt A modification %) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macro and regulatory environment. A portion of borrowers will likely be impaired but not ultimately default. Further, this approach had the largest impact on the Backloaded Benchmark scenario, which is also the most probable outcome, as defaults and liquidations are not likely to be extensive over the next 12-18 months given the ongoing borrower relief and eviction moratoriums. Updated Economic Risk Factor (Positive): Consistent with the Additional Scenario Analysis section of Fitch's U.S. RMBS Coronavirus-Related Analytical Assumptions criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's Global Economic Outlook - March 2021 and related baseline economic scenario forecasts have been revised to 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in Fitch's U.S. RMBS Loan Loss Model Criteria. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.6% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. -- The analysis assumes positive home price growth of 10.0%. Excluding the senior classes that are already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. -- The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has also added a coronavirus sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a reemergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION Fitch made one criteria variation in the analysis from its U.S. RMBS Rating Criteria. Fitch expects to receive updated reviews of third-party review (TPR) firms. Fitch's review of Infinity Solutions has expired, but an updated review is pending, and the company notified Fitch that there have been no material changes from the last review. As a result, Fitch did not make any adjustments to its loss expectations. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Clayton, EdgeMac, Recovco Evolve, Selene and Infinity. The third-party due diligence described in Form 15E focused on compliance, credit and valuation grades, and it assigned initial grades for each subcategory. Fitch considered this information in its analysis and, as a result, Fitch gave a 45 bps adjustment to the losses for 100% due diligence performed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's U.S. RMBS Rating Criteria. Lone Star Residential Mortgage Fund II (LSRMF II) engaged AMC, Clayton, EdgeMac, Recovco Evolve, Selene, and Infinity to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. 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 data tape layout were populated by the due diligence company, 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. COLT 2021-1 MORTGAGE: Fitch Assigns Final B Rating on B2 Certs -------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2021-1 Mortgage Loan Trust (COLT 2021-1). DEBT RATING PRIOR ---- ------ ----- COLT 2021-1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Loans in the pool were originated by multiple originators and aggregated by Hudson Advisors. All loans are serviced by Select Portfolio Servicing, Inc. (SPS). The certificates are supported by 386 loans with a total balance of approximately $203 million as of the cutoff date. KEY RATING DRIVERS Non-QM Credit Quality (Mixed): The collateral consists of 386 loans, totaling $203 million and seasoned approximately three months in aggregate. The borrowers have a strong credit profile with a 735 model FICO and 42% debt-to-income ratio (DTI) and moderate leverage with a 77% sustainable loan-to-value ratio (sLTV). The pool consists of 66.9% of loans where the borrower maintains a primary residence, while 33.1% is an investor property (30.3%) or second home (2.9%). Additionally, 23.8% of the loans were originated through a retail channel, and 4.1% are designated as a qualified mortgage (QM) loan, while 65.7% are non-QM, and the remainder Ability to Repay Rule (ATR) does not apply. There are currently 10 loans that are 30 days delinquent. The issuer indicated that for all 10 loans, the payments were sent to the wrong servicer, as these loans transferred to SPS in June 2021. The payments were redirected to the correct servicer at the time of Fitch's analysis, and the loans were not treated as delinquent in the analysis. Loan Documentation (Positive): Approximately 87% of the pool was underwritten to less than full documentation, and 45% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR's mandates regarding the underwriting and documentation of the borrower's ability to repay. Additionally, 4% is an Asset Depletion product, 10% is a WVOE product, and 27% is debt service coverage ratio (DSCR) product. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer (Wells Fargo) will be obligated to make such advance. The servicer or master servicer will not advance delinquent P&I during the forbearance period. Excess Cash Flow (Positive): The transaction benefits from a material amount of excess cash flow that provides benefit to the rated certificates before being paid out to class X certificates. The excess is available to pay timely interest and protect against realized losses, resulting in a CE amount that is less than Fitch's loss expectations for all classes except for A1. To the extent the collateral weighted average coupon (WAC) and corresponding excess are reduced through a rate modification, Fitch would view the impact as credit neutral, as the modification would reduce the borrower's probability of default, resulting in a lower loss expectation. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt A modification %) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macro and regulatory environment. A portion of borrowers will likely be impaired but not ultimately default. Further, this approach had the largest impact on the Backloaded Benchmark scenario, which is also the most probable outcome, as defaults and liquidations are not likely to be extensive over the next 12-18 months given the ongoing borrower relief and eviction moratoriums. Updated Economic Risk Factor (Positive): Consistent with the Additional Scenario Analysis section of Fitch's U.S. RMBS Coronavirus-Related Analytical Assumptions criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's Global Economic Outlook - March 2021 and related baseline economic scenario forecasts have been revised to 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in Fitch's U.S. RMBS Loan Loss Model Criteria. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.6% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. -- The analysis assumes positive home price growth of 10.0%. Excluding the senior classes that are already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. -- The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has also added a coronavirus sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a reemergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION Fitch made one criteria variation in the analysis from its U.S. RMBS Rating Criteria. Fitch expects to receive updated reviews of third-party review (TPR) firms. Fitch's review of Infinity Solutions has expired, but an updated review is pending, and the company notified Fitch that there have been no material changes from the last review. As a result, Fitch did not make any adjustments to its loss expectations. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Clayton, EdgeMac, Recovco Evolve, Selene and Infinity. The third-party due diligence described in Form 15E focused on compliance, credit and valuation grades, and it assigned initial grades for each subcategory. Fitch considered this information in its analysis and, as a result, Fitch gave a 45 bps adjustment to the losses for 100% due diligence performed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's U.S. RMBS Rating Criteria. Lone Star Residential Mortgage Fund II (LSRMF II) engaged AMC, Clayton, EdgeMac, Recovco Evolve, Selene, and Infinity to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. 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. DEEPHAVEN RESIDENTIAL 2021-2: S&P Assigns B- (sf) Rating B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Deephaven Residential Mortgage Trust 2021-2's mortgage pass-through notes series 2021-2. The note issuance is an RMBS transaction backed by first-lien fixed- and adjustable-rate fully amortizing and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, two-to-four-family homes, condominiums, five-to-10 unit properties, mixed-use properties, townhouses, and one condotel residential property to both prime and nonprime borrowers. The pool has 452 loans, which are primarily nonqualified mortgage (non-QM) and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics -- The representation and warranty framework; -- The mortgage aggregator, Deephaven Mortgage LLC; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Deephaven Residential Mortgage Trust 2021-1 Class A-1, $137,353,000: AAA (sf) Class A-2, $11,895,000: AA (sf) Class A-3, $20,028,000: A (sf) Class M-1, $12,607,000: BBB (sf) Class B-1, $8,744,000: BB (sf) Class B-2, $7,828,000: B- (sf) Class B-3, $4,880,569: NR Class XS, Notional(i): NR Class A-IO-S, Notional(i): NR Class R: NR (i)The notional amount equals the aggregate stated principal balance of loans in the pool. NR--Not rated. DIAMOND INFRASTRUCTURE 2021-1: Fitch Rates Class C Tranche 'BB-sf' ------------------------------------------------------------------ Fitch Ratings has assigned Diamond Infrastructure Funding LLC, Series 2021-1 the following ratings and Rating Outlooks: -- $472,000,000 series 2021-1 class A 'Asf'; Outlook Stable; -- $93,000,000 series 2021-1 class B 'BBB-sf'; Outlook Stable; -- $100,000,000 series 2021-1 class C 'BB-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $73,888,889a series 2021-1 class R. (a) Horizontal credit risk retention interest representing 10% of the 2021 certificates. TRANSACTION SUMMARY The transaction is an issuance of notes backed by mortgages representing approximately 90% of the annualized run rate net cash flow (ARRNCF) on the tower sites and guaranteed by the borrowers' direct parent. This guarantee is secured by a pledge and first-priority-perfected security interest in 100% of the issuer's equity interest. The notes are secured by a pledge and first priority perfected security interest in 100% of the equity interests of the asset entities, which own or lease 2,358 wireless communication sites. The notes will be issued pursuant to a supplement to the third amended and restated indenture dated as of the expected closing of the series 2021 transaction. This portfolio includes a number of different wireless assets, including: -- Triple-net partnership assets governed by master agreements with wholly-owned subsidiaries of investment-grade tower companies or related to assets governed by these agreements; -- Carrier direct assets, which consist of rooftop towers, structure towers and other assets beneath towers, which are leased directly to carriers; -- Ground site assets, which are leased to tower companies, which operate assets above them. These assets are not governed by a master agreement. These assets reflect a number of characteristics that are unique within the sector and are atypical relative to collateral, which secures other wireless tower transactions. This includes two pools of wireless tower sites secured by the ground beneath towers, which are governed by long-term master agreements to investment-grade counterparties on substantial terms, with a fixed rent payment through late-2038. Proceeds from the transaction will be utilized to provide financing to DCHSCU, LLC, which is sub-managed by Diamond Communications LLC to fund a portion of its $1.625 billion acquisition of Melody Wireless Infrastructure. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of Diamond Infrastructure Inc.'s corporate default risk. KEY RATING DRIVERS Trust Leverage: Fitch net cash flow (NCF) on the pool is $63.9 million, implying a Fitch stressed debt service coverage ratio (DSCR) of 1.02x. The debt multiple relative to Fitch's NCF is 11.57x, which equates to a debt yield of 8.65%. Excluding the non-offered risk retention class R notes, the offered notes have a Fitch stressed DSCR, debt multiple and debt yield of 1.16x, 10.41x and 9.61%, respectively. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date over 27 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology (rendering obsolete the current transmission of wireless signals through cellular sites) will be developed. Wireless service providers (WSPs) currently depend on towers to transmit their signals and continue to invest in this technology. Diversified Pool: The pool consists of 2,358 wireless sites and 2,898 leases. The sites are located in 50 states, Puerto Rico and Washington, D.C. The largest state (California) represents approximately 13.9% of ARRNCF. Leases to Strong Tower Tenants: There are 2,898 tenant leases, many of which are to tower operators and ultimately support multiple wireless carrier leases. Telephony or Tower Operator tenants represent approximately 96.0% of the annualized run rate revenue (ARRR), and 62.1% of the ARRR is from investment-grade tenants. The tenant leases have weighted average annual escalators of approximately 2.8% and a weighted average final remaining term, including renewals, of 33.4 years. The largest tenant is T-Mobile (BB+/Stable; 28.2% of ARRR). Tower Operator Master Agreements: Sites totaling 31.9% of ARRNCF are governed by master agreements between Diamond and investment-grade tower operators. These agreements provide a fixed minimum rent amounts for this portion of the collateral through late-2038, which equate to nearly a third of the in-place issuer revenue. The sponsor is also entitled to a percentage of revenue on these sites to the extent the amount exceeds the fixed minimum amounts in aggregate. As a result, the transaction also benefits from rent escalators, lease amendments or incremental leasing on these sites. Sites Without NDAs: In this transaction, sites totaling 84.7% of ARRNCF either do not require an NDA or have obtained NDAs from mortgage lenders holding a senior security interest in the site. If an easement or lease is not senior, as a matter of law, to any recorded mortgage on such site for which the related site owner is the mortgagor, that easement is typically protected from creditors of a site owner by a non-disturbance agreement (NDA). Pursuant to an NDA, the mortgagee agrees that the lease or easement and related assignments of rents will survive a foreclosure of the senior mortgage. For the sites where no NDA has been obtained, Fitch applied additional stresses, resulting in an approximately $1.7 million reduction in Fitch stressed cash flow. T-Mobile and Sprint Consolidation: T-Mobile US, Inc. and Sprint Corporation (combined 28.2% of ARRR) merged in April 2020 to form The New T-Mobile; approximately 12.0% of transaction-level ARRR from The New T-Mobile is attributable to Sprint legacy leases. Leases from those tenants could experience churn if overlapping sites are decommissioned. Fitch's NCF assumes 50% of co-located Sprint leases will not renew at lease maturity, resulting in approximately a $0.6 million reduction in Fitch stressed cash flow. Sites Located in Top 100 Basic Trading Areas: Of the ARRNCF, 75.6% is from sites located in the top 100 basic trading areas (BTAs). BTAs are ranked by population, with the top 100 BTAs representing the 100 highest populated BTAs out of a total of 489 BTAs. BTAs are geographic boundaries that are used by the FCC to segment the U.S. wireless market for licensing purposes. First Security Interest: Sites representing approximately 90% of the ARRNCF are secured by a first leasehold mortgage and perfected security interests in the personal property owned by the asset entities. The pledge of the equity of the asset entities provides security holders with the ability to foreclose on the ownership of the asset entities in the event of default under the indenture structure. Approximately $34 million in transaction proceeds were initially to be held back and released as mortgages are filed up to a 90% threshold. Mortgage filings have occurred up to the required threshold. Importance of Towers to Wireless Service Providers: Increased smartphone penetration and data usage have increased the need for cell towers. With WSPs continuing to densify 4G networks and roll out 5G networks to handle increased demands for data capacity, there is a need for additional towers. The emergence of tablets and other devices adds additional demand for higher speeds and network build-outs. Additional Notes: The transaction allows for the issuance of additional notes. Such additional notes may rank senior to, pari passu with or subordinate to the 2021 notes. Any additional notes will be pari passu with any class of notes bearing the same alphabetical class designation. Additional notes may be issued without the benefit of additional collateral, provided, among other things, the post-issuance DSCR is not less than 2.0x. The possibility of upgrades may be limited due to this provision. Coronavirus Risk: Fitch believes the risk of the coronavirus pandemic on the operational performance of the telecom sector, including the tower operators, is low relative to other sectors. The lower risk is due to the integral nature of wireless services in consumers' day-to-day lives. As such, wireless phone services have a high position in consumer priority payments. Nonetheless, demands on infrastructure due to changes in work and usage patterns, as well as the ability of network suppliers to provide products and services to wireless carriers, could have an impact. The ultimate impact is mixed as some factors could also increase demand for certain products and services. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Increasing cash flow without an increase in corresponding debt, from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades. However, upgrades are unlikely given the provision to issue additional debt, increasing leverage without the benefit of additional collateral. Upgrades may also be limited given the ratings are capped at 'Asf', given the risk of technological obsolescence; -- A 10% increase in Fitch's NCF indicates the following model implied rating sensitivities: class A to 'Asf' from 'Asf'; class B to 'BBBsf' from 'BBB-sf'; class C to 'BBsf' from 'BB sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Declining cash flow as a result of higher site expenses or lease churn, and the development of an alternative technology for the transmission of wireless signal could lead to downgrades; -- Fitch's NCF was 3.5% above the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following model-implied rating sensitivities: class A to 'BBB sf' from 'Asf'; class B to 'BBsf' from 'BBB-sf'; and class C to 'B-sf' from 'BB-sf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION The transaction included three variations from criteria: The cash flow approach for a portion of the assets includes rent bumps for 15 years for the portion of the collateral attributable to ground lease assets subject to master agreements from investment-grade tower operators. This is beyond the 5.5-year straight-line rent bump credit Fitch outlines in its criteria. The proposed refinance constant for the above-mentioned collateral is 7.50%, which is below the published range of 9.25%-11.50%. The ratio of investment-grade rated debt to Fitch adjusted NCF is above the 8.0x, Fitch generally limits no more than 8.0x. Fitch believes the variations are warranted for each item as follows: These assets are governed by two master agreement and receive pass-through contractual rent bump credit of approximately 2.9% and 3.4%, on a weighted average basis, in addition to incremental cash flow from lease amendments or additional leases. While the increase in cash flow is not directly attributable to investment grade tenants, the tenants are predominantly wireless carriers, AT&T (BBB+), Verizon (A-), and T-Mobile (BB+), which carry high ratings and support an essential service. The agreements are also long-term and all or nothing, with very limited ability to eliminate individual sites. The total leverage levels are more conservative than that observed in several of Fitch's CMBS transactions backed by the ground beneath assets of similar quality, which has historically informed Fitch's analysis in this sector. In addition, the diversity by asset count and market, the "micro-monopolies" in which many of these assets operate as a result of strict zoning, the essentiality of the service, and the unique nature of the assets owned, warrant a refinance constant below the low end of the observable range. The total leverage for investment-grade ratings is above 8.0x as a result of the lower refinance constant utilized. The total leverage levels are more conservative than that observed in several of Fitch's CMBS transactions backed by the ground beneath assets of similar quality, which has historically informed Fitch's analysis in this sector. In addition, the diversity by asset count and market, the "micro-monopolies" in which many of these assets operate as a result of strict zoning, the essentiality of the service, and the unique nature of the assets owned, warrant a refinance constant below the low end of the observable range. The impact of the criteria variations to the ratings results in a change of an average of four notches for all of the rated classes of the transaction. Absent the variation, these classes would be rated as follows: -- Class A would be rated 'BBB-sf' instead of 'Asf'; -- Class B would be rated 'B+sf' instead of 'BBB-sf'; -- Class C would be rated 'CCCsf' instead of 'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence information was provided on Form ABS Due Diligence Form-15E and focused on a comparison of certain characteristics with respect to the portfolio of wireless communication sites and related tenant leases in the data file. Fitch considered this information in its analysis, and the findings did not have an impact on Fitch's analysis or conclusions. Copies of the ABS Due Diligence Forms-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary (RAC). ESG CONSIDERATIONS Diamond Infrastructure Funding, Series 2021-1 has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to several factors, including the issuer's ability to issue additional debt, which has a negative 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. ELLINGTON FINANCIAL 2021-2: Fitch Affirms B Rating on B-2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage pass-through certificates to be issued by Ellington Financial Mortgage Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2 (EFMT 2021-2). DEBT RATING PRIOR ---- ------ ----- EFMT 2021-2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The EFMT 2021-2 certificates are supported by 661 loans with a balance of $331.78 million as of the cut-off date. This is the second Ellington Financial Mortgage Trust transaction rated by Fitch. The certificates are secured mainly by non-qualified mortgages (Non-QM) as defined by the Ability to Repay (ATR) rule. Approximately 99.5% of the loans were originated by LendSure Mortgage Corporation, a joint venture between LendSure Financial Services, Inc. (LFS) and Ellington Financial, Inc. (EFC). The remaining 0.5% of loans were originated by third-party originators. Rushmore Loan Management Services LLC will be the servicer and Nationstar Mortgage LLC will be the master servicer for the transaction. Of the pool, 70.8% of the loans are designated as Non-QM, and the remaining 29.2% are investment properties not subject to ATR. Finally, 33.6% of the loans in the pool are from prior non-QM transactions that have been called while the remaining 66.4% are newly originated. Consistent with the majority of the NQM transactions issued to date, this transaction has a modified sequential payment structure. The structure distributes collected principal pro rata among the class A notes while excluding the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. There is LIBOR exposure in this transaction. 21.1% of the loans are based off of one-year LIBOR while 78.8% of the loans in the collateral pool comprise fixed-rate mortgages, and the offered certificates are fixed-rate and capped at the net weighted average coupon (WAC) or pay the net WAC. KEY RATING DRIVERS Non-Prime Credit Quality (Mixed): The collateral consists mainly of 30-year or 40-year fully amortizing loans that are either fixed-rate, or adjustable rate, and 21.9% of the loans have an interest only period. The pool is seasoned approximately 13 months in aggregate, as determined by Fitch. The borrowers in this pool have relatively strong credit profiles with a 733 WA FICO score and 38.7% DTI, as determined by Fitch, and moderate leverage with an original CLTV of 67.3%, which translates to a Fitch calculated sLTV of 73.9%. Of the pool, 67.5% consists of loans where the borrower maintains a primary residence, while 32.5% comprises an investor property or second home; 100% of the loans were originated through a non-retail channel. Additionally, 70.8% are designated as Non-QM, while the remaining 29.2% are exempt from QM since they are investor loans. The pool contains 75 loans over $1 million, with the largest $3.3 million. Self-employed non-debt service coverage ratio (DSCR) borrowers make up 63.5% of the pool; salaried non-DSCR borrowers, 21.9%; and 14.6% are investor cash flow DSCR loans. 29.2% of the pool comprises loans on investor properties (14.6% underwritten to the borrowers' credit profile and 14.6% comprising investor cash flow loans), and Fitch considered 67 loans in the pool (6.4%) to be to non-permanent residents. There are no second liens in the pool and only 0.8% of the loans have subordinate financing. Overall, the pool characteristics resemble non-prime collateral, and therefore, the pool was analyzed using Fitch's non-prime model. Geographic Concentration (Negative): Approximately 46% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in Los Angeles MSA (18.5%) followed by the San Francisco MSA (14.2%) and the Miami MSA (6.0%). The top three MSAs account for 38.7% of the pool. As a result, there was a 1.02x adjustment for geographic concentration. Loan Documentation (Negative): Approximately 79% of the pool was underwritten to borrowers with less than full documentation, as determined by Fitch. Of this amount, 48.2% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the PD by 1.5x on the bank statement loans. Besides loans underwritten to a bank statement program, 7.4% is an asset depletion product, and 14.6% is a DSCR product. The pool does not have any loans underwritten to a CPA or PnL product, which Fitch viewed as a positive. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest. The limited advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Macro or Sector Risks (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of COVID-19 vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. 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 Evolve, AMC and Covius. The third-party due diligence described in Form 15E focused on compliance, credit and valuations. Fitch considered this information in its analysis. In reviewing the due diligence results, Fitch found that there are four loans graded C for TRID related issues; Fitch did not make an adjustment for these loans since Fitch considered the adjustment not to be material as the 0.02% increase to the loss severity would not have increased Fitch's loss expectations. Due to the 100% of the pool having undergone a due diligence review with no material findings, the pool's 'AAAsf' loss expectation was reduced by 41 bps. 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." Evolve, AMC, and Covius were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS EFMT 2021-2 has an ESG Relevance Score of '4+' for Transaction Parties & Operational Risk. Operational risk is well controlled for in EFMT 2021-2, including strong transaction due diligence as well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. FFMLT 2007-FFB-SS: Moody's Hikes Rating on Class A Certs to Caa2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of Cl. A from FFMLT 2007-FFB-SS US residential mortgage backed transaction (RMBS), backed by second lien mortgages. Complete rating action is as follows: Issuer: FFMLT 2007-FFB-SS, Mortgage Pass-Through Certificates, Series 2007-FFB-SS Cl. A, Upgraded to Caa2 (sf); previously on Nov 8, 2012 Confirmed at Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Financial Guarantor: Syncora Guarantee Inc. (Ratings Withdrawn on Nov 08, 2012) A List of Affected Credit Ratings is available at https://bit.ly/3gold3U RATINGS RATIONALE The rating upgrade reflects the increase in credit enhancement (CE) available to the bonds and also the recent performance as well as Moody's updated loss expectations on the underlying pool. The CE for Cl. A has increased from around 13% to 33% over the last 12 months, largely due to the continued write up of the subordinate bond Cl. M-1 from recoveries on the collateral. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of Moody's website, www.moodys.com/SFQuickCheck. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. FLAGSTAR MORTGAGE 2021-5INV: Moody's Gives '(P)B3' to B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to forty-eight classes of residential mortgage-backed securities issued by Flagstar Mortgage Trust 2021-5INV ("FSMT 2021-5INV"). The ratings range from (P)Aaa (sf) to (P)B3 (sf). Flagstar Mortgage Trust 2021-5INV (FSMT 2021-5INV) is the fifth issue from Flagstar Mortgage Trust in 2021 and the second issue with investor-property loans in 2021. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-5INV is a securitization of GSE eligible first-lien investment property mortgage loans. 100.0% of the pool by loan balance were originated by Flagstar Bank, FSB. All the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower as well as loan-to-value (LTV). These loans were run through one of the government-sponsored enterprises' (GSE) automated underwriting systems (AUS) and received an "Approve" or "Accept" recommendation. All of the personal-use loans are "qualified mortgages" under Regulation Z as result of the temporary provision allowing qualified mortgage status for loans eligible for purchase, guaranty, or insurance by Fannie Mae and Freddie Mac (and certain other federal agencies). If the Sponsor or the Reviewer determines a Personal Use Loan is no longer a "qualified mortgage" under the ATR Rules, the Sponsor will be required to repurchase such Personal Use Loan. With the exception of personal-use loans, all other mortgage loans in the pool are not subject to TILA because each such mortgage loan is an extension of credit primarily for a business purpose and is not a "covered transaction" as defined in Section 1026.43(b)(1) of Regulation Z. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. Overall, this pool has average credit risk profile as compared to that of recent prime jumbo transactions. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. Issuer: Flagstar Mortgage Trust 2021-5INV Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aa1 (sf) Cl. A-17, Assigned (P)Aa1 (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-11X*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-X-16*, Assigned (P)Aa1 (sf) Cl. A-X-17*, Assigned (P)Aa1 (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2-A, Assigned (P)A2 (sf) Cl. B-2-X*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. RR-A, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.90% at the mean, 0.62% at the median, and reaches 6.72% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (7.6% for the mean) and Moody's Aaa losses by 2.5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral description Flagstar Mortgage Trust 2021-5INV (FSMT 2021-5INV) is the third issue from Flagstar Mortgage Trust in 2021 and the first in 2021 with investor-property loans. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-5INV is a securitization of GSE eligible first-lien investment property mortgage loans. 100.0% of the pool by loan balance were originated by Flagstar Bank, FSB. All the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower as well as loan-to-value (LTV). As of the cut-off date of June 1, 2021, the $603,860,512 pool consisted of 2,218 mortgage loans secured by first liens on residential investment properties. The average stated principal balance is $272,255 and the weighted average (WA) current mortgage rate is 3.5%. The majority of the loans have a 30-year term, with 12 loans with terms ranging from 20 to 25 years. All of the loans have a fixed rate. The WA original credit score is 768 for the primary borrower only and the WA combined original LTV (CLTV) is 64.6%. The WA original debt-to-income (DTI) ratio is 37.4%. Approximately, 15.6% by loan balance of the borrowers have more than one mortgage loan in the mortgage pool. All of the mortgage loans originated by Flagstar were either directly or indirectly originated through correspondents and brokers. Approximately half of the mortgage loans by loan balance (41.0%) are backed by properties located in California. The second largest geographic concentration of properties are Texas, which represents 6.9% by loan balance, the third largest is Arizona, which represents 5.0% by loan balance. All other states each represent less than 5% by loan balance. Approximately 21.5% (by loan balance) of the pool is backed by properties that are 2-4 unit residential properties whereas loans backed by single family residential properties represent 48.1% (by loan balance) of the pool. Origination Quality Flagstar Bank, FSB (Flagstar) originated 100% of the loans in the pool. The loans in the pool are underwritten in conformity with GSE guidelines. Moody's consider Flagstar conforming and non-conforming mortgage origination quality to be adequate. As a result, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on Moody's review of the underwriting, QC, audit and loan performance. Servicing arrangement Moody's consider the overall servicing arrangement for this pool to be adequate. Flagstar will service the mortgage loans. Servicing compensation is subject to a step-up incentive fee structure. Wells Fargo Bank, N.A. (Wells Fargo) will be the master servicer. Flagstar will be responsible for principal and interest advances as well as servicing advances. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.50 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The fee-for-service compensation is reasonable and adequate for this transaction. It also better aligns the servicer's costs with the deal's performance and structure. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Delinquency and incentive fees will be deducted from the Class B-6-C interest payment amount first and could result in interest shortfall to the certificates depending on the magnitude of the delinquency and incentive fees. Trustee and master servicer The transaction trustee is Wilmington Savings Fund Society, FSB. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as master servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. Third-party review Moody's applied an adjustment to its Aaa and expected losses due to the sample size. The credit, compliance, property valuation, and data integrity portion of the third party review (TPR) was conducted on a total of approximately 14.7% of the pool (by loan count). Canopy Financial Technology Partners (Canopy) conducted due diligence for a total random sample of 327 loans. The TPR results indicated compliance with the originators' underwriting guidelines for most of the loans without any material compliance issues or appraisal defects. 100% of the loans reviewed received a grade B or higher with 74.0% of loans receiving an A grade. While the TPR results indicated compliance with the originators' underwriting guidelines for most of the loans, no material compliance issues and no material appraisal defects, the total sample size of 327 loans reviewed did not meet Moody's credit neutral criteria. Moody's therefore made an adjustment to loss levels to account for this risk. Representations and Warranties Framework Flagstar Bank, FSB the originator as well as an investment-grade rated entity, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when (1) the loan becomes 120 days delinquent, (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 119 days delinquent and is modified by the servicer. Similar to other private-label transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider is rated investment grade, the breach reviewer is independent, and the breach review process is thorough, transparent and objective. Moody's did not make any additional adjustment to Moody's base case and Aaa loss expectations for R&Ws. Transaction structure The securitization has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments on pro rata basis up to the senior bonds principal distribution amount, and then interest and principal payments on sequential basis up to each subordinate bond principal distribution amount. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate, starting with most junior, and senior support certificates and on a pro-rata basis among the super senior certificates. Tail Risk and subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 0.65% of the cut-off date pool balance, and as subordination lock-out amount of 0.65% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. COVID-19 Impacted Borrowers As of the cut-off date, no borrower in the pool has entered into a COVID-19 related forbearance plan with the servicer. Also, if any borrower enters or requests a COVID-19 related forbearance plan from the cut-off date to the closing date, then the associated mortgage loan will be removed from the pool. In the event a borrower enters or requests a COVID-19 related forbearance plan after the closing date, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. FORTRESS CREDIT XIII: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Fortress Credit BSL XIII Ltd./Fortress Credit BSL XIII LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Fortress Credit BSL XIII Ltd./Fortress Credit BSL XIII LLC Class A, $312.0 million: AAA (sf) Class B, $75.4 million: AA (sf) Class C (deferrable), $31.2 million: A (sf) Class D (deferrable), $31.2 million: BBB- (sf) Class E (deferrable), $19.5 million: BB- (sf) Subordinated notes, $52.2 million: Not rated GALAXY XV CLO: S&P Affirms B+ (sf) Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-RR, B-RR and C-RR replacement notes from Galaxy XV CLO Ltd./Galaxy XV CLO LLC, a CLO originally issued in 2013, later reset in 2017, and managed by PineBridge Investments LLC. At the same time, S&P withdrew its ratings on the original class A-R, B-R and C-R notes following payment in full on the June 9, 2021, refinancing date. S&P also affirmed its ratings on the class D-R and E-R notes, which were not refinanced. 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 the 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. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Galaxy XV CLO Ltd./Galaxy XV CLO LLC Replacement class A-RR, $358.40 million: AAA (sf) Replacement class B-RR, $61.60 million: AA (sf) Replacement class C-RR, $39.20 million: A (sf) Ratings Affirmed Galaxy XV CLO Ltd./Galaxy XV CLO LLC Class D-R: BBB- (sf) Class E-R: B+ (sf) Ratings Withdrawn Galaxy XV CLO Ltd./Galaxy XV CLO LLC Class A-R: to NR from AAA (sf) Class B-R: to NR from AA (sf) Class C-R: to NR from A (sf) Other Outstanding Ratings Galaxy XV CLO Ltd./Galaxy XV CLO LLC Subordinated notes: NR GLS AUTO 2021-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2021-2's automobile receivables-backed notes series 2021-2. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 56.8%, 49.2%, 40.4%, 31.7%, and 26.3% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.90x, 2.47x, 1.98x, 1.51x, and 1.25x its 19.00%-20.00% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. These break-even scenarios withstand cumulative gross losses of approximately 90.7%, 78.4%, 66.6%, 51.9%, and 43.5%, respectively. -- S&P's expectations that under a moderate ('BBB') stress scenario (1.60x its expected loss level), all else being equal, the '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). -- S&P's analysis of over seven years of origination static pool and securitization performance data on Global Lending Services LLC's 15 Rule 144A securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representation in the transaction documents that all contracts in the pool have made a least one payment. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the notes under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. 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 GLS Auto Receivables Issuer Trust 2021-2 Class A, $278.23 million: AAA (sf) Class B, $82.62 million: AA (sf) Class C, $80.02 million: A (sf) Class D, $75.12 million: BBB- (sf) Class E, $43.91 million: BB- (sf) GOLUB CAPITAL 53(B): Moody's Assigns Ba3 Rating to $26MM E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Golub Capital Partners CLO 53(B), Ltd. (the "Issuer"). Moody's rating action is as follows: US$283,500,000 Class A Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$53,500,000 Class B Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$22,500,000 Class C Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$28,500,000 Class D Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$26,000,000 Class E Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes listed are referred to, 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. Golub Capital Partners CLO 53(B), Ltd. 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, cash, and eligible investments, up to 10% of the portfolio may consist of second lien loans and senior unsecured loans and up to 5% of the portfolio may consist of secured bonds and senior secured notes. The portfolio is approximately 97% ramped as of the closing date. OPAL BSL LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2855 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 4.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9.1 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. GS MORTGAGE 2013-GCJ14: Moody's Cuts Rating on Cl. F Certs to Caa1 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on eleven classes and downgraded the ratings on two classes in GS Mortgage Securities Trust 2013-GCJ14 ("GSMS 2013-GCJ14"), Commercial Mortgage Pass-Through Certificates, Series 2013-GCJ14 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jul 7, 2020 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 7, 2020 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Jul 7, 2020 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jul 7, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 7, 2020 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jul 7, 2020 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jul 7, 2020 Confirmed at A2 (sf) Cl. D, Affirmed Ba1 (sf); previously on Jul 7, 2020 Downgraded to Ba1 (sf) Cl. E, Affirmed B1 (sf); previously on Jul 7, 2020 Downgraded to B1 (sf) Cl. F, Downgraded to Caa1 (sf); previously on Jul 7, 2020 Downgraded to B2 (sf) Cl. G, Downgraded to Caa3 (sf); previously on Jul 7, 2020 Downgraded to Caa2 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jul 7, 2020 Affirmed Aaa (sf) Cl. PEZ**, Affirmed Aa3 (sf); previously on Jul 7, 2020 Confirmed at Aa3 (sf) * Reflects interest-only classes ** Reflects exchangeable classes RATINGS RATIONALE The ratings on nine P&I classes were affirmed due to their credit support and because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes were downgraded due to a decline in pool performance and higher anticipated losses from specially serviced and troubled loans primarily secured by regional mall and hotel assets that have exhibited recent declines in performance. As of the May 2021 remittance statement, specially serviced loans account for 13% of the pool and troubled loans account for 6% of the pool. The rating on the interest-only (IO) class was affirmed based on the credit quality of its referenced classes. The rating on the exchangeable class was affirmed due to the credit quality of the referenced exchangeable classes. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in US economic activity. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 7.5% of the current pooled balance, compared to 6.3% at Moody's last review. Moody's base expected loss plus realized losses is now 6.0% of the original pooled balance, compared to 5.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. DEAL PERFORMANCE As of the May 12, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 20.4% to $990 million from $1.24 billion at securitization. The certificates are collateralized by 73 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans (excluding defeasance) constituting 52% of the pool. Twelve loans, constituting 12% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16, the same as at Moody's last review. As of the May 2021 remittance report, loans representing 89.9% were current, 0.9% was beyond their grace period but less than 30 days delinquent and 9.1% were 90+ days delinquent or in foreclosure. Nineteen loans, constituting 29% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan resulting in a minimal realized loss, has been liquidated from the pool. Four loans, constituting 13.3% of the pool, are currently in special servicing. Three of the specially serviced loans, represents 12.0% of the pool, transferred to special servicing since June 2020. The largest specially serviced loan is the W Chicago -- City Center Loan ($74.3 million -- 7.5% of the pool), which is secured by a 403-room, full-service, luxury hotel located in the Loop of Chicago, Illinois. The loan transferred to special servicing in March 2021 for Payment Default. The borrower ceased making debt service payments in January 2021. While the property's performance has been significantly impacted by the pandemic, property performance was already experiencing declining net operating income (NOI) with the 2019 NOI declining approximately 40% since securitization as a result of decreased revenue. The loan has amortized 20.1% since securitization and as of the May 2021 remittance report, the loan was last paid through December 2020. The second largest specially serviced loan is the Mall St. Matthews Loan ($35.4 million -- 3.6% of the pool), which represents a pari-passu portion of a $165.8 million mortgage loan. The loan is secured by a 670,376 square foot (SF) portion of a 1.02 million SF super-regional mall located in Louisville, Kentucky. The property is anchored by Dillard's, Dillard's Men & Home, and J.C. Penney, with J.C. Penney included as part of the collateral. The property is also anchored by a Dave & Busters that replaced a former Forever 21. The Oxmoor Center is the closest competition and targets a slightly more affluent demographic. The mall was 95% leased as of December 2020, compared to 97% leased as of December 2018. The loan transferred to special servicing in June 2020 as the borrower was unable to refinance the loan prior to the loan maturity date in June 2020. The loan has amortized 11.2% since securitization and as of the May 2021 remittance report, the loan was last paid through April 2021. The third largest specially serviced loan is the Indiana Mall loan ($12.7 million -- 1.3% of the pool), which is secured by an approximately 457,000 SF regional mall located in Indiana, Pennsylvania. The loan transferred to special servicing in November 2018 due to imminent default related to cash flow issues. Prior anchors included Sears, Kmart, and Bon-Ton. The property is currently anchored by J.C. Penney (14% of net rentable area (NRA)) with an upcoming lease expiration in November 2025. The second largest tenant, Kohl's, backfilled a portion of the prior Sears space with lease start date in October 2019 and accounts for 9% of NRA. The next largest tenants, Harbor Freight Tools and Sobex Fitness LLC, signed leases at the property in 2018 and 2019, respectively, and account for a combined 7% of NRA. As of June 2020, the mall was 42% occupied compared to 35% in December 2018. The loan has amortized 25.1% since securitization and as of the May 2021 remittance report, the loan was last paid through June 2019. Moody's has also assumed a high default probability for fiver poorly performing loans, constituting 5.8% of the pool. The largest troubled loan is the Willow Knolls Court Loan ($21.4 million -- 2.2% of the pool), which is secured by an approximately 273,000 SF retail property located in Peoria, Illinois. The loan has been on the watchlist in June 2019 due to Burlington Coat Factory (26% of NRA) vacating at lease expiration in March 2019. As of December 2020, the property was 72% occupied and the net cash flow (NCF) DSCR has decreased to 0.60X in 2020 from 0.85X in 2019 and 1.31X in 2018. The second largest troubled loan, Cobblestone Court Loan ($19.1 million -- 1.9% of the pool), is secured by an approximately 265,000 SF retail property located in Victor, New York. The loan has been on the watchlist since November 2017 due to the largest tenant, Kmart (45% of GLA), vacating prior to its 2019 lease expiration. A major craft store has backfilled nearly half of the Kmart vacancy with a 10-year lease that commenced in May 2021. The borrower has confirmed the current largest tenant at the property, Dick's Sporting Goods (19% of GLA), with a lease expiration in January 2022, is expected to vacate to another location but intends to honor their existing lease. The remaining troubled loans are secured by student housing and retail properties located in Ohio, Wisconsin, and Florida. Moody's estimates an aggregate loss of $53.8 million (a 29% expected loss on average) for the troubled loans and specially serviced loans. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2019 operating results for 100% of the pool, and partial or full year 2020 operating results for 89% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 102% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 20% to the most recently available NOI. Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.56X and 1.12X, respectively, compared to 1.52X and 1.08X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 30% of the pool balance. The largest loan is the 11 West 42nd Street Loan ($150.0 million -- 15.2% of the pool), which represents a pari-passu portion of a $300.0 million mortgage loan. The loan is secured by a 33-story office building located in the Grand Central submarket of Manhattan, New York. The largest tenant, Michael Kors, has more than doubled its presence at the property since securitization and accounts for 28% of NRA with a lease expiration in March 2025. The second largest tenant, CIT Group (22% of NRA), renewed the majority of its space through May 2034. The non-renewed portion accounts for 6% of NRA with a lease expiration in October 2021. As of December 2020, the property was 89% leased, compared to 90% in March 2019 and 91% in December 2017. The loan is interest-only through its entire term. Moody's LTV and stressed DSCR are 97% and 0.95X, respectively, the same as the last review. The second largest loan is the ELS Portfolio Loan ($95.2 million -- 9.6% of the pool), which is secured by twelve manufactured housing and RV sites totaling 5,849 pads. The properties are located across four states (Florida, Texas, Maine, and Arizona) with the highest concentration in Florida (57% of pads). Subsequent to an April 2018 modification, one property with 424 pads was released and two properties with combined pads of 619 were added to the portfolio. As of December 2020, the portfolio was 91%, unchanged from December 2019. The loan has amortized 13.3% since securitization. Moody's LTV and stressed DSCR are 85% and 1.28X, respectively, compared to 87% and 1.25X at the last review. The third largest loan is Cranberry Woods Office Park ($49.6 million -- 5.0% of the pool), which is secured by three 4-story suburban office buildings located in Cranberry Township, Pennsylvania, a suburb 25 miles north of Pittsburg CBS. All improvements were constructed between 1999 and 2003. The loan is collateralized by both the leasehold and fee simple ownership of the property. The ground is owned by an affiliate of the borrower and is leased to the borrower for a term of 29 years and 11 months. The property was 98% leased as of December 2020, unchanged from December 2019 and slightly lower than the occupancy of 99% in December 2018. The loan has amortized 10.7% since securitization. Moody's LTV and stressed DSCR are 116% and 0.91X, respectively, compared to 118% and 0.89X at the last review. GS MORTGAGE 2021-PJ6: Moody's Assigns (P)B2 Rating to B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 38 classes of residential mortgage-backed securities issued by GS Mortgage-Backed Securities Trust (GSMBS) 2021-PJ6. The ratings range from (P)Aaa (sf) to (P)B2 (sf). GS Mortgage-Backed Securities Trust 2021-PJ6 (GSMBS 2021-PJ6) is the sixth prime jumbo transaction in 2021 issued by Goldman Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage loan seller. The certificates are backed by 944 (91.47% by UPB) prime jumbo (non-conforming) and 133 (8.53% by UPB) conforming, primarily 30-year, fully-amortizing fixed-rate mortgage loans with an aggregate stated principal balance (UPB) $1,037,856,430 as of the June 1, 2021 cut-off date. Overall, pool strengths include the high credit quality of the underlying borrowers, indicated by high FICO scores, strong reserves for prime jumbo borrowers, mortgage loans with fixed interest rates and no interest-only loans. As of the cut-off date, none of the mortgage loans are subject to a COVID-19 related forbearance plan. However, there are two loans in the pool that have gone through a COVID-19 related post-forbearance interest rate modification. Both the loans have been current on their mortgage obligations since past 5 payment periods. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (97.8% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (2.2% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (which aggregated 8.9% % of the mortgage loans by UPB). NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the pool. Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long term debt Aa2) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties (R&W) breach reviewer. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. In addition, Moody's adjusted its losses based on qualitative attributes, including origination quality, the strength of the R&W framework and third-party review (TPR) results. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. Issuer: GS Mortgage-Backed Securities Trust 2021-PJ6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aa1 (sf) Cl. A-4, Assigned (P)Aa1 (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-15-X*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-17-X*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-18-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aa1 (sf) Cl. A-X-4*, Assigned (P)Aa1 (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.17%, and reaches 3.39% at stress level consistent with Moody's Aaa rating. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (5.88% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any mortgage loans to borrowers who are not currently making payments. For newly originated mortgage loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned mortgage loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, strength of the TPR and the R&W framework of the transaction. Collateral Description The mortgage loans consist of 944 (91.47% by UPB) prime jumbo (non-conforming) and 133 (8.53% by UPB) conforming, fully amortizing, first lien residential mortgage loans, none of which have the benefit of primary mortgage guaranty insurance. The aggregate collateral pool comprises 944 (91.47% by UPB) prime jumbo (non-conforming) and 133 (8.53% by UPB) conforming, primarily 30-year, fully-amortizing fixed-rate mortgage loans with an aggregate stated principal balance (UPB) $1,037,856,430 and a weighted average (WA) mortgage rate of 2.9%. The WA current FICO score of the borrowers in the pool is 772. The WA Original LTV ratio of the mortgage pool is 68.4%, which is in line with GSMBS 2021-PJ5 and also with other prime jumbo transactions. All the loans are subject to the Qualified Mortgage (QM) rule. The other characteristics of the mortgage loans in the pool are generally comparable to that of GSMBS 2021-PJ5 and recent prime jumbo transactions. The mortgage loans in the pool were originated mostly in California (43.8%) and in high cost metropolitan statistical areas (MSAs) of Los Angeles (12.6%), San Francisco (14.4%), Chicago (8.6%), San Jose (5.4%) and others (26.1%), by UPB, respectively. The high geographic concentration in high cost MSAs is reflected in the high average balance of the pool ($963,655). Moody's made adjustments to Moody's losses to account for this geographic concentration risk. Top 10 MSAs comprise 67.0% of the pool, by UPB. Aggregator/Origination Quality GSMC is the loan aggregator and the primary mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure. The mortgage loans for this transaction were acquired by GSMC, the sponsor and a mortgage loan seller (98.8% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (2.2% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (8.9% by UPB, in total). The mortgage loan sellers do not originate any mortgage loans, including the mortgage loans included in the mortgage pool. Instead, the mortgage loan sellers acquired the mortgage loans pursuant to contracts with the originators or the aggregator. Overall, Moody's consider GSMC's aggregation platform to be comparable to that of peer aggregators and therefore did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing GSMC's aggregation quality, Moody's have also reviewed the origination quality of each of the originators which contributed at least approximately 10% of the mortgage loans (by UPB) to the transaction. For these originators, Moody's reviewed their underwriting guidelines, performance history, and quality control and audit processes and procedures (to the extent available, respectively). Approximately 43.2%, 5.2% and 1.5% of the mortgage loans, by a UPB as of the cut-off date (approximately 50.0% by UPB), were originated by Guaranteed Rate, Inc. (GRI), Guaranteed Rate Affinity, LLC (GRA) and Proper Rate, LLC (collectively, the Guaranteed Rate Parties), respectively. The Guaranteed Rate Parties are affiliates. In addition, approximately 9.8% of the mortgage loans, by UPB as of the cut-off date, were originated by CrossCountry Mortgage, LLC (CrossCountry). No other originator or group of affiliated originators originated more than approximately 10% of the mortgage loans in the aggregate. Moody's consider CrossCountry and Guaranteed Rate Parties to have adequate residential prime jumbo loan origination practices that are in line with peers due to: (1) adequate underwriting policies and procedures, (2) consistent performance with low delinquency and repurchase and (3) adequate quality control, Moody's did not make any adjustments to Moody's loss levels for mortgage loans originated by these parties. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint will be the named primary servicer for this transaction and will service 100% of the pool. Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. Shellpoint's primary servicing location is in Greenville, South Carolina. Shellpoint services residential mortgage assets for investors that include banks, financial services companies, GSEs and government agencies. Wells Fargo will act as master. Wells Fargo is a national banking association and a wholly-owned subsidiary of Wells Fargo & Company. Moody's consider the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Wells Fargo is committed to act as successor servicer if no other successor servicer can be engaged. Third-party Review The transaction benefits from TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The due diligence results confirm compliance with the originators' underwriting guidelines for the vast majority of mortgage loans, no material compliance issues, and no material valuation defects. The mortgage loans that had exceptions to the originators' underwriting guidelines had significant compensating factors that were documented. Representations & Warranties GSMBS 2021-PJ6's R&W framework is in line with that of prior GSMBS transactions Moody's have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Moody's review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and the R&W enforcement mechanism. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of mortgage loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. There is a provision for binding arbitration in the event of a dispute between the trust and the R&W provider concerning R&W breaches. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment-grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyze the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Here, because most of the R&W providers are unrated and/or exhibit limited financial flexibility, Moody's applied an adjustment to the mortgage loans for which these entities provided R&Ws. Tail Risk and Locked Out Percentage The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 0.60% of the cut-off date pool balance, and as subordination lock-out amount of 0.60% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. COVID-19 Impacted Borrowers As of the cut-off date, none of the mortgage loans are subject to a COVID-19 related forbearance plan. However, there are two loans in the pool that have gone through a COVID-19 related post forbearance interest-rate modification and are performing since past five payment periods. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, then such principal forbearance amount will be recognized as a realized loss. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Shellpoint will recover advances made during the period of COVID-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. GS MORTGAGE-BACKED 2021-PJ6: Fitch Gives BB(EXP) Rating to B4 Debt ------------------------------------------------------------------ Fitch expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ6 (GSMBS 2021-PJ6) as indicated. The transaction is expected to close on June 30, 2021. The certificates are supported by 1,077 prime-jumbo mortgage loans with a total balance of approximately $1.037 billion as of the cutoff date. DEBT RATING ---- ------ GSMBS 2021-PJ6 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AA+(EXP)sf Expected Rating A4 LT AA+(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7X LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15X LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17X LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18X LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AA+(EXP)sf Expected Rating AX1 LT AA+(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 LT AA+(EXP)sf Expected Rating AX4 LT AA+(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating AR LT NR(EXP)sf Expected Rating KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists mostly of 30-year fixed-rate mortgage fully amortizing loans seasoned approximately five months in aggregate. The collateral is a mix of prime-jumbo (91.5%) and agency conforming loans (8.5%). The borrowers in this pool have strong credit profiles (766 model FICO) and relatively low leverage (a 74% sustainable loan to value ratio). The 100% full documentation collateral comprises 100% prime-jumbo loans, while 100% of the loans are safe-harbor qualified mortgages. Of the pool, 98.7% are loans for which the borrower maintains a primary residence, while 1.3% are for second homes. Additionally, 83.7% of the loans were originated through a retail channel. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.60% of the original balance will be maintained for the senior certificates, and a subordination floor of 0.60% of the original balance will be maintained for the subordinate certificates. Shellpoint Mortgage Servicing (SMS) will provide full advancing for the life of the transaction. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. Goldman Sachs is assessed as an 'Above Average' aggregator by Fitch due to its robust sourcing strategy and seller oversight, experienced senior management and staff, and strong risk management and corporate governance controls. Additionally, Fitch has conducted reviews on almost 80% of the originators in this transaction, all of which are considered at least an 'Average' originator by industry standards. Primary servicing responsibilities are performed by SMS, rated 'RPS2' by Fitch. Fitch did not adjust its expected losses based on these operational assessments. Updated Economic Risk Factor (ERF) (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 "Global Economic Outlook - March 2021" and related baseline economic scenario forecasts have been revised to 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in its "U.S. RMBS Loan Loss Model Criteria." The lower expected losses in the non-investment-grade rating stresses led to higher ratings for class B5 compared to prior transactions. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. Factor that Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: -- This defined negative stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected decline at the base case. This analysis indicates there is some potential rating migration with higher MVDs compared with the model projection. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes already rated 'AAAsf' and classes constrained due to qualitative rating caps, the analysis indicates there is potential positive rating migration for all of the other rated classes. -- This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to "Fitch U.S. RMBS Loss Metrics." BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action. Third-party due diligence was performed on 100% of the loans in the transaction. Due diligence was performed by SitusAMC, Opus and Recovco, which Fitch assesses as 'Acceptable - Tier 1', 'Acceptable - Tier 2' and 'Acceptable - Tier 3', respectively. The review scope is consistent with Fitch criteria, and the results are generally similar to prior prime RMBS transactions. Credit exceptions were supported by strong mitigating factors, and compliance exceptions were primarily cured with subsequent documentation. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Opus and Recovco were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Fitch also utilized data files made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. IMPERIAL FUND 2021-NQM1: DBRS Gives (P) B(low) Rating on B-2 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2021-NQM1 (the Certificates) to be issued by Imperial Fund Mortgage Trust 2021-NQM1: -- $141.1 million Class A-1 at AAA (sf) -- $15.7 million Class A-2 at AA (high) (sf) -- $28.9 million Class A-3 at A (sf) -- $11.7 million Class M-1 at BBB (low) (sf) -- $7.7 million Class B-1 at BB (low) (sf) -- $5.6 million Class B-2 at B (low) (sf) The AAA (sf) rating on the Class A-1 Certificates reflects 34.15% of credit enhancement provided by subordinated Certificates. The AA (high) (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 26.80%, 13.30%, 7.85%, 4.25%, and 1.65% 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 prime and non-prime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 493 loans with a total principal balance of $214,223,458 as of the Cut-Off Date (May 1, 2021). This is the second transaction by Imperial Fund I, LLC (Imperial Fund) as Issuer. While the overall collateral characteristics are comparable to other non-QM pools, there are some characteristics unique to the Trust: (1) a large population of the loans (54.3%) is concentrated in Florida; and (2) a notable share of the collateral comprises loans originated to foreign national (5.3%) and to non-resident alien borrowers (3.7%; together, known as foreign borrowers), some of which do not have FICO scores provided by the U.S. credit bureaus. The originator for the aggregate mortgage pool is A&D Mortgage (ADM). ADM originated the mortgages primarily under the following five programs: Super Prime, Prime, Foreign National, Debt Service Coverage Ratio (DSCR), and Foreign National DSCR. For more information regarding these programs, see the related report. ADM is the Servicer for all loans. Specialized Loan Servicing LLC will subservice the mortgage loans beginning on or about the Closing Date. Imperial Fund will act as the Sponsor and Servicing Administrator, and Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as the Securities Administrator and Certificate Registrar. Wilmington Trust National Association (rated AA (low) with a Negative trend by DBRS Morningstar) will serve as the Custodian and Wilmington Savings Fund Society, FSB will act as the Trustee. In accordance with U.S. credit risk retention requirements, Imperial Fund as the Sponsor, either directly or through a Majority-Owned Affiliate, will retain an eligible horizontal residual interest consisting of the Class B-3 and Class X Certificates (together, the "Risk Retained Certificates"), representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM)/ATR rules, 72.0% are designated as non-QM. Approximately 28.0% of the loans are made to investors for business purposes and are thus not subject to the QM/ATR rules. The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent, contingent upon recoverability determination. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. The Seller will have the option, but not the obligation, to repurchase any nonliquidated mortgage loan that is 90 or more days delinquent under the Mortgage Bankers Association (MBA) method (or, in the case of any Coronavirus Disease (COVID-19) forbearance loan, such mortgage loan becomes 90 or more days MBA Delinquent after the related forbearance period ends) at the Repurchase Price, provided that such repurchases in aggregate do not exceed 7.5% of the total principal balance as of the Cut-Off Date. On or after the earlier of May 2024 or the date when the collateral pool balance is reduced to or below 30% of the Cut-Off Date balance, Imperial Fund Mortgage Depositor LLC (the Depositor) has the option to purchase all outstanding certificates (Optional Redemption) at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts. After such a purchase, the Depositor then has the option to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. On any date following the date on which the collateral pool balance is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator and the Servicer will have the option to terminate the transaction by purchasing all of the mortgage loans and any real-estate owned (REO) property. The purchase price will be equal to the sum of the aggregate stated principal balance of the mortgage loans (other than any REO property) plus applicable accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed advances, accrued and unpaid fees, and expenses that are payable or reimbursable to the transaction parties (Optional Termination). An Optional Termination is conducted as a qualified liquidation. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Interest payments and shortfalls on the Class A-1, A-2, and A-3 Certificates can be paid sequentially from the principal remittance waterfall when the trigger event is not in effect. Also, principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 Certificates sequentially (IIPP) after a delinquency or cumulative loss trigger event has occurred. For more subordinate Certificates, principal proceeds can be used to cover interest shortfalls as the more senior Certificates 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 Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes, shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forebear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low LTV, good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as forbearance period comes to an end for many borrowers. In connection with the economic stress assumed under its moderate scenario (see Global Macroeconomic Scenarios: March 2021 Update, published on March 17, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans. Notes: All figures are in U.S. dollars unless otherwise noted. IMPERIAL FUND 2021-NQM1: S&P Assigns B(sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Imperial Fund Mortgage Trust 2021-NQM1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing residential mortgage loans that are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to prime and nonprime borrowers. The pool has 493 non-qualified or exempt mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The pool's geographic concentration -- The transaction's representation and warranty framework; -- The mortgage originator, A&D Mortgage LLC; and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, S&P will update its assumptions and estimates accordingly. Ratings Assigned Imperial Fund Mortgage Trust 2021-NQM1 Class A-1, $141,066,000: AAA (sf) Class A-2, $15,745,000: AA (sf) Class A-3, $28,920,000: A (sf) Class M-1, $11,675,000: BBB (sf) Class B-1, $7,712,000: BB (sf) Class B-2, $5,570,000: B (sf) Class B-3, $3,535,458: NR Class A-IO-S, notional(i): NR Class X, notional(i): NR Class R, not applicable: NR (i)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. JP MORGAN 2016-JP2: Fitch Lowers Class E Certs to 'B-sf' -------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 10 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- JPMCC 2016-JP2 A-3 46590MAQ3 LT AAAsf Affirmed AAAsf A-4 46590MAR1 LT AAAsf Affirmed AAAsf A-S 46590MAV2 LT AAAsf Affirmed AAAsf A-SB 46590MAS9 LT AAAsf Affirmed AAAsf B 46590MAW0 LT AA-sf Affirmed AA-sf C 46590MAX8 LT A-sf Affirmed A-sf D 46590MAC4 LT BBB-sf Affirmed BBB-sf E 46590MAE0 LT B-sf Downgrade BB-sf X-A 46590MAT7 LT AAAsf Affirmed AAAsf X-B 46590MAU4 LT AA-sf Affirmed AA-sf X-C 46590MAA8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations for the transaction have increased, primarily due to an increase in expected losses from three loans in the top 15 (11.3% of the pool), one of which (5.5%) has transferred to special servicing since Fitch's last rating action. Twenty-one loans (37.5%) are on the master servicer's watchlist for declines in occupancy due to tenants vacating, performance declines resulting from the coronavirus pandemic, upcoming rollover and/or deferred maintenance; 19 (34.6%) of which are considered Fitch loans of concern. Including the specially serviced loan, 20 loans (40% of the pool) are considered FLOC's. The largest increases in expected losses since the last rating action are Marriott Atlanta Buckhead (5.5%), Haggerstown Premium Outlets (3.3%) and 700 17th Street (2.3%). Fitch's current ratings incorporate a base case loss of 7.1%. The Negative Outlooks reflect losses that could reach 8.4% when factoring in additional pandemic-related stresses. Specially Serviced Loan/Fitch Loans of Concern: The largest contributor to total deal expected losses and specially serviced loan, Marriott Atlanta Buckhead (5.5%) is secured by a 10-story, 349-key full-service hotel located approximately 8.5 miles north from Downtown Atlanta in the Buckhead district of Atlanta, GA. The loan was transferred to special servicing on Jan. 14, 2021 due to delinquent payments. The hotel was closed since October 2020 and borrower was requesting to reopen in April 2021, but was asking the lender to fund shortfalls in the form of accrued bills including insurance. There was a $1 million tax bill that was recently paid from escrow. The loan is currently cash managed and the property remains closed. Per the special servicer, the borrower submitted an initial proposal, which was rejected. The borrower has since tendered a revised proposal which is currently under review. Discussions with the borrower are ongoing and the lender is dual tracking foreclosure. Fitch's expected loss of 26% is based on a valuation which equates to a value per key of $109,456 and an implied cap rate of 13.5% given the property remains closed. The second largest contributor to loss, Aloft Milwaukee (2.1%) is secured by a 160-key hotel property located in Milwaukee, WI. The loan is on the master servicer's watchlist due to request for relief. The loan was approved for coronavirus consent relief in the form of the monthly FF&E reserve deposit deferred from July 2020-October 2020. The reserve payment was to be used to satisfy the deferred monthly payments. Per the master servicer, effective gross income decreased by 67.7% when compared with YE 2019 due to a decrease in room revenue, other departmental revenue and food. The decrease in room revenue can be attributed to a decrease in occupancy from 66.5% as of Dec. 31, 2019 to 27.5% as of Dec. 31, 2020. The loan also failed to meet the coronavirus NOI DSCR tolerance threshold. Additional stresses were applied to the loan to account for the expected declines in performance. Fitch's analysis is based on a 26% haircut to YE 2019 NOI which reflects a Fitch stressed value per key of $63,007. The third largest FLOC and contributor to loss, 700 17th Street (2.2%) is secured by a 182,505-sf office property located in Denver, CO. The largest tenants are Machol & Johannes (13.1%), expiring March 2022; Colorado National Bank (6.4%), expiring January 2025; Document Technologies LLC (3.8%) expiring October2024; Jefferson Capital Systems LLC (3.8%), expiring January 2022 and EnGlobal US (3.7%), expiring April 2021. The property's occupancy has declined to 72.1% as of December 2020. The loan is on the master servicer's watchlist as the property's performance has declined due to multiple tenants vacating at year-end 2019. Per the master servicer, the borrower stated they are engaged with one of top leasing team for downtown Denver, who is working to bring them more deals. Two new tenants, Agile Education (2%) and Uptown Physical Therapy (1%) moved in on March 1 and May 1 with rents effective June 1, which will increase revenue. Additionally, the borrower has completed a suite build out on the 20th and 22nd floors which will cater to move-in-ready tenants. There is approximately 17% upcoming rollover in 2021 and 20% in 2022. Fitch's expected loss of 37% reflects a total 15% haircut to the YE 2020 NOI given the high upcoming rollover. The fourth largest FLOC and contributor to loss, Haggerstown Premium Outlets (3.3%) is secured by a 484,994-sf outlet center located in Hagerstown, MD, approximately 70 miles northwest of Washington D.C. and 72 miles northwest of Baltimore. The loan is currently on the master servicer's watchlist. The loan was previously specially serviced and was returned from special servicing as rehabilitated and is now current. Per the master servicer, loan modification terms have been satisfied with excess cash. There is approximately 18.4% upcoming rollover in 2021. Wolf Furniture, which previously leased 13.8% NRA through May 2029 filed for bankruptcy and closed in March 2020. The space remains vacant. Fitch's base case loss expectation is based on a 18% cap rate and a 20% total haircut to the YE 2019 NOI, which reflects deteriorating performance and the secular shift away from regional malls and larger retail centers. The fifth largest FLOC and contributor to loss, Autumn Park Apartments (1.4%) is secured by a 288-unit multifamily property, built in 1982/renovated in 2000 and located in Victoria, TX. The loan is considered a FLOC due to performance declines resulting from the pandemic and leasing activity has slowed significantly. Per a rent roll dated September 2020, the property was 72.6% occupied. Fitch expected loss of 52% is based on YE 2020 NOI with no additional haircut. The remaining FLOCs are below 1.3% of the pool and are considered FLOCs due to occupancy declines largely related to the coronavirus pandemic. Improved Credit Enhancement: As of the May 2021 distribution date, the pool's aggregate balance has been reduced by 5.9% to $883.9 million, from $939.2 million at issuance. One loan (previously 0.7%) paid off at maturity since Fitch's last rating action. Three loans (11%) are fully defeased including the second largest loan, Center 21 (9% of the pool). At issuance, based on the scheduled balance at maturity, the pool will pay down 11.1% of the initial pool balance. Five full-term interest-only loans comprise 27.2% of the pool, 19 loans representing 46.6% of the pool are partial interest-only, and 21 loans representing 26.2% of the pool are balloon. Coronavirus Exposure: Significant economic impact to certain hotels, retail and multifamily properties is expected from the coronavirus pandemic, due to the recent and sudden reductions in travel and tourism, temporary property closures and lack of clarity on the potential length of the impact. The pandemic has already prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Ten loans (16.6% of the pool) are secured by hotel loans and ten loans (26% of the pool) are secured by retail properties. Fitch applied additional stresses to nine hotel loans (11.1%) and two retail loans (2.6%) to account for potential cash flow disruptions due to the coronavirus pandemic. These stresses contributed to the downgrade of class E and Negative Outlook revisions to classes A-S thru D. Pool Concentrations: Ten loans (26%), including three in the top 15, are secured by retail properties, Opry Mills (9%), The Shops at Crystal (5.7%), and Hagerstown Premium Outlets (3.3%). At issuance, the sixth largest loan, The Shops at Crystal, was given an investment-grade credit opinion of 'BBB+sf' on a stand-alone basis. Hotel loans represent 16.6% of the pool, including three (9.7%) in the top 15. The largest 10 loans account for 56.5% of the pool by balance. At issuance, two sponsors, Simon Property Group and CIM Commercial Trust Corporation, each comprised more than 10% of the pool with 12% and 11%, respectively. High Concentration of Pari Passu Loans: Nine loans (48.6% of pool) are pari passu, all of which are in the top 15. RATING SENSITIVITIES The Negative Outlooks on class A-S thru D reflects performance concerns with hotel and retail properties due to the coronavirus pandemic. The Stable Outlooks on classes A-3 through AS-B reflect the increased CE, defeasance and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to classes B and C, rated 'AA-sf' and 'A-sf', respectively, would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or further underperformance or default of the FLOCs could cause this trend to reverse. An upgrade of class D, rated 'BBB-sf', is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. -- Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. An upgrade to classes E, rated 'Bsf' is not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the class. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades to classes A-3, A-4, A SB, A-S, B and C, rated 'AAAsf', 'AA-sf' and 'A-sf', are not likely due to the position in the capital structure, but may occur at the 'AAsf' and 'AAAsf' categories should interest\ shortfalls occur. -- Downgrades to classes D and E, rated in the 'BBB-sf' and 'Bsf' categories would occur should overall pool losses increase and/or one or more large FLOCs have an outsized loss or should loss expectations increase due to additional loans transferring to special servicing and/or properties vulnerable to the coronavirus fail to return to pre-pandemic levels. -- The Rating Outlooks on classes A-S thru E may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JPMBB COMMERCIAL 2014-C23: Moody's Upgrades Cl. UH5 Notes From Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on eight classes in JPMBB Commercial Mortgage Securities Trust 2014-C23. Cl. A-4, Affirmed Aaa (sf); previously on Dec 27, 2019 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Dec 27, 2019 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Dec 27, 2019 Upgraded to Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Dec 27, 2019 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Dec 27, 2019 Upgraded to Aa2 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 27, 2019 Affirmed A3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Dec 27, 2019 Upgraded to Aaa (sf) Cl. EC**, Affirmed A1 (sf); previously on Dec 27, 2019 Affirmed A1 (sf) Cl. UH5***, Upgraded to Baa2 (sf); previously on Dec 27, 2019 Affirmed Ba1 (sf) * Reflects interest-only classes ** Reflects exchangeable classes *** Reflects rake bond classes RATINGS RATIONALE The ratings on six principal and interest (P&I) classes were affirmed because their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the interest only (IO) class, Class X-A, was affirmed based on the credit quality of its referenced classes. The rating on exchangeable class EC was affirmed due the credit quality of its referenced exchangeable classes. The rating on the non-pooled rake class, Class UH5, was upgraded based on an improvement in the Moody's loan-to-value (LTV) ratio as a result of principal paydowns from loan amortization. The Class UH5 is a pari passu non-pooled rake class of the U-Haul Self Storage Pool 5 loan and the whole loan has amortized 27% since the last review. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in US economic activity. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 9.9% of the current pooled balance, compared to 5.0% at Moody's last review. Moody's base expected loss plus realized losses is now 6.9% of the original pooled balance, compared to 3.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes, interest-only classes, and rake bond classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. JPMDB COMMERCIAL 2016-C4: Fitch Affirms B- Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 12 classes of JPMDB Commercial Mortgage Securities Trust 2016-C4 commercial mortgage passthrough certificates. DEBT RATING PRIOR ---- ------ ----- JPMDB 2016-C4 A-1 46646RAG8 LT PIFsf Paid In Full AAAsf A-2 46646RAH6 LT AAAsf Affirmed AAAsf A-3 46646RAJ2 LT AAAsf Affirmed AAAsf A-S 46646RAN3 LT AAAsf Affirmed AAAsf A-SB 46646RAK9 LT AAAsf Affirmed AAAsf B 46646RAP8 LT AA-sf Affirmed AA-sf C 46646RAQ6 LT A-sf Affirmed A-sf D 46646RAB9 LT BBB-sf Affirmed BBB-sf E 46646RAC7 LT BB-sf Affirmed BB-sf F 46646RAD5 LT B-sf Affirmed B-sf X-A 46646RAL7 LT AAAsf Affirmed AAAsf X-B 46646RAM5 LT AA-sf Affirmed AA-sf X-C 46646RAA1 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations have remained stable since the last rating action, with several loans experiencing less severe coronavirus pandemic-related declines than expected as of the prior rating action. The majority of the loans in the pool (93.8%) have reported YE20 financials. Fitch has identified seven loans (21.1%) as Fitch loans of concern (FLOCs), including three (12.7%) loans among the top 15 loans and two loans (4.8%) in special servicing. Fitch's current ratings incorporate a base case loss of 5.5%. The Negative Rating Outlooks reflect losses that could reach 7.2% when factoring additional coronavirus-related stresses and a potential outsized loss on the Fresno Fashion Fair Mall loan. The largest FLOC and largest increase in expected losses is the Fresno Fashion Fair Mall (5.6%), which is secured by the 561,989 sf portion of an 835,416 sf regional mall located in Fresno, CA. Built in 1970, the property was last renovated in 2006. Noncollateral tenants include Macy's (Women's & Home, and Men's & Children's Stores), BJ's Restaurant and Brewhouse, Chick-fil-A and Fleming's. The largest collateral tenants include JCPenney (27.4% of NRA, lease expiry in November 2022), H&M (3.4%, January 2027), Victoria's Secret (2.6%, January 2027), Cheesecake Factory (1.8%, January 2026) and ULTA Beauty (1.8%, August 2027). The mall reopened at the end of May 2020 following two months of closure due to pandemic-related restrictions. As of September 2020, occupancy declined to 86.8% from 92.5% as of YE19 due to nine smaller tenants vacating upon lease expiration. Near-term lease rollover consists of 4.4% of NRA that was either on month-to-month terms or had leases that expired by YE20 (eight tenants, including Apple); 11.5% in 2021 (24 tenants); 31.3% in 2022 (12 tenants); 5.8% in 2023 (12 tenants); and 5.4% in 2024 (17 tenants). As of the TTM ended September 2020, comparable inline sales for tenants under 10,000 sf were $590 psf (including Apple) and $472 (excluding Apple), down from $765 psf ($617 psf) as of the TTM ended March 2019. Macy's and JCPenney reported sales of $87 psf and $75 psf, respectively, as of the TTM ended September 2020, down from $241 psf and $230 psf as of the TTM ended March 2019. Fitch's base case loss expectation applies a 9.50% cap rate and a 15% total haircut to YE20 NOI given the recent occupancy decline and near-term lease rollover concerns. 693 Fifth Avenue (6.76% of the pool) is the second largest FLOC. The loan is secured by a 94,463 sf office property with ground-level retail located on Fifth Avenue in New York City. Occupancy has declined due to the departure of two tenants upon their 2020 lease expiration dates, in addition to the departure of the ground-level retail tenant vacating prior to its 2029 lease expiration. 111 West 57th Partner (11,878 sf, 12% of net rentable area) vacated at its April 2020 lease expiration, and Hays Worldwide Research (4,681 sf, 5% of net rentable area) vacated at its June 2020 lease expiration. In addition, Valentino vacated prior to its July 2029 lease expiration date, and the landlord is currently in the midst of ongoing litigation to collect outstanding and future rent payments through the end of the lease period. These tenancy challenges are mitigated by a strong location and experienced sponsorship. The largest loan in special servicing is the 100 East Wisconsin Avenue loan (2.4%). The loan is secured by a 435,629 sf office building located in downtown Milwaukee. This loan transferred to the special servicer in May 2020 due to a pandemic-related relief request and imminent default. According to the sponsor, net cash flow declined due to the largest tenant vacating and other tenants requesting pandemic-related rent relief. The sponsor has requested a loan modification, and a receiver has been appointed to attempt to stabilize the property. Minimal Changes in Credit Enhancement: Credit Enhancement (CE) has had minimal changes since issuance. As of the May 2021 distribution date, the pool's aggregate principal balance has been reduced by 4.2% to $1.08 billion, down from $1.12 billion at issuance, resulting in minimal increases in CE to the senior classes. Six of the largest 15 loans (34.1%), including one defeased loan (Starbucks Center; 6%), are full-term interest-only loans. In total, there are eight full-term interest-only loans representing 39.1% of the pool. Additionally, there are three loans representing 11.4% of the pool that remain in their partial interest-only period. Alternative Loss Consideration: Fitch applied an additional sensitivity scenario that considered a potential outsized loss of 35% on the Fresno Fashion Fair Mall maturity balance due to a decrease in commerce amid the pandemic and the potential for a more prolonged impact on overall mall performance. The sensitivity loss reflects an implied cap rate of 12.3% to YE19 NOI. This additional sensitivity contributed to maintaining Negative Rating Outlooks on classes E and F. Office Concentration: The pool has an above-average concentration of office properties, accounting for 53.6% of loans. Fitch-rated transactions in 2016 had an average office concentration of 28.7%. Additional Stresses Applied Due to Coronavirus Exposure: Six loans (15.9%) are secured by retail properties and five loans (10.2%) are secured by hotel properties. Fitch applied additional coronavirus-related stresses to four hotel loans (5.6%) as YE20 reporting was available for the other loans; these additional stresses contributed to the Negative Rating Outlooks on classes D-RR and E-RR. RATING SENSITIVITIES The Negative Rating Outlooks on classes E and F reflect the potential for future downgrades based on the additional sensitivity scenario performed on the Fresno Fashion Fair Mall loan and concerns associated with the performance of the FLOCs and the ultimate impact of the pandemic. The Stable Rating Outlooks on classes A-1 through D reflect overall stable pool performance for the majority of the pool and expected continued paydown. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs or loans expected to be negatively affected by the pandemic could cause this trend to reverse. -- Upgrades to the 'BBBsf' category would also take into account these factors but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there was a likelihood of interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' categories are unlikely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels and there is sufficient CE to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AAsf' and 'AAAsf' categories are not likely due to their position in the capital structure but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur or should the impact from the pandemic be greater than currently expected. -- Downgrades to the 'Asf' and/or 'BBBsf' categories would occur if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase due to an increase in specially serviced loans and/or if the loans vulnerable to the pandemic fail to stabilize. -- The Rating Outlooks on classes E and F may be revised back to Stable if the performance of the FLOCs and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario whereby the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects additional negative rating actions, including downgrades or Negative Rating Outlook revisions. For more information on Fitch's original rating sensitivity on the transaction, please refer to the new issuance report. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. KKR CLO 25: Moody's Assigns (P)Ba3 Rating to Class E-R Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of CLO refinancing notes to be issued by KKR CLO 25 Ltd. (the "Issuer"). Moody's rating action is as follows: US$265,000,000 Class A-1R Senior Secured Floating Rate Notes Due 2034, Assigned (P)Aaa (sf) US$14,000,000 Class A-2R Senior Secured Fixed Rate Notes Due 2034, Assigned (P)Aaa (sf) US$59,625,000 Class B-R Senior Secured Floating Rate Notes Due 2034, Assigned (P)Aa2 (sf) US$23,625,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2034, Assigned (P)A2 (sf) US$29,250,000 Class D-R Senior Secured Deferrable Floating Rate Notes Due 2034, Assigned (P)Baa3 (sf) US$21,375,000 Class E-R Senior Secured Deferrable Floating Rate Notes Due 2034, Assigned (P)Ba3(sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. KKR Financial Advisors II, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes , a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. 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: $448,839,506 Defaulted par: $1,286,255 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2950 Weighted Average Spread (WAS): 3.51% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.25% 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 its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. LCM 30: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------ S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R, C-R, D-R, and E-R replacement notes from LCM 30 Ltd., a CLO originally issued in 2019 that is managed by LCM Asset Management LLC. S&P withdrew its ratings on the original class X, A-1, B, C, D, and E notes in line with their full redemption on the June 9, 2021, refinancing date. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether 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 LCM 30 LTD./LCM 30 LLC Class X-R, $1.80 million: AAA (sf) Class A-R, $260.00 million: AAA (sf) Class B-R, $37.60 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $20.40 million: BBB- (sf) Class E-R (deferrable), $15.20 million: BB- (sf) Ratings Withdrawn LCM 30 LTD./LCM 30 LLC Class X: to NR from 'AAA (sf)' Class A-1: to NR from 'AAA (sf)' Class B: to NR from 'AA (sf)' Class C (deferrable): to NR from 'A (sf)' Class D (deferrable): to NR from 'BBB- (sf)' Class E (deferrable): to NR from 'BB- (sf)' Other Outstanding Notes LCM 30 LTD./LCM 30 LLC Subordinated notes: NR LOANCORE 2021-CRE5: DBRS Finalizes B Rating on Class G Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of notes to be issued by LoanCore 2021-CRE5 Issuer Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) The initial collateral consists of 20 floating-rate mortgages secured by 45 mostly transitional properties with a cut-off balance of $909.6 million, excluding approximately $140.9 million of future funding participations and $353.8 million of funded companion participations. In addition, there is a 180-day ramp-up period during which the Issuer may use $125.0 million of funds deposited into the unused proceeds account to acquire additional eligible loans, subject to the eligibility criteria, resulting in a target pool balance of $1.035 billion. Of the 20 loans, there are three unclosed, targeted mortgage assets loans, representing 17.3% of the trust balance, as of May 21, 2021: The Paragon at Kierland (#1), representing 9.7% of the trust balance; The Reserve at Seabridge (#12), representing 4.3% of the trust balance; and Lotus Village (#15), representing 3.3% of the trust balance. If a delayed-close loan is not likely to close or fund prior to the purchase termination date or if the terms are materially different from the terms described in the offering memorandum, the expected purchase price can be credited to the unused proceeds amount for the Issuer to acquire ramp-up mortgage assets secured by multifamily properties during the ramp-up acquisition period. The eligibility criteria indicates that 70.0% of the loans acquired within the ramp-up period, other than mortgage assets that were targeted mortgage assets, must be secured by multifamily properties. Of the 20 loans, there are two loans with funded companion participations, representing 12.1% of the trust balance: 345 Park Avenue South (#4), representing 7.1% of the trust balance, and One Whitehall (#9), representing 5.0% of the trust balance. During the replenishment period the Issuer may acquire up to $103.0 million of funded companion participations subject to the eligibility criteria, acquisition criteria, and acquisition requirements. During the reinvestment period, the Issuer may acquire future funding commitments, funded companion participations, and additional eligible loans subject to the eligibility criteria. The transaction stipulates a $5.0 million threshold on companion participation acquisitions before a rating agency confirmation is required if there is already a participation of the underlying loan in the trust. 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 the transaction documents) that outline debt service coverage ratio (DSCR), loan-to-value ratio (LTV), Herfindahl score minimum, property type, and loan size limitations for ramp and reinvestment. DBRS Morningstar accounted for the uncertainty introduced by the 180-day ramp-up period by running a ramp scenario that simulates the potential negative credit migration in the transaction, based on the eligibility criteria. As a result, the ramp component has a higher expected loss (E/L) than the weighted-average (WA) preramp pool E/L. The transaction's sponsor is LCC REIT, which is managed by a LoanCore Capital Credit Advisor LLC, a wholly owned subsidiary of LoanCore Capital (LoanCore). LoanCore 2021-CRE5 Issuer Ltd. and LoanCore 2021-CRE5 Co-Issuer LLC are each newly formed special-purchase vehicles (collectively, the Co-Issuers) and indirect wholly owned subsidiaries of the Sponsor. LoanCore is a leading investor and commercial real estate lender with a credit-focused alternative asset management platform that manages LLC REIT and LoanCore Capital Markets (LCM). As of March 31, 2021, LoanCore had $13.5 billion in assets under management between LCC REIT and LCM. This transaction represents LoanCore's sixth commercial real estate collateralized loan obligation (CRE CLO) since 2013, and there have been no realized losses to date in any of its issued CRE CLO on approximately $5.6 billion of mortgage assets contributed including reinvestments. An affiliate of LCC REIT, an indirect wholly owned subsidiary of the Sponsor (as retention holder) will acquire the Class F notes, the Class G notes, and the Preferred Shares (Retained Securities), representing the most subordinate 18.125% of the transaction by principal balance. Based on the initial pool balances, the overall WA DBRS Morningstar As-Is DSCR of 0.79 times (x) and WA As-Is LTV of 80.9% generally reflect high-leverage financing. The DBRS Morningstar As-Is DSCR for each loan 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 1.20x, suggesting that the properties are likely to have improved NCFs once the sponsors' business plans have been implemented. Six loans, representing 38.8% of the DBRS Morningstar sample (28.8% of the mortgage asset cut-off date balance), had Above Average or Average + property quality scores based on physical attributes and/or a desirable location within their respective markets. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/ guests, resulting in a more stable performance. No loans in the DBRS Morningstar sample had property quality scores below Average. The properties are primarily in core markets with the overall pool's WA DBRS Morningstar Market Rank at 5.5, which indicates dense suburban markets. Four loans, totaling 25.9% of the of the mortgage asset cut-off date balance, are in markets with a DBRS Morningstar Market Rank of 8, which indicate super dense market locations. These markets generally benefit from increased liquidity that is driven by consistently strong investor demand and therefore tend to benefit from lower default frequencies than less-dense suburban, tertiary, or rural markets. Only one loan, Boulder County Business Center, representing 6.5% of the of the mortgage asset cut-off date balance, is secured by a property in an area with a DBRS Morningstar Market Rank of 2, which indicates tertiary market characteristics. DBRS Morningstar conducted site inspections for three loans in the pool, representing 16.1% of the loan allocated cut-off date balance—345 Park Avenue South, Latsko Portfolio, and Ace Hotel Chicago—because of health and safety constraints associated with the ongoing Coronavirus Disease (COVID-19) pandemic. DBRS Morningstar previously conducted site inspections for 471-476 Central Park West in conjunction with its original securitization in the LNCR 2019-CRE2 transaction and One Whitehall in conjunction with its original securitization in LNCR 2021-CRE4. Including the site inspections for 471-476 Central Park West and One Whitehall, the DBRS Morningstar site inspection sample by loan allocated cut-off balance is 26.3%. As a result, DBRS Morningstar relied more heavily on third-party reports, online data sources, and information from the Issuer to determine the overall DBRS Morningstar property quality assigned to each loan. 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. MADISON PARK XXXVIII: S&P Assigns Prelim 'BB-' Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Madison Park Funding XXXVIII Ltd./Madison Park Funding XXXVIII LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of June 10, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Madison Park Funding XXXVIII Ltd./Madison Park Funding XXXVIII LLC Class X, $3.5 million: AAA (sf) Class A, $376.5 million: AAA (sf) Class B, $79.5 million: AA (sf) Class C (deferrable), $36.0 million: A (sf) Class D (deferrable), $36.0 million: BBB- (sf) Class E (deferrable), $21.0 million: BB- (sf) Subordinated notes, $54.5 million: Not rated MFA TRUST 2021-RPL1: Fitch Assigns B(EXP) Rating on B-2 Notes ------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by MFA 2021-RPL1 Trust (MFA 2021-RPL1), as follows: DEBT RATING ---- ------ MFA 2021-RPL1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by a collateral group consisting of 2,151 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $473.20 million, including $36.89 million, or 7.8%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. A 2.3% portion of the pool was 30 days' delinquent as of the cutoff date, and 37% of loans are current but have had delinquencies within the past 24 months (after being adjusted for Fitch's treatment of coronavirus pandemic-related forbearance and deferral loans). Roughly 86% by unpaid principal balance (UPB) have been modified. Fitch increased its loss expectations to account for the delinquent loans and the high percentage of "dirty current" loans. See the Asset Analysis section for additional information. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure with a turbo feature whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Updated Economic Risk Factor (ERF) (Positive): Consistent with the Additional Scenario Analysis section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario, or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data and the unexpected development in the ongoing health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's "Global Economic Outlook — March 2021" and related baseline economic scenario forecasts have been revised to 6.2% and 3.3% U.S. GDP growth for 2021 and 2022, respectively, following negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." 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 analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40%, at the 'AAA' level. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes when compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full rating category. Factor that could individually or collectively, lead to positive rating action/upgrade: -- The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. More specifically, a 10% gain in home prices would result in a full category upgrade for rated classes (excluding those already assigned ratings of 'AAAsf'). Model-Implied Sensitivities This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down-environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used to indicate possible future performance. The defined rating sensitivities determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade and to 'CCCsf'. The percentage points shown in the table below reflect the additional MVDs that would have to occur to impact the ratings for each defined sensitivity for this transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected MVD, which is 7.8% in the base case. As shown in the table below, the analysis indicates there is some potential rating migration with higher MVDs, as compared with the model projection. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. A total of 63 reviewed loans, or about 2.9% of the pool, received a final grade of 'D', as the loan file did not have a final HUD-1. Fitch adjusted its loss expectation at the 'AAAsf' rating category by approximately 25 bps to reflect the missing final HUD-1 files and modification agreements. All loans received an updated tax and title search; however, a portion of the tax review was not completed. Approximately 24% (by loan count) did not receive an updated tax search. Fitch adjusted its 'AAAsf' loss expectations by close to 100 bps to take into account the potential unpaid tax amounts. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and Mission Global were engaged to perform the review. Loans reviewed under this engagement were given compliance grades. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more details. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information; however, this information was not provided based on the American Securitization Forum's (ASF) data layout format. Despite this difference in data presentation, Fitch considered the data to be comprehensive. The data contained in MFA's data tape were reviewed by the due diligence company, 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. MFA TRUST 2021-RPL1: Fitch Assigns Final B Rating on B-2 Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by MFA 2021-RPL1 Trust (MFA 2021-RPL1), as follows: DEBT RATING PRIOR ---- ------ ----- MFA 2021-RPL1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT Rsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by a collateral group consisting of 2,151 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $473.20 million, including $36.89 million, or 7.8%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. A 2.3% portion of the pool was 30 days' delinquent as of the cutoff date, and 37% of the loans are current but have had delinquencies within the past 24 months (after being adjusted for Fitch's treatment of coronavirus pandemic-related forbearance and deferral loans). Roughly 86% by unpaid principal balance (UPB) have been modified. Fitch increased its loss expectations to account for the delinquent loans and the high percentage of "dirty current" loans. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure with a turbo feature whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Updated Economic Risk Factor (ERF) (Positive): Consistent with the Additional Scenario Analysis section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario, or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data and the unexpected development in the ongoing health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's "Global Economic Outlook — March 2021" and related baseline economic scenario forecasts have been revised to 6.2% and 3.3% U.S. GDP growth for 2021 and 2022, respectively, following negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." 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 analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40%, at the 'AAA' level. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes when compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full rating category. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. More specifically, a 10% gain in home prices would result in a full category upgrade for rated classes (excluding those already assigned ratings of 'AAAsf'). Model-Implied Sensitivities This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down-environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used to indicate possible future performance. The defined rating sensitivities determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade and to 'CCCsf'. The percentage points reflect the additional MVDs that would have to occur to impact the ratings for each defined sensitivity for this transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected MVD, which is 7.8% in the base case. The analysis indicates there is some potential rating migration with higher MVDs as compared with the model projection. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. A total of 63 reviewed loans, or about 2.9% of the pool, received a final grade of 'D', as the loan file did not have a final HUD-1 Settlement Statement. Fitch adjusted its loss expectation at the 'AAAsf' rating category by approximately 25 basis points (bps) to reflect the missing final HUD-1 files and modification agreements. All loans received an updated tax and title search; however, a portion of the tax review was not completed. Approximately 24% (by loan count) did not receive an updated tax search. Fitch adjusted its 'AAAsf' loss expectations by close to 100 bps to take into account the potential unpaid tax amounts. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and Mission Global were engaged to perform the review. Loans reviewed under this engagement were given compliance grades. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information; however, this information was not provided based on the American Securitization Forum's (ASF) data layout format. Despite this difference in data presentation, Fitch considered the data to be comprehensive. The data contained in MFA's data tape were reviewed by the due diligence company, 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. ML-CFC COMMERCIAL 2007-6: Moody's Lowers Rating on Cl. X Certs to C ------------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and downgraded the rating on one class in ML-CFC Commercial Mortgage Trust 2007-6, Commercial Mortgage Pass-Through Certificates, Series 2007 as follows: Cl. AJ, Affirmed Ca (sf); previously on Mar 1, 2019 Downgraded to Ca (sf) Cl. X*, Downgraded to C (sf); previously on Mar 1, 2019 Affirmed Ca (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on Cl. AJ was affirmed because the ratings is consistent with Moody's expected plus realized loss. Cl. AJ has already experienced a 17% realized loss as a result of previously liquidated loans. The rating on Cl. X was downgraded based on the decline in credit quality of the referenced classes as a result of principal paydowns from higher quality referenced classes. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in US economic activity. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 74.4% of the current pooled balance, compared to 51.0% at Moody's last review. Moody's base expected loss plus realized losses is now 16.0% of the original pooled balance, the same as at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, or a significant performance improvement for the remaining loans in the pool. Factors that could lead to a downgrade of the ratings include an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 95% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss and recovery from specially serviced to the remaining classes. DEAL PERFORMANCE As of the May 14, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $88.7 million from $2.15 billion at securitization. The certificates are collateralized by two mortgage loans. One loan, constituting 4.6% of the pool, has defeased and is secured by US government securities. Thirty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $278 million (for an average loss severity of 71%). The one remaining non-defeased loan, the Blackpoint Puerto Rico Retail ($84.7 million -- 95.4% of the pool), is currently in special servicing. The portfolio is secured by six retail properties located throughout Puerto Rico. The properties range in size from 53,000 to 306,000 SF, totaling approximately 855,000 SF. The loan transferred to special servicing in February 2012 due to imminent monetary default due to the inability to pay off the loan at maturity. Servicer commentary indicated the properties were inspected in June 2020 and range from fair to poor, with some assets suffering from unrepaired storm damage from earlier hurricane damage. Financials have not been reported since 2016. The special servicer commentary has also confirmed the existence of significant insurance proceeds relating to the hurricane damage that have not been turned over to the lender. A receiver was appointed in early 2020 but has not been able to take control of the collateral. The loan has been deemed non-recoverable by the master servicer and as of the May 2021 remittance statement no interest or principal proceeds were distributed to Cl. AJ. MORGAN STANLEY 2006-4SL: Moody's Hikes Cl. A-1 Notes Rating to Caa3 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six bonds from four US residential mortgage backed transactions (RMBS), backed by second lien mortgages, issued by several issuers. Complete rating actions are as follows: Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-J Cl. 1-A, Upgraded to Baa2 (sf); previously on Mar 20, 2019 Upgraded to Ba1 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-4SL Cl. A-1, Upgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to C (sf) Issuer: GMACM Home Equity Loan Trust 2004-HE2 Cl. A-4, Upgraded to A3 (sf); previously on Oct 31, 2019 Upgraded to Baa2 (sf) Cl. M-1, Upgraded to Baa2 (sf); previously on Oct 31, 2019 Upgraded to Ba1 (sf) Issuer: GMACM Home Equity Loan Trust 2004-HE5 Cl. A-5, Upgraded to Baa1 (sf); previously on Mar 9, 2020 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Mar 9, 2020 Upgraded to Baa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-6, Upgraded to Baa1 (sf); previously on Mar 9, 2020 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Mar 9, 2020 Upgraded to Baa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) A List of Affected Credit Ratings is available at https://bit.ly/2TtWe7C RATINGS RATIONALE The rating upgrades reflect the increase in credit enhancement (CE) available to the bonds and also the recent performance as well as Moody's updated loss expectations on the underlying pools. The CE of the bonds in the rating action have increased by around 15-20% over the last 12 months, primarily due to excess spread and the continued build-up of the deals' overcollateralization. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. MORGAN STANLEY 2014-150E: DBRS Confirms B Rating on Class F Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2014-150E issued by Morgan Stanley Capital I Trust 2014-150E as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BB (high) (sf) -- Class E at BB (sf) -- Class F at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The $525 million transaction is backed by the leasehold interest and sublease hold interest in 150 East 42nd Street, a 42-story Class A office tower totaling 1.7 million square feet (sf) located directly across from Grand Central Terminal in Midtown Manhattan. The tower occupies the entire block bounded by Lexington Avenue, East 42nd Street, Third Avenue, and East 41st Street. The total debt stack includes an unsecuritized $175.0 million mezzanine loan that is co-terminus with the 10-year first mortgage. The property is currently anchored by investment-grade tenants Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend by DBRS Morningstar), which leases 437,088 sf (26.9% of net rentable area (NRA)) through 2028, and Mount Sinai Hospital, which leases 448,819 sf (26.2% of NRA) through 2046, that occupy a combined 53.1% of the property's NRA. The third-largest tenant, Dentsu Aegis Network (Aegis), leases 206,175 sf (12.0% of NRA) through 2028. While the loan benefits from minimal near-term rollover concerns, there are concerns about two of the three largest tenants: Wells Fargo and Aegis. In 2020, Wells Fargo relocated its Manhattan headquarters to 30 Hudson Yards after it signed a lease for 500,000 sf at that property. Furthermore, according to published reports, Aegis is expected to vacate the subject property prior to its 2028 lease expiration after the company executed a lease for 320,000 sf at the Morgan North Postal facility at 341 Ninth Avenue in West Chelsea. Aegis is expected to consolidate all of its New York City-based employees in that location starting in 2023. Mitigating these concern are the remaining years on both leases as well as the potential for additional revenue as both tenants are paying below market rents. Based on the December 2020 rent roll, Wells Fargo is paying $56.64/sf while Aegis is paying $59.00/sf. According to Reis, asking rents within the Grand Central submarket were $77.26/sf with a vacancy rate of 9.5% as of Q1 2021. The property was 97% occupied as of YE2020 with a debt service coverage ratio (DSCR) of 1.78 times. Despite maintaining a stable DSCR, the YE2020 net cash flow is down 18% since issuance. While revenue is up 1.2% since issuance, operating expenses have increased by nearly 16%, mainly as a result of increases in insurance premiums, management fees, payroll, and general and administrative costs. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-C30: Fitch Lowers Rating on 2 Tranches to 'B-' ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2016-C30 (MSBAM 2016-C30). Fitch has also revised the Outlooks on three classes to Negative from Stable and maintained the Negative Outlooks on five classes. DEBT RATING PRIOR ---- ------ ----- MSBAM 2016-C30 A-1 61766NAW5 LT AAAsf Affirmed AAAsf A-2 61766NAX3 LT AAAsf Affirmed AAAsf A-3 61766NAZ8 LT AAAsf Affirmed AAAsf A-4 61766NBA2 LT AAAsf Affirmed AAAsf A-5 61766NBB0 LT AAAsf Affirmed AAAsf A-S 61766NBE4 LT AAAsf Affirmed AAAsf A-SB 61766NAY1 LT AAAsf Affirmed AAAsf B 61766NBF1 LT AA-sf Affirmed AA-sf C 61766NBG9 LT A-sf Affirmed A-sf D 61766NAJ4 LT BBB-sf Affirmed BBB-sf E 61766NAL9 LT B-sf Downgrade BB-sf X-A 61766NBC8 LT AAAsf Affirmed AAAsf X-B 61766NBD6 LT AA-sf Affirmed AA-sf X-D 61766NAA3 LT BBB-sf Affirmed BBB-sf X-E 61766NAC9 LT B-sf Downgrade BB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks reflect increased loss expectations, primarily on the regional mall/outlet center Fitch Loans of Concern (FLOCs) due to occupancy declines and performance deterioration. Fifteen loans (34.2% of pool), including one (0.5%) in special servicing were designated FLOCs. Fitch's current ratings incorporate a base case loss of 5.80%. The Negative Outlooks reflect losses that could reach 9.30% when factoring additional pandemic-related stresses, as well as potential outsized losses on Briarwood Mall and Simon Premium Outlets. Regional Mall/Outlet Center FLOCs: The largest contributor to loss expectations, Briarwood Mall (8.2%), is secured by 369,916 of a 978,034 sf super regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The loan, which is sponsored in a 50/50 joint venture (JV) between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to occupancy declines and performance concerns. Fitch's base case loss expectation of approximately 23% is based on a 15% cap rate and 5% total haircut to YE 2020 NOI. The YE 2020 NOI has declined 16% since YE 2019 and is 27% below the issuers underwritten NOI. Servicer-reported NOI debt service coverage ratio (DSCR) for this interest-only loan was 2.54x at YE 2020, down from 3.03x at YE 2019 and 3.51x at issuance. Collateral occupancy was 76% at YE 2020, down from 87% at YE 2019 and 95% at issuance. Gap and Banana Republic vacated in 2020 and H&M and Romano's Macaroni Grill vacated in 2021. In-sales were $543 psf ($358 excluding Apple) as of the TTM ended July 2020. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur after Sears closed in the fourth quarter of 2018. The second largest contributor to loss expectations, Coconut Point (6.7%), is secured by 836,531 sf of a 1.2 million sf open-air, anchored retail property in Estero, FL approximately 20 miles from Fort Meyers. The loan, which is sponsored in a JV between Simon Property Group and Dillard's, Inc., was designated a FLOC due to occupancy declines and near-term rollover concerns. Fitch's base case loss expectation of approximately 14% is based on a 10% cap rate and 20% total haircut to YE 2019 NOI. The property is anchored by a non-collateral Super Target and a non-collateral Dillard's. The largest collateral tenant is Regal Cinemas, which leases 9.5% net rentable area (NRA) through April 2024. Collateral occupancy declined to 78% from 82% as of September 2020 after Bed Bath & Beyond, which leased 4.2% NRA through January 2022, closed this location in February 2021. Collateral occupancy was 90% at YE 2019 and 88% at issuance. Servicer-reported NOI DSCR was 1.63x as of YTD September 2020 compared with 1.71x at YE 2019 and 1.54x at issuance. The loan began amortizing in November 2018. Near-term rollover includes 10.7% in 2021 and 20.0% in 2022. The third largest contributor to loss expectations, Simon Premium Outlets (2.7%), is secured by a 782,765 sf portfolio of three outlet centers located in tertiary markets including Lee, MA, Gaffney, SC and Calhoun, GA. The loan, which is sponsored by Simon Property Group, was designated a FLOC due to concerns about the sponsor's commitment to the portfolio, tertiary market locations of the outlet centers, continued occupancy and sales declines and significant near-term lease rollover. Fitch's base case loss expectation of approximately 21% is based on a 25% cap rate and 10% total haircut to YE 2020 NOI. Portfolio occupancy declined to 69% at YE 2020 from 82% at YE 2019 and 94% at issuance. Servicer-reported NOI DSCR for this amortizing loan was 2.52x at YE 2020, down from 2.83x at YE 2019 and 2.78x at issuance. Per the December 2020 rent roll, near-term rollover includes 22.5% portfolio NRA in 2021 and 20.2% in 2022. Alternative Loss Considerations: Fitch applied potential outsized losses of 50% on the current balance of Briarwood Mall to reflect concerns with continued occupancy and performance declines and Simon Premium Outlets to reflect concerns with the sponsor's commitment to the asset and the continued occupancy and sales declines. This additional sensitivity scenario, which also factors in the expected paydown of the defeased loans, contributed to the Negative Outlook revisions. Exposure to Coronavirus Pandemic: Six loans (13.5%) are secured by hotel properties. The weighted average NOI DSCR for all the hotel loans is 2.74x. These hotel loans could sustain a weighted average decline in NOI of 64% before DSCR falls below 1.00x. Twenty loans (41.4%) are secured by retail properties. The weighted average NOI DSCR for all retail loans is 1.92x. These retail loans could sustain a weighted average decline in NOI of 48% before DSCR fall below 1.00x. Additional coronavirus specific stresses were applied to all six hotel loans (13.5%) and seven retail loans (13.5%). These additional stresses contributed to the Negative Outlooks. Minimal Change to Credit Enhancement: As of the May 2021 distribution date, the pool's aggregate balance has been paid down by 3.7% to $852.7 million from $885.2 million at issuance. One loan with a $1.8 million balance paid in full at maturity since Fitch's prior review. Five loans (5.6%) are defeased. Ten loans (38.2% of pool) are full-term, interest-only, and 22 loans (33.8%) have a partial-term, interest-only component, of which 18 have begun to amortize. Interest Shortfalls of $312,067 are currently impacting the non-rated class G. Pool Concentration: The top 10 loans comprise 57.3% of the pool. Loan maturities are concentrated in 2026 (96.3%). Based on property type, the largest concentrations are retail at 41.4%, office at 32.5% and hotel at 13.5%. Credit Opinion Loans: Four loans (22.6%) received investment-grade credit opinions at issuance: Vertex Pharmaceuticals HQ (9.1%; BBB-sf), Easton Town Center (8.8%; A+sf), The Shops at Crystals (2.3%; BBB+sf) and International Square (2.3%; AA-sf). Fitch will continue to monitor the performance of Easton Town Center and The Shops at Crystals due to concerns surrounding regional malls and larger retail centers. RATING SENSITIVITIES The Negative Outlooks reflect the potential for downgrades given concerns with the FLOCs, primarily Briarwood Mall, Coconut Point and Simon Premium Outlets. The Stable Outlooks reflect sufficient credit enhancement (CE) and the expectation of paydown from continued amortization. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. While upgrades are unlikely due to performance concerns with the regional mall/outlet center FLOCs, classes B, X-B, C, D, X-D, E and X-E could be upgraded if performance of the regional mall/outlet center FLOCs improves, and/or if there is sufficient CE, which would likely occur if the non-rated classes are not eroded and the senior classes pay-off. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level expected losses from underperforming or specially serviced loans. Downgrades of classes A-1, A-2, A-3, A-4, A-5, A-SB and X-A are not likely due to sufficient CE and expected receipt of continued amortization. Downgrades of classes A-S, B, X-B, C, D, X-D, E and X-E could occur if interest shortfalls impact the class, if additional loans become FLOCs or if performance of the FLOCs, primarily the regional mall/outlet center FLOCs, deteriorates further. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MORGAN STANLEY 2018-BOP: DBRS Confirms BB Rating on Class F Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-BOP issued by Morgan Stanley Capital I Trust 2018-BOP: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class X-EXT at A (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. At issuance, the loan was secured by the fee-simple interest in a portfolio of 12 suburban office properties comprising nearly 1.8 million square feet (sf) of office space located in four different states. Built between 1970 and 2007, the predominantly Class B office properties benefit from diverse tenancy across many sectors as evidenced by the portfolio's granularity, with no tenant representing more than 3.0% of the net rentable area (NRA). Nine of these properties are concentrated in the Washington, D.C., metro area, with seven properties in suburban Maryland (72.8% of the initial loan balance) and two properties in northern Virgina (11.3% of the initial loan balance). Of the remaining three assets, two are located in Orlando, Florida (12.7% of the initial loan balance) and one in Alpharetta, Georgia (5.7% of the initial loan balance). In June 2020, the smallest property by allocated loan balance, Prince Street Plaza, located in Arlington, Virginia, was released from the portfolio for $8.1 million, with a concurrent mezzanine debt payment of $2.0 million received. The mortgage loan was structured with an initial two-year term and three one-year extension options and is interest only (IO) through its fully extended loan term. The borrower may release properties from the loan at a repayment amount of 105.0% of the allocated loan balance for the first 20% of the initial loan balance with a 110.0% release price thereafter, subject to a debt yield requirement of 12.5% following the release of the property along with other criteria. Initial proceeds of $278.4 million, including $55.0 million of mezzanine debt, were used to refinance $259.4 million of existing debt, fund upfront reserves of $8.3 million, and cover $9.5 million in closing costs. Upfront reserves primarily included $4.7 million for existing tenant improvement/leasing commission (TI/LC) obligations, $1.1 million for upfront real estate tax reserves, and $2.6 million for existing free rent obligations as well as deferred maintenance, insurance, environmental, and replacement reserves. The loan was also structured with an annual TI/LC collection of $1.50 psf or approximately $2.6 million based on the portfolio's current square footage. Per the May 2021 loan level reporting, there was a disbursement of $5.9 million from the leasing reserve. According to the servicer, these funds were released to the borrower as reimbursement for leasing expenses associated with roughly 120 leases executed since the loans closing. The leasing reserve has a remaining balance of $1.6 million. The loan is sponsored by Brookfield Strategic Real Estate Partners II (BSREP II), a large-scale global real estate opportunity fund with $9.0 billion of committed capital to invest in a diversified portfolio of high-quality assets in North America, Europe, Australia, Brazil, and other select markets. BSREP II is the second private fund investment vehicle of its kind created by the owner-operator, Brookfield Property Partners L.P. (Brookfield; rated BBB (low) with a Stable trend by DBRS Morningstar). Brookfield acquired the assets through two separate transactions between 2016 and 2017 with a purchase price of $341.1 million and prior to the issuance of the subject transaction invested $8.6 million into select properties to improve their competitive positions and to stabilize below-market level occupancy. Based on the Q3 2020 reporting, portfolio occupancy has fallen to approximately 74.0% from the issuance figure of 78.9%. At issuance, the portfolio's largest six tenants represented a combined 16.2% of the portfolio's NRA. While the most recent rolls received are dated (March 2019), DBRS Morningstar was able to view a number of the properties from their respective listings and confirm that five of these tenants, representing a combined 12.7% of the portfolio's NRA, have either vacated or have spaces listed as available for lease in the near term. While this will most likely have some effect on the portfolio's performance during the near term, the pool benefits from granularity, with over 240 tenants in occupancy at issuance on short to medium terms, and, as noted above, there has been significant leasing activity since issuance, which should help to mitigate some of the noted tenant rollover. According to the borrower's Q3 2020 operating statement, the loan had an annualized net operating income of $26.7 million, slightly above the DBRS Morningstar figure after considering the partial collateral release. The loan was added to the servicer's watchlist in April 2021 pending the upcoming August 2021 maturity date; however, the borrower has not yet indicated if it intends to exercise its second extension option or repay the loan in full. DBRS Morningstar has requested an update on the upcoming maturity plans, along with updated rent rolls and financials. Notes: All figures are in U.S. dollars unless otherwise noted. MP CLO VIII: Moody's Assigns B3 Rating to $2.75MM Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by MP CLO VIII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$3,500,000 Class A-X Amortizing Senior Secured Floating Rate Notes Due 2034 (the "Class A-X Notes"), Assigned Aaa (sf) US$224,000,000 Class A-RR Senior Secured Floating Rate Notes Due 2034 (the "Class A-RR Notes"), Assigned Aaa (sf) US$38,500,000 Class B-RR Senior Secured Floating Rate Notes Due 2034 (the "Class B-RR Notes"), Assigned Aa2 (sf) US$18,000,000 Class C-RR Secured Deferrable Floating Rate Notes Due 2034 (the "Class C-RR Notes"), Assigned A2 (sf) US$21,950,000 Class D-RR Secured Deferrable Floating Rate Notes Due 2034 (the "Class D-RR Notes"), Assigned Baa3 (sf) US$19,000,000 Class E-RR Secured Deferrable Floating Rate Notes Due 2034 (the "Class E-RR Notes"), Assigned Ba3 (sf) US$2,750,000 Class F Secured Deferrable Floating Rate Notes Due 2034 (the "Class F 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 non-senior secured loans; provided that no more than 5% may consist of bonds. MP CLO Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; 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: $350,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 3.38% Weighted Average Coupon (WAC): 7.00% 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 its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. NATIXIS COMMERCIAL 2017-75B: DBRS Confirms B(high) on 3 Tranches ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-75B issued by Natixis Commercial Mortgage Securities Trust 2017-75B as follows: -- Class A at AAA (sf) -- Class V1A at AAA (sf) -- Class XA at AAA (sf) -- Class B at AA (sf) -- Class V1B at AA (sf) -- Class V1XB at A (high) (sf) -- Class XB at A (high) (sf) -- Class C at A (sf) -- Class V1C at A (sf) -- Class D at BBB (low) (sf) -- Class V1D at BBB (low) (sf) -- Class E at B (high) (sf) -- Class V1E at B (high) (sf) -- Class V2 at B (high) (sf) All trends are Stable. The rating confirmations reflect the relatively stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. According to the March 2021 rent roll, the collateral property was 77.0% occupied, with the largest tenants including Board of Education of the City School District of the City of New York (16.3% of net rentable area (NRA), lease through January 2035), AT&T Corporation (4.3% of NRA, lease through February 2034), and Northsouth Production (4.1% of NRA, lease through April 2025). Occupancy declined from 85.9% in March 2020 because 10 tenants, representing 9.7% of NRA, vacated or downsized in 2020. There are six additional tenants, representing 3.9% of the NRA, that are scheduled to roll in the next 12 months. Because of the subject's higher vacancy in 2020, cash flow declined 12.7% from the YE2019 figure. The YE2020 debt service coverage ratio (DSCR) was reported at 1.07 times (x), down from the YE2019 DSCR of 1.23x. The loan was briefly added to the servicer's watchlist in April 2020 for a Coronavirus Disease (COVID-19) relief request; however, the request was denied and the loan was removed from the watchlist in August 2020. The loan remains off the servicer's watchlist despite the decline in cash flow. DBRS Morningstar has requested a leasing update at the property as it appears the drop in occupancy was the result of several smaller tenants vacating amid the pandemic. According to Reis, the subject's submarket reported a Q1 2021 vacancy rate of 11.1% which provides some hope for a rebound. As of June 2021, the property's website lists approximately 121,000 square feet (sf) available for rent, implying an occupancy rate of 81.9%. The total $250.0 million financing consisted of $59.0 million of pooled trust debt, $84.0 million of a subordinated B note held in the trust, $33.0 million of nonpooled pari passu debt outside the trust, and $54.0 of a subordinated B note held outside the trust. The 10-year loan pays interest only (IO) for the entire term. The total mortgage debt of $230.0 million was supplemented by $20.0 million of mezzanine debt. Collateral for the loan is the fee-simple interest in a 35-story Class B office tower in the Financial District of lower Manhattan, New York. The property was developed in 1928 as the headquarters of ITT Inc. (formerly International Telephone & Telegraph) not long after the company was founded in 1920. Many architectural details remain from that time, including the large entrance lobby with hanging brass chandeliers, terrazzo and marble floors, fresco painted vaulted ceilings, brass cab elevators (with modernized controls and mechanics), and a separate domed mosaic entrance on the corner of Broad and William Streets. The 671,369-sf building has undergone recent renovations and upgrades to the lobby, elevator, and mechanical systems. The property sits along Broad Street within one block of the New York Stock Exchange and the National Museum of the American Indian. It is a short walk from the World Trade Center complex, the New Jersey PATH commuter rail station, the Staten Island Ferry, and Fulton Street Subway Station with access to approximately nine subway lines and several bus lines all converging in lower Manhattan. The property's immediate vicinity is populated by other office buildings, large apartment and condominium buildings, restaurants, sports facilities, entertainment, cultural and tourist attractions, multiple transportation options, and places for outdoor recreation. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN XX: Moody's Gives Ba3 Rating to $28.5M E-RR Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Neuberger Berman CLO XX, Ltd. (the "Issuer"). Moody's rating action is as follows: US$5,000,000 Class X-R Senior Secured Floating Rate Notes Due 2034, Assigned Aaa (sf) US$312,500,000 Class A-RR Senior Secured Floating Rate Notes Due 2034, Assigned Aaa (sf) US$61,500,000 Class B-RR Senior Secured Floating Rate Notes Due 2034, Assigned Aa2 (sf) US$24,000,000 Class C-RR Senior Secured Deferrable Floating Rate Notes Due 2034, Assigned A2 (sf) US$32,000,000 Class D-RR Senior Secured Deferrable Floating Rate Notes Due 2034, Assigned Baa3 (sf) US$28,500,000 Class E-RR Mezzanine Secured Deferrable Floating Rate Notes Due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Neuberger Berman Investment Advisers LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Moody's Default Probability Rating" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3007 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 48.75% 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 its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. NEW RESIDENTIAL 2019-2: Moody's Hikes Rating on 6 Tranches From Ba2 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 63 tranches from three transactions issued by New Residential Mortgage Loan Trust between 2018 and 2019. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers. The complete rating actions are as follows: Issuer: New Residential Mortgage Loan Trust 2018-5 Cl. A-2, Upgraded to Aaa (sf); previously on Nov 30, 2018 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2D, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3D, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-4A, Upgraded to Baa1 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-4B, Upgraded to Baa1 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-4C, Upgraded to Baa1 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Jan 22, 2020 Upgraded to Ba2 (sf) Cl. B-5A, Upgraded to Baa3 (sf); previously on Jan 22, 2020 Upgraded to Ba2 (sf) Cl. B-5B, Upgraded to Baa3 (sf); previously on Jan 22, 2020 Upgraded to Ba2 (sf) Cl. B-5C, Upgraded to Baa3 (sf); previously on Jan 22, 2020 Upgraded to Ba2 (sf) Cl. B-5D, Upgraded to Baa3 (sf); previously on Jan 22, 2020 Upgraded to Ba2 (sf) Cl. B-7, Upgraded to Baa2 (sf); previously on Jan 22, 2020 Upgraded to Ba1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-1 Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned A2 (sf) Cl. B-2B, Upgraded to Aa3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned A2 (sf) Cl. B-2C, Upgraded to Aa3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Baa2 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Baa2 (sf) Cl. B-3B, Upgraded to A3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Baa2 (sf) Cl. B-3C, Upgraded to A3 (sf); previously on Jan 11, 2019 Definitive Rating Assigned Baa2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-2 Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Apr 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Apr 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Apr 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Upgraded to Aa1 (sf); previously on Apr 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 31, 2020 Upgraded to A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jan 31, 2020 Upgraded to A2 (sf) Cl. B-2B, Upgraded to Aa3 (sf); previously on Jan 31, 2020 Upgraded to A2 (sf) Cl. B-2C, Upgraded to Aa3 (sf); previously on Jan 31, 2020 Upgraded to A2 (sf) Cl. B-2D, Upgraded to Aa3 (sf); previously on Jan 31, 2020 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Cl. B-3B, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Cl. B-3C, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Cl. B-3D, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Cl. B-4A, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Cl. B-4B, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Cl. B-4C, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-5A, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-5B, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-5C, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-5D, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-7, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) A List of Affected Credit Ratings is available at https://bit.ly/3gu926T RATINGS RATIONALE The rating upgrades reflect the increase in the level of credit enhancement available to these bonds due to higher prepayment rates, which has averaged around 14% in the last 12 months. The rating action also reflects Moody's updated loss expectations on the underlying pools. Moody's analysis considered the additional risk posed by loans that are enrolled in payment relief programs in these transactions. Moody's identified these loans based on a review of loan level cashflows over the last few months. In Moody's analysis, Moody's considered loans that: (1) were not liquidated but took a loss in the reporting period (to capture loans with monthly deferrals that were reported as current) or (2) have actual balances that increased or were unchanged in the reporting period, excluding interest-only loans and pay-ahead loans, to be loans under a payment relief program. Based on Moody's analysis, the proportion of loans that have enrolled in payment relief plans ranged between 9- 11% as of March 2021, compared to the peak in 3Q2020 of around 11-22%. Moody's assume such loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicers. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The methodologies used in these ratings were "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. OCTAGON INVESTMENT 47: S&P Assigns BB-(sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Octagon Investment Partners 47 Ltd./Octagon Investment Partners 47 LLC, a CLO originally issued in May 2020 that is managed by Octagon Credit Investors LLC. On the June 4, 2021, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. As a result, S&P withdrew its ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement classes were issued at a lower spread over three-month LIBOR than the original notes. -- All replacement classes were issued at a floating spread, replacing the current floating-rate notes. -- The stated maturity was extended 3.25 years, and the reinvestment and non-call periods were also extended accordingly. -- The class A-1 and A-2 notes were collapsed into a single class A-R note. -- The total balance of the secured notes was increased slightly. -- Of the identified underlying collateral obligations, 100.0% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.1% 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 Octagon Investment Partners 47 Ltd./Octagon Investment Partners 47 LLC Class A-R, $320.0 million: AAA (sf) Class B-R, $60.0 million: AA (sf) Class C-R (deferrable), $30.0 million: A (sf) Class D-R (deferrable), $30.0 million: BBB- (sf) Class E-R (deferrable), $20.0 million: BB- (sf) Subordinated notes, $48.1 million: Not rated Ratings Withdrawn Octagon Investment Partners 47 Ltd./Octagon Investment Partners 47 LLC Class A-1 from 'AAA (sf)' to not rated Class B from 'AA (sf)' to not rated Class C (deferrable) from 'A (sf)' to not rated Class D (deferrable) from 'BBB- (sf)' to not rated Class E (deferrable) from 'BB- (sf)' to not rated PARALLEL 2021-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Parallel 2021-1 Ltd./Parallel 2021-1 LLC's floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by DoubleLine Capital L.P. The preliminary ratings are based on information as of June 14, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Parallel 2021-1 Ltd./Parallel 2021-1 LLC Class A, $244.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $23.20 million: A (sf) Class D (deferrable), $24.40 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Class Subordinated notes, $41.65 million: Not rated PROVIDENT FUNDING 2021-2: Moody's Assigns Ba3 Rating to B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 23 classes of residential mortgage-backed securities issued by Provident Funding Mortgage Trust (PFMT) 2021-2. The ratings range from Aaa (sf) to Ba3 (sf). PFMT 2021-2 is the second transaction in 2021 backed by loans originated by the sponsor, Provident Funding Associates, L.P. (Provident Funding). PFMT 2021-2 is a securitization of agency-eligible mortgage loans originated and serviced by Provident Funding (corporate family rating of B1, with stable outlook) and will be the fifth transaction for which Provident Funding is the sole originator and servicer. Approximately 45.25% of the mortgage loans by aggregate unpaid principal balance (UPB) are "Appraisal Waiver" (AW) loans, whereby the sponsor obtained an appraisal waiver for each such mortgage loan from Fannie Mae or Freddie Mac (collective, GSEs) through their respective programs. In each case, neither GSE required an appraisal of the related mortgaged property as a condition of approving the related mortgage loan for purchase by the GSEs. Overall, the credit quality of the mortgage loans backing this transaction is similar to the previously sponsored Provident Funding securitizations which Moody's have rated and to that of transactions issued by other prime issuers. Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores, high percentage of equity and significant liquid reserves. As of the cut-off date, no borrower under any mortgage loan is in a COVID-19 related forbearance plan with the servicer. Provident Funding will act as the servicer of the mortgage loans. Wells Fargo Bank, N.A (Wells Fargo, rated Aa1) will be the master servicer, securities administrator, paying agent and certificate registrar and the trustee will be Wilmington Savings Fund Society, FSB. PFMT 2021-2 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2021-2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-2A, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3A, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4A, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5A, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6A, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-10, Definitive Rating Assigned Aa1 (sf) Cl. A-10A, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned A1 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.18% at the mean (0.07% at the median) and reaches 2.56% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (3.38% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's calculated losses on the pool using US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence (TPR), and the representations & warranties (R&W) framework of the transaction. Collateral Description As of the cut-off date of May 1, 2021, the pool contains of 741 mortgage loans with an aggregate principal balance of $341,279,006 secured by first liens on one- to three-family residential properties, condominiums or planned unit developments, and are fully amortizing, fixed-rate Agency Safe Harbor Qualified Mortgages (QM) loans, each with an original term to maturity of up to 30 years. The mortgage loans have principal balances which meet the requirements for purchase by the GSEs, and were underwritten pursuant to the guidelines of the GSEs, as applicable, using their automated underwriting systems (collectively, agency-eligible loans). Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores, high percentage of equity and significant liquid reserves. The average stated principal balance is $460,565 and the weighted average (WA) current mortgage rate is 2.6%. The mortgage pool has a WA original term of 358 months. The mortgage pool has a WA seasoning of 1.8 months. The borrowers have a WA credit score of 782, WA combined loan-to-value ratio (CLTV) of 61.7% and WA debt-to-income ratio (DTI) of 31.6%. Furthermore, approximately 64.3% (by loan balance) of the properties backing the mortgage loans are located in five states: California, Washington, Oregon, Colorado and Utah, with 27.9% (by loan balance) of the properties located in California. Properties located in the states of Texas, Massachusetts, Georgia, North Carolina and Pennsylvania round out the top ten states by loan balance. Approximately 85.3% (by loan balance) of the properties backing the mortgage loans included in PFMT 2021-2 are located in these ten states. Third-Party Review One TPR firm verified the accuracy of the loan level information. The TPR firm conducted detailed credit, property valuation, data accuracy and compliance reviews on a random sample of approximately 27% (by loan count) of the mortgage loans in the collateral pool. The due diligence results confirm compliance with the originator's underwriting guidelines for the vast majority of loans, no material regulatory compliance issues, and no material property valuation issues. Moody's did not make any adjustments to its base case and Aaa stress loss assumptions based on the TPR results. However, as described earlier, the compliance, credit, property valuation, and data integrity portion of the TPR was conducted on a random sample of approximately 27% (by loan count) of the initial population of the pre-securitization mortgage loans, up from 24% in PFMT 2021-1 but down from 30% in PFMT 2020-1 and 100% in PFMT 2019-1, the three most recent transactions issued by the sponsor that Moody's have rated. With sampling, there is a risk that loan defects may not be discovered and such loans would remain in the pool. Moreover, vulnerabilities of the R&W framework, such as the lack of an automatic review of R&Ws by independent reviewer and the weaker financial strength of the R&W provider, reduce the likelihood that such defects would be discovered and cured during the transaction's life. Moody's made an adjustment to loss levels to account for this risk. Representations & Warranties Moody's assessed Provident Funding Mortgage Trust 2020-2's R&W framework as adequate, consistent with that of other prime RMBS transactions. An effective R&W framework protects a transaction against the risk of loss from fraudulent or defective loans. Moody's assessed the R&W framework based on three factors: (a) the financial strength of the R&W provider; (b) the strength of the R&Ws (including qualifiers and sunsets) and (c) the effectiveness of the enforcement mechanisms. Moody's evaluated the impact of these factors collectively on the ratings in conjunction with the transaction's specific details and in some cases, the strengths of some of the factors can mitigate weaknesses in others. Moody's also considered the R&W framework in conjunction with other transaction features, such as the TPR being conducted on a random sample of approximately 27% (by loan count) (with no material findings), and property valuations, as well as any sponsor alignment of interest, to evaluate the overall exposure to loan defects and inaccurate information. However, Moody's applied an adjustment to its losses to account for the following two risks. First, Moody's accounted for the risk that Provident Funding (rated B1), the R&W provider, may be unable to repurchase defective mortgage loans in a stressed economic environment, given that it is a non-bank entity with a monoline business (mortgage origination and servicing) that is highly correlated with the economy. However, Moody's tempered this adjustment by taking into account Provident Funding' relative financial strength and the strong TPR results which suggest a lower probability that poorly performing mortgage loans will be found defective following review by the independent reviewer. Second, Moody's accounted for the risk that while the sponsor has provided R&Ws that are generally consistent with a set of credit neutral R&Ws that Moody's identified in Moody's methodology, the R&W framework in this transaction differs from that of some other prime RMBS transactions Moody's have rated because there is a risk that some loans with R&W defects may not be reviewed because an independent reviewer is not named at closing and there is a possibility that an independent reviewer will not be appointed altogether. Instead, reviews are performed at the option and expense of the controlling holder, or if there is no controlling holder (which is the case at closing, because an affiliate of sponsor will hold the subordinate classes and thus there will be no controlling holder initially), a senior holder group. Origination quality Moody's consider Provident Funding an adequate originator of agency-eligible mortgage loans based on the company's staff and processes for underwriting, quality control, risk management and performance. The company, a limited partnership that is closely held by senior management, including CEO Craig Pica, was formed in 1992, as a privately held mortgage banking company headquartered in Burlingame, California. The company originates, sells and services residential mortgage loans throughout the US. The company sources loans through a nationwide network of independent brokers, correspondent lenders and in-house retail channel. Servicing arrangement Provident Funding will service the mortgage loans pursuant to the pooling and servicing agreement. Moody's consider the overall servicing arrangement for this pool to be adequate given the servicing abilities of the Provident Funding as primary servicer. Moody's also consider the presence of a strong master servicer to be a mitigant against the risk of any servicing disruptions. Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Other Considerations The servicer has the option to purchase any mortgage loan which is 90 days or more delinquent, which may result in the step-down test used in the calculation of the senior prepayment percentage to be satisfied when otherwise it would not have been. Moreover, because the purchase may occur prior to the breach review trigger of 120 days delinquency, the loan may not be reviewed for breaches of representations and warranties and thus, systemic defects may remain undetected. In Moody's analysis, Moody's considered that the loans will be purchased by the servicer at par and a TPR firm having performed a review on a random sample of approximately 27% (by loan count) of the mortgage loans. Moreover, the reporting for this transaction will list the mortgage loans purchased by the servicer. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 0.70% of the closing pool balance, and a subordination lock-out amount of 0.60% of the closing pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Transaction Structure The transaction is structured as a one pool shifting interest structure in which the senior bonds benefit from a senior floor and a subordination floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next principal payments are made to the senior bonds and then interest and principal payments are paid to the subordinate bonds in sequential order, subject to the subordinate class percentage of the subordinate principal distribution amounts. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next realized losses are allocated to the super senior bonds until their principal balances are written off. As in all transactions with shifting-interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and allocates increasing amounts of prepayments to the subordinate bonds thereafter only if loan performance satisfies both delinquency and loss tests. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. PSMC TRUST 2021-2: Fitch Assigns Final B+ Rating on B-5 Debt ------------------------------------------------------------ Fitch Ratings has assigned final ratings to American International Group, Inc.'s (AIG) PSMC 2021-2 Trust (PSMC 2021-2). DEBT RATING PRIOR ---- ------ ----- PSMC 2021-2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-26 LT AAAsf New Rating AAA(EXP)sf A-X1 LT AAAsf New Rating AAA(EXP)sf A-X2 LT AAAsf New Rating AAA(EXP)sf A-X3 LT AAAsf New Rating AAA(EXP)sf A-X4 LT AAAsf New Rating AAA(EXP)sf A-X5 LT AAAsf New Rating AAA(EXP)sf A-X6 LT AAAsf New Rating AAA(EXP)sf A-X7 LT AAAsf New Rating AAA(EXP)sf A-X8 LT AAAsf New Rating AAA(EXP)sf A-X9 LT AAAsf New Rating AAA(EXP)sf A-X10 LT AAAsf New Rating AAA(EXP)sf A-X11 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT A+sf New Rating A+(EXP)sf B-3 LT BBB+sf New Rating BBB+(EXP)sf B-4 LT BB+sf New Rating BB+(EXP)sf B-5 LT B+sf New Rating B+(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The following information is based on the loan population as of Fitch's presale publication date. The attributes of the closing population vary slightly from what is described below, but there was no impact to Fitch's credit analysis due to those changes. The certificates are supported by 432 loans with a total balance of approximately $357.00 million as of the cutoff date. The pool consists of prime fixed-rate mortgages (FRMs) acquired by subsidiaries of American International Group, Inc. (AIG) from various mortgage originators. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists primarily of very high-quality 30-year fixed-rate fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage, and large liquid reserves. The loans are seasoned an average of six months. The pool has a weighted average (WA) original FICO score of 777, which is indicative of very high credit-quality borrowers. Approximately 85.8% of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA CLTV ratio of 66.7% represents substantial borrower equity in the property and reduced default risk. Geographic Concentration (Neutral): The pool is geographically diverse and, as a result, no geographic concentration penalty was applied. Approximately 35% of the pool is located in California, which is in line with other recent Fitch-rated transactions. The top three metropolitan statistical areas (MSAs) account for 29.9% of the pool. The largest MSA concentration is in the Los Angeles MSA (14.3%), followed by the Washington, DC MSA (7.8%) and the San Francisco MSA (7.8%). Straightforward Deal Structure (Neutral): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Servicer Advancing (Mixed): The servicer is required to make monthly advances of delinquent principal and interest payments to the bondholders to the extent that it is deemed recoverable. While this feature provides liquidity to the bonds, it results in higher loss severities as these amounts need to be recouped out of liquidation proceeds. In the event the servicer is unable to make the advances, they will be funded by Wells Fargo as Master Servicer. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.15% of the original balance will be maintained for the certificates. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five years following deal closing. 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." Payment Forbearance (Neutral): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan. Additionally, any loan that enters a coronavirus forbearance plan between the cutoff date and the settlement date will be removed from the pool (at par) within 45 days of closing. For borrowers who enter a coronavirus forbearance plan post-closing, the principal and interest (P&I) advancing party will advance P&I during the forbearance period. If at the end of the forbearance period, the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from principal collections on the overall pool. This will likely result in writedowns to the most subordinate class, which will be written back up as subsequent recoveries are realized. Since there will be no borrowers on a coronavirus forbearance plan as of the closing date and forbearance requests have significantly declined, Fitch did not increase its loss expectation to address the potential for writedowns due to reimbursement of servicer advances. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $300,000 per annum, which can be carried over each year, subject to the cap until paid in full. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. AIG has strong operational practices and is an 'Above Average' aggregator. The aggregator has experienced senior management and staff, strong risk management and corporate governance controls, and a robust due diligence process. Primary and master servicing Functions will be performed by Cenlar FSB and Wells Fargo Bank, N.A., rated 'RPS2'/Negative and 'RMS1-'/Negative, respectively. Fitch did not apply adjustments to the expected losses as a result of the operational assessments. Top Tier Representation and Warranty Framework (Positive): The loan-level representation, warranty and enforcement (RW&E) framework is consistent with Tier I quality. Fitch reduced its loss expectations by 16 bps at the 'AAAsf' rating category as a result of the Tier 1 framework and the 'A' Fitch-rated counterparty supporting the repurchase obligations of the RW&E providers. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by AMC, Recovco, EdgeMac, and Infinity. AMC is assessed as 'Acceptable - Tier 1', and Recovco, EdgeMAC, and Infinity are assessed as 'Acceptable - Tier 3' by Fitch. The results of the review identified no material exceptions. Credit exceptions were supported by mitigating factors and compliance exceptions were primarily TRID related and cured with subsequent documentation. Fitch applied a credit for the high percentage of loan level due diligence, which reduced the 'AAAsf' loss expectation by 18 bps. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. -- This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Recovco, EdgeMac and Infinity. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation for each loan and is consistent with Fitch's criteria. The due diligence companies performed a review on 100% of the loans. The results indicate high quality loan origination practices that are consistent with non-agency prime RMBS. Fitch considered this information in its analysis and, as a result, loans with due diligence received a credit in the loss model. This adjustment reduced the 'AAAsf' expected losses by 18 bps. ESG CONSIDERATIONS PSMC 2021-2 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to well-controlled operational risk that includes strong R&W framework, transaction due diligence results, an 'Above Average' aggregator, and an 'Above Average' master servicer, all of which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. RADNOR RE 2021-1: Moody's Assigns (P)B3 Rating to Cl. M-2 Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of mortgage insurance credit risk transfer notes issued by Radnor Re 2021-1 Ltd. Radnor Re 2021-1 Ltd. is the sixth transaction issued under the Radnor Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Essent Guaranty (Essent, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Radnor Re 2021-1 Ltd. (the issuer) and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the coverage levels B-2 and B-3H are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. In this transaction, the notes' coupon is indexed to SOFR. Based on the transaction's synthetic structure, the particular choice of benchmark has no credit impact. Interest payments to the notes are made from income earned on the eligible investments in the reinsurance trust account and the coverage premium from the ceding insurer, which prevents the notes from incurring interest shortfalls as a result of increases in the benchmark index. The complete rating actions are as follows: Issuer: Radnor Re 2021-1 Ltd. Cl. M-1A, Assigned (P)Baa3 (sf) Cl. M-1B, Assigned (P)Baa3 (sf) Cl. M-1C, Assigned (P)Ba3 (sf) Cl. M-2, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expect this insured pool's aggregate exposed principal balance to incur 1.96% losses in a base case scenario, and 16.02% losses under a Aaa stress scenario. The aggregate exposed principal balance is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) the reinsurance coverage percentage. Reinsurance coverage percentage is 100% minus existing quota share reinsurance through unaffiliated insurer, if any. The existing quota share reinsurance applies to nearly 72.4% of unpaid principal balance of the reference pool, in which approximately 6% have 40% quota share existing reinsurance, and 67% have 20% quota share existing reinsurance. The ceding insurer has purchased quota share reinsurance from unaffiliated third parties, which provides proportional reinsurance protection to the ceding insurer for certain losses. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Moody's increased its model-derived median expected losses by 7.5% (6.6% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description Each mortgage loan has an insurance coverage effective date on or after August 1, 2020, but on or before March 31, 2021. The reference pool consists of 227,086 prime, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing, predominantly conforming mortgage loans with a total insured loan balance of approximately $68 billion. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 90.8%. The borrowers in the pool have a weighted average FICO score of 748, a weighted average debt-to-income ratio of 36.0% and a weighted average mortgage rate of 3.0%. The weighted average risk in force (MI coverage percentage net of existing reinsurance coverage) is approximately 20.4% of the reference pool unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing quota share reinsurance through unaffiliated parties. The weighted average LTV of 90.8% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent MI CRT transactions. All these insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 98.4% covered by BPMI and 1.6% covered by LPMI based on risk in force. Underwriting Quality Moody's took into account the quality of Essent's insurance underwriting, risk management and claims payment process in its analysis. Essent's underwriting requirements address credit, capacity (income), capital (asset/equity) and collateral. It has a licensed in-house appraiser to review appraisals. Lenders submit mortgage loans to Essent for insurance either through delegated underwriting or non-delegated underwriting programs. Under the delegated underwriting program, lenders can submit loans for insurance without Essent re-underwriting the loan file. Essent issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Lenders eligible under this program must be pre-approved by Essent's risk management group and are subject to targeted internal quality assurance reviews. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. As of March 2021, approximately 66.8% of the loans in Essent's overall portfolio are insured through delegated underwriting and 33.2% through non-delegated underwriting. Essent broadly follows the GSE underwriting guidelines via DU/LP, subject to certain additional limitations and requirements. Servicers provide Essent monthly reports of insured loans that are 60-day delinquent prior to any submission of claims. Claims are typically submitted when servicers have taken possession of the title to the properties. Essent's claims review process include loan files, payment history, quality review results, and property value. Essent will send the first document request letter to the related servicer within 20 days of receipt of claim, and may take additional 10 day period after receipt of response to make additional requests. Claims are paid within 60 days after all required documents are submitted. Essent performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans. Essent selects a random and targeted sample of loans for review, and assesses each loan file for data accuracy, underwriting quality and process integrity. Third party vendors are utilized in the quality assurance reviews as well as re-verifications and investigations. Vendors must meet stringent approval requirements. 10% of all third party reviewed loans are evaluated by Essent's staff to ensure accuracy of findings. Third-Party Review Essent engaged Consolidated Analytics, Inc. to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The sample size of this transaction, 325 (or 0.14% by count), is in line with the prior Radnor Re transaction that Moody's rated. Once the sample size was determined, the files were selected randomly to meet the final sample count of 325 files out of a total of 227,086 loan files. In spite of the small sample size for Radnor Re 2021-1 Ltd., Moody's did not make an additional adjustment to the loss levels because, (1) approximately 27% of the loans in the reference pool were submitted through non-delegated underwriting, which have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. In addition, the TPR available sample does not cover a subset of pool that have MI coverage effective date on and after March 2021, representing 11.0% of the pool by loan count. Moody's did not make any adjustment because Moody's found no material difference in credit characteristics between the post-March 2021 subset and the pre-March 2021 subset, including the percentage of loans with MI policies underwritten through non-delegated underwriting program, which ceding insurer requires full loan file and performs independent re-underwriting and quality assurance. Moody's took this into consideration in Moody's TPR review. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider also reviewed property valuation on 325 loans in the sample pool. The third-party review concluded a property grade of A for 322 loans. For those loans with property grade A, an AVM was first ordered on all loans, in which 26 AVMs returned "no hit" and were not included in the AVM reconciliation, and 4 AVMs returned a variance greater than 10%. The AVM variance is calculated as difference between AVM value and the lesser of original appraisal or sales price. If the resulting negative variance of the AVM was greater than 10%, or if no results were returned ("no hit"), a BPO was ordered on the property. If the resulting value of the BPO was less than 90% of the value reflected on the original appraisal a desk review was ordered on the property. Within these grade A loans, all the appraisal values are supported by BPO within a 10% variance. Loans qualified with a property inspection waiver were excluded from a BPO or a desk review. There are 3 loans marked as "C" under property valuation, within which 2 loans due to insufficient or missing appraisal documents, and one loan due to desk review reconciliation not supported within 10% variance (variance of approximately 12%). Credit: The third-party diligence provider reviewed credit on 325 loans in the sample pool. The third-party diligence provider reviewed each mortgage loan file to determine the adherence to stated underwriting or credit extension guidelines, standards, criteria or other requirements provided by Essent. For GSE eligible mortgage loan files, the review of the Automated Underwriting System (AUS) output was also performed. Per the TPR report, all loans sampled have credit grade A. Data integrity: The third-party review firm was provided a data file with loan level data, which was audited against origination documents to determine the accuracy of data found within the data tape. Sixteen (16) data fields were reviewed against the loan files to confirm the integrity of data tape information. As the TPR report suggests, there are 8 discrepancy findings under DTI column, in which only 2 loans have higher DTI per TPR provider's calculation. Reps & Warranties Framework The ceding insurer does not make any representations and warranties to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to other MI CRT transactions that Moody's have rated, with the exception of loss allocation waterfall. The ceding insurer will retain the senior coverage level A-H, coverage level B-2 (subject to any class B-2 reopening) and the coverage level B-3H at closing. The offered notes benefit from a sequential pay structure . The transaction incorporates structural features such as a 12.5-year bullet maturity and a sequential pay structure (except with respect for interest payments on class M-1A and M-1B which will receive interest payment on a pari passu basis) for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The M-1A, M-1B, M1-C, M-2, B-1 and B-2 coverage level have credit enhancement levels of 4.05%, 4.05%, 2.95%, 2.25%, 2.00% and 1.00%, respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. MI losses are allocated in a reverse sequential order starting with the coverage level B-3H (with the exception of M-1A and M-1B, where losses are shared pro-rata). Investment and interest deficiency amount losses are also allocated in a reverse sequential order starting with the class B-1 notes (with the exception of M-1A and M-1B, where losses are shared pro-rata). So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to the senior reference tranche when a trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A-H for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.00% of coverage level A-H subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 7.50%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders, when combined with the income earned on the eligible investments, of approximately 70 days while the reinsurance trust account and eligible investments are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered (1) with respect to any class of notes, if the rating of that class of notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or (2) with respect to all classes of notes, if the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into and maintain in the premium deposit account the required PDA amount (see next paragraph) only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it will be obligated to deposit the required PDA amount for all classes of notes. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i)(a) the coupon rate of the note multiplied by (b) the applicable funded percentage, (c) the coverage level amount for the coverage level corresponding to such class of notes and (d) a fraction equal to 70/360, over (ii) two times the investment income collected (but not yet distributed) on the eligible investments. Moody's believe the requirement that the PDA be funded only upon a rating trigger event does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur only if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period, which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Consolidated Analytics, Inc., as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-3H and the coverage level B-2 have been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claims consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. As noted, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believe the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. RCKT MORTGAGE 2021-2: Fitch Gives 'B(EXP)' Rating to B-5 Certs --------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by RCKT Mortgage Trust 2021-2 (RCKT 2021-2). DEBT RATING ---- ------ RCKT Mortgage Trust 2021-2 A-1 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating A-X-10 LT AAA(EXP)sf Expected Rating A-X-11 LT AAA(EXP)sf Expected Rating A-X-12 LT AAA(EXP)sf Expected Rating A-X-13 LT AAA(EXP)sf Expected Rating A-X-14 LT AAA(EXP)sf Expected Rating A-X-1A LT AAA(EXP)sf Expected Rating A-X-1B LT AAA(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AAA(EXP)sf Expected Rating A-X-4 LT AAA(EXP)sf Expected Rating A-X-5 LT AAA(EXP)sf Expected Rating A-X-6 LT AAA(EXP)sf Expected Rating A-X-7 LT AAA(EXP)sf Expected Rating A-X-8 LT AAA(EXP)sf Expected Rating A-X-9 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-1A LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-2A LT A(EXP)sf Expected Rating B-3 LT BBB+(EXP)sf Expected Rating B-4 LT BB+(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating B-X-1 LT AA(EXP)sf Expected Rating B-X-2 LT A(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 422 loans with a total balance of approximately $348 million as of the cutoff date. The pool consists of prime fixed-rate mortgages acquired by Woodward Capital Management LLC (Woodward) from Quicken Loans, LLC (Quicken Loans). Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 422 loans, totaling $348 million, and seasoned approximately four months in the aggregate (calculated as the difference between origination date and first pay date). The borrowers have a strong credit profile (771 FICO and 30% DTI) and low leverage (75% sLTV). The pool consists of 97.6% of loans where the borrower maintains a primary residence, while 2.4% is a second home. Additionally, 92% of the loans were originated through a retail channel and 100% are designated as Safe Harbor qualified mortgage (QM). Interest Reduction Risk (Negative): The transaction incorporates a structural feature 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. A key difference with this transaction, compared to other programs that treat stop-advance loans similarly, is that liquidation proceeds are allocated to interest before principal. As a result, Fitch included the full interest carry in its loss projections and views the risk of permanent interest reductions as lower than other programs with a similar feature. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Quicken Loans is assessed as an 'Above Average' originator and is contributing all of the loans to the pool. The originator has a robust origination strategy and maintains experienced senior management and staff, strong risk management and corporate governance controls and a robust due diligence process. Primary servicing functions will be performed by Quicken Loans, which is rated 'RPS2'. Credit Enhancement (CE) Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.25% will be available for the senior bonds and a subordinate floor of 1.05% of the original balance will be maintained for the subordinate classes. The floor is sufficient to protect against the five largest loans defaulting at Fitch's 'AAAsf' average loss severity of 43%. 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 an 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 to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related Economic Risk Factor (ERF) floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's "Global Economic Outlook - March 2021" and related baseline economic scenario forecasts have been revised to 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following 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 Impact (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 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to 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 Recovco. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% default reduction at the loan level. This adjustment resulted in a 23bps reduction to the AAAsf expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Recovco 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. 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 RCKT Mortgage Trust 2021-2 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to the strong counterparties and well controlled operational considerations, which has a positive impact on the credit profile, and is relevant to the rating[s] 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. RCKT MORTGAGE 2021-2: Moody's Assigns (P)B3 Rating to B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 49 classes of residential mortgage-backed securities (RMBS) issued by RCKT Mortgage Trust 2021-2 (RCKT 2021-2). The ratings range from (P)Aaa (sf) to (P)B3 (sf). RCKT 2021-2 is a securitization of prime jumbo mortgage loans originated and serviced by Quicken Loans, LLC (Quicken Loans, aka Rocket Mortgage, rated Ba1 with Positive outlook). The transaction is backed by 422 first-lien, fully amortizing, 30-year fixed-rate qualified mortgage (QM) loans, with an aggregate unpaid principal balance (UPB) of $347,947,254. The average stated principal balance is $824,520. The transaction will be sponsored by Woodward Capital Management LLC, a wholly owned subsidiary of RKT Holdings, LLC (RKT Holdings). Rocket Companies, Inc. (NYSE: RKT), is the sole managing member and an owner of equity interests in RKT Holdings. This will be the fourth transaction for which Quicken Loans, LLC (wholly owned subsidiary of RKT Holdings) is the sole originator and servicer and the second issuance from RCKT Mortgage Trust in 2021. There is no master servicer in this transaction. Citibank, N.A. (Citibank, rated Aa3) will be the securities administrator and Wilmington Savings Fund Society, FSB will be the trustee. Transaction credit strengths include the high credit quality of the collateral pool, the strong third-party review (TPR) results for credit and compliance, and the prescriptive and unambiguous representations & warranties (R&W) framework. Transaction credit weaknesses include weaker property valuation review and having no master servicer to oversee the primary servicer, unlike typical prime jumbo transactions Moody's have rated. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations and adjusted Moody's expected losses based on qualitative attributes, including the financial strength of the R&W provider and TPR results. RCKT 2021-2 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2021-2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-1A*, Assigned (P)Aaa (sf) Cl. A-X-1B*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.31% at the mean (0.17% at the median) and reaches 2.85% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity. Moody's increased Moody's model-derived median expected losses by 10% (6.58% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated mortgage loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned mortgage loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the TPR and the R&W framework of the transaction. Collateral Description RCKT 2021-2 is a securitization of 422 first lien prime jumbo mortgage loans with an unpaid principal balance of $347,947,254. 100% of the mortgage loans in the pool are underwritten to Quicken Loans' prime jumbo guidelines. The average stated principal balance is $824,520 and the weighted average (WA) current mortgage rate is 2.8%. The loans in this transaction have strong borrower characteristics with a weighted average primary borrower FICO score of 776 and a weighted-average original loan-to-value ratio (LTV) of 67.4%. The WA original debt-to-income (DTI) ratio is 29.8%. The average borrower total monthly income is $27,323 with an average $92,840 of liquid cash reserves. Approximately 17.6% of the mortgages are backed by properties in California. The next largest states by geographic concentration in the pool are Florida (11.2% by UPB), and Texas (6.9% by UPB). All other states each represent 5% or less by UPB. Approximately 55.9% of the pool is backed by single family residential properties and 40.1% is backed by PUDs. Approximately 91.5% of the mortgages (by UPB) were originated through the retail channel and the remaining 8.5% were originated through the broker channel. Loans originated through different origination channels often perform differently. Typically, loans originated through a broker or correspondent channel do not perform as well as loans originated through a retail channel, although performance will vary by originator. As of the cut-off date, none of the borrowers of the mortgage loans are currently subject to a forbearance plan or are in the process of being subject to a forbearance plan, including as a result of COVID-19. In the event a borrower enters into a forbearance plan, including as a result of COVID-19, after the cut-off date, such mortgage loan will remain in the pool. Origination Quality Quicken Loans (aka Rocket Mortgage, rated Ba1, with Positive outlook), founded in 1985 and headquartered in Detroit, Michigan, is the largest overall US residential mortgage originator and the largest retail originator. Quicken Loans' prime jumbo underwriting (UW) guidelines are comparable with those of other prime jumbo originators. The guidelines generally adhere to the UW guidelines established by Fannie Mae and QM Appendix Q, except for loan amount, certain UW ratios, and certain documentation requirements. Moody's consider Quicken Loans to be an adequate originator of prime jumbo loans following a detailed review of its UW guidelines, quality control process, policies and procedures, technology infrastructure, disaster recovery plan, and historical performance relative to its peers. Therefore, Moody's did not apply a separate adjustment for origination quality. Servicing Arrangement Moody's assess the overall servicing arrangement for this pool as adequate, given the ability, scale and experience of Quicken Loans as a servicer. However, compared to other prime jumbo transactions which typically have a master servicer, servicer oversight for this transaction is weaker. While TPR of Quicken Loans' servicing operations, performance and regulatory compliance will be conducted at least annually by an independent accounting firm, the government-sponsored entities (GSEs), the Consumer Financial Protection Bureau (CFPB) and state regulators, such oversight lacks the depth and frequency that a master servicer would typically provide. However, Moody's did not adjust its expected losses for the weaker servicing arrangement due to the following reasons: (1) Quicken Loans' relative financial strength, scale, franchise value, experience and demonstrated ability as a servicer, (2) Citibank as the securities administrator will be responsible for making advances of delinquent interest and principal if Quicken Loans is unable to do so and for reconciling monthly remittances of cash by Quicken Loans, (3) the R&W framework is strong and includes triggers for delinquency and modification, which ensures that poorly performing mortgage loans will be reviewed by a third-party, and (4) the mortgage pool is of high credit quality and a TPR firm has conducted due diligence on 100% of the mortgage loans in the pool with satisfactory results. Servicer compensation will be a monthly fee based on the outstanding principal amount of the mortgage loans serviced, of a per annum rate equal to 25 basis points (0.25%). Third-Party Review The transaction benefits from a TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The due diligence results confirm compliance with the originator's UW guidelines for the vast majority of mortgage loans, no material regulatory compliance issues, and no material property valuation exceptions. The mortgage loans that had exceptions to the originator's UW guidelines had significant compensating factors that were documented. However, weaknesses exist in the property valuation review, where 212 of the non-conforming mortgage loans originated under Quicken Loans' prime jumbo guidelines had a property valuation review only consisting of a Fannie Mae's Collateral Underwriter and no other third party valuation product such as a Collateral Desktop Analysis (CDA) and field review or second full appraisal. As a result, Moody's applied an adjustment to the collateral loss for such mortgage loans since the sample size of mortgage loans in the pool that were reviewed using a third-party valuation product such as a CDA was insufficient. Representations & Warranties Moody's assessed RCKT 2021-2's R&W framework for this transaction as adequate, consistent with that of other prime jumbo transactions for which an independent reviewer is named at closing, the breach review process is thorough, transparent and objective, and the costs and manner of review are clearly outlined at issuance. However, Moody's applied an adjustment to Moody's losses to account for the risk that Quicken Loans may be unable to repurchase defective mortgage loans in a stressed economic environment, given that it is a non-bank entity with a monoline business (mortgage origination and servicing) that is highly correlated with the economy. However, Moody's tempered this adjustment by taking into account Quicken Loans' relative financial strength and the strong TPR results which suggest a lower probability that poorly performing mortgage loans will be found defective following review by the independent reviewer. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor and a subordination lock-out amount of 1.25 and 1.05% of the cut-off date pool balance, respectively. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Transaction Structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period and increasing amounts of unscheduled principal collections to the senior bond for a specified period and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Furthermore, similar to RCKT 2021-1, this transaction contains a structural deal mechanism in which the servicer and the securities administrator will not advance principal and interest (P&I) to mortgage loans that are 120 days or more delinquent. Although this feature lowers the risk of high advances that may negatively affect the recoveries on liquidated loans, the reduction in interest distribution amount is credit negative to the subordinate certificates, because interest shortfalls resulting from delinquencies from "Stop Advance Mortgage Loans" (SAML) is allocated to the subordinate certificates (in reverse order of distribution priority), then to the senior support certificates and finally to the super-senior certificates. Once a SAML is liquidated, the net recovery from that loan's liquidation is included in available funds and thus follows the transaction's priority of payment. In Moody's analysis, Moody's have considered the additional interest shortfall that the certificates may incur due to the transaction's stop-advance feature. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. REALT 2014-1: Fitch Affirms B Rating on Class G Debt ---------------------------------------------------- Fitch Ratings has upgraded one and affirmed six classes of Real Estate Asset Liquidity Trust (REALT) 2014-1. DEBT RATING PRIOR ---- ------ ----- Real Estate Asset Liquidity Trust 2014-1 A 75585RLT0 LT AAAsf Affirmed AAAsf B 75585RLU7 LT AAAsf Upgrade AAsf C 75585RLV5 LT Asf Affirmed Asf D 75585RLW3 LT BBBsf Affirmed BBBsf E 75585RLX1 LT BBB-sf Affirmed BBB-sf F 75585RLQ6 LT BBsf Affirmed BBsf G 75585RLR4 LT Bsf Affirmed Bsf KEY RATING DRIVERS Increased Credit Enhancement: Class credit enhancement has significantly increased compared with issuance. There are five loans (36%) that are scheduled to mature between August and September 2021. The upgrade of Class B reflects the anticipated payoff of these loans. As of the May 2021 distribution date, the pool's aggregate principal balance has been reduced 62.0% to $106.6 million from $280.6 million at issuance, with 13 loans remaining. Since Fitch's last rating action in 2020, one loan paid at maturity for $5.1 million. There are no full or partial interest-only loans in the pool. There are 13 loans remaining, of which eleven loans comprising approximately 88.9% of total pool balance have full or partial recourse provisions to the sponsoring entity. 111 Grangeway Office Building (7.2%) is the pool's sole defeased loan. Stable Loss Expectations: Fitch's base case losses have remained stable due to overall stable performance of the underlying properties. Fitch's base case loss is 2.6%. Fitch considered an additional scenario where stresses were applied to loans expected to be affected by the coronavirus pandemic as well as a 25% loss severity assumption on the Fitch Loan of Concern (FLOC) Newmarket Plaza (7.7%), which reflect losses that could reach 5.8%. This scenario did not affect ratings or Outlooks. As of the May 2021 reporting period, there were two loans (28% of outstanding pool balance) on the servicer's watchlist for low debt service coverage ratio (DSCR) and executed coronavirus pandemic relief. One of these loans, Newmarket Plaza has been flagged as a FLOC for low NOI DSCR. There are no loans in special servicing. The McCowan Crossed loans (20.3%) was previously flagged as a FLOC for delinquency status and upcoming lease expiration; however, the borrower and lender have entered into two forbearance agreements, bringing the loan current and the expiring lease was renewed for five years. Additional Loss Scenario: Fitch considered a scenario where defeased loans and loans with upcoming maturities were considered as liquidated and class balances were paid down to reflect the principal remittance. Additionally, Fitch applied a 25% sensitivity loss to the current balance of the FLOC, Newmarket Plaza, to reflect 2019 underperformance and upcoming lease expirations. This scenario supported the upgrade of class B to 'AAAsf' given the increased CE from the anticipated paydown of maturing loans and defeasance. Exposure to Coronavirus: There are seven loans secured by retail properties (41.3% of pool) with a weighted- average NOI DSCR of 1.49x. Fitch's analysis applied additional stresses to four retail loans given the significant declines in property-level cash flow expected as a result of pandemic-based restrictions. Fitch Loan of Concern Newmarket Plaza (7.7%) is an anchored retail property located in Newmarket, ON. Subject YE 2019 NOI DSCR has fallen to 0.25x from 1.81x at YE 2018 and underwritten NOI DSCR of 1.62x. YE 2019 EGI has fallen 50% compared with YE 2018. Per the subject's February 2019 rent roll, Canadian Parts Source (NRA 12.2%) and Habitat for Humanity (NRA 9.7%) leases were scheduled to expire in March and September 2021, respectively. According to the servicer, Canadian Parts Source and Habitat for Humanity have not given indication they intend on vacating, but renewals have not been confirmed. The loan is full recourse to the borrower only and has no recourse provision to the sponsor. ADDITIONAL LOSS CONSIDERATIONS High Balance Concentration: Of the original 34 loans at closing, 13 remain. The pool exhibits high concentration by balance, as the top-five and top-ten loans represent 61% and 91% of the outstanding principal balance, respectively. Canadian Loan Attributes: The ratings reflect strong Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes such as short amortization schedules, additional guarantors and recourse to the borrowers. Of the remaining nondefeased loans, all feature full or partial recourse to the borrowers and/or sponsors. RATING SENSITIVITIES The Stable Outlooks reflect the overall stable performance of the majority of the pool and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades or Positive Outlook revisions to classes C and D are possible with continued paydown, performance improvement of the FLOC (Newmarket Plaza) and the continued stabilization of the McCowan Crossed loans. -- Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'Bsf' and 'BBsf' rated classes is not likely in the near term and would be limited based on sensitivity to pool concentration. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A and B are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. -- Downgrades to classes C, D and E are possible should performance of the FLOC continue to decline; should loans susceptible to the coronavirus pandemic not stabilize; and/or should further loans transfer to special servicing. Classes F and G could be downgraded should loss expectations from the FLOC grow more certain or if loans fail to repay at their respective maturities BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ROCKFORD TOWER 2021-1: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by Rockford Tower CLO 2021-1, Ltd. (the "Issuer" or "Rockford 2021-1"). Moody's rating action is as follows: US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$12,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$44,000,000 Class B Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$21,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$23,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$18,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes listed 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. Rockford 2021-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 98% ramped as of the closing date. Rockford Tower Capital Management, L.L.C. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2853 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in 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. ROCKLAND PARK CLO: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Rockland Park CLO Ltd.'s floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Rockland Park CLO Ltd./Rockland Park CLO LLC Class A, $302.50 million: AAA (sf) Class B, $77.50 million: AA (sf) Class C, $30.00 million: A (sf) Class D, $30.00 million: BBB- (sf) Class E, $20.00 million: BB- (sf) Subordinated notes, $50.25 million: Not rated RR 16: S&P Assigns BB- (sf) Rating on $22.50MM Class D Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to RR 16 Ltd./RR 16 LLC's loans and floating-rate notes. The issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned RR 16 Ltd./RR 16 LLC Class A-1 loans, $130.00 million: AAA (sf) Class A-1, $236.00 million: AAA (sf) Class A-2, $78.00 million: AA (sf) Class B (deferrable), $48.00 million: A (sf) Class C (deferrable), $36.00 million: BBB- (sf) Class D (deferrable), $22.50 million: BB- (sf) Subordinated notes, $48.75 million: Not rated SCULPTOR CLO XXVI: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC's floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by Sculptor Loan Management L.P. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sculptor CLO XXVI Ltd./Sculptor CLO XXVI 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), $16.00 million: BB- (sf) Subordinated notes, $37.74 million: Not rated SEQUOIA MORTGAGE 2021-5: Fitch Gives 'BB-(EXP)' on Class B-4 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2021-5 (SEMT 2021-5). DEBT RATING ---- ------ Sequoia Mortgage Trust 2021-5 A-1 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-IO1 LT AAA(EXP)sf Expected Rating A-IO10 LT AAA(EXP)sf Expected Rating A-IO11 LT AAA(EXP)sf Expected Rating A-IO12 LT AAA(EXP)sf Expected Rating A-IO13 LT AAA(EXP)sf Expected Rating A-IO14 LT AAA(EXP)sf Expected Rating A-IO15 LT AAA(EXP)sf Expected Rating A-IO16 LT AAA(EXP)sf Expected Rating A-IO17 LT AAA(EXP)sf Expected Rating A-IO18 LT AAA(EXP)sf Expected Rating A-IO19 LT AAA(EXP)sf Expected Rating A-IO2 LT AAA(EXP)sf Expected Rating A-IO20 LT AAA(EXP)sf Expected Rating A-IO21 LT AAA(EXP)sf Expected Rating A-IO22 LT AAA(EXP)sf Expected Rating A-IO23 LT AAA(EXP)sf Expected Rating A-IO24 LT AAA(EXP)sf Expected Rating A-IO25 LT AAA(EXP)sf Expected Rating A-IO26 LT AAA(EXP)sf Expected Rating A-IO3 LT AAA(EXP)sf Expected Rating A-IO4 LT AAA(EXP)sf Expected Rating A-IO5 LT AAA(EXP)sf Expected Rating A-IO6 LT AAA(EXP)sf Expected Rating A-IO7 LT AAA(EXP)sf Expected Rating A-IO8 LT AAA(EXP)sf Expected Rating A-IO9 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 522 loans with a total balance of approximately $450.86 million, as of the cut-off date. The pool consists of prime fixed-rate mortgages (FRMs) 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 522 full documentation loans, totaling $450.86 million and seasoned approximately 2.9 months in aggregate (difference between origination date and cut-off date). The borrowers have a strong credit profile (772 model FICO, 29.9% debt to income ratio [DTI]) and moderate leverage (74.5% sustainable loan to value ratio [sLTV]). Of the pool, 95.6% consist of loans for primary residences, while 4.4% are for second homes. Additionally, 90.3% 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 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 of '4'[+] (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 41.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to 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 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 80% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton and EdgeMac, were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for further details. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Sequoia Mortgage Trust 2021-5 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to the strong counterparties and well controlled operational considerations., which has a positive impact on the credit profile, and is relevant to the rating[s] 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. SG RESIDENTIAL 2021-1: Fitch Assigns B(EXP) Rating on B-2 Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to SG Residential Mortgage Trust 2021-1 (SGR 2021-1). DEBT RATING ---- ------ SGR 2021-1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by SG Residential Mortgage Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1 (SGR 2021-1) as indicated above. The certificates are supported by 264 loans with a balance of $202.28 million as of the cutoff date. This will be the second Fitch-rated transaction issued by SG Capital Partners. The certificates are secured mainly by non-qualified mortgages (Non-QM) as defined by the Ability to Repay (ATR) rule. 98% of the loans in the pool were originated by SG Capital Partners LLC d/b/a ClearEdge Lending (ClearEdge Lending). A small portion (2%) was originated by a third-party originator that will not be named. All the loans were originated to SG Capital or ClearEdge Lending underwriting guidelines. Select Portfolio Servicing (SPS) will be the primary servicer, and Nationstar Mortgage LLC will be the master servicer for the transaction. Of the pool, 73.6% comprises loans designated as Non-QM, 0.2% are Safe-Harbor QM (SHQM) and the remaining 26.2% are investment properties not subject to ATR. There is no Libor exposure in this transaction as the interest rates on the adjustable rate underlying loans are based on 30-day SOFR and the bonds are either fixed rate and capped at the net weighted average coupon (WAC) rate or are based on the net WAC rate. KEY RATING DRIVERS Near Prime Credit Quality (Mixed): The collateral consists of 264 loans, totaling $202.28 million, and seasoned approximately four months in aggregate according to Fitch. The borrowers have a relatively strong credit profile of 745 FICO and 42% debt-to-income (DTI) and moderate leverage (76% sLTV), as determined by Fitch. The pool consists of 69.9% of loans where the borrower maintains a primary residence, while 30.1% of the loans comprise an investor property or second home. All of the loans in the pool were originated through a broker channel, and 73.6% of the loans in the pool are designated as Non-QM loans. In addition, the pool is concentrated with some large loans (71 are over $1 million and the largest is $2.99 million). Although the credit quality of the borrowers is higher than historical non-prime transactions, the pool characteristics resemble non-prime collateral, and therefore, the pool was analyzed using Fitch's non-prime model. Geographic and Loan Count Concentration (Negative): Approximately 75% of the pool is concentrated in California with moderate MSA concentration. The largest MSA concentration is in Los Angeles MSA (38.8%) followed by the San Francisco MSA (12.0%) and the Miami MSA (11.2%). The top three MSAs account for 62.1% of the pool. As a result, there was a 1.22x adjustment for geographic concentration resulting in a 1.78% penalty at 'AAAsf'. The pool contains 264 loans with a weighted average (WA) count of 163. As a result, a 2.17% penalty was added to the 'AAAsf' loss to account for loan concentration. Loan Documentation and Investor Loans (Negative): Approximately 89.8% of the pool was underwritten to less than full documentation, as determined by Fitch. Of the loans, 64.4% were underwritten to a 12-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. Additionally, 5.5% comprise an asset depletion product and 18%, a debt service coverage ratio (DSCR) product. Of the pool, 26.2% comprises investment properties, as determined by Fitch. Specifically, 8.2% of loans were underwritten using the borrower's credit profile, while the remaining 18.0% were originated through the originators' investor cash flow program that targets real estate investors qualified on a DSCR basis. Fitch increased the probability of default (PD) by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Macro or Sector Risks (Positive): Consistent with the Additional Scenario Analysis section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of Covid-19 vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's "Global Economic Outlook - June 2021" and related base-line economic scenario forecasts have been revised to 6.8% U.S. GDP growth for 2021 and 3.9% for 2022 following a 3.5% GDP decline in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.6% and 4.5%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factor that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. 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 Covius Real Estate Services, LLC (Covius). The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.44%. 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." Covius was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS SGR 2021-1 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled in SGR 2021-1, including strong transaction due diligence and a 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. SGR 2021-1 has an ESG Relevance Score of '4' for Exposure to Environmental Impacts. The transaction has heightened geographic concentration/catastrophe risk contributing to increased stressed losses in the rating analysis. This has a negative 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. SLM STUDENT 2003-4: Fitch Affirms B Rating on 6 Tranches -------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding classes of SLM Student Loan Trust 2003-4 and 2003-7 and maintained their Rating Outlooks at Stable. DEBT RATING PRIOR ---- ------ ----- SLM Student Loan Trust 2003-4 A-5A 78442GGD2 LT Bsf Affirmed Bsf A-5B 78442GGE0 LT Bsf Affirmed Bsf A-5C 78442GGF7 LT Bsf Affirmed Bsf A-5D 78442GGG5 LT Bsf Affirmed Bsf A-5E 78442GGN0 LT Bsf Affirmed Bsf B 78442GGM2 LT Bsf Affirmed Bsf SLM Student Loan Trust 2003-7 A-5A 78442GHH2 LT Bsf Affirmed Bsf A-5B 78442GHJ8 LT Bsf Affirmed Bsf B 78442GHK5 LT Bsf Affirmed Bsf The senior notes of each trust did not pass Fitch's base case stresses in cashflow modeling due to the notes not paying in full prior to their legal final maturity dates. The senior notes' ratings are one category higher than their model-implied ratings of 'CCCsf'. Although the class B notes of both transactions have legal final maturity dates beyond 2035 and have model-implied ratings above 'CCCsf', in an event of default (EOD) caused by a senior class that is not paid in full by maturity, the subordinate classes will not receive principal or interest payments; therefore, under this scenario they also have model-implied ratings of 'CCCsf'. All notes for the transactions are rated 'Bsf', supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreement established by Navient, which allows the servicer to purchase loans from the trusts. Navient has the option but not the obligation to lend to the trust, so Fitch does not give quantitative credit to these agreements. However, these agreements provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. Navient Corporation is currently rated by Fitch at 'BB-' with a Stable Outlook. In the cash flow modeling analysis for both SLM 2003-4 and SLM 2003-7, Fitch used servicing fees higher than the standard fees from Fitch's rating criteria, reflecting transaction-specific fees. KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Negative. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 16.75% and 17.75% under the base case scenario and a default rate of 50.25% and 53.25% under the 'AAA' credit stress scenario for SLM 2003-4 and SLM 2003-7, respectively. Fitch is maintaining a sustainable constant default rate (sCDR) of 2.5% and 2.7% for SLM 2003-4 and SLM 2003-7, respectively; and a sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 9.7% for both transactions. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The trailing 12-month (TTM) levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 3.28%, 14.06% and 25.69%, respectively, for SLM 2003-4 and 3.37%, 13.69% and 24.99%, respectively, for SLM 2003-7 and are used as the starting point in cash flow modeling. Subsequent declines or increases in the above assumptions are modeled as per criteria. The borrower benefits are assumed to be approximately 0.11% for both SLM 2003-4 and SLM 2003-7, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for the transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. For SLM 2003-4, as of February 2021, approximately 86.02% of the student loans are indexed to LIBOR, and 13.98% are indexed to the 91-day T-Bill rate. For SLM 2003-7, as of February 2021, approximately 85.92% of the student loans are indexed to LIBOR, and 14.08% are indexed to the 91-day T-Bill rate. All the notes are currently indexed to three-month LIBOR with the exception of Class A-5B of SLM 2003-7, which is indexed to Euribor. For that class, there is a currency swap in place and the trust pays a spread over three-month LIBOR. Payment Structure: Credit enhancement (CE) is provided by excess spread and, for the class A notes, subordination of the class B notes. As of February 2021, the total and senior parity ratios (including the reserve account but excluding the yield supplement account) are 100.84% (0.84% CE) and 105.81% (5.49% CE) for SLM 2003-4. As of February 2021, the total and senior parity ratios (including the reserve account) are 100.77% (0.76% CE) and 105.65% (5.35% CE) for SLM 2003-7. Liquidity support is provided by a reserve account currently sized at their floors of $3,384,496 and $3,761,650 for SLM 2003-4 and SLM 2003-7, respectively. The transactions will continue to release cash as long as 100% reported total parity (excluding the reserve account and the yield supplement account) is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Fitch also confirmed with the servicer the availability of a business continuity plan to minimize disruptions in the collection process during the coronavirus pandemic. Coronavirus Impact: Fitch assessed the sCDR and sCPR assumptions under Fitch's coronavirus baseline (rating) scenario by assuming a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transaction. Fitch did not change these assumptions for this review. Fitch's downside coronavirus scenario was not run for these transactions, since the ratings are at 'Bsf'. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. SLM Student Loan Trust 2003-4 SLM 2003-4 Current Ratings: Class A 'Bsf', Class B 'Bsf' (Model-Implied Ratings: Class A 'CCCsf', Class B 'CCCsf') Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2003-7 SLM 2003-7 Current Ratings: Class A 'Bsf', Class B 'Bsf' (Model-Implied Ratings: Class A 'CCCsf', Class B 'CCCsf') Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term decrease 25%: class A 'AAsf'; class B 'AAsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. TABERNA PREFERRED IV: Fitch Affirms D Rating on 2 Debt Classes -------------------------------------------------------------- Fitch Ratings has affirmed its ratings on 45 classes and upgraded three classes from five collateralized debt obligations (CDOs). The CDOs have exposure to trust preferred securities (TruPS), senior and subordinated debt issued by real estate investment trusts (REITs), corporate issuers, tranches of structured finance CDOs and commercial mortgage-backed securities. DEBT RATING PRIOR ---- ------ ----- Taberna Preferred Funding IV, Ltd./Inc. A-1 87330YAB9 LT CCCsf Affirmed CCCsf A-2 87330YAC7 LT CCsf Affirmed CCsf A-3 87330YAD5 LT CCsf Affirmed CCsf B-1 87330YAE3 LT Dsf Affirmed Dsf B-2 87330YAK9 LT Dsf Affirmed Dsf C-1 87330YAF0 LT Csf Affirmed Csf C-2 87330YAG8 LT Csf Affirmed Csf C-3 87330YAH6 LT Csf Affirmed Csf D-1 87330YAJ2 LT Csf Affirmed Csf D-2 87330YAL7 LT Csf Affirmed Csf E 87330XAA3 LT Csf Affirmed Csf Taberna Preferred Funding VII, Ltd./Inc. Class A-1LA 873315AA3 LT BBBsf Upgrade BBsf Class A-1LB 873315AB1 LT Dsf Affirmed Dsf Class A-2LA 873315AC9 LT Dsf Affirmed Dsf Class A-2LB 873315AD7 LT Csf Affirmed Csf Class A-3L 873315AE5 LT Csf Affirmed Csf Class B-1L 873315AF2 LT Csf Affirmed Csf Class B-2L 873314AA6 LT Csf Affirmed Csf Taberna Preferred Funding IX, Ltd./Inc. Class A-1LA 87331XAA2 LT BBBsf Affirmed BBBsf Class A-1LAD 87331XAB0 LT BBBsf Affirmed BBBsf Class A-1LB 87331XAH7 LT Dsf Affirmed Dsf Class A-2LA 87331XAJ3 LT Dsf Affirmed Dsf Class A-2LB 87331XAK0 LT Csf Affirmed Csf Class A-3LA 87331XAL8 LT Csf Affirmed Csf Class A-3LB 87331XAM6 LT Csf Affirmed Csf Class B-1L 87331XAN4 LT Csf Affirmed Csf Class B-2L 87331WAA4 LT Csf Affirmed Csf Taberna Preferred Funding V, Ltd./Inc. A-1LA 87331BAA0 LT CCCsf Upgrade CCsf A-1LAD 87331BAB8 LT CCCsf Upgrade CCsf A-1LB 87331BAC6 LT Dsf Affirmed Dsf A-2L 87331BAD4 LT Csf Affirmed Csf A-3FV 87331BAF9 LT Csf Affirmed Csf A-3FX 87331BAG7 LT Csf Affirmed Csf A-3L 87331BAE2 LT Csf Affirmed Csf B-1L 87331BAH5 LT Csf Affirmed Csf B-2FX 87331CAB6 LT Csf Affirmed Csf B-2L 87331CAA8 LT Csf Affirmed Csf Taberna Preferred Funding VI, Ltd./Inc. A-1A 87331AAA2 LT CCCsf Affirmed CCCsf A-1B 87331AAB0 LT CCCsf Affirmed CCCsf A-2 87331AAD6 LT CCsf Affirmed CCsf B 87331AAE4 LT Dsf Affirmed Dsf C 87331AAF1 LT Dsf Affirmed Dsf D-1 87331AAG9 LT Csf Affirmed Csf D-2 87331AAH7 LT Csf Affirmed Csf E-1 87331AAJ3 LT Csf Affirmed Csf E-2 87331AAK0 LT Csf Affirmed Csf F-1 87331AAL8 LT Csf Affirmed Csf F-2 87331AAM6 LT Csf Affirmed Csf KEY RATING DRIVERS All transactions experienced minimal to moderate deleveraging, which led to the senior notes receiving paydowns ranging from 2% to 25% of their last review note balances. However, the upgrades were capped by the outcomes of the sensitivity analysis performed, reflecting the concentrated nature of the portfolios. All five CDOs are in acceleration, which diverts excess spread to the most senior classes outstanding while cutting off interest due on certain junior timely classes that are currently rated 'Dsf'. RATING SENSITIVITIES To address potential risks of adverse selection and increased portfolio concentration, Fitch applied a sensitivity scenario, as described in the criteria, to applicable transactions. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. TOWD POINT 2015-1: Moody's Hikes Rating on Class B1 Certs to Ba2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 96 tranches from 19 transactions issued by Towd Point Mortgage Trust between 2015 and 2019. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers. The complete rating actions are as follows: Issuer: Towd Point Mortgage Trust 2015-1 Cl. A, Upgraded to Aa2 (sf); previously on Aug 31, 2018 Upgraded to A1 (sf) Cl. A5, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. A6, Upgraded to Aa3 (sf); previously on Jan 16, 2020 Upgraded to A2 (sf) Cl. AE7, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded to Aa1 (sf) Cl. AE8, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded to Aa1 (sf) Cl. AE9, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded to Aa1 (sf) Cl. AE10, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. AE11, Upgraded to Aa2 (sf); previously on Aug 31, 2018 Upgraded to A1 (sf) Cl. AE12, Upgraded to Aa2 (sf); previously on Aug 31, 2018 Upgraded to A1 (sf) Cl. AE13, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. AE14, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. B1, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Issuer: Towd Point Mortgage Trust 2015-2 Cl. 1-B2, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. 1-B3, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Issuer: Towd Point Mortgage Trust 2015-3 Cl. B1, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. B2, Upgraded to A2 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Cl. B3, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Issuer: Towd Point Mortgage Trust 2015-4 Cl. B1, Upgraded to Aaa (sf); previously on May 7, 2019 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa3 (sf); previously on Jan 16, 2020 Upgraded to A2 (sf) Cl. B3, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Issuer: Towd Point Mortgage Trust 2015-5 Cl. B1, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded to Aa2 (sf) Cl. B2, Upgraded to A1 (sf); previously on Aug 31, 2018 Upgraded to A3 (sf) Cl. B3, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Issuer: Towd Point Mortgage Trust 2015-6 Cl. B1, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. B2, Upgraded to A2 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Issuer: Towd Point Mortgage Trust 2016-1 Cl. B1, Upgraded to Aa1 (sf); previously on Jan 16, 2020 Upgraded to Aa3 (sf) Cl. B2, Upgraded to A1 (sf); previously on May 7, 2019 Upgraded to A3 (sf) Cl. B3, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Issuer: Towd Point Mortgage Trust 2016-2 Cl. A5, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. B1, Upgraded to Aa3 (sf); previously on Jan 16, 2020 Upgraded to A2 (sf) Cl. B2, Upgraded to A3 (sf); previously on Jan 16, 2020 Upgraded to Baa2 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2016-3 Cl. B1, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. B2, Upgraded to A2 (sf); previously on Jan 16, 2020 Upgraded to Baa1 (sf) Cl. B3, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. M2A, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. M2B, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Issuer: Towd Point Mortgage Trust 2016-4 Cl. B1, Upgraded to Aa3 (sf); previously on Jan 16, 2020 Upgraded to A2 (sf) Cl. B2, Upgraded to A2 (sf); previously on Jan 16, 2020 Upgraded to Baa1 (sf) Cl. B3, Upgraded to Baa1 (sf); previously on Feb 7, 2020 Assigned Baa3 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Nov 30, 2018 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2016-5 Cl. B1, Upgraded to A2 (sf); previously on Jan 16, 2020 Upgraded to Baa1 (sf) Cl. B2, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B3, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. M2, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2017-1 Cl. B1, Upgraded to A2 (sf); previously on Sep 28, 2020 Confirmed at Baa1 (sf) Cl. B3, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. M1A, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. M1B, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. M2, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. M2A, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. M2B, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. X3*, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. X4*, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. X5*, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. X6*, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2017-2 Cl. A4, Upgraded to Aaa (sf); previously on Mar 16, 2018 Upgraded to Aa1 (sf) Cl. B1, Upgraded to A2 (sf); previously on Jan 16, 2020 Upgraded to Baa1 (sf) Cl. B3, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. M2, Upgraded to Aa1 (sf); previously on Jan 16, 2020 Upgraded to Aa3 (sf) Issuer: Towd Point Mortgage Trust 2017-3 Cl. A4, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. B1, Upgraded to Baa1 (sf); previously on Nov 30, 2018 Upgraded to Baa3 (sf) Cl. B2, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. M1, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa2 (sf) Cl. M2, Upgraded to A1 (sf); previously on Jan 16, 2020 Upgraded to A3 (sf) Issuer: Towd Point Mortgage Trust 2017-5 Cl. B1, Upgraded to A2 (sf); previously on Jan 16, 2020 Upgraded to A3 (sf) Cl. B3, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. M2, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to Aa3 (sf) Issuer: Towd Point Mortgage Trust 2017-6 Cl. A2, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. A3, Upgraded to Aaa (sf); previously on Mar 16, 2018 Upgraded to Aa1 (sf) Cl. A4, Upgraded to Aa1 (sf); previously on Jan 16, 2020 Upgraded to Aa3 (sf) Cl. B2, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. M1, Upgraded to Aa2 (sf); previously on Jan 16, 2020 Upgraded to A1 (sf) Cl. M2, Upgraded to A2 (sf); previously on Jan 16, 2020 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2018-1 Cl. A2, Upgraded to Aaa (sf); previously on Jan 16, 2020 Upgraded to Aa1 (sf) Cl. A3, Upgraded to Aaa (sf); previously on May 7, 2019 Upgraded to Aa1 (sf) Cl. A4, Upgraded to Aa2 (sf); previously on Feb 28, 2018 Definitive Rating Assigned A1 (sf) Cl. B1, Upgraded to Baa2 (sf); previously on May 7, 2019 Upgraded to Baa3 (sf) Cl. B2, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. M1, Upgraded to Aa3 (sf); previously on May 7, 2019 Upgraded to A2 (sf) Cl. M2, Upgraded to A2 (sf); previously on Jan 16, 2020 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2019-HY1 Cl. A2, Upgraded to Aaa (sf); previously on Feb 28, 2019 Definitive Rating Assigned Aa2 (sf) Cl. A3, Upgraded to Aaa (sf); previously on Feb 28, 2019 Definitive Rating Assigned Aa1 (sf) Cl. A4, Upgraded to Aa2 (sf); previously on Feb 28, 2019 Definitive Rating Assigned A1 (sf) Cl. M1, Upgraded to Aa2 (sf); previously on Feb 28, 2019 Definitive Rating Assigned A1 (sf) Cl. M2, Upgraded to A3 (sf); previously on Feb 28, 2019 Definitive Rating Assigned Baa1 (sf) Issuer: Towd Point Mortgage Trust 2019-HY2 Cl. A2, Upgraded to Aaa (sf); previously on Apr 30, 2019 Definitive Rating Assigned Aa2 (sf) Cl. A3, Upgraded to Aaa (sf); previously on Apr 30, 2019 Definitive Rating Assigned Aa1 (sf) Cl. A4, Upgraded to Aa2 (sf); previously on Apr 30, 2019 Definitive Rating Assigned A1 (sf) Cl. B1, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. M1, Upgraded to Aa2 (sf); previously on Apr 30, 2019 Definitive Rating Assigned A1 (sf) Cl. M2, Upgraded to A3 (sf); previously on Apr 30, 2019 Definitive Rating Assigned Baa2 (sf) *Reflects Interest-Only Classes A List of Affected Credit Ratings is available at https://bit.ly/3zvYQT2 RATINGS RATIONALE The rating upgrades reflect the increased level of credit enhancement available to the bonds, due to the sequential principal distribution in these transactions, and faster paydown with prepayment rates averaging between 9% to 19% over the 12 months. The rating action also reflects Moody's updated loss expectations on the underlying pools. Moody's analysis considered the additional risk posed by loans that are enrolled in payment relief programs in these transactions. Moody's identified these loans based on a review of loan level cashflows over the last few months. Based on Moody's analysis, the proportion of loans that have enrolled in payment relief plans ranged between around 4 - 10% as of March 2021, compared with the peak in June 2020 of around 12 - 21%. Moody's assume such loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. Given the lack of servicer advancing, an elevated percentage of non-cash flowing loans related to borrowers enrolled in payment relief programs can result in interest shortfalls, especially on the junior bonds. However, the risk of incurring such interest shortfalls has reduced since the proportion of non-cash flowing loans in Towd Point Mortgage Trust has decreased. Furthermore, based on transaction documents, reimbursement of missed interest on the more senior notes has a higher priority than even scheduled interest payments on the more subordinate notes. Based on this interest reimbursement feature, along with declining levels of borrowers enrolled in payment relief plans, Moody's expect any such interest shortfalls incurred to be temporary and fully reimbursed over the subsequent months. None of the tranches in today's rating action have any interest shortfalls outstanding currently. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicers. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The methodologies used in rating all classes except interest-only classes were "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. TPGI TRUST 2021-DGWD: Moody's Assigns B3 Rating to Cl. F Certs -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 11 classes of CMBS securities, issued by TPGI Trust 2021-DGWD, Commercial Mortgage Pass-Through Certificates, Series 2021-DGWD as follows: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. A-IO****, Definitive Rating Assigned Aaa (sf) Cl. A-Y**, Definitive Rating Assigned Aaa (sf) Cl. A-Z**, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) Cl. X-CP*, Definitive Rating Assigned Baa3 (sf) Cl. X-FP*, Definitive Rating Assigned Baa3 (sf) * Reflects interest-only classes ** Reflects exchangeable classes **** Reflects interest-only and exchangeable classes RATINGS RATIONALE The certificates are collateralized by a single, floating-rate loan secured by the borrower's fee simple interest in a portfolio of 86 properties located across six states. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The portfolio contains a total of 7,195,219 SF comprised of 85 industrial properties and one office building. Construction dates for properties in the portfolio range between 1960 and 2020, with a weighted average year built of 1985. Property sizes for assets range between 1,200 SF and 580,326 SF, with an average size of approximately 92,246 SF. Clear heights for properties range between 14 feet and 32 feet, with a weighted average, maximum clear height for the portfolio of approximately 23 feet. As of May 1, 2021, the portfolio was approximately 96.7% leased to 294 tenants. The portfolio is geographically diverse as the properties are located across 16 different markets in six states. The top three states by allocated loan amount ("ALA") are Georgia (40 properties; 33.9% of ALA), North Carolina (32 properties; 27.4% of ALA), and Texas (5 properties; 20.0% of ALA). The top three market concentrations by ALA are Atlanta (40 properties; 33.9% of ALA), Winston-Salem (28 property; 27.4% of ALA), and Nashville (4 properties; 12.8% of ALA). Additionally, the portfolio has an average population within a five-mile radius of approximately 192,000 based on ALA. 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. 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 securitization consists of a single floating-rate, interest-only, first lien mortgage loan with an outstanding cut-off date principal balance of $500,000,000 (the "loan" or "mortgage loan"). The mortgage loan has an initial two-year term, with three, one-year extension options. The first mortgage balance of $500,0000,000 represents a Moody's LTV of 141.7%. The Moody's first-mortgage DSCR is 2.78x and Moody's first-mortgage stressed DSCR (at a 9.25% constant) is 0.64x. Moody's DSCR is based on Moody's assessment of the property's stabilized NCF. 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 1.35. Notable strengths of the transaction include: proximity to global gateway markets, geographic diversity, strong recent leasing and experienced sponsorship. Notable credit challenges of the transaction include: age of the properties, lack of historical operating performance, tenant roll-over profile, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in rating all classes except exchangeable classes and interest-only and exchangeable classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in United States economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. UBS COMMERCIAL 2017-C2: Fitch Affirms CCC Rating on H-RR Certs -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of UBS Commercial Mortgage Trust 2017-C2 (UBS 2017-C2) commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- UBS 2017-C2 A-2 90276CAB7 LT AAAsf Affirmed AAAsf A-3 90276CAD3 LT AAAsf Affirmed AAAsf A-4 90276CAE1 LT AAAsf Affirmed AAAsf A-S 90276CAH4 LT AAAsf Affirmed AAAsf A-SB 90276CAC5 LT AAAsf Affirmed AAAsf B 90276CAJ0 LT AA-sf Affirmed AA-sf C 90276CAK7 LT A-sf Affirmed A-sf D-RR 90276CAL5 LT BBB+sf Affirmed BBB+sf E-RR 90276CAN1 LT BBBsf Affirmed BBBsf F-RR 90276CAQ4 LT BBB-sf Affirmed BBB-sf G-RR 90276CAS0 LT Bsf Affirmed Bsf H-RR 90276CAU5 LT CCCsf Affirmed CCCsf X-A 90276CAF8 LT AAAsf Affirmed AAAsf X-B 90276CAG6 LT A-sf Affirmed A-sf Classes X-A and X-B are interest only. KEY RATING DRIVERS Stable Overall Loss Expectations: The affirmations reflect stable overall loss expectations since the last rating action. Fitch's current ratings incorporate a base case loss of 5.5%. The Negative Rating Outlooks on classes A-S through G-RR reflect losses that could reach 7.2% when factoring in additional stresses related to the coronavirus pandemic. Fitch has designated 23 loans (39.7% of the pool) as Fitch Loans of Concern (FLOCs), including five specially serviced loans (11.2%). Largest Contributors to Loss: The specially serviced IC Leased Fee Hotel Portfolio loan (3% of the pool) is the largest contributor to loss. The loan transferred to special servicing in June 2019 as a result of the borrower's failure to pay taxes; a protective advance was made and a notice of default issued. The borrower filed for Chapter 11 bankruptcy protection in July 2019. The loan is secured by a leased fee interest in the land underneath seven full-service hotels with over 2,000 total keys. The underlying hotels are located in seven different states in generally secondary and tertiary markets including Appleton, WI, St. Louis, MO, Albany, NY, Cromwell, CT, Cheyenne, WY, High Point, NC, and Billings, MT. At issuance, six hotels operated under the Radisson flag and were subsequently re-flagged to Red Lion. The seventh, City Place Downtown St. Louis, operated as an independent hotel. The leasehold control of six of the hotels has transitioned to the leasehold lenders and the seventh is in receivership; it appears five of the hotels have permanently closed (St. Louis, Albany, Cromwell, High Point, and Billings). Competing bankruptcy plans have been filed by the debtor and the creditor. The next status hearing was scheduled to occur on June 1, 2021. The debtor is reportedly marketing the Cromwell, Albany, and High Point properties for sale. Further, the ground leases for the Cromwell and Albany properties have been terminated due to default. The next largest contributor to loss is The Fillmore Philadelphia loan (3%), which is secured by a mixed-use entertainment complex located in the Fishtown district of Philadelphia, PA. The property suffered vacancy issues prior to the onset of the coronavirus pandemic. Further, the bulk of the tenancy consists of music and restaurant venues that have been temporarily closed or operating at reduced capacity throughout the pandemic. Per the May 2021 rent roll, the property was 91% leased after dropping to 61.7% in 2019 after it lost two tenants. The Bowls LLC commenced a 15-year lease in March 2020 for 29.3% of NRA. While the rent roll indicated that the tenant is paying full rent, it is unclear when it plans to open for business. Fitch has requested an update from the servicer on the tenant's status. The next largest contributor to loss is the South Main RVP loan (1.8%), which is secured by a 436-pad RV Park located in Highlands, TX, approximately 20 miles east of Downtown Houston. The property has been negatively impacted by the ongoing pandemic and its effect on the neighboring oil industry, which reduced capital projects during the period. Additionally, the borrower noted that nearby road work last year, which has now been completed, caused commuting difficulties that resulted in the property losing some repeat customers. The servicer reported YE 2020 NOI DSCR was 0.92x compared to 1.25x at YE 2019. The next largest contributor to loss is the AHIP Northeast Portfolio III loan (4%), which is secured by four full-service hotels located in Maryland, New York, and New Jersey. The hotels within the portfolio include the 127-room Hampton Inn Baltimore -- White Marsh, the 116-room Fairfield Inn and Suites Baltimore -- White Marsh, the 128-room SpringHill Suites -- Bellport, and the 120-room Homewood Suites -- Egg Harbor. The portfolio has been negatively impacted by the pandemic, and was granted COVID Relief from the servicer in June 2020. The YE 2020 servicer reported NOI DSCR was 0.81x compared to YE 2019 at 2.21x. The YE 2020 NOI was down 63.4% yoy. Further, per the TTM March 2021 STR reports for the properties, RevPAR declined between 30.9% and 53.1% yoy at the hotels. Fitch's analysis includes a 26% haircut to YE 2019 NOI to account for the impact to the portfolio from the coronavirus pandemic. Minimal Change in Credit Enhancement: As of the May 2021 distribution date, the pool's aggregate principal balance has paid down by 9.6% to $812.4 million from $898.7 million at issuance. Two loans ($62.9 million at issuance) have prepaid with yield maintenance since issuance, while two loans (1.7%) have defeased. Approximately 35% of the loans in the pool are full-term interest-only while only two loans (5.1% of the pool) remain in their partial interest only periods. Three loans (9.3%) ae scheduled to mature in 2022 while the remaining loans in the pool mature in 2026 (1%) and 2027 (89.7%). Coronavirus Exposure: 15 loans (24.1%) are secured by hotel properties, nine loans (19.5%) are secured by multifamily or manufactured housing, and 15 loans (27.4%) are secured by retail properties, or mixed use with a retail component. Fitch applied additional stresses to 11 hotel loans (19.1%), one multifamily loan (0.7%), and four retail loans (5.5%) to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Outlooks. ADDITIONAL CONSIDERATIONS High Hotel Exposure: Loans secured by interests in hotel properties represent 24.1% of the pool by balance; loans secured by hotel properties have an above-average probability of default in Fitch's multi-borrower model. Credit Opinion Loans: Five loans, representing 26% of the pool, were considered investment-grade credit opinions at issuance: General Motors Building (6.2% of the pool), Park West Village (6.2%), Del Amo Fashion Center (5.5%), 85 Broad Street (4.2%) and 245 Park Avenue (3.9%). RATING SENSITIVITIES The Negative Outlook on classes A-S, B, C, D-RR, E-RR, F-RR, G-RR and X-B reflects the potential for further downgrade due to concerns surrounding the FLOCs as well as the long-term impact of the pandemic on the portfolio. Outlooks for the senior classes remain Stable due to the significant credit enhancement (CE), defeasance, stable performance of the majority of the remaining pool and continued expected amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Rating upgrades may be limited due to increasing pool concentration and adverse selection. -- Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of particular loan(s) could cause this trend to reverse. -- Upgrades to 'BBBsf' category rated classes are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. -- Upgrades to the 'Bsf' and 'CCCsf' categories are only likely if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre pandemic levels, and there is sufficient CE to the class, which would likely not happen until later years in the transactions as loans approach maturity and are stable. Factors that could, individually or collectively, lead to negative rating actions/downgrades: -- Sensitivity Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. -- Downgrades to the senior classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. -- Downgrades to the classes with Negative Outlooks are possible should performance of the FLOCs continue to decline and should additional loans transfer to special servicing and/or should further losses be realized. The distressed class H-RR could be further downgraded should losses be realized or more certain. -- 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 those classes with Negative Outlooks may be downgraded by more than one category. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2016-LC24: Fitch Affirms BB- Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2016-LC24 Commercial Mortgage Pass-Through Certificates. DEBT RATING PRIOR ---- ------ ----- WFCM 2016-LC24 A-2 95000HBD3 LT AAAsf Affirmed AAAsf A-3 95000HBE1 LT AAAsf Affirmed AAAsf A-4 95000HBF8 LT AAAsf Affirmed AAAsf A-S 95000HBH4 LT AAAsf Affirmed AAAsf A-SB 95000HBG6 LT AAAsf Affirmed AAAsf B 95000HBL5 LT AA-sf Affirmed AA-sf C 95000HBM3 LT A-sf Affirmed A-sf D 95000HAL6 LT BBB-sf Affirmed BBB-sf E 95000HAN2 LT BB+sf Affirmed BB+sf F 95000HAQ5 LT BB-sf Affirmed BB-sf X-A 95000HBJ0 LT AAAsf Affirmed AAAsf X-B 95000HBK7 LT AA-sf Affirmed AA-sf X-D 95000HAA0 LT BBB-sf Affirmed BBB-sf X-EF 95000HAC6 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Stable Loss Expectations: Overall performance and loss expectations for the majority of the pool remain stable. There are 13 Fitch Loans of Concern (FLOCs; 17.4% of pool), including four specially serviced loans (5.3%). Fitch's current ratings incorporate a base case loss of 5.0%. Losses could reach 5.5% when factoring in additional stresses related to the coronavirus pandemic. Largest Contributors to Loss: The largest contributor to loss is the Central Park Retail loan (6.6% of the pool), which is secured by a 441,000-sf anchored retail center located in Fredericksburg, VA. The loan has been designated as a FLOC due to a low DSCR. As of YE 2020, the servicer reported NOI DSCR was 1.20x. The property is considered the dominant retail center in Fredericksburg and the largest tenants are Hobby Lobby (12% of NRA), Office Depot (7%) and QRC Technologies (7%). Non-collateral anchors include Target, Walmart, Lowes, and PetSmart. Upcoming rollover at the property includes 1.8% of the NRA 2021, followed by 13.3% in 2022, 11.5% in 2023 and 11% in 2024. Per the March 2021 rent roll, the property was 90% occupied. Fitch's loss expectation of 10.5% reflects the YE 2020 NOI and a 9.5% cap rate. The second largest contributor to loss is the One & Two Corporate Plaza loan (2%), which is secured by a 276k-sf suburban office property located in Houston, TX. The loan transferred to special servicing in January 2021, and a receiver was appointed in February 2021. The loan remained current as of May 2021. According to servicer updates, a sale is being pursued. Occupancy at the property was 78% per the April 2021 rent roll, which is an increase from 71% in March 2020. Upcoming rollover at the property includes 7.2% of the NRA in 2021, followed by 31% in 2022, 3.4% in 2023 and 6.5% in 2024. Fitch modeled a loss of approximately 32% which reflects a 13% cap rate and a value of $62 PSF, consistent with other recent Houston area office dispositions and valuations. The next largest contributor to loss is the Hilton Garden Inn Bothell loan (1.6%), which is secured by a 128-key hotel located in Bothell, Washington. The Loan transferred to the special servicer in July 2020 as a result of the pandemic. The special servicer is dual tracking foreclosure while while working with the borrower on a potential modification. Fitch has an outstanding request with the servicer for an updated STR report but has not received one to date. Coronavirus Impact: Significant continued economic impact to certain hotels, and retail and multifamily properties has occurred due to the pandemic. There remains uncertainty about the timeline for full recovery of these assets. Twenty-five loans are collateralized by retail properties (24% of pool), 12 by hotels (13.4%), and nine by multifamily properties (12.5%). Fitch's coronavirus stress scenario applied additional stresses to 2019 cashflows for two retail loans (0.5%) and six hotel loans (8.4%) due to the projected impact from the coronavirus pandemic. Co-Op Collateral: The pool contains 14 loans (6.2%) secured by multifamily co-ops. Thirteen of the co-ops in this transaction are located within the greater New York City metro area, with the remaining one in Washington, D.C. RATING SENSITIVITIES The Stable Outlooks reflect the sufficient class credit enhancement relative to expected losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional pay-down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of the FLOCs, could cause this trend to reverse. -- Upgrades to the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. An upgrade to the 'BBsf' rated classes is not likely until later years of the transaction, and only if the performance of the remaining pool is stable, and/or if there is sufficient credit enhancement, which would likely occur when the non-rated class is not eroded and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses due to underperforming or specially serviced loans. -- Downgrades to the senior classes, rated 'AA-sf' through 'AAAsf', are not likely due to their position in the capital structure and the high credit enhancement; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to the classes rated 'BBB-sf' and below would occur if the performance of the FLOC continues to decline or fails to stabilize. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2017-C39: Fitch Affirms B- Rating on G-RR Certs ----------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2017-C39 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WFCM 2017-C39 A-1 95000XAA5 LT AAAsf Affirmed AAAsf A-2 95000XAB3 LT AAAsf Affirmed AAAsf A-3 95000XAC1 LT AAAsf Affirmed AAAsf A-4 95000XAE7 LT AAAsf Affirmed AAAsf A-5 95000XAF4 LT AAAsf Affirmed AAAsf A-S 95000XAG2 LT AAAsf Affirmed AAAsf A-SB 95000XAD9 LT AAAsf Affirmed AAAsf B 95000XAK3 LT AA-sf Affirmed AA-sf C 95000XAL1 LT A-sf Affirmed A-sf D 95000XAM9 LT BBB+sf Affirmed BBB+sf E-RR 95000XAP2 LT BBB-sf Affirmed BBB-sf F-RR 95000XAR8 LT BB-sf Affirmed BB-sf G-RR 95000XAT4 LT B-sf Affirmed B-sf X-A 95000XAH0 LT AAAsf Affirmed AAAsf X-B 95000XAJ6 LT A-sf Affirmed A-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased since the last rating action primarily due to increased loss expectations with respect to Lakeside Shopping Center and Lincolnshire Commons in addition to loans impacted by the coronavirus pandemic. Fitch flagged 20 loans (30.8%) including five loans in special servicing (4.5%) as Fitch Loans of Concern (FLOCs); five loans (20%) are within the Top 15. Fitch's current ratings incorporate a base case loss of 5.4%. The Negative Rating Outlook reflects losses that could reach 6.4% when factoring in additional coronavirus-related stresses. Fitch Loans of Concern: The largest contributor to loss expectations and ninth largest loan in the pool, Lincolnshire Commons (3.9%), is secured by 133,024 sf mixed-use (office/retail; approx. sf 70% retail) property located in Lincolnshire, Illinois. Performance has been consistently declining since issuance. As of March 2021, the property was 83% occupied down from 93.1% at YE 2018. Servicer reported NOI DSCR was 1.44x at YE 2020 compared to 1.93x at YE 2018. EGI declined approximately 11% at YE 2020 compared to the prior year primarily due to lower base rent, while operating expenses were 4.5% lower during the same period. Fitch requested additional details regarding the key drivers contributing to the significant decline in base rent and is awaiting a response. The loan is currently modeling a 23% loss severity (LS) based on 2020 financials, which exceeds Fitch expectations at issuance (5% LS). The second largest contributor to loss expectations and fifteenth largest loan in the pool, Crown Plaza Dallas (2.4%), is secured by a 292-room full service hotel located in downtown Dallas, Texas. The property has been significantly impacted by the coronavirus pandemic. Servicer reported NOI DSCR was below 1.0x as of YE 2020 from 1.74x at YE 2019. Fitch's analysis included a 26% stress to YE 2019 NOI, which resulted in a 35% LS. The third largest contributor to loss is the third largest loan in the pool, Lakeside Shopping Center (5.2%), a 1.2 million sf regional mall located in Metairie, Louisiana, approx. 7.8 miles northwest of the New Orleans CBD. Collateral anchors are Dillard's (24.1%; exp Dec. 31. 2029), Macy's (18.9%; exp Jan. 1, 2029) and JC Penney (16.8% NRA; exp Nov. 11, 2022). JC Penney (4.6% of Rent+ recoveries) will be vacating prior to its Nov. 30, 2022 lease expiration. Currently, the tenant remains open and is still listed on the mall's online directory. As of March 2021, the property was 97.9% occupied (81.6% excluding JC Penney). Fitch's analysis included a 5% stress to YE 2020 NOI to account for potential co-tenancy triggers, which resulted in a 14% LS. The fourth largest contributor to loss expectations and 10th largest loan in the pool, Starwood Capital Hotel Portfolio (3.6%), is secured by a portfolio of 65 hotels in 17 states offering a range of amenities, spanning the limited service, full service and extended stay varieties. Servicer reported NOI DSCR was below 1.0x as of YE 2020 from 2.73x at YE 2019. Fitch's analysis included a 26% stress to YE 2019 NOI, which resulted in a 15% LS. Minimal Change in Credit Enhancement: As of the May 2021 distribution date, the pool's aggregate principal balance has been reduced by 1.7% to $1.11 billion from $1.13 billion at issuance. No loans are defeased. Fourteen loans, representing 50.2% of the pool, are full-term interest-only. 26 loans, representing 33.4% of the pool, were structured with a partial interest-only component; 18 loans (20.7%) have begun to amortize. Based on the scheduled balance at maturity, the pool will pay down by only 7.1% Additional Stresses Applied due to Coronavirus Exposure: 22 loans (30%) are secured by retail properties, 14 loans (16%) are secured by hotel properties and six loans (6.7%) are secured by multifamily properties. Fitch applied additional coronavirus-related stresses to five hotel loans. Investment-Grade Credit Opinion Loans: Four of the top 15 loans (17.1%) at issuance were assigned standalone investment grade credit opinions at Issuance; 225 & 233 Park Avenue South (6.2%), 245 Park Avenue (4%), Two Independence Square (4%) and Del Amo Fashion Center (2.7%) received investment grade standalone credit opinions of 'BBB-sf', 'BBB-sf', 'A-sf' and 'BBBsf', respectively. Pari Passu: 16 loans (52.4% of pool) are pari passu, including 11 loans (44.4%) in the top 15. Pool Concentrations: Loans backed by office properties represent 36.7% of the pool, including seven loans (31.3%) in the top 15. Three loans (14.4%) are secured by office properties located in New York City. Loans backed by retail properties represent 30% of the pool, including four loans (15.9%) in the top 15. There are two regional malls: Lakeside Shopping Center (5.2%) and Del Amo Fashion Center (2.7%) in Torrance, CA, which has exposure to non-collateral anchor tenants Macy's and Sears and collateral anchors JCPenney, Nordstrom and Dick's Sporting Goods. Loans backed by hotel properties represent 16.0% of the pool, including two loans (6%) in the top 15. RATING SENSITIVITIES The Stable Outlooks on classes reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Outlooks reflect concerns over the FLOCs as well as the unknown impact of the pandemic on the overall pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance; -- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse; -- Upgrades to the 'BBB+sf' and below-rated classes are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Additionally, an upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, which would likely occur when the nonrated class is not eroded and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans; -- Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not considered likely due to their position in the capital structure but may occur should interest shortfalls affect these classes; -- Downgrades to the 'BBB-sf' through 'A-sf' rated classes may occur should expected losses for the pool increase substantially and all of the loans susceptible to the coronavirus pandemic suffer losses, which would erode CE. -- Downgrades to the 'B-sf' and 'BB-sf' rated classes would occur with greater certainty of loss or as losses are realized; BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2021-RR1: Fitch Gives 'B+(EXP)' Rating to B5 Certs --------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Wells Fargo Mortgage-Backed Securities 2021-RR1 Trust (WFMBS 2021-RR1). DEBT RATING ---- ------ WFMBS 2021-RR1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-IO1 LT AAA(EXP)sf Expected Rating A-IO2 LT AAA(EXP)sf Expected Rating A-IO3 LT AAA(EXP)sf Expected Rating A-IO4 LT AAA(EXP)sf Expected Rating A-IO5 LT AAA(EXP)sf Expected Rating A-IO6 LT AAA(EXP)sf Expected Rating A-IO7 LT AAA(EXP)sf Expected Rating A-IO8 LT AAA(EXP)sf Expected Rating A-IO9 LT AAA(EXP)sf Expected Rating A-IO10 LT AAA(EXP)sf Expected Rating A-IO11 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-3 LT BBB+(EXP)sf Expected Rating B-4 LT BB+(EXP)sf Expected Rating B-5 LT B+(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 325 prime fixed-rate mortgage loans with a total balance of approximately $313 million as of the cutoff date. All the loans were originated by Wells Fargo Bank, N.A. (Wells Fargo). This is the 13th post-crisis issuance from Wells Fargo. KEY RATING DRIVERS Very High-Quality Mortgage Pool (Positive): The collateral attributes are among the strongest of post-crisis RMBS rated by Fitch. The pool consists almost entirely of 30-year fixed-rate fully amortizing loans to borrowers with strong credit profiles, low leverage and large liquid reserves. All of the loans satisfy the Ability to Repay Rule (ATR); approximately 69.4% of the loans are classified as Safe Harbor Qualified Mortgages (SHQM) and 30.6% are designated as Non-Qualified Mortgages (NQM). As of the closing date, the loans are seasoned an average of approximately 11.8 months. The pool has a weighted average (WA) original FICO score of 774, which is indicative of very high credit-quality borrowers. Approximately 81.7% of the pool has original FICO scores at or above 750. In addition, the original WA combined loan to value (CLTV) ratio of 74.1% represents solid borrower equity in the property. The pool's attributes, together with Wells Fargo's sound origination practices, support Fitch's very low default risk expectations. Non-Qualified Mortgage (Negative): All of the loans in this transaction were underwritten to guidelines that satisfy the ATR Rule; however, Wells Fargo determined that 69.4% of the loans meet the QM designation based on its underwriting guidelines. Fitch's 'AAAsf' loss was increased by 4 bps to account for the potential risk of foreclosure challenges under the ATR Rule. High Geographic Concentration (Negative): Approximately 57.7% of the pool is concentrated in California with relatively average MSA concentration. The largest MSA concentration is in San Jose MSA (20.3%), followed by San Francisco MSA (17.1%) and Los Angeles MSA (12.6%). The top three MSAs account for 50.0% of the pool. As a result, an additional penalty of approximately 15% was applied to the pool's lifetime default expectations. Straightforward Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Full Servicer Advancing (Neutral): The pool benefits from advances of delinquent principal and interest until the primary servicer of the pool, Wells Fargo, deems them nonrecoverable. Fitch's loss severities reflect reimbursement of amounts advanced by the servicer from liquidation proceeds based on its liquidation timelines assumed at each rating stress. In addition, the CE for the rated classes has some cushion for recovery of servicer advances for loans modified following a payment forbearance. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.45% of the original balance will be maintained for the senior certificates. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts, reviewer fees and costs of arbitration, to be paid by the net WA coupon (WAC) of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $350,000 per annum, with the exception of the independent reviewer breach review fee, which can be carried over each year, subject to the cap until paid in full. 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 COVID-19 vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 "Global Economic Outlook" and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022, following the negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in its "U.S. RMBS Loan Loss Model Criteria" report. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses 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 37.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. -- This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton Services LLC. The third-party due diligence described in Form 15E focused on a compliance review, credit review and valuation review. The due diligence company performed a review on 100% of the loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: loans with due diligence received a credit in the loss model. This adjustment reduced the 'AAAsf' expected losses by 13 bps. ESG CONSIDERATIONS WFMBS 2021-RR1 has an ESG credit relevance score of '4+' for Transaction Parties & Operational Risk. Operational risk is well controlled for in WFMBS 2021-RR1 including strong R&W and transaction due diligence as well as a strong originator and servicer which resulted in a reduction in expected losses. WFMBS 2021-RR1 also has an ESG Relevance Score of '4+' for Exposure to Environmental Impacts due to moderate geographic concentration/catastrophe risk. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2021-RR1: Moody's Assigns (P)Ba3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to thirty-six classes of residential mortgage-backed securities issued by Wells Fargo Mortgage Backed Securities 2021-RR1 Trust (WFMBS 2021-RR1). The ratings range from (P)Aaa (sf) to (P)Ba3 (sf). The transaction represents the thirteenth RMBS issuance sponsored by Wells Fargo Bank, N.A. (Wells Fargo Bank, the sponsor and mortgage loan seller) since 2018 and features mortgage loans with strong collateral characteristics. WFMBS 2021-RR1 is second prime issuance by Wells Fargo Bank in 2021, 30.6% (by stated principal balance) of the pool comprises non-qualified mortgage loans. In total, the pool consists of 325 primarily 30-year, fixed rate, prime residential mortgage loans with an unpaid principal balance of $312,766,055. In response to the COVID-19 national emergency, Wells Fargo has temporarily transitioned to allowing exterior-only appraisals, instead of a full interior and exterior inspection of the subject property, on many mortgage transactions. Majority of the loan pool, approximately 51.2% by unpaid principal balance, does not have a full appraisal that includes an exterior and an interior inspection of the property. Instead, these loans have an exterior-only appraisal. The mortgage loans for this transaction were originated by Wells Fargo Bank, through its retail and correspondent channels, in accordance with its underwriting guidelines. In this transaction, 98 loans are designated as non-QM and 227 loans are designated as QM under the QM safe harbor rules. For Non-QM mortgage loans (30.6% by unpaid principal balance), this transaction does not include representations from the sponsor that the mortgage loans in the portfolio are Qualified Mortgage (QM) loans under the Ability to Repay (ATR) rules in the Truth-in-Lending Act (TILA). However, the sponsor will make certain representations that the mortgage loans will comply with the ATR rules. As a result, the transaction is subject to the Dodd-Frank Act's risk retention rules and the sponsor will retain 5% of the securitized exposure in the transaction. The pool has strong credit quality and consists of borrowers with high FICO scores, significant equity in their properties and liquid cash reserves. There are 4 loans in the pool with prior delinquency history as a result of errors in setting up automatic payments. Also, borrowers of nine loans in the pool had previously entered into a forbearance plan but continued making their mortgage payments while in forbearance and were thus never delinquent during the forbearance period. The weighted average (WA) seasoning of the pool is approximately 10 months. Additionally, any borrowers that request forbearance between the cut-off date and closing will be repurchased within 30 days of closing. Wells Fargo Bank will service all the loans and will also be the master servicer for this transaction. Servicing compensation is subject to a step-up incentive fee structure and the servicer will advance delinquent principal and interest (P&I), unless deemed nonrecoverable. The credit quality of the transaction is further supported by an unambiguous representation and warranty (R&W) framework and a shifting interest structure that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2021-RR1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-IO1*, Assigned (P)Aaa (sf) Cl. A- IO2*, Assigned (P)Aaa (sf) Cl. A- IO3*, Assigned (P)Aaa (sf) Cl. A- IO4*, Assigned (P)Aaa (sf) Cl. A- IO5*, Assigned (P)Aaa (sf) Cl. A- IO6*, Assigned (P)Aaa (sf) Cl. A- IO7*, Assigned (P)Aaa (sf) Cl. A- IO8*, Assigned (P)Aaa (sf) Cl. A- IO9*, Assigned (P)Aaa (sf) Cl. A- IO10*, Assigned (P)Aaa (sf) Cl. A- IO11*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale In response to COVID-19, Wells Fargo Home Lending (WFHL) has temporarily been allowing exterior-only appraisals. The majority of the mortgage loans (51.2% by unpaid principal balance) have been evaluated using this alternative exterior-only appraisal method. Since the exterior-only appraisal only covers the outside of the property, there is a risk that the property condition cannot be verified to the same extent had the appraiser been provided access to the interior of the home. However, Moody's did not make any adjustments to Moody's losses to loans where an exterior-only appraisal was conducted by taking into account certain mitigating factors, some of which relate to the reliability of Wells Fargo's property valuation policies and procedures, experienced valuation team, and robust appraisal oversight along with a well-defined scope of work for exterior-only appraisals, which help remove uncertainty risk associated with lack of full-appraisals for such mortgage loans. expected loss for this pool in a baseline scenario-mean is 0.21%, in a baseline scenario-median is 0.08%, and reaches 2.78% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's increased its model-derived median expected losses by 10.00% (5.85% for the mean) and Moody's Aaa loss by 2.50% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety Collateral Description The WFMBS 2021-RR1 transaction is a securitization of 325 primarily 30-year, fixed rate, prime residential mortgage loans with an unpaid principal balance of $312,766,055. The mortgage loans in this transaction have strong borrower characteristics with a WA original FICO score of 783 and a weighted-average combined loan-to-value ratio (LTV) of 74.1%. In addition, by stated principal balance, 12.9% of the borrowers are self-employed, refinance loans account for approximately 26.8% (inclusive of construction to permanent loans), of which 0.5% are cash-out loans. Construction to permanent loans account for 8.9% (by stated principal balance) of the pool. The construction to permanent is a two-part loan where the first part is for the construction and then it becomes a permanent mortgage once the property is complete. For such mortgage loans in the pool, the construction was complete and because the borrower cannot receive cash from the permanent loan proceeds or anything above the construction cost. 75.2% (by stated principal balance) of the properties backing the mortgage loans are located in five states: California, New Jersey, New York, Massachusetts and Washington with 57.7% (by stated principle balance) of the properties located in California. Properties located in the states of Texas, Virginia, Florida, Maryland and Oregon round out the top ten states by loan stated principal balance. Approximately 87.9% (by stated principal balance) of the properties backing the mortgage loans included in WFMBS 2021-RR1 are located in these ten states. Origination Quality Wells Fargo Bank, N.A. (Aa1 long term deposit; Aa2 long term debt) is an indirect, wholly-owned subsidiary of Wells Fargo & Company (long term debt A2). Wells Fargo & Company is a U.S. bank holding company with approximately $1.97 trillion in assets and approximately 266,000 employees as of June 30, 2020, which provides banking, insurance, trust, mortgage and consumer finance services throughout the United States and internationally. Wells Fargo Bank has sponsored or has been engaged in the securitization of residential mortgage loans since 1988. Wells Fargo Home Lending (WFHL) is a key part of Wells Fargo & Company's diversified business model. The mortgage loans for this transaction are originated by WFHL, through its retail and correspondent channels, in accordance with its underwriting guidelines. The company uses a solid loan origination system which include embedded features such as a proprietary risk scoring model, role based business rules and data edits that ensure the quality of loan production. In this transaction, no mortgage loans were underwritten specifically to Fannie Mae and Freddie Mac, i.e. government-sponsored enterprise (GSE) guidelines. All mortgage loans were underwritten and priced to WFHL's non-conforming underwriting guidelines. WFHL does not have underwriting guidelines that relate solely to mortgage loans that are intended to be Non-QM or QM and therefore, the underwriting guidelines are applicable to both. The term "non-QM" generally applies to types of loans or mortgage products with certain characteristics, such as interest-only loans, negative amortization loans and most balloon loans, loans not underwritten in compliance with Appendix Q, among others. However, the identification of a mortgage loans as a non-QM is based upon WFHL's categorization of such mortgage loans under its underwriting policies and procedures in place at the time of origination of such mortgage loans (including WFHL's interpretation of Appendix Q). Other lenders or market participants may interpret and apply the ATR rules differently than WFHL and therefore may arrive at different conclusions regarding whether any such mortgage loans would meet the definition of a QM or is otherwise a non-QM mortgage loan. Therefore, WFHL may classify a mortgage loan at the time it was originated under its guidelines as a QM that it would have previously classified (or would in the future classify) as a non-QM loan or vice versa. The two main underwriting factors which WFHL deems as non-QM that the TPR firm does not are (1) self-prepared year-to-date profit and loss (P&L) statement and balance sheet (while not specified in QM/Appendix Q, WFHL still requires two years of personal and business tax returns) and (2) for self-employed borrowers, documentation which has been waived, self -prepared or does not exist such as the P&L and/or balance sheet and was deemed non-material or not used in the credit decision process. It should be noted that WFHL implemented a number of policy changes to address the Covid-19 environment. Additionally, WFHL had temporarily stopped originating non-conforming correspondent mortgage loans from April 2020 through December 2020. After considering the company's origination practices, we made no additional adjustments to Moody's base case and Aaa loss expectations for origination. Third Party Review One independent third-party review (TPR) firm, Clayton Services LLC (Clayton), was engaged to conduct due diligence for the credit, regulatory compliance, property valuation and data accuracy for all of the 329 mortgage loans in the initial population of this transaction. The TPR results indicate that the majority of reviewed mortgage loans were in compliance with the underwriting guidelines, no material compliance or data issues, and no appraisal defects. For the one mortgage loan with a level "C" grade the exception was related to variance of secondary valuation being more than -10% as compared to the original appraisal. However, compensating factors such as low LTV and DTI were cited. Moody's did not make any additional adjustments in Moody's model analysis to account for this exception. The TPR firm's property valuation review consisted of reviewing the valuation materials utilized at origination to ensure the appraisal report was complete and in conformity with the underwriting guidelines. The TPR firm also compared third-party valuation products to the original appraisals. The TPR firm generally obtained a collateral desktop analysis (CDA) through an independent third-party valuation company to determine whether such CDA supported the appraisal value used in connection with the origination of the mortgage loan within a negative 10% variance. Instances where 10% negative variances (between the CDA and the appraised value) were reported, a field review was ordered to reconcile value per the original appraisal. Additionally, any loan more than 12 months old received new Broker Price Opinion (BPO) value. Finally, the majority of the data integrity errors in the initial population of the pool were due to observed differences in cash reserves (35 loans), CLTV (nine (9) loans), DTI (six (6) loans), original appraised value, property type and sales price (five (5) loans) each, original loan to value ( three (3) loans), and first payment date and maturity date (one (1) loan) each. Moody's did not make any adjustments in Moody's model analysis for data integrity since data discrepancies were suitably addressed. Representation & Warranties Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider is highly rated, the breach reviewer is independent and the breach review process is thorough, transparent and objective. As a result, Moody's did not make any additional adjustment to Moody's base case and Aaa loss expectations for R&Ws. Wells Fargo Bank, as the originator, makes the loan-level R&Ws for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when mortgage loans become 120 days delinquent, the property is liquidated at a loss above a certain threshold, or the loan is modified by the servicer. Similar to J.P. Morgan Mortgage Trust transactions, this transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. It should be noted that exceptions exist for certain excluded disaster mortgage loans that trip the delinquency trigger. These excluded disaster mortgage loans include COVID-19 forbearance mortgage loans or any other loan with respect to which (a) the related mortgaged property is located in an area that is subject to a major disaster declaration by either the federal or state government and (b) has either been modified or is being reported delinquent by the servicer as a result of a forbearance, deferral or other loss mitigation activity relating to the subject disaster. Such excluded disaster mortgage loans may be subject to a review in future periods if certain conditions are satisfied. Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.45% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.45% of the closing pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor of 1.45% and subordinate floor of 1.45% are consistent with the credit neutral floors for the assigned ratings. Structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period of time and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. All certificates in this transaction are subject to a net WAC cap. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Because it includes non-QM loans, the transaction is subject to the Dodd-Frank Act's risk retention rules. In this transaction, the sponsor or one or more majority owned affiliates of the sponsor will retain a 5% vertical residual interest in all the offered certificates. The sponsor or one or more majority owned affiliates of the sponsor will also be the holder of the residual certificate. Servicing Arrangement In WFMBS 2021-RR1, unlike other prime jumbo transactions, Wells Fargo Bank acts as servicer, master servicer, securities administrator and custodian of all of the mortgage loans for the deal. The servicer will be primarily responsible for funding certain servicing advances and delinquent scheduled interest and principal payments for the mortgage loans, unless the servicer determines that such amounts would not be recoverable. The master servicer and servicer will be entitled to be reimbursed for any such monthly advances from future payments and collections (including insurance and liquidation proceeds) with respect to those mortgage loans (also see COVID-19 impacted borrowers section for additional information). In the case of the termination of the servicer, the master servicer must consent to the trustee's selection of a successor servicer, and the successor servicer must have a net worth of at least $15 million and be Fannie or Freddie approved. The master servicer shall fund any advances that would otherwise be required to be made by the terminated servicer (to the extent the terminated servicer has failed to fund such advances) until such time as a successor servicer is appointed. Additionally, in the case of the termination of the master servicer, the trustee will be required to select a successor master servicer in consultation with the depositor. The termination of the master servicer will not become effective until either the trustee or successor master servicer has assumed the responsibilities and obligations of the master servicer which also includes the advancing obligation. After considering Wells Fargo Bank's servicing practices, Moody's did not make any additional adjustment to Moody's losses. COVID-19 Impacted Borrowers As of the cut-off date, no mortgage loans in the pool are currently subject to an active COVID-19 related forbearance plan. However, borrowers of nine loans in the pool had previously entered into a forbearance plan but continued making their mortgage payments while in forbearance and were thus never delinquent during the forbearance period. The mortgage loan seller will covenant in the mortgage loan purchase agreement to repurchase at the repurchase price within 30 days of the closing date any mortgage loan with respect to which the related borrower requests or enters into a COVID-19 related forbearance plan after the cut-off date but on or prior to the closing date. In the event that after the closing date a borrower enters into or requests a COVID-19 related forbearance plan, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower of a mortgage loan, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, the servicer anticipates it will modify such mortgage loan and any forborne amounts will be deferred as a non-interest bearing balloon payment that is due upon the maturity of such mortgage loan. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Wells Fargo Bank will recover advances made during the period of COVID-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. WFRBS COMMERCIAL 2014-C23: Fitch Affirms CCC Rating on 2 Certs -------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of WFRBS Commercial Mortgage Trust 2014-C23 (WFRBS 2014-C23) commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WFRBS 2014-C23 A-4 92939HAX3 LT AAAsf Affirmed AAAsf A-5 92939HAY1 LT AAAsf Affirmed AAAsf A-S 92939HBA2 LT AAAsf Affirmed AAAsf A-SB 92939HAZ8 LT AAAsf Affirmed AAAsf B 92939HBB0 LT AA-sf Affirmed AA-sf C 92939HBC8 LT A-sf Affirmed A-sf D 92939HAJ4 LT BBB-sf Affirmed BBB-sf E 92939HAL9 LT Bsf Affirmed Bsf F 92939HAN5 LT CCCsf Affirmed CCCsf PEX 92939HBD6 LT A-sf Affirmed A-sf X-A 92939HBE4 LT AAAsf Affirmed AAAsf X-C 92939HAA3 LT Bsf Affirmed Bsf X-D 92939HAC9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations have remained stable since Fitch's last review. Eight loans (23.1% of the pool) are considered Fitch loans of concern (FLOCS) primarily due to declining performance related to the coronavirus pandemic, occupancy declines and/or significant upcoming lease rollover. 677 Broadway (3.1% of the pool), the largest specially serviced loan, transferred in May 2020 due to imminent default due to two tenants vacating upon lease expiration and the largest tenant downsizing their space. A loan modification has been entered into with the new principals of the borrower as of March 2021 (the mezzanine lender foreclosed on their loan in October 2020 and assumed control of the borrowing entity). The modification provides for a two-year accrual of a portion of the monthly interest receivable and extends the loan's maturity date by 12 months. The borrower provided a significant new equity contribution toward future TI/LC costs. The loan is expected to be returned to the master servicer after three monthly payments under the modified terms. Fitch's loss expectations reflect a cap rate of 15.4% on the YE 2019 NOI. Outside of the specially serviced loan, the largest FLOC, Crossings at Corona (8.6% of the pool), is secured by a 834,075 sf retail property located in Corona, CA. The property is anchored by Kohl's and a non-collateral Target. The property has suffered declining performance due to several years of occupancy declines. As of YE 2020, occupancy had fallen to 75% from 93% in 2017 as a result of multiple tenants vacating upon lease expiration or filing bankruptcy. These performance declines were anticipated at the prior review and are reflected in the current Rating Outlooks. The second largest FLOC, Slatten Ranch (3.0% of the pool), is secured by a 118,250 sf retail center located in Antioch, CA. The property is anchored by a Bed Bath & Beyond and a non-collateral Target and Hobby Lobby. The property has seen occupancy declines over the past year and has exposure to tenants that have announced store closures. These performance declines were anticipated at the prior review and are reflected in the current Outlooks. The third largest FLOC, Culver City Portfolio (2.7% of the pool), is secured by a 93,977 sf office portfolio located in Culver City, CA. The property has experienced occupancy declines primarily due to the Tennis Chanel vacating at its lease expiration in February 2020. The NOI DSCR as of September 2020 is at 1.68x with an occupancy of 57.58% compared to the YE 2019 NOI DSCR of 1.94x with an occupancy of 82.1%. Fitch applied an additional 20% haircut to the YE 2020 NOI to account for the declining occupancy, but due to the low leverage the loan does not model a loss. Increasing Credit Enhancement/Defeasance: As of the May 2021 remittance, the pool's aggregate principal balance has been reduced by 14.2% to $807.2 million from $940.8 million at issuance. Since Fitch's last rating action, four loans (previously 2.9% of the pool) have paid off in full either at or ahead of their respective maturity dates. The dispositions reduced the class A-3 certificates to zero and the class A-4 certificates by $13 million. No losses were sustained. Ten loans (4.1% of the pool) are defeased. Six loans (18.3% of the pool) have interest only payments, including the largest loan in the pool Bank of America Tower (13% of the pool). The remaining loans are amortizing. Coronavirus Exposure: Significant economic impact to certain hotels, retail and multifamily properties is expected from the coronavirus pandemic, due to the recent and sudden reductions in travel and tourism, temporary property closures and lack of clarity on the potential length of the impact. The pandemic has prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Seven loans (7.4% of the pool) are secured by hotel loans and twenty six loans (25.1% of the pool) are secured by retail properties. The hotel loans have a weighted average (WA) debt service coverage ratio (DSCR) of 1.82x. On average, the retail loans have a WADSCR of 1.53x and would sustain a 35.7% decline in NOI before the DSCR would fall below 1.0x. Fitch applied additional stresses to hotel, retail and multifamily loans to account for potential cash flow disruptions due to the coronavirus pandemic. These additional stresses contributed to the downgrades of classes E and F and the Negative Outlook revision on class D. RATING SENSITIVITIES The Negative Outlooks on classes D and E reflect performance concerns with the FLOCs as well as the hotel and retail properties due to the decline in travel and commerce as a result of the coronavirus pandemic. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in Credit Enhancement (CE) and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. -- Upgrades of the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'Bsf' and 'CCCsf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the 'AAAsf' rated classes are not likely due to the position in the capital structure and the high CE. Downgrades to classes D, E and F are possible should loans susceptible to the coronavirus pandemic not stabilize. The Outlooks on classes D and F may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. -- Classes rated 'CCCsf' are expected to 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, classes with Negative Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS WFRBS 2014-C23 has an ESG Relevance Score of '4' for Exposure to Social Impacts. 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 natur e or the way in which they are being managed by the entity. WIND RIVER 2013-1: S&P Affirms CCC+ (sf) Rating on Class D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1RR, A-2RR, and B-RR replacement notes from Wind River 2013-1 CLO Ltd./Wind River 2013-1 CLO LLC, a CLO originally issued in 2013 that is managed by First Eagle Alternative Credit LLC. At the same time, S&P withdrew its ratings on the class A-1R, A-2R, and B-R notes following payment in full on the June 14, 2021, refinancing date. S&P also affirmed its ratings on the class C-R and D-R notes, which were not refinanced. Replacement And Previously Refinanced Note Issuances Replacement notes Class A-1RR, $245.27 million: Three-month LIBOR + 0.98% Class A-2RR, $52.00 million: Three-month LIBOR + 1.60% Class B-RR, $29.40 million: Three-month LIBOR + 2.00% Previously refinanced notes Class A-1R, $245.27 million: Three-month LIBOR + 1.25% Class A-2R, $52.00 million: Three-month LIBOR + 1.75% Class B-R, $29.40 million: Three-month LIBOR + 2.40% 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 the 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. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Wind River 2013-1 CLO Ltd./Wind River 2013-1 CLO LLC Class A-1RR, $245.27 million: AAA (sf) Class A-2RR, $52.00 million: AA (sf) Class B-RR, $29.40 million: A (sf) Ratings Withdrawn Wind River 2013-1 CLO Ltd./Wind River 2013-1 CLO LLC Class A-1R to not rated from 'AAA (sf)' Class A-2R to not rated from 'AA (sf)' Class B-R to not rated from 'A (sf)' Ratings Affirmed Wind River 2013-1 CLO Ltd./Wind River 2013-1 CLO LLC Class C-R: BB+ (sf) Class D-R: CCC+ (sf) Other Outstanding Notes Wind River 2013-1 CLO Ltd./Wind River 2013-1 CLO LLC Subordinated notes: Not rated WIND RIVER 2021-2: Moody's Rates $16MM Class E Notes 'Ba3' ---------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by Wind River 2021-2 CLO Ltd. (the "Issuer" or "Wind River 2021-2"). Moody's rating action is as follows: US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$16,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$16,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Wind River 2021-2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of non-senior secured loans, 5% of which may consist of bonds. The portfolio is approximately 80% ramped as of the closing date. First Eagle Alternative Credit, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued three other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2885 Weighted Average Spread (WAS): 3.57% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 9.08 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 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. Z CAPITAL 2021-1: Moody's Assigns (P)Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to nine classes of notes to be issued by Z Capital Credit Partners CLO 2021-1 Ltd. (the "Issuer" or "Z Capital 2021-1"). Moody's rating action is as follows: US$150,000,000 Class A-1A Senior Secured Floating Rate Notes due 2033, Assigned (P)Aaa (sf) US$15,000,000 Class A-1F Senior Secured Fixed Rate Notes due 2033, Assigned (P)Aaa (sf) US$20,000,000 Class A-2A Senior Secured Floating Rate Notes due 2033, Assigned (P)Aaa (sf) US$15,000,000 Class B-1A Senior Secured Floating Rate Notes due 2033, Assigned (P)Aa2 (sf) US$15,000,000 Class B-1F Senior Secured Fixed Rate Notes due 2033, Assigned (P)Aa2 (sf) US$16,500,000 Class C-1A Secured Deferrable Floating Rate Notes due 2033, Assigned (P)A2 (sf) US$5,000,000 Class C-1F Secured Deferrable Fixed Rate Notes due 2033, Assigned (P)A2 (sf) US$28,500,000 Class D Secured Deferrable Floating Rate Notes due 2033, Assigned (P)Baa3 (sf) US$21,500,000 Class E Secured Deferrable Floating Rate Notes due 2033, Assigned (P)Ba3 (sf) The notes listed 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. Z Capital 2021-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 88.75% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 11.25% of the portfolio may consist of second lien loans, unsecured loans and permitted debt securities. Moody's expect the portfolio to be approximately 40% ramped as of the closing date. Z Capital CLO Management, L.L.C. (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 four year reinvestment period. Thereafter, the manager may not reinvest and all proceeds received will be used to amortize the notes in sequential order. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's 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: $330,000,000 Diversity Score: 47 Weighted Average Rating Factor (WARF): 3700 Weighted Average Spread (WAS): 4.80% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 44.0% Weighted Average Life (WAL): 8 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. [*] DBRS Reviews 187 Classes from 27 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 187 classes from 27 U.S. residential mortgage-backed security (RMBS) transactions. Of the 187 classes reviewed, DBRS Morningstar confirmed 185 ratings and removed two of them from Under Review with Negative Implications, downgraded one rating and removed it from Under Review with Negative Implications, and one rating remained Under Review with Negative Implications. The affected rating is available at https://bit.ly/3vhXw2H The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The rating downgrades reflect the unlikely recovery of the bonds' principal loss amount or the transactions' negative trend in loss activity. The Under Review with Negative Implications status reflects the negative impact of the coronavirus pandemic on the bonds. For certain bonds, DBRS Morningstar maintained the Under Review with Negative Implications status amid the uncertainty in such transactions' performance with respect to forbearance and delinquency trends. DBRS Morningstar's rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30-day+ delinquencies. -- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives. -- Elevated economic concerns and more conservative home price assumptions. As a result of the Coronavirus Disease (COVID-19) 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), DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. The pools backing the reviewed RMBS transactions consist of Re-Performing (RPL) and Non-Qualified Mortgage (Non-QM) collateral. RPL In the RPL asset class, DBRS Morningstar generally believes that loans which were previously delinquent, recently modified, or have higher updated loan-to-values (LTV) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert back to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. NON-QM In the Non-QM asset class, DBRS Morningstar generally believes that 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 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. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities reflect actual deal/tranche performance that is not fully reflected in the projected cash flows/model output. Generally for RMBS transactions, the reporting of recent forbearance-related delinquencies (as opposed to nonforbearance-related delinquencies) in remittance reports has not been consistent and standardized. DBRS Morningstar believes that recent increases in delinquencies mostly reflect forbearances being requested and granted as a result of the coronavirus pandemic. Additionally, DBRS Morningstar believes that forbearance-related delinquencies, especially during the coronavirus pandemic, should have a lower probability of default than nonforbearance-related delinquencies. Because of the lack of standardized reporting, DBRS Morningstar may not be able to appropriately identify delinquencies as a result of forbearance in its loss analysis; thus, for certain transactions, DBRS Morningstar may have projected significantly higher expected losses using its quantitative model. After reviewing transaction-level performance trends and other analytical considerations outlined in this press release, however, DBRS Morningstar may assign ratings that differ from those implied by the quantitative model, thus resulting in a material deviation. -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class A-3 -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class M-1 -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-1 -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-2 -- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class A-3 -- CTDL 2020-1 Trust, Mortgage Pass-Through Certificates, Series 2020-1, Class A-1 -- CTDL 2020-1 Trust, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1 -- Citigroup Mortgage Loan Trust 2019-IMC1, Mortgage Pass-Through Certificates, Series 2019-IMC1, Class A-3 -- Citigroup Mortgage Loan Trust 2019-IMC1, Mortgage Pass-Through Certificates, Series 2019-IMC1, Class M-1 -- Deephaven Residential Mortgage Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class A-3 -- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class A-3 -- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class A-3 -- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-1 -- Spruce Hill Mortgage Loan Trust 2020-SH1, Mortgage-Backed Notes, Series 2020-SH1, Class A-3 -- Spruce Hill Mortgage Loan Trust 2020-SH1, Mortgage-Backed Notes, Series 2020-SH1, Class M-1 -- Spruce Hill Mortgage Loan Trust 2020-SH1, Mortgage-Backed Notes, Series 2020-SH1, Class B-1 -- Spruce Hill Mortgage Loan Trust 2020-SH1, Mortgage-Backed Notes, Series 2020-SH1, Class B-2 -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class A-3 -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1 -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-A -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-AX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-B -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-BX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-C -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-CX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-D -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-DX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-E -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-EX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-AX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-BX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-CX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-DX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-EX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-AX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-BX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-CX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-DX -- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-EX -- Verus Securitization Trust 2020-3, Mortgage Pass-Through Certificates, Series 2020-3, Class B-2 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class A-3 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class M-1 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-2 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class A-3 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class M-1 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2A -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2AX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2B -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2BX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2C -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2CX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2D -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2DX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2E -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2EX -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-1 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-2 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-1 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-2 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-4 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-5 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Asset Backed Securities, Series 2017-2, Class M-1 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1A -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1AX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1B -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1BX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2A -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2AX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2B -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2BX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class A4 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class A5 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1, Asset Backed Securities, Series 2016-1, Class M-1 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1, Asset Backed Securities, Series 2016-1, Class M-2 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Asset Backed Securities, Series 2017-1, Class M-1 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Asset Backed Securities, Series 2017-1, Class M-2 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M -- Deephaven Residential Mortgage Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class A-3 -- Deephaven Residential Mortgage Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class M-1 The rating actions are the result of DBRS Morningstar's application of its "U.S. RMBS Surveillance Methodology," published on February 21, 2020. When DBRS Morningstar places a rating Under Review with Negative Implications, DBRS Morningstar seeks to complete its assessment and remove the rating from this status as soon as appropriate. Upon the resolution of the Under Review status, DBRS Morningstar may confirm or downgrade the ratings on the affected classes. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2021. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. 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